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【单选题】
The CAPM applies to ()
A.
portfolios of securities only.
B.
individual securities only.
C.
efficient portfolios of securities only.
D.
efficient portfolios and efficient individual securities only.
E.
all portfolios and individual securities.
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【简答题】The risk-free rate and the expected market rate of return are 0.056 and 0.125, respectively. According to the capital asset pricing model (CAPM), the expected rate of return on a security with a beta ...
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【单选题】You invest 50% of your money in security A with a beta of 1.6 and the rest of your money in security B with a beta of 0.7. The beta of the resulting portfolio is ()
A.
1.40.
B.
1.15.
C.
0.36.
D.
1.08.
E.
0.80.
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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...
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
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【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.
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【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.
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【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.
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【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.
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【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.
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【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.
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