portfolio theroy and asset pricing models

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Beta reflects stock risk for investors which is usually

Beta reflects stock risk for investors which is usually
  • A. individual
  • B. collective
  • C. weighted
  • D. linear
  • Correct Answer: Option A

Capital market line reflects an attitude of investors towards risk which is considered as an/a

Capital market line reflects an attitude of investors towards risk which is considered as an/a
  • A. non-aggregate
  • B. effective
  • C. ineffective
  • D. aggregate
  • Correct Answer: Option D

Gross domestic product, world economy strength and level of inflation are factors which is used to determine

Gross domestic product, world economy strength and level of inflation are factors which is used to determine
  • A. market realized return
  • B. portfolio realized return
  • C. portfolio arbitrage risk
  • D. arbitrage theory of return
  • Correct Answer: Option A

First factor in Fama French three factor model is

First factor in Fama French three factor model is
  • A. CAPM stock beta
  • B. economic stock beta
  • C. CAPM portfolio beta
  • D. CAPM realized beta
  • Correct Answer: Option A

In capital asset pricing model, investors assume that buying and selling activity will

In capital asset pricing model, investors assume that buying and selling activity will
  • A. affect stock prices
  • B. not affect stock prices
  • C. have high taxes
  • D. high transaction cost
  • Correct Answer: Option B

In arbitrage pricing theory, required returns are functioned of two factors which have

In arbitrage pricing theory, required returns are functioned of two factors which have
  • A. dividend policy
  • B. market risk
  • C. historical policy
  • D. Both A and B
  • Correct Answer: Option D

Difference between actual return on stock and predicted return is considered as

Difference between actual return on stock and predicted return is considered as
  • A. probability error
  • B. actual error
  • C. prediction error
  • D. random error
  • Correct Answer: Option D

High portfolio return is 6.5% and low portfolio return is 3.0% then HML portfolio will be

High portfolio return is 6.5% and low portfolio return is 3.0% then HML portfolio will be
  • A. 2.16%
  • B. 9.50%
  • C. 3.50%
  • D. 0.4615 times
  • Correct Answer: Option C

Rational traders immediately buy stock when price is

Rational traders immediately buy stock when price is
  • A. too low
  • B. too high
  • C. conditional
  • D. inefficient portfolio
  • Correct Answer: Option A

According to capital asset pricing model assumptions, investors will borrow unlimited amount of capital at any given

According to capital asset pricing model assumptions, investors will borrow unlimited amount of capital at any given
  • A. identical and fixed returns
  • B. risk free rate of interest
  • C. fixed rate of interest
  • D. risk free expected return
  • Correct Answer: Option B

A model which regresses return of stock against return of market is classified as

A model which regresses return of stock against return of market is classified as
  • A. regression model
  • B. market model
  • C. error model
  • D. risk free model
  • Correct Answer: Option B

Stocks which has high book for market ratio are considered as

Stocks which has high book for market ratio are considered as
  • A. more risky
  • B. less risky
  • C. pessimistic
  • D. optimistic
  • Correct Answer: Option A

Sum of market risk and diversifiable risk are classified as total risk which is equivalent to

Sum of market risk and diversifiable risk are classified as total risk which is equivalent to
  • A. Sharpe's alpha
  • B. standard alphas
  • C. alpha's variance
  • D. variance
  • Correct Answer: Option D