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Chapter12AnAlternativeViewofRiskandReturn:TheArbitragePricingTheoryMultipleChoiceQuestions1.
IntheequationR=
+U,thethreesymbolsstandfor:
A.
averagereturn,expectedreturn,andunexpectedreturn.
B.
requiredreturn,expectedreturn,andunbiasedreturn.
C.
actualtotalreturn,expectedreturn,andunexpectedreturn.
D.
requiredreturn,expectedreturn,andunbiasedrisk.
E.
risk,expectedreturn,andunsystematicrisk.2.
TheacronymAPTstandsfor:
A.
ArbitragePricingTechniques.
B.
AbsoluteProfitTheory.
C.
ArbitragePricingTheory.
D.
AssetPutingTheory.
E.
AssuredPriceTechniques.3.
TheacronymCAPMstandsfor:
A.
CapitalAssetPricingModel.
B.
CertainArbitragePressureModel.
C.
CurrentArbitragePricesModel.
D.
CumulativeAssetPriceModel.
E.
Noneoftheabove.4.
Theunexpectedreturnonasecurity,U,ismadeupof:
A.
marketriskandsystematicrisk.
B.
systematicriskandunsystematicrisk.
C.
idiosyncraticriskandunsystematicrisk.
D.
expectedreturnandmarketrisk.
E.
expectedreturnandidiosyncraticrisk.5.
Systematicriskisdefinedas:
A.
ariskthatspecificallyaffectsanassetorsmallgroupofassets.
B.
anyriskthataffectsalargenumberofassets.
C.
anyriskthathasahugeimpactonthereturnofasecurity.
D.
therandomcomponentofreturn.
E.
Noneoftheabove.6.
ThetermCorr(R,T)=0tellsusthat:
A.
allerrortermsofcompanyRandTare0.
B.
theunsystematicriskofcompaniesRandTisunrelatedoruncorrelated.
C.
thecorrelationbetweenthereturnsofcompaniesRandTis-1.
D.
thesystematicriskofcompaniesRandTisunrelated.
E.
Noneoftheabove.7.
Afactorisavariablethat:
A.
affectsthereturnsofriskyassetsinasystematicfashion.
B.
affectsthereturnsofriskyassetsinanunsystematicfashion.
C.
correlateswithriskyassetreturnsinaunsystematicfashion.
D.
doesnotcorrelatewiththereturnsofriskyassetsinansystematicfashion.
E.
Noneoftheabove.8.
Asecuritythathasabetaofzerowillhaveanexpectedreturnof:
A.
zero.
B.
themarketriskpremium.
C.
theriskfreerate.
D.
lessthantheriskfreeratebutnotnegative.
E.
lessthantheriskfreeratewhichcanbenegative.9.
Whichofthefollowingistrueabouttheimpactonmarketpriceofasecuritywhenacompanymakesanannouncementandthemarkethasdiscountedthenews?
A.
Thepricewillchangeagreatdeal;eventhoughtheimpactisprimarilyinthefuture,thefuturevalueisdiscountedtothepresent.
B.
Thepricewillchangelittle,ifatall,sincetheimpactisprimarilyinthefuture.
C.
Thepricewillchangelittle,ifatall,sincethemarketconsidersthisinformationunimportant.
D.
Thepricewillchangelittle,ifatall,sincethemarketconsidersthisinformationuntrue.
E.
Thepricewillchangelittle,ifatall,sincethemarkethasalreadyincludedthisinformationinthesecurity'sprice.10.
Shareholdersdiscountmanycorporateannouncementsbecauseoftheirpriorexpectations.Ifanannouncementcausesthepricetochangeitwillmostlybedrivenby:
A.
theexpectedpartoftheannouncement.
B.
marketinefficiency.
C.
theunexpectedpartoftheannouncement.
D.
thesystematicrisk.
E.
Noneoftheabove.11.
Acompanyowninggoldmineswillprobablyhavea_____inflationbetabecausean___increaseininflationisusuallyassociatedwithanincreaseingoldprices.
