完整word版投资学第7版Test Bank答案08.docx
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完整word版投资学第7版TestBank答案08
MultipleChoiceQuestions
1.Asdiversificationincreases,thetotalvarianceofaportfolioapproaches____________.
A)0
B)1
C)thevarianceofthemarketportfolio
D)infinity
E)noneoftheabove
Answer:
CDifficulty:
Easy
Rationale:
Asmoreandmoresecuritiesareaddedtotheportfolio,unsystematicriskdecreasesandmostoftheremainingriskissystematic,asmeasuredbythevarianceofthemarketportfolio.
2.Theindexmodelwasfirstsuggestedby____________.
A)Graham
B)Markowitz
C)Miller
D)Sharpe
E)noneoftheabove
Answer:
DDifficulty:
Easy
Rationale:
WilliamSharpe,buildingontheworkofHarryMarkowitz,developedtheindexmodel.
3.Asingle-indexmodeluses__________asaproxyforthesystematicriskfactor.
A)amarketindex,suchastheS&P500
B)thecurrentaccountdeficit
C)thegrowthrateinGNP
D)theunemploymentrate
E)noneoftheabove
Answer:
ADifficulty:
Easy
Rationale:
Thesingle-indexmodelusesamarketindex,suchastheS&P500,asaproxyforthemarket,andthusforsystematicrisk.
4.TheSecurityRiskEvaluationbookpublishedbyMerrillLynchreliesonthe__________mostrecentmonthlyobservationstocalculateregressionparameters.
A)12
B)36
C)60
D)120
E)noneoftheabove
Answer:
CDifficulty:
Easy
Rationale:
Mostpublishedbetasandotherregressionparameters,includingthosepublishedbyMerrillLynch,arebasedonfiveyearsofmonthlyreturndata.
5.TheSecurityRiskEvaluationbookpublishedbyMerrillLynchusesthe__________asaproxyforthemarketportfolio.
A)DowJonesIndustrialAverage
B)DowJonesTransportationAverage
C)S&P500Index
D)Wilshire5000
E)noneoftheabove
Answer:
CDifficulty:
Easy
Rationale:
TheMerrillLynchdata(andmuchoftheotherpublisheddatasets)arebasedontheS&P500indexasamarketproxy.
6.Accordingtotheindexmodel,covariancesamongsecuritypairsare
A)duetotheinfluenceofasinglecommonfactorrepresentedbythemarketindexreturn
B)extremelydifficulttocalculate
C)relatedtoindustry-specificevents
D)usuallypositive
E)AandD
Answer:
EDifficulty:
Easy
Rationale:
Mostsecuritiesmovetogethermostofthetime,andmovewithamarketindex,ormarketproxy.
7.TheinterceptcalculatedbyMerrillLynchintheregressionequationsisequalto
A)αintheCAPM
B)α+rf(1+β)
C)α+rf(1-β)
D)1-α
E)noneoftheabove
Answer:
CDifficulty:
Moderate
Rationale:
TheinterceptthatMerrillLynchcallsalphaisreally,usingtheparametersoftheCAPM,anestimateofa+rf(1-b).Theapparentjustificationforthisprocedureisthat,onamonthlybasis,rf(1-b)issmallandisapttobeswampedbythevolatilityofactualstockreturns.
8.Analystsmayuseregressionanalysistoestimatetheindexmodelforastock.Whendoingso,theslopeoftheregressionlineisanestimateof______________.
A)theαoftheasset
B)theβoftheasset
C)theσoftheasset
D)theδoftheasset
E)noneoftheabove
Answer:
BDifficulty:
Moderate
Rationale:
Theslopeoftheregressionline,b,measuresthevolatilityofthestockversusthevolatilityofthemarket.
9.Inafactormodel,thereturnonastockinaparticularperiodwillberelatedto_________.
A)firm-specificevents
B)macroeconomicevents
C)theerrorterm
D)bothAandB
E)neitherAnorB
Answer:
DDifficulty:
Moderate
Rationale:
Thereturnonastockisrelatedtobothfirm-specificandmacroeconomicevents.
10.RosenbergandGuyfoundthat__________helpedtopredictafirm'sbeta.
A)thefirm'sfinancialcharacteristics
B)thefirm'sindustrygroup
C)firmsize
D)bothAandB
E)A,BandCallhelpedtopredictbetas.
Answer:
EDifficulty:
Moderate
Rationale:
RosenbergandGuyfoundthataftercontrollingforthefirm'sfinancialcharacteristics,thefirm'sindustrygroupwasasignificantpredictorofthefirm'sbeta.
11.Iftheindexmodelisvalid,_________wouldbehelpfulindeterminingthecovariancebetweenassetsKandL.
A)βk
B)βL
C)σM
D)alloftheabove
E)noneoftheabove
Answer:
DDifficulty:
Moderate
Rationale:
IftheindexmodelisvalidA,B,andCaredeterminantsofthecovariancebetweenKandL.
12.RosenbergandGuyfoundthat___________helpedtopredictfirms'betas.
A)debt/assetratios
B)marketcapitalization
C)varianceofearnings
D)alloftheabove
E)noneoftheabove
Answer:
DDifficulty:
Moderate
Rationale:
RosenbergandGuyfoundthatA,B,andCweredeterminantsoffirms'betas.
13.Ifafirm'sbetawascalculatedas0.6inaregressionequation,MerrillLynchwouldstatetheadjustedbetaatanumber
A)lessthan0.6butgreaterthanzero.
B)b