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投资学第7版Test Bank答案0993-4
47.Theamountthataninvest；I)theexpectedreturnonthe；II)theinvestor'sriskaver；III)therisk-freerateofre；IV)thevarianceofthemarke；A)IandII；B)IIandIII；C)IIandIV；D)II,III,andIV；E)I,III,an
47. The amount that an investor allocates to the market portfolio is negatively related toI) the expected return on the market portfolio.II) the investor's risk aversion coefficient.III) the risk-free rate of return.IV) the variance of the market portfolio A) I and IIB) II and IIIC) II and IVD) II, III, and IVE) I, III, and IV Answer: D
Difficulty: ModerateRationale: The optimal proportion is given by y = (E(RM)-rf)/(.01xAσ2M).
This amountwill decrease as rf, A, and σ2M decrease. 48. One of the assumptions of the CAPM is that investors exhibit myopic behavior.
Whatdoes this mean?A) They plan for one identical holding period.B) They are price-takers who can't affect market prices through their trades.C) They are mean-variance optimizers.D) They have the same economic view of the world.E) They pay no taxes or transactions costs. Answer: A
Difficulty: ModerateRationale: Myopic behavior is shortsighted, with no concern for medium-term orlong-term implications. 49. The CAPM applies toA) portfolios of securities only.B) individual securities only.C) efficient portfolios of securities only.D) efficient portfolios and efficient individual securities only.E) all portfolios and individual securities. Answer: E
Difficulty: ModerateRationale: The CAPM is an equilibrium model for all assets.
Each asset's risk premiumis a function of its beta coefficient and the risk premium on the market portfolio. 50. Which of the following statements about the mutual fund theorem is true?I) It is similar to the separation property.II) It implies that a passive investment strategy can be efficient.III) It implies that efficient portfolios can be formed only through active strategies. IV) It means that professional managers have superior security selection strategies.A) I and IVB) I, II, and IVC) I and IID) III and IVE) II and IV Answer: C
Difficulty: ModerateRationale: The mutual fund theorem is similar to the separation property.
The technicaltask of creating mutual funds can be delegated to p thenindividuals combine the mutual funds with risk-free assets according to theirpreferences.
The passive strategy of investing in a market index fund is efficient.51. The expected return -- beta relationship of the CAPM is graphically represented byA) the security market line.B) the capital market line.C) the capital allocation line.D) the efficient frontier with a risk-free asset.E) the efficient frontier without a risk-free asset. Answer: A
Difficulty: EasyRationale: The security market line shows expected return on the vertical axis and betaon the horizontal axis.
It has an intercept of rf and a slope of E(RM) - rf. 52. A “fairly priced” asset liesA) above the security market line.B) on the security market line.C) on the capital market line.D) above the capital market line.E) below the security market line. Answer: B
Difficulty: EasyRationale: Securities that lie on the SML earn exactly the expected return generated bythe CAPM.
Their prices are proportional to their beta coefficients and they have alphas equal to zero. 53. For the CAPM that examines illiquidity premiums, if there is correlation among assetsdue to common systematic risk factors, the illiquidity premium on asset i is a function ofA) the market's volatility.B) asset i's volatility.C) the trading costs of security i.D) the risk-free rate.E) the money supply. Answer: C
Difficulty: ModerateRationale: The formula for this extension to the CAPM relaxes the assumption thattrading is costless. 54. Your opinion is that security A has an expected rate of return of 0.145.
It has a beta of1.5.
The risk-free rate is 0.04 and the market expected rate of return is 0.11.
According to the Capital Asset Pricing Model, this security isA) underpriced.B) overpriced.C) fairly priced.D) cannot be determined from data provided.E) none of the above. Answer: C
Difficulty: ModerateRationale: 14.5% = 4% + 1.5(11% - 4%) = 14.5%; therefore, the security is fairlypriced. 55. Your opinion is that security C has an expected rate of return of 0.106.
It has a beta of1.1.
The risk-free rate is 0.04 and the market expected rate of return is 0.10.
According to the Capital Asset Pricing Model, this security isA) underpriced.B) overpriced.C) fairly priced.D) cannot be determined from data provided.E) none of the above. Answer: A
Difficulty: ModerateRationale: 4% + 1.1(10% - 4%) = 10.6%; therefore, the security is fairly priced. 56. The risk-free rate is 4 percent.
The expected market rate of return is 12 percent.
If youexpect stock X with a beta of 1.0 to offer a rate of return of 10 percent, you shouldA) buy stock X because it is overpriced.B) sell short stock X because it is overpriced.C) sell stock short X because it is underpriced.D) buy stock X because it is underpriced.E) none of the above, as the stock is fairly priced. Answer: B
Difficulty: ModerateRationale: 10% & 4% + 1.0(12% - 4%) = 12.0%; therefore, stock is overpriced andshould be shorted. 57. The risk-free rate is 5 percent.