A.
negative;anticipated
B.
positive;anticipated
C.
negative;unanticipated
D.
positive;unanticipated
E.
Noneoftheabove.12.
IfcompanyA,amedicalresearchcompany,makesanewproductdiscoveryandtheirstockrises5%,thiswillhave:
A.
noeffectonCompanyB's,anewspaper,stockpricebecauseitisasystematicriskelement.
B.
noeffectonCompanyB's,anewspaper,stockpricebecauseitisanunsystematicriskelement.
C.
alargeeffectonCompanyB's,anewspaper,stockpricebecauseitisasystematicriskelement.
D.
alargeeffectonCompanyB's,anewspaper,stockpricebecauseitisanunsystematicriskelement.
E.
Noneoftheabove.13.
WhatwouldnotbetrueaboutaGNPbeta?
A.
Ifastock'sGNP=1.5,thestockwillexperiencea1.5%increaseforevery1%surpriseincreaseinGNP.
B.
Ifastock'sGNP=-1.5,thestockwillexperiencea1.5%decreaseforevery1%surpriseincreaseinGNP.
C.
Itisameasureofrisk.
D.
ItmeasurestheimpactofsystematicriskassociatedwithGNP.
E.
Noneoftheabove.14.
Iftheexpectedrateofinflationwas3%andtheactualratewas6.2%;thesystematicresponsecoefficientfrominflation,I,wouldresultinachangeinanysecurityreturnof___I.
A.
9.2
B.
3.2
C.
-3.2
D.
3.0
E.
6.215.
Inaportfolioofriskyassets,theresponsetoafactor,Fi,canbedeterminedby:
A.
summingtheweightedisandmultiplyingbythefactorFi.
B.
summingtheFis.
C.
addingtheaverageweightedexpectedreturns.
D.
summingtheweightedrandomerrors.
E.
Alloftheabove.16.
Intheonefactor(APT)model,thecharacteristiclinetoestimateipassesthroughtheorigin,unliketheestimateusedintheCAPMbecause:
A.
therelationshipisbetweentheactualreturnonasecurityandthemarketindex.
B.
therelationshipmeasuresthechangeinthesecurityreturnovertimeversusthechangeinthemarketreturn.
C.
therelationshipmeasuresthechangeinexcessreturnonasecurityversusGNP.
D.
therelationshipmeasuresthechangeinexcessreturnonasecurityversusthereturnonthefactoraboutitsmeanofzero.
E.
Cannotbedeterminedwithoutactualdata.17.
ThebetasalongwiththefactorsintheAPTadjusttheexpectedreturnfor:
A.
calculationerrors.
B.
unsystematicrisks.
C.
spuriouscorrelationsoffactors.
D.
differencesbetweenactualandexpectedlevelsoffactors.
E.
Alloftheabove.18.
ThesinglefactorAPTmodelthatresemblesthemarketmodeluses_________asthesinglefactor.
A.
arbitragefees
B.
GNP
C.
theinflationrate
D.
themarketreturn
E.
therisk-freereturn19.
Foradiversifiedportfolioincludingalargenumberofstocks,the:
A.
weightedaverageexpectedreturngoestozero.
B.
weightedaverageofthebetasgoestozero.
C.
weightedaverageoftheunsystematicriskgoestozero.
D.
returnoftheportfoliogoestozero.
E.
returnontheportfolioequalstherisk-freerate.20.
Whichofthefollowingstatementsistrue?
A.
Awell-diversifiedportfoliohasnegligiblesystematicrisk.
B.
Awell-diversifiedportfoliohasnegligibleunsystematicrisk.
C.
Anindividualsecurityhasnegligiblesystematicrisk.
D.
Anindividualsecurityhasnegligibleunsystematicrisk.
E.
BothAandD.21.
AssumingthatthesinglefactorAPTmodelapplies,thebetaforthemarketportfoliois:
A.
zero.
B.
one.
C.
theaverageoftheriskfreebetaandthebetaforthehighestrisksecurity.
D.
impossibletocalculatewithoutcollectingsampledata.
E.
Noneoftheabove.22.
