《投资学英文第7版Test Bank答案 chap008.docx》由会员分享，可在线阅读，更多相关《投资学英文第7版Test Bank答案 chap008.docx（24页珍藏版）》请在taowenge.com淘文阁网|工程机械CAD图纸|机械工程制图|CAD装配图下载|SolidWorks_CaTia_CAD_UG_PROE_设计图分享下载上搜索。
1、ab)。de)2.first suggested byMultiple Choice Questions1. As diversification increases, the total variance of a portfolio approaches. 01the variance of the market portfolio infinitynone of the aboveAnswer: C Difficulty: EasyRationale: As more and more securities are added to the portfolio, unsystematic
2、 risk decreases and most of the remaining risk is systematic, as measured by the variance of the market portfolio.Graham MarkowitzMillerSharpe none of the aboveAnswer: D Difficulty: EasyRationale: William Sharpe, building on the work of Harry Markowitz, developed the index model.3. A single-index mo
3、del uses as a proxy for the systematic risk factor,JZ JZ A/ XJ/ A B c D EJZ JZ A/ XJ/ A B c D Ea market index, such as the S&P 500 the current account deficit the growth rate in GNP the unemployment rate none of the aboveAnswer: A Difficulty: EasyRationale: The single-index model uses a market index
4、, such as the S&P 500, as a proxy for the market, and thus for systematic risk.27. The index model has been estimated for stocks A and B with the following results:Ra = 0.01 + 0.8Rm +Rp = 0.02 + 1 .2Rm + bom = 0.20 o(eA)= 0.20 o (en) = 0.10The standard deviation for stock A is0.06560.06760.25610.260
5、0none of the above)z XJZ XJ/ A B c D EAnswer: C Difficulty: DifficultRationale: oA = (0.8)2(0.2)2 + (0.2)2,/2 = 0.2561.28. The index model has been estimated fbr stock A with the following results:R，a = 0.01 + 0.8R，m + e n gm = 0.20 o(eA)= 0.10The standard deviation of the return for stock A is.0.03
6、560.18860.16000.6400none of the aboveJZ s)z X)/ A B c D EAnswer: B Difficulty: DifficultRationale: oB = (.8)2(0.2)2 + (0.1)2,/2 = 0.1886.29. Security returnsare based on both macro events and firm-specific events.are based on firm-specific events only.are usually positively correlated with each othe
7、r.A and B.A and C.X1IZ J/ )z XJ/A B c D EAnswer: E DifHculty: EasyRationale: Stock returns are usually highly positively correlated with each other. Stock returns are affected by both macro economic events and firm-specific events.30. The single-index modelgreatly reduces the number of required calc
8、ulations, relative to those required by the Markowitz model.A) enhances the understanding of systematic versus nonsystematic risk.B) greatly increases the number of required calculations, relative to those required by the Markowitz model.C) A and B.D) B and C.Answer: D Difficulty: EasyRationale: The
9、 single index model both greatly reduces the number of calculations and enhances the understanding of the relationship between systematic and unsystematic risk on security returns.31. The Security Characteristic Line (SCL)z XJZ JZ XJZ A B c D E)z XJZ JZ XJZ A B c D Eplots the excess return on a secu
10、rity as a function of the excess return on the market.allows one to estimate the beta of the security.allows one to estimate the alpha of the security.all of the above.none of the above.Answer: D Difficulty: EasyRationale: The security characteristic line, which plots the excess return of the securi
11、ty as a function of the excess return of the market allows one to estimate both the alpha and the beta of the security.32.u JZ JZ JZ d A B c D Emacroeconomic events on a security s returnincluded in the security s expected return.zero.equal to the risk free rate.proportional to the firms beta.infini
12、te.Answer: B Difficulty: ModerateRationale: The expected value of unanticipated macroeconomic events is zero, because by definition it must average to zero or it would be incorporated into the expected return.33. Covariances between security returns tend to beA) positive because of SEC regulations.B
13、) positive because of Exchange regulations.C) positive because of economic forces that affect many firms.D) negative because of SEC regulationsE) negative because of economic forces that affect many firms.Answer: C Difficulty: ModerateRationale: Economic forces such as business cycles, interest rate
14、s, and technological changes tend to have similar impacts on many firms.34. In the single-index model represented by the equation q = E(q) + 陆 + ej, the term ej representsA) the impact of unanticipated macroeconomic events on security is return.B) the impact of unanticipated firm-specific events on
15、security is return.C) the impact of anticipated macroeconomic events on security is return.D) the impact of anticipated firm-specific events on security is return.E) the impact of changes in the market on security is return.Answer: B Difficulty: ModerateRationale: The textbook discusses a model in w
16、hich macroeconomic events are used as a single index for security returns. The ei term represents the impact of unanticipated firm-specific events. The ei term has an expected value of zero. Only unanticipated events would affect the return.35. Suppose you are doing a portfolio analysis that include
