Exam 7: Introduction to Risk and Return

The correlation coefficient between stock B and the market portfolio is 0.8. The standard deviation of the stock B is 35% and that of the market is 20%. Calculate the beta of the stock.

A statistical measure of the degree to which securities' returns move together is called:

The average beta of all stocks in the market is zero.

In the formula for calculating the variance of N-stock portfolio, how many covariance and variance terms are there?

The unique risk is also called the:

Market risk is also called: I. systematic risk, II. undiversifiable risk, III. firm specific risk.

Briefly explain what "beta" of a stock means.

Long-term U.S. government bonds have:

The "beta" is a measure of:

For a two-stock portfolio, the maximum reduction in risk occurs when the correlation coefficient between the two stocks is:

For log-normally distributed returns the annual geometric average return is greater than the arithmetic average return.

The annual return for three years for stock B comes out to be 0%, 10% and 26%. Annual returns for three years for the market portfolios are +6%, 18%, 24%. Calculate the beta for the stock.

Which portfolio has had the lowest average annual nominal rate of return during the 1900-2006 periods?

Spill Oil Company's stocks had -8%, 11% and 24% rates of return during the last three years respectively; calculate the average rate of return for the stock.

Standard error measures:

In the case of a portfolio of N-stocks, the formula for portfolio variance contains:

Which of the following portfolios have the least risk?

The covariance between YOHO stock and the S&P 500 is .05. The standard deviation of the stock market is 20%. What is the beta of YOHO?

Mega Corporation has the following returns for the past three years: 8%, 12% and 10%. Calculate the variance of the return and the standard deviation of the returns.

What has been the average annual real rate of interest on Treasury bills over the past 107 years (from 1900 to 2006)?