Innormalmarketconditionsifasecurityhasanegativebeta:
A.
thesecurityalwayshasapositivereturn.
B.
thesecurityhasanexpectedreturnabovetherisk-freereturn.
C.
thesecurityhasanexpectedreturnlessthantherisk-freerate.
D.
thesecurityhasanexpectedreturnequaltothemarketportfolio.
E.
BothAandB.23.
AcriticismoftheCAPMisthatit:
A.
ignoresthereturnonthemarketportfolio.
B.
ignorestherisk-freereturn.
C.
requiresasinglemeasureofsystematicrisk.
D.
utilizestoomanyfactors.
E.
Noneoftheabove.24.
ToestimatethecostofequitycapitalforafirmusingtheCAPM,itisnecessarytohave:
A.
companyfinancialleverage,beta,andthemarketriskpremium.
B.
companyfinancialleverage,beta,andtherisk-freerate.
C.
beta,companyfinancialleverage,andtheindustrybeta.
D.
beta,companyfinancialleverage,andthemarketriskpremium.
E.
beta,therisk-freerate,andthemarketriskpremium.25.
AnadvantageoftheAPToverCAPMis:
A.
APTcanhandlemultiplefactors.
B.
ifthefactorscanbeproperlyidentified,theAPTmayhavemoreexplanation/predictivepowerforreturns.
C.
theAPTforcesunsystematicrisktobenegativetooffsetsystematicrisk;thusmakingthetotalportfolioriskfree,allowingforanarbitrageopportunityfortheastuteinvestor.
D.
BothAandB.
E.
Alloftheabove.26.
Parametricorempiricalmodelsrelyon:
A.
securitybetasexplainingsystematicfactorrelationships.
B.
findingregularitiesandrelationsinpastmarketdata.
C.
therebeingnotrueexplanationsofpricingrelationships.
D.
alwaysbeingabletofindtheexceptiontotherule.
E.
Noneoftheabove27.
Agrowthstockportfolioandavalueportfoliomightbecharacterized:
A.
eachbytheirP/ErelativetotheindexP/E;highP/Eforgrowthandlowerforvalue.
B.
asearningahighrateofreturnforagrowthsecurityandalowrateofreturnforvaluesecurityirrespectiveofrisk.
C.
lowunsystematicriskandhighsystematicriskrespectively.
D.
moderatesystematicriskandzerosystematicriskrespectively.
E.
Noneoftheabove.28.
Styleportfoliosarecharacterizedby:
A.
theirstockattributes;P/EslessthanthemarketP/Earevaluefunds.
B.
theirsystematicfactors,highersystematicfactorsarebenchmarkportfolios.
C.
theirstockattributes;higherstockattributefactorsarebenchmarkportfolios.
D.
theirsystematicfactors,P/Esgreaterthanthemarketarevalueportfolios.
E.
Thereisnodifferencebetweensystematicfactorsandstockattributes.29.
ThemostrealisticAPTmodelwouldlikelyinclude:
A.
multiplefactors.
B.
onlyonefactor.
C.
afactortomeasureinflation.
D.
BothAandC.
E.
BothBandC.30.
Whichofthefollowingstatementsis/aretrue?
A.
BothAPTandCAPMarguethatexpectedexcessreturnmustbeproportionaltothebeta(s).
B.
APTandCAPMaretheonlyapproachestomeasureexpectedreturnsinriskyassets.
C.
BothCAPMandAPTarerisk-basedmodels.
D.
BothAandB.
E.
BothAandC.31.
ThreefactorslikelytooccurintheAPTmodelare:
A.
unemployment,inflation,andcurrentrates.
B.
inflation,GNP,andinterestrates.
C.
currentrates,inflationandchangeinhousingprices.
D.
unemployment,collegetuition,andGNP.
E.
Thiscannotbedeterminedorevenestimated.32.
BoththeAPTandtheCAPMimplyapositiverelationshipbetweenexpectedreturnandrisk.TheAPTviewsrisk:
A.
verysimilarlytotheCAPMviathebetaofthesecurity.
