投资学第7版TestBank答案09Word文档格式.docx

投资学第7版TestBank答案09Word文档格式.docx

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A）marketrisk

B）unsystematicrisk

C）uniquerisk.

D）reinvestmentrisk.

ADifficulty:

Withadiversifiedportfolio,theonlyriskremainingismarket,orsystematic,risk.ThisistheonlyriskthatinfluencesreturnaccordingtotheCAPM.

3.Themarketportfoliohasabetaof

A）0.

B）1.

C）-1.

D）.

E）noneoftheabove

Bydefinition,thebetaofthemarketportfoliois1.

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4.Therisk-freerateandtheexpectedmarketrateofreturnareand‘respectively.Accordingtothecapitalassetpricingmodel（CAPM）,theexpectedrateofreturnonsecurityXwithabetaofisequalto

A）.

B）.

C）.

D）

E）

DDifficulty:

Rationale:

E（R）=6%+（12-6）=%.

5.Therisk-freerateandtheexpectedmarketrateofreturnareand,respectively.Accordingtothecapitalassetpricingmodel（CAPM）,theexpectedrateofreturnonasecuritywithabetaofisequalto

A）

Rationale:

E（R）=%+-=%.

6.Whichstatementisnottrueregardingthemarketportfolio?

A）Itincludesallpubliclytradedfinancialassets.

B）Itliesontheefficientfrontier.

C）Allsecuritiesinthemarketportfolioareheldinproportiontotheirmarketvalues.

D）Itisthetangencypointbetweenthecapitalmarketlineandtheindifferencecurve.

E）Alloftheabovearetrue.

Moderate

Thetangencypointbetweenthecapitalmarketlineandtheindifferencecurveistheoptimalportfolioforaparticularinvestor.

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7.WhichstatementisnottrueregardingtheCapitalMarketLine（CML）?

A）TheCMListhelinefromtherisk-freeratethroughthemarketportfolio.

B）TheCMListhebestattainablecapitalallocationline.

C）TheCMLisalsocalledthesecuritymarketline.

D）TheCMLalwayshasapositiveslope.

E）TheriskmeasurefortheCMLisstandarddeviation

CDifficulty:

BoththeCapitalMarketLineandtheSecurityMarketLinedepictrisk/returnrelationships.However,theriskmeasurefortheCMLisstandarddeviationandtheriskmeasurefortheSMLisbeta（thusCisnottrue;

theotherstatementsaretrue）.

8.Themarketrisk,beta,ofasecurityisequalto

A）thecovarianeebetweenthesecurity'

sreturnandthemarketreturndividedbythevarianeeofthemarket'

sreturns.

B）thecovarianeebetweenthesecurityandmarketreturnsdividedbythestandarddeviationofthemarket'

C）thevarianeeofthesecurity'

sreturnsdividedbythecovarianeebetweenthesecurityandmarketreturns.

D）thevarianeeofthesecurity'

sreturnsdividedbythevarianeeofthemarket'

Betaisameasureofhowasecurity'

sreturncovarieswiththemarketreturns,normalizedbythemarketvarianee.

9.AccordingtotheCapitalAssetPricingModel（CAPM）,theexpectedrateofreturnonanysecurityisequalto

A）Rf+P[E（M）].

B）Rf+P[E（Rm）-Rf].

C）B[E（rm）-Rf].

D）E（Rm）+Rf.

Theexpectedrateofreturnonanysecurityisequaltotheriskfreerateplusthesystematicriskofthesecurity（beta）timesthemarketriskpremium,E（R-Rf）.

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10.TheSecurityMarketLine（SML）is

A）thelinethatdescribestheexpectedreturn-betarelationshipforwell-diversifiedportfoliosonly.

B）alsocalledtheCapitalAllocationLine.

C）thelinethatistangenttotheefficientfrontierofallriskyassets.

D）thelinethatrepresentstheexpectedreturn-betarelationship.

E）thelinethatrepresentstherelationshipbetweenanindividualsecurity'

sreturnandthemarket'

sreturn.

TheSMLisameasureofexpectedreturnperunitofrisk,whereriskisdefinedasbeta（systematicrisk）.

11.AccordingtotheCapitalAssetPricingModel（CAPM）,fairlypricedsecurities

A）havepositivebetas.

B）havezeroalphas.

C）havenegativebetas.

D）havepositivealphas.