17、s all of the stocks on the NYSE. Using a single-index model rather than the Markowitz model the number ofinputs needed from to.A) increases, about 1,400, more than 1.4 millionB) increases, about 10,000, more than 125,000C) reduces, more than 125,000, about 10,000D) reduces, more than 4 million, abou
18、t 9,000E) increases, about 150, more than 1,500Answer: D Difficulty: ModerateRationale: This example is discussed in the textbook. The main point for the students to remember is that the single-index model drastically reduces the number of inputs required.36. One “cost of the single-index model is t
19、hat itA) is virtually impossible to apply.B) prohibits specialization of efforts within the security analysis industry.C) requires forecasts of the money supply.D) is legally prohibited by the SEC.E) allows fbr only two kinds of risk - macro risk and micro risk.Answer: E Difficulty: ModerateRational
20、e: The single-index model discussed in chapter 10 broke risk into macro and micro portions. In this model other factors such as industry effects.37. The Security Characteristic Line (SCL) associated with the single-index model is a plot ofthe securitys returns on the vertical axis and the market ind
21、exs returns on the horizontal axis.A) the market indexs returns on the vertical axis and the securitys returns on the horizontal axis.B) the securitys excess returns on the vertical axis and the market indexs excess returns on the horizontal axis.C) the market indexs excess returns on the vertical a
22、xis and the securitys excess returns on the horizontal axis.D) the securitys returns on the vertical axis and Beta on the horizontal axis.Answer: C Difficulty: ModerateRationale: The student needs to remember that it is the excess returns that are plotted and that the securitys returns are plotted a
23、s a dependent variable.x)z J/ )z JZA B c D E38. The idea that there is a limit to the reduction of portfolio risk due to diversification is contradicted by both the CAPM and the single-index model, contradicted by the CAPM.contradicted by the single-index model.supported in theory, but not supported
24、 empirically, supported both in theory and by empirical evidence.Answer: E Difficulty: ModerateRationale: The benefits of diversification are limited to the level of systematic risk.Figure 8.1 shows this concept graphically.39. In their study about predicting beta coefficients, which of the followin
25、g did Rosenberg and Guy find to be factors that influence beta?I) industry groupII) variance of cash flowIII) dividend yieldIV) growth in earnings per share)z XJZ XJZ JZ A B c D E)z XJZ XJZ JZ A B c D EI and III and III1, II, and IIII, II, and IVI, II, III, and IVAnswer: E Difficulty: ModerateRation
26、ale: All of the factors mentioned, as well as variance of earnings, firm size, and debt-to-asset ratio, were found to help predict betas.40. If a firm s beta was calculated as 1.6 in a regression equation, Merrill Lynch would state the adjusted beta at a numberxuz )z JZ JZ A B c D Exuz )z JZ JZ A B
27、c D Eless than 0.6 but greater than zero.between 0.6 and 1.0.between 1.0 and 1.6.greater than 1.6.zero or less.Answer: C Difficulty: ModerateRationale: Betas, on average, equal one; thus, betas over time regress toward the mean, or 1. Therefore, if historic betas are more than 1, adjusted betas are
28、between I and the calculated beta.41. The beta of a stock has been estimated as 1.8 by Merrill Lynch using regression analysis on a sample of historical returns. The Merrill Lynch adjusted beta of the stock would be)z XJZ x)z x)zA B c D E)z XJZ x)z x)zA B c D E1.201.531.131.0none of the aboveAnswer:
29、 B Diificulty: ModerateRationale: Adjusted beta = 2/3 sample beta + 1/3(1); = 2/3( 1.8) + 1/3 = 1.53.42.Assume that stock market returns do not resemble a single-index structure. An investment fund analyzes 40 stocks in order to construct a mean-variance efficientportfolio constrained by 40 investme
30、nts. They will need to calculateexpected returns and variances of returns.XJZ )/ .1/ XJZ A B c D E40, 40100, 100 4950, 1004950,4950none of the aboveAnswer: B Difficulty: ModerateRationale: The expected returns of each of the 40 securities must be calculated. In addition, the 40 variances around thes
31、e returns must be calculated.43. Assume that stock market returns do not resemble a single-index structure. An investment fund analyzes 40 stocks in order to construct a mean-variance efficient portfolio constrained by 40 investments. They will need to calculate covariances.7 )z XJZ A B c D E457804,
32、95010,000none of the aboveAnswer: B Difficulty: ModerateRationale: (n2 - n)/2 = (1,600 - 40)/2 = 780 covariances must be calculated.44. Assume that stock market returns do follow a single-index structure. An investment fund analyzes 60 stocks in order to construct a mean-variance efficient porliolio
