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lOMoARcPSD|7657597 Trắc nghiệm Quản lý danh mục đầu tư (Porfolio Management Quiz) Portfolio Management (Trường Đại học Ngân hàng Thành phố Hồ Chí Minh) Studocu is not sponsored or endorsed by any college or university Downloaded by KHOA LÊ V? CHÂU (khoale.31201020407@st.ueh.edu.vn) lOMoARcPSD|7657597 Portfolio Management Quiz Câu 1: is an appropriate objective for investors who want their portfolio to grow in real terms, i.e., exceed the rate of inflation.: a Portfolio growth b Capital preservation c Capital appreciation d Value additivity Câu 2: An asset is liquid if it can be converted to cash at a price close to market value a quickly, lower b quickly, fair c slowly, lower d slowly, fair Câu 3: A 20-year-old investor tends to: a Invest in treasure bill c Use high leverage b Invest in treasure bond d Invest in derivatives contracts Câu 4: The most of customers using personal wealth management services belong to: a Individual stock investors b High-income class c Low-income class d Middle-income class Câu 5: Undiversifiable risk is: a Systematic risk b Default risk c Unsystematic risk d Specific risk Câu 6: Your personal opinion is that a stock has an expected rate of return of 0.11 It has a beta of 1.5 The risk-free rate is 0.05 and the market expected rate of return is 0.09 According to the Capital Asset Pricing Model, this security is: a underpriced b overpriced c fairly priced d Cannot be determined from data provided Câu 7: The risk-free rate is 5% The expected market rate of return is 15% If you expect a stock with a beta of 1.2 to offer a rate of return of 20%, you should: a sell the stock because it is underpriced b buy the stock because it is overpriced c sell the stock because it is overpriced d buy the stock because it is underpriced Downloaded by KHOA LÊ V? CHÂU (khoale.31201020407@st.ueh.edu.vn) lOMoARcPSD|7657597 Câu 8: If you believe in the ……… form of the efficient market hypotheses, you believe that stock prices reflect all relevant information, including historical stock prices and current public information about the firm, but not information that is available only to insiders a very weak b semistrong c strong d weak Câu 9: The evidence of random-walk in stock price is the evidence: a of all forms of the Efficient Market Hypothesis b of the strong-form efficiency of the Efficient Market Hypothesis c against the weak-form efficiency of the Efficient Market Hypothesis d against the semistrong-form efficiency of the Efficient Market Hypothesis Câu 10: A substitution swap is an exchange of bonds undertaken to a profit from apparent mispricing between two bonds b change the credit risk of a portfolio c reduce the duration of a portfolio d extend the duration of a portfolio (loại) Câu 11: Assume that company X has an ROE of 15% and the plow back ratio of 40% What should be the constant growth rate of the company? a 6% b 16% c 9% (loại) d 15% Câu 12: The capital allocation line can be described as the a investment opportunity set formed with two risky assets b line on which lie all portfolios that offer the same utility to a particular investor c investment opportunity set formed with a risky asset and a risk-free asset d line on which lie all portfolios with the same expected rate of return and different standard deviations Câu 13: Which of the following statements is true about risk a Risks are deviations from expectations The larger the price fluctuation range, the greater the risk b Risks are deviations from expectations c The larger the price fluctuation range, the greater the risk Downloaded by KHOA LÊ V? CHÂU (khoale.31201020407@st.ueh.edu.vn) lOMoARcPSD|7657597 d The larger the price fluctuation range, the smaller the risk Câu 14: At the beginning of 2019, investor A bought FPT shares at the price of 50,000 VND/share At the beginning of 2022, investor A sells for 75,000 VND/share What is the compound annual rate of return? a 15.19 % b 15.67 % c 14.47 % d 13.12 % Câu 15: At the beginning of 2019, investor A buys a 8% coupon bond at the price of VND 80,000 The interest payments are paid at the end of each year At the beginning of 2022, investor A sells at the price of VND 110,000 The par value of the bond is VND 100,000 What is the compound annual rate of return (YTM) if the interest payments are reinvested at the rate of 8%? a 19,65% b 18.76% c 20,28% d 22,31% Câu 16: Asset has E(R1) = 0.12 and E(Standard Deviation) = 0.04 Asset has E(R2) = 0.16 and E(Standard Deviation) = 0.06 Calculate the expected return and expected standard deviation of a twostock portfolio when r1,2 = -0.60 and w1 = 0.75 a 0.13 and 0.0455 (loại) b 0.13 and 0.0024 c 0.12 and 0.5585 d 0.12 and 0.0585 Câu 17: Which of the following statements is false about the Fama-French factor model? a Fama-French factor model adds more factors, namely company