投資學第7版TestBank答案可編輯版

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1、Multiple Choice Questions 1. In the context of the Capital Asset Pricing Model (CAPM) the relevant measure of risk is A) unique risk. B) beta. C) standard deviation of returns. D) variance of returns. E) none of the above. Answer: B Difficulty: Easy Rationale: Once, a portfolio is diversifie

2、d, the only risk remaining is systematic risk, which is measured by beta. 2. According to the Capital Asset Pricing Model (CAPM) a well diversified portfolios rate of return is a function of A) market risk B) unsystematic risk C) unique risk. D) reinvestment risk. E) none of the above. Answer

3、: A Difficulty: Easy Rationale: With a diversified portfolio, the only risk remaining is market, or systematic, risk. This is the only risk that influences return according to the CAPM. 3. The market portfolio has a beta of A) 0. B) 1. C) -1. D) 0.5. E) none of the above Answer: B Difficulty

4、: Easy Rationale: By definition, the beta of the market portfolio is 1. 精選范本 ,供參考！ 4. The risk-free rate and the expected market rate of return are 0.06 and 0.12, respectively. According to the capital asset pricing model (CAPM), the expected rate of return on security X with a beta of 1.2 is e

5、qual to A) 0.06. B) 0.144. C) 0.12. D) 0.132 E) 0.18 Answer: D Difficulty: Easy Rationale: E(R) = 6% + 1.2(12 - 6) = 13.2%. 5. The risk-free rate and the expected market rate of return are 0.056 and 0.125, respectively. According to the capital asset pricing model (CAPM), the expected rate o

6、f return on a security with a beta of 1.25 is equal to A) 0.1225 B) 0.144. C) 0.153. D) 0.134 E) 0.117 Answer: A Difficulty: Easy Rationale: E(R) = 5.6% + 1.25(12.5 - 5.6) = 14.225%. 6. Which statement isnot true regarding the market portfolio? A) It includes all publicly traded financial a

7、ssets. 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 and the indifference curve. E) All of the above are true. Answer: D Difficulty: Moderate Rationale:

8、The tangency point between the capital market line and the indifference curve is the optimal portfolio for a particular investor. 7. Which statement is not true regarding the Capital Market Line (CML)? A) The CML is the line from the risk-free rate through the market portfolio. B) The CML is the

9、best attainable capital allocation 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 deviation Answer: C Difficulty: Moderate Rationale: Both the Capital Market Line and the Security Market Line depict r

10、isk/return relationships. However, the risk measure for the CML is standard deviation and the risk measure for the SML is beta (thus C is not true; the other statements are true). 8. The market risk, beta, of a security is equal to A) the covariance between the securitys return and the market retu

11、rn divided by the variance of the markets returns. B) the covariance between the security and market returns divided by the standard deviation of the markets returns. C) the variance of the securitys returns divided by the covariance between the security and market returns. D) the variance of the

12、 securitys returns divided by the variance of the markets returns. E) none of the above. Answer: A Difficulty: Moderate Rationale: Beta is a measure of how a securitys return covaries with the market returns, normalized by the market variance. 9. According to the Capital Asset Pricing Model (CAP

13、M), the expected rate of return on any security is equal to A) Rf + B [E(M)]. B) Rf + B[E(Rm)-R] C) B[E(Rm)-R] D) E(RM) + Rf. E) none of the above. Answer: B Difficulty: Moderate Rationale: The expected rate of return on any security is equal to the risk free rate plus the systematic risk of

14、the security (beta) times the market risk premium, E(RM - Rf). 10. The Security Market Line (SML) is A) the line that describes the expected return-beta relationship for well-diversified portfolios only. B) also called the Capital Allocation Line. C) the line that is tangent to the efficient fro

15、ntier of all risky assets. D) the line that represents the expected return-beta relationship. E) the line that represents the relationship between an individual securitys return and the markets return. Answer: D Difficulty: Moderate Rationale: The SML is a measure of expected return per unit of

16、risk, where risk is defined as beta (systematic risk). 11. According to the Capital Asset Pricing Model (CAPM), fairly priced securities A) have positive betas. B) have zero alphas. C) have negative betas. D) have positive alphas. E) none of the above. Answer: B Difficulty: Moderate Rational

