Suppose the following equation best describes the evolution of $\beta$ over time: $\beta$t = 0.30 + 0.70$\beta$t - 1 If a stock had a $\beta$ of 0.82 last year, you would forecast the $\beta$ to be _______ in the coming year.

A) 0.91 B) 0.77 C) 0.63 D) 0.87 A) 0.91 B) 0.77 C) 0.63 D) 0.87

Exam 8: Index Models

Assume that stock market returns do follow a single-index structure.An investment fund analyzes 500 stocks in order to construct a mean-variance efficient portfolio constrained by 500 investments.They will need to calculate estimates of firm-specific variances and estimate/estimates for the variance of the macroeconomic factor.

(Multiple Choice)

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Question 61

If a firm's beta was calculated as 0.8 in a regression equation, a commonly-used adjustment technique would provide an adjusted beta of

(Multiple Choice)

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Question 62

Assume that stock market returns do follow a single-index structure.An investment fund analyzes 175 stocks in order to construct a mean-variance efficient portfolio constrained by 175 investments.They will need to calculate estimates of expected returns and estimates of sensitivity coefficients to the macroeconomic factor.

(Multiple Choice)

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Question 63

As diversification increases, the total variance of a portfolio approaches

(Multiple Choice)

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Question 64

Suppose the following equation best describes the evolution of $\beta$ over time: $\beta$ _t = 0.4 + 0.6 $\beta$ _t_{- 1}. If a stock had a $\beta$ of 0.9 last year, you would forecast the $\beta$ to be _______ in the coming year.

(Multiple Choice)

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Question 65

Suppose you held a well-diversified portfolio with a very large number of securities, and that the single index model holds.If the $\sigma$ of your portfolio was 0.25 and $\sigma$ _M was 0.21, the $\beta$ of the portfolio would be approximately ________.

(Multiple Choice)

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Question 66

Suppose you forecast that the market index will earn a return of 15% in the coming year.Treasury bills are yielding 6%.The unadjusted $\beta$ of Mobil stock is 1.30.A reasonable forecast of the return on Mobil stock for the coming year is _________ if you use a common method to derive adjusted betas.

(Multiple Choice)

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Question 67

Assume that stock market returns do follow a single-index structure.An investment fund analyzes 125 stocks in order to construct a mean-variance efficient portfolio constrained by 125 investments.They will need to calculate estimates of expected returns and estimates of sensitivity coefficients to the macroeconomic factor.

(Multiple Choice)

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Question 68

If a firm's beta was calculated as 1.6 in a regression equation, a commonly-used adjustment technique would provide an adjusted beta of

(Multiple Choice)

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Question 69

Suppose the following equation best describes the evolution of $\beta$ over time: $\beta$ _t = 0.30 + 0.70 $\beta$ _t- ₁ If a stock had a $\beta$ of 0.82 last year, you would forecast the $\beta$ to be _______ in the coming year.

(Multiple Choice)

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Question 70

Assume that stock market returns do not resemble a single-index structure.An investment fund analyzes 100 stocks in order to construct a mean-variance efficient portfolio constrained by 100 investments.They will need to calculate ____________ covariances.

(Multiple Choice)

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Question 71

As diversification increases, the unique risk of a portfolio approaches

(Multiple Choice)

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Question 72

The index model has been estimated for stocks A and B with the following results: R_A = 0.01 + 0.8R_M + e_A. R_B = 0.02 + 1.2R_M + e_B. $\sigma$ _M = 0.20; $\sigma$ (e_A) = 0.20; $\sigma$ (e_B) = 0.10. The standard deviation for stock A is

(Multiple Choice)

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Question 73

An analyst estimates the index model for a stock using regression analysis involving total returns.The estimated intercept in the regression equation is 6% and the $\beta$ is 0.5.The risk-free rate of return is 12%.The true $\beta$ of the stock is

(Multiple Choice)

