13. For an investor borrowing money at the risk-free interest rate to invest in the market portfolio, the estimated rate of return of his portfolio is most likely to:
B.covariance of an asset with the market portfolio.
C.correlation coefficient of an asset with the market portfolio.
A B C
B
[解析] β值是系统风险的度量指标,从而可知选项A是错误的。 证券i的β值的计算公式为:
由上述公式可知,由于β值涉及资产与市场组合的协方差,因而它被视为资产风险的标准化度量指标。
17. The covariance of the market's returns with the stock's returns is 0.007 and the standard deviation of the market's returns is 0.15. What is the stock's beta?
A.0.23
B.0.31
C.0.57
A B C
B
[解析]
18. What is the required rate of return for a stock with a beta of 1.4, when the risk-free rate is 5% and the market is offering 8%?
20. The risk-free rate is 4% and the expected market return is 12%. An investor sees a stock with a beta of 0.8 selling for $30 per stock that will pay a $0.5 dividend next year. If he thinks the stock will be selling for $33 per stock at the end of the year, the stock is:
33. Which index weighting scheme would produce returns closest to a portfolio of index stock with an equal number of shares of each stock in the index?
34. Which index weighting scheme would produce returns closest to a portfolio of index stock with an equal dollar investment in each stock in the index?
44. An analyst has gathered the following data about a stock: ●A beta of 1.6. ●An actual return of 12%. ●The market rate of return is 5%. ●The risk-free rate is 3%. Compute the stock's abnormal return.
46. A researcher has examined the performance of the shares of firms that went public during the period 2008 to 2009 and found evidence of positive abnormal returns over the three months after the firms' shares began trading. This evidence of anomalous returns behavior is least likely subject to: