|
LOS h: Calculate an adjusted beta, and discuss the use of adjusted and historical betas as predictors of future betas.
Q1. Adjusted betas were developed in an effort to compensate for:
A) inaccurate forecasts for the efficient frontier based on traditional beta.
B) traditional beta’s limitations in assessing the risk of extremely volatile stocks.
C) the weaknesses of standard deviation as a risk measurement.
Q2. Conner Cans shares have a beta of 0.8. Assuming α1 is 40%, Conner’s adjusted beta is closest to:
A) 1.12.
B) 0.88.
C) 0.92.
Q3. 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.
Q4. Analysts attempting to compensate for instability in the minimum-variance frontier will find which of the following strategies least effective?
A) Reducing the frequency of portfolio rebalancing.
B) Eliminating short sales.
C) Gathering more accurate historical data. | 
发表于 2009-4-2 13:02
| 
