Question 17 { + 1 Suppose that, after conducting an analysis of past stock prices, you come up with the following observations. Which would appear to contradict the weak form of the efficient market hypothesis? B C D The average excess rate of return is significantly greater than zero The correlation between the return during a given week and the return during the following week is zero One could have made superior returns by buying stock after a 5% rise in price and selling after a 5% fall One could have made higher-than-average capital gains by holding stocks with high market betas Question 18 The following are five IT stocks' statistical profiles-the risk-free rate is 1.1%. FB 201511-202010 Excess return (%) Standard dev (%) Sharpe ratio Alpha (%) Market beta Size (SMB) beta B/M (HML) beta AAPL AMZN NFLX GOOGL 21.7 31.2 34.8 35.5 17.0 27.9 30.4 28.6 37.6 21.4 0.78 1.03 1.22 0.94 0.79 7.0 13.4 3.3 1.30 1.48 1.44 1.11 1.04 -0.19 -0.45 -0.32 0.06 -0.29 -0.36 -0.68 -0.90 -0.90 -0.14 2.7 8.9 According to the statistics, which of the following statements regarding the five stocks is true? A B NFLX has the highest systematic risk AAPL has the highest firm-specific risk AMZN has the steepest capital allocation line slope FB is mostly underpriced stock in terms of this factor model C D