答案和详解如下： Q11. Which of the following statements about a stock's beta is TRUE? A beta greater than one is:
A) riskier than the market, while a beta less than one is less risky than the market. B) risky, while a beta less than one is risk-free. C) undervalued, while a beta less than one is overvalued. Correct answer is A) Beta is a measure of the volatility of a stock. The overall market's beta is one. A stock with higher systematic risk than the market will have a beta greater than one, while a stock that has a lower systematic risk will have a beta less than one.
Q12. Given a beta of 1.10 and a risk-free rate of 5%, what is the expected rate of return assuming a 10% market return? A) 10.5%. B) 15.5%. C) 5.5%. Correct answer is A) k = 5 + 1.10 (10 - 5) = 10.5 Q13. The expected rate of return is twice the 12% expected rate of return from the market. What is the beta if the risk-free rate is 6%? A) 2. B) 4. C) 3. Correct answer is C) 24 = 6 + β (12 − 6) 18 = 6β β = 3 Q14. Given the following data, what is the correlation coefficient between the two stocks and the Beta of stock A? - standard deviation of returns of Stock A is 10.04%
- standard deviation of returns of Stock B is 2.05%
- standard deviation of the market is 3.01%
- covariance between the two stocks is 0.00109
- covariance between the market and stock A is 0.002
Correlation Coefficient
Beta (stock A)
A) 0.5296 2.20 B) 0.6556 2.20 C) 0.5296 0.06 Correct answer is A) correlation coefficient = 0.00109 / (0.0205)(0.1004) = 0.5296. beta of stock A = covariance between stock and the market / variance of the market Beta = 0.002 / 0.03012 = 2.2 | 
发表于 2009-1-22 11:04
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