证券和组合课后习题：tb08

CHAPTER8

ANINTRODUCTIONTOASSETPRICINGMODELS

TRUE/FALSEQUESTIONS

(t)1Oneoftheassumptionsofcapitalmarkettheoryisthatinvestorscanborrowor

lendattheriskfreerate.

(f)2Sincemanyoftheassumptionsmadebythecapitalmarkettheoryareunrealistic,

thetheoryisnotapplicableintherealworld.

(t)3Arisk-freeassetisoneinwhichthereturniscompletelyguaranteed,thereisno

uncertainty.

(t)4Themarketportfolioconsistsofallriskyassets.

(f)5Theintroductionoflendingandborrowingseverelylimitstheavailablerisk/return

opportunities.

(t)6Thecapitalmarketlineisthetangentlinebetweentheriskfreerateofreturnand

theefficientfrontier.

(t)7Theportfolioonthecapitalmarketlinearecombinationsoftherisk-freeassetand

themarketportfolio.

(t)8IfyouborrowmoneyattheRFRandinvestthemoneyinthemarketportfolio,the

rateofreturnonyourportfoliowillbehigherthanthemarketrateofreturn.

(f)9Studieshaveshownthatawelldiversifiedinvestorneedsasfewasfivestocks.

(f)10Betaisameasureofunsystematicrisk.

(f)11ThebetasofthosecompaniescompiledbyValueLineInvestmentServicestendto

bealmostidenticaltothosecompiledbyMerrillLynch.

(t)12Securitieswithreturnsthatlieabovethesecuritymarketlineareundervalued.

(f)13Securitieswithreturnsthatliebelowthesecuritymarketlineareundervalued.

(t)14UndertheCAPMframework,theintroductionoflendingandborrowingat

differentialratesleadstoanon-linearcapitalmarketline.

(t)15Correlationofthemarketportfolioandthezero-betaportfoliowillbelinear.

(f)16Therecanbeonlyonezero-betaportfolio.

(t)17Theexistenceoftransactioncostsindicatesthatatsomepointtheadditionalcost

ofdiversificationrelativetoitsbenefitwouldbeexcessiveformostinvestors.

(t)18Studieshaveshownthebetaismorestableforportfoliosthanforindividual

securities.

(t)19Ifthemarketportfolioismean-varianceefficientithasthelowestriskforagiven

levelofreturnamongtheattainablesetofportfolios.

(f)20UsingtheS&Pindexastheproxymarketportfoliowhenevaluatingaportfolio

managerrelativetotheSMLwilltendtounderestimatethemanager's

performance.

(t)21IfanincorrectproxymarketportfoliosuchastheS&Pindexisusedwhen

developingthesecuritymarketline,theslopeofthelinewilltendtobe

underestimated.

(f)22Sincethemarketportfolioisreasonableintheory,thereforeitiseasyto

implementwhentestingorusingtheCAPM.

⑴23TheplanningperiodfortheCAPMisthesamelengthoftimeforeveryinvestor.

MULTIPLECHOICEQUESTIONS

(d)1WhichofthefollowingisnotanassumptionoftheCapitalMarketTheory?

a)AllinvestorsareMarkowitzefficientinvestors.

b)Allinvestorshavehomogeneousexpectations.

c)Therearenotaxesortransactioncostsinbuyingorsellingassets.

d)Allinvestmentsareindivisiblesoitisimpossibletobuyorsellfractional

shares.

e)Allinvestorshavethesameoneperiodtimehorizon.

(a)2Therateofreturnonariskfreeassetshouldequalthe

a)Longrunrealgrowthrateoftheeconomy.

b)Longrunnominalgrowthrateoftheeconomy.

c)Shortrunrealgrowthrateoftheeconomy.

d)Shortrunnominalgrowthrateoftheeconomy,

e)Primerateofinterest.

(b)3Whichofthefollowingstatementsabouttherisk-freeassetiscorrect?

a)Therisk-freeassetisdefinedasanassetforwhichthereisuncertainty

regardingtheexpectedrateofreturn.

b)Thestandarddeviationofreturnfortherisk-freeassetisequaltozero.

c)Thestandarddeviationofreturnfortherisk-freeassetcannotbezero,

sincedivisionbyzeroisundefined.

d)Choicesaandb

e)Choicesaandc

(a)4WhatdoesWRF=-0.5()mean?

a)Theinvestorcanborrowmoneyattherisk-freerate.

b)Theinvestorcanlendmoneyatthecurrentmarketrate.

c)Theinvestorcanborrowmoneyatthecurrentmarketrate.

d)Theinvestorcanborrowmoneyattheprimerateofinterest.

e)Theinvestorcanlendmoneyattheprimerateofinterest.

