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P500,asaproxyforthemarket,andthusforsystematicrisk.C4.TheSecurityRiskEvaluationbookpublishedbyMerrillLynchreliesonthe_mostrecentmonthlyobservationstocalculateregressionparameters.A）12B）36C）60D）120E）noneoftheaboveRationale:
Mostpublishedbetasandotherregressionparameters,includingthosepublishedbyMerrillLynch,arebasedonfiveyearsofmonthlyreturndata.C5.TheSecurityRiskEvaluationbookpublishedbyMerrillLynchusesthe_asaproxyforthemarketportfolio.A）DowJonesIndustrialAverageB）DowJonesTransportationAverageC）S&
P500IndexD）Wilshire5000E）noneoftheaboveRationale:
TheMerrillLynchdata（andmuchoftheotherpublisheddatasets）arebasedontheS&
P500indexasamarketproxy.E6.Accordingtotheindexmodel,covariancesamongsecuritypairsareA）duetotheinfluenceofasinglecommonfactorrepresentedbythemarketindexreturnB）extremelydifficulttocalculateC）relatedtoindustry-specificeventsD）usuallypositiveE）AandDRationale:
Mostsecuritiesmovetogethermostofthetime,andmovewithamarketindex,ormarketproxy.C7.TheinterceptcalculatedbyMerrillLynchintheregressionequationsisequaltoA）intheCAPMB）+rf（1+）C）+rf（1-）D）1-E）noneoftheaboveRationale:
TheinterceptthatMerrillLynchcallsalphaisreally,usingtheparametersoftheCAPM,anestimateofa+rf（1-b）.Theapparentjustificationforthisprocedureisthat,onamonthlybasis,rf（1-b）issmallandisapttobeswampedbythevolatilityofactualstockreturns.B8.Analystsmayuseregressionanalysistoestimatetheindexmodelforastock.Whendoingso,theslopeoftheregressionlineisanestimateof_.A）theoftheassetB）theoftheassetC）theoftheassetD）theoftheassetE）noneoftheaboveRationale:
Theslopeoftheregressionline,b,measuresthevolatilityofthestockversusthevolatilityofthemarket.D9.Inafactormodel,thereturnonastockinaparticularperiodwillberelatedto_.A）firm-specificeventsB）macroeconomiceventsC）theerrortermD）bothAandBE）neitherAnorBRationale:
Thereturnonastockisrelatedtobothfirm-specificandmacroeconomicevents.E10.RosenbergandGuyfoundthat_helpedtopredictafirmsbeta.A）thefirmsfinancialcharacteristicsB）thefirmsindustrygroupC）firmsizeD）bothAandBE）A,BandCallhelpedtopredictbetas.Rationale:
RosenbergandGuyfoundthataftercontrollingforthefirmsfinancialcharacteristics,thefirmsindustrygroupwasasignificantpredictorofthefirmsbeta.D11.Iftheindexmodelisvalid,_wouldbehelpfulindeterminingthecovariancebetweenassetsKandL.A）kB）LC）MD）alloftheaboveE）noneoftheaboveRationale:
IftheindexmodelisvalidA,B,andCaredeterminantsofthecovariancebetweenKandL.D12.RosenbergandGuyfoundthat_helpedtopredictfirmsbetas.A）debt/assetratiosB）marketcapitalizationC）varianceofearningsD）alloftheaboveE）noneoftheaboveRationale:
RosenbergandGuyfoundthatA,B,andCweredeterminantsoffirmsbetas.B13.Ifafirmsbetawascalculatedas0.6inaregressionequation,MerrillLynchwouldstatetheadjustedbetaatanumberA）lessthan0.6butgreaterthanzero.B）between0.6and1.0.C）between1.0and1.6.D）greaterthan1.6.E）zeroorless.Rationale:
Betas,onaverage,equalone;
thus,betasovertimeregresstowardthemean,or1.Therefore,ifhistoricbetasarelessthan1,adjustedbetasarebetween1andthecalculatedbeta.C14.ThebetaofExxonstockhasbeenestimatedas1.2byMerrillLynchusingregressionanalysisonasampleofhistoricalreturns.TheMerrillLynchadjustedbetaofExxonstockwouldbe_.A）1.20B）1.32C）1.13D）1.0E）noneoftheaboveRationale:
Adjustedbeta=2/3samplebeta+1/3
（1）;
=2/3（1.2）+1/3=1.13.A15.Assumethatstockmarketreturnsdonotresembleasingle-indexstructure.Aninvestmentfundanalyzes100stocksinordertoconstructamean-varianceefficientportfolioconstrainedby100investments.Theywillneedtocalculate_expectedreturnsand_variancesofreturns.A）100,100B）100,4950C）4950,100D）4950,4950E）noneoftheaboveRationale:
Theexpectedreturnsofeachofthe100securitiesmustbecalculated.Inaddition,the100variancesaroundthesereturnsmustbecalculated.C16.Assumethatstockmarketreturnsdonotresembleasingle-indexstructure.Aninvestmentfundanalyzes100stocksinordertoconstructamean-varianceefficientportfolioconstrainedby100investments.Theywillneedtocalculate_covariances.A）45B）100C）4,950D）10,000E）noneoftheaboveRationale:
