财务管理试题

Beta coefficient Answer: c Diff: E i. Stock X has a beta of 0.5 and Stock Y has a beta of 1.5.

Which of the following statements is most correct?

a. Stock Y’s return this year will be higher than Stock

X’s return.

b. Stock Y’s return has a higher standa rd deviation than

Stock X.

c. If expected inflation increases (but the market risk

premium is unchanged), the required returns on the two

stocks will increase by the same amount.

d. If the market risk premium declines (leaving the

risk-free rate unchanged), Stock X will have a larger

decline in its required return than will Stock Y.

e. If you invest $50,000 in Stock X and $50,000 in Stock

Y, your portfolio will have a beta less than 1.0,

provided the stock returns on the two stocks are not

perfectly correlated.

Portfolio risk Answer: b Diff: E i. Stock A and Stock B both have an expected return of 10

percent and a standard deviation of 25 percent. Stock

A has a beta of 0.8 and Stock

B has a beta of 1.2. The

correlation coefficient, r, between the two stocks is

0.6. Portfolio P is a portfolio with 50 percent invested

in Stock A and 50 percent invested in Stock B. Which

of the following statements is most correct?

a. Portfolio P has a coefficient of variation equal to

2.5.

b. Portfolio P has more market risk than Stock A but less

market risk than Stock B.

c. Portfolio P has a standard deviation of 25 percent and

a beta of 1.0.

d. All of the statements above are correct.

e. None of the statements above is correct.

CAPM and market risk premium Answer: c Diff: E N

i. Consider the following information for three stocks,

Stock A, Stock B, and Stock C. The returns on each of the

three stocks are positively correlated, but they are not

perfectly correlated. (That is, all of the correlation

coefficients are between 0 and 1.)

Expected Standard

Stock Return Deviation Beta

Stock A 10% 20% 1.0

Stock B 10 20 1.0

Stock C 12 20 1.4

Portfolio P has half of its funds invested in Stock A

and half invested in Stock B. Portfolio Q has one third

of its funds invested in each of the three stocks. The

risk-free rate is 5 percent, and the market is in

equilibrium. (That is, required returns equal expected

returns.) What is the market risk premium (k M - k RF)?

a. 4.0%

b. 4.5%

c. 5.0%

d. 5.5%

e. 6.0%

Quarterly compounding Answer: e Diff: E i. Your bank account pays an 8 percent nominal rate of

interest. The interest is compounded quarterly. Which

of the following statements is most correct?

a. The periodic rate of interest is 2 percent and the

effective rate of interest is 4 percent.

b. The periodic rate of interest is 8 percent and the

effective rate of interest is greater than 8 percent.

c. The periodic rate of interest is 4 percent and the

effective rate of interest is 8 percent.

d. The periodic rate of interest is 8 percent and the

effective rate of interest is 8 percent.

e. The periodic rate of interest is 2 percent and the

effective rate of interest is greater than 8 percent.

PV of an annuity Answer: a Diff: E i. What is the present value of a 5-year ordinary annuity

with annual payments of $200, evaluated at a 15 percent

interest rate?

a. $ 670.43

b. $ 842.91

c. $1,169.56

d. $1,348.48

e. $1,522.64