(e)5Themarketportfolioconsistsofall

a)NewYorkStockExchangestocks.

b)Highgradestocksandbonds.

c)Stocksandbonds.

d)U.S.andnon-U.S.stocksandbonds.

e)Riskyassets.

(c)6Theseparationtheoremdividesdecisionsonfromdecisionson.

a)Lending,borrowing

b)Risk,return

c)Investing,financing

d)Riskyassets,riskfreeassets

e)Buyingstocks,buyingbonds

(d)7Whenidentifyingundervaluedandovervaluedassets,whichofthefollowing

statementsisfalse?

a)Anassetisproperlyvaluedifitsestimatedrateofreturnisequaltoits

requiredrateofreturn.

b)Anassetisconsideredovervaluedifitsestimatedrateofreturnisbelowits

requiredrateofreturn.

c)Anassetisconsideredundervaluedifitsestimatedrateofreturnisabove

itsrequiredrateofreturn.

d)Anassetisconsideredovervaluedifitsrequiredrateofreturnisbelowits

estimatedrateofreturn.

e)Noneoftheabove(thatis,allaretruestatements)

(c)8Thelineofbestfitforascatterdiagramshowingtheratesofreturnofan

individualriskyassetandthemarketportfolioofriskyassetsovertimeiscalled

the

a)Securitymarketline.

b)Capitalassetpricingmodel.

c)Characteristicline.

d)Lineofleastresistance.

e)Marketline.

(e)9Utilizingthesecuritymarketlineaninvestorowningastockwithabetaof-2

wouldexpectthestock*sreturnto________inamarketthatwasexpectedto

decline15percent.

a)Riseorfallanindeterminateamount

b)Fallby3%

c)Fallby30%

d)Riseby13%

e)Riseby30%

(d)10Allofthefollowingquestionsremaintobeansweredintherealworldexcept

a)Whatisagoodproxyforthemarketportfolio?

b)Whathappenswhenyoucannotborroworlendattheriskfreerate?

c)Howgoodisthecapitalassetmodelasapredictor?

d)Whatisthebetaofthemarketportfolioofriskyassets?

e)Whatisthestabilityofbetaforindividualstocks?

(e)11Thecorrelationcoefficientbetweenthemarketreturnandarisk-freeassetwould

a)be+oo.

b)be-oo.

c)be+1.

d)be-1.

e)beZero.

(a)12Asthenumberofsecuritiesinaportfolioincreases,theamountofsystematicrisk

a)Remainsconstant.

b)Decreases.

c)Increases.

d)Changes.

e)Noneoftheabove

(b)13Theoretically,thecorrelationcoefficientbetweenacompletelydiversified

portfolioandthemarketportfolioshouldbe

a)-1.0.

b)+1.0.

c)0.0.

d)-0.5.

e)+0.5.

(a)14Allportfoliosonthecapitalmarketlineare

a)Perfectlypositivelycorrelated.

b)Perfectlynegativelycorrelated.

c)Uniquefromeachother.

d)Weaklycorrelated.

e)Unrelatedexceptthattheycontaintheriskfreeasset.

(c)15ThefactthattestshaveshowntheCAPMintercepttobegreaterthantheRFRis

consistentwitha

a)Zerobetamodel.

b)Anunstablebetaorahigherborrowingrate.

c)Zerobetamodelorahigherborrowingrate.

d)higherborrowingrate.

e)Anunstablebeta.

(b)16Iftheassumptionthattherearenotransactioncostsisrelaxed,theSMLwillbea

a)Straightline.

b)Bandofsecurities.

c)Convexcurve.

d)Concavecurve.

e)Paraboliccurve.

(e)17WhichofthefollowingisnotarelaxationoftheassumptionsfortheCAPM?

a)DifferentiallendingandboiTOwingrates

b)Azerobetamodel

c)Transactioncosts

d)Taxes

e)Homogeneousexpectationsandfixedplanningperiods

(d)18Whichofthefollowingvariableswerefoundtobeimportantinexplainingreturn

baseduponastudyofFamaandFrench(coveringtheperiod1963to1990)?

a)Size

b)Book-to-marketvalue

c)Beta

d)Choicesaandbonly

e)Alloftheabove

(e)19Whichofthefollowingwouldmostcloselyresemblethetruemarketportfolio?

a)Stocks

b)Stocksandbonds

c)Stocks,bondsandforeignsecurities

d)Stocks,bonds,foreignsecuritiesandoptions

e)Stocks,bonds,foreignsecuritiesoptionsandcoins

(c)20Theerrorcausedbynotusingthetruemarketportfoliohasbecomeknownasthe

a)Portfoliodeviation.

b)CAPMshift.

c)Benchmarkerror.

d)Marketerror.

e)Betaerror.

