标题: Reading 64: Portfolio Concepts-LOS H习题精选 [打印本页]
作者: honeycfa 时间: 2010-4-14 15:41 标题: [2010]Session 18:-Reading 64: Portfolio Concepts-LOS H习题精选
LOS h: Calculate an adjusted beta, and discuss the use of adjusted and historical betas as predictors of future betas.
Adjusted betas were developed in an effort to compensate for:
|
A) |
traditional beta’s limitations in assessing the risk of extremely volatile stocks. | |
|
B) |
inaccurate forecasts for the efficient frontier based on traditional beta. | |
|
C) |
the weaknesses of standard deviation as a risk measurement. | |
Adjusted beta was developed to compensate for the beta instability problem, or the tendency of historical betas to generate inaccurate forecasts. Extreme volatility is not an issue; nor is standard deviation.
作者: honeycfa 时间: 2010-4-14 15:41
Conner Cans shares have a beta of 0.8. Assuming α1 is 40%, Conner’s adjusted beta is closest to:
Adjusted beta = α0 + α1 × beta where α0 and α1 must sum to 1, so α0 = 60%.
Adjusted beta = 60% + 40% × 0.8 = 0.92.
作者: honeycfa 时间: 2010-4-14 15:41
Martz & Withers Enterprises has a beta of 1.6. We can most likely assume that:
|
A) |
calculating an adjusted beta will ease the downward pressure on the forecasted beta. | |
|
B) |
the future beta will be less than 1.6 but greater than 1.0. | |
|
C) |
the standard error on the future beta forecast is positive. | |
The standard error is always expected to be zero, and the beta has nothing to do with that estimate. In the case of Martz & Withers, adjusted beta will almost certainly be lower than the current beta. Most adjusted beta calculations are as follows: adjusted beta = 2/3 + (1/3 × historical beta). In this case, adjusted beta is 1.2. Not everyone will use the two-thirds/one-third relationship, but any adjusted-beta equation will result in a value between 1.0 and 1.6.
作者: honeycfa 时间: 2010-4-14 15:42
Martz & Withers Enterprises has a beta of 1.6. We can most likely assume that:
|
A) |
calculating an adjusted beta will ease the downward pressure on the forecasted beta. | |
|
B) |
the future beta will be less than 1.6 but greater than 1.0. | |
|
C) |
the standard error on the future beta forecast is positive. | |
The standard error is always expected to be zero, and the beta has nothing to do with that estimate. In the case of Martz & Withers, adjusted beta will almost certainly be lower than the current beta. Most adjusted beta calculations are as follows: adjusted beta = 2/3 + (1/3 × historical beta). In this case, adjusted beta is 1.2. Not everyone will use the two-thirds/one-third relationship, but any adjusted-beta equation will result in a value between 1.0 and 1.6.
作者: solitute 时间: 2010-4-21 15:48
thanks
作者: luqian55 时间: 2010-6-3 19:54
THANKS
| 欢迎光临 CFA论坛 (http://forum.theanalystspace.com/) |
Powered by Discuz! 7.2 |