size and book value to market value into the CAPM model b The Fama-French factor model assumes that the return of an investment portfolio depends on the market factor, firm size factor, and book-to-market factor c The Fama-French factor model still holds that a high rate of return is a reward for high risk taking d Fama-French factor model adds more factors, namely liquidity ratio and book value to market value into the CAPM model Câu 18: The weak form of the efficient-market hypothesis asserts that: a stock prices not rapidly adjust to new information contained in past prices or past data, and future changes in stock prices cannot be predicted from past prices b future changes in stock prices cannot be predicted from past prices, and technicians cannot expect to outperform the market c stock prices not rapidly adjust to new information contained in past prices or past data d future changes in stock prices cannot be predicted from past prices Downloaded by KHOA LÊ V? CHÂU (khoale.31201020407@st.ueh.edu.vn) lOMoARcPSD|7657597 Câu 19: Suppose an investor has inside information about the sudden profit of a business, he believes that he can make a profit by buying shares at the present time to wait until the company announces the news to sell shares As his expectation, when announcing the news the stock price increase This market is: a Strong form of efficient market b Weak form and Semi strong form of efficient market c Semi strong form of efficient market d Weak form of efficient market Câu 20: If the economy is growing, firms with high operating leverage will experience: a smaller increases in profits than firms with low operating leverage (loại) b no change in profits c higher increases in profits than firms with low operating leverage d similar increases in profits as firms with low operating leverage Câu 21: Suppose the risk-free return is 6% The beta of a managed portfolio is 1.5, the alpha is 3%, and the average return is 18% Based on Jensen's measure of portfolio performance, you would calculate the return on the market portfolio as: a 14% b 12% c 15% d 16% Câu 22: ……… focus more on past price movements of a firm's stock than on the underlying determinants of future profitability a Technical analysts c Credit analysts b Systems analysts d Fundamental analysts Câu 23: According to the mean-variance criterion, which one of the following investments dominates all others? a E(r) = 0.15, σ = 0.25 b E(r) = 0.10, σ = 0.20 c E(r) = 0.10, σ = 0.25 d E(r) = 0.15, σ = 0.20 Câu 24: If stock X has beta = 1.50, the level of risk of X is 50 percent than the average for the entire market a nonsystematic, greater b systematic, greater c systematic, lower d nonsystematic, lower Downloaded by KHOA LÊ V? CHÂU (khoale.31201020407@st.ueh.edu.vn) lOMoARcPSD|7657597 Câu 25: Which of the following statements is false about “Duration”? (k nha) a “Duration” is the average maturity time of the bond (loại) b If the cash flow is received annually is low, and the payback period from the cash flow will be longer, leading to an increase in “Duration” c “Modified Duration” is used to measure the risk of interest rates on bond prices (loại) d “Duration” is the second derivative of the formula which calculates the bond price using the discount rate Câu 25’: Which of the following statements about duration would be FALSE? I Duration is a revised maturity taking into consider lifetime of a debt security's stream of payments II Duration of a 3-year zero-coupon bond is less than years III Duration of a portfolio of securities is the geometric average of the durations of the individual securities IV A 30-year 5% coupon bond has a longer duration than a 30-year 5% mortgage A II and III B II, III, and IV C I, II, and III D I and IV Câu 26: Company B paid a dividend of 100 VND/stock last year, and it expects to spend 40% of its income to pay dividend next years Assume that the expected ROE is 10%, the required rate of return is 12%, what should be the fair value of the stock of company B? a 12,500 VND b 17,670 VND c 13,000 VND d 16,670 VND Câu 27: There are four following investments: A has E(r) = 10%, standard deviation (σ) = 5%; B has E(r) = 21%, σ = 11%; C has E(r) = 18%, σ = 23%; D has E(r) = 24%, σ = 16% According to the meanvariance criterion, which of the statements below is correct? a Investment D dominates all of the other investments (loại) b Investment D dominates only investment B c Investment B dominates investment A (loại) d Investment B dominates investment C Câu 28: Investor A buys 100 VNM shares at the price of 80,000 VND/share After that, VNM pays a dividend of 30% in cash and 20% in shares At the end of the year, investors sell all shares at the price of 100,000 VND/share The rate of return is: a 50.32 % (loại) b 35.54 % c 40.21 % d 53.75 % Câu 29: In a two-stock portfolio, if the correlation coefficient