06_MoF_Do1_2016_FS

Description:

Answer all questions and then press submit. We will discuss the solutions together.

Note: The last question requires inputting a number between -1 and 1.


Proponents of the EMH typically advocate: 






The size effect anomaly finds that the risk-adjusted returns of small firms:






In an efficient market the correlation coefficient between stock returns for two nonoverlapping time periods should be:






A group of portfolios from which we can form an efficient portfolio are called:






Assume the economy consisted of three types of people. 50% are fad followers, 45% are passive investors who hold the market portfolio, and 5% are informed traders. The portfolio of all the informed traders has a beta of 1.5 and an expected return of 15%. Market expected return is 11%. Risk-free rate is 5%. What alpha do the fad followers make (in %)?