20-1Copyright©2017McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.Chapter13TestBank-StaticStudent:___________________________________________________________________________MultipleChoiceQuestions1.Theexpectedreturn/betarelationshipisusedA.byregulatorycommissionsindeterminingthecostsofcapitalforregulatedfirms.B.incourtrulingstodeterminediscountratestoevaluateclaimsoflostfutureincomes.C.toadviseclientsastothecompositionoftheirportfolios.D.Alloftheoptionsarecorrect.E.Noneoftheoptionsarecorrect.2.Theexpectedreturn/betarelationshipisnotusedA.byregulatorycommissionsindeterminingthecostsofcapitalforregulatedfirms.B.incourtrulingstodeterminediscountratestoevaluateclaimsoflostfutureincomes.C.toadviseclientsastothecompositionoftheirportfolios.D.byregulatorycommissionsindeterminingthecostsofcapitalforregulatedfirmsandtoadviseclientsastothecompositionoftheirportfolios.E.Noneoftheoptionsarecorrect.3.__________arguedinhisfamouscritiquethattestsoftheexpectedreturn/betarelationshipareinvalidandthatitisdoubtfulthattheCAPMcaneverbetested.A.KimB.MarkowitzC.ModiglianiD.RollE.Noneoftheoptionsarecorrect.4.FamaandMacBeth(1973)foundthattherelationshipbetweenaverageexcessreturnsandbetaswasA.linear.B.nonexistent.C.asexpected,basedonearlierstudies.D.linearandasexpected,basedonearlierstudies.E.FamaandMacBethdidnotexaminetherelationshipbetweenexcessreturnsandbeta.5.IntheempiricalstudyofamultifactormodelbyChen,Roll,andRoss,afactor(thefactors)thatappearedtohavesignificantexplanatorypowerinexplainingsecurityreturnswas(were)A.thechangeintheexpectedrateofinflation.B.theriskpremiumoncorporatebonds.C.theunexpectedchangeintherateofinflation.D.industrialproduction.E.theriskpremiumoncorporatebonds,theunexpectedchangeintherateofinflation,andindustrialproduction.6.IntheempiricalstudyofamultifactormodelbyChen,Roll,andRoss,afactorthatdidnotappeartohavesignificantexplanatorypowerinexplainingsecurityreturnswasA.thechangeintheexpectedra...