(b)21The_________thenumberofstocksinaportfolioandthe_________thetime

periodthe________theportfoliobeta.

a)Larger,longer,lessstable

b)Larger,longer,morestable

c)Larger,shorter,lessstable

d)Larger,shorter,morestable

e)Smaller,longer,morestable

(b)22Acompletelydiversifiedportfoliowouldhaveacorrelationwiththemarket

portfoliothatis

a)Equaltozerobecauseithasonlyunsystematicrisk.

b)Equaltoonebecauseithasonlysystematicrisk.

c)Lessthanzerobecauseithasonlysystematicrisk.

d)Lessthanonebecauseithasonlyunsystematictisk.

e)Lessthanonebecauseithasonlysystematicrisk.

(c)23Inthepresenceoftransactionscosts,theSMLwillbe

a)Asinglestraightline.

b)Akinkedline.

c)Asetoflinesratherthanasinglestraightline.

d)Acurveratherthanasinglestraightline.

e)Impossibletodetermine.

(d)24Ifthewrongbenchmark(ormarketportfolio)isselectedthen

a)Computedbetaswouldbewrong.

b)TheSMLwouldbewrong.

c)Computedbetaswouldbecorrect.

d)a)andb).

e)b)andc).

MULTIPLECHOICEPROBLEMS

(e)1CalculatetheexpectedreturnforAIndustrieswhichhasabetaof0.75whenthe

riskfreerateis0.07andyouexpectthemarketreturntobe().18.

a)11.13%

b)11.97%

c)12.25%

d)13.00%

e)15.25%

(C)2CalculatetheexpectedreturnforBServiceswhichhasabetaof0.71whenthe

riskfreerateis0.09andyouexpectthemarketreturntobe().13.

a)11.13%

b)11.47%

c)11.84%

d)13.00%

e)15.25%

(c)3CalculatetheexpectedreturnforCInc.whichhasabetaof().8whentheriskfree

rateis0.04andyouexpectthemarketreturntobe0.12.

a)8.10%

b)9.60%

c)10.40%

d)11.20%

e)12.60%

(e)4CalculatetheexpectedreturnforDIndustrieswhichhasabetaof1.0whenthe

riskfreerateis0.03andyouexpectthemarketreturntobe0.13.

a)8.6%

b)9.2%

c)11.0%

d)12.0%

e)13.0%

(d)5CalculatetheexpectedreturnforEServiceswhichhasabetaof1.5whentherisk

freerateis0.05andyouexpectthemarketreturntobe().11.

a)10.6%

b)12.1%

c)13.6%

d)14.0%

e)16.2%

(c)6CalculatetheexpectedreturnforFInc.whichhasabetaof1.3whentheriskfree

rateis0.06andyouexpectthemarketreturntobe0.125.

a)12.65%

b)13.55%

c)14.45%

d)15.05%

e)16.34%

USETHEFOLLOWINGINFORMATIONFORTHENEXTFIVEPROBLEMS

RatesofReturn

YearRAComputerMarketIndex

11115

2913

3-1114

410-9

51112

669

(C)7ComputethebetaforRAComputerusingthehistoricreturnspresentedabove.

a)0.7715

b)0.2195

c)-0.2195

d)0.1023

e)-0.7715

(c)8ComputethecorrelationcoefficientbetweenRAComputerandtheMarketIndex.

a)-0.3200

b)0.0012

c)-0.2300

d)0.2300

e)0.3200

(a)9ComputetheinterceptofthecharacteristiclineforRAComputer.

a)7.98

b)11.63

c)4.92

d)-4.92

e)-7.98

(c)10TheequationofthecharacteristiclineforRAis

a)RRA=-7.98+0.2195RMI

b)RRA=7.98+0.2195RMI

c)RRA=7.98-().2195RMI

d)RRA=-7.98-0.2300RMI

e)Noneoftheabove

(a)11IfyouexpectedreturnontheMarketIndextobe12%,whatwouldyouexpectthe

returnonRAComputertobe?

a)5.34%

b)6.00%

c)8.00%

d)10.00%

e)21.95%

USETHEFOLLOWINGINFORMATIONFORTHENEXTTHREEPROBLEMS

Youexpecttherisk-freerate(RFR)tobe5percentandthemarketreturntobe9percent.

Youalsohavethefollowinginformationaboutthreestocks.

