1、完整版投资学第7版TestBank答案08Chapter 8 Index Models Multiple Choice Questions 1. 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
2、are added to the portfolio, 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
3、: William Sharpe, 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 abov
4、e Answer: A Difficulty: 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. 163 Chapter 8 Index Models 4. The Security Risk Evaluation book published by Merrill Lynch relies on the _ most recent monthly observation
5、s 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 Merrill Lynch, are based on five years of monthly return data. 5. The Security Risk Evaluation
6、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: C Difficulty: Easy Rationale: The Merrill Lynch data (and much of the other published dat
7、a 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 return B) extremely difficult to calculate C) related to industry-specific events D) usual
8、ly 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. 164 Chapter 8 Index Models 7. The intercept calculated by Merrill Lynch in the regression equations is equal to A) in the CAPM (1 + ) + rB) fC)
9、+ r (1 - ) fD) 1 - E) none of the above Answer: C Difficulty: Moderate Rationale: The intercept that Merrill 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
10、 is apt to be swamped by the volatility of actual stock returns. 8. Analysts may use regression analysis to estimate the index model for a stock. When doing so, the slope of the regression line is an estimate of _. of the asset A) the the of the asset B) C) the of the asset D) the of the asset none
11、of the above E) Answer: B Difficulty: Moderate Rationale: The slope of the regression line, b, measures 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 e
12、vents C) the error term both A and B D) E) neither A nor B Answer: D Difficulty: Moderate Rationale: The return on a stock is related to both firm-specific and macroeconomic events. 165 Chapter 8 Index Models 10. Rosenberg and Guy found that _ helped to predict a firms beta. A) the firms financial c
13、haracteristics B) the firms industry group C) firm size D) both A and B E) A, B and C 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 predictor of
14、 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 betw
15、een 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 firms
16、betas. 166 Chapter 8 Index Models 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 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 Diffic
17、ulty: 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 the calculated beta. 14. The beta of Exxon stock has been estimated as 1.2 by Merrill Lynch using regression ana
18、lysis 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 Rationale: Adjusted beta = 2/3 sample beta + 1/3(1); = 2/3(1.2) + 1/3 = 1.13. 15. Assume that stock market returns do
19、 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 calculate _ expected returns and _ variances of returns. A) 100, 100 B) 100, 4950 C) 4950, 100 D) 4950, 4950 E) n
20、one 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 be calculated. 167 Chapter 8 Index Models 16. Assume that stock market returns do not resemble a single-index str
21、ucture. An investment fund analyzes 100 stocks in order to construct a mean-variance 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 - 10
22、0)/2 = 4,950 covariances must be calculated. 17. Assume that stock market returns 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 r
23、eturns and _ estimates of sensitivity coefficients to the macroeconomic factor. 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 mac
24、roeconomic factor must be estimated. 18. Assume that stock market returns do follow 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 vari
25、ances and _ estimates for the variance of the macroeconomic factor. A) 500; 1 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
26、 of the common macroeconomic factor. 168 Chapter 8 Index Models 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% and there are no firm-specific e
27、vents 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 the single index model holds.
28、If the of your portfolio was 0.20 and was M0.16, 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 22222 = 1.56; b = 1.25. m = b Rationale: s; (0.2)p / s/(0.16) 21. Suppose the following equation best describes the evo
29、lution of over time: = 0.25 + 0.75 t-1t If 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. 169 Chapter 8 Index Models 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-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 Diff
