a) The Efficient Markets Hypothesis (EMH) described by Fama (1984) is comprised of three components; weak form, semi-str

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a) The Efficient Markets Hypothesis (EMH) described by Fama
(1984) is comprised of three components; weak form, semi-strong
form and strong form efficiency. Describe the method used to test
for semi-strong form efficiency. Use examples to support your
answer. (10 marks)
b) Armada Berhad stock is estimated to have a covariance with
the market of 0.45. For the coming period, the market expected
return is 10%, the market variance is 0.60 and the market
risk-premium is 5%.
i. If the stock is currently trading at RM2.00, use to CAPM to
calculate the future price of the stock at the end of the period.
(10 marks)
ii. Outline Roll’s critique and explain how this affects the
application of the CAPM in practice. (5 Marks)