【正文】 line.B.below the security market line.C.above the security market line.D.either above or below the security market line depending on its covariance with the market.E.either above or below the security market line depending on its standard deviation.54.The risk premium on the market portfolio will be proportional toA.the average degree of risk aversion of the investor population.B.the risk of the market portfolio as measured by its variance.C.the risk of the market portfolio as measured by its beta.D.the average degree of risk aversion of the investor population and the risk of the market portfolio as measured by its variance.E.the average degree of risk aversion of the investor population and the risk of the market portfolio as measured by its beta.55.In equilibrium, the marginal price of risk for a risky security must beA.equal to the marginal price of risk for the market portfolio.B.greater than the marginal price of risk for the market portfolio.C.less than the marginal price of risk for the market portfolio.D.adjusted by its degree of nonsystematic risk.E.None of the options is true.56.The capital asset pricing model assumesA.all investors are price takers.B.all investors have the same holding period.C.investors pay taxes on capital gains.D.all investors are price takers and have the same holding period.E.all investors are price takers, have the same holding period, and pay taxes on capital gains.57.The capital asset pricing model assumesA.all investors are price takers.B.all investors have the same holding period.C.investors have homogeneous expectations.D.all investors are price takers and have the same holding period.E.all investors are price takers, have the same holding period, and have homogeneous expectations.58.The capital asset pricing model assumesA.all investors are rational.B.all investors have the same holding period.C.investors have heterogeneous expectations.D.all investors are rational and have the same holding period.E.all investors are rational, have the same holding period, and have heterogeneous expectations.59.The capital asset pricing model assumesA.all investors are fully informed.B.all investors are rational.C.all investors are meanvariance optimizers.D.taxes are an important consideration.E.all investors are fully informed, are rational, and are meanvariance optimizers.60.If investors do not know their investment horizons for certain,A.the CAPM is no longer valid.B.the CAPM underlying assumptions are not violated.C.the implications of the CAPM are not violated as long as investors39。 liquidity needs are not priced.D.the implications of the CAPM are no longer useful.61.Assume that a security is fairly priced and has an expected rate of return of . The market expected rate of return is and the riskfree rate is . The beta of the stock isA..B..C.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。s risk aversion coefficient.III) the riskfree rate of return.IV) the variance of the market portfolio.A.I and IIB.II and IIIC.II and IVD.II, III, and IVE.I, III, and IV63.One of the assumptions of the CAPM is that investors exhibit myopic behavior. What does this mean?A.They plan for one identical holding period.B.They are price takers who can39。t affect market prices through their trades.C.They are meanvariance optimizers.D.They have the same economic view of the world.E.They pay no taxes or transactions costs.64.The CAPM applies toA.portfolios of securities only.B.individual securities only.C.efficient portfolios of securities only.D.efficient portfolios and efficient individual securities only.E.all portfolios and individual securities.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 and IVB.I, II, and IVC.I and IID.III and IVE.II and IV66.The expected returnbeta relationship of the CAPM is graphically represented byA.the security market line.B.the capital market line.C.the capital allocation line.D.the efficient frontier with a riskfree asset.E.the efficient frontier without a riskfree asset.67.A fairly priced asset liesA.above the security market line.B.on the security market line.C.on the capital market line.D.above the capital market line.E.below the security market line.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.the market39。s volatility.B.asset i39。s volatility.C.the trading costs of security i.D.the riskfree rate.E.the money supply.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.underpriced.B.overpriced.C.fairly priced.D.Cannot be determined from data provided.70.Your opinion is