投资学第7版TestBank答案09.docx

1、投资学第7版TestBank答案09Multiple Choice Questi ons1.In the con text of the Capital Asset Prici ng Model (CAPM) the releva nt measure of risk isA)unique risk.B)beta.C)standard deviation of returns.D)varianee of returns.E)none of the above.An swer: B Difficulty: EasyRati on ale: On ce, a portfolio is divers

2、ified, the only risk remai ning is systematic risk, which is measured by beta.2.According to the Capital Asset Pricing Model (CAPM) a well diversified portfolios rate of retur n is a function ofA)market riskB)unsystematic riskC)unique risk.D)reinvestment risk.E)none of the above.An swer: A Difficult

3、y: EasyRati on ale: With a diversified portfolio, the on ly risk remai ning is market, or systematic, risk. This is the only risk that in flue nces retur n accordi ng to the CAPM.3.The market portfolio has a beta ofA)0.B)1.C)-1.D).E)none of the aboveAn swer: B Difficulty: EasyRati on ale: By defi ni

4、ti on, the beta of the market portfolio is 1.1871874.The risk-free rate and the expected market rate of return are and respectively. Accord ing to the capital asset pric ing model (CAPM), the expected rate of return on security X with a beta of is equal toA).B).C).D)E)An swer: D Difficulty: EasyRati

5、onale: E(R) = 6% + (12 - 6) = %.5.The risk-free rate and the expected market rate of return are and , respectively. According to the capital asset pricing model (CAPM), the expected rate of return on a security with a beta of is equal toA)B).C).D)E)An swer: A Difficulty: EasyRatio nale: E(R) = % + -

6、 = %.6.Which statement isnot 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 held in proportion to their market values.D)It is the tangency point between the capital market line an

7、d the indifference curve.E)All of the above are true.An swer: D Difficulty: ModerateRati on ale: The tangency point betwee n the capital market line and the in differe nce curve is the optimal portfolio for a particular inv estor.1881887.Which statement isnot true regarding the Capital Market Line (

8、CML)?A)The CML is the line from the risk-free rate through the market portfolio.B)The CML is the best atta in able capital allocati on line.C)The CML is also called the security market line.D)The CML always has a positive slope.E)The risk measure for the CML is standard deviationAn swer: C Difficult

9、y: ModerateRati on ale: Both the Capital Market Li ne and the Security Market Li ne depict risk/return relati on ships. However, the risk measure for the CML is sta ndard deviati on and the risk measure for the SML is beta (thus C is not true; the other statements are true).8.The market risk, beta,

10、of a security is equal toA)the covarianee between the securitys return and the market return divided by the varia nee of the markets returns.B)the covarianee between the security and market returns divided by the standard deviation of the markets returns.C)the varianee of the securitys returns divid

11、ed by the covarianee between the security and market retur ns.D)the varianee of the securitys returns divided by the varianee of the markets returns.E)none of the above.An swer: A Difficulty: ModerateRati on ale: Beta is a measure of how a securitys return covaries with the market returns, no rmaliz

12、ed by the market varia nee.9.According to the Capital Asset Pricing Model (CAPM), the expected rate of return on any security is equal toA)Rf + P E(M).B)Rf + PE(Rm) - Rf.C)BE(rm)- Rf.D)E(Rm) + Rf.E)none of the above.An swer: B Difficulty: ModerateRati on ale: The expected rate of return on any secur

13、ity is equal to the risk free rate plus the systematic risk of the security (beta) times the market risk premium, E(R - Rf).18918910.The Security Market Line (SML) isA)the line that describes the expected return-beta relati on ship for well-diversified portfolios only.B)also called the Capital Alloc

14、ation Line.C)the line that is tangent to the efficient frontier of all risky assets.D)the line that represe nts the expected return-beta relati on ship.E)the line that represe nts the relati on ship betwee n an in dividual securitys return and the markets return.An swer: D Difficulty: ModerateRati o

15、n ale: The SML is a measure of expected return per unit of risk, where risk is defined as beta (systematic risk).11.According to the Capital Asset Pricing Model (CAPM), fairly priced securitiesA)have positive betas.B)have zero alphas.C)have negative betas.D)have positive alphas.E)none of the above.A

