2022年投资学第版TestBank答案 3.pdf

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1、Chapter 8 Index Models 163 Multiple Choice Questions1. 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 above Answer: C Difficulty: Easy Rationale: As more and more securities are added to the p

2、ortfolio, unsystematic risk decreases and most of the remaining risk is systematic, as measured by the variance of the market portfolio. 2. The index model was first suggested by _. A) Graham B) Markowitz C) Miller D) Sharpe E) none of the above Answer: D Difficulty: Easy Rationale: William Sharpe,

3、building on the work of Harry Markowitz, developed the index model. 3. A single-index model uses _ as a proxy for the systematic risk factor. A) a market index, such as the S&P 500 B) the current account deficit C) the growth rate in GNP D) the unemployment rate E) none of the above Answer: A Diffic

4、ulty: Easy Rationale: The single-index model uses a market index, such as the S&P 500, as a proxy for the market, and thus for systematic risk. 名师资料总结 - - -精品资料欢迎下载 - - - - - - - - - - - - - - - - - - 名师精心整理 - - - - - - - 第 1 页，共 24 页 - - - - - - - - - Chapter 8 Index Models 164 4. The Security Risk

5、 Evaluation book published by Merrill Lynch relies on the _ most recent monthly observations to calculate regression parameters. A) 12 B) 36 C) 60 D) 120 E) none of the above Answer: C Difficulty: Easy Rationale: Most published betas and other regression parameters, including those published by Merr

6、ill Lynch, are based on five years of monthly return data. 5. The Security Risk Evaluation book published by Merrill Lynch uses the _ as a proxy for the market portfolio. A) Dow Jones Industrial Average B) Dow Jones Transportation Average C) S&P 500 Index D) Wilshire 5000 E) none of the above Answer

7、: C Difficulty: Easy Rationale: The Merrill Lynch data (and much of the other published data sets) are based on the S&P 500 index as a market proxy. 6. 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

8、 return B) extremely difficult to calculate C) related to industry-specific events D) usually positive E) A and D Answer: E Difficulty: Easy Rationale: Most securities move together most of the time, and move with a market index, or market proxy. 名师资料总结 - - -精品资料欢迎下载 - - - - - - - - - - - - - - - -

9、- - 名师精心整理 - - - - - - - 第 2 页，共 24 页 - - - - - - - - - Chapter 8 Index Models 165 7. The intercept calculated by Merrill Lynch in the regression equations is equal to A) in the CAPMB) + rf(1 + )C) + rf(1 - )D) 1 - E) none of the above Answer: C Difficulty: Moderate Rationale: The intercept that Mer

10、rill Lynch calls alpha is really, using the parameters of the CAPM, an estimate of a + rf (1 - b). The apparent justification for this procedure is that, on a monthly basis, rf(1 - b) is small and is apt to be swamped by the volatility of actual stock returns. 8. Analysts may use regression analysis

11、 to estimate the index model for a stock. When doing so, the slope of the regression line is an estimate of _. A) the of the asset B) the of the asset C) the of the asset D) the of the asset E) none of the above Answer: B Difficulty: Moderate Rationale: The slope of the regression line, b, measures

12、the volatility of the stock versus the volatility of the market. 9. In a factor model, the return on a stock in a particular period will be related to _. A) firm-specific events B) macroeconomic events C) the error term D) both A and B E) neither A nor B Answer: D Difficulty: Moderate Rationale: The

13、 return on a stock is related to both firm-specific and macroeconomic events. 名师资料总结 - - -精品资料欢迎下载 - - - - - - - - - - - - - - - - - - 名师精心整理 - - - - - - - 第 3 页，共 24 页 - - - - - - - - - Chapter 8 Index Models 166 10. Rosenberg and Guy found that _ helped to predict a firms beta. A) the firms financ

14、ial characteristics B) the firms industry group C) firm size D) both A and B E) A, B andC all helped to predict betas. Answer: E Difficulty: Moderate Rationale: Rosenberg and Guy found that after controlling for the firms financial characteristics, the firms industry group was a significant predicto

