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LOS d: Justify the extension of the domestic capital asset pricing model to an international context (the extended CAPM) and describe the assumptions needed to make the extension.
Q1. Which of the following assumptions is NOT needed to justify the extended capital asset pricing model?
A) World markets are integrated (i.e. no segmentation).
B) The rate of inflation must be identical throughout the world.
C) Investors throughout the world have identical consumption baskets.
Q2. Which of the following assumptions is needed to justify the extended capital asset pricing model (CAPM)? Investors throughout the world have:
A) similar consumption baskets.
B) nearly-identical consumption baskets.
C) identical consumption baskets.
Q3. Which of the following assumptions is needed to justify the extended capital asset pricing model (CAPM)? Purchasing power parity (PPP) holds:
A) exactly at any point in time.
B) approximately at any point in time.
C) approximately over extended periods of time.
Q4. Some market participants have argued that, under certain circumstances, the domestic capital asset pricing model (CAPM) can be extended to the international environment. When using the domestic CAPM in the international environment, the model is referred to as the:
A) international CAPM.
B) extended CAPM.
C) ICAPM.
Q5. Which of the following assumptions is required in order to extend the domestic capital asset pricing model (CAPM) to an international setting?
A) All countries have identifiable consumption baskets.
B) Purchasing power parity holds at all times.
C) Exchange rate risk is perfectly hedged.
Q6. Suppose the assumptions underlying the extended capital asset pricing model (CAPM) hold. Which of the following would be TRUE in an extended CAPM world?
A) Exchange rate changes would mirror inflation differences.
B) Exchange rate changes could be perfectly hedged in the forward market.
C) All investors would hold the same "uniform risk-free asset." | 
发表于 2009-4-2 13:43
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