Академический Документы
Профессиональный Документы
Культура Документы
1 of 3
https://lms-blackboard.telt.unsw.edu.au/webapps/assessment/take/launc...
Online quizzes
Online Quiz 7
Description
Instructions
Multiple Attempts This Test allows 3 attempts. This is attempt number 1.
Force Completion This Test can be saved and resumed later.
Test/Surv ey Status
Question 1
10 points
The index model has been estimated for stocks A and B with the following results:
R = 0.01 + 0.8R + e
A
M
A
R = 0.02 + 1.2R + e
B
M
B
= 0.20 (e ) = 0.17 (e ) = 0.10
M
A
B
The standard deviation of returns of stock A is __________.
0.0545
0.0676
0.2335
0.2600
none of the above
Question 2
10 points
Analysts may use regression analysis to estimate the single index model for a stock. When doing so, the
slope of the regression line is an estimate of ______________.
the alpha of the asset
the beta of the asset
the sigma of the asset
the gamma of the asset
none of the above
Question 3
10 points
8/05/2013 7:56 PM
2 of 3
https://lms-blackboard.telt.unsw.edu.au/webapps/assessment/take/launc...
Question 4
10 points
A single-index model uses __________ as a proxy for the systematic risk factor.
a market index, such as the S&P/ASX 300 index
the current account deficit
the growth rate in GNP
the unemployment rate
none of the above
Question 5
10 points
Test/Surv
ey AStatus
In order to calculate the weight of a mispriced
asset
in a portfolio, the following would be used:
Alpha of the asset A.
The variance of the residuals of asset A
The variance of the market portfolio
A and B are true.
A and B and C are true
Question 6
10 points
10 points
Consider the multifactor model APT with two factors. Portfolio A has a beta of 0.75 on
factor 1 and a beta of 1.25 on factor 2. The risk premiums on the factor 1 and factor 2
portfolios are 1% and 7%, respectively. The risk-free rate of return is 7%. The
expected return on portfolio A is __________ if no arbitrage opportunities exist.
13.5%
15.0%
16.5%
23.0%
18.7%
Question 8
10 points
8/05/2013 7:56 PM
3 of 3
https://lms-blackboard.telt.unsw.edu.au/webapps/assessment/take/launc...
factor
market
index
factor and market
factor, market, and index
Question 9
10 points
Test/Surv ey Status
Question 10
10 points
8/05/2013 7:56 PM