08 投资学 第七版.docx

1、08 投资学投资学 第七版第七版 Multiple Choice Questions C 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 Rationale:As more and more securities are added to the portfolio,unsystematic risk decreases and mo

2、st of the remaining risk is systematic,as measured by the variance of the market portfolio.D 2.The index model was first suggested by _.A)Graham B)Markowitz C)Miller D)Sharpe E)none of the above Rationale:William Sharpe,building on the work of Harry Markowitz,developed the index model.A 3.A single-i

3、ndex 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 Rationale:The single-index model uses a market index,such as the S&P 500,as a proxy for the market,and t

4、hus for systematic risk.C 4.The Security Risk Evaluation book published by Merrill Lynch relies on the _ most recent monthly observations to calculate regression parameters.A)12 B)36 C)60 D)120 E)none of the above Rationale:Most published betas and other regression parameters,including those publish

5、ed by Merrill Lynch,are based on five years of monthly return data.C 5.The Security Risk Evaluation book published by Merrill Lynch uses the _ as 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 Rat

6、ionale:The Merrill Lynch data(and much of the other published data sets)are based on the S&P 500 index as a market proxy.E 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

7、 to calculate C)related to industry-specific events D)usually positive E)A and D Rationale:Most securities move together most of the time,and move with a market index,or market proxy.C 7.The intercept calculated by Merrill Lynch in the regression equations is equal to A)in the CAPM B)+rf(1+)C)+rf(1-

8、)D)1-E)none of the above Rationale: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 retu

9、rns.B 8.Analysts 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 Rationale:The slope of the regression line,b,measure

10、s the volatility of the stock versus the volatility of the market.D 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 Rationale:The return on a stock is related to both

11、 firm-specific and macroeconomic events.E 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 predict betas.Rationale:Rosenberg and Guy found that after controlling for

12、the firms financial characteristics,the firms industry group was a significant predictor of the firms beta.D 11.If the index model is valid,_ would be helpful in determining the covariance between assets K and L.A)k B)L C)M D)all of the above E)none of the above Rationale:If the index model is valid

13、 A,B,and C are determinants of the covariance between K and L.D 12.Rosenberg and Guy found that _ helped to predict firms betas.A)debt/asset ratios B)market capitalization C)variance of earnings D)all of the above E)none of the above Rationale:Rosenberg and Guy found that A,B,and C were determinants

14、 of firms betas.B 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)between 0.6 and 1.0.C)between 1.0 and 1.6.D)greater than 1.6.E)zero or less.Rationale:Betas,on average,equal one;thus,be

15、tas over time regress toward the mean,or 1.Therefore,if historic betas are less than 1,adjusted betas are between 1 and the calculated beta.C 14.The beta of Exxon stock has been estimated as 1.2 by Merrill Lynch using regression analysis on a sample of historical returns.The Merrill Lynch adjusted b

16、eta of Exxon stock would be _.A)1.20 B)1.32 C)1.13 D)1.0 E)none of the above Rationale:Adjusted beta=2/3 sample beta+1/3(1);=2/3(1.2)+1/3=1.13.A 15.Assume that stock market returns do not resemble a single-index structure.An investment fund analyzes 100 stocks in order to construct a mean-variance e

17、fficient portfolio constrained by 100 investments.They will need to calculate _ expected returns and _ variances of returns.A)100,100 B)100,4950 C)4950,100 D)4950,4950 E)none of the above Rationale:The expected returns of each of the 100 securities must be calculated.In addition,the 100 variances ar

18、ound these returns must be calculated.C 16.Assume that stock market returns do not resemble a single-index structure.An investment fund analyzes 100 stocks in order to construct a mean-variance efficient portfolio constrained by 100 investments.They will need to calculate _ covariances.A)45 B)100 C)

19、4,950 D)10,000 E)none of the above Rationale:(n2-n)/2=(10,000-100)/2=4,950 covariances must be calculated.B 17.Assume that stock market returns do follow a single-index structure.An investment fund analyzes 200 stocks in order to construct a mean-variance efficient portfolio constrained by 200 inves

20、tments.They will need to calculate _ estimates of expected returns and _ estimates of sensitivity coefficients to the macroeconomic factor.A)200;19,900 B)200;200 C)19,900;200 D)19,900;19.900 E)none of the above Rationale:For a single-index model,n(200),expected returns and n(200)sensitivity coeffici

21、ents to the macroeconomic factor must be estimated.A 18.Assume that stock market returns do follow a single-index structure.An investment fund analyzes 500 stocks in order to construct a mean-variance efficient portfolio constrained by 500 investments.They will need to calculate _ estimates of firm-

22、specific variances and _ estimates for the variance of the macroeconomic factor.A)500;1 B)500;500 C)124,750;1 D)124,750;500 E)250,000;500 Rationale:For the single-index model,n(500)estimates of firm-specific variances must be calculated and 1 estimate for the variance of the common macroeconomic fac

23、tor.C 19.Consider the single-index model.The alpha of a stock is 0%.The return on the market index is 16%.The risk-free rate of return is 5%.The stock earns a return that exceeds the risk-free rate by 11%and there are no firm-specific events affecting the stock performance.The of the stock is _.A)0.