between two stocks were to decrease over time, everything else remaining constant, the portfolio's risk would: a increase b remain constant Downloaded by KHOA LÊ V? CHÂU (khoale.31201020407@st.ueh.edu.vn) lOMoARcPSD|7657597 c fluctuate positively and negatively d decrease Câu 30: Given investments A (Expected Return = 12.2%, Standard Deviation = 7%) and B (Expected Return = 8.8%, Standard Deviation = 5%), which one would you prefer and why? a Investment B because it has the lowest absolute risk b Investment A because it has the lowest relative risk c Investment B because it has the lowest coefficient of variation d Investment A because it has the highest expected return Câu 31: With respect to the formation of portfolios, which of the following statements is most accurate? a Portfolios affect risk more than returns b All of the options are wrong c Portfolios affect risk less than returns d Portfolios affect risk and returns equally Câu 32: Consider two securities, A and B Security A and B have a correlation coefficient of 0.65 Security A has standard deviation of 12, and security B has standard deviation of 25 Calculate the covariance between these two securities a 261.54 b 461.54 c 195 d 300 Câu 33: Assume that you decide to invest in a portfolio of equity index XXX and equity index YYY The expected return and standard deviation of the equity index XXX are 8% and 16.21%, respectively Those for the equity index YYY are 18% and 33.11%, respectively Given the covariance of returns between the two equity indices is 0.5%, what should be the weight of the equity index XXX to get 12% of the expected return of the portfolio? a 30% b 50% (loại) c 60% d 40% Câu 34: Which of the following is considered a passive management strategy? a sector rotation b sampling c use of factor models d quantitative screens Câu 35: Measures of risk for an investment include: a variance of returns and business risk (loại) b coefficient of variation of returns and financial risk c variance of returns and coefficient of variation of returns d business risk and financial risk Câu 36: Ceteris paribus, the duration of a bond is positively correlated with the bond's: a All of the options are correct b coupon rate c time to maturity d yield to maturity Downloaded by KHOA LÊ V? CHÂU (khoale.31201020407@st.ueh.edu.vn) lOMoARcPSD|7657597 Câu 37: The intercept of the best fit line formed by plotting the excess returns of a manager’s portfolio on the excess returns of the market is best described as Jensen’s a Sigma c Alpha b Beta d All of the above are wrong Câu hỏi 1: Which of the following is NOT considered to be an investment objective? a capital appreciation b total nominal preservation C current income d capital preservation Câu hỏi 2: A security market index represents the: a Risk of a security market b All of the options are correct c Security market, market segment, or asset class d Security market as a whole Câu hỏi 3: Important reasons for constructing an IPS: a It helps the investor decide on realistic investment goals after learning about the financial markets and the risks of investing b All of the above are correct c Protects the client against a portfolio manager's inappropriate investments or unethical behavior d It creates a standard by which to judge the performance of the portfolio manager Câu hỏi 4: The intercept of the best fit line formed by plotting the excess returns of a manager's portfolio on the excess returns of the market is best described as Jensen's a Sigma b Alpha c Beta d all ofthe above are wrong Câu 5: With respect to the efficient market hypothesis, if security prices reflect only past prices then the market is: a Strong-form efficient b Semistrong-form efficient c All of the above are wrong d Weak-form efficient Câu hỏi 5: We have following bonds: A coupon rate = 15%, maturity = 20 year, YTM = 10%), B (coupon rate = 15%, maturity = 15 year, YTM = 10%), C (coupon rate = 0%, maturity = 20 year, YTM = 10%), D (coupon rate = 8%, maturity = 20 year, YTM = 10%) and E (coupon rate = 15%, maturity = 15 year, YTM = 15%) Sort in descending "Duration" order: Downloaded by KHOA LÊ V? CHÂU (khoale.31201020407@st.ueh.edu.vn) lOMoARcPSD|7657597 a There is no correct answer b D > C > A > B > E C.C > D > A > B> E d A > C > D > B> E Câu hỏi 6: Which of the following portfolio performance measures does not require comparisons with other values? a Sharpe ratio b Treynor c Alpha Jensen d All of the above are false Câu hỏi 7: Which of the following is the best reason for an investor to be concerned with the composition of a portfolio? a Hazard elimination b Risk elimination c Avoidance of financial crises d Risk reduction Câu hỏi 8:As the number of securities in a portfolio increases, the amount of systematic risk: a decreases b changes c remains constant d increases Câu hỏi 9: Firm CTD has a beta = 0.75, which of the following statements is true? a If the market portfolio is down 1%, the stock is up 0.75% b If the market portfolio is up 1%, the stock is up 0.75% c If the market portfolio is up 1%, the stock is down 0.75%.