Chapter10RiskandReturnLessonsfromMarketHistory：10章從市場的歷史風險和回報的教訓

1、Final Exam (chapter 8, 13, 14)Name:Multiple Choice Questions (35*2.8=98)1. The excess return required from a risky asset over that required from a risk-free asset is called the:A. risk premium.B. geometric premium.C. excess return.D. average return.E. variance.2. Which one of the following is a corr

2、ect ranking of securities based on their volatility over the period of 1926 to 2008? Rank from highest to lowest.A. large company stocks, U.S. Treasury bills, long-term government bondsB. small company stocks, long-term corporate bonds, large company stocksC. long-term government bonds, long-term co

3、rporate bonds, small company stocksD. small company stocks, large company stocks, long-term corporate bondsE. long-term corporate bonds, large company stocks, U.S. Treasury bills3. One year ago, you purchased a stock at a price of $32.50. The stock pays quarterly dividends of $.40 per share. Today,

4、the stock is worth $34.60 per share. What is the total amount of your dividend income to date from this investment?A. $0.40 巳 $1.60 C. $2.10 D. $2.50 E. $3.70Dividend income = $.40 4 = $1.604. Six months ago, you purchased 100 shares of stock in ABC Co. at a price of $43.89 a share. ABC stock pays a

5、 quarterly dividend of $.10 a share. Today, you sold all of your shares for $45.13 per share. What is the total amount of your capital gains on this investment?A. $1.24B. $1.64C. $40.00D. $124.00E. $164.00Capital gains = ($45.13 - $43.89) 100 = $1245. A year ago, you purchased 300 shares of IXC Tech

6、nologies, Inc. stock at a price of $9.03 per share. The stock pays an annual dividend of $.10 per share. Today, you sold all of your shares for $28.14 per share. What is your total dollar return on this investment?A. $5,703B. $5,733C. $5,753D. $5,763E. $5,853Total dollar return = ($28.14 - $9.03 + $

7、.10) 300 = $5,7636. One year ago, you purchased a stock at a price of $32 a share. Today, you sold the stock and realized a total return of 25%. Your capital gain was $6 a share. What was your dividend yield on this stock?A. 1.25%B. 3.75%C. 6.25%D. 18.75%E. 21.25%Capital gains yield = $6 $32 = 18.75

8、%; Dividend yield = 25% - 18.75% = 6.25%7. A stock had returns of 8%, -2%, 4%, and 16% over the past four years. What is the standard deviation of this stock for the past four years?A. 6.3%B. 6.6%C. 7.1%D. 7.5%E. 7.9%Average return = (.08 - .02 + .04 + .16) 4 = .065; Total squared deviation = (.08 -

9、 .0652 + (-.02 - .065)2 + (.04 - .065)2 + (.16 - .065)2 = .000225 + .007225 + .000625 + .009025 = .0171; Standard deviation = (.0171 (4 - 1) = .0057 = .075498 = 7.5%8. A stock has returns of 3%, 18%, -24%, and 16% for the past four years. Based on this information, what is the 95% probability range

10、for any one given year?A. -8.4 to 11.7%B. -16.1 to 22.6%C. -24.5 to 34.3%D. -35.4 to 41.9%E. -54.8 to 61.3%Average return = (.03 + .18 - .24 + .16) 4 = .0325; Total squared deviation = (.03 - .0325) + (.18 - .0325)2 + (-.24 - .0325)2 + (.16 - .0325)2 = .00000625 + .02175625 + .07425625 + .01625625 =

11、 .112275; Standard deviation = (.112275 (4 - 1) = .037425 = .19346 = 19.346%; 95% probability range = 3.25% (2 19.346%) = -35.4 to 41.9%9. The prices for IMB over the last 3 years are given below. Assuming no dividends were paid, what was the 3-year holding period return? Given the following informa

12、tion: Year 1 return = 10%, Year 2 return = 15%, Year 3 return = 12%.A. 12.3%B. 13.9%C. 15.8%D. 41.7%E. 46.5%HPR = (1.10) (1.15) (1.12) = 1.4168 - 1 = 41.68%10. A portfolio is:A a group of assets, such as stocks and bonds, held as a collective unit by an investor.B. the expected return on a risky ass

13、et.C. the expected return on a collection of risky assets.D. the variance of returns for a risky asset.E. the standard deviation of returns for a collection of risky assets.11. The principle of diversification tells us that:A. concentrating an investment in two or three large stocks will eliminate a

14、ll of your risk.B. concentrating an investment in three companies all within the same industry will greatly reduce your overall risk.C. spreading an investment across five diverse companies will not lower your overall risk at all.D. spreading an investment across many diverse assets will eliminate a

15、ll of the risk.E. spreading an investment across many diverse assets will eliminate some of the risk.12. The linear relation between an asset's expected return and its beta coefficient is the:A. reward-to-risk ratio.B. portfolio weight.C. portfolio risk.D. security market line.E. market risk pre

16、mium.13. The slope of an asset's security market line is the:A. reward-to-risk ratio.B. portfolio weight.C. beta coefficient.D. risk-free interest rate.E. market risk premium.14. Which one of the following is an example of a nondiversifiable risk?A. a well respected president of a firm suddenly

17、resignsB. a well respected chairman of the Federal Reserve suddenly resignsC. a key employee suddenly resigns and accepts employment with a key competitorD. a well managed firm reduces its work force and automates several jobsE. a poorly managed firm suddenly goes out of business due to lack of sale

