【正文】 Chapter 09The Capital Asset Pricing ModelMultiple Choice Questions1.In the context of the Capital Asset Pricing Model (CAPM) the relevant measure of risk isA.unique risk.B.beta.C.standard deviation of returns.D.variance of returns.2.In the context of the Capital Asset Pricing Model (CAPM) the relevant risk isA.unique risk.B.systematic risk.C.standard deviation of returns.D.variance of returns.3.In the context of the Capital Asset Pricing Model (CAPM) the relevant risk isA.unique risk.B.market risk.C.standard deviation of returns.D.variance of returns.4.According to the Capital Asset Pricing Model (CAPM) a well diversified portfolio39。s rate of return is a function ofA.market risk.B.unsystematic risk.C.unique risk.D.reinvestment risk.E.None of the options5.According to the Capital Asset Pricing Model (CAPM) a well diversified portfolio39。s rate of return is a function ofA.beta risk.B.unsystematic risk.C.unique risk.D.reinvestment risk.E.None of the options6.According to the Capital Asset Pricing Model (CAPM) a well diversified portfolio39。s rate of return is a function ofA.systematic risk.B.unsystematic risk.C.unique risk.D.reinvestment risk.7.The market portfolio has a beta ofA.0.B.1.C.1.D..8.The riskfree rate and the expected market rate of return are and , respectively. According to the capital asset pricing model (CAPM), the expected rate of return on security X with a beta of is equal toA..B..C..D..E..9.The riskfree rate and the expected market rate of return are and , respectively. According to the capital asset pricing model (CAPM), the expected rate of return on a security with a beta of is equal toA..B..C..D..E..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.E.All of the options are true.11.Which statement is true regarding the market portfolio?I) It includes all publicly traded financial assets.II) It lies on the efficient frontier.III) All securities in the market portfolio are held in proportion to their market values.IV) It is the tangency point between the capital market line and the indifference curve.A.I onlyB.II onlyC.III onlyD.IV onlyE.I, II, and III12.Which statement is not true regarding the capital market line (CML)?A.The CML is the line from the riskfree 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.13.Which statement is true regarding the capital market line (CML)?I) The CML is the line from the riskfree rate through the market portfolio.II) The CML is the best attainable capital allocation line.III) The CML is also called the security market line.IV) The CML always has a positive slope.A.I onlyB.II onlyC.III onlyD.IV onlyE.I, II, and IV14.The market risk, beta, of a security is equal toA.the covariance between the security39。s return and the market return divided by the variance of the market39。s returns.B.the covariance between the security and market returns divided by the standard deviation of the market39。s returns.C.the variance of the security39。s returns divided by the covariance between the security and market returns.D.the variance of the security39。s returns divided by the variance of the market39。s returns.15.According to the Capital Asset Pricing Model (CAPM), the expected rate of return on any security is equal toA.Rf + β [E(RM)].B.Rf + β [E(RM) Rf].C.β [E(RM) Rf].D.E(RM) + Rf.16.The security market line (SML) isA.the line that describes the expected returnbeta relationship for welldiversified portfolios only.B.also called the capital allocation line.C.the line that is tangent to the efficient frontier of all risky assets.D.the line that represents the expected returnbeta relationship.E.All of the options17.According to the Capital Asset Pricing Model (CAPM), fairly priced securities haveA.positive betas.B.zero alphas.C.negative betas.D.positive alphas.18.According to the Capital Asset Pricing Model (CAPM), underpriced securities haveA.positive betas.B.zero alphas.C.negative betas.D.positive alphas.E.None of the options19.According to the Capital Asset Pricing Model (CAPM), overpriced securities haveA.positive betas.B.zero alphas.C.negative alphas.D.positive alphas.20.According to the Capital Asset Pricing Model (CAPM), a security with aA.positive alpha is considered overpriced.B.zero alpha is considered to be a good buy.C.negative alpha is considered to be a good buy.D.positive alpha is considered to be underpriced.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 increases in direct proportion to a decrease in the riskfree