09 投资学 第七版.docx

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%-