The index model for stock B has been estimated with the following result: RB= 0.01 + 1.1RM+ eB If βM= 0.20 and R2B= 0.50,the standard deviation of the return on stock B is _________.

A) 0.1111 B) 0.2111 C) 0.3111 D) 0.4111 E) none of the above A) 0.1111 B) 0.2111 C) 0.3111 D) 0.4111 E) none of the above

Exam 8: Index Models

The beta of a stock has been estimated as 1.8 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 21

Suppose you are doing a portfolio analysis that includes all of the stocks on the NYSE.Using a single-index model rather than the Markowitz model ___ the number of inputs needed from _ to ______.

(Multiple Choice)

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Question 22

The expected impact of unanticipated macroeconomic events on a security's return during the period is

(Multiple Choice)

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Question 23

In the single-index model represented by the equation r_i = E(r_i)+ β_iF + e_i,the term e_i represents

(Multiple Choice)

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Question 24

The index model for stock A has been estimated with the following result: R_A= 0.01 + 0.9R_M+ e_A If σ_M= 0.25 and R²_A= 0.25,the standard deviation of return of stock A is _________.

(Multiple Choice)

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Question 25

The index model for stock A has been estimated with the following result: R_A= 0.01 + 0.94R_M+ e_A If β_M= 0.30 and R²_A= 0.28,the standard deviation of return of stock A is _________.

(Multiple Choice)

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Question 26

The Security Characteristic Line (SCL)associated with the single-index model is a plot of

(Multiple Choice)

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Question 27

Suppose the following equation best describes the evolution of β over time: Β_t= 0.31 + 0.82β_t-1 If a stock had a β of 0.88 last year,you would forecast the β to be _______ in the coming year.

(Multiple Choice)

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Question 28

Suppose you held a well-diversified portfolio with a very large number of securities,and that the single index model holds.If the β of your portfolio was 0.18 and β_Mwas 0.24,the β of the portfolio would be approximately ________.

(Multiple Choice)

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Question 29

The beta of a stock has been estimated as 1.4 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 30

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

(Multiple Choice)

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Question 31

The index model has been estimated for stocks A and B with the following results: R_A= 0.03 + 0.7R_M+ e_A R_B= 0.01 + 0.9R_M+ e_B Σ_M= 0.35 σ(e_A)= 0.20 σ(e_B)= 0.10 The covariance between the returns on stocks A and B is ___________.

(Multiple Choice)

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Question 32

Assume that stock market returns do follow a single-index structure.An investment fund analyzes 750 stocks in order to construct a mean-variance efficient portfolio constrained by 750 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 33

The index model for stock B has been estimated with the following result: R_B= 0.01 + 1.1R_M+ e_B If β_M= 0.20 and R²_B= 0.50,the standard deviation of the return on stock B is _________.

(Multiple Choice)

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Question 34

The beta of JCP stock has been estimated as 1.2 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 35

Consider the single-index model.The alpha of a stock is 0%.The return on the market index is 10%.The risk-free rate of return is 5%.The stock earns a return that exceeds the risk-free rate by 5% and there are no firm-specific events affecting the stock performance.The β of the stock is _______.

(Multiple Choice)

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Question 36

If the index model is valid,_________ would be helpful in determining the covariance between assets GM and GE.

(Multiple Choice)

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Question 37

The index model has been estimated for stocks A and B with the following results: R_A= 0.01 + 0.5R_M+ e_A R_B= 0.02 + 1.3R_M+ e_B Β_M= 0.25 β(e_A)= 0.20 β(e_B)= 0.10 The covariance between the returns on stocks A and B is ___________.

(Multiple Choice)

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Question 38

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

(Multiple Choice)

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Question 39

Suppose you held a well-diversified portfolio with a very large number of securities,and that the single index model holds.If the β of your portfolio was 0.24 and β_Mwas 0.18,the β of the portfolio would be approximately ________.

(Multiple Choice)

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(33)

Question 40

Showing 21 - 40 of 86

Exam 8: Index Models

The beta of a stock has been estimated as 1.8 using regression analysis on a sample of historical returns.A commonly used adjustment technique would provide an adjusted beta of ___________.

Suppose you are doing a portfolio analysis that includes all of the stocks on the NYSE.Using a single-index model rather than the Markowitz model _______ the number of inputs needed from _______ to ________.

The expected impact of unanticipated macroeconomic events on a security's return during the period is

In the single-index model represented by the equation ri = E(ri)+ βiF + ei,the term ei represents

The index model for stock A has been estimated with the following result: RA= 0.01 + 0.9RM+ eA If σM= 0.25 and R2A= 0.25,the standard deviation of return of stock A is _________.

