投资学第7版TestBank答案08可编辑修改word版Word格式文档下载.docx
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投资学第7版TestBank答案08可编辑修改word版Word格式文档下载.docx
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DDifficulty:
WilliamSharpe,buildingontheworkofHarryMarkowitz,developedtheindexmodel.
3.Asingle-indexmodelusesasaproxyforthesystematicriskfactor.
A)amarketindex,suchastheS&
P500
B)thecurrentaccountdeficit
C)thegrowthrateinGNP
D)theunemploymentrate
ADifficulty:
Thesingle-indexmodelusesamarketindex,suchastheS&
P500,asaproxyforthemarket,andthusforsystematicrisk.
4.TheSecurityRiskEvaluationbookpublishedbyMerrillLynchreliesonthe
mostrecentmonthlyobservationstocalculateregressionparameters.
A)12
B)36
C)60
D)120
E)noneoftheabove
Mostpublishedbetasandotherregressionparameters,includingthosepublishedbyMerrillLynch,arebasedonfiveyearsofmonthlyreturndata.
5.TheSecurityRiskEvaluationbookpublishedbyMerrillLynchusestheasaproxyforthemarketportfolio.
A)DowJonesIndustrialAverage
B)DowJonesTransportationAverage
C)S&
P500Index
D)Wilshire5000
TheMerrillLynchdata(andmuchoftheotherpublisheddatasets)arebasedontheS&
P500indexasamarketproxy.
6.Accordingtotheindexmodel,covariancesamongsecuritypairsare
A)duetotheinfluenceofasinglecommonfactorrepresentedbythemarketindexreturn
B)extremelydifficulttocalculate
C)relatedtoindustry-specificevents
D)usuallypositive
E)AandD
EDifficulty:
Mostsecuritiesmovetogethermostofthetime,andmovewithamarketindex,ormarketproxy.
7.TheinterceptcalculatedbyMerrillLynchintheregressionequationsisequalto
A)αintheCAPM
B)α+rf(1+β)
C)α+rf(1-β)
D)1-α
Moderate
TheinterceptthatMerrillLynchcallsalphaisreally,usingtheparametersoftheCAPM,anestimateofa+rf(1-b).Theapparentjustificationforthisprocedureisthat,onamonthlybasis,rf(1-b)issmallandisapttobeswampedbythevolatilityofactualstockreturns.
8.Analystsmayuseregressionanalysistoestimatetheindexmodelforastock.Whendoingso,theslopeoftheregressionlineisanestimateof.
A)theαoftheasset
B)theβoftheasset
C)theσoftheasset
D)theδoftheasset
BDifficulty:
Theslopeoftheregressionline,b,measuresthevolatilityofthestockversusthevolatilityofthemarket.
9.Inafactormodel,thereturnonastockinaparticularperiodwillberelatedto
A)firm-specificevents
B)macroeconomicevents
C)theerrorterm
D)bothAandB
E)neitherAnorB
Thereturnonastockisrelatedtobothfirm-specificandmacroeconomicevents.
10.RosenbergandGuyfoundthathelpedtopredictafirm'
sbeta.
A)thefirm'
sfinancialcharacteristics
B)thefirm'
sindustrygroup
C)firmsize
E)A,BandCallhelpedtopredictbetas.
RosenbergandGuyfoundthataftercontrollingforthefirm'
sfinancialcharacteristics,thefirm'
sindustrygroupwasasignificantpredictorofthefirm'
11.Iftheindexmodelisvalid,wouldbehelpfulindeterminingthecovariancebetweenassetsKandL.
A)βk
B)βL
C)σM
D)alloftheabove
IftheindexmodelisvalidA,B,andCaredeterminantsofthecovariancebetweenKandL.
12.RosenbergandGuyfoundthathelpedtopredictfirms'
betas.
A)debt/assetratios
B)marketcapitalization
C)varianceofearnings
RosenbergandGuyfoundthatA,B,andCweredeterminantsoffirms'
13.Ifafirm'
sbetawascalculatedas0.6inaregressionequation,MerrillLynchwouldstatetheadjustedbetaatanumber
A)lessthan0.6butgreaterthanzero.
B)between0.6and1.0.
C)between1.0and1.6.
D)greaterthan1.6.
E)zeroorless.
Betas,onaverage,equalone;
thus,betasovertimeregresstowardthemean,or1.Therefore,ifhistoricbetasarelessthan1,adjustedbetasarebetween1andthecalculatedbeta.
14.ThebetaofExxonstockhasbeenestimatedas1.2byMerrillLynchusingregressionanalysisonasampleofhistoricalreturns.TheMerrillLynchadjustedbetaofExxonstockwouldbe.
A)1.20
B)1.32
C)1.13
D)1.0
Adjustedbeta=2/3samplebeta+1/3
(1);
=2/3(1.2)+1/3=1.13.
