題組內容

8. 效率市場假說 (Efficient Market Hypothesis) (25 分)
The graph below shows the abnormal return on a sample of nearly 17,000 firms that were targets of takeover attempts, compared with that of the market. The prices of target stocks jump up dramatically on the announcement day. 請回答以下問題：

(3) 有財務學家研究美國股票市場發現，SRI的投資組合(投資於員工滿意度最佳的前100公司，而且員工滿意度是免費的公開資訊)的績效連續54個月打敗大盤(一般投資組合)，亦即連續54個月SRI的投資組合都有正的abnormal returns，你覺得這該如何從效率市場的觀點解釋？(10分)