18、s15. Standard deviation measures risk.A totalB. nondiversifiableC. unsystematicD. systematic16. Which one of the following is an example of systematic risk?A. the price of lumber declines sharplyB. airline pilots go on strikeC. the Federal Reserve increases interest ratesD. a hurricane hits a touris

19、t destinationE. people become diet conscious and avoid fast food restaurants17. The majohty of the bene巾ts from portfolio diversification can generally be achieved with just diverse securities.A.-3B.-6C.-30nD. 50E.518. The intercept point of the security market line is the rate of return which corre

20、sponds to: A. the risk-free rate of return.B. the market rate of return.C. a value of zero.D. a value of 1.0.E. the beta of the market.19. A stock with an actual return that lies above the security market line:A. has more systematic risk than the overall market.B. has more risk than warranted based

21、on the realized rate of return.C. has yielded a higher return than expected for the level of risk assumed.D. has less systematic risk than the overall market.E. has yielded a return equivalent to the level of risk assumed.20. The market risk premium is computed by:A. adding the risk-free rate of ret

22、urn to the inflation rate.B. adding the risk-free rate of return to the market rate of return.C. subtracting the risk-free rate of return from the inflation rate.D. subtracting the risk-free rate of return from the market rate of return.E. multiplying the risk-free rate of return by a beta of 1.0.21

23、. The efficient set of portfolios:A. contains the portfolio combinations with the highest return for a given level of risk. B. contains the portfolio combinations with the lowest risk for a given level of return.C. is the lowest overall risk portfolio.D. Both A and B.E- Both A and C.22. A well-diver

24、sified portfolio has negligible: A. expected return.B. systematic risk.C. unsystematic risk.D. variance.E. Both C and D.23. Total risk can be divided into:A. standard deviation and variance.B. standard deviation and covariance.C. portfolio risk and beta.D. systematic risk and unsystematic risk.E. po

25、rtfolio risk and covariance.24. Beta measures:A. the ability to diversify risk.B. how an asset covaries with the market.C. the actual return on an asset.D. the standard deviation of the assets' returns.E. All of the above.25. If the correlation between two stocks is -1, the returns:A. generally

26、move in the same direction.B. move perfectly opposite one another.C. are unrelated to one another as it is < 0.D. have standard deviations of equal size but opposite signs.E. None of the above.26. According to the CAPM:A. the expected return on a security is negatively and non-linearly related to

27、 the security's beta.B. the expected return on a security is negatively and linearly related to the security's beta.C. the expected return on a security is positively and linearly related to the security's variance. D. the expected return on a security is positively and non-linearly rela

28、ted to the security's beta.E. the expected return on a security is positively related to the security's beta.27. As we add more securities to a portfolio, the will decrease:A. total risk.B. systematic risk.C. unsystematic risk.D. economic risk.E. standard error.28. Diversification will not l

29、ower the risk:A. total risk.B. systematic risk.C. unsystematic risk.D. variance risk.E. standard error.29. You have a $1,000 portfolio which is invested in stocks A and B plus a risk-free asset. $400 is invested in stock A. Stock A has a beta of 1.3 and stock B has a beta of .7.How much needs to be

30、invested in stock B if you want a portfolio beta of .90?A. $0B. $268C. $482D. $543E. $600BetaPortfolio = .90 = ($400 $1,000 1.3) + ($x $1,000 .7) + ($600 - x) $1,000 0) = .52 + .0007x + 0; .0007x = .38; x = $542.86 = $54330. You recently purchased a stock that is expected to earn 12% in a booming ec

31、onomy, 8% in a normal economy and lose 5% in a recessionary economy. There is a 15% probability of a boom, a 75% chance of a normal economy, and a 10% chance of a recession. What is your expected rate of return on this stock?A. 5.00%B. 6.45%C. 7.30%D 7.65%E. 8.30%E(r) = (.15 .12) + (.75 .08) + (.10

32、-.05) = .018 + .06 - .005 = .073 = 7.3%31. You own a portfolio with the following expected returns given the various states of theeconomy. What is the overall portfolio expected return?StofBootn Normal RecessionPiobahility ofIS/6(1%25%Rnte of ReturnifOeeur 號IX%11%-10%A. 6.3% 目 6.8% C. 7.6%D. 10.0%E.

33、 10.8%E(r) = (.15.18) + (.60 .11) + (.25-.10) = .027 + .066 - .025 = .068 = 6.8%32. The risk-free rate of return is 4% and the market risk premium is 8%. What is the expected rate of return on a stock with a beta of 1.28?A. 9.12%B. 10.24%C. 13.12%D. 14.24%E. 15.36%E(r) = .04 + (1.28 .08) = .1424 = 1

34、4.24%33. The WACC is used to the expected cash flows when the firm hasA discount; debt and equity in the capital structureB. discount; short term financing on the balance sheetC. increase; debt and equity in the capital structureD. decrease; short term financing on the balance sheetE. None of the ab

35、ove.34. Jack's Construction Co. has 80,000 bonds outstanding that are selling at par value. Bonds with similar characteristics are yielding 8.5%. The company also has 4 million shares of common stock outstanding. The stock has a beta of 1.1 and sells for $40 a share. The U.S. Treasury bill is yi