B.
intermsofindividualintersecuritycorrelationversusthebetaoftheCAPM.
C.
viatheindustrywideormarketwidefactorscreatingcorrelationbetweensecurities.
D.
asthestandardizeddeviationofthecovariance.
E.
Noneoftheabove.33.
TheFama-Frenchthreefactormodelincludesthefollowingfactors:
A.
beta,expectedreturnonthemarket,riskfreerateofinterest,asizefactor,andavaluefactor.
B.
themarketriskpremium,avolumefactor,andasizefactor.
C.
beta,expectedreturnonthemarket,riskfreerateofinterest,avolumefactor,andavaluefactor.
D.
theyieldoncorporatebonds,asizefactor,andamarketfactor.
E.
Noneoftheabove.34.
Avaluecompanyisdefinedasonethat:
A.
tendstohavealoweraveragereturnthanagrowthcompany.
B.
tendstohavehigheraveragereturnthanagrowthcompany.
C.
hasahighratioofbookequitytomarketequity.
D.
aandb.
E.
aandc.35.
TheFama-Frenchthreefactormodelpredictstheexpectedreturnonaportfolioincreases:
A.
linearlywithitsfactorloadingofthesizefactor.
B.
linearlywithitsfactorloadingofthevolume.
C.
exponentiallywithitsfactorloadingofthesizefactor.
D.
exponentiallywithitsfactorloadingofthevolumefactor.
E.
Noneoftheabove.36.
Thesystematicresponsecoefficientforproductivity,p,wouldproduceanunexpectedchangeinanysecurityreturnof__Piftheexpectedrateofproductivitywas1.5%andtheactualratewas2.25%.
A.
0.75%
B.
-0.75%
C.
2.25%
D.
-2.25%
E.
1.5%37.
AssumethatthesinglefactorAPTmodelappliesandaportfolioexistssuchthat2/3ofthefundsareinvestedinSecurityQandtherestintherisk-freeasset.SecurityQhasabetaof1.5.Theportfoliohasabetaof:
A.
0.00
B.
0.50
C.
0.75
D.
1.00
E.
1.5038.
SupposetheJumpStartCorporation'scommonstockhasabetaof0.8.Iftherisk-freerateis4%andtheexpectedmarketreturnis9%,theexpectedreturnforJumpStart'scommonstockis:
A.
3.2%.
B.
4.0%.
C.
7.2%.
D.
8.0%.
E.
9.0%.39.
SupposetheMiniCDCorporation'scommonstockhasareturnof12%.Assumetherisk-freerateis4%,theexpectedmarketreturnis9%,andnounsystematicinfluenceaffectedMini'sreturn.ThebetaforMiniCDis:
A.
0.89.
B.
1.60.
C.
2.40.
D.
3.00.
E.
Itisimpossibletocalculatebetawithouttheinflationrate.
Supposethatwehaveidentifiedthreeimportantsystematicriskfactorsgivenbyexports,inflation,andindustrialproduction.Inthebeginningoftheyear,growthinthesethreefactorsisestimatedat-1%,2.5%,and3.5%respectively.However,actualgrowthinthesefactorsturnsouttobe1%,-2%,and2%.ThefactorbetasaregivenbyEX=1.8,I=0.7,andIP=1.0.40.
Iftheexpectedreturnonthestockis6%,andnounexpectednewsconcerningthestocksurfaces,calculatethestock'stotalreturn.
A.
2.95%
B.
4.95%
C.
6.55%
D.
7.40%
E.
8.85%41.
Calculatethestock'stotalreturnifthecompanyannouncesthatanimportantpatentfilinghasbeengrantedsoonerthanexpectedandwillearnthecompany5%moreinreturn.
A.
7.95%
B.
9.95%
C.
11.55%
D.
7.90%
E.
9.35%42.
Calculatethestock'stotalreturnifthecompanyannouncesthattheyhadanindustrialaccidentandtheoperatingfacilitieswillclosedownforsometimethusresultinginalossbythecompanyof7%inreturn.
A.
-4.05%
B.