17、e: A zero alpha results when the security is in equilibrium (fairly priced for the level of risk). 12. According to the Capital Asset Pricing Model (CAPM), under priced securities A) have positive betas. B) have zero alphas. C) have negative betas. D) have positive alphas. E) none of the above

18、. Answer: D Difficulty: Moderate 13. According to the Capital Asset Pricing Model (CAPM), over priced securities A) have positive betas. B) have zero alphas. C) have negative betas. D) have positive alphas. E) none of the above. Answer: C Difficulty: Moderate Rationale: A zero alpha results

19、 when the security is in equilibrium (fairly priced for the level of risk). 14. 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 i

20、s considered to be a good buy. D) a security with a positive alpha is considered to be underpriced. E) none of the above. Answer: D Difficulty: Moderate Rationale: A security with a positive alpha is one that is expected to yield an abnormal positive rate of return, based on the perceived risk o

21、f the security, and thus is underpriced. 15. According to the Capital Asset Pricing Model (CAPM), which one of the following statements 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 return on a sec

22、urity increases as its beta increases. 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. Answer: A Difficulty: Moderate Rationale: Statements B, C, and D are true, but statement A is fals

23、e. 16. In a well diversified portfolio A) market risk is negligible. B) systematic risk is negligible. C) unsystematic risk is negligible. D) nondiversifiable risk is negligible. E) none of the above. Answer: C Difficulty: Moderate Rationale: Market, or systematic, or nondiversifiable, risk

24、is present in a diversified portfolio; the unsystematic risk has been eliminated. 17. Empirical results regarding betas estimated from historical data indicate that A) betas are constant over time. B) betas of all securities are always greater than one. C) betas are always near zero. D) betas a

25、ppear to regress toward one over time. E) betas are always positive. Answer: D Difficulty: Moderate Rationale: Betas vary over time, betas may be negative or less than one, betas are not always near zero; however, betas do appear to regress toward one over time. 18. Your personal opinion is that

26、 a security has an expected rate of return of 0.11. It has a beta of 1.5. The risk-free rate is 0.05 and the market expected rate of return is 0.09. According to the Capital Asset Pricing Model, this security is A) underpriced. B) overpriced. C) fairly priced. D) cannot be determined from data p

27、rovided. E) none of the above. Answer: C Difficulty: Moderate Rationale: 11% = 5% + 1.5(9% - 5%) = 11.0%; 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 1.3 to offer a rate of r

28、eturn of 12 percent, you should A) buy the stock because it is overpriced. B) sell short the stock 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. Answer: B Difficulty:

29、Moderate Rationale: 12% < 7% + 1.3(15% - 7%) = 17.40%; therefore, stock is overpriced and should be shorted. 20. You invest $600 in a security with a beta of 1.2 and $400 in another security with a beta of 0.90. The beta of the resulting portfolio is A) 1.40 B) 1.00 C) 0.36 D) 1.08 E) 0.80 A

30、nswer: D Difficulty: Moderate Rationale: 0.6(1.2) + 0.4(0.90) = 1.08. 21. A security has an expected rate of return of 0.10 and a beta of 1.1. The market expected rate of return is 0.08 and the risk-free rate is 0.05. The alpha of the stock is A) 1.7%. B) -1.7%. C) 8.3%. D) 5.5%. E) none of th

31、e above. Answer: A Difficulty: Moderate Rationale: 10% - [5% +1.1(8% - 5%)] = 1.7%. 22. Your opinion is that CSCO has an expected rate of return of 0.13. It has a beta of 1.3. The risk-free rate is 0.04 and the market expected rate of return is 0.115. According to the Capital Asset Pricing Model,

32、 this security is A) underpriced. B) overpriced. C) fairly priced. D) cannot be determined from data provided. E) none of the above. Answer: B Difficulty: Moderate Rationale: 11.5% - 4% + 1.3(11.5% - 4%) = -2.25%; therefore, the security is overpriced. 23. Your opinion is that CSCO has an e

33、xpected rate of return of 0.1375. It has a beta of 1.3. The risk-free rate is 0.04 and the market expected rate of return is 0.115. According to the Capital Asset Pricing Model, this security is A) underpriced. B) overpriced. C) fairly priced. D) cannot be determined from data provided. E) none

