投资学题库Chap009

9-1Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.Chapter09TheCapitalAssetPricingModelMultipleChoiceQuestions1.InthecontextoftheCapitalAssetPricingModel(CAPM)therelevantmeasureofriskisA.uniquerisk.B.beta.C.standarddeviationofreturns.D.varianceofreturns.2.InthecontextoftheCapitalAssetPricingModel(CAPM)therelevantriskisA.uniquerisk.B.systematicrisk.C.standarddeviationofreturns.D.varianceofreturns.9-2Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.3.InthecontextoftheCapitalAssetPricingModel(CAPM)therelevantriskisA.uniquerisk.B.marketrisk.C.standarddeviationofreturns.D.varianceofreturns.4.AccordingtotheCapitalAssetPricingModel(CAPM)awelldiversifiedportfolio'srateofreturnisafunctionofA.marketrisk.B.unsystematicrisk.C.uniquerisk.D.reinvestmentrisk.E.Noneoftheoptions5.AccordingtotheCapitalAssetPricingModel(CAPM)awelldiversifiedportfolio'srateofreturnisafunctionofA.betarisk.B.unsystematicrisk.C.uniquerisk.D.reinvestmentrisk.E.Noneoftheoptions9-3Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.6.AccordingtotheCapitalAssetPricingModel(CAPM)awelldiversifiedportfolio'srateofreturnisafunctionofA.systematicrisk.B.unsystematicrisk.C.uniquerisk.D.reinvestmentrisk.7.ThemarketportfoliohasabetaofA.0.B.1.C.-1.D.0.5.8.Therisk-freerateandtheexpectedmarketrateofreturnare0.06and0.12,respectively.Accordingtothecapitalassetpricingmodel(CAPM),theexpectedrateofreturnonsecurityXwithabetaof1.2isequaltoA.0.06.B.0.144.C.0.12.D.0.132.E.0.18.9-4Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.9.Therisk-freerateandtheexpectedmarketrateofreturnare0.056and0.125,respectively.Accordingtothecapitalassetpricingmodel(CAPM),theexpectedrateofreturnonasecuritywithabetaof1.25isequaltoA.0.142.B.0.144.C.0.153.D.0.134.E.0.117.10.Whichstatementisnottrueregardingthemarketportfolio?A.Itincludesallpubliclytradedfinancialassets.B.Itliesontheefficientfrontier.C.Allsecuritiesinthemarketportfolioareheldinproportiontotheirmarketvalues.D.Itisthetangencypointbetweenthecapitalmarketlineandtheindifferencecurve.E.Alloftheoptionsaretrue.9-5Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.11.Whichstatementistrueregardingthemarketportfolio?I)Itincludesallpubliclytradedfinancialassets.II)Itliesontheefficientfrontier.III)Allsecuritiesinthemarketportfolioareheldinproportiontotheirmarketvalues.IV)Itisthetangencypointbetweenthecapitalmarketlineandtheindifferencecurve.A.IonlyB.IIonlyC.IIIonlyD.IVonlyE.I,II,andIII12.Whichstatementisnottrueregardingthecapitalmarketline(CML)?A.TheCMListhelinefromtherisk-freeratethroughthemarketportfolio.B.TheCMListhebestattainablecapitalallocationline.C.TheCMLisalsocalledthesecuritymarketline.D.TheCMLalwayshasapositiveslope.E.TheriskmeasurefortheCMLisstandarddeviation.9-6Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.13.Whichstatementistrueregardingthecapitalmarketline(CML)?I)TheCMListhelinefromtherisk-freeratethroughthemarketportfolio.II)TheCMListhebestattainablecapitalallocationline.III)TheCMLisalsocalledthesecuritymarketline.IV)TheCMLalwayshasapositiveslope.A.IonlyB.IIonlyC.IIIonlyD.IVonlyE.I,II,andIV14.Themarketrisk,beta,ofasecurityisequaltoA.thecovariancebetweenthesecurity'sreturnandthemarketreturndividedbythevarianceofthemarket'sreturns.B.thecovariancebetweenthesecurityandmarketreturnsdividedbythestandarddeviationofthemarket'sreturns.C.thevarianceofthesecurity'sreturnsdividedbythecovariancebetweenthesecurityandmarketreturns.D.thevarianceofthesecurity'sreturnsdividedbythevarianceofthemarket'sreturns.9-7Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.15.AccordingtotheCapitalAssetPricingModel(CAPM),theexpectedrateofreturnonanysecurityisequaltoA.Rf+β[E(RM)].B.Rf+β[E(RM)-Rf].C.β[E(RM)-Rf].D.E(RM)+Rf.16.Thesecuritymarketline(SML)isA.thelinethatdescribestheexpectedreturn-betarelationshipforwell-diversifiedportfoliosonly.B.alsocalledthecapitalallocationline.C.thelinethatistangenttotheefficientfrontierofallriskyassets.D.thelinethatrepresentstheexpectedreturn-betarelationship.E.Alloftheoptions17.AccordingtotheCapitalAssetPricingModel(CAPM),fairlypricedsecuritieshaveA.positivebetas.B.zeroalphas.C.negativebetas.D.positivealphas.9-8Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.18.AccordingtotheCapitalAssetPricingModel(CAPM),underpricedsecuritieshaveA.positivebetas.B.zeroalphas.C.negativebetas.D.positivealphas.E.Noneoftheoptions19.AccordingtotheCapitalAssetPricingModel(CAPM),overpricedse