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Market_Efficiency 有效市场理论.pdf
Investment and Finance (ABWL1) SS 2010 O.Kolokolova / Z.Guo / A.Mattes
Tutorial 2: Sample Solutions: Market Efficiency
Ex.1
The stock of United Boot is priced at $400 and offers a dividend yield of 2 percent. The
company has a 2-for-one split.
(a) Other things equal, what would you expect to happen to the stock price?
(b) In practice, would you expect the stock price to fall by more or less than this amount?
(c) Suppose that a few months later United Boot announces a rise in dividends that is exactly in
line with that of other companies. Would you expect the announcement to lead to a slight
abnormal rise in the stock price, a slight abnormal fall, or no change?
Answer
(a) The stock price falls to $200.
(b) We would expect it to fall by less than this amount. Stock splits are usually made when a
company performs well, and the share price is expected to continue rising.
(c) A slight abnormal fall (the split is likely to have led investors to expect an above-average rise
in dividends).
Ex.2
Geothermal Corporation has just received good news: its earnings increased by 20 percent from
last year’s value. Most investors are anticipating an increase of 25 percent. Will Geothermal’s
stock price increase or decrease when the announcement is made?
Answer
Decrease. The stock price already reflects an expected 25% increase. The 20% increase conveys
bad news relative to expectations.
Ex.3
The graph in Figure 13.1 shows the actual performance of the Standard and Poor’s 500 Index for
a five-year period. Two financial managers, Alpha and Beta, are contemplating this chart. Each
manager’s company needs to issue new shares of common stock sometime in the next year.
Alpha : “My company is going to issue right away. The stock market cycle has obv
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