(完整word版)投资学题库Chap008

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Chapter 08

Index Models

Multiple Choice Questions

As diversification increas， the total variance of a portfolio approaches

shutting down

A.	0.

B。	1.

C。	the variance of the market portfolio.

D.	infinity.

E。	None of the options

2。

As diversification increas， the standard deviation of a portfolio approaches

A.	0.

wrecking

B。	1.

C.	infinity.

D。	the standard deviation of the market portfolio.

E。	None of the options

3。

As diversification increas, the firm-specific risk of a portfolio approaches

A.	0。

B。	1.

C.	infinity.

D.	（n — 1) × n。

新学期新气象

4。

As diversification increas, the unsystematic risk of a portfolio approaches

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A.	1。

B.	0。

C.	infinity。

D.	（n — 1） × n。

As diversification increas, the unique risk of a portfolio approaches

A.	1。

B.	0.

C。	infinity。

D。	(n — 1） × n。

The index model was first suggested by

A。	Graham。

B.	Markowitz.

C.	Miller。

D。	Sharpe。

7。

A single—index model us __________ 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

8。

Beta books typically rely on the __________ most recent monthly obrvations to calculate regression parameters。

A.	12

B。	36

C。	60

motor

D。	120

bubble

9。

The index model has been estimated for stocks A and B with the following results：

RA = 0.03 + 0。7RM + eA.

RB = 0。01 + 0.9RM + eB.

σM = 0.35; σ(eA) = 0。20； σ(eB） = 0.10。

The covariance between the returns on stocks A and B is

A。	0.0384。

B.	0.0406.

C.	0.1920。

非常惊喜

D.	0.0772。

E.	0。4000。

保佑的意思

10.

According to the index model, covariances among curity pairs are

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A.	due to the influence of a single common factor reprented by the market index return。

B.	extremely difficult to calculate.

C。	related to industry-specific events.

D。	usually positive。

E.	due to the influence of a single common factor reprented by the market index return and usually positive.

11。

The intercept in the regression equations calculated by beta books is equal to

A.	α in the CAPM。

B。	α + rf（1 + β）。

C.	α + rf(1 — β）。

D.	1 - α。

12.

Analysts may u regression analysis to estimate the index model for a stock. When doing so， the slope of the regression line is an estimate of

A。	the α of the ast。

B.	the β of the ast。

C。	the σ of the ast.

D.	the δ of the ast。

13.

Analysts may u regression analysis to estimate the index model for a stock。 When doing so， the intercept of the regression line is an estimate of

A.	the α of the ast.

B.	the β of the ast.

C.	the σ of the ast.

D。	the δ of the ast。

14。

In a factor model, the return on a stock in a particular period will be related to

A.	firm-specific events.

pgf

B。	macroeconomic events。

C.	the error term.

D.	both firm-specific events and macroeconomic events.

E。	neither firm-specific events and macroeconomic events。

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