15、r of the firms beta. 11. If the index model is valid, _ would be helpful in determining the covariance between assets K and L. A) k B) L C) M D) all of the above E) none of the above Answer: D Difficulty: Moderate Rationale: If the index model is valid A, B, and C are determinants of the covariance

16、between K and L. 12. Rosenberg and Guy found that _ helped to predict firms betas. A) debt/asset ratios B) market capitalization C) variance of earnings D) all of the above E) none of the above Answer: D Difficulty: Moderate Rationale: Rosenberg and Guy found that A, B, and C were determinants of fi

17、rms betas. 名师资料总结 - - -精品资料欢迎下载 - - - - - - - - - - - - - - - - - - 名师精心整理 - - - - - - - 第 4 页，共 24 页 - - - - - - - - - Chapter 8 Index Models 167 13. If a firms beta was calculated as 0.6 in a regression equation, Merrill Lynch would state the adjusted beta at a number A) less than 0.6 but greater

18、than zero. B) between 0.6 and 1.0. C) between 1.0 and 1.6. D) greater than 1.6. E) zero or less. Answer: B Difficulty: Moderate Rationale: Betas, on average, equal one; thus, betas over time regress toward the mean, or 1. Therefore, if historic betas are less than 1, adjusted betas are between 1 and

19、 the calculated beta. 14. The beta of Exxon stock has been estimated as 1.2 by Merrill Lynch using regression analysis on a sample of historical returns. The Merrill Lynch adjusted beta of Exxon stock would be _. A) 1.20 B) 1.32 C) 1.13 D) 1.0 E) none of the above Answer: C Difficulty: Moderate Rati

20、onale: Adjusted beta = 2/3 sample beta + 1/3(1); = 2/3(1.2) + 1/3 = 1.13. 15. Assume that stock market returns do not resemble a single-index structure. An investment fund analyzes 100 stocks in order to construct a mean-variance efficient portfolio constrained by 100 investments. They will need to

21、calculate _ expected returns and _ variances of returns. A) 100, 100 B) 100, 4950 C) 4950, 100 D) 4950, 4950 E) none of the above Answer: A Difficulty: Moderate Rationale: The expected returns of each of the 100 securities must be calculated. In addition, the 100 variances around these returns must

22、be calculated. 名师资料总结 - - -精品资料欢迎下载 - - - - - - - - - - - - - - - - - - 名师精心整理 - - - - - - - 第 5 页，共 24 页 - - - - - - - - - Chapter 8 Index Models 168 16. Assume that stock market returns do not resemble a single-index structure. An investment fund analyzes 100 stocks in order to construct a mean-va

23、riance efficient portfolio constrained by 100 investments. They will need to calculate _ covariances. A) 45 B) 100 C) 4,950 D) 10,000 E) none of the above Answer: C Difficulty: Moderate Rationale: (n2 - n)/2 = (10,000 - 100)/2 = 4,950 covariances must be calculated. 17. Assume that stock market retu

24、rns do follow a single-index structure. An investment fund analyzes 200 stocks in order to construct a mean-variance efficient portfolio constrained by 200 investments. They will need to calculate _ estimates of expected returns and _ estimates of sensitivity coefficients to the macroeconomic factor

25、. A) 200; 19,900 B) 200; 200 C) 19,900; 200 D) 19,900; 19.900 E) none of the above Answer: B Difficulty: Moderate Rationale: For a single-index model, n(200), expected returns and n(200) sensitivity coefficients to the macroeconomic factor must be estimated. 18. Assume that stock market returns do f

26、ollow a single-index structure. An investment fund analyzes 500 stocks in order to construct a mean-variance efficient portfolio constrained by 500 investments. They will need to calculate _ estimates of firm-specific variances and _ estimates for the variance of the macroeconomic factor. A) 500; 1

27、B) 500; 500 C) 124,750; 1 D) 124,750; 500 E) 250,000; 500 Answer: A Difficulty: Moderate Rationale: For the single-index model, n(500) estimates of firm-specific variances must be calculated and 1 estimate for the variance of the common macroeconomic factor. 名师资料总结 - - -精品资料欢迎下载 - - - - - - - - - -

