发布时间 : 星期日 文章Chapter 09 The Capital Asset Pricing Model更新完毕开始阅读d20c3efd2af90242a895e5d6
Chapter 09 - The Capital Asset Pricing Model
62. The amount that an investor allocates to the market portfolio is negatively related to I) 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 II B. II and III C. II and IV D. II, III, and IV E. I, III, and IV
63. One of the assumptions of the CAPM is that investors exhibit myopic behavior. What does 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.
64. The CAPM applies to A. 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.
65. 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 IV B. I, II, and IV C. I and II D. III and IV E. II and IV
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Chapter 09 - The Capital Asset Pricing Model
66. The expected return - beta relationship of the CAPM is graphically represented by A. 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.
67. A \A. 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.
68. For the CAPM that examines illiquidity premiums, if there is correlation among assets due to common systematic risk factors, the illiquidity premium on asset i is a function of A. 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.
69. Your opinion is that security A has an expected rate of return of 0.145. It has a beta of 1.5. 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 is A. underpriced.
B. overpriced by 5%. C. fairly priced.
D. cannot be determined from data provided. E. overpriced by 2%.
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Chapter 09 - The Capital Asset Pricing Model
70. Your opinion is that security C has an expected rate of return of 0.106. It has a beta of 1.1. 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 is A. underpriced by 5%. B. overpriced. C. fairly priced.
D. cannot be determined from data provided. E. underpriced by 2%.
71. The risk-free rate is 4 percent. The expected market rate of return is 12 percent. If you expect stock X with a beta of 1.0 to offer a rate of return of 10 percent, you should A. 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. hold the stock because it is fairly priced.
72. The risk-free rate is 5 percent. The expected market rate of return is 11 percent. If you expect stock X with a beta of 2.1 to offer a rate of return of 15 percent, you should A. 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. hold the stock because it is fairly priced.
73. You invest 50% of your money in security A with a beta of 1.6 and the rest of your money in security B with a beta of 0.7. The beta of the resulting portfolio is A. 1.40. B. 1.15. C. 0.36. D. 1.08. E. 0.80.
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Chapter 09 - The Capital Asset Pricing Model
74. 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. 1.40. B. 1.00. C. 0.52. D. 1.08. E. 0.80.
75. Security A has an expected rate of return of 0.10 and a beta of 1.3. The market expected rate of return is 0.10 and the risk-free rate is 0.04. The alpha of the stock is A. 1.7%. B. ?1.8%. C. 8.3%. D. 5.5%. E. ?1.7%.
76. A security has an expected rate of return of 0.15 and a beta of 1.25. The market expected rate of return is 0.10 and the risk-free rate is 0.04. The alpha of the stock is A. 1.7%. B. ?1.7%. C. 8.3%. D. 3.5%. E. ?8.3%.
77. A security has an expected rate of return of 0.13 and a beta of 2.1. The market expected rate of return is 0.09 and the risk-free rate is 0.045. The alpha of the stock is A. ?0.95%. B. ?1.7%. C. 8.3%. D. 5.5%. E. 4.4%.
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