(完整版)投资学第7版TestBank答案13.docxVIP

Chapter 13 Empirical Evidence on Security Returns Multiple Choice Questions The expected return/beta relationship is used ___________. by regulatory commissions in determining the costs of capital for regulated firms in court rulings to determine discount rates to evaluate claims of lost future incomes to advise clients as to the composition of their portfolios all of the above none of the above Answer: D Difficulty: Easy Rationale: The risk/return relationship is appropriate for all of the uses cited above. __________ argued in his famous critique that tests of the expected return/beta relationship are invalid and that it is doubtful that the CAPM can ever be tested. Kim Markowitz Modigliani Roll none of the above Answer: D Difficulty: Easy Rationale: These arguments were made by Richard Roll in his famous critique of the CAPM, resulting the Institutional Investor article, Is Beta Dead? Fama and MacBeth (1973) found that the relationship between average excess returns and betas was ________. linear nonexistent as expected, based on earlier studies Fama and MacBeth did not examine the relationship between excess returns and beta A and C Answer: E Difficulty: Moderate Rationale: The Fama and MacBeth study validated earlier studies of the excess returns/beta relationship. 276 Chapter 13 Empirical Evidence on Security Returns In the empirical study of a multi-factor model by Chen, Roll, and Ross, a factor that appeared to have significant explanatory power in explaining security returns was________. the change in the expected rate of inflation the risk premium on bonds the unexpected change in the rate of inflation industrial production B, C and D Answer: E Difficulty: Difficult Rationale: Of the variables tested, Chen, Roll, and Ross found that B, C, and D were significant predictors of security returns. In the results of the earliest estimations of the security market line by Lintner (1965) and by Miller and Scholes (1972), it was found that the average difference b