28、- - - - - - - - 名师精心整理 - - - - - - - 第 6 页，共 24 页 - - - - - - - - - Chapter 8 Index Models 169 19. Consider the single-index model. The alpha of a stock is 0%. The return on the market index is 16%. The risk-free rate of return is 5%. The stock earns a return that exceeds the risk-free rate by 11% a

29、nd there are no firm-specific events affecting the stock performance. The of the stock is _. A) 0.67 B) 0.75 C) 1.0 D) 1.33 E) 1.50 Answer: C Difficulty: Moderate Rationale: 11% = 0% + b(11%); b = 1.0. 20. Suppose you held a well-diversified portfolio with a very large number of securities, and that

30、 the single index model holds. If the of your portfolio was 0.20 and M was 0.16, the of the portfolio would be approximately _. A) 0.64 B) 0.80 C) 1.25 D) 1.56 E) none of the above Answer: C Difficulty: Difficult Rationale: s2p / s2m = b2; (0.2)2/(0.16)2 = 1.56; b = 1.25. 21. Suppose the following e

31、quation best describes the evolution of over time: t= 0.25 + 0.75t-1If a stock had a of 0.6 last year, you would forecast the to be _ in the coming year. A) 0.45 B) 0.60 C) 0.70 D) 0.75 E) none of the above Answer: C Difficulty: Easy Rationale: 0.25 + 0.75(0.6) = 0.70. 名师资料总结 - - -精品资料欢迎下载 - - - - -

32、 - - - - - - - - - - - - - 名师精心整理 - - - - - - - 第 7 页，共 24 页 - - - - - - - - - Chapter 8 Index Models 170 22. Merrill Lynch estimates the index model for a stock using regression analysis involving total returns. They estimated the intercept in the regression equation at 6% and the at 0.5. The risk-

33、free rate of return is 12%. The true of the stock is _. A) 0% B) 3% C) 6% D) 9% E) none of the above Answer: A Difficulty: Difficult Rationale: 6% = a + 12% (1 - 0.5); a = 0%. 23. The index model for stock A has been estimated with the following result: RA = 0.01 + 0.9RM + eAIf M = 0.25 and R2A = 0.

34、25, the standard deviation of return of stock A is _. A) 0.2025 B) 0.2500 C) 0.4500 D) 0.8100 E) none of the above Answer: C Difficulty: Difficult Rationale: R2 = b2s2M / s2;0.25 = (0.81)(0.25)2/s2; s = 0.4500. 24. The index model for stock B has been estimated with the following result: RB = 0.01 +

35、 1.1RM + eBIf M = 0.20 and R2B = 0.50, the standard deviation of the return on stock B is _. A) 0.1111 B) 0.2111 C) 0.3111 D) 0.4111 E) none of the above Answer: C Difficulty: Difficult Rationale: R2 = b2s2M / s2; 0.5 = (1.1)2(0.2)2/s2; s = 0.3111. 名师资料总结 - - -精品资料欢迎下载 - - - - - - - - - - - - - - -

36、- - - 名师精心整理 - - - - - - - 第 8 页，共 24 页 - - - - - - - - - Chapter 8 Index Models 171 25. Suppose you forecast that the market index will earn a return of 15% in the coming year. Treasury bills are yielding 6%. The unadjusted of Mobil stock is 1.30. A reasonable forecast of the return on Mobil stock

37、for the coming year is _ if you use Merrill Lynch adjusted betas. A) 15.0% B) 15.5% C) 16.0% D) 16.8% E) none of the above Answer: D Difficulty: Difficult Rationale: Adjusted beta = 2/3(1.3) + 1/3 = 1.20; E(rM) = 6% + 1.20(9%) = 16.8%. 26. The index model has been estimated for stocks A and B with t