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Question 74

The beta of Apple stock has been estimated as 2.3 using regression analysis on a sample of historical returns.A commonly-used adjustment technique would provide an adjusted beta of

(Multiple Choice)

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Question 75

If a firm's beta was calculated as 1.35 in a regression equation, a commonly-used adjustment technique would provide an adjusted beta of

(Multiple Choice)

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Question 76

Showing 61 - 76 of 76

If a firm's beta was calculated as 0.8 in a regression equation, a commonly-used adjustment technique would provide an adjusted beta of

As diversification increases, the total variance of a portfolio approaches

Suppose the following equation best describes the evolution of $\beta$ over time: $\beta$ _t = 0.4 + 0.6 $\beta$ _t_{- 1}. If a stock had a $\beta$ of 0.9 last year, you would forecast the $\beta$ to be _______ in the coming year.

Suppose you held a well-diversified portfolio with a very large number of securities, and that the single index model holds.If the $\sigma$ of your portfolio was 0.25 and $\sigma$ _M was 0.21, the $\beta$ of the portfolio would be approximately ________.

If a firm's beta was calculated as 1.6 in a regression equation, a commonly-used adjustment technique would provide an adjusted beta of

Suppose the following equation best describes the evolution of $\beta$ over time: $\beta$ _t = 0.30 + 0.70 $\beta$ _t- ₁ If a stock had a $\beta$ of 0.82 last year, you would forecast the $\beta$ to be _______ in the coming year.

Assume that stock market returns do not resemble a single-index structure.An investment fund analyzes 100 stocks in order to construct a mean-variance efficient portfolio constrained by 100 investments.They will need to calculate ____________ covariances.

As diversification increases, the unique risk of a portfolio approaches

The index model has been estimated for stocks A and B with the following results: R_A = 0.01 + 0.8R_M + e_A. R_B = 0.02 + 1.2R_M + e_B. $\sigma$ _M = 0.20; $\sigma$ (e_A) = 0.20; $\sigma$ (e_B) = 0.10. The standard deviation for stock A is

An analyst estimates the index model for a stock using regression analysis involving total returns.The estimated intercept in the regression equation is 6% and the $\beta$ is 0.5.The risk-free rate of return is 12%.The true $\beta$ of the stock is

The beta of Apple stock has been estimated as 2.3 using regression analysis on a sample of historical returns.A commonly-used adjustment technique would provide an adjusted beta of

If a firm's beta was calculated as 1.35 in a regression equation, a commonly-used adjustment technique would provide an adjusted beta of

The Investment Environment

Financial Markets, Asset Classes and Financial Instruments

How Securities Are Traded

Mutual Funds and Other Investment Companies

Risk, Return, and the Historical Record

Capital Allocation to Risky Assets

Optimal Risky Portfolios

The Capital Asset Pricing Model

Arbitrage Pricing Theory and Multifactor Models of Risk and Return

The Efficient Market Hypothesis

Behavioural Finance and Technical Analysis

Empirical Evidence on Security Returns

Bond Prices and Yields

The Term Structure of Interest Rates

Managing Bond Portfolios

Macroeconomic and Industry Analysis

Equity Valuation Models

Financial Statement Analysis

Options Markets: Introduction

Option Valuation

Futures Markets

Futures, Swaps, and Risk Management

Portfolio Performance Evaluation

International Diversification

Hedge Funds

The Theory of Active Portfolio Management

Investment Policy and the Framework of the Cfa Institute

Filters

Exam 8: Index Models

If a firm's beta was calculated as 0.8 in a regression equation, a commonly-used adjustment technique would provide an adjusted beta of

As diversification increases, the total variance of a portfolio approaches

Suppose the following equation best describes the evolution of β\betaβ over time: β\betaβ t = 0.4 + 0.6 β\betaβ t - 1. If a stock had a β\betaβ of 0.9 last year, you would forecast the β\betaβ to be _______ in the coming year.

