víJe universiteit sterdam
Faculty of Economics and Business
Department of Finance
Exam: Empirical Finance
Program: Master'sprogramin Finance,period4.1
Code: 60432070
Lecturer: Dr. RomanKráussl
Date: October15.2008
Time: - 1 8 .00
1 5 .1 5
Duration: 2 hoursand45 minutes
Examparts: Pleaseanswerthe following 7 questions,includingall sub-questions.
Scoring: The sub-questions are not related,so that you can, e.g., answerc)
without knowing the answerto b). Pleasecarefirlly read the sub-
questions.The maximumnumberof points for eachsub-questionis
givenin brackets.You canreachin total 70 points.
Grades: Thegradeswill be madepublicon Monday,October27,2009.
Inspection: It is possibleto inspectyour exam paper on Tuesday,October28,
2008at 14.00in roomlA-33.
Remarks: Be concise and complete in your answers.Always explain your
ansrryers,
evenif not explicitly calledfor. Useyour time efficiently.
Good luck and success!
, Question1: BehavioralFinance
a) Behavioralfinance arguesthat "people do make a difference". Discussthis statementin
the contextof financial markets.(2 points)
b) Name 5 of the 8 o'long-termreturn anomalies"and briefly discusswhy Fama (1998)
believesthat they will disappeaÍover time. Briefly explain the five areasof financial
marketsthat are accordingto Thaler(1999)"most at odds"with the theoriesin standard
financetextbooks.(4 points)
c) Briefly discusso'limits to arbitrage"and discussits empirical evidencesuch as (i) twin
shares,(ii) indexinclusions,and(iii) intemetcarve-outs.
(4 points)
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Faculty of Economics and Business
Department of Finance
Exam: Empirical Finance
Program: Master'sprogramin Finance,period4.1
Code: 60432070
Lecturer: Dr. RomanKráussl
Date: October15.2008
Time: - 1 8 .00
1 5 .1 5
Duration: 2 hoursand45 minutes
Examparts: Pleaseanswerthe following 7 questions,includingall sub-questions.
Scoring: The sub-questions are not related,so that you can, e.g., answerc)
without knowing the answerto b). Pleasecarefirlly read the sub-
questions.The maximumnumberof points for eachsub-questionis
givenin brackets.You canreachin total 70 points.
Grades: Thegradeswill be madepublicon Monday,October27,2009.
Inspection: It is possibleto inspectyour exam paper on Tuesday,October28,
2008at 14.00in roomlA-33.
Remarks: Be concise and complete in your answers.Always explain your
ansrryers,
evenif not explicitly calledfor. Useyour time efficiently.
Good luck and success!
, Question1: BehavioralFinance
a) Behavioralfinance arguesthat "people do make a difference". Discussthis statementin
the contextof financial markets.(2 points)
b) Name 5 of the 8 o'long-termreturn anomalies"and briefly discusswhy Fama (1998)
believesthat they will disappeaÍover time. Briefly explain the five areasof financial
marketsthat are accordingto Thaler(1999)"most at odds"with the theoriesin standard
financetextbooks.(4 points)
c) Briefly discusso'limits to arbitrage"and discussits empirical evidencesuch as (i) twin
shares,(ii) indexinclusions,and(iii) intemetcarve-outs.
(4 points)
-/
