- If markets are efficient, what would be the expected return behavior around a positive dividend surprise (use a chart or a verbal description to qualitatively describe return behavior before, at, and after the announcement)? - An internet company’s CEO announces that it will be divesting its loss-making payment system unit. The company’s stock price goes up by 5% on the day of the announcement, equivalent to an abnormal return of 2.5%, and stays at the high level thereafter. Is this consistent with market efficiency? Can you think of a trading rule? - In December of 2002, a new manager was hired by a struggling domestic equities hedge fund. In 2003-2007, the hedge fund has realized absolute returns in excess of 40% a year. Is this fund’s performance consistent with market efficiency? (Give a qualitative answer and state your reasoning.) 第一题我是认为 既然符合效率市场 所有的资讯会立刻公开反映 所以return 在前 中 後 三个时间点应该都持平 不应该会有abnormal的情况发生 第二题就感觉应该是不符合效率市场了 应该是不符合半强势效率市场吗? 第三题 应该也是不符合....吗?? 但是我有点搞不清楚他是不符合哪一个 --

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