公司理财原版题库Chap010

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Ross/Westerfield/Jaffe,Байду номын сангаасCorporate Finance, 7/e
4. The expected return on GenLabs is: A) 3.3% B) 8.5% C) 12.5% D) 20.5% E) None of the above. Answer: C Difficulty: Medium Page: 256 Rationale: E(r) = .05(-.5) + .10(-.15) + .2(.05) + .3(.15) + .2(.25) + .15(.40) = .125 = 12.5% 5. The variance of GenLabs returns is A) .0207 B) .0428 C) .0643 D) .0733 E) None of the above. Answer: B Difficulty: Medium Page: 256-257 Rationale: .05(-.50 - .125)2 + .1(-.15 - .125)2 + .2(.05 - .125)2 + .3(.15 - .125)2 + .2(.25 - .125)2 + .15(.40 - .125)2 = .0428 6. The standard deviation of GenLabs returns is A) .0845 B) .2069 C) .3065 D) .3358 E) None of the above. Answer: B Difficulty: Medium Page: 256-257 Rationale: .05(-.50 - .125)2 + .1(-.15 - .125)2 + .2(.05 - .125)2 + .3(.15 - .125)2 + .2(.25 - .125)2 + .15(.40 - .125)2 = .0428 (.0428) = .2069 7. The correlation between two stocks A) can take in positive values. B) can take on negative values. C) cannot be greater than 1. D) cannot be less than -1. E) All of the above. Answer: E Difficulty: Medium Page: 260-261
3. Covariance measures the interrelationship between two securities in terms of A) both expected return and direction of return movement. B) both size and direction of return movement. C) the standard deviation of returns. D) both expected return and size of return movements. E) the correlations of returns. Answer: B Difficulty: Medium Page: 258-259
Chapter 10 Return and Risk: The Capital-Assets-Pricing Model
Multiple Choice Questions 1. When a security is added to a portfolio the appropriate return and risk contributions are A) the expected return of the asset and its standard deviation. B) the expected return and the variance. C) the expected return and the beta. D) the historical return and the beta. E) these both can not be measured. Answer: C Difficulty: Medium Page: 255
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Test Bank, Chapter 10
8. If the correlation between two stocks is –1, the returns A) generally 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. Answer: B Difficulty: Medium Page: 260
Ross/Westerfield/Jaffe, Corporate Finance, 7/e
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11. The variances of Idaho Slopes and Dakota Steppes are A) .0145; .00038 B) .011584; .000304 C) .006454; .000154 D) .0008068; .000193 E) None of the above Answer: B Difficulty: Hard Page: 256-257 Rationale: 2IS = .2 = 0.011584 2DS = .2 = .000304 12. The covariance between the Idaho Slopes and Dakota Steppes returns is A) .00187 B) .00240 C) .00028 D) .000056 E) None of the above Answer: C Difficulty: Hard Page: 258-259 Rationale: ISDS = = .00028 13. If Idaho Slopes and Dakota Steppes are combined in a portfolio with 50% invested in each, the expected return and risk would be? A) 4.5%; 0% B) 4.5%; 5.48% C) 5.0%; 0% D) 5.625%; 37.2% E) 8.0%; 8.2% Answer: B Difficulty: Hard Page: 261-262 Rationale: Rp = .5(.044) + .5(.046) = .045 = 4.5% p = .5 = .05477 = 5.48% 14. The correlation between stocks A and B is the A) covariance between A and B divided by the standard deviation of A times the standard deviation of B. B) standard deviation A divided by the standard deviation of B. C) standard deviation of B divided by the covariance between A and B. D) variance of A plus the variance of B dividend by the covariance. E) None of the above. Answer: A Difficulty: Medium Page: 260
9. Stock A has an expected return of 20%, and stock B has an expected return of 4%. However, the risk of stock A as measured by its variance is 3 times that of stock B. If the two stocks are combined equally in a portfolio, what would be the portfolio's expected return? A) 4% B) 12% C) 20% D) Greater than 20% E) Need more information to answer. Answer: B Difficulty: Medium Page: 262 Rationale: Rp = 20(.5) + 4(.5) = 12% Use the following to answer questions 10-14: Idaho Slopes (IS) and Dakota Steppes (DS) are both seasonal businesses. IS is a downhill skiing facility, while DS is a tour company that specializes in walking tours and camping. The equally likely returns on each company over the next year is expected to be: Economy Idaho Slopes Dakota Steppes Strong Downturn -10% 2% Mild Downturn - 4% 7% Slow Growth 4% 6% Moderate Growth 12% 4% Strong Growth 20% 4% 10. The mean expected returns of Idaho Slopes and Dakota Steppes are A) 4.0%; 6.0% B) 4.4%; 4.6% C) 5.5%; 5.8% D) 10.0%; 6.0% E) None of the above Answer: B Difficulty: Medium Page: 256 Rationale: IS = (-10%-4%+4%+12%+20%)/5 = 4.4% DS = (2%+7%+6%+4%+4%)/5 = 4.6%
Use the following to answer questions 4-5: GenLabs has been a hot stock the last few years, but is risky. The expected returns for GenLabs are highly dependent on the state of the economy as follows: State of Economy Depression Recession Mild Slowdown Normal Broad Expansion Strong Expansion Probability .05 .10 .20 .30 .20 .15 GenLabs Returns -50% -15 5 15% 25 40
2. When stocks with the same expected return are combined into a portfolio A) the expected return of the portfolio is less than the weighted average expected return of the stocks. B) the expected return of the portfolio is greater than the weighted average expected return of the stocks. C) the expected return of the portfolio is equal to the weighted average expected return of the stocks. D) there is no relationship between the expected return of the portfolio and the expected return of the stocks. E) None of the above. Answer: C Difficulty: Easy Page: 261