问题
单项选择题
Which of the following statements about the assumptions of efficient capital markets and the conclusion of the efficient market hypothesis is FALSE（）
A. If markets are efficient, investors should not trade often.
B. In testing for semip-form market efficiency, researchers typically adjust for the stock’s risk.
C. Tests of market efficiency have found no strategy that produces excess returns above the market after accounting for transaction costs.
答案
参考答案：C
解析：
Several strategies have been shown to produce abnormal returns (returns above the market after adjusting for risk). Small firms and firms with low price to earnings (P/E) ratios and high book-to-market values have all been found to produce positive abnormal returns.
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