34、 of the above. Answer: C Difficulty: Moderate Rationale: 13.75% - 4% + 1.3(11.5% - 4%) = 0.0%; therefore, the security is fairly priced. 24. Your opinion is that CSCO has an expected rate of return of 0.15. It has a beta of 1.3. The risk-free rate is 0.04 and the market expected rate of return is

35、 0.115. According to the Capital Asset Pricing Model, this security is A) underpriced. B) overpriced. C) fairly priced. D) cannot be determined from data provided. E) none of the above. Answer: A Difficulty: Moderate Rationale: 15% - 4% + 1.3(11.5% - 4%) = 1.25%; therefore, the security is un

36、der priced. 25. Your opinion is that Boeing has an expected rate of return of 0.112. It has a beta of 0.92. 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. B) overpriced. C) fairly priced.

37、D) cannot be determined from data provided. E) none of the above. Answer: A Difficulty: Moderate Rationale: 11.2% - 4% + 0.92(10% - 4%) = 1.68%; therefore, the security is under priced. 26. Your opinion is that Boeing has an expected rate of return of 0.0952. It has a beta of 0.92. The risk-free

38、 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. B) overpriced. C) fairly priced. D) cannot be determined from data provided. E) none of the above. Answer: C Difficulty: Moderate Rationale: 9.52% - 4%

39、 + 0.92(10% - 4%) = 0.0%; therefore, the security is fairly priced. 27. Your opinion is that Boeing has an expected rate of return of 0.08. It has a beta of 0.92. 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 i

40、s A) underpriced. B) overpriced. C) fairly priced. D) cannot be determined from data provided. E) none of the above. Answer: C Difficulty: Moderate Rationale: 8.0% - 4% + 0.92(10% - 4%) = -1.52%; therefore, the security is overpriced. 28. The risk-free rate is 4 percent. The expected market

41、rate of return is 11 percent. If you expect CAT 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

42、. E) none of the above, as the stock is fairly priced. Answer: B Difficulty: Moderate Rationale: 10% < 4% + 1.0(11% - 4%) = 11.0%; therefore, stock is overpriced and should be shorted. 29. The risk-free rate is 4 percent. The expected market rate of return is 11 percent. If you expect CAT with a

43、 beta of 1.0 to offer a rate of return of 11 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) none of the above, as the stock is fairly priced

44、. Answer: E Difficulty: Moderate Rationale: 11% = 4% + 1.0(11% - 4%) = 11.0%; therefore, stock is fairly priced. 30. The risk-free rate is 4 percent. The expected market rate of return is 11 percent. If you expect CAT with a beta of 1.0 to offer a rate of return of 13 percent, you should A) buy s

45、tock 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: D Difficulty: Moderate Rationale: 13% > 4% + 1.0(11% - 4%) =

46、11.0%; therefore, stock is under priced. 31. You invest 55% of your money in security A with a beta of 1.4 and the rest of your money in security B with a beta of 0.9. The beta of the resulting portfolio is A) B) 1.466 1.157 精選范本，供參考! C) 0.968 D) E) 1.082 1.175 Answer: E Diffic

47、ulty: Moderate Rationale: 0.55(1.4) + 0.45(0.90) = 1.175. 32. Given the following two stocks A and B Em T2~ 1.8 Secunty E■即 15 ctpdrate of return G.12 0.14 If the expected market rate of return is 0.09 and the risk-free rate is 0.05, which security would be considered the better buy and why

48、? A) A because it offers an expected excess return of 1.2%. B) B because it offers an expected excess return of 1.8%. C) A because it offers an expected excess return of 2.2%. D) B because it offers an expected return of 14%. E) B because it has a higher beta. Answer: C Difficulty: Moderate R

49、ationale: As excess return is expected to be 12% - [5% + 1.2(9% - 5%)] = 2.2%. Bs excess return is expected to be 14% - [5% + 1.8(9% - 5%)] = 1.8%. 33. Capital Asset Pricing Theory asserts that portfolio returns are best explained by: A) economic factors. B) specific risk. C) systematic risk. D

50、) diversification. E) none of the above. Answer: C Difficulty: Easy Rationale: The risk remaining in diversified portfolios is systematic risk; thus, portfolio returns are commensurate with systematic risk. 34. According to the CAPM, the risk premium an investor expects to receive on any stock o