-2.05%
C.
4.55%
D.
0.40%
E.
1.85%43.
Whatwouldthestock'stotalreturnbeiftheactualgrowthineachofthefactorswasequaltogrowthexpected?Assumenounexpectednewsonthepatent.
A.
4%
B.
5%
C.
6%
D.
7%
E.
8%EssayQuestions44.
Aninvestorisconsideringthethreestocksgivenbelow:
CalculatetheexpectedreturnandbetaofaportfolioequallyweightedbetweenstocksBandC.DemonstratethatholdingstockAactuallyreducesriskbycomparingtheriskofaportfolioequallyweightedbetweenstockBandT-BillswithaportfolioequallyweightedbetweenstocksBandA.
45.
ExplaintheconceptualdifferencesinthetheoreticaldevelopmentoftheCAPMandAPT.
46.
Youhavea3factormodeltoexplainreturns.ExplainwhatafactorrepresentsinthecontextoftheAPT?Eachfactorismultipliedbyabeta.Whatdotheserepresentandhowdotheyrelatetotheactualreturn?
47.
DiscusstheFama-Frenchthreefactormodel;bothwhatitmeansandthefactorsofthemodel.
Chapter12AnAlternativeViewofRiskandReturn:TheArbitragePricingTheoryAnswerKeyMultipleChoiceQuestions1.
IntheequationR=
+U,thethreesymbolsstandfor:
A.
averagereturn,expectedreturn,andunexpectedreturn.
B.
requiredreturn,expectedreturn,andunbiasedreturn.
C.
actualtotalreturn,expectedreturn,andunexpectedreturn.
D.
requiredreturn,expectedreturn,andunbiasedrisk.
E.
risk,expectedreturn,andunsystematicrisk.Difficultylevel:Easy
Topic:ARBITRAGEPRICINGTHEORY
Type:DEFINITIONS
2.
TheacronymAPTstandsfor:
A.
ArbitragePricingTechniques.
B.
AbsoluteProfitTheory.
C.
ArbitragePricingTheory.
D.
AssetPutingTheory.
E.
AssuredPriceTechniques.Difficultylevel:Easy
Topic:ARBITRAGEPRICINGTHEORY
Type:DEFINITIONS
3.
TheacronymCAPMstandsfor:
A.
CapitalAssetPricingModel.
B.
CertainArbitragePressureModel.
C.
CurrentArbitragePricesModel.
D.
CumulativeAssetPriceModel.
E.
Noneoftheabove.Difficultylevel:Easy
Topic:CAPITALASSETPRICINGMODEL
Type:DEFINITIONS
4.
Theunexpectedreturnonasecurity,U,ismadeupof:
A.
marketriskandsystematicrisk.
B.
systematicriskandunsystematicrisk.
C.
idiosyncraticriskandunsystematicrisk.
D.
expectedreturnandmarketrisk.
E.
expectedreturnandidiosyncraticrisk.Difficultylevel:Medium
Topic:UNEXPECTEDRETURN
Type:DEFINITIONS
5.
Systematicriskisdefinedas:
A.
ariskthatspecificallyaffectsanassetorsmallgroupofassets.
B.
anyriskthataffectsalargenumberofassets.
C.
anyriskthathasahugeimpactonthereturnofasecurity.
D.
therandomcomponentofreturn.
E.
Noneoftheabove.Difficultylevel:Easy
Topic:SYSTEMATICRISK
Type:DEFINITIONS
6.
ThetermCorr(R,T)=0tellsusthat:
A.
allerrortermsofcompanyRandTare0.
B.
theunsystematicriskofcompaniesRandTisunrelatedoruncorrelated.
C.
thecorrelationbetweenthereturnsofcompaniesRandTis-1.
D.
thesystematicriskofcompaniesRandTisunrelated.
E.
Noneoftheabove.Difficultylevel:Medium
Topic:CORRELATION
Type:DEFINITIONS
7.
Afactorisavariablethat:
A.
affectsthereturnsofriskyassetsinasystematicfashion.
