1. True of false?

Are the following statements true or false? Explain your answer in no more than two sentences. You will be graded on the quality of your explanation.

(a) (5) The efficient market hypothesis predicts that the expected return of a call option on Google stock should be the same as the expected return of a put option on Microsoft.

(b) (5) The average return during 1996-2020 of all mutual funds in existence in 2020 was higher than the return of the S&P500 during the sarne period. This shows that on average, fund managers can

pick stocks that consistently beat the index

(c) (5) An American call option on ABC has a strike price of $12 and expires in June 2022, while another American call on ABC has a strike price of $10 and expires in August 2022. If the fist option costs

$120 and the second costs $1.10 today, there is an arbitrage opportunity

(d) (5) Lakonishok, Shleifet, and Vishny (LSV) argue that because growth stocks are glamorous, investors rush to buy them pushing up their price and resulting in high subsequent returns, as confrmed in

the data

(e) (5) The value effect contradicts the weak form of the efficient markets hypothesis