The index model for stock A has been estimated with the following result: RA= 0.01 + 0.94RM+ eA If βM= 0.30 and R2A= 0.28,the standard deviation of return of stock A is _________.

The Security Characteristic Line (SCL)associated with the single-index model is a plot of

Suppose the following equation best describes the evolution of β over time: Βt= 0.31 + 0.82βt-1 If a stock had a β of 0.88 last year,you would forecast the β 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 β of your portfolio was 0.18 and βMwas 0.24,the β of the portfolio would be approximately ________.

The beta of a stock has been estimated as 1.4 using regression analysis on a sample of historical returns.A commonly used adjustment technique would provide an adjusted beta of ___________.

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

The index model has been estimated for stocks A and B with the following results: RA= 0.03 + 0.7RM+ eA RB= 0.01 + 0.9RM+ eB ΣM= 0.35 σ(eA)= 0.20 σ(eB)= 0.10 The covariance between the returns on stocks A and B is ___________.

The index model for stock B has been estimated with the following result: RB= 0.01 + 1.1RM+ eB If βM= 0.20 and R2B= 0.50,the standard deviation of the return on stock B is _________.

The beta of JCP stock has been estimated as 1.2 using regression analysis on a sample of historical returns.A commonly used adjustment technique would provide an adjusted beta of ___________.

Consider the single-index model.The alpha of a stock is 0%.The return on the market index is 10%.The risk-free rate of return is 5%.The stock earns a return that exceeds the risk-free rate by 5% and there are no firm-specific events affecting the stock performance.The β of the stock is _______.

If the index model is valid,_________ would be helpful in determining the covariance between assets GM and GE.

The index model has been estimated for stocks A and B with the following results: RA= 0.01 + 0.5RM+ eA RB= 0.02 + 1.3RM+ eB ΒM= 0.25 β(eA)= 0.20 β(eB)= 0.10 The covariance between the returns on stocks A and B is ___________.

Suppose the following equation best describes the evolution of β over time:βt= 0.30 + 0.70βt-1 If a stock had a β of 0.82 last year,you would forecast the β 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 β of your portfolio was 0.24 and βMwas 0.18,the β of the portfolio would be approximately ________.

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

The Capital Asset Pricing Model

Arbitrage Pricing Theory and Multifactor Models of Risk and Return

The Efficient Market Hypothesis

Behavioral Finance and Technical Analysis

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

Suppose you are doing a portfolio analysis that includes all of the stocks on the NYSE.Using a single-index model rather than the Markowitz model ___ the number of inputs needed from _ to ______.

In the single-index model represented by the equation r_i = E(r_i)+ β_iF + e_i,the term e_i represents

The index model for stock A has been estimated with the following result: R_A= 0.01 + 0.9R_M+ e_A If σ_M= 0.25 and R²_A= 0.25,the standard deviation of return of stock A is _________.

The index model for stock A has been estimated with the following result: R_A= 0.01 + 0.94R_M+ e_A If β_M= 0.30 and R²_A= 0.28,the standard deviation of return of stock A is _________.

Suppose the following equation best describes the evolution of β over time: Β_t= 0.31 + 0.82β_t-1 If a stock had a β of 0.88 last year,you would forecast the β 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 β of your portfolio was 0.18 and β_Mwas 0.24,the β of the portfolio would be approximately ________.

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

The index model has been estimated for stocks A and B with the following results: R_A= 0.03 + 0.7R_M+ e_A R_B= 0.01 + 0.9R_M+ e_B Σ_M= 0.35 σ(e_A)= 0.20 σ(e_B)= 0.10 The covariance between the returns on stocks A and B is ___________.

The index model for stock B has been estimated with the following result: R_B= 0.01 + 1.1R_M+ e_B If β_M= 0.20 and R²_B= 0.50,the standard deviation of the return on stock B is _________.

The index model has been estimated for stocks A and B with the following results: R_A= 0.01 + 0.5R_M+ e_A R_B= 0.02 + 1.3R_M+ e_B Β_M= 0.25 β(e_A)= 0.20 β(e_B)= 0.10 The covariance between the returns on stocks A and B is ___________.

Suppose the following equation best describes the evolution of β over time:β_t= 0.30 + 0.70β_t-1 If a stock had a β of 0.82 last year,you would forecast the β 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 β of your portfolio was 0.24 and β_Mwas 0.18,the β of the portfolio would be approximately ________.