Portfolio Management - Portfolio Management Section 1
- Option : A
- Explanation : An asset with a negative beta will have an expected return less than the risk free rate in CAPM.
53. Information for stock Z and the market is given below:
| Standard deviation for stock Z's returns | 25% |
| Standard deviation of the market's returns | 10% |
| Correlation of stock Z with the market | 65% |
The beta of stock Z is closet to:
54. Which of the following is least likely an assumption of the Capital Asset Pricing Model (CAPM)?
- Option : B
- Explanation : CAPM is based on a single period instead of multiple periods because it is easy to calculate.
55. Which of the following statements about the Security Market Line is least accurate? The SML:
- Option : A
- Explanation : The security market line allows us to identify mispriced securities. The other two statements are true.
