[LEVEL II 模拟试题7] Mock Level II - Question 56-60 模拟试题

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Question 56 - 10702

What is the expected rate of return for a stock that has a beta of 0.8 if the risk-free rate is 5 percent, and the market risk premium is 7 percent?

A)	8.0%.
B)	10.6%.
C)	12.4%.
D)	6.6%.

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Question 57 - 10642

An investor wishes to invest in a two stock portfolio and minimize her portfolio risk. According to financial theory, the best way to accomplish this is to invest in two stocks that:

A)	are not correlated.
B)	are perfectly negatively correlated.
C)	have a negative variance of returns.
D)	have a weighted average standard deviation equal to zero.

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Question 58 - 10759

In the future are individual and portfolio betas generally volatile or stable compared to today?

A)	Individual Betas - Stable, Portfolio Betas - Volatile.
B)	Individual Betas - Stable, Portfolio Betas - Stable.
C)	Individual Betas - Volatile, Portfolio Betas - Stable.
D)	Individual Betas - Volatile, Portfolio Betas - Volatile.

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Question 59 - 5560

Which of the following statements about Arbitrage Pricing Theory (APT) and the Capital Asset Pricing Model (CAPM) is least accurate?

A)	APT is a multi-factored model with restrictive assumptions.
B)	APT can equal CAPM.
C)	In both the APT and the CAPM, the risk-free rate is added to a premium for risk factor (X) and the responsiveness of the asset's returns to factor (X).
D)	If zero-investment arbitrage does not hold, the APT does not hold.

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Question 60 - 10672

Which of the following is not an assumption of the arbitrage pricing theory (APT)?

A)	Returns on assets can be described by a multi-factor process.
B)	Security returns are normally distributed.
C)	The market contains enough stocks so that unsystematic risk can be diversified away.
D)	No arbitrage opportunities exist.

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Question

56 - #10702

Your answer: B was correct!

ER_stock = 0.05 + 0.8(0.07) = 10.6%

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Question

57 - #10642

Your answer: B was correct!

There is increasing risk reduction as the correlation of returns between the two stocks decreases. Risk is minimized if the assets are perfectly negatively correlated.

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Question

58 - #10759

Your answer: B was incorrect. The correct answer was C)

Individual Betas - Volatile, Portfolio Betas - Stable.

Individual betas tend to be very volatile over time, which is a key problem when using CAPM. Portfolio betas tend to be relatively stable.

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Question

59 - #5560

Your answer: B was incorrect. The correct answer was A) APT is a multi-factored model with restrictive assumptions.

Arbitrage Pricing Theory is a multifactored model with few limiting assumptions. More than one risk factor is able to influence security prices.

The other statements are true. Arbitrage Pricing Theory can equal the Capital Asset Pricing Model (CAPM) if there is only one risk factor ・market risk. Zero-investment arbitrage is an assumption of the APT. More specifically, zero-investment arbitrage means that if an investor buys an overpriced security, the investor has access to the short-sale money needed to buy an underpriced security.

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Question

60 - #10672

Your answer: B was correct!

APT does not require that security returns be normally distributed.