B.
affectsthereturnsofriskyassetsinanunsystematicfashion.
C.
correlateswithriskyassetreturnsinaunsystematicfashion.
D.
doesnotcorrelatewiththereturnsofriskyassetsinansystematicfashion.
E.
Noneoftheabove.Difficultylevel:Easy
Topic:FACTORS
Type:DEFINITIONS
8.
Asecuritythathasabetaofzerowillhaveanexpectedreturnof:
A.
zero.
B.
themarketriskpremium.
C.
theriskfreerate.
D.
lessthantheriskfreeratebutnotnegative.
E.
lessthantheriskfreeratewhichcanbenegative.Difficultylevel:Medium
Topic:ZEROBETA
Type:DEFINITIONS
9.
Whichofthefollowingistrueabouttheimpactonmarketpriceofasecuritywhenacompanymakesanannouncementandthemarkethasdiscountedthenews?
A.
Thepricewillchangeagreatdeal;eventhoughtheimpactisprimarilyinthefuture,thefuturevalueisdiscountedtothepresent.
B.
Thepricewillchangelittle,ifatall,sincetheimpactisprimarilyinthefuture.
C.
Thepricewillchangelittle,ifatall,sincethemarketconsidersthisinformationunimportant.
D.
Thepricewillchangelittle,ifatall,sincethemarketconsidersthisinformationuntrue.
E.
Thepricewillchangelittle,ifatall,sincethemarkethasalreadyincludedthisinformationinthesecurity'sprice.Difficultylevel:Easy
Topic:ANNOUNCEMENTEFFECTS
Type:CONCEPTS
10.
Shareholdersdiscountmanycorporateannouncementsbecauseoftheirpriorexpectations.Ifanannouncementcausesthepricetochangeitwillmostlybedrivenby:
A.
theexpectedpartoftheannouncement.
B.
marketinefficiency.
C.
theunexpectedpartoftheannouncement.
D.
thesystematicrisk.
E.
Noneoftheabove.Difficultylevel:Medium
Topic:ANNOUNCEMENTEFFECTS
Type:CONCEPTS
11.
Acompanyowninggoldmineswillprobablyhavea_____inflationbetabecausean___increaseininflationisusuallyassociatedwithanincreaseingoldprices.
A.
negative;anticipated
B.
positive;anticipated
C.
negative;unanticipated
D.
positive;unanticipated
E.
Noneoftheabove.Difficultylevel:Medium
Topic:INFLATIONANDBETA
Type:CONCEPTS
12.
IfcompanyA,amedicalresearchcompany,makesanewproductdiscoveryandtheirstockrises5%,thiswillhave:
A.
noeffectonCompanyB's,anewspaper,stockpricebecauseitisasystematicriskelement.
B.
noeffectonCompanyB's,anewspaper,stockpricebecauseitisanunsystematicriskelement.
C.
alargeeffectonCompanyB's,anewspaper,stockpricebecauseitisasystematicriskelement.
D.
alargeeffectonCompanyB's,anewspaper,stockpricebecauseitisanunsystematicriskelement.
E.
Noneoftheabove.Difficultylevel:Easy
Topic:UNSYSTEMATICRISK
Type:CONCEPTS
13.
WhatwouldnotbetrueaboutaGNPbeta?
A.
Ifastock'sGNP=1.5,thestockwillexperiencea1.5%increaseforevery1%surpriseincreaseinGNP.
B.
Ifastock'sGNP=-1.5,thestockwillexperiencea1.5%decreaseforevery1%surpriseincreaseinGNP.
C.
Itisameasureofrisk.
D.
ItmeasurestheimpactofsystematicriskassociatedwithGNP.
E.
Noneoftheabove.Difficultylevel:Medium
Topic:BETA
Type:CONCEPTS
14.
Iftheexpectedrateofinflationwas3%andtheactualratewas6.2%;thesystematicresponsecoefficientfrominflation,I,wouldresultinachangeinanysecurityreturnof___I.
A.
9.2
B.
3.2
C.
-3.2
D.
3.0
E.