38、he following results: RA = 0.01 + 0.5RM + eARB = 0.02 + 1.3RM + eBM= 0.25 (eA) = 0.20 (eB) = 0.10 The covariance between the returns on stocks A and B is _. A) 0.0384 B) 0.0406 C) 0.1920 D) 0.0050 E) 0.4000 Answer: B Difficulty: Difficult Rationale: Cov(RA,RB) = bAbBs2M = 0.5(1.3)(0.25)2 = 0.0406. 名

39、师资料总结 - - -精品资料欢迎下载 - - - - - - - - - - - - - - - - - - 名师精心整理 - - - - - - - 第 9 页，共 24 页 - - - - - - - - - Chapter 8 Index Models 172 27. The index model has been estimated for stocks A and B with the following results: RA = 0.01 + 0.8RM + eARB = 0.02 + 1.2RM + eBM= 0.20 (eA) = 0.20 (eB) = 0.10 The

40、 standard deviation for stock A is _. A) 0.0656 B) 0.0676 C) 0.2561 D) 0.2600 E) none of the above Answer: C Difficulty: Difficult Rationale: A = (0.8)2(0.2)2 + (0.2)21/2 = 0.2561. 28. The index model has been estimated for stock A with the following results: RA = 0.01 + 0.8RM + eAM= 0.20 (eA) = 0.1

41、0 The standard deviation of the return for stock A is _. A) 0.0356 B) 0.1886 C) 0.1600 D) 0.6400 E) none of the above Answer: B Difficulty: Difficult Rationale: B = (.8)2(0.2)2 + (0.1)21/2 = 0.1886. 29. Security returns A) are based on both macro events and firm-specific events. B) are based on firm

42、-specific events only. C) are usually positively correlated with each other. D) A and B. E) A and C. Answer: E Difficulty: Easy Rationale: Stock returns are usually highly positively correlated with each other. Stock returns are affected by both macro economic events and firm-specific events. 名师资料总结

43、 - - -精品资料欢迎下载 - - - - - - - - - - - - - - - - - - 名师精心整理 - - - - - - - 第 10 页，共 24 页 - - - - - - - - - Chapter 8 Index Models 173 30. The single-index model A) greatly reduces the number of required calculations, relative to those required by the Markowitz model. B) enhances the understanding of sy

44、stematic versus nonsystematic risk. C) greatly increases the number of required calculations, relative to those required by the Markowitz model. D) A and B. E) B and C. Answer: D Difficulty: Easy Rationale: The single index model both greatly reduces the number of calculations and enhances the under

45、standing of the relationship between systematic and unsystematic risk on security returns. 31. The Security Characteristic Line (SCL) A) plots the excess return on a security as a function of the excess return on the market. B) allows one to estimate the beta of the security. C) allows one to estima

46、te the alpha of the security. D) all of the above. E) none of the above. Answer: D Difficulty: Easy Rationale: The security characteristic line, which plots the excess return of the security as a function of the excess return of the market allows one to estimate both the alpha and the beta of the se

47、curity. 32. The expected impact of unanticipated macroeconomic events on a securitys return during the period is A) included in the securitys expected return. B) zero. C) equal to the risk free rate. D) proportional to the firms beta. E) infinite. Answer: B Difficulty: Moderate Rationale: The expect

48、ed value of unanticipated macroeconomic events is zero, because by definition it must average to zero or it would be incorporated into the expected return. 名师资料总结 - - -精品资料欢迎下载 - - - - - - - - - - - - - - - - - - 名师精心整理 - - - - - - - 第 11 页，共 24 页 - - - - - - - - - Chapter 8 Index Models 174 33. Cov

49、ariances between security returns tend to be A) positive because of SEC regulations. B) positive because of Exchange regulations. C) positive because of economic forces that affect many firms. D) negative because of SEC regulations E) negative because of economic forces that affect many firms. Answe

50、r: C Difficulty: Moderate Rationale: Economic forces such as business cycles, interest rates, and technological changes tend to have similar impacts on many firms. 34. In the single-index model represented by the equation ri = E(ri) + iF + ei, the term eirepresents A) the impact of unanticipated mac