投资学题库Chap008

8-1Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.Chapter08IndexModelsMultipleChoiceQuestions1.Asdiversificationincreases,thetotalvarianceofaportfolioapproachesA.0.B.1.C.thevarianceofthemarketportfolio.D.infinity.E.Noneoftheoptions2.Asdiversificationincreases,thestandarddeviationofaportfolioapproachesA.0.B.1.C.infinity.D.thestandarddeviationofthemarketportfolio.E.Noneoftheoptions8-2Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.3.Asdiversificationincreases,thefirm-specificriskofaportfolioapproachesA.0.B.1.C.infinity.D.(n-1)×n.4.Asdiversificationincreases,theunsystematicriskofaportfolioapproachesA.1.B.0.C.infinity.D.(n-1)×n.5.Asdiversificationincreases,theuniqueriskofaportfolioapproachesA.1.B.0.C.infinity.D.(n-1)×n.6.TheindexmodelwasfirstsuggestedbyA.Graham.B.Markowitz.C.Miller.D.Sharpe.8-3Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.7.Asingle-indexmodeluses__________asaproxyforthesystematicriskfactor.A.amarketindex,suchastheS&P500B.thecurrentaccountdeficitC.thegrowthrateinGNPD.theunemploymentrate8.Betabookstypicallyrelyonthe__________mostrecentmonthlyobservationstocalculateregressionparameters.A.12B.36C.60D.1209.TheindexmodelhasbeenestimatedforstocksAandBwiththefollowingresults:RA=0.03+0.7RM+eA.RB=0.01+0.9RM+eB.σM=0.35;σ(eA)=0.20;σ(eB)=0.10.ThecovariancebetweenthereturnsonstocksAandBisA.0.0384.B.0.0406.C.0.1920.D.0.0772.E.0.4000.8-4Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.10.Accordingtotheindexmodel,covariancesamongsecuritypairsareA.duetotheinfluenceofasinglecommonfactorrepresentedbythemarketindexreturn.B.extremelydifficulttocalculate.C.relatedtoindustry-specificevents.D.usuallypositive.E.duetotheinfluenceofasinglecommonfactorrepresentedbythemarketindexreturnandusuallypositive.11.TheinterceptintheregressionequationscalculatedbybetabooksisequaltoA.αintheCAPM.B.α+rf(1+β).C.α+rf(1-β).D.1-α.12.Analystsmayuseregressionanalysistoestimatetheindexmodelforastock.Whendoingso,theslopeoftheregressionlineisanestimateofA.theαoftheasset.B.theβoftheasset.C.theσoftheasset.D.theδoftheasset.8-5Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.13.Analystsmayuseregressionanalysistoestimatetheindexmodelforastock.Whendoingso,theinterceptoftheregressionlineisanestimateofA.theαoftheasset.B.theβoftheasset.C.theσoftheasset.D.theδoftheasset.14.Inafactormodel,thereturnonastockinaparticularperiodwillberelatedtoA.firm-specificevents.B.macroeconomicevents.C.theerrorterm.D.bothfirm-specificeventsandmacroeconomicevents.E.neitherfirm-specificeventsandmacroeconomicevents.15.RosenbergandGuyfoundthat__________helpedtopredictafirm'sbeta.A.thefirm'sfinancialcharacteristicsB.thefirm'sindustrygroupC.firmsizeD.thefirm'sfinancialcharacteristicsandthefirm'sindustrygroupE.Alloftheoptions8-6Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.16.Iftheindexmodelisvalid,_________wouldbehelpfulindeterminingthecovariancebetweenassetsGMandGE.A.βGMB.βGEC.σMD.AlloftheoptionsE.Noneoftheoptions17.Iftheindexmodelisvalid,_________wouldbehelpfulindeterminingthecovariancebetweenassetsHPQandKMP.A.βHPQB.βKMPC.σMD.AlloftheoptionsE.Noneoftheoptions18.Iftheindexmodelisvalid,_________wouldbehelpfulindeterminingthecovariancebetweenassetsKandL.A.βkB.βLC.σMD.AlloftheoptionsE.Noneoftheoptions8-7Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.19.RosenbergandGuyfoundthat___________helpedtopredictfirms'betas.A.debt/assetratiosB.marketcapitalizationC.varianceofearningsD.AlloftheoptionsE.Noneoftheoptions20.Ifafirm'sbetawascalculatedas0.6inaregressionequation,acommonlyusedadjustmenttechniquewouldprovideanadjustedbetaofA.lessthan0.6butgreaterthanzero.B.between0.6and1.0.C.between1.0and1.6.D.greaterthan1.6.E.zeroorless.21.Ifafirm'sbetawascalculatedas0.8inaregressionequation,acommonlyusedadjustmenttechniquewouldprovideanadjustedbetaofA.lessthan0.8butgreaterthanzero.B.between1.0and1.8.C.between0.8and1.0.D.greaterthan1.8.E.zeroorless.8-8Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.22.Ifafirm'sbetawascalculatedas1.3inaregressionequation,acommonlyusedadjustmenttechniquewouldprovideanadjustedbetaofA.lessthan1.0butgreaterthanzero.B.between0.3and0.9.C.between1.0and1.3.D.greaterthan1.3.E.zeroorless.23.ThebetaofExxonstockhasbeenestimatedas1.6usingregressionanalysisonasampleofhistoricalreturns.AcommonlyusedadjustmenttechniquewouldprovideanadjustedbetaofA.1.20.B.1.32.C.1.13.D.1.40.24.ThebetaofApplestockhasbeenestimatedas2