6.2Difficultylevel:Easy
Topic:FACTORSANDINFLATION
Type:CONCEPTS
15.
Inaportfolioofriskyassets,theresponsetoafactor,Fi,canbedeterminedby:
A.
summingtheweightedisandmultiplyingbythefactorFi.
B.
summingtheFis.
C.
addingtheaverageweightedexpectedreturns.
D.
summingtheweightedrandomerrors.
E.
Alloftheabove.Difficultylevel:Medium
Topic:FACTORS
Type:CONCEPTS
16.
Intheonefactor(APT)model,thecharacteristiclinetoestimateipassesthroughtheorigin,unliketheestimateusedintheCAPMbecause:
A.
therelationshipisbetweentheactualreturnonasecurityandthemarketindex.
B.
therelationshipmeasuresthechangeinthesecurityreturnovertimeversusthechangeinthemarketreturn.
C.
therelationshipmeasuresthechangeinexcessreturnonasecurityversusGNP.
D.
therelationshipmeasuresthechangeinexcessreturnonasecurityversusthereturnonthefactoraboutitsmeanofzero.
E.
Cannotbedeterminedwithoutactualdata.Difficultylevel:Challenge
Topic:APTANDCAPM
Type:CONCEPTS
17.
ThebetasalongwiththefactorsintheAPTadjusttheexpectedreturnfor:
A.
calculationerrors.
B.
unsystematicrisks.
C.
spuriouscorrelationsoffactors.
D.
differencesbetweenactualandexpectedlevelsoffactors.
E.
Alloftheabove.Difficultylevel:Challenge
Topic:BETASANDFACTORS
Type:CONCEPTS
18.
ThesinglefactorAPTmodelthatresemblesthemarketmodeluses_________asthesinglefactor.
A.
arbitragefees
B.
GNP
C.
theinflationrate
D.
themarketreturn
E.
therisk-freereturnDifficultylevel:Easy
Topic:SINGLEFACTORAPT
Type:CONCEPTS
19.
Foradiversifiedportfolioincludingalargenumberofstocks,the:
A.
weightedaverageexpectedreturngoestozero.
B.
weightedaverageofthebetasgoestozero.
C.
weightedaverageoftheunsystematicriskgoestozero.
D.
returnoftheportfoliogoestozero.
E.
returnontheportfolioequalstherisk-freerate.Difficultylevel:Easy
Topic:UNSYSTEMATICRISKANDDIVERSIFICATION
Type:CONCEPTS
20.
Whichofthefollowingstatementsistrue?
A.
Awell-diversifiedportfoliohasnegligiblesystematicrisk.
B.
Awell-diversifiedportfoliohasnegligibleunsystematicrisk.
C.
Anindividualsecurityhasnegligiblesystematicrisk.
D.
Anindividualsecurityhasnegligibleunsystematicrisk.
E.
BothAandD.Difficultylevel:Easy
Topic:UNSYSTEMATICRISKANDDIVERSIFICATION
Type:CONCEPTS
21.
AssumingthatthesinglefactorAPTmodelapplies,thebetaforthemarketportfoliois:
A.
zero.
B.
one.
C.
theaverageoftheriskfreebetaandthebetaforthehighestrisksecurity.
D.
impossibletocalculatewithoutcollectingsampledata.
E.
Noneoftheabove.Difficultylevel:Easy
Topic:SINGLEFACTORAPT
Type:CONCEPTS
22.
Innormalmarketconditionsifasecurityhasanegativebeta:
A.
thesecurityalwayshasapositivereturn.
B.
thesecurityhasanexpectedreturnabovetherisk-freereturn.
C.
thesecurityhasanexpectedreturnlessthantherisk-freerate.
D.
thesecurityhasanexpectedreturnequaltothemarketportfolio.
E.
BothAandB.Difficultylevel:Medium
Topic:NEGATIVEBETA
Type:CONCEPTS
23.
AcriticismoftheCAPMisthatit:
A.
ignoresthereturnonthemarketportfolio.
B.
ignorestherisk-freereturn.
C.
requiresasinglemeasureofsystematicrisk.
