Which of the following stocks has the greatest systematic risk? $\begin{array}{c} \begin{array}{lll} \\ \text { Stock A}\\ \text { Stock B}\\ \text { Stock C}\\ \text { Stock D} \end{array} \begin{array}{c} \text {Standard deviation}\\ 62 \% \\ 47 \% \\ 53 \% \\ 59 \% \% \end{array} \begin{array}{lll} \text {Beta}\\ 1.10 \\ 1.05 \\ 1.30 \\ 0.90 \end{array} \end{array}$

A) Stock A B) Stock B C) Stock C D) Stock D E) Insufficient information. A) Stock A B) Stock B C) Stock C D) Stock D E) Insufficient information.

$\begin{array}{lrcc} & \text { Amount invested } & \text { Expected return } & \text { Beta } \\ \text { Stock X } & \$ 30,000 & 16 \% & 1.35 \\ \text { Stock Y } & \$ 45,000 & 13 \% & 1.10 \\ \text { Stock Z } & \$ 25,000 & 10 \% & 0.85 \end{array}$ -What is the beta of the portfolio?

A) 1.06 B) 1.11 C) 0.98 D) 1.27 E) 1.19 A) 1.06 B) 1.11 C) 0.98 D) 1.27 E) 1.19

Exam 12: Return, Risk and Security Management

Assume that Stock I is related to two factors where the sensitivity coefficients, $_i1 and $_i2 are 1.4 and 0.8, respectively. If the risk-free rate is 8%, the premium for the first factor is 6% and the second factor premium is -2%, what is the stock's expected return?

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Question 1

Correct Answer:

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To date, results of empirical tests of the CAMP have been

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(Multiple Choice)

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Question 2

Correct Answer:

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Assume an asset has a positive covariance with the market. The beta of the asset is:

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Question 3

Correct Answer:

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Can a risky asset ever have a negative beta? (Hint: Yes) What would the expected return be on such an asset? Why would you want to buy such an asset?

(Essay)

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Question 4

Compared with the capital pricing model (CAPM), one major advantage of the arbitrage pricing model (APT) is that

(Multiple Choice)

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Question 5

A certain stock has a beta of 1.5 and an expected return of 21 percent. This means:

(Multiple Choice)

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Question 6

You have a portfolio of 10 stocks that are held in equal amounts. The current beta of this portfolio is 1.55 and the beta of Stock A is 2. If Stock A is sold, what does the beta of the replacement stock have to be to ensure a new portfolio beta of 1.46?

(Multiple Choice)

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Question 7

_______ is a measure of the tendency for two securities to move in the same direction.

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Question 8

Which of the following is/are true regarding a stock with a beta of 1.2? I. The stock has 20 percent more systematic risk than the market. II. If the market increases by one percent, the stock will increase by 1.2 percent. III. The stock has a greater expected return than the market. IV. The stock has a greater reward-to-risk ratio than the market.

(Multiple Choice)

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Question 9

Which of the following stocks has the greatest systematic risk? Stock A Stock B Stock C Stock D Standard deviation 62\% 47\% 53\% 59\%\% Beta 1.10 1.05 1.30 0.90

(Multiple Choice)

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Question 10

Which of the following is most apt to be unsystematic risk?

(Multiple Choice)

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Question 11

You have a portfolio that is 25% invested in the risk-free asset, 30% invested in Stock A with a beta of 1.35, and the remainder in Stock B. If the beta of your portfolio is the same as the market, what is the beta of Stock B?

(Multiple Choice)

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Question 12

WAG Inc. has just announced that it lost $0.56 a share in the previous quarter yet the price of the stock remains the same. This is an example of the market having ___________ the announcement into the stock price.

(Multiple Choice)

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Question 13

The correlation between a stock and the market is 0.48. The standard deviation of the stock is 41 percent, and the standard deviation of the market is 23 percent. What is the beta of the stock?

(Multiple Choice)

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Question 14

Brooke invested $3,500 in the stock market with the expectation of earning 9.5 percent. She actually earned 10.7 percent for the year. What is the amount of her unexpected return?

(Multiple Choice)

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Question 15

Which of the following represents the pure time value of money?

(Multiple Choice)

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Question 16

Amount invested Expected return Beta Stock X \ 30,000 16\% 1.35 Stock Y \ 45,000 13\% 1.10 Stock Z \ 25,000 10\% 0.85 -What is the beta of the portfolio?

(Multiple Choice)

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Question 17

Which of the following is the best example of systematic risk?

(Multiple Choice)

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Question 18

Risk that affects a single company is called ______ risk.

(Multiple Choice)

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Question 19

The graphical representation of the Capital Asset Pricing Model outlining the linear relationship between systematic risk and the expected return of an asset is shown by:

(Multiple Choice)

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Question 20

Showing 1 - 20 of 106

Assume that Stock I is related to two factors where the sensitivity coefficients, $_i1 and $_i2 are 1.4 and 0.8, respectively. If the risk-free rate is 8%, the premium for the first factor is 6% and the second factor premium is -2%, what is the stock's expected return?

To date, results of empirical tests of the CAMP have been

Assume an asset has a positive covariance with the market. The beta of the asset is:

Can a risky asset ever have a negative beta? (Hint: Yes) What would the expected return be on such an asset? Why would you want to buy such an asset?