15.Assumethatstockmarketreturnsdonotresembleasingle-indexstructure.Aninvestmentfundanalyzes100stocksinordertoconstructamean-varianceefficientportfolioconstrainedby100investments.Theywillneedtocalculateexpectedreturnsandvariancesofreturns.
A)100,100
B)100,4950
C)4950,100
D)4950,4950
Theexpectedreturnsofeachofthe100securitiesmustbecalculated.Inaddition,the100variancesaroundthesereturnsmustbecalculated.
16.Assumethatstockmarketreturnsdonotresembleasingle-indexstructure.Aninvestmentfundanalyzes100stocksinordertoconstructamean-varianceefficientportfolioconstrainedby100investments.Theywillneedtocalculatecovariances.
A)45
B)100
C)4,950
D)10,000
(n2-n)/2=(10,000-100)/2=4,950covariancesmustbecalculated.
17.Assumethatstockmarketreturnsdofollowasingle-indexstructure.Aninvestmentfundanalyzes200stocksinordertoconstructamean-varianceefficientportfolioconstrainedby200investments.Theywillneedtocalculateestimatesofexpectedreturnsandestimatesofsensitivitycoefficientstothemacroeconomicfactor.
A)200;
19,900
B)200;
200
C)19,900;
D)19,900;
19.900
Forasingle-indexmodel,n(200),expectedreturnsandn(200)sensitivitycoefficientstothemacroeconomicfactormustbeestimated.
18.Assumethatstockmarketreturnsdofollowasingle-indexstructure.Aninvestmentfundanalyzes500stocksinordertoconstructamean-varianceefficientportfolioconstrainedby500investments.Theywillneedtocalculateestimatesoffirm-specificvariancesandestimatesforthevarianceofthemacroeconomicfactor.
A)500;
1
B)500;
500
C)124,750;
D)124,750;
E)250,000;
Forthesingle-indexmodel,n(500)estimatesoffirm-specificvariancesmustbecalculatedand1estimateforthevarianceofthecommonmacroeconomicfactor.
19.Considerthesingle-indexmodel.Thealphaofastockis0%.Thereturnonthemarketindexis16%.Therisk-freerateofreturnis5%.Thestockearnsareturnthatexceedstherisk-freerateby11%andtherearenofirm-specificeventsaffectingthestockperformance.Theβofthestockis.
A)0.67
B)0.75
C)1.0
D)1.33
E)1.50
ModerateRationale:
11%=0%+b(11%);
b=1.0.
20.Supposeyouheldawell-diversifiedportfoliowithaverylargenumberofsecurities,andthatthesingleindexmodelholds.Iftheó
ofyourportfoliowas0.20andó
Mwas0.16,theβoftheportfoliowouldbeapproximately.
A)0.64
B)0.80
C)1.25
D)1.56
Difficult
s2p/s2m=b2;
(0.2)2/(0.16)2=1.56;
b=1.25.
21.Supposethefollowingequationbestdescribestheevolutionofβovertime:
βt=0.25+0.75βt-1
Ifastockhadaβof0.6lastyear,youwouldforecasttheβtobeinthecomingyear.
A)0.45
B)0.60
C)0.70
D)0.75
EasyRationale:
0.25+0.75(0.6)=0.70.
22.MerrillLynchestimatestheindexmodelforastockusingregressionanalysisinvolvingtotalreturns.Theyestimatedtheinterceptintheregressionequationat6%andtheβat0.5.Therisk-freerateofreturnis12%.Thetrueβofthestockis
A)0%
B)3%
C)6%
D)9%
DifficultRationale:
6%=a+12%(1-0.5);
a=0%.
23.TheindexmodelforstockAhasbeenestimatedwiththefollowingresult:
RA=0.01+0.9RM+eA
IfσM=0.25andR2A=0.25,thestandarddeviationofreturnofstockAis.A)0.2025
B)0.2500
C)0.4500
D)0.8100
R2=b2s2M/s2;
0.25=[(0.81)(0.25)2]/s2;
s=0.4500.
24.TheindexmodelforstockBhasbeenestimatedwiththefollowingresult:
RB=0.01+1.1RM+eB
IfσM=0.20andR2B=0.50,thestandarddeviationofthereturnonstockBis
.A)0.1111
B)0.2111
C)0.3111
D)0.4111
0.5=[(1.1)2(0.2)2]/s2;
s=0.3111.
25.Supposeyouforecastthatthemarketindexwillearnareturnof15%inthecomingyear.Treasurybillsareyielding6%.TheunadjustedβofMobilstockis1.30.AreasonableforecastofthereturnonMobilstockforthecomingyearisifyouuseMerrillLynchadjustedbetas.
A)15.0%
B)15.5%
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