(loại) d CTD stock has higher volatility than VNIndex (loại) The line depicting the risk and return of portfolio combinations of a risk-free asset and any risky asset is the: A security market line B capital allocation line (CAL) C security characteristic line The portfolio of a risk-free asset and a risky asset has a better risk-return tradeoff than investing in only one asset type because the correlation between the risk-free asset and the risky asset is equal to: A −1.0 B 0.0 C 1.0 With respect to capital market theory, an investor's optimal portfolio is the combination of a riskfree asset and a risky asset with the highest: A expected return Downloaded by KHOA LÊ V? CHÂU (khoale.31201020407@st.ueh.edu.vn) lOMoARcPSD|7657597 B indifference curve C capital allocation line slope Highly risk-averse investors will most likely invest the majority of their wealth in: A risky assets B risk-free assets The capital market line, CML, is the graph of the risk and return of portfolio combinations consisting of the risk-free asset and: B the market portfolio A any risky portfolio C the leveraged portfolio Which of the following statements most accurately defines the market portfolio in capital market theory? The market portfolio consists of all: A risky assets B tradable assets C investable assets With respect to capital portfolio: A is the market portfolio C has the lowest expected variance market theory, the optimal B has the highest expected return risky Relative to portfolios on the CML, any portfolio that plots above the CML is considered: A inferior B inefficient C unachievable A portfolio on the capital market line with returns greater than the returns on the market portfolio represents a(n): A lending portfolio B borrowing portfolio C unachievable portfolio 10 With respect to the capital market line, a portfolio on the CML with returns less than the returns on the market portfolio represents a(n): A lending portfolio 11 C unachievable portfolio Which of the following types of risk is most likely avoided by forming a diversified portfolio? A Total risk 12 B borrowing portfolio B Systematic risk C Nonsystematic risk Which of the following events is most likely an example of nonsystematic risk? A A decline in interest rates B The resignation of chief executive officer Downloaded by KHOA LÊ V? CHÂU (khoale.31201020407@st.ueh.edu.vn) lOMoARcPSD|7657597 b information arrives randomly and independently c stock prices adjust rapidly to new information d price changes are independent Câu 6: Prices in efficient capital markets reflect all available information and adjust to new information a none of these are correct b fully; gradually c fully; rapidly d slowly; randomly Câu 7: Consider two perfectly negatively correlated risky securities A and B A has an expected rate of return of 10% and a standard deviation of 16% B has an expected rate of return of 8% and a standard deviation of 12%.The risk-free portfolio that can be formed with the two securities will earn a(n) rate of return a 8.5% b 8.9% c 9.9% d 9.0% Câu 8: Par-value-bond F has a modified duration of Which one of the following statements regarding the bond is true? a If the market yield increases by 1%, the bond's price will increase by $90 b If the market yield increases by 1%, the bond's price will decrease by $90 c If the market yield increases by 1%, the bond's price will decrease by $60 d If the market yield decreases by 1%, the bond's price will increase by $60 Câu 9: What is the value of a 10 percent semi-annual coupon bond with a par value of $1,000 that matures in years and has a required rate of return of percent? a $1,021.95 b $1,039.56 c $1,064.18 d $1,038.90 Câu 10: The duration of a par-value bond with a coupon rate of 8% (paid annually) and a remaining time to maturity of years is: a years b 5.4 years c 4.31 years d 4.17 years Downloaded by KHOA LÊ V? CHÂU (khoale.31201020407@st.ueh.edu.vn) lOMoARcPSD|7657597 Câu 11: Probability of each economic state and return on stock A and B for each state are as follows: State (probability of this state:20%, Return on stock A: 10%, Return on stock:8%), State (40%, 13%, 7%), State (15%, 12%, 6%), State (25%, 14%, 9%) The expected rates of return of stocks A and B are: a 12.50%; 7.55% b 11.68%; 6,54% d 10.65%; c 13.15%; 6.00% 8.45% Câu 12: Which of the following would be inconsistent with an efficient market? a stock prices adjust rapidly to new information b price adjustments are biased c information rrives randomly and independently d price changes are independent Câu 13:You purchased 100 shares of GE common stock on January 1, for $29 a share A year later you received $1.25 in dividends per share and you sold it for $28 a share Calculate your holding period yield (HPY) for this investment in GE stock a 0.0357 b 0.9655 c 0.0086 d 0.0804 Câu 14: Probability of each economic state and return on stock A and B for each state are as follows: State (probability of this state:20%, Return on stock A: 10%, Return on stock:8%), State (40%, 13%, 7%), State (20%, 12%, 6%), State (20%, 9%, 10%) Standard deviations of stocks A and B are: a 1.66%; 1.58% b 3.52%; 2.45% c 2.14%; 1.25% d 1.62%; 1.36% Câu 15: Which of the following is NOT a step in the portfolio management process? a monitor investor's needs and market conditions b study current financial and economic conditions c develop a policy statement d sell all assets and reinvestment proceeds at least once a year Downloaded by KHOA LÊ V? CHÂU (khoale.31201020407@st.ueh.edu.vn) lOMoARcPSD|7657597 Câu 18: The optimal risky portfolio is identified at the point of tangency between the efficient frontier and the: a lowest feasible Sharpe ratio b middle range Sharpe ratio c highest feasible Sharpe ratio d a minimum-variance portfolio Câu 19: In a two-stock portfolio, if the correlation coefficient between two stocks were to increase over time, everything else remaining constant, the portfolio's risk would: a fluctuate positively and negatively b increase c decrease d remain constant Câu 20:All of the following are common risk measurements EXCEPT: a variance b covariance c beta d standard deviation Câu 23:As the number of securities in a portfolio increases, the amount of systematic risk a decreases b remains constant c changes d increases Câu 24: Which statement is true concerning alternative efficient market hypothesis? a The weak hypothesis encompasses the semi-strong hypothesis b The semi-strong hypothesis encompasses the weak hypothesis c The weak hypothesis encompasses the strong hypothesis d The strong hypothesis relates only to public information Câu 25: Consider a bond selling at par with modified duration of 10.6 years and convexity of 210 A 2% decrease in yield would cause the price to increase by 21.2% according to the duration rule What would be the percentage price change according to the convexity rule? a 10.6% b 17.0% c 21.2% d 25.4% Downloaded by KHOA LÊ V? CHÂU (khoale.31201020407@st.ueh.edu.vn) lOMoARcPSD|7657597 Câu 26: The annual rates of return of Stock Z for the last four years are 0.10, 0.15, -0.05, and 0.20, respectively Compute the geometric mean annual rate of return for Stock Z a 0.150 b 0.096 c 0.074 d 0.051 Câu 27: The nominal yield of a bond is the A Annual coupon as a percent of the current price B Annual rate earned including the capital gain or loss C Rate earned giving consideration to coupon reinvestment D Coupon rate E Promised yield to maturity Câu 27’: The annual interest paid on a bond relative to its prevailing market price is called its A Promised yield B Yield to maturity C Coupon rate D Effective yield E Current yield Câu 37: If the holding period is equal to the term to maturity for a corporate bond the rate of discount represents the A Coupon yield B Effective yield C Yield to call D Yield to maturity E Reinvestment rate Câu 28: Given an optimal risky portfolio with expected return of 6%, standard deviation of 23%, and a risk free rate of 3%, what is the slope of the best feasible CAL? a 0.39 b 0.64 c 0.08 d 0.13 Câu 29: Probability of each economic state and return on stock A and B for each state are as follows: State (probability of this state:20%, Return on stock A: 10%, Return on stock:8%), State (40%, 13%, 7%), State (15%, 12%, 6%), State (25%, 9%, 10%) The expected rates of return of stocks A and B are: a 13.28%; 6,76% b 10.55%; 6.00% c 11.25%; 7.80% d 12.65%; 7.45% Câu 30: If the coupon payments are NOT reinvested during the life of the issue, then the: a promised yield is less than the realized yield c All of these are correct b nominal yield declines d promised yield is greater than the realized yield Downloaded by KHOA LÊ V? CHÂU (khoale.31201020407@st.ueh.edu.vn) lOMoARcPSD|7657597 Câu 31: A positive covariance between two variables indicates that: a the two variables move in the same direction b the two variables are low risk c the two variables move in different directions d the two variables are high risk Câu 32: The annual rates of return of Stock Z for the last four years are 0.10, 0.15, -0.05, and 0.20, respectively Compute the arithmetic mean annual rate of return for Stock Z a 0.10 b 0.03 c 0.06 d 0.04 Câu 34: Securities with returns that lie above the security market line (SML) are: a Properly valued b Undervalued c Overvalued d None of these are correct Câu 35: Stock A has an expected rate of return of 10% and a standard deviation of 16% Stock B has an expected rate of return of 8% and a standard deviation of 12% The correlation coefficient of returns