sample midsem test paper

sample midsem test paper - ACCG329 Security Pricing and...

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Unformatted text preview: ACCG329 Security Pricing and Hedging 2008 Mid-Semester Test May 13, 2008 SURNAME: GIVEN NAMES: STUDENT NUMBER: TUTORS NAME: TUTORIAL CLASS: This test is comprised of five (5) multi-part questions of unequal value. 120 marks in total: Q1 = 20 marks; Q2 = 15 marks; Q3 = 35 marks; Q4 = 30 marks; Q5 = 20 marks. Please be aware of the following rules: 1. Time Allowed: 90 minutes + 5 minutes reading, no time extension if you arrive late. 2. Non-programmable calculators without alphanumeric (text) capabilities are permitted. 3. Dictionaries are NOT permitted. 4. Mobile phones or paging devices must be switched off. 5. You must display your student ID card on your table. 6. You must return this test paper at the end of the test. You must not leave the examination room with any part of the paper. 7. All answers must be written in the space provided on the test paper. You can do rough working on the back of a page if needed. 8. Please show all working where appropriate. 9. You must follow the rules of the test and directions from invigilators. If you fail to follow instructions your paper will be confiscated and you will receive zero marks. 10. If you are caught copying, colluding or otherwise cheating you will be awarded zero marks and the matter will be pursued for disciplinary action at University level. 1. (a) Explain precisely how we expect prices to respond to new information in a an informationally efficient market. [5 Marks] (b) Is the average ICAPM investors portfolio holding likely to be mean- variance efficient. Briefly explain why or why not. [5 marks] 1 (c) Explain the joint hypothesis problem with reference to studies of infor- mational efficiency - event studies in particular. How does this problem limit whats knowable about market efficiency and asset pricing? [10 Marks] 2 2. (a) Suppose we believe that capital markets are informationally efficient. Ac-2....
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sample midsem test paper - ACCG329 Security Pricing and...

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