09 投资学 第七版.docx
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09 投资学 第七版.docx
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09投资学第七版
MultipleChoiceQuestions
B1.InthecontextoftheCapitalAssetPricingModel(CAPM)therelevantmeasureofriskis
A)uniquerisk.
B)beta.
C)standarddeviationofreturns.
D)varianceofreturns.
E)noneoftheabove.
Rationale:
Once,aportfolioisdiversified,theonlyriskremainingissystematicrisk,whichismeasuredbybeta.
A2.AccordingtotheCapitalAssetPricingModel(CAPM)awelldiversifiedportfolio'srateofreturnisafunctionof
A)marketrisk
B)unsystematicrisk
C)uniquerisk.
D)reinvestmentrisk.
E)noneoftheabove.
Rationale:
Withadiversifiedportfolio,theonlyriskremainingismarket,orsystematic,risk.ThisistheonlyriskthatinfluencesreturnaccordingtotheCAPM.
B3.Themarketportfoliohasabetaof
A)0.
B)1.
C)-1.
D)0.5.
E)noneoftheabove
Rationale:
Bydefinition,thebetaofthemarketportfoliois1.
D4.Therisk-freerateandtheexpectedmarketrateofreturnare0.06and0.12,respectively.Accordingtothecapitalassetpricingmodel(CAPM),theexpectedrateofreturnonsecurityXwithabetaof1.2isequalto
A)0.06.
B)0.144.
C)0.12.
D)0.132
E)0.18
Rationale:
E(R)=6%+1.2(12-6)=13.2%.
A5.Therisk-freerateandtheexpectedmarketrateofreturnare0.056and0.125,respectively.Accordingtothecapitalassetpricingmodel(CAPM),theexpectedrateofreturnonasecuritywithabetaof1.25isequalto
A)0.1225
B)0.144.
C)0.153.
D)0.134
E)0.117
Rationale:
E(R)=5.6%+1.25(12.5-5.6)=14.225%.
D6.Whichstatementisnottrueregardingthemarketportfolio?
A)Itincludesallpubliclytradedfinancialassets.
B)Itliesontheefficientfrontier.
C)Allsecuritiesinthemarketportfolioareheldinproportiontotheirmarketvalues.
D)Itisthetangencypointbetweenthecapitalmarketlineandtheindifferencecurve.
E)Alloftheabovearetrue.
Rationale:
Thetangencypointbetweenthecapitalmarketlineandtheindifferencecurveistheoptimalportfolioforaparticularinvestor.
C7.WhichstatementisnottrueregardingtheCapitalMarketLine(CML)?
A)TheCMListhelinefromtherisk-freeratethroughthemarketportfolio.
B)TheCMListhebestattainablecapitalallocationline.
C)TheCMLisalsocalledthesecuritymarketline.
D)TheCMLalwayshasapositiveslope.
E)TheriskmeasurefortheCMLisstandarddeviation.
Rationale:
BoththeCapitalMarketLineandtheSecurityMarketLinedepictrisk/returnrelationships.However,theriskmeasurefortheCMLisstandarddeviationandtheriskmeasurefortheSMLisbeta(thusCisnottrue;theotherstatementsaretrue).
A8.Themarketrisk,beta,ofasecurityisequalto
A)thecovariancebetweenthesecurity'sreturnandthemarketreturndividedbythevarianceofthemarket'sreturns.
B)thecovariancebetweenthesecurityandmarketreturnsdividedbythestandarddeviationofthemarket'sreturns.
C)thevarianceofthesecurity'sreturnsdividedbythecovariancebetweenthesecurityandmarketreturns.
D)thevarianceofthesecurity'sreturnsdividedbythevarianceofthemarket'sreturns.
E)noneoftheabove.
Rationale:
Betaisameasureofhowasecurity'sreturncovarieswiththemarketreturns,normalizedbythemarketvariance.
B9.AccordingtotheCapitalAssetPricingModel(CAPM),theexpectedrateofreturnonanysecurityisequalto
A)Rf+β[E(RM)].
B)Rf+β[E(RM)-Rf].
C)β[E(RM)-Rf].
D)E(RM)+Rf.
E)noneoftheabove.
Rationale:
Theexpectedrateofreturnonanysecurityisequaltotheriskfreerateplusthesystematicriskofthesecurity(beta)timesthemarketriskpremium,E(RM-Rf).
D10.TheSecurityMarketLine(SML)is
A)thelinethatdescribestheexpectedreturn-betarelationshipforwell-diversifiedportfoliosonly.
B)alsocalledtheCapitalAllocationLine.
C)thelinethatistangenttotheefficientfrontierofallriskyassets.
D)thelinethatrepresentstheexpectedreturn-betarelationship.
E)thelinethatrepresentstherelationshipbetweenanindividualsecurity'sreturnandthemarket'sreturn.
Rationale:
TheSMLisameasureofexpectedreturnperunitofrisk,whereriskisdefinedasbeta(systematicrisk).
B11.AccordingtotheCapitalAssetPricingModel(CAPM),fairlypricedsecurities
A)havepositivebetas.
B)havezeroalphas.
C)havenegativebetas.
D)havepositivealphas.
E)noneoftheabove.
Rationale:
Azeroalpharesultswhenthesecurityisinequilibrium(fairlypricedforthelevelofrisk).
D12.AccordingtotheCapitalAssetPricingModel(CAPM),underpricedsecurities
A)havepositivebetas.
B)havezeroalphas.
C)havenegativebetas.
D)havepositivealphas.
E)noneoftheabove.
