a) An analyst has access to all the annual, monthly and daily returns of Coca Cola since it started trading on NYSE in 1919. Explain how the analyst would test whether the NYSE is efficient, by presenting any two statistical tests. [4 marks]

b) Which type of market efficiency did the analyst test in point (a)? [1 mark]

c) A colleague of the analyst suggested that NYSE is not efficient as Coca Colas returns can be forecasted based on the returns of Pepsi Cola. His argument is that, in the absence of arbitrage, all assets with identical factor exposures or risks earn the same return. Explain whether he is correct or not. [3 marks]