between Stock A and B is 0.5 The weights of A and B in the minimum variance portfolio are and , respectively a 0.45; 0.55 b 0.52; 0.48 c 0.23; 0.77 d 0.17; 0.83 Câu 37: What would the after-tax yield be on an investment that offers a percent fully taxable yield? Assume a marginal tax rate of 31 percent a 6.48 percent b 2.79 percent c 4.14 percent d 7.20 percent Câu 38: Consider an investment opportunity set formed with two securities that are perfectly negatively correlated The global-minimum variance portfolio has a standard deviation that is always: a equal to the sum of the securities' standard deviations b equal to c greater than zero d equal to zero Câu 39: Which of the following is correct? Downloaded by KHOA LÊ V? CHÂU (khoale.31201020407@st.ueh.edu.vn) lOMoARcPSD|7657597 a If estimated value < market price, you should buy b If estimated value > market price, you should sell c All of these are correct d If estimated value > market price, you should buy Câu 40: refer(s) to the ability to convert assets to cash quickly and at a fair market price and often increase(s) as one approaches the later stages of the investment life cycle a liquidity needs b time horizons c liquidation essentials d liquidation values Câu 41:If you expected interest rates to fall, you would prefer to own bonds with: a short durations and high convexity b short durations and low convexity c long durations and high convexity d long durations and low convexity Câu 42: You are given a two-asset portfolio with a fixed correlation coefficient If the weights of the two assets are varied, the expected portfolio return would be and the expected portfolio standard deviation would be a linear, elliptical b linear, circular c nonlinear, circular d nonlinear, elliptical Câu 44: The CAPM can also be illustrated as: a The security market line (SML) b The capital market line (CML) c The security characteristics line (SCL) d The capital allocation line (CAL) Câu 46: If you expected interest rates to fall, you would prefer to own bonds with: a short durations and high convexity b short durations and low convexity c long durations and high convexity d long durations and low convexity Câu 47: An investor who wishes to form a portfolio that lies to the right of the optimal risky portfolio on the capital allocation line must: A) lend some of her money at the risk-free rate and invest the remainder in the optimal risky portfolio B) borrow some money at the risk-free rate and invest in the optimal risky portfolio C) such a portfolio cannot be formed Downloaded by KHOA LÊ V? CHÂU (khoale.31201020407@st.ueh.edu.vn) lOMoARcPSD|7657597 D) invest only in risky securities E) B and D Câu 48: Consider two perfectly negatively correlated risky securities A and B A has an expected rate of return of 10% and a standard deviation of 16% B has an expected rate of return of 8% and a standard deviation of 12% The weights of A and B in the minimum variance portfolio are and , respectively a 0.24; 0.76 b 0.57; 0.43 c 0.43; 0.57 d 0.50; 0.50 Câu 49: The duration of a par-value bond with a coupon rate of 6.5% and a remaining time to maturity of years is a 3.45 years b 3.65 years c 3.85 years d 4.00 years Câu 51: An individual investor's utility curves specify the tradeoffs he or she is willing to make between: a high return and low return assets b return and risk c high risk and low risk assets d covariance and correlation Câu 52: Calculate the expected return for stock A, which has a beta of 1.75 when the risk-free rate is 0.03 and you expect the market return to be 0.11: a 14.97 percent c 17.0 percent b 16.25 percent d 11.13 percent Cau 53: Respectively, the betas for the market portfolio and risk-free security are:: a - 1; b 0; c 1; -1 d 1; Cau 54: Probability of each economic state and return on stock A and B for each state are as follows: State (probability of this state:20%, Return on stock A: 10%, Return on stock:8%), State (40%, 13%, 7%), State (15%, 12%, 6%), State (25%, 9%, 10%) The expected rates of return of stocks A and B are: a 10.55%; 6.00% b 12.65%; 7.45% c 13.28%; 6,76% d 11.25%; 7.80% Downloaded by KHOA LÊ V? CHÂU (khoale.31201020407@st.ueh.edu.vn) lOMoARcPSD|7657597 Câu 54: Probability of each economic state and return on stock A and B for each state are as follows: State (probability of this state:10%, Return on stock A: 10%, Return on stock:8%), State (20%, 13%, 7%), State (20%, 12%, 6%), State (30%, 14%, 9%), State (20%, 15%, 8%) Let G be the global minimum variance portfolio The weights of A and B in G are and , respectively a 0.24; 0.76 b 0.40; 0.60 c 0.34; 0.66 d 0.66; 0.34 Cau 55: Probability of each economic state and return on stock A and B for each state are as follows: State (probability of this state:20%, Return on stock A: 10%, Return on stock:8%), State (40%, 13%, 7%), State (20%, 12%, 6%), State (20%, 9%, 10%) Standard