投资学题库Chap008

Chapter 08 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 options

2. As diversification increases, the standard deviation of a portfolio approaches

A. 0.

B. 1.

C. infinity.

D. the standard deviation of the market portfolio.

E. None of the options

8-1

Copyright ? 2014 McGraw-Hill Education. All rights reserved. No reproduction or distribution without the prior written consent of

McGraw-Hill Education.

3. As diversification increases, the firm-specific risk of a portfolio approaches

A. 0.

B. 1.

C. infinity.

D. (n - 1) × n.

4. As diversification increases, the unsystematic risk of a portfolio approaches

A. 1.

B. 0.

C. infinity.

D. (n - 1) × n.

5. As diversification increases, the unique risk of a portfolio approaches

A. 1.

B. 0.

C. infinity.

D. (n - 1) × n.

6. The index model was first suggested by

A. Graham.

B. Markowitz.

C. Miller.

D. Sharpe.

8-2

Copyright ? 2014 McGraw-Hill Education. All rights reserved. No reproduction or distribution without the prior written consent of

McGraw-Hill Education.

7. 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

8. Beta books typically rely on the __________ most recent monthly observations to calculate

regression parameters.

A. 12

B. 36

C. 60

D. 120

9. The index model has been estimated for stocks A and B with the following results:

RA = 0.03 + 0.7RM + eA. RB = 0.01 + 0.9RM + eB.

σM = 0.35; σ(eA) = 0.20; σ(eB) = 0.10.

The covariance between the returns on stocks A and B is

A. 0.0384.

B. 0.0406.

C. 0.1920.

D. 0.0772.

E. 0.4000.

8-3

Copyright ? 2014 McGraw-Hill Education. All rights reserved. No reproduction or distribution without the prior written consent of

McGraw-Hill Education.

10. 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. usually positive.

E. due to the influence of a single common factor represented by the market index return and usually positive.

11. The intercept in the regression equations calculated by beta books is equal to

A. α in the CAPM.

B. α + rf(1 + β).

C. α + rf(1 - β).

D. 1 - α.

12. 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

A. the α of the asset.

B. the β of the asset.

C. the σ of the asset.

D. the δ of the asset.

8-4

Copyright ? 2014 McGraw-Hill Education. All rights reserved. No reproduction or distribution without the prior written consent of

McGraw-Hill Education.

13. Analysts may use regression analysis to estimate the index model for a stock. When doing so,

the intercept of the regression line is an estimate of

A. the α of the asset.

B. the β of the asset.

C. the σ of the asset.

D. the δ of the asset.

14. In a factor model, the return on a stock in a particular period will be related to

A. firm-specific events.

B. macroeconomic events.

C. the error term.

D. both firm-specific events and macroeconomic events.

E. neither firm-specific events and macroeconomic events.

15. Rosenberg and Guy found that __________ helped to predict a firm's beta.

A. the firm's financial characteristics

B. the firm's industry group

C. firm size

D. the firm's financial characteristics and the firm's industry group

E. All of the options

8-5

Copyright ? 2014 McGraw-Hill Education. All rights reserved. No reproduction or distribution without the prior written consent of

McGraw-Hill Education.

本文来源：https://www.bwwdw.com/article/kikv.html