CURRENTEXPECTEDEXPECTED

STOCKBETAPRICEPRICEDIVIDEND

XL5o$22$23$c5

.7

Ys5o$40$43$l2.i.0

15

zz0o$45$49$10

1

1.0

(b)12Whataretheexpected(required)ratesofreturnforthethreestocks(intheorderX,

YA

-Z)?

x

a—

z16.50%,5.50%,22.00%

b

11.00%,7.00%,13.00%

\

cl

z7.95%,11.25%,11.11%

d\

l

v6.20%,2.20%,8.20%

X

eI

/15.00%,3.50%,7.30%

(a)13Whataretheestimatedratesofreturnforthethreestocks(intheorderX,Y,Z)?

a)7.95%,11.25%,11.11%

b)6.20%,2.20%,8.20%

c)16.50%,5.50%,22.00%

d)11.00%,7.00%,13.00%

e)15.00%,3.50%,7.30%

(e)14Whatisyourinvestmentstrategyconcerningthethreestocks?

a)BuystockY,itisundervalued.

b)BuystockXandZ,theyareundervalued.

c)SellstocksXandZ,theyareovervalued.

d)SellstockY,itisovervalued.

e)Choicesaandc

(b)15RecentlyyouhavereceivedatipthatthestockofBubblyIncorporatedisgoingto

risefrom$10.00to$12.00pershareoverthenextyear.Youknowthattheannual

returnontheS&P500hasbeen12%andthe90-dayT-billratehasbeenyielding

4%peryearoverthepast10years.IfbetafbrBubblyis1.2,willyoupurchase

thestock?

a)Yes,becauseitisovervalued.

b)Yes,becauseitisundervalued.

c)No,becauseitisundervalued.

d)No,becauseitisovervalued.

e)Yes,becausetheexpectedreturnequalstheestimatedreturn.

(b)16YourbrokerhasadvisedyouthathebelievesthatthestockofBratInc.isgoingto

risefrom$22.00to$25.00pershareoverthenextyear.Youknowthattheannual

returnontheS&P500hasbeen12%andthe90-dayT-billratehasbeenyielding

4%peryearoverthepast10years.IfbetaforBratis().8,willyoupurchasethe

stock?

a)Yes,becauseitisovervalued

b)Yes,becauseitisundervalued

c)No,becauseitisundervalued

d)No,becauseitisovervalued

e)Yes,becausetheexpectedreturnequalstheestimatedreturn

(d)17RecentlyyouhavereceivedatipthatthestockofButtercupIndustriesisgoingto

risefrom$76.00to$85.0()pershareoverthenextyear.Youknowthattheannual

returnontheS&P50()hasbeen13%andthe90-dayT-billratehasbeenyielding

3%peryearoverthepast10years.IfbetaforButtercupis1.0,willyoupurchase

thestock?

a)Yes,becauseitisovervalued.

b)Yes,becauseitisundervalued.

c)No,becauseitisundervalued.

d)No,becauseitisovervalued.

e)Yes,becausetheexpectedreturnequalstheestimatedreturn.

(b)18AfriendhassomereliableinformationthatthestockofPuddlesCompanyis

goingtorisefrom$43.00to$50.00pershareoverthenextyear.Youknowthat

theannualreturnontheS&P500hasbeen11%andthe90-dayT-billratehas

beenyielding5%peryearoverthepast1()years.IfbetaforPuddlesis1.5,will

youpurchasethestock?

a)Yes,becauseitisovervalued.

b)Yes,becauseitisundervalued.

c)No,becauseitisundervalued.

d)No,becauseitisovervalued.

e)Yes,becausetheexpectedreturnequalstheestimatedreturn.

(b)19RecentlyyourbrokerhasadvisedyouthathebelievesthatthestockofCasey

Incorporatedisgoingtorisefrom$55.00to$70.00pershareoverthenextyear.

YouknowthattheannualreturnontheS&P500hasbeen12.5%andthe90-day

T-billratehasbeenyielding6%peryearoverthepast10years.IfbetaforCasey

is1.3,willyoupurchasethestock?

a)Yes,becauseitisovervalued.

b)Yes,becauseitisundervalued.

c)No,becauseitisundervalued.

d)No,becauseitisovervalued.

e)Yes,becausetheexpectedreturnequalstheestimatedreturn.

(d)20AfriendhasinformationthatthestockofZipIncorporatedisgoingtorisefrom

$62.00to$65.00pershareoverthenextyear.Youknowthattheannualreturnon

theS&P500hasbeen10%andthe90-dayT-billratehasbeenyielding6%per

yearoverthepast10years.IfbetaforZipis0.9,willyoupurchasethestock?

a)Yes,becauseitisovervalued.

b)Yes,becauseitisundervalued.

c)No,becauseitisundervalued.

d)No,becauseitisovervalued.

e)Yes,becausetheexpectedreturnequalstheestimatedreturn.

