Question 1

According to the CAPM,the risk premium an investor expects to receive on any stock or portfolio increases:

Accepted Answer

A) directly with alpha. 
B) inversely with alpha. 
C) directly with beta. 
D) inversely with beta. 
E) in proportion to its standard deviation. 
A) directly with alpha. 
B) inversely with alpha. 
C) directly with beta. 
D) inversely with beta. 
E) in proportion to its standard deviation.

Question 2

Research by Jeremy Stein of MIT resolves the dispute over whether beta is a sufficient pricing factor by suggesting that managers should use beta to estimate

Accepted Answer

A) long-term returns but not short-term returns. 
B) short-term returns but not long-term returns. 
C) both long- and short-term returns. 
D) book-to-market ratios. 
E) None of the above was suggested by Stein. 
A) long-term returns but not short-term returns. 
B) short-term returns but not long-term returns. 
C) both long- and short-term returns. 
D) book-to-market ratios. 
E) None of the above was suggested by Stein.

Question 3

The risk-free rate is 7 percent.The expected market rate of return is 15 percent.If you expect a stock with a beta of 1.3 to offer a rate of return of 12 percent,you should

Accepted Answer

A) buy the stock because it is overpriced. 
B) sell short the stock because it is overpriced. 
C) sell the stock short because it is underpriced. 
D) buy the stock because it is underpriced. 
E) none of the above,as the stock is fairly priced. 
A) buy the stock because it is overpriced. 
B) sell short the stock because it is overpriced. 
C) sell the stock short because it is underpriced. 
D) buy the stock because it is underpriced. 
E) none of the above,as the stock is fairly priced.

Question 4

According to the Capital Asset Pricing Model (CAPM)a well diversified portfolio's rate of return is a function of

Accepted Answer

A) beta risk. 
B) unsystematic risk. 
C) unique risk. 
D) reinvestment risk. 
E) none of the above. 
A) beta risk. 
B) unsystematic risk. 
C) unique risk. 
D) reinvestment risk. 
E) none of the above.

Question 5

The capital asset pricing model assumes

Accepted Answer

A) all investors are rational. 
B) all investors have the same holding period. 
C) investors have heterogeneous expectations. 
D) both A and B are true. 
E) A,B and C are all true. 
A) all investors are rational. 
B) all investors have the same holding period. 
C) investors have heterogeneous expectations. 
D) both A and B are true. 
E) A,B and C are all true.

Question 6

Discuss the mutual fund theorem.

Accepted Answer

The mutual fund theorem is based on the

According to the CAPM,the risk premium an investor expects to receive on any stock or portfolio increases:

Research by Jeremy Stein of MIT resolves the dispute over whether beta is a sufficient pricing factor by suggesting that managers should use beta to estimate

The risk-free rate is 7 percent.The expected market rate of return is 15 percent.If you expect a stock with a beta of 1.3 to offer a rate of return of 12 percent,you should

According to the Capital Asset Pricing Model (CAPM)a well diversified portfolio's rate of return is a function of

The capital asset pricing model assumes

Discuss the mutual fund theorem.

The Investment Environment

Asset Classes and Financial Instruments

How Securities are Traded

Mutual Funds and Other Investment Companies

Introduction to Risk,return,and the Historical Record

Risk Aversion and Capital Allocation to Risky Assets

Optimal Risky Portfolios

Index Models

The Capital Asset Pricing Model

Arbitrage Pricing Theory and Multifactor Models of Risk and Return

The Efficient Market Hypothesis

Empirical Evidence on Security Returns

Bond Prices and Yields

The Term Structure of Interest Rates

Managing Bond Portfolios

Options Markets: Introduction

Option Valuation

Futures Markets

Futures, swaps, and Risk Management

Macroeconomic and Industry Analysis

Equity Valuation Models

Financial Statement Analysis

Portfolio Performance Evaluation

International Diversification

Hedge Funds

The Theory of Active Portfolio Management

Investment Policy and the Framework of the CFA Institute Appendices

Filters

Exam 12: Behavioral Finance and Technical Analysis

According to the CAPM,the risk premium an investor expects to receive on any stock or portfolio increases:

Research by Jeremy Stein of MIT resolves the dispute over whether beta is a sufficient pricing factor by suggesting that managers should use beta to estimate

The risk-free rate is 7 percent.The expected market rate of return is 15 percent.If you expect a stock with a beta of 1.3 to offer a rate of return of 12 percent,you should

According to the Capital Asset Pricing Model (CAPM)a well diversified portfolio's rate of return is a function of

The capital asset pricing model assumes

Discuss the mutual fund theorem.

The Investment Environment

Asset Classes and Financial Instruments

How Securities are Traded

Mutual Funds and Other Investment Companies

Introduction to Risk,return,and the Historical Record

Risk Aversion and Capital Allocation to Risky Assets

Optimal Risky Portfolios

Index Models

The Capital Asset Pricing Model

Arbitrage Pricing Theory and Multifactor Models of Risk and Return

The Efficient Market Hypothesis

Empirical Evidence on Security Returns

Bond Prices and Yields

The Term Structure of Interest Rates

Managing Bond Portfolios

Options Markets: Introduction

Option Valuation

Futures Markets

Futures, swaps, and Risk Management

Macroeconomic and Industry Analysis

Equity Valuation Models

Financial Statement Analysis

Portfolio Performance Evaluation

International Diversification

Hedge Funds

The Theory of Active Portfolio Management

Investment Policy and the Framework of the CFA Institute Appendices

Filters