In relation to the efficient markets hypothesis, consider the following observations: I. Mutual fund managers do not on average make superior returns. II. It is not possible to make superior returns by buying or selling stocks after the announcement of an abnormal rise in earnings. III. Managers who trade in their own stocks make superior returns. IV. In any year approximately 50 percent of all pension funds outperform the market.

Which of the following statements is true?

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a

Both I and II provide evidence against the semi-strong form of market efficiency

b

Both I and II provide evidence against the strong form of market efficiency

c

III provides evidence against semi-strong form efficiency, but not against strong form efficiency.

d

III provides evidence against strong form efficiency, but not against semi-strong form efficiency.

e

IV provides evidence against semi-strong form efficiency, but not against strong form efficiency.