投资学第7版TestBank答案09Word文档格式.docx
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投资学第7版TestBank答案09Word文档格式.docx
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A)marketrisk
B)unsystematicrisk
C)uniquerisk.
D)reinvestmentrisk.
ADifficulty:
Withadiversifiedportfolio,theonlyriskremainingismarket,orsystematic,risk.ThisistheonlyriskthatinfluencesreturnaccordingtotheCAPM.
3.Themarketportfoliohasabetaof
A)0.
B)1.
C)-1.
D).
E)noneoftheabove
Bydefinition,thebetaofthemarketportfoliois1.
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4.Therisk-freerateandtheexpectedmarketrateofreturnareand‘respectively.Accordingtothecapitalassetpricingmodel(CAPM),theexpectedrateofreturnonsecurityXwithabetaofisequalto
A).
B).
C).
D)
E)
DDifficulty:
Rationale:
E(R)=6%+(12-6)=%.
5.Therisk-freerateandtheexpectedmarketrateofreturnareand,respectively.Accordingtothecapitalassetpricingmodel(CAPM),theexpectedrateofreturnonasecuritywithabetaofisequalto
A)
Rationale:
E(R)=%+-=%.
6.Whichstatementisnottrueregardingthemarketportfolio?
A)Itincludesallpubliclytradedfinancialassets.
B)Itliesontheefficientfrontier.
C)Allsecuritiesinthemarketportfolioareheldinproportiontotheirmarketvalues.
D)Itisthetangencypointbetweenthecapitalmarketlineandtheindifferencecurve.
E)Alloftheabovearetrue.
Moderate
Thetangencypointbetweenthecapitalmarketlineandtheindifferencecurveistheoptimalportfolioforaparticularinvestor.
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7.WhichstatementisnottrueregardingtheCapitalMarketLine(CML)?
A)TheCMListhelinefromtherisk-freeratethroughthemarketportfolio.
B)TheCMListhebestattainablecapitalallocationline.
C)TheCMLisalsocalledthesecuritymarketline.
D)TheCMLalwayshasapositiveslope.
E)TheriskmeasurefortheCMLisstandarddeviation
CDifficulty:
BoththeCapitalMarketLineandtheSecurityMarketLinedepictrisk/returnrelationships.However,theriskmeasurefortheCMLisstandarddeviationandtheriskmeasurefortheSMLisbeta(thusCisnottrue;
theotherstatementsaretrue).
8.Themarketrisk,beta,ofasecurityisequalto
A)thecovarianeebetweenthesecurity'
sreturnandthemarketreturndividedbythevarianeeofthemarket'
sreturns.
B)thecovarianeebetweenthesecurityandmarketreturnsdividedbythestandarddeviationofthemarket'
C)thevarianeeofthesecurity'
sreturnsdividedbythecovarianeebetweenthesecurityandmarketreturns.
D)thevarianeeofthesecurity'
sreturnsdividedbythevarianeeofthemarket'
Betaisameasureofhowasecurity'
sreturncovarieswiththemarketreturns,normalizedbythemarketvarianee.
9.AccordingtotheCapitalAssetPricingModel(CAPM),theexpectedrateofreturnonanysecurityisequalto
A)Rf+P[E(M)].
B)Rf+P[E(Rm)-Rf].
C)B[E(rm)-Rf].
D)E(Rm)+Rf.
Theexpectedrateofreturnonanysecurityisequaltotheriskfreerateplusthesystematicriskofthesecurity(beta)timesthemarketriskpremium,E(R-Rf).
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10.TheSecurityMarketLine(SML)is
A)thelinethatdescribestheexpectedreturn-betarelationshipforwell-diversifiedportfoliosonly.
B)alsocalledtheCapitalAllocationLine.
C)thelinethatistangenttotheefficientfrontierofallriskyassets.
D)thelinethatrepresentstheexpectedreturn-betarelationship.
E)thelinethatrepresentstherelationshipbetweenanindividualsecurity'
sreturnandthemarket'
sreturn.
TheSMLisameasureofexpectedreturnperunitofrisk,whereriskisdefinedasbeta(systematicrisk).
11.AccordingtotheCapitalAssetPricingModel(CAPM),fairlypricedsecurities
A)havepositivebetas.
B)havezeroalphas.
C)havenegativebetas.
D)havepositivealphas.
