"Portfolio Management":Expected return

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來源: 正保會計網(wǎng)校編輯：小鞠橘桔 2020/11/17 09:52:34　字體：大小

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Questions 1:

A return-generating model that provides an estimate of the expected return of a security based on such factors as earnings growth and cash flow generation is best described as a:

A、 market factor model.

B 、fundamental factor model.

C 、macroeconomic factor model.

Questions 2:

The stock of GBK Corporation has a beta of 0.65. If the risk-free rate of return is 3% and the expected market return is 9%, the expected return for GBK is closest to:

A 、10.8%.

B、 3.9%.

C、 6.9%.

View answer resolution

【Answer to question 1】B

【analysis】

B is correct. A return-generating model based on such factors as earnings growth and cash flow generation is a fundamental factor model.

A is incorrect. In a market model, the factor is the market return.

C is incorrect. In a macroeconomic factor model, appropriate factors would be economic factors such as the interest rate and the inflation rate.

【Answer to question 2】C

【analysis】

C is correct.

Portfolio Management:Expected return

A is incorrect. It is incorrectly calculated as 0.03 + 0.65 × (0.09 + 0.03) = 0.108.

B is incorrect. It is incorrectly calculated as E(RGBK) = 0.65 × (0.09 – 0.03) = 0.039.

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