CHAPTER 8
AN INTRODUCTION TO ASSET PRICING MODELS
TRUE/FALSE QUESTIONS紫色手机壁纸
(t) 1 One of the assumptions of capital market theory is that investors can borrow or lend at the risk free rate.
(f) 2 Since many of the assumptions made by the capital market theory are unrealistic, the theory is not applicable in the real world.怎样写借条
(t) 3 A risk-free ast is one in which the return is completely guaranteed, there is no uncertainty.
(t) 4 The market portfolio consists of all risky asts.
(f) 5 The introduction of lending and borrowing verely limits the available risk/return opportunities.
(t) 6 The capital market line is the tangent line between the risk free rate of return and the efficient frontier.
(t) 7 The portfolio on the capital market line are combinations of the risk-free ast and the market portfolio.
(t) 8 If you borrow money at the RFR and invest the money in the market portfolio, the rate of return on your portfolio will be higher than the market rate of return.
(f) 9 Studies have shown that a well diversified investor needs as few as five stocks.
(f) 10 Beta is a measure of unsystematic risk.
(f) 11 The betas of tho companies compiled by Value Line Investment Services tend to be almost identical to tho compiled by Merrill Lynch.
(t) 12 Securities with returns that lie above the curity market line are undervalued.
(f) 13 Securities with returns that lie below the curity market line are undervalued.
(t) 14 Under the CAPM framework, the introduction of lending and borrowing at differential rates leads to a non-linear capital market line.
(t) 15 Correlation of the market portfolio and the zero-beta portfolio will be linear.
(f) 16 There can be only one zero-beta portfolio.
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(t) 17 The existence of transaction costs indicates that at some point the additional cost
of diversification relative to its benefit would be excessive for most investors.
(t) 18 Studies have shown the beta is more stable for portfolios than for individual curities.
(t) 19 If the market portfolio is mean-variance efficient it has the lowest risk for a given level of return among the attainable t of portfolios.
(f) 20 Using the S&P index as the proxy market portfolio when evaluating a portfoli
o manager relative to the SML will tend to underestimate the manager's performance.
(t) 21 If an incorrect proxy market portfolio such as the S&P index is ud when developing the curity market line, the slope of the line will tend to be underestimated.
(f) 22 Since the market portfolio is reasonable in theory, therefore it is easy to implement when testing or using the CAPM.得无
(f) 23 The planning period for the CAPM is the same length of time for every investor.
MULTIPLE CHOICE QUESTIONS
(d) 1 Which of the following is not an assumption of the Capital Market Theory?汤煲
a) All investors are Markowitz efficient investors.
b) All investors have homogeneous expectations.
c) There are no taxes or transaction costs in buying or lling asts.
d) All investments are indivisible so it is impossible to buy or ll fractional shares.
e) All investors have the same one period time horizon.
(a) 2 The rate of return on a risk free ast should equal the
a) Long run real growth rate of the economy.
b) Long run nominal growth rate of the economy.
c) Short run real growth rate of the economy.
d) Short run nominal growth rate of the economy.
e)Prime rate of interest.
(b) 3 Which of the following statements about the risk-free ast is correct?
a) The risk-free ast is defined as an ast for which there is uncertainty regarding the expected rate of return.
b) The standard deviation of return for the risk-free ast is equal to zero.
c) The standard deviation of return for the risk-free ast cannot be zero, since division by zero is undefined.
d) Choices a and b
2个字的网名 e) Choices a and c
(a) 4 What does WRF = -0.50 mean?
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a) The investor can borrow money at the risk-free rate.
b) The investor can lend money at the current market rate.
c) The investor can borrow money at the current market rate.北京市101中学
d) The investor can borrow money at the prime rate of interest.
e) The investor can lend money at the prime rate of interest.
(e) 5 The market portfolio consists of all
a) New York Stock Exchange stocks.
b) High grade stocks and bonds.
c) Stocks and bonds.
d) U.S. and non-U.S. stocks and bonds.
e) Risky asts.
(c) 6 The paration theorem divides decisions on _______ from decisions on _______.