Compared with the capital pricing model (CAPM), one major advantage of the arbitrage pricing model (APT) is that

A certain stock has a beta of 1.5 and an expected return of 21 percent. This means:

You have a portfolio of 10 stocks that are held in equal amounts. The current beta of this portfolio is 1.55 and the beta of Stock A is 2. If Stock A is sold, what does the beta of the replacement stock have to be to ensure a new portfolio beta of 1.46?

_______ is a measure of the tendency for two securities to move in the same direction.

Which of the following stocks has the greatest systematic risk? Stock A Stock B Stock C Stock D Standard deviation 62\% 47\% 53\% 59\%\% Beta 1.10 1.05 1.30 0.90

Which of the following is most apt to be unsystematic risk?

You have a portfolio that is 25% invested in the risk-free asset, 30% invested in Stock A with a beta of 1.35, and the remainder in Stock B. If the beta of your portfolio is the same as the market, what is the beta of Stock B?

WAG Inc. has just announced that it lost $0.56 a share in the previous quarter yet the price of the stock remains the same. This is an example of the market having ___________ the announcement into the stock price.

The correlation between a stock and the market is 0.48. The standard deviation of the stock is 41 percent, and the standard deviation of the market is 23 percent. What is the beta of the stock?

Brooke invested $3,500 in the stock market with the expectation of earning 9.5 percent. She actually earned 10.7 percent for the year. What is the amount of her unexpected return?

Which of the following represents the pure time value of money?

Amount invested Expected return Beta Stock X \ 30,000 16\% 1.35 Stock Y \ 45,000 13\% 1.10 Stock Z \ 25,000 10\% 0.85 -What is the beta of the portfolio?

Which of the following is the best example of systematic risk?

Risk that affects a single company is called ______ risk.

The graphical representation of the Capital Asset Pricing Model outlining the linear relationship between systematic risk and the expected return of an asset is shown by:

A Brief History of Risk and Return

Diversification and Risky Asset Allocation

The Investment Process

Overview of Security Types

Mutual Funds

The Stock Market

Common Stock Valuation

Stock Price Behaviour and Market Efficiency

Behavioural Finance and the Psychology of Investing

Interest Rates

Bond Prices and Yields

Performance Evaluation and Risk Management

Options

Option Valuation

Futures Contracts

Projecting Cash Flow and Earnings

Corporate Bonds

Government Bonds and Mortgaged-Backed Securities

International Portfolio Investment

Filters

Exam 12: Return, Risk and Security Management

Assume that Stock I is related to two factors where the sensitivity coefficients, $i1 and $i2 are 1.4 and 0.8, respectively. If the risk-free rate is 8%, the premium for the first factor is 6% and the second factor premium is -2%, what is the stock's expected return?

To date, results of empirical tests of the CAMP have been

Assume an asset has a positive covariance with the market. The beta of the asset is:

Can a risky asset ever have a negative beta? (Hint: Yes) What would the expected return be on such an asset? Why would you want to buy such an asset?

Compared with the capital pricing model (CAPM), one major advantage of the arbitrage pricing model (APT) is that

A certain stock has a beta of 1.5 and an expected return of 21 percent. This means:

You have a portfolio of 10 stocks that are held in equal amounts. The current beta of this portfolio is 1.55 and the beta of Stock A is 2. If Stock A is sold, what does the beta of the replacement stock have to be to ensure a new portfolio beta of 1.46?

_______ is a measure of the tendency for two securities to move in the same direction.

Which of the following stocks has the greatest systematic risk? Stock A Stock B Stock C Stock D Standard deviation 62\% 47\% 53\% 59\%\% Beta 1.10 1.05 1.30 0.90

Which of the following is most apt to be unsystematic risk?

You have a portfolio that is 25% invested in the risk-free asset, 30% invested in Stock A with a beta of 1.35, and the remainder in Stock B. If the beta of your portfolio is the same as the market, what is the beta of Stock B?

WAG Inc. has just announced that it lost $0.56 a share in the previous quarter yet the price of the stock remains the same. This is an example of the market having ___________ the announcement into the stock price.

The correlation between a stock and the market is 0.48. The standard deviation of the stock is 41 percent, and the standard deviation of the market is 23 percent. What is the beta of the stock?

Brooke invested $3,500 in the stock market with the expectation of earning 9.5 percent. She actually earned 10.7 percent for the year. What is the amount of her unexpected return?

Which of the following represents the pure time value of money?

Amount invested Expected return Beta Stock X \ 30,000 16\% 1.35 Stock Y \ 45,000 13\% 1.10 Stock Z \ 25,000 10\% 0.85 -What is the beta of the portfolio?

Which of the following is the best example of systematic risk?

Risk that affects a single company is called ______ risk.

The graphical representation of the Capital Asset Pricing Model outlining the linear relationship between systematic risk and the expected return of an asset is shown by:

A Brief History of Risk and Return

Diversification and Risky Asset Allocation

The Investment Process

Overview of Security Types

Mutual Funds

The Stock Market

Common Stock Valuation

Stock Price Behaviour and Market Efficiency

Behavioural Finance and the Psychology of Investing

Interest Rates

Bond Prices and Yields

Performance Evaluation and Risk Management

Options

Option Valuation

Futures Contracts

Projecting Cash Flow and Earnings

Corporate Bonds

Government Bonds and Mortgaged-Backed Securities

International Portfolio Investment

Filters

Assume that Stock I is related to two factors where the sensitivity coefficients, $_i1 and $_i2 are 1.4 and 0.8, respectively. If the risk-free rate is 8%, the premium for the first factor is 6% and the second factor premium is -2%, what is the stock's expected return?