deviations of stocks A and B are: a 2.14%; 1.25% b 3.52%; 2.45% c 1.62%; 1.36% d 1.66%; 1.58% Cau 56: Calculate the expected return for ABC Inc., which has a beta of 0.8 when the risk-free rate is 0.04 and you expect the market return to be 0.12 a 8.10 percent b 9.60 percent c 11.20 percent d 10.40 percent = 0.04 + 0.8(0.12-0.04) Cau 57: Consider two perfectly negatively correlated risky securities A and B A has an expected rate of return of 12% and a standard deviation of 15% B has an expected rate of return of 7% and a standard deviation of 12%.The risk-free portfolio that can be formed with the two securities will earn a(n) rate of return a 9.9% b 7.9% c 8.5% d 9.2% Cau 58: An investor constructs a portfolio with a 75 percent allocation to a stock index and a 25 percent allocation to a risk-free asset The expected returns on the risk-free asset and the stock index are percent and 10 percent, respectively The standard deviation of returns on the stock index is 14 percent Calculate the expected standard deviation of the portfolio a 9.0 percent b 7.5 percent c 11.5 percent d 10.5 percent Cau 59: Probability of each economic state and return on stock A and B for each state are as follows: State (probability of this state:10%, Return on stock A: 10%, Return on stock:8%), State (20%, 13%, Downloaded by KHOA LÊ V? CHÂU (khoale.31201020407@st.ueh.edu.vn) lOMoARcPSD|7657597 7%), State (20%, 12%, 6%), State (30%, 14%, 9%), State (20%, 15%, 8%) Covariance between stocks A and B is: a 0.0124% b 0.0040% c 0.2130% d 0.0076% Cau 60: An efficient market requires: a New information regarding securities comes to the market in a random fashion b A large number of competing profit-maximizing participants analyze and value securities, each independently of the others c Profit-maximizing investors cause security prices to adjust rapidly to reflect the effect of new information d All of these are correct Câu 13: The disadvantages of passive investing strategies include: A Passive investment suffers market risk B This investment strategy is often easier to implement than an active one, which requires constant research and adjustment C Lack of flexibility D Suffering market risk and lack of flexibility Câu 14: The goal of the passive portfolio manager is to minimize: A beta B tracking error C alpha D standard error Câu 15: Which of the following two bonds is more price sensitive to changes in interest rates? (I) A par value bond, X, with a 5-year year to maturity and a 10% coupon rate: (II) A zero-coupon bond, Y, with a 5-year year to maturity and a 10% yield to maturity A Bond X because of the higher yield to maturity B Bond X because of the longer time to maturity C Bond Y because of the higher coupon rate D Bond Y because of the longer duration Downloaded by KHOA LÊ V? CHÂU (khoale.31201020407@st.ueh.edu.vn) lOMoARcPSD|7657597 Câu 19: An investor purchased 200 stocks for $14/stock The market price has increased up to 50% of the purchased price The investor has received dividends 12 times, $0.05/each time per stock Assume that the investor wants to sell the stocks, what is his holding period return? HPR A 9.3% B 54.3% C 50.4% (loại) D 50% Câu 25: Holding other factors constant, the interest-rate risk of a coupon bond is lower when the bond's: A coupon rate is lower B term to maturity is lower C current yield is lower D yield to maturity is lower Câu 28: Which of the following is a passive bond management strategy? A Rate anticipation swap B Intermarket spread swap C Bond laddering D Substitution swap Câu 30: Which of the following statements is false about the capital market line (CML)? A The CML shows the linear relationship between the expected rate of return and the standard deviation of the effective portfolio B The slope of the CML is called the price of risk C As risk increases, the slope of CML downward D The slope of the CML will change depending on the investor's risk aversion Câu 32: According to the CAPM, an overvalued stock has: A Positive alpha B Negative beta C Negative alpha D Beta of zero 18 According to the Capital Asset Pricing Model (CAPM), underpriced securities A have positive betas B have zero alphas C have negative betas D have positive alphas 17 According to the Capital Asset Pricing Model (CAPM), fairly priced securities A have positive betas B have zero alphas C have negative betas D have positive alphas Downloaded by KHOA LÊ V? CHÂU (khoale.31201020407@st.ueh.edu.vn) lOMoARcPSD|7657597 18 In the context of the Capital Asset Pricing Model (CAPM) the relevant measure of risk is A unique risk B beta C standard deviation of returns D variance of returns E none of the above 19 In the context of the Capital Asset Pricing Model (CAPM) the relevant risk is A unique risk B market risk C standard deviation of returns D variance of returns 20 According to the Capital Asset Pricing Model (CAPM) a well diversified portfolio's rate of return is a function of A market risk B unsystematic risk C unique risk D reinvestment risk 21 According to the Capital Asset Pricing Model (CAPM) a well diversified portfolio's rate of return is a function of A beta risk B unsystematic risk C unique risk D reinvestment risk 22 The risk-free rate and the expected market rate of return are 0.06 and 0.12, respectively According to the capital asset pricing model (CAPM), the expected rate of return on security X with a beta of 1.2 is equal to E(R) = 6% + 1.2(12 - 6) = 13.2% A 0.06 B 0.144 C 0.12 D 0.132 10 Which statement is not true regarding the market portfolio? A It includes all publicly traded financial assets B It lies on the efficient frontier C All securities in the market portfolio are held in proportion to their market values D It is the tangency point between the capital market line and the indifference curve Downloaded by KHOA LÊ V? CHÂU (khoale.31201020407@st.ueh.edu.vn) lOMoARcPSD|7657597 12 Which statement is not true regarding the Capital Market Line (CML)? A The CML is the line from the risk-free rate through the market portfolio B The CML is the best attainable capital allocation line C The CML is also called the security market line D The CML always has a positive slope E The risk measure for the CML is standard deviation 21 According to the Capital Asset Pricing Model (CAPM), which one of the following statements is false? A The expected rate of return on a security decreases in direct proportion to a decrease in the riskfree rate B The expected rate of return on a security increases as its beta increases Đ C A fairly priced security has an alpha of zero Đ D In equilibrium, all securities lie on the security market line Đ When an investment advisor attempts to determine an investor's risk tolerance, which factor would they be least likely to assess? A The investor's prior investing experience B The investor's feelings about loss C The level of return the investor prefers D The investor's degree of financial security The capital allocation line can be described as the? A Line on which lie all portfolios with the same expected rate of return and different standard deviations B Line on which lie all portfolios that offer the same utility to a particular investor C Investment opportunity set formed with two risky assets D Investment opportunity set formed with a risky asset and a risk-free asset Downloaded by KHOA LÊ V? CHÂU (khoale.31201020407@st.ueh.edu.vn) lOMoARcPSD|7657597 Given the capital allocation line, an investor's optimal portfolio is the portfolio that? A Maximizes their risk B Maximizes their expected utility C Maximizes their expected profit D Minimizes both their risk and return The risk that can be diversified away is? A Market risk B Systematic risk C Beta D Firm specific risk Market risk is also referred to as? A Systematic risk, nondiversifiable risk B Unique risk, diversifiable risk C Systematic risk, diversifiable risk D Unique risk, nondiversifiable risk The expected return of a portfolio of risky securities is? A The weighted sum of the securities' variances and covariances B A weighted average of the securities' returns C The sum of the securities' returns D A weighted average of the securities' returns and the weighted sum of the securities' variances and covariances For a two stock portfolio, what would be the preferred correlation coefficient between the two stocks? A -1 B +0.5 C D +1 In a factor model, the return on a stock in a particular period will be related to? A Firm-specific events Downloaded by KHOA LÊ V? CHÂU (khoale.31201020407@st.ueh.edu.vn) lOMoARcPSD|7657597 B Both firm-specific and macroeconomic events C Neither firm-specific events nor macroeconomic events D The error term The market portfolio has a beta of? A 0.5 B C D -1 10 Analysts may use regression analysis to estimate the index model for a stock When doing so, the slope of the regression line is an estimate of? A The alpha of the asset B The variance of the asset C The covariance of the asset D The beta of the asset 11 A single-index model uses _ as a proxy for the systematic risk factor A The unemployment rate B A market index, such as the S&P 500 C The growth rate in GNP D The current account deficit 12 In the context of the Capital Asset Pricing Model, the relevant measure of risk is? A Variance of returns B Standard deviation of returns C Unique risk D Beta 13 In a well-diversified portfolio A Unsystematic risk is negligible B Market risk is negligible C Systematic risk is negligible D Nondiversifiable risk is negligible intrinsic value P/E = ((1-b) x (1+g)) / r (discount rate) - g (dividend growth) Downloaded by KHOA LÊ V? CHÂU (khoale.31201020407@st.ueh.edu.vn) lOMoARcPSD|7657597 g = b (retention ratio) x ROE Downloaded by KHOA LÊ V? CHÂU (khoale.31201020407@st.ueh.edu.vn)