《投资学第7版Test Bank答案09》.docVIP

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Multiple Choice Questions 1. In the context of the Capital Asset Pricing Model (CAPM) the relevant measure of risk is A) unique risk. B) beta. C) standard deviation of returns. D) variance of returns. E) none of the above. Answer: B Difficulty: Easy Rationale: Once, a portfolio is diversified, the only risk remaining is systematic risk, which is measured by beta.矚慫润厲钐瘗睞枥庑赖賃軔朧碍鳝。 2. According to the Capital Asset Pricing Model (CAPM) a well diversified portfolios rate of return is a function of 聞創沟燴鐺險爱氇谴净祸測樅锯鳗。 A) market risk B) unsystematic risk C) unique risk. D) reinvestment risk. E) none of the above. Answer: A Difficulty: Easy Rationale: With a diversified portfolio, the only risk remaining is market, or systematic, risk. This is the only risk that influences return according to the CAPM.残骛楼諍锩瀨濟溆塹籟婭骒東戇鳖。 3. The market portfolio has a beta of A) 0. B) 1. C) -1. D) 0.5. E) none of the above Answer: B Difficulty: Easy Rationale: By definition, the beta of the market portfolio is 1.酽锕极額閉镇桧猪訣锥顧荭钯詢鳕。 4. The risk-free rate and the expected market rate of return are 0.06 and 0.12, respectively. According to the capital asset pricing model (CAPM), the expected rate of return on security X with a beta of 1.2 is equal to 彈贸摄尔霁毙攬砖卤庑诒尔肤亿鳔。 A) 0.06. B) 0.144. C) 0.12. D) 0.132 E) 0.18 Answer: D Difficulty: Easy Rationale: E(R) = 6% + 1.2(12 - 6) = 13.2%. 5. The risk-free rate and the expected market rate of return are 0.056 and 0.125, respectively. According to the capital asset pricing model (CAPM), the expected rate of return on a security with a beta of 1.25 is equal to 謀荞抟箧飆鐸怼类蒋薔點鉍杂篓鳐。 A) 0.1225 B) 0.144. C) 0.153. D) 0.134 E) 0.117 Answer: A Difficulty: Easy Rationale: E(R) = 5.6% + 1.25(12.5 - 5.6) = 14.225%.厦礴恳蹒骈時盡继價骚卺癩龔长鳏。 6. Which statement is not true regarding the market portfolio? 茕桢广鳓鯡选块网羈泪镀齐鈞摟鳎。 A) It includes all publicly traded financial assets. 鹅娅尽損鹌惨歷茏鴛賴縈诘聾諦鳍。

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