【#第一文档网# 导语】以下是®第一文档网的小编为您整理的《财务管理EXERCISE6》，欢迎阅读！
财务管理EXERCISE6 EXERCISE 6 (Capital Asset Pricing Model ) Multiple Choice Questions 1.Efficient portfolios are those that offer: A.Highest expected return for a given level of risk B.Highest risk for a given level of expected return C.The maximum risk and expected return D.All of the above 2. A stock with a beta of 1.2 would be expected to: A.Increase 20% faster than the market in up markets B.Increase 20% faster than the market in down markets C.Increase 120% faster than the market in up markets D.Increase 120% faster than the market in down markets 3.If a stock is overpriced it will plot: A.Above the security market line B.On the security market line C.Below the security market line D.On the Y-axis 4.The difference between the return on the market and the risk free rate of return is known as: A.Market risk premium B.Beta C.R-squared D.None of the above True or False Questions 5.If two investments offer the same expected return, most investors would prefer the one with higher variance 6. A well-diversified portfolio with a beta of 2.0 is twice as risky as the market portfolio. 7.An undiversified portfolio with a beta of 2.0 is less than twice of risky as the market portfolio. 8.For any individual stock there are at least two sources of risk. 9. A portfolio contains equal investments in 10 stocks. Five have a beta of 1.2; the remainder have a beta of 1.4. The portfolio beta is less than 1.3 because diversification reduce beta. 10.Suppose the standard deviation of the market return is 20%: (1)What is the standard deviation of returns on a well-diversified portfolio with a beta of 1.3? (2)What is the standard deviation of returns on a well-diversified portfolio with a beta of 0? (3) A well-diversified portfolio has a standard deviation of 15%, what is its beta? (4) A poor-diversified portfolio has a standard deviation of 20%, what can you say about its beta? 11.Fenway Corporation common stock has a beta of 1.5. A security analyst forecasts an expected return of 15% over the next year. The market risk premium is 8% and the risk free rate is 4%. In a CAPM framework, does the analyst believe that Fenway common stock is fairly priced? 12.A stock has a beta of .45 and a standard deviation of 30%. The market portfolio has a standard deviation of 20%. What is the correlation between returns on the stock and returns on the market portfolio? 13.What is the beta of each of the stocks shown below: 本文来源：https://www.dywdw.cn/3175affc3286bceb19e8b8f67c1cfad6195fe98b.html
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2023-03-23