33、 constrained by 60 investments. They will need to calculate estimates ofexpected returns and estimates of sensitivity coefficients to themacroeconomic factor.A) 200; 19,900B) 200; 200C) 60; 60D) 19,900; 19.900E) none of the aboveAnswer: C Difficulty: ModerateRationale: For a single-index model, n(60
34、), expected returns and n(60) sensitivity coefficients to the macroeconomic factor must be estimated.45. Consider the single-index model. The alpha of a stock is 0%. The return on the market index is 10%. The risk-free rate of return is 3%. The stock earns a return that exceeds the risk-free rate by
35、 11% and there are no firm-specific events affecting the stock performance. The p of the stock is.A) 0.64B) 0.75C) 1.17D) 1.33E) 1.50Answer: A Difficulty: ModerateRationale: 7% = 0% + b(l 1%); b = 0.636.46. Suppose you held a well-diversified portfolio with a very large number of securities, and tha
36、t the single index model holds. If the o of your portfolio was 0.25 and ojvi was 0.21, the p of the portfolio would be approximately.A) 0.64B) 1.19C) 1.25D) 1.56E) none of the aboveAnswer: B Difficulty: DifficultRationale: s2p / s2m = b2; (0.25)2/(0.21)2 = 1.417; b = 1.19.47. Suppose you held a well
37、-diversified portfolio with a very large number of securities, and that the single index model holds. If the o of your portfolio was 0.18 and was 0.22, the P of the portfolio would be approximately.A) 0.64B) 1.19C) 0.82D) 1.56E) none of the aboveAnswer: C Difficulty: DifficultRationale: s2p / s2m =
38、b2; (0.18)2/(0.22)2 = 0.669; b = 0.82.48. Suppose the following equation best describes the evolution of p over time:at = 0.4 + 0.6瓦If a stock had a p of 0.9 last year, you would forecast the 0 to be in the comingyear.A) 0.45B) 0.60C) 0.70D) 0.94E) none of the aboveAnswer: D Difficulty: EasyRational
39、e: 0.4 + 0.6(0.9) = 0.94.49. Suppose the following equation best describes the evolution of 0 over time:pt = 0.3 + 0.2pt_jIf a stock had a p of 0.8 last year, you would forecast the p to be in the comingyear.A) 0.46B) 0.60C) 0.70D) 0.94E) none of the aboveAnswer: A Difficulty: EasyRationale: 0.3 + 0
40、.2(0.8) = 0.46.50. The index model for stock A has been estimated with the following result:Ra = 0.01 + 0.94Rm + eAIf om = 0.30 and R2A = 0.28, the standard deviation of return of stock A is.A) 0.2025B) 0.2500C) 0.4500D) 0.5329E) none of the aboveAnswer: D Difficulty: DifficultRationale: R2 = b2s2M
41、/ s2; 0.28 = (0.94) 2(0.30)2 / .28; s = 0.5329.51.30. A reasonable forecast of the return on Mobil stock for the coming year is if you use Merrill Lynch adjusted betas.x)z X.JZ 17 JZ A B c D E15.0%5%16.0%6%none of the aboveAnswer: D Difficulty: DifficultRationale: Adjusted beta = 2/3(1.5) + 1/3 = 1.
42、33; E(rM) = 4% + 1.33(8%) = 14.6%.52. The index model has been estimated for stocks A and B with the following results:Ra = 0.01 + 0.8Rm + eARb = 0.02 +1.1 Rm + cbCM = 0.30 o (e) = 0.20 o (e) = 0.10The covariance between the returns on stocks A and B isA) 0.0384B) 0.0406C) 0.1920D) 0.0050E) 0.0792An
43、swer: E Difficulty: DifficultRationale: Cov(RA,RB) = bAbBs2M = 0.8(l.l)(0.30)2 = 0.0792.53. If a firms beta was calculated as 1.35 in a regression equation, Merrill Lynch would state the adjusted beta at a number)z JZ x)z J/ A B c D E)z JZ x)z J/ A B c D Eless than 1.35between 0.0 and 1.0.between 1.
44、0 and 1.35.greater than 1.35.zero or less.Answer: C Diificulty: ModerateRationale: Betas, on average, equal one; thus, betas over time regress toward the mean, or 1. Therefore, if historic betas are less than I, adjusted betas are between 1 and the calculated beta.54. The beta of a stock has been es
45、timated as 1.4 by Merrill Lynch using regression analysis on a sample of historical returns. The Merrill Lynch adjusted beta of the stock would be)z JZ 1/ 1/ XJZ A B c D E)z JZ 1/ 1/ XJZ A B c D E1.271.321.131.0none of the aboveAnswer: A Difficulty: ModerateRationale: Adjusted beta = 2/3 sample beta
46、 + 1/3(1); = 2/3( 1.4) + 1/3 = 1.27.55. The beta of a stock has been estimated as 0.85 by Merrill Lynch using regression analysis on a sample of historical returns. The Merrill Lynch adjusted beta of the stock would be.)z XJZ JZ XJZ A B c D E0.951.130.90none of the above1.01Answer: D Difficulty: Mod
47、erateRationale: Adjusted beta = 2/3 sample beta + 1/3(1); = 2/3(0.85) + 1/3 = 0.90.56. Assume that stock market returns do not resemble a single-index structure. An investment fund analyzes 125 stocks in order to construct a mean-variance efficient portfolio constrained by 125 investments. They will need to calculate expected returns and variances of returns.x)z J/ )z JZA B c D E125, 125125, 15,62515,625, 12515,625, 15,625none of the aboveAnswer: A Difficulty: ModerateRationale: The expected returns