投资学第7版TestBank答案09Word格式文档下载.docx

1、 A） market risk B） unsystematic risk C） unique risk. D） reinvestment risk. A Difficulty: With a diversified portfolio, the only risk remaining is market, or systematic, risk. This is the only risk that influences return according to the CAPM. 3. The market portfolio has a beta of A） 0. B） 1. C） -1.

2、D） 0.5. E） none of the above By definition, the beta of the market portfolio is 1. 4. The risk-free rate and the expected market rate of return are 0.06 and 0.12, respectively. According to the capital asset pricing model （CAPM）, the expected rate of return on security X with a beta of 1.2 is equal

3、to A） 0.06. B） 0.144. C） 0.12. D） 0.132 E） 0.18 D Difficulty: E（R） = 6% + 1.2（12 - 6） = 13.2%. 5. The risk-free rate and the expected market rate of return are 0.056 and 0.125, respectively. According to the capital asset pricing model （CAPM）, the expected rate of return on a security with a beta of

4、 1.25 is equal to 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. Which statement is not true regarding the market portfolio? A） It includes all publicly traded financial assets. B） It lies on the efficient frontier. C） All securities in the market portfolio are he

5、ld in proportion to their market values. D） It is the tangency point between the capital market line and the indifference curve. E） All of the above are true. Moderate The tangency point between the capital market line and the indifference curve is the optimal portfolio for a particular investor. 7.

6、 Which statement is not true regarding the Capital Market Line （CML）? A） The CML is the line from the risk-free rate through the market portfolio. B） The CML is the best attainable capital allocation line. C） The CML is also called the security market line. D） The CML always has a positive slope. E）

7、 The risk measure for the CML is standard deviation. C Difficulty: Both the Capital Market Line and the Security Market Line depict risk/return relationships. However, the risk measure for the CML is standard deviation and the risk measure for the SML is beta （thus C is not true; the other statement

8、s are true）. 8. The market risk, beta, of a security is equal to A） the covariance between the securitys return and the market return divided by the variance of the markets returns. B） the covariance between the security and market returns divided by the standard deviation of the market C） the varia

9、nce of the securitys returns divided by the covariance between the security and market returns. D） the variance of the securitys returns divided by the variance of the market Beta is a measure of how a securitys return covaries with the market returns, normalized by the market variance. 9. According

10、 to the Capital Asset Pricing Model （CAPM）, the expected rate of return on any security is equal to A） Rf + E（RM）. B） Rf + E（RM） - Rf. C） E（RM） - Rf. D） E（RM） + Rf. The expected rate of return on any security is equal to the risk free rate plus the systematic risk of the security （beta） times the ma

11、rket risk premium, E（RM - Rf）. 10. The Security Market Line （SML） is A） the line that describes the expected return-beta relationship for well-diversified portfolios only. B） also called the Capital Allocation Line. C） the line that is tangent to the efficient frontier of all risky assets. D） the li

12、ne that represents the expected return-beta relationship. E） the line that represents the relationship between an individual securitys return and the markets return. The SML is a measure of expected return per unit of risk, where risk is defined as beta （systematic risk）. 11. According to the Capita

13、l Asset Pricing Model （CAPM）, fairly priced securities A） have positive betas. B） have zero alphas. C） have negative betas. D） have positive alphas. A zero alpha results when the security is in equilibrium （fairly priced for the level of risk）. 12. According to the Capital Asset Pricing Model （CAPM）

14、, under priced securities 13. According to the Capital Asset Pricing Model （CAPM）, over priced securities 14. According to the Capital Asset Pricing Model （CAPM）, A） a security with a positive alpha is considered overpriced. B） a security with a zero alpha is considered to be a good buy. C） a securi

15、ty with a negative alpha is considered to be a good buy. D） a security with a positive alpha is considered to be underpriced. A security with a positive alpha is one that is expected to yield an abnormal positive rate of return, based on the perceived risk of the security, and thus is underpriced. 1

16、5. According to the Capital Asset Pricing Model （CAPM）, which one of the following statements is false? A） The expected rate of return on a security decreases in direct proportion to a decrease in the risk-free rate. B） The expected rate of return on a security increases as its beta increases. C） A

17、fairly priced security has an alpha of zero. D） In equilibrium, all securities lie on the security market line. E） All of the above statements are true. Statements B, C, and D are true, but statement A is false. 16. In a well diversified portfolio A） market risk is negligible. B） systematic risk is

18、negligible. C） unsystematic risk is negligible. D） nondiversifiable risk is negligible. Market, or systematic, or nondiversifiable, risk is present in a diversified portfolio; the unsystematic risk has been eliminated. 17. Empirical results regarding betas estimated from historical data indicate tha

19、t A） betas are constant over time. B） betas of all securities are always greater than one. C） betas are always near zero. D） betas appear to regress toward one over time. E） betas are always positive. Betas vary over time, betas may be negative or less than one, betas are not always near zero; howev

20、er, betas do appear to regress toward one over time. 18. Your personal opinion is that a security has an expected rate of return of 0.11. It has a beta of 1.5. The risk-free rate is 0.05 and the market expected rate of return is 0.09. According to the Capital Asset Pricing Model, this security is A）

21、 underpriced. B） overpriced. C） fairly priced. D） cannot be determined from data provided. 11% = 5% + 1.5（9% - 5%） = 11.0%; therefore, the security is fairly priced. 19. The risk-free rate is 7 percent. The expected market rate of return is 15 percent. If you expect a stock with a beta of 1.3 to off

22、er a rate of return of 12 percent, you should A） buy the stock because it is overpriced. B） sell short the stock because it is overpriced. C） sell the stock short because it is underpriced. D） buy the stock because it is underpriced. E） none of the above, as the stock is fairly priced. 12% 7% + 1.3（

23、15% - 7%） = 17.40%; therefore, stock is overpriced and should be shorted. 20. You invest $600 in a security with a beta of 1.2 and $400 in another security with a beta of 0.90. The beta of the resulting portfolio is 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. A security

24、has an expected rate of return of 0.10 and a beta of 1.1. The market expected rate of return is 0.08 and the risk-free rate is 0.05. The alpha of the stock is A） 1.7%. B） -1.7%. C） 8.3%. D） 5.5%. 10% - 5% +1.1（8% - 5%） = 1.7%. 22. Your opinion is that CSCO has an expected rate of return of 0.13. It

25、has a beta of 1.3. The risk-free rate is 0.04 and the market expected rate of return is 0.115. According to the Capital Asset Pricing Model, this security is 11.5% - 4% + 1.3（11.5% - 4%） = -2.25%; therefore, the security is overpriced. 23. Your opinion is that CSCO has an expected rate of return of 0.1375. It h