完整word版投资学第7版Test Bank答案08.docx

1、完整word版投资学第7版Test Bank答案08Multiple Choice Questions 1. As diversification increases, the total variance of a portfolio approaches _. A) 0 B) 1 C) the variance of the market portfolio D) infinity E) none of the above Answer: C Difficulty: Easy Rationale: As more and more securities are added to the p

2、ortfolio, unsystematic risk decreases and most of the remaining risk is systematic, as measured by the variance of the market portfolio. 2. The index model was first suggested by _. A) Graham B) Markowitz C) Miller D) Sharpe E) none of the above Answer: D Difficulty: Easy Rationale: William Sharpe,

3、building on the work of Harry Markowitz, developed the index model. 3. A single-index model uses _ as a proxy for the systematic risk factor. A) a market index, such as the S&P 500 B) the current account deficit C) the growth rate in GNP D) the unemployment rate E) none of the above Answer: A Diffic

4、ulty: Easy Rationale: The single-index model uses a market index, such as the S&P 500, as a proxy for the market, and thus for systematic risk. 4. The Security Risk Evaluation book published by Merrill Lynch relies on the _ most recent monthly observations to calculate regression parameters. A) 12 B

5、) 36 C) 60 D) 120 E) none of the above Answer: C Difficulty: Easy Rationale: Most published betas and other regression parameters, including those published by Merrill Lynch, are based on five years of monthly return data. 5. The Security Risk Evaluation book published by Merrill Lynch uses the _ as

6、 a proxy for the market portfolio. A) Dow Jones Industrial Average B) Dow Jones Transportation Average C) S&P 500 Index D) Wilshire 5000 E) none of the above Answer: C Difficulty: Easy Rationale: The Merrill Lynch data (and much of the other published data sets) are based on the S&P 500 index as a m

7、arket proxy. 6. According to the index model, covariances among security pairs are A) due to the influence of a single common factor represented by the market index return B) extremely difficult to calculate C) related to industry-specific events D) usually positive E) A and D Answer: E Difficulty:

8、Easy Rationale: Most securities move together most of the time, and move with a market index, or market proxy. 7. The intercept calculated by Merrill Lynch in the regression equations is equal to A) in the CAPM B) + rf(1 + ) C) + rf(1 - ) D) 1 - E) none of the above Answer: C Difficulty: Moderate Ra

9、tionale: The intercept that Merrill Lynch calls alpha is really, using the parameters of the CAPM, an estimate of a + rf (1 - b). The apparent justification for this procedure is that, on a monthly basis, rf(1 - b) is small and is apt to be swamped by the volatility of actual stock returns. 8. Analy

10、sts may use regression analysis to estimate the index model for a stock. When doing so, the slope of the regression line is an estimate of _. A) the of the asset B) the of the asset C) the of the asset D) the of the asset E) none of the above Answer: B Difficulty: Moderate Rationale: The slope of th

11、e regression line, b, measures the volatility of the stock versus the volatility of the market. 9. In a factor model, the return on a stock in a particular period will be related to _. A) firm-specific events B) macroeconomic events C) the error term D) both A and B E) neither A nor B Answer: D Diff

12、iculty: Moderate Rationale: The return on a stock is related to both firm-specific and macroeconomic events. 10. Rosenberg and Guy found that _ helped to predict a firms beta. A) the firms financial characteristics B) the firms industry group C) firm size D) both A and B E) A, B and C all helped to

13、predict betas. Answer: E Difficulty: Moderate Rationale: Rosenberg and Guy found that after controlling for the firms financial characteristics, the firms industry group was a significant predictor of the firms beta. 11. If the index model is valid, _ would be helpful in determining the covariance b

14、etween assets K and L. A) k B) L C) M D) all of the above E) none of the above Answer: D Difficulty: Moderate Rationale: If the index model is valid A, B, and C are determinants of the covariance between K and L. 12. Rosenberg and Guy found that _ helped to predict firms betas. A) debt/asset ratios

15、B) market capitalization C) variance of earnings D) all of the above E) none of the above Answer: D Difficulty: Moderate Rationale: Rosenberg and Guy found that A, B, and C were determinants of firms betas. 13. If a firms beta was calculated as 0.6 in a regression equation, Merrill Lynch would state the adjusted beta at a number A) less than 0.6 but greater than zero. B) b