投资学第7版Test-Bank答案09

Chapter9TheCapitalAssetPricingModel187MultipleChoiceQuestions1.InthecontextoftheCapitalAssetPricingModel(CAPM)therelevantmeasureofriskisA)uniquerisk.B)beta.C)standarddeviationofreturns.D)varianceofreturns.E)noneoftheabove.Answer:BDifficulty:EasyRationale:Once,aportfolioisdiversified,theonlyriskremainingissystematicrisk,whichismeasuredbybeta.2.AccordingtotheCapitalAssetPricingModel(CAPM)awelldiversifiedportfolio'srateofreturnisafunctionofA)marketriskB)unsystematicriskC)uniquerisk.D)reinvestmentrisk.E)noneoftheabove.Answer:ADifficulty:EasyRationale:Withadiversifiedportfolio,theonlyriskremainingismarket,orsystematic,risk.ThisistheonlyriskthatinfluencesreturnaccordingtotheCAPM.3.ThemarketportfoliohasabetaofA)0.B)1.C)-1.D)0.5.E)noneoftheaboveAnswer:BDifficulty:EasyRationale:Bydefinition,thebetaofthemarketportfoliois1.Chapter9TheCapitalAssetPricingModel1884.Therisk-freerateandtheexpectedmarketrateofreturnare0.06and0.12,respectively.Accordingtothecapitalassetpricingmodel(CAPM),theexpectedrateofreturnonsecurityXwithabetaof1.2isequaltoA)0.06.B)0.144.C)0.12.D)0.132E)0.18Answer:DDifficulty:EasyRationale:E(R)=6%+1.2(12-6)=13.2%.5.Therisk-freerateandtheexpectedmarketrateofreturnare0.056and0.125,respectively.Accordingtothecapitalassetpricingmodel(CAPM),theexpectedrateofreturnonasecuritywithabetaof1.25isequaltoA)0.1225B)0.144.C)0.153.D)0.134E)0.117Answer:ADifficulty:EasyRationale:E(R)=5.6%+1.25(12.5-5.6)=14.225%.6.Whichstatementisnottrueregardingthemarketportfolio?A)Itincludesallpubliclytradedfinancialassets.B)Itliesontheefficientfrontier.C)Allsecuritiesinthemarketportfolioareheldinproportiontotheirmarketvalues.D)Itisthetangencypointbetweenthecapitalmarketlineandtheindifferencecurve.E)Alloftheabovearetrue.Answer:DDifficulty:ModerateRationale:Thetangencypointbetweenthecapitalmarketlineandtheindifferencecurveistheoptimalportfolioforaparticularinvestor.Chapter9TheCapitalAssetPricingModel1897.WhichstatementisnottrueregardingtheCapitalMarketLine(CML)?A)TheCMListhelinefromtherisk-freeratethroughthemarketportfolio.B)TheCMListhebestattainablecapitalallocationline.C)TheCMLisalsocalledthesecuritymarketline.D)TheCMLalwayshasapositiveslope.E)TheriskmeasurefortheCMLisstandarddeviation.Answer:CDifficulty:ModerateRationale:BoththeCapitalMarketLineandtheSecurityMarketLinedepictrisk/returnrelationships.However,theriskmeasurefortheCMLisstandarddeviationandtheriskmeasurefortheSMLisbeta(thusCisnottrue;theotherstatementsaretrue).8.Themarketrisk,beta,ofasecurityisequaltoA)thecovariancebetweenthesecurity'sreturnandthemarketreturndividedbythevarianceofthemarket'sreturns.B)thecovariancebetweenthesecurityandmarketreturnsdividedbythestandarddeviationofthemarket'sreturns.C)thevarianceofthesecurity'sreturnsdividedbythecovariancebetweenthesecurityandmarketreturns.D)thevarianceofthesecurity'sreturnsdividedbythevarianceofthemarket'sreturns.E)noneoftheabove.Answer:ADifficulty:ModerateRationale:Betaisameasureofhowasecurity'sreturncovarieswiththemarketreturns,normalizedbythemarketvariance.9.AccordingtotheCapitalAssetPricingModel(CAPM),theexpectedrateofreturnonanysecurityisequaltoA)Rf+β[E(RM)].B)Rf+β[E(RM)-Rf].C)β[E(RM)-Rf].D)E(RM)+Rf.E)noneoftheabove.Answer:BDifficulty:ModerateRationale:Theexpectedrateofreturnonanysecurityisequaltotheriskfreerateplusthesystematicriskofthesecurity(beta)timesthemarketriskpremium,E(RM-Rf).Chapter9TheCapitalAssetPricingModel19010.TheSecurityMarketLine(SML)isA)thelinethatdescribestheexpectedreturn-betarelationshipforwell-diversifiedportfoliosonly.B)alsocalledtheCapitalAllocationLine.C)thelinethatistangenttotheefficientfrontierofallriskyassets.D)thelinethatrepresentstheexpectedreturn-betarelationship.E)thelinethatrepresentstherelationshipbetweenanindividualsecurity'sreturnandthemarket'sreturn.Answer:DDifficulty:ModerateRationale:TheSMLisameasureofexpectedreturnperunitofrisk,whereriskisdefinedasbeta(systematicrisk).11.AccordingtotheCapitalAssetPricingModel(CAPM),fairlypricedsecuritiesA)havepositivebetas.B)havezeroalphas.C)havenegativebetas.D)havepositivealphas.E)noneoftheabove.Answer:BDifficulty:ModerateRationale:Azeroalpharesultswhenthesecurityisinequilibrium(fairlypricedforthelevelofrisk).12.AccordingtotheCapitalAssetPricingModel(CAPM),underpricedsecuritiesA)havepositivebetas.B)havezeroalphas.C)havenegativebetas.D)havepositivealphas.E)noneoftheabove.Answer:DDifficulty:Moderate13.AccordingtotheCapitalAssetPricingModel(CAPM),overpricedsecuritiesA)havepositivebetas.B)havezeroalphas.C)havenegativebetas.D)havepositivealphas.E)noneoftheabove.Answer:CDifficulty:ModerateRationale:Azeroalpharesultswhenthesecurityisinequilibrium(fairlypricedforthelevelofrisk).Chapter9TheCapitalAssetPricingModel19114.AccordingtotheCapitalAssetPricingModel(CAPM),A)asecuritywithapositivealphaisconsideredoverpriced.B)asecuritywithazeroalphaisconsideredtobeagoodbuy.C)asecuritywithanegativealphaisconsideredtobeagoodbuy.D)asecuritywithapositivealphaisconsideredtobeunderpriced.E)noneoftheabove.Answer:DDifficulty:ModerateRationale:Asecuritywithapositivealphaisone