Azeroalpharesultswhenthesecurityisinequilibrium（fairlypricedforthelevelofrisk）.

12.AccordingtotheCapitalAssetPricingModel（CAPM）,underpricedsecurities

13.AccordingtotheCapitalAssetPricingModel（CAPM）,overpricedsecurities

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14.AccordingtotheCapitalAssetPricingModel（CAPM）,

A）asecuritywithapositivealphaisconsideredoverpriced.

B）asecuritywithazeroalphaisconsideredtobeagoodbuy.

C）asecuritywithanegativealphaisconsideredtobeagoodbuy.

D）asecuritywithapositivealphaisconsideredtobeunderpriced.

Asecuritywithapositivealphaisonethatisexpectedtoyieldanabnormalpositiverateofreturn,basedontheperceivedriskofthesecurity,andthusisunderpriced.

15.AccordingtotheCapitalAssetPricingModel（CAPM）,whichoneofthefollowingstatementsisfalse?

A）Theexpectedrateofreturnonasecuritydecreasesindirectproportiontoadecreaseintherisk-freerate.

B）Theexpectedrateofreturnonasecurityincreasesasitsbetaincreases.

C）Afairlypricedsecurityhasanalphaofzero.

D）Inequilibrium,allsecuritieslieonthesecuritymarketline.

E）Alloftheabovestatementsaretrue.

StatementsB,C,andDaretrue,butstatementAisfalse.

16.Inawelldiversifiedportfolio

A）marketriskisnegligible.

B）systematicriskisnegligible.

C）unsystematicriskisnegligible.

D）nondiversifiableriskisnegligible.

Market,orsystematic,ornondiversifiable,riskispresentinadiversifiedportfolio;

theunsystematicriskhasbeeneliminated.

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17.Empiricalresultsregardingbetasestimatedfromhistoricaldataindicatethat

A）betasareconstantovertime.

B）betasofallsecuritiesarealwaysgreaterthanone.

C）betasarealwaysnearzero.

D）betasappeartoregresstowardoneovertime.

E）betasarealwayspositive.

Betasvaryovertime,betasmaybenegativeorlessthanone,betasarenotalwaysnearzero;

however,betasdoappeartoregresstowardoneovertime.

18.Yourpersonalopinionisthatasecurityhasanexpectedrateofreturnof.Ithasabetaof.Therisk-freerateisandthemarketexpectedrateofreturnis.AccordingtotheCapitalAssetPricingModel,thissecurityis

A）underpriced.

B）overpriced.

C）fairlypriced.

D）cannotbedeterminedfromdataprovided.

11%=5%+（9%-5%）=%;

therefore,thesecurityisfairlypriced.

19.Therisk-freerateis7percent.Theexpectedmarketrateofreturnis15percent.Ifyouexpectastockwithabetaoftoofferarateofreturnof12percent,youshould

A）buythestockbecauseitisoverpriced.

B）sellshortthestockbecauseitisoverpriced.

C）sellthestockshortbecauseitisunderpriced.

D）buythestockbecauseitisunderpriced.

E）noneoftheabove,asthestockisfairlypriced.

12%<

7%+（15%-7%）=%;

therefore,stockisoverpricedandshouldbeshorted.

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20.Youinvest$600inasecuritywithabetaofand$400inanothersecuritywithabetaof.Thebetaoftheresultingportfoliois

B）

C）

+=.

21.Asecurityhasanexpectedrateofreturnofandabetaof.Themarketexpectedrateofreturnisandtherisk-freerateis.Thealphaofthestockis

A）%.

B）%.

C）%.

D）%.

10%-[5%+（8%-5%）]=%.

22.YouropinionisthatCSCOhasanexpectedrateofreturnof.Ithasabetaof.Therisk-freerateisandthemarketexpectedrateofreturnis.AccordingtotheCapitalAssetPricingModel,thissecurityis

%-4%+%-4%）=%;

therefore,thesecurityisoverpriced.

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23.YouropinionisthatCSCOhasanexpectedrateofreturnof.Ithasabetaof.Therisk-freerateisandthemarketexpectedrateofreturnis.AccordingtotheCapitalAssetPricingModel,thissecurityis

24.YouropinionisthatCSCOhasanexpectedrateofreturnof.Ithasabetaof.Therisk-freerateisandthemarketexpectedrateofreturnis.AccordingtotheCapitalAssetPricingMode