7. The utility score a typical investor would assign to a particular portfolio, other things equal, • Will decrease as the standard deviation decreases. • Will incrase as the rate of return incraseses. • Will incrase as the covariance between assets in the portfolio incrases. • Will incrase as the risk aversion incrase.
7. The utility score a typical investor would assign to a particular portfolio, other things equal, • Will decrease as the standard deviation decreases. • Will incrase as the rate of return incraseses. • Will incrase as the covariance between assets in the portfolio incrases. • Will incrase as the risk aversion incrase.
Financial Reporting, Financial Statement Analysis and Valuation
8th Edition
ISBN:9781285190907
Author:James M. Wahlen, Stephen P. Baginski, Mark Bradshaw
Publisher:James M. Wahlen, Stephen P. Baginski, Mark Bradshaw
Chapter5: Risk Analysis
Section: Chapter Questions
Problem 11QE: Market equity beta measures the covariability of a firms returns with all shares traded on the...
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Transcribed Image Text:7. The utility score a typical investor would assign to a particular
portfolio, other things equal,
• Will decrease as the standard deviation decreases.
• Will incrase as the rate of return incraseses.
• Will incrase as the covariance between assets in the portfolio
incrases.
• Will incrase as the risk aversion incrase.
8. An empirical finding that returns on Dhaka Stock Exchange stocks
tend to be higher on the first trading day of the week would
contradict.
• Strong form of efficiency.
• Weak form of efficiency.
Semi-strong form of efficirency.
• None of the forms of efficiency.
9. The risk premium for treasury bills is expected to be
• Just the risk-free rate
• Zero
• Just market premium.
• Positive
10. Which of the following is not a source of systematic risk?
• Changes in foreign exchange rate
Changes in world petroleum price
• Changes in benchmark interest rate
• Changes in output of a company
11. According to the CAPM, all securities, including any portfolio of
securities, should offer the same reward-to-risk ration in
equilibrium.
• True
• False
12. In the CAPM word, a risky investment may earn a positive or
negative alpha.
• True
• False
13. The SML shows the equilibrium relationship between expected
return and total risk for all risky securities. Including any portfolio of
risky securities- diversified or not.
• True
• False
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