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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. 3. If a market proxy portfolio consistently beats all professionally managed portfolios on a risk-adjusted basis, it may be concluded that 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.
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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 7. In an efficient market, __________. 8. The weak form of the efficient market hypothesis contradicts
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