The expected market rate of return is 11 percent.
If youexpect stock X with a beta of 2.1 to offer a rate of return of 15 percent, you shouldA) buy stock X because it is overpriced.B) sell short stock X because it is overpriced.C) sell stock short X because it is underpriced.D) buy stock X because it is underpriced.E) none of the above, as the stock is fairly priced. Answer: B
Difficulty: ModerateRationale: 15% & 5% + 2.1(11% - 5%) = 17.6%; therefore, stock is overpriced andshould be shorted. 58. You invest 50% of your money in security A with a beta of 1.6 and the rest of yourmoney in security B with a beta of 0.7.
The beta of the resulting portfolio isA) 1.40B) 1.15C) 0.36D) 1.08E) 0.80 Answer: B
Difficulty: ModerateRationale: 0.5(1.6) + 0.5(0.70) = 1.15. 59. You invest $200 in security A with a beta of 1.4 and $800 in security B with a beta of 0.3.The beta of the resulting portfolio is A. 1.40A) 1.00B) 0.52C) 1.08D) 0.80 Answer: C
Difficulty: ModerateRationale: 0.2(1.4) + 0.8(0.3) = 0.52. 60. Security A has an expected rate of return of 0.10 and a beta of 1.3.
The market expectedrate of return is 0.10 and the risk-free rate is 0.04.
The alpha of the stock isA) 1.7%.B) -1.8%.C) 8.3%.D) 5.5%.E) none of the above. Answer: B
Difficulty: ModerateRationale: 10% - [4% +1.3(10% - 4%)] = -1.8%. 61. A security has an expected rate of return of 0.15 and a beta of 1.25.
The marketexpected rate of return is 0.10 and the risk-free rate is 0.04.
The alpha of the stock isA) 1.7%.B) -1.7%.C) 8.3%.D) 3.5%.E) none of the above. Answer: D
Difficulty: ModerateRationale: 15% - [4% +1.25(10% - 4%)] = 3.5%. 62. A security has an expected rate of return of 0.13 and a beta of 2.1.
The market expectedrate of return is 0.09 and the risk-free rate is 0.045.
The alpha of the stock isA) -0.95%.B) -1.7%.C) 8.3%.D) 5.5%.E) none of the above. Answer: A
Difficulty: ModerateRationale: 13% - [4.5% +2.1(9% - 4.5%)] = -0.95%.包含各类专业文献、幼儿教育、小学教育、文学作品欣赏、应用写作文书、生活休闲娱乐、外语学习资料、投资学第7版Test Bank答案0993等内容。　
　投资学第7版Test Bank答案06_经济学_高等教育_教育专区。投资学第7版Test Bank...(0.0225); -0.09 = -0.01125A; A = 8; U = 0.15 - 8/2(0.15... 　投资学第7版Test Bank答案08_经济学_高等教育_教育专区 暂无评价|0人阅读|0次下载|举报文档 投资学第7版Test Bank答案08_经济学_高等教育_教育专区。投资学第... 　投资学第7版Test Bank答案14_经济学_高等教育_教育专区。投资学第7版Test Bank...(loss) $732.31-703.07=$29.24=$51.33-22.09 Before-tax Rate of ... 　投资学第7版Test Bank答案18_经济学_高等教育_教育专区。投资学第7版Test Bank...A) 7.69 B) 8.33 C) 9.09 D) 11.11 E) none of the above Answer... 　投资学第7版Test Bank答案27_经济学_高等教育_教育专区。投资学第7版Test Bank答案Chapter 27 The Theory of Active Portfolio Management Multiple Choice Questions... 　投资学第7版Test Bank答案05_经济学_高等教育_教育专区 暂无评价|0人阅读|0次下载|举报文档 投资学第7版Test Bank答案05_经济学_高等教育_教育专区。投资学第... 　投资学第7版Test Bank答案 04_经济学_高等教育_教育专区 暂无评价|0人阅读|0次下载|举报文档 投资学第7版Test Bank答案 04_经济学_高等教育_教育专区。投资学... 　投资学第7版Test Bank答案 02_经济学_高等教育_教育专区。投资学第7版Test Bank...Moderate Rationale: .07 = .09(1-t); (1-t) = 0.777; t = .222... 　投资学第7版Test Bank答案 01_经济学_高等教育_教育专区 暂无评价|0人阅读|0次下载|举报文档 投资学第7版Test Bank答案 01_经济学_高等教育_教育专区。投资学...ch2 risk and rate of return 财务管理_图文_百度文库
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