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【单选题】
Consider the one-factor APT. The standard deviation of returns on a well-diversified portfolio is 18%. The standard deviation on the factor portfolio is 16%. The beta of the well-diversified portfolio is approximately________
A.
0.80.
B.
1.13.
C.
1.25.
D.
1.56.
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【单选题】A ________ portfolio is a well-diversified portfolio constructed to have a beta of 1 on one of the factors and a beta of 0 on any other factor.
A.
factor
B.
market
C.
index
D.
factor and market
E.
factor, market, and index
【单选题】An arbitrage opportunity exists if an investor can construct a ________ investment portfolio that will yield a sure profit.
A.
positive
B.
negative
C.
zero
D.
All of the options.
E.
None of the options are correct.
【单选题】Consider the single-factor APT. Stocks A and B have expected returns of 15% and 18%, respectively. The risk-free rate of return is 6%. Stock B has a beta of 1.0. If arbitrage opportunities are ruled o...
A.
0.67.
B.
1.00.
C.
1.30
D.
1.69.
E.
0.75.
【单选题】Consider a one-factor economy. Portfolio A has a beta of 1.0 on the factor, and portfolio B has a beta of 2.0 on the factor. The expected returns on portfolios A and B are 11% and 17%, respectively. A...
A.
–$1,000.
B.
$0.
C.
$1,000.
D.
$2,000.
【单选题】________ a relationship between expected return and risk.
A.
APT stipulates
B.
CAPM stipulates
C.
Both CAPM and APT stipulate
D.
Neither CAPM nor APT stipulate
E.
No pricing model has been found.
【单选题】Proponents of the EMH typically advocate________
A.
an active trading strategy.
B.
investing in an index fund.
C.
a passive investment strategy.
D.
an active trading strategy and investing in an index fund.
E.
investing in an index fund and a passive investment strategy.
【单选题】In a multifactor APT model, the coefficients on the macro factors are often called________
A.
systematic risk.
B.
firm-specific risk.
C.
idiosyncratic risk.
D.
factor betas.
【单选题】If you believe in the ________ form of the EMH, you believe that stock prices reflect all available information, including information that is available only to insiders.
A.
semistrong
B.
strong
C.
weak
D.
All of the options are correct.
E.
None of the options are correct.
【单选题】Single men trade far more often than women. This is due to greater ________ among men.
A.
framing
B.
regret avoidance
C.
overconfidence
D.
conservatism
【单选题】If you believe in the ________ form of the EMH, you believe that stock prices only reflect all information that can be derived by examining market trading data, such as the history of past stock price...
A.
semistrong
B.
strong
C.
weak
D.
All of the options are correct.
E.
None of the options are correct.