D.
utilizestoomanyfactors.
E.
Noneoftheabove.Difficultylevel:Easy
Topic:CAPM
Type:CONCEPTS
24.
ToestimatethecostofequitycapitalforafirmusingtheCAPM,itisnecessarytohave:
A.
companyfinancialleverage,beta,andthemarketriskpremium.
B.
companyfinancialleverage,beta,andtherisk-freerate.
C.
beta,companyfinancialleverage,andtheindustrybeta.
D.
beta,companyfinancialleverage,andthemarketriskpremium.
E.
beta,therisk-freerate,andthemarketriskpremium.Difficultylevel:Easy
Topic:CAPM
Type:CONCEPTS
25.
AnadvantageoftheAPToverCAPMis:
A.
APTcanhandlemultiplefactors.
B.
ifthefactorscanbeproperlyidentified,theAPTmayhavemoreexplanation/predictivepowerforreturns.
C.
theAPTforcesunsystematicrisktobenegativetooffsetsystematicrisk;thusmakingthetotalportfolioriskfree,allowingforanarbitrageopportunityfortheastuteinvestor.
D.
BothAandB.
E.
Alloftheabove.Difficultylevel:Easy
Topic:APTANDCAPM
Type:CONCEPTS
26.
Parametricorempiricalmodelsrelyon:
A.
securitybetasexplainingsystematicfactorrelationships.
B.
findingregularitiesandrelationsinpastmarketdata.
C.
therebeingnotrueexplanationsofpricingrelationships.
D.
alwaysbeingabletofindtheexceptiontotherule.
E.
NoneoftheaboveDifficultylevel:Challenge
Topic:EMPIRICALMODELING
Type:CONCEPTS
27.
Agrowthstockportfolioandavalueportfoliomightbecharacterized:
A.
eachbytheirP/ErelativetotheindexP/E;highP/Eforgrowthandlowerforvalue.
B.
asearningahighrateofreturnforagrowthsecurityandalowrateofreturnforvaluesecurityirrespectiveofrisk.
C.
lowunsystematicriskandhighsystematicriskrespectively.
D.
moderatesystematicriskandzerosystematicriskrespectively.
E.
Noneoftheabove.Difficultylevel:Medium
Topic:PORTFOLIOS
Type:CONCEPTS
28.
Styleportfoliosarecharacterizedby:
A.
theirstockattributes;P/EslessthanthemarketP/Earevaluefunds.
B.
theirsystematicfactors,highersystematicfactorsarebenchmarkportfolios.
C.
theirstockattributes;higherstockattributefactorsarebenchmarkportfolios.
D.
theirsystematicfactors,P/Esgreaterthanthemarketarevalueportfolios.
E.
Thereisnodifferencebetweensystematicfactorsandstockattributes.Difficultylevel:Medium
Topic:STYLEPORTFOLIOS
Type:CONCEPTS
29.
ThemostrealisticAPTmodelwouldlikelyinclude:
A.
multiplefactors.
B.
onlyonefactor.
C.
afactortomeasureinflation.
D.
BothAandC.
E.
BothBandC.Difficultylevel:Medium
Topic:APT
Type:CONCEPTS
30.
Whichofthefollowingstatementsis/aretrue?
A.
BothAPTandCAPMarguethatexpectedexcessreturnmustbeproportionaltothebeta(s).
B.
APTandCAPMaretheonlyapproachestomeasureexpectedreturnsinriskyassets.
C.
BothCAPMandAPTarerisk-basedmodels.
D.
BothAandB.
E.
BothAandC.Difficultylevel:Medium
Topic:APTANDCAPM
Type:CONCEPTS
31.
ThreefactorslikelytooccurintheAPTmodelare:
A.
unemployment,inflation,andcurrentrates.
B.
inflation,GNP,andinterestrates.
C.
currentrates,inflationandchangeinhousingprices.
D.
unemployment,collegetuition,andGNP.
E.
Thiscannotbedeterminedorevenestimated.Difficultylevel:Medium
Topic:APTFACTORS
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