24、67 B)0.75 C)1.0 D)1.33 E)1.50 Rationale:11%=0%+b(11%);b=1.0.C 20.Suppose you held a well-diversified portfolio with a very large number of securities,and that the single index model holds.If the of your portfolio was 0.20 and M was 0.16,the of the portfolio would be approximately _.A)0.64 B)0.80 C)1

25、.25 D)1.56 E)none of the above Rationale:s2p/s2m=b2;(0.2)2/(0.16)2=1.56;b=1.25.C 21.Suppose the following equation best describes the evolution of over time:t=0.25+0.75t-1 If a stock had a of 0.6 last year,you would forecast the to be _ in the coming year.A)0.45 B)0.60 C)0.70 D)0.75 E)none of the ab

26、ove Rationale:0.25+0.75(0.6)=0.70.A 22.Merrill Lynch estimates the index model for a stock using regression analysis involving total returns.They estimated the intercept in the regression equation at 6%and the at 0.5.The risk-free rate of return is 12%.The true of the stock is _.A)0%B)3%C)6%D)9%E)no

27、ne of the above Rationale:6%=a+12%(1-0.5);a=0%.C 23.The index model for stock A has been estimated with the following result:RA=0.01+0.9RM+eA If M=0.25 and R2A=0.25,the standard deviation of return of stock A is _.A)0.2025 B)0.2500 C)0.4500 D)0.8100 E)none of the above Rationale:R2=b2s2M/s2;0.25=(0.

28、81)(0.25)2/s2;s=0.4500.C 24.The index model for stock B has been estimated with the following result:RB=0.01+1.1RM+eB If M=0.20 and R2B=0.50,the standard deviation of the return on stock B is _.A)0.1111 B)0.2111 C)0.3111 D)0.4111 E)none of the above Rationale:R2=b2s2M/s2;0.5=(1.1)2(0.2)2/s2;s=0.3111

29、.D 25.Suppose you forecast that the market index will earn a return of 15%in the coming year.Treasury bills are yielding 6%.The unadjusted of Mobil stock is 1.30.A reasonable forecast of the return on Mobil stock for the coming year is _ if you use Merrill Lynch adjusted betas.A)15.0%B)15.5%C)16.0%D

30、)16.8%E)none of the above Rationale:Adjusted beta=2/3(1.3)+1/3=1.20;E(rM)=6%+1.20(9%)=16.8%.B 26.The index model has been estimated for stocks A and B with the following results:RA=0.01+0.5RM+eA RB=0.02+1.3RM+eB M=0.25(eA)=0.20(eB)=0.10 The covariance between the returns on stocks A and B is _.A)0.0

31、384 B)0.0406 C)0.1920 D)0.0050 E)0.4000 Rationale:Cov(RA,RB)=bAbBs2M=0.5(1.3)(0.25)2=0.0406.C 27.The index model has been estimated for stocks A and B with the following results:RA=0.01+0.8RM+eA RB=0.02+1.2RM+eB M=0.20(eA)=0.20 (eB)=0.10 The standard deviation for stock A is _.A)0.0656 B)0.0676 C)0.

32、2561 D)0.2600 E)none of the above Rationale:A=(0.8)2(0.2)2+(0.2)21/2=0.2561.B 28.The index model has been estimated for stock A with the following results:RA=0.01+0.8RM+eA M=0.20(eA)=0.10 The standard deviation of the return for stock A is _.A)0.0356 B)0.1886 C)0.1600 D)0.6400 E)none of the above Ra

33、tionale:B=(.8)2(0.2)2+(0.1)21/2=0.1886.E 29.Security returns A)are based on both macro events and firm-specific events.B)are based on firm-specific events only.C)are usually positively correlated with each other.D)A and B.E)A and C.Rationale:Stock returns are usually highly positively correlated with each other.Stock returns are affected by both macro economic events and firm-specific events.D 30.