9-1Copyright©2017McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducationChapter09TestBank-StaticStudent:___________________________________________________________________________MultipleChoiceQuestions1.InthecontextoftheCapitalAssetPricingModel(CAPM),therelevantmeasureofriskisA.uniquerisk.B.beta.C.standarddeviationofreturns.D.varianceofreturns.2.InthecontextoftheCapitalAssetPricingModel(CAPM),therelevantriskisA.uniquerisk.B.systematicrisk.C.standarddeviationofreturns.D.varianceofreturns.3.InthecontextoftheCapitalAssetPricingModel(CAPM),therelevantriskisA.uniquerisk.B.marketrisk.C.standarddeviationofreturns.D.varianceofreturns.4.AccordingtotheCapitalAssetPricingModel(CAPM),awelldiversifiedportfolio'srateofreturnisafunctionofA.marketrisk.B.unsystematicrisk.C.uniquerisk.D.reinvestmentrisk.E.Noneoftheoptionsarecorrect.5.AccordingtotheCapitalAssetPricingModel(CAPM),awelldiversifiedportfolio'srateofreturnisafunctionofA.betarisk.B.unsystematicrisk.C.uniquerisk.D.reinvestmentrisk.E.Noneoftheoptionsarecorrect.6.AccordingtotheCapitalAssetPricingModel(CAPM),awelldiversifiedportfolio'srateofreturnisafunctionofA.systematicrisk.B.unsystematicrisk.C.uniquerisk.D.reinvestmentrisk.7.ThemarketportfoliohasabetaofA.0.B.1.C.–1.D.0.5.9-2Copyright©2017McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation8.Therisk-freerateandtheexpectedmarketrateofreturnare0.06and0.12,respectively.Accordingtothecapitalassetpricingmodel(CAPM),theexpectedrateofreturnonsecurityXwithabetaof1.2isequaltoA.0.06.B.0.144.C.0.12.D.0.132.E.0.18.9.Therisk-freerateandtheexpectedmarketrateofreturnare0.056and0.125,respectively.Accordingtothecapitalassetpricingmodel(CAPM),theexpectedrateofreturnonasecuritywithabetaof1.25isequaltoA.0.142.B.0.144.C.0.153.D.0.134.E.0.117.10.Whichstatementisnottrueregardingthemarketportfolio?A.Itincludesallpublicly-tradedfinancialassets.B.Itliesontheefficientf...