（n2-n）/2=（10,000-100）/2=4,950covariancesmustbecalculated.B17.Assumethatstockmarketreturnsdofollowasingle-indexstructure.Aninvestmentfundanalyzes200stocksinordertoconstructamean-varianceefficientportfolioconstrainedby200investments.Theywillneedtocalculate_estimatesofexpectedreturnsand_estimatesofsensitivitycoefficientstothemacroeconomicfactor.A）200;
19,900B）200;
200C）19,900;
200D）19,900;
19.900E）noneoftheaboveRationale:
Forasingle-indexmodel,n（200）,expectedreturnsandn（200）sensitivitycoefficientstothemacroeconomicfactormustbeestimated.A18.Assumethatstockmarketreturnsdofollowasingle-indexstructure.Aninvestmentfundanalyzes500stocksinordertoconstructamean-varianceefficientportfolioconstrainedby500investments.Theywillneedtocalculate_estimatesoffirm-specificvariancesand_estimatesforthevarianceofthemacroeconomicfactor.A）500;
1B）500;
500C）124,750;
1D）124,750;
500E）250,000;
500Rationale:
Forthesingle-indexmodel,n（500）estimatesoffirm-specificvariancesmustbecalculatedand1estimateforthevarianceofthecommonmacroeconomicfactor.C19.Considerthesingle-indexmodel.Thealphaofastockis0%.Thereturnonthemarketindexis16%.Therisk-freerateofreturnis5%.Thestockearnsareturnthatexceedstherisk-freerateby11%andtherearenofirm-specificeventsaffectingthestockperformance.Theofthestockis_.A）0.67B）0.75C）1.0D）1.33E）1.50Rationale:
11%=0%+b（11%）;
b=1.0.C20.Supposeyouheldawell-diversifiedportfoliowithaverylargenumberofsecurities,andthatthesingleindexmodelholds.Iftheofyourportfoliowas0.20andMwas0.16,theoftheportfoliowouldbeapproximately_.A）0.64B）0.80C）1.25D）1.56E）noneoftheaboveRationale:
s2p/s2m=b2;
（0.2）2/（0.16）2=1.56;
b=1.25.C21.Supposethefollowingequationbestdescribestheevolutionofovertime:
t=0.25+0.75t-1Ifastockhadaof0.6lastyear,youwouldforecastthetobe_inthecomingyear.A）0.45B）0.60C）0.70D）0.75E）noneoftheaboveRationale:
0.25+0.75（0.6）=0.70.A22.MerrillLynchestimatestheindexmodelforastockusingregressionanalysisinvolvingtotalreturns.Theyestimatedtheinterceptintheregressionequationat6%andtheat0.5.Therisk-freerateofreturnis12%.Thetrueofthestockis_.A）0%B）3%C）6%D）9%E）noneoftheaboveRationale:
6%=a+12%（1-0.5）;
a=0%.C23.TheindexmodelforstockAhasbeenestimatedwiththefollowingresult:
RA=0.01+0.9RM+eAIfM=0.25andR2A=0.25,thestandarddeviationofreturnofstockAis_.A）0.2025B）0.2500C）0.4500D）0.8100E）noneoftheaboveRationale:
R2=b2s2M/s2;
0.25=（0.81）（0.25）2/s2;
s=0.4500.C24.TheindexmodelforstockBhasbeenestimatedwiththefollowingresult:
RB=0.01+1.1RM+eBIfM=0.20andR2B=0.50,thestandarddeviationofthereturnonstockBis_.A）0.1111B）0.2111C）0.3111D）0.4111E）noneoftheaboveRationale:
0.5=（1.1）2（0.2）2/s2;
s=0.3111.D25.Supposeyouforecastthatthemarketindexwillearnareturnof15%inthecomingyear.Treasurybillsareyielding6%.TheunadjustedofMobilstockis1.30.AreasonableforecastofthereturnonMobilstockforthecomingyearis_ifyouuseMerrillLynchadjustedbetas.A）15.0%B）15.5%C）16.0%D）16.8%E）noneoftheaboveRationale:
Adjustedbeta=2/3（1.3）+1/3=1.20;
E（rM）=6%+1.20（9%）=16.8%.B26.TheindexmodelhasbeenestimatedforstocksAandBwiththefollowingresults:
RA=0.01+0.5RM+eARB=0.02+1.3RM+eBM=0.25（eA）=0.20（eB）=0.10ThecovariancebetweenthereturnsonstocksAandBis_.A）0.0384B）0.0406C）0.1920D）0.0050E）0.4000Rationale:
Cov（RA,RB）=bAbBs2M=0.5（1.3）（0.25）2=0.0406.C27.TheindexmodelhasbeenestimatedforstocksAandBwiththefollowingresults:
RA=0.01+0.8RM+eARB=0.02+1.2RM+eBM=0.20（eA）=0.20（eB）=0.10ThestandarddeviationforstockAis_.A）0.0656B）0.0676C）0.2561D）0.2600E）noneoftheaboveRationale:
A=（0.8）2（0.2）2+（0.2）21/2=0.2561.B28.TheindexmodelhasbeenestimatedforstockAwiththefollowingresults:
RA=0.01+0.8RM+eAM=0.20（eA）=0.10ThestandarddeviationofthereturnforstockAis_.A）0.0356B）0.1886C）0.1600D）0.6400E）noneoftheaboveRationale:
B=（.8）2（0.2）2+（0.1）21/2=0.1886.E29.SecurityreturnsA）arebasedonbothmacroeventsandfirm-specificevents.B）arebasedonfirm-specificeventsonly.C）areusuallypositivelycorrelatedwitheachother.D）AandB.E）AandC.Rationale:
Stockreturnsareusuallyhighlypositivelycorrelatedwitheachother.Stockreturnsareaffectedbybothmacroeconomiceventsandfirm-specificevents.D30.
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