Suppose you held a well-diversified portfolio with a very large number of securities, and that the single index model holds.If the σ\sigmaσ of your portfolio was 0.25 and σ\sigmaσ M was 0.21, the β\betaβ of the portfolio would be approximately ________.

If a firm's beta was calculated as 1.6 in a regression equation, a commonly-used adjustment technique would provide an adjusted beta of

Suppose the following equation best describes the evolution of β\betaβ over time: β\betaβ t = 0.30 + 0.70 β\betaβ t - 1 If a stock had a β\betaβ of 0.82 last year, you would forecast the β\betaβ to be _______ in the coming year.

Assume that stock market returns do not resemble a single-index structure.An investment fund analyzes 100 stocks in order to construct a mean-variance efficient portfolio constrained by 100 investments.They will need to calculate ____________ covariances.

As diversification increases, the unique risk of a portfolio approaches

The index model has been estimated for stocks A and B with the following results: RA = 0.01 + 0.8RM + eA. RB = 0.02 + 1.2RM + eB. σ\sigmaσ M = 0.20; σ\sigmaσ (eA) = 0.20; σ\sigmaσ (eB) = 0.10. The standard deviation for stock A is

An analyst estimates the index model for a stock using regression analysis involving total returns.The estimated intercept in the regression equation is 6% and the β\betaβ is 0.5.The risk-free rate of return is 12%.The true β\betaβ of the stock is

The beta of Apple stock has been estimated as 2.3 using regression analysis on a sample of historical returns.A commonly-used adjustment technique would provide an adjusted beta of

If a firm's beta was calculated as 1.35 in a regression equation, a commonly-used adjustment technique would provide an adjusted beta of

The Investment Environment

Financial Markets, Asset Classes and Financial Instruments

How Securities Are Traded

Mutual Funds and Other Investment Companies

Risk, Return, and the Historical Record

Capital Allocation to Risky Assets

Optimal Risky Portfolios

The Capital Asset Pricing Model

Arbitrage Pricing Theory and Multifactor Models of Risk and Return

The Efficient Market Hypothesis

Behavioural Finance and Technical Analysis

Empirical Evidence on Security Returns

Bond Prices and Yields

The Term Structure of Interest Rates

Managing Bond Portfolios

Macroeconomic and Industry Analysis

Equity Valuation Models

Financial Statement Analysis

Options Markets: Introduction

Option Valuation

Futures Markets

Futures, Swaps, and Risk Management

Portfolio Performance Evaluation

International Diversification

Hedge Funds

The Theory of Active Portfolio Management

Investment Policy and the Framework of the Cfa Institute

Filters

Suppose the following equation best describes the evolution of $\beta$ over time: $\beta$ _t = 0.4 + 0.6 $\beta$ _t_{- 1}. If a stock had a $\beta$ of 0.9 last year, you would forecast the $\beta$ to be _______ in the coming year.

Suppose you held a well-diversified portfolio with a very large number of securities, and that the single index model holds.If the $\sigma$ of your portfolio was 0.25 and $\sigma$ _M was 0.21, the $\beta$ of the portfolio would be approximately ________.

Suppose the following equation best describes the evolution of $\beta$ over time: $\beta$ _t = 0.30 + 0.70 $\beta$ _t- ₁ If a stock had a $\beta$ of 0.82 last year, you would forecast the $\beta$ to be _______ in the coming year.

The index model has been estimated for stocks A and B with the following results: R_A = 0.01 + 0.8R_M + e_A. R_B = 0.02 + 1.2R_M + e_B. $\sigma$ _M = 0.20; $\sigma$ (e_A) = 0.20; $\sigma$ (e_B) = 0.10. The standard deviation for stock A is

An analyst estimates the index model for a stock using regression analysis involving total returns.The estimated intercept in the regression equation is 6% and the $\beta$ is 0.5.The risk-free rate of return is 12%.The true $\beta$ of the stock is