51、r portfolio increases: A) directly with alpha. B) inversely with alpha. C) directly with beta. D) inversely with beta. E) in proportion to its standard deviation. Answer: C Difficulty: Easy Rationale: The market rewards systematic risk, which is measured by beta, and thus, the risk premium on

52、 a stock or portfolio varies directly with beta. 35. What is the expected return of a zero-beta security? A) The market rate of return. B) Zero rate of return. C) A negative rate of return. D) The risk-free rate. E) None of the above. Answer: D Difficulty: Moderate Rationale: E(RS) = rf + 0(

53、RM - rf) = rf. 36. Standard deviation and beta both measure risk, but they are different in that A) beta measures both systematic and unsystematic risk. B) beta measures only systematic risk while standard deviation is a measure of total risk. C) beta measures only unsystematic risk while standa

54、rd deviation is a measure of total risk. D) beta measures both systematic and unsystematic risk while standard deviation measures only systematic risk. E) beta measures total risk while standard deviation measures only nonsystematic risk. Answer: B Difficulty: Easy Rationale: B is the only true

55、statement. 37. The expected return-beta relationship A) is the most familiar expression of the CAPM to practitioners. B) refers to the way in which the covariance between the returns on a stock and returns on the market measures the contribution of the stock to the variance of the market portfoli

56、o, which is beta. C) assumes that investors hold well-diversified portfolios. D) all of the above are true. E) none of the above is true. Answer: D Difficulty: Moderate Rationale: Statements A, B and C all describe the expected return-beta relationship. 38. The security market line (SML) A) c

57、an be portrayed graphically as the expected return-beta relationship. B) can be portrayed graphically as the expected return-standard deviation of market returns relationship. C) provides a benchmark for evaluation of investment performance. D) A and C. E) B and C. Answer: D Difficulty: Moderat

58、e Rationale: The SML is a measure of expected return-beta (the CML is a measure of expected return-standard deviation of market returns). The SML provides the expected return-beta relationship for "fairly priced" securities; thus if a portfolio manager selects securities that are underpriced and pr

59、oduces a portfolio with a positive alpha, this portfolio manager would receive a positive evaluation. 39. Research by Jeremy Stein of MIT resolves the dispute over whether beta is a sufficient pricing factor by suggesting that managers should use beta to estimate A) long-term returns but not short-

60、term returns. B) short-term returns but not long-term returns. C) both long- and short-term returns. D) book-to-market ratios. E) None of the above was suggested by Stein. Answer: A Difficulty: Difficult 40. Studies of liquidity spreads in security markets have shown that A) liquid stocks ear

61、n higher returns than illiquid stocks. B) illiquid stocks earn higher returns than liquid stocks. C) both liquid and illiquid stocks earn the same returns. D) illiquid stocks are good investments for frequent, short-term traders. E) None of the above is true. Answer: B Difficulty: Difficult 精選

62、范本 ,供參考！ 41. An underpriced security will plot A) on the Security Market Line. B) below the Security Market Line. C) above the Security Market Line. D) either above or below the Security Market Line depending on its covariance with the market. E) either above or below the Security Market Lin

63、e depending on its standard deviation. Answer: C Difficulty: Easy Rationale: An underpriced security will have a higher expected return than the SML would predict; therefore it will plot above the SML. 42. The risk premium on the market portfolio will be proportional to A) the average degree of

64、risk aversion of the investor population. B) the risk of the market portfolio as measured by its variance. C) the risk of the market portfolio as measured by its beta. D) both A and B are true. E) both A and C are true. Answer: D Difficulty: Moderate Rationale: The risk premium on the market p

65、ortfolio is proportional to the average degree of risk aversion of the investor population and the risk of the market portfolio measured by its variance. 43. In equilibrium, the marginal price of risk for a risky security must be A) equal to the marginal price of risk for the market portfolio. B)

66、 greater than the marginal price of risk for the market portfolio. C) less than the marginal price of risk for the market portfolio. D) adjusted by its degree of nonsystematic risk. E) none of the above is true. Answer: A Difficulty: Moderate Rationale: In equilibrium, the marginal price of risk for a risky security must be equal to the marginal price of risk for the market. If not, investors will buy or sell the security until they are equal. 44. The capital asset pricing mode