投资学第7版Test Bank答案09

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1、Chapter9TheCapitalAssetPricingModelMultipleChoiceQuestions1.InthecontextoftheCapitalAssetPricingModel(CAPM)therelevantmeasureofriskisA)uniquerisk.B)beta.C)standarddeviationofreturns.D)varianceofreturns.E)noneoftheabove.Answer:BDifficulty:EasyRationale:Onc

2、e,aportfolioisdiversified,theonlyriskremainingissystematicrisk,whichismeasuredbybeta.2.AccordingtotheCapitalAssetPricingModel(CAPM)awelldiversifiedportfolio'srateofreturnisafunctionofA)marketriskB)unsystematicriskC)uniquerisk.D)reinvestmentrisk.E)noneofth

3、eabove.Answer:ADifficulty:EasyRationale:Withadiversifiedportfolio,theonlyriskremainingismarket,orsystematic,risk.ThisistheonlyriskthatinfluencesreturnaccordingtotheCAPM.3.ThemarketportfoliohasabetaofA)0.B)1.C)-1.D)0.5.E)noneoftheaboveAnswer:BDifficulty:Ea

4、syRationale:Bydefinition,thebetaofthemarketportfoliois1.210Chapter9TheCapitalAssetPricingModel4.Therisk-freerateandtheexpectedmarketrateofreturnare0.06and0.12,respectively.Accordingtothecapitalassetpricingmodel(CAPM),theexpectedrateofreturnonsecurityXwith

5、abetaof1.2isequaltoA)0.06.B)0.144.C)0.12.D)0.132E)0.18Answer:DDifficulty:EasyRationale:E(R)=6%+1.2(12-6)=13.2%.5.Therisk-freerateandtheexpectedmarketrateofreturnare0.056and0.125,respectively.Accordingtothecapitalassetpricingmodel(CAPM),theexpectedrateofre

6、turnonasecuritywithabetaof1.25isequaltoA)0.1225B)0.144.C)0.153.D)0.134E)0.117Answer:ADifficulty:EasyRationale:E(R)=5.6%+1.25(12.5-5.6)=14.225%.6.Whichstatementisnottrueregardingthemarketportfolio?A)Itincludesallpubliclytradedfinancialassets.B)Itliesonthee

7、fficientfrontier.C)Allsecuritiesinthemarketportfolioareheldinproportiontotheirmarketvalues.D)Itisthetangencypointbetweenthecapitalmarketlineandtheindifferencecurve.E)Alloftheabovearetrue.Answer:DDifficulty:ModerateRationale:Thetangencypointbetweenthecapit

8、almarketlineandtheindifferencecurveistheoptimalportfolioforaparticularinvestor.210Chapter9TheCapitalAssetPricingModel7.WhichstatementisnottrueregardingtheCapitalMarketLine(CML)?A)TheCMListhelinefromtherisk-freeratet