[求助2002年官方样题一道，NO.110 ?? individual, investment, statements, following, investor

xliang

110. In the context of the security market line (SML), which of the following statements best
characterizes the relationship between risk and the required rate of return for an
investment?
A. The slope of the SML indicates the risk per unit of return for a given individual
investor.
B. A parallel shift in the SML occurs in response to a change in the attitudes of investors
toward risk.
C. A movement along the SML shows a change in the risk characteristics of a specific
investment, such as a change in its business risk or financial risk.
D. A change in the slope of the SML reflects a change in market conditions, such as ease
or tightness of monetary policy or a change in the expected rate of inflation.

正确答案是Ｃ．

关于答案Ａ．如果将答案改这个样子是否就是正确的了呢？The slope of the SML indicates the unit of return per risk for a given individual investor.

关于答案Ｃ．我是这样理解的The SML is a graphic representation of the relationship between expected return and beta. Beta measures systematic risk. As a result, a movement along the SML is a change in the value of beta. A changed beta shows a change in the risk characteristics of a specific investment, such as a change in its business risk or financial risk.

请问我的理解是正确的吗？

[此贴子已经被作者于2007-11-24 21:10:24编辑过]

tweety0930

beta是SML的independent variable，beta = cov (security, mkt)/ var (mkt),不严密的说，衡量的是security 和market的corelation.是security的unsystematic, diversfiable, firm specific risk.

从图上看，sml是直线，是描述一个 particular security 的return vs risk（unsystematic）的

1。斜率(slope)是market risk premium (R (mkt)- RFR).
2。y-intercept是RFR
这样直线就确定了

A，觉得表达得有点不可救药的感觉，SML是表示return的，risk只是自变量，而不是表达risk的曲线。
B.如果对风险的态度变化了，market risk premium就变化了，所以斜率就变了，不是平行移动。
C.是正确答案，关键词是specific.business risk 和 financial risk正是说这种specific risk
D.monetory policies导致 nominal return变化,也许expected 的情况下还有RFR变化，但是market risk premium不变，所以SML平移。

也许讲的不清楚，但是可以总结一下结论：
1。risk的态度变化，导致斜率变化
2。market return,RFR变化，而risk态度不变，图像平移。

请楼主分享一下真题吧，msn:huxing0930@hotmail.com