(a)21Assumethatasaportfoliomanagerthebetaofyourportfoliois1.2andthatyour

performanceisexactlyontargetwiththeSMLdataundercondition1.Ifthetrue

SMLdataisgivenbycondition2,howmuchdoesyourperformancedifferfrom

thetrueSML?

1)RFR=.08Rm(proxy)=.12

2)RK=.06Rm(true)=.15

a)4%lower

b)6%lower

c)8%lower

d)4%higher

e)6%higher

(c)22Assumethatasaportfoliomanagerthebetaofyourportfoliois1.4andthatyour

performanceisexactlyontargetwiththeSMLdataundercondition1.Ifthetrue

SMLdataisgivenbycondition2,howmuchdoesyourperformancedifferfrom

thetrueSML?

1)RFR=.07Rm(proxy)=.13

2)RK=.08Rm(true)=.16

a)4.4%lower

b)3.6%lower

c)3.8%lower

d)4.4%higher

e)3.6%higher

(a)23Assumethatasaportfoliomanagerthebetaofyourportfoliois1.3andthatyour

performanceisexactlyontargetwiththeSMLdataundercondition1.Ifthetrue

SMLdataisgivenbycondition2,howmuchdoesyourperformancedifferfrom

thetrueSML?

1)RFR=.08Rm(proxy)=.ll

2)RK=.07Rm(true)=.14

a)4.2%lower

b)3.6%lower

c)3.8%lower

d)4.2%higher

e)3.6%higher

(b)24Assumethatasaportfoliomanagerthebetaofyourportfoliois1.2andthatyour

performanceisexactlyontargetwiththeSMLdataundercondition1.Ifthetrue

SMLdataisgivenbycondition2,howmuchdoesyourperformancedifferfrom

thetrueSML?

1)RFR=.09Rm(proxy)=.12

2)RK=.10Rm(true)=.13

a)2%lower

b)1%lower

c)5%lower

d)1%higher

e)2%higher

(d)25Assumethatasaportfoliomanagerthebetaofyourportfoliois1.1andthatyour

performanceisexactlyontargetwiththeSMLdataundercondition1.Ifthetrue

SMLdataisgivenbycondition2,howmuchdoesyourperformancedifferfrom

thetrueSML?

1)RFR=.07Rm(proxy)=.15

2)RK=.06Rm(true)=.12

a)3.2%lower

b)6.4%lower

c)4.9%lower

d)3.2%higher

e)6.4%higher

(d)26Assumethatasaportfoliomanagerthebetaofyourportfoliois1.4andthatyour

performanceisexactlyontargetwiththeSMLdataundercondition1.Ifthetrue

SMLdataisgivenbycondition2,howmuchdoesyourperformancedifferfrom

thetrueSML?

1)RFR=.06Rm(proxy)=.12

2)RK=.05Rm(true)=.11

a)2.0%lower

b)0.5%lower

c)0.5%lower

d)1.0%higher

e)2.0%higher

USETHEFOLLOWINGINFORMATIONFORTHENEXTSEVENPROBLEMS

ReturnProxyTrue

PeriodofRadtronSpecificIndexGeneralIndex

(Percent)(Percent)(Percent)

1101215

2121()13

3-10-8-8

4-4-100

(e)27Theaveragetruereturnis

a)1%

b)2%

c)3%

d)4%

e)5%

(b)28Theaverageproxyreturnis

a)1%

b)2%

c)3%

d)4%

e)5%

(a)29TheaveragereturnforRadtronis

a)1%

b)2%

c)3%

d)4%

e)5%

(c)30ThecovariancebetweenRadtronandtheproxyindexis

a)57.30

b)86.50

c)88.00

d)92.50

e)107.90

(b)31ThecovariancebetweenRadtronandthetrueindexis

a)57.30

b)86.50

c)88.00

d)92.50

e)107.90

(a)32WhatisthebetaforRadtronusingtheproxyindex?

a)0.87

b)0.97

c)1.02

d)1.15

e)1.28

(b)33WhatisthebetaforRadtronusingthetrueindex?

a)0.87

b)0.97

c)1.02

d)1.15

e)1.28

(b)34Consideranassetthathasabetaof1.5.Thereturnontherisk-freeassetis6.5%

andtheexpectedreturnonthestockindexis15%.Theestimatedreturnonthe

assetis20%.Calculatethealphafortheasset.

a)19.25%

b)0.75%

c)-0.75%

d)9.75%