Azeroalpharesultswhenthesecurityisinequilibrium(fairlypricedforthelevelofrisk).
12.AccordingtotheCapitalAssetPricingModel(CAPM),underpricedsecurities
13.AccordingtotheCapitalAssetPricingModel(CAPM),overpricedsecurities
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14.AccordingtotheCapitalAssetPricingModel(CAPM),
A)asecuritywithapositivealphaisconsideredoverpriced.
B)asecuritywithazeroalphaisconsideredtobeagoodbuy.
C)asecuritywithanegativealphaisconsideredtobeagoodbuy.
D)asecuritywithapositivealphaisconsideredtobeunderpriced.
Asecuritywithapositivealphaisonethatisexpectedtoyieldanabnormalpositiverateofreturn,basedontheperceivedriskofthesecurity,andthusisunderpriced.
15.AccordingtotheCapitalAssetPricingModel(CAPM),whichoneofthefollowingstatementsisfalse?
A)Theexpectedrateofreturnonasecuritydecreasesindirectproportiontoadecreaseintherisk-freerate.
B)Theexpectedrateofreturnonasecurityincreasesasitsbetaincreases.
C)Afairlypricedsecurityhasanalphaofzero.
D)Inequilibrium,allsecuritieslieonthesecuritymarketline.
E)Alloftheabovestatementsaretrue.
StatementsB,C,andDaretrue,butstatementAisfalse.
16.Inawelldiversifiedportfolio
A)marketriskisnegligible.
B)systematicriskisnegligible.
C)unsystematicriskisnegligible.
D)nondiversifiableriskisnegligible.
Market,orsystematic,ornondiversifiable,riskispresentinadiversifiedportfolio;
theunsystematicriskhasbeeneliminated.
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17.Empiricalresultsregardingbetasestimatedfromhistoricaldataindicatethat
A)betasareconstantovertime.
B)betasofallsecuritiesarealwaysgreaterthanone.
C)betasarealwaysnearzero.
D)betasappeartoregresstowardoneovertime.
E)betasarealwayspositive.
Betasvaryovertime,betasmaybenegativeorlessthanone,betasarenotalwaysnearzero;
however,betasdoappeartoregresstowardoneovertime.
18.Yourpersonalopinionisthatasecurityhasanexpectedrateofreturnof.Ithasabetaof.Therisk-freerateisandthemarketexpectedrateofreturnis.AccordingtotheCapitalAssetPricingModel,thissecurityis
A)underpriced.
B)overpriced.
C)fairlypriced.
D)cannotbedeterminedfromdataprovided.
11%=5%+(9%-5%)=%;
therefore,thesecurityisfairlypriced.
19.Therisk-freerateis7percent.Theexpectedmarketrateofreturnis15percent.Ifyouexpectastockwithabetaoftoofferarateofreturnof12percent,youshould
A)buythestockbecauseitisoverpriced.
B)sellshortthestockbecauseitisoverpriced.
C)sellthestockshortbecauseitisunderpriced.
D)buythestockbecauseitisunderpriced.
E)noneoftheabove,asthestockisfairlypriced.
12%<
7%+(15%-7%)=%;
therefore,stockisoverpricedandshouldbeshorted.
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20.Youinvest$600inasecuritywithabetaofand$400inanothersecuritywithabetaof.Thebetaoftheresultingportfoliois
B)
C)
+=.
21.Asecurityhasanexpectedrateofreturnofandabetaof.Themarketexpectedrateofreturnisandtherisk-freerateis.Thealphaofthestockis
A)%.
B)%.
C)%.
D)%.
10%-[5%+(8%-5%)]=%.
22.YouropinionisthatCSCOhasanexpectedrateofreturnof.Ithasabetaof.Therisk-freerateisandthemarketexpectedrateofreturnis.AccordingtotheCapitalAssetPricingModel,thissecurityis
%-4%+%-4%)=%;
therefore,thesecurityisoverpriced.
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23.YouropinionisthatCSCOhasanexpectedrateofreturnof.Ithasabetaof.Therisk-freerateisandthemarketexpectedrateofreturnis.AccordingtotheCapitalAssetPricingModel,thissecurityis
24.YouropinionisthatCSCOhasanexpectedrateofreturnof.Ithasabetaof.Therisk-freerateisandthemarketexpectedrateofreturnis.AccordingtotheCapitalAssetPricingMode
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- 投资 TestBank 答案 09