Finals-108

Finals-108 - Financiad Economics ECN134 Final Exam SSI 2008...

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Financiad Economics ECN134 Final Exam SSI 2008 Prof. Farshid Mojaver *********************************************************************** * Multiple Choice Questions: There are 12 MC questions worth 12 points. Please write the correct answer in your blue book. 1. The expected return/beta relationship is used ___________. A) by regulatory commissions in determining the costs of capital for regulated firms B) in court rulings to determine discount rates to evaluate claims of lost future incomes C) to advise clients as to the composition of their portfolios D) all of the above E) none of the above Answer: D 2. In the 1972 empirical study by Black, Jensen, and Scholes, they found that the estimated slope of the security market line was _______ what the CAPM would predict. A) higher than B) equal to C) less than D) twice as much as E) more information is required to answer this question Answer: C 3. If a market proxy portfolio consistently beats all professionally managed portfolios on a risk-adjusted basis, it may be concluded that A) the CAPM is valid. B) the market proxy is mean/variance efficient. C) the CAPM is invalid. D) A and B. E) B and C. Answer: D 4. In the 1972 empirical study by Black, Jensen, and Scholes, they found that the risk-adjusted returns of high beta portfolios were _____________ the risk- adjusted returns of low beta portfolios. A) greater than B) equal to C) less than D) unrelated to E) more information is necessary to answer this question Answer: C
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5. Malkiel (1995) calculated that the average alphas, or abnormal returns, on a large sample of mutual funds between 1972 and 1991 were A) significantly positive. B) significantly negative. C) statistically indistinguishable from zero. D) positive before 1981 and negative thereafter. E) negative before 1981 and positive thereafter. Answer: C 6. Proponents of the EMH think technical analysts A) should focus on relative strength. B) should focus on resistance levels. C) should focus on support levels. D) should focus on financial statements. E) are wasting their time. Answer: E 7. In an efficient market, __________. A) security prices react quickly to new information B) security prices are seldom far above or below their justified levels C) security analysts will not enable investors to realize superior returns consistently D) one cannot make money E) A, B, and C Answer: E 8. The weak form of the efficient market hypothesis contradicts A) technical analysis, but supports fundamental analysis as valid. B) fundamental analysis, but supports technical analysis as valid. C) both fundamental analysis and technical analysis. D) technical analysis, but is silent on the possibility of successful fundamental analysis. E)
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This note was uploaded on 06/05/2010 for the course ECN 60277 taught by Professor Farshidmojaver during the Spring '10 term at UC Davis.

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Finals-108 - Financiad Economics ECN134 Final Exam SSI 2008...

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