Which of the following statements is true?
A)In efficient markets, a stock's price should change with the arrival of new information.
B)Average stock returns are higher in January than other months.
C)Studies by Fama and French and others find the fact that returns of high book to market stocks are much higher than low book to market value stocks is consistent with the efficient market hypothesis.
D)All of the above.
E)None of the above.

Question

Quizplus · Accepted Answer

In efficient markets, a stock's price should change with the arrival of new information, and average stock returns are not higher in January than other months. Studies by Fama and French and others find that the fact that returns of high book-to-market stocks are much higher than low book-to-market value stocks is inconsistent with the efficient market hypothesis.

Which of the Following Statements Is True