C13.AccordingtotheCapitalAssetPricingModel(CAPM),overpricedsecurities
A)havepositivebetas.
B)havezeroalphas.
C)havenegativebetas.
D)havepositivealphas.
E)noneoftheabove.
Rationale:
Azeroalpharesultswhenthesecurityisinequilibrium(fairlypricedforthelevelofrisk).
D14.AccordingtotheCapitalAssetPricingModel(CAPM),
A)asecuritywithapositivealphaisconsideredoverpriced.
B)asecuritywithazeroalphaisconsideredtobeagoodbuy.
C)asecuritywithanegativealphaisconsideredtobeagoodbuy.
D)asecuritywithapositivealphaisconsideredtobeunderpriced.
E)noneoftheabove.
Rationale:
Asecuritywithapositivealphaisonethatisexpectedtoyieldanabnormalpositiverateofreturn,basedontheperceivedriskofthesecurity,andthusisunderpriced.
A15.AccordingtotheCapitalAssetPricingModel(CAPM),whichoneofthefollowingstatementsisfalse?
A)Theexpectedrateofreturnonasecuritydecreasesindirectproportiontoadecreaseintherisk-freerate.
B)Theexpectedrateofreturnonasecurityincreasesasitsbetaincreases.
C)Afairlypricedsecurityhasanalphaofzero.
D)Inequilibrium,allsecuritieslieonthesecuritymarketline.
E)Alloftheabovestatementsaretrue.
C16.Inawelldiversifiedportfolio
A)marketriskisnegligible.
B)systematicriskisnegligible.
C)unsystematicriskisnegligible.
D)nondiversifiableriskisnegligible.
E)noneoftheabove.
Rationale:
Market,orsystematic,ornondiversifiable,riskispresentinadiversifiedportfolio;theunsystematicriskhasbeeneliminated.
D17.Empiricalresultsregardingbetasestimatedfromhistoricaldataindicatethat
A)betasareconstantovertime.
B)betasofallsecuritiesarealwaysgreaterthanone.
C)betasarealwaysnearzero.
D)betasappeartoregresstowardoneovertime.
E)betasarealwayspositive.
Rationale:
Betasvaryovertime,betasmaybenegativeorlessthanone,betasarenotalwaysnearzero;however,betasdoappeartoregresstowardoneovertime.
C18.Yourpersonalopinionisthatasecurityhasanexpectedrateofreturnof0.11.Ithasabetaof1.5.Therisk-freerateis0.05andthemarketexpectedrateofreturnis0.09.AccordingtotheCapitalAssetPricingModel,thissecurityis
A)underpriced.
B)overpriced.
C)fairlypriced.
D)cannotbedeterminedfromdataprovided.
E)noneoftheabove.
Rationale:
11%=5%+1.5(9%-5%)=11.0%;therefore,thesecurityisfairlypriced.
B19.Therisk-freerateis7percent.Theexpectedmarketrateofreturnis15percent.Ifyouexpectastockwithabetaof1.3toofferarateofreturnof12percent,youshould
A)buythestockbecauseitisoverpriced.
B)sellshortthestockbecauseitisoverpriced.
C)sellthestockshortbecauseitisunderpriced.
D)buythestockbecauseitisunderpriced.
E)noneoftheabove,asthestockisfairlypriced.
Rationale:
12%<7%+1.3(15%-7%)=17.40%;therefore,stockisoverpricedandshouldbeshorted.
D20.Youinvest$600inasecuritywithabetaof1.2and$400inanothersecuritywithabetaof0.90.Thebetaoftheresultingportfoliois
A)1.40
B)1.00
C)0.36
D)1.08
E)0.80
Rationale:
0.6(1.2)+0.4(0.90)=1.08.
A21.Asecurityhasanexpectedrateofreturnof0.10andabetaof1.1.Themarketexpectedrateofreturnis0.08andtherisk-freerateis0.05.Thealphaofthestockis
A)1.7%.
B)-1.7%.
C)8.3%.
D)5.5%.
E)noneoftheabove.
Rationale:
10%-[5%+1.1(8%-5%)]=1.7%.
B22.YouropinionisthatCSCOhasanexpectedrateofreturnof0.13.Ithasabetaof1.3.Therisk-freerateis0.04andthemarketexpectedrateofreturnis0.115.AccordingtotheCapitalAssetPricingModel,thissecurityis
A)underpriced.
B)overpriced.
C)fairlypriced.
D)cannotbedeterminedfromdataprovided.
E)noneoftheabove.
Rationale:
11.5%-4%+1.3(11.5%-4%)=-2.25%;therefore,thesecurityisoverpriced.
C23.YouropinionisthatCSCOhasanexpectedrateofreturnof0.1375.Ithasabetaof1.3.Therisk-freerateis0.04andthemarketexpectedrateofreturnis0.115.AccordingtotheCapitalAssetPricingModel,thissecurityis
A)underpriced.
B)overpriced.
C)fairlypriced.
D)cannotbedeterminedfromdataprovided.
E)noneoftheabove.
Rationale:
13.75%-4%+1.3(11.5%-4%)=0.0%;therefore,thesecurityisfairlypriced.
A24.YouropinionisthatCSCOhasanexpectedrateofreturnof0.15.Ithasabetaof1.3.Therisk-freerateis0.04andthemarketexpectedrateofreturnis0.115.AccordingtotheCapitalAssetPricingModel,thissecurityis
A)underpriced.
B)overpriced.
C)fairlypriced.
D)cannotbedeterminedfromdataprovided.
E)noneoftheabove.
Rationale:
15%-
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