投资学题库Chap008【参考】.docx

Chapter 08Index Models?Multiple Choice Questions?1.As diversification increases, the total variance of a portfolio approaches??A.?0.B.?1.C.?the variance of the market portfolio.D.?infinity.E.?None of the options?2.As diversification increases, the standard deviation of a portfolio approaches??A.?0.B.?1.C.?infinity.D.?the standard deviation of the market portfolio.E.?None of the options?3.As diversification increases, the firm-specific risk of a portfolio approaches??A.?0.B.?1.C.?infinity.D.?(n - 1) × n.?4.As diversification increases, the unsystematic risk of a portfolio approaches??A.?1.B.?0.C.?infinity.D.?(n - 1) × n.?5.As diversification increases, the unique risk of a portfolio approaches??A.?1.B.?0.C.?infinity.D.?(n - 1) × n.?6.The index model was first suggested by??A.?Graham.B.?Markowitz.C.?Miller.D.?Sharpe.?7.A single-index model uses __________ as a proxy for the systematic risk factor.??A.?a market index, such as the S&P 500B.?the current account deficitC.?the growth rate in GNPD.?the unemployment rate?8.Beta books typically rely on the __________ most recent monthly observations to calculate regression parameters.??A.?12B.?36C.?60D.?120?9.The index model has been estimated for stocks A and B with the following results:RA = 0.03 + 0.7RM + eA.RB = 0.01 + 0.9RM + eB.σM = 0.35; σ(eA) = 0.20; σ(eB) = 0.10.The covariance between the returns on stocks A and B is??A.?0.0384.B.?0.0406.C.?0.1920.D.?0.0772.E.?0.4000.?10.According to the index model, covariances among security pairs are??A.?due to the influence of a single common factor represented by the market index return.B.?extremely difficult to calculate.C.?related to industry-specific events.D.?usually positive.E.?due to the influence of a single common factor represented by the market index return and usually positive.?11.The intercept in the regression equations calculated by beta books is equal to??A.?α in the CAPM.B.?α + rf(1 + β).C.?α + rf(1 - β).D.?1 - α.?12.Analysts may use regression analysis to estima