Question Completion Status: 1 26 31 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 200 21 22 23 24 25 20 Market Value-Growth Illiquidity QUESTION 15 Suppose that I portfolio has a positive HMI factor loading in the Fama and French model. Which of the following statements is correct? This portfolio has a positive exposure to the value-growth factor; the portfolio underweights value stocks and overweights growth stocks This portfolio has a positive exposure to the value-growth factor; the portfolio overweights value stocks and underweights growth stocks This portfolio hasi negative exposure to the value-growth factor, the portfolio underweight value stocks and overweights growth stocks This portfolio has a positive exposure to the size factor this portfolio overweights large stocks and underweights small stock Land Chek Sundhew Chic All Automata Question Completion Status: 1 3 4 5 6 7 7 00 9 10 11 12 13 14 15 16 17 18 19 QUESTION 19 What could we conclude when presented with the fact that the size effect has disappeared? It was a spurious effect arising purely by chance It was a behavioral effect and has since been arbitraged away It was a true risk factor in the past, but shifts in investors' risk attitudes have diminished its risk premium to z All of the above are plausible explanations of the disappearance of the size effect QUESTION 20 What is the active return of a fund? The benchmark return thu thantes in excess of its benchmark pletion Status: 1 20 30 4 5 6 7 7 8 9 9 10 11 12 13 14 15 16 17 18 QUESTION 18 is periodic rebalancing required for value and momentum investing strategies? Neither strategy requires periodic rebalancing - these are long-only investment factors Value strategy requires period rebalancing, but momentum does not Momentum strategy requires period rebalancing, but value does not Both strategies require periodic rebalancing QUESTION 19 What could we conclude when presented with the fact that the size offoct has disappeared? It was a spurious effect arising purely by chance It was a behavioral effect and has since been arbitraged away It was a true risk factor in the past, but shifts in investors' risk attitudes have diminished its risk premium All of the above are plausible explanations of the disappearance of the size effect Click Save and Submit se and submit Click Save All Antal ans Question Completion Status: 1 BN 4 5 6 7 8 10 11 12 13 14 15 16 17 18 19 200 21 22 Compared to growth stocks, value stocks have higher adjustment costs due to having more unproductive capital Investors over-extrapolate past growth rates into the future, lowering future expected returns of growth stocks compared to Compared to growth stocks, investors under-react more when good news about value stocks come out stocks QUESTION 17 Which of the sllowing could serve as a mimicking portfolio for the momentum factor? Long the stocks that have gone up in price over the past 5 years and short the stocks that have gone down in price over the past years Long the stocks that have gone down in price over the past 5 years and short the stocks that have gone up in price over the past Long the stocks that have recently (past 6-12 months) gone up in price and short the stocks that have recently gone down in price Long the stocks that have recently (past 6-12 months) gone down in peace and short the stocks that have recently gone tip in price years QUESTION 18 Chek Sone and be and bit. Chek Sow All Aroane allo Question Completion Status: 1 20 SR 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 200 21 22 23 24 25 20 Market Value-Growth Illiquidity QUESTION 15 62 Suppose that "portfolio has a positive HMI factor loading in the Fama and French model. Which of the following statements is correct? This portfolio has a positive exposure to the value-growth factor; the portfolio underweights value stocks and overweights growth stocks This portfolio has a positive exposure to the value-growth factor; the portfolio overweights value stocks and underweights growth stocks This portfolio hasi negative exposure to the value-growth factor, the portfolio underweight value stocks and overweights growth stocks This portfolio has a positive exposure to the size factor this portfolio overweights large stocks and underweights small stock Chek in and other Chicks All Antall Question Completion Status: 1 20 3 4 5 6 7 7 00 9 9 10 11 12 13 14 15 16 17 18 19 QUESTION 19 What could we conclude when presented with the fact that the size effect has disappeared? It was a spurious effect arising purely by chance It was a behavioral effect and has since been arbitraged away It was a true risk factor in the past, but shifts in investors' risk attitudes have diminished its risk premium to z All of the above are plausible explanations of the disappearance of the size effect QUESTION 20 What is the active return of a fund? The benchmark return find anstes in excess of its benchmark pletion Status: 1 20 31 4 5 6 7 7 8 9 10 11 12 13 14 15 16 17 18 QUESTION 18 Is periodic rebalancing required for value and momentum investing strategies? Neither strategy requires periodic rebalancing - these are long-only investment factors Value strategy requires period rebalancing, but momentum does not Momentum strategy requires period rebalancing, but value does not Both strategies require periodic rebalancing QUESTION 19 What could we conclude when presented with the fact that the size offoct has disappeared? It was a spurious effect arising purely by chance It was a behavioral effect and has since been arbitraged away It was a true risk factor in the past, but shifts in investors' risk attitudes have diminished its risk premium All of the above are plausible explanations of the disappearance of the size etfect Click Save and submito se and submit Chek Sare All Antall answer Question Completion Status: 1 20 3 4 5 6 7 7 8 00 9 9 10 11 12 13 14 15 16 17 18 19 QUESTION 19 What could we conclude when presented with the fact that the size effect has disappeared? It was a spurious effect arising purely by chance It was a behavioral effect and has since been arbitraged away It was a true risk factor in the past, but shifts in investors' risk attitudes have diminished its risk premium to z All of the above are plausible explanations of the disappearance of the size effect QUESTION 20 What is the active return of a fund? The benchmark return that in excess of its benchmark
