第二章单元测试
- Which of the following statements is most correct? (Assume that the risk-free rate remains constant.（ ）
- Which of the following statements is incorrect? （ ）
- Which of the following statements is most correct? （ ）
- Stock A and Stock B both have an expected return of 10 percent and a standard deviation of 25 percent. Stock A has a beta of 0.8 and Stock B has a beta of 1.2. The correlation coefficient, r, between the two stocks is 0.6. Portfolio P is a portfolio with 50 percent invested in Stock A and 50 percent invested in Stock B. Which of the following statements is most correct? （ ）
- Which of the following statements is most correct?（ ）
A:Statements a and c are correct.
B:If the market risk premium increases by 1 percentage point, then the required return will increase for stocks that have a beta greater than 1.0, but it will decrease for stocks that have a beta less than 1.0.
C:None of the statements above is correct
D:If the market risk premium increases by 1 percentage point, then the required return on all stocks will rise by 1 percentage point.
E:If the market risk premium increases by 1 percentage point, then the required return will increase by 1 percentage point for a stock that has a beta equal to 1.0.
答案:If the market risk premium increases by 1 percentage point, then the required return will increase by 1 percentage point for a stock that has a beta equal to 1.0.
A:Higher beta stocks have a higher required return.
B:Company-specific risk can be diversified away.
C:The slope of the security market line is measured by beta.
D:Two securities with the same stand-alone risk can have different betas.
E:The market risk premium is affected by attitudes about risk.
答案:The slope of the security market line is measured by beta.
A:A stock’s beta is less relevant as a measure of risk to an investor with a well-diversified portfolio than to an investor who holds only that one stock.
B:Portfolio diversification reduces the variability of the returns on the individual stocks held in the portfolio.
C:The required return on a firm’s common stock is determined by its systematic (or market) risk. If the systematic risk is known, and if that risk is expected to remain constant, then no other information is required to specify the firm’s required return.
D:If an investor buys enough stocks, he or she can, through diversification, eliminate virtually all of the nonmarket (or company-specific) risk inherent in owning stocks. Indeed, if the portfolio contained all publicly traded stocks, it would be riskless.
E:A security’s beta measures its nondiversifiable (systematic, or market) risk relative to that of an average stock.
答案:A security’s beta measures its nondiversifiable (systematic, or market) risk relative to that of an average stock.
A:Portfolio P has more market risk than Stock A but less market risk than Stock B
B:Portfolio P has a coefficient of variation equal to 2.5
C:None of the statements above is correct
D:All of the statements above are correct
E:Portfolio P has a standard deviation of 25 percent and a beta of 1.0
答案:Portfolio P has more market risk than Stock A but less market risk than Stock B
A:If portfolios are formed by randomly selecting stocks, a 10-stock portfolio will always have a lower beta than a one-stock portfolio.
B:None of the statements above is correct.
C:A two-stock portfolio will always have a lower standard deviation than a one-stock portfolio.
D:All of the statements above are correct.
E:A two-stock portfolio will always have a lower beta than a one-stock portfolio.
答案:None of the statements above is correct.
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