(a) 假设使用了正确的 E[R] 模型，结果（右图，左图，

(b) 假设使用了不正确的风险模型，我们能否得出关于该风险的任何结论？

.71 股 UBID（价值 25.55 美元）和 1 股 PC Mall（价值 22.75 美元）。进一步假设
PC Mall 的 beta 为 1.01，UBID 的 beta 为 0.9。以下哪些是主要的

(a) 召回风险（又名“买入风险”）

(b) 市场风险

(c) 噪音交易者风险

Problem 1:

Here is the output of two event studies, i.e., Cumulative Abnormal Returns (CARs) from some
date before the event through some date after the event.

(a) Assuming that the correct E[R] model was used, which result (right graph, left graph, both
or neither) is consistent with semi-strong EMH? Explain in 3 sentences or less. (2 points)

(b) Assuming that an incorrect risk model was used, can we reach any conclusions about the
validity of the semi-strong EMH from either graph? Explain in 3 sentences or less. (2
points)

Problem 2:

Recall the PC Mall, UBID example we discussed in class where the arbitrage trade had us short
.71 shares of UBID (worth \$25.55) and long 1 share of PC Mall (worth \$22.75). Suppose further
that PC Mall had a beta of 1.01 and UBID had a beta of .9. Which of the following are major
risks that an arbitrageur faces in such a trade? Circle all that apply and explain in 5 sentences or
less (3 points):

(a) Recall risk (a.k.a. “buy in risk”)

(b) Market risk

(c) Noise trader risk

Explain:

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