16、n swer: B Difficulty: ModerateRati on ale: A zero alpha results whe n the security is in equilibrium (fairly priced for the level of risk).12.According to the Capital Asset Pricing Model (CAPM), under priced securitiesA)have positive betas.B)have zero alphas.C)have negative betas.D)have positive alp

17、has.E)none of the above.An swer: D Difficulty: Moderate13.According to the Capital Asset Pricing Model (CAPM), over priced securitiesA)have positive betas.B)have zero alphas.C)have negative betas.D)have positive alphas.E)none of the above.An swer: C Difficulty: ModerateRati on ale: A zero alpha resu

18、lts whe n the security is in equilibrium (fairly priced for the level of risk).19019014.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 security with a negative alpha is

19、considered to be a good buy.D)a security with a positive alpha is considered to be underpriced.E)none of the above.An swer: D Difficulty: ModerateRati on ale: A security with a positive alpha is one that is expected to yield an abno rmal positive rate of return, based on the perceived risk of the se

20、curity, and thus is un derpriced.15.According to the Capital Asset Pricing Model (CAPM), which one of the following stateme nts isfalse?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 retur n on a security in creas

21、es as its beta in creases.C)A 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.An swer: A Difficulty: ModerateRati on ale: Stateme nts B, C, and D are true, but stateme nt A is false.16.In a well diver

22、sified portfolioA)market risk is negligible.B)systematic risk is negligible.C)unsystematic risk is negligible.D)non diversifiable risk is n egligible.E)none of the above.An swer: C Difficulty: ModerateRati on ale: Market, or systematic, or non diversifiable, risk is prese nt in a diversified portfol

23、io; the un systematic risk has bee n elimi nated.19119117.Empirical results regarding betas estimated from historical data indicate thatA)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)b

24、etas are always positive.An swer: D Difficulty: ModerateRati on ale: Betas vary over time, betas may be n egative or less tha n one, betas are not always n ear zero; however, betas do appear to regress toward one over time.18.Your personal opinion is that a security has an expected rate of return of

25、 . It has a beta of . The risk-free rate is and the market expected rate of return is . According to the Capital Asset Prici ng Model, this security isA)underpriced.B)overpriced.C)fairly priced.D)cannot be determined from data provided.E)none of the above.An swer: C Difficulty: ModerateRatio nale: 1

26、1% = 5% + (9% - 5%) = %; 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 to offer a rate of return of 12 percent, you shouldA)buy the stock because it is overpriced.B)sell short the st

27、ock 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.An swer: B Difficulty: ModerateRationale: 12% 7% + (15% - 7%) = %; therefore, stock is overpriced and should be shorted.19219220.

28、You in vest $600 in a security with a beta of and $400 in ano ther security with a beta of . The beta of the result ing portfolio isA)B)C)D)E)An swer: D Difficulty: ModerateRati on ale: + =.21.A security has an expected rate of return of and a beta of . The market expected rate of return is and the

29、risk-free rate is . The alpha of the stock isA)%.B)%.C)%.D)%.E)none of the above.An swer: A Difficulty: ModerateRatio nale: 10% - 5% +(8% - 5%) = %.22.Your opinion is that CSCO has an expected rate of return of . It has a beta of . The risk-free rate is and the market expected rate of return is . Ac

30、cording to the Capital Asset Prici ng Model, this security isA)underpriced.B)overpriced.C)fairly priced.D)cannot be determined from data provided.E)none of the above.An swer: B Difficulty: ModerateRati on ale: % - 4% + % - 4%) = %; therefore, the security is overpriced.19319323.Your opinion is that

31、CSCO has an expected rate of return of . It has a beta of . The risk-free rate is and the market expected rate of return is . According to the Capital Asset Prici ng Model, this security isA)underpriced.B)overpriced.C)fairly priced.D)cannot be determined from data provided.E)none of the above.An swer: C Difficulty: ModerateRati on ale: % - 4% + % - 4%) = %; therefore, the security is fairly priced.24.Your opinion is that CSCO has an expected rate of return of . It has a beta of . The risk-free rate is and the market expected rate of return is . According to the Capital Asset Prici ng Mode