【正文】 equal to the marginal price of risk for the market portfolio.B.less than the marginal price of risk for the market portfolio.D.None of the options is true.all investors are price takers.B.investors pay taxes on capital gains.D.all investors are price takers, have the same holding period, and pay taxes on capital gains.all investors are price takers.B.investors have homogeneous expectations.D.all investors are price takers, have the same holding period, and have homogeneous expectations.all investors are rational.B.investors have heterogeneous expectations.D.all investors are rational, have the same holding period, and have heterogeneous expectations.all investors are fully informed.B.all investors are meanvariance optimizers.D.all investors are fully informed, are rational, and are meanvariance optimizers.the CAPM is no longer valid.B.the implications of the CAPM are not violated as long as investors39。the implications of the CAPM are no longer useful..B.1.D.62.The amount that an investor allocates to the market portfolio is negatively related toI) the expected return on the market portfolio.II) the investor39。I and IIB.II and IVD.I, III, and IVThey plan for one identical holding period.B.t affect market prices through their trades.C.They have the same economic view of the world.E.64.The CAPM applies toA.individual securities only.C.efficient portfolios and efficient individual securities only.E.65.Which of the following statements about the mutual fund theorem is true?I) It is similar to the separation property.II) It implies that a passive investment strategy can be efficient.III) It implies that efficient portfolios can be formed only through active strategies.IV) It means that professional managers have superior security selection strategies.A.I, II, and IVC.III and IVE.66.The expected returnbeta relationship of the CAPM is graphically represented byA.the capital market line.C.the efficient frontier with a riskfree asset.E.67.A fairly priced asset liesA.on the security market line.C.above the capital market line.E.68.For the CAPM that examines illiquidity premiums, if there is correlation among assets due to mon systematic risk factors, the illiquidity premium on asset i is a function ofA.s volatility.B.s volatility.C.the riskfree rate.E.69.Your opinion is that security A has an expected rate of return of . It has a beta of . The riskfree rate is and the market expected rate of return is . According to the Capital Asset Pricing Model, this security isA.overpriced.C.Cannot be determined from data provided.underpriced.B.fairly priced.D.71.The riskfree rate is 4%. The expected market rate of return is 12%. If you expect stock X with a beta of to offer a rate of return of 10%, you shouldA.sell short stock X because it is overpriced.C.buy stock X because it is underpriced.E.72.The riskfree rate is 5%. The expected market rate of return is 11%. If you expect stock X with a beta of to offer a rate of return of 15%, you shouldA.sell short stock X because it is overpriced.C.buy stock X because it is underpriced.E.73.You invest 50% of your money in security A with a beta of and the rest of your money in security B with a beta of . The beta of the resulting portfolio isA..C..E.74.You invest $200 in security A with a beta of and $800 in security B with a beta of . The beta of the resulting portfolio isA..C..E.75.Security A has an expected rate of return of and a beta of . The market expected rate of return is and the riskfree rate is . The alpha of the stock isA.%.C.%.%.B.%.D.77.A security has an expected rate of return of and a beta of . The market expected rate of return is and the riskfree rate is . The alpha of the stock isA.%.C.%..B.1.D.79.Discuss the differences between the capital market line and the security market line.80.Discuss the assumptions of the capital asset pricing model and how these assumptions relate to the real world investment decision process.81.Discuss the mutual fund theorem.82.Discuss how the CAPM might be used in capital budgeting decisions and utility rate decisions.83.List and discuss two of the assumptions of the CAPM.Chapter 09 The Capital Asset Pricing Model Answer KeyMultiple Choice Questionsunique risk.B.standard deviation of returns.D.AACSB: AnalyticBlooms: RememberDifficulty: BasicTopic: CAPMunique risk.B.standard deviation of returns.D.AACSB: AnalyticBlooms: RememberDifficulty: BasicTopic: CAPMunique risk.B.standard deviation of returns.D.AACSB: AnalyticBlooms: RememberDifficulty: BasicTopic: CAPMs rate of return is a function ofA.unsystematic risk.C.reinvestment risk.E.AACSB: AnalyticBlooms: RememberDifficulty: BasicTopic: CAPMs rate of return is a function ofA.unsystematic risk.C.reinvestment risk.E.AACSB: AnalyticBlooms: RememberDifficulty: BasicTopic: CAPMs rate of return is a function ofA.unsystematic risk.C.reinvestment risk.With a diversified portfolio, the only risk remaining is market, beta, or systematic, risk. This is the only risk that influences return according to the CAPM.7.The market portfolio has a beta ofA.1.C..By definition, the beta of the market portfolio is 1.8.The risk