投资学第7版TestBank答案09Word格式文档下载.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)0.5.
E)noneoftheabove
Bydefinition,thebetaofthemarketportfoliois1.
4.Therisk-freerateandtheexpectedmarketrateofreturnare0.06and0.12,respectively.Accordingtothecapitalassetpricingmodel(CAPM),theexpectedrateofreturnonsecurityXwithabetaof1.2isequalto
A)0.06.
B)0.144.
C)0.12.
D)0.132
E)0.18
DDifficulty:
E(R)=6%+1.2(12-6)=13.2%.
5.Therisk-freerateandtheexpectedmarketrateofreturnare0.056and0.125,respectively.Accordingtothecapitalassetpricingmodel(CAPM),theexpectedrateofreturnonasecuritywithabetaof1.25isequalto
A)0.1225
C)0.153.
D)0.134
E)0.117
E(R)=5.6%+1.25(12.5-5.6)=14.225%.
6.Whichstatementisnottrueregardingthemarketportfolio?
A)Itincludesallpubliclytradedfinancialassets.
B)Itliesontheefficientfrontier.
C)Allsecuritiesinthemarketportfolioareheldinproportiontotheirmarketvalues.
D)Itisthetangencypointbetweenthecapitalmarketlineandtheindifferencecurve.
E)Alloftheabovearetrue.
Moderate
Thetangencypointbetweenthecapitalmarketlineandtheindifferencecurveistheoptimalportfolioforaparticularinvestor.
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)thecovariancebetweenthesecurity'
sreturnandthemarketreturndividedbythevarianceofthemarket'
sreturns.
B)thecovariancebetweenthesecurityandmarketreturnsdividedbythestandarddeviationofthemarket'
C)thevarianceofthesecurity'
sreturnsdividedbythecovariancebetweenthesecurityandmarketreturns.
D)thevarianceofthesecurity'
sreturnsdividedbythevarianceofthemarket'
Betaisameasureofhowasecurity'
sreturncovarieswiththemarketreturns,normalizedbythemarketvariance.
9.AccordingtotheCapitalAssetPricingModel(CAPM),theexpectedrateofreturnonanysecurityisequalto
A)Rf+β[E(RM)].
B)Rf+β[E(RM)-Rf].
C)β[E(RM)-Rf].
D)E(RM)+Rf.
Theexpectedrateofreturnonanysecurityisequaltotheriskfreerateplusthesystematicriskofthesecurity(beta)timesthemarketriskpremium,E(R
M-Rf).
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
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.
17.Empiricalresultsregardingbetasestimatedfromhistoricaldataindicatethat
A)betasareconstantovertime.
B)betasofallsecuritiesarealwaysgreaterthanone.
C)betasarealwaysnearzero.
D)betasappeartoregresstowardoneovertime.
E)betasarealwayspositive.
Betasvaryovertime,betasmaybenegativeorlessthanone,betasarenotalwaysnearzero;
however,betasdoappeartoregresstowardoneovertime.
18.Yourpersonalopinionisthatasecurityhasanexpectedrateofreturnof0.11.Ithasabetaof1.5.Therisk-freerateis0.05andthemarketexpectedrateofreturnis0.09.AccordingtotheCapitalAssetPricingModel,thissecurityis
A)underpriced.
B)overpriced.
C)fairlypriced.
D)cannotbedeterminedfromdataprovided.
11%=5%+1.5(9%-5%)=11.0%;
therefore,thesecurityisfairlypriced.
19.Therisk-freerateis7percent.Theexpectedmarketrateofreturnis15percent.Ifyouexpectastockwithabetaof1.3toofferarateofreturnof12percent,youshould
A)buythestockbecauseitisoverpriced.
B)sellshortthestockbecauseitisoverpriced.
C)sellthestockshortbecauseitisunderpriced.
D)buythestockbecauseitisunderpriced.
E)noneoftheabove,asthestockisfairlypriced.
12%<
7%+1.3(15%-7%)=17.40%;
therefore,stockisoverpricedandshouldbeshorted.
20.Youinvest$600inasecuritywithabetaof1.2and$400inanothersecuritywithabetaof0.90.Thebetaoftheresultingportfoliois
A)1.40
B)1.00
C)0.36
D)1.08
E)0.80
0.6(1.2)+0.4(0.90)=1.08.
21.Asecurityhasanexpectedrateofreturnof0.10andabetaof1.1.Themarketexpectedrateofreturnis0.08andtherisk-freerateis0.05.Thealphaofthestockis
A)1.7%.
B)-1.7%.
C)8.3%.
D)5.5%.
10%-[5%+1.1(8%-5%)]=1.7%.
22.YouropinionisthatCSCOhasanexpectedrateofreturnof0.13.Ithasabetaof1.3.Therisk-freerateis0.04andthemarketexpectedrateofreturnis0.115.AccordingtotheCapitalAssetPricingModel,thissecurityis
11.5%-4%+1.3(11.5%-4%)=-2.25%;
therefore,thesecurityisoverpriced.
23.YouropinionisthatCSCOhasanexpectedrateofreturnof0.1375.Ith