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Beta is a measure of a stock's: (select all that apply)

Responsiveness to changes in a market index.

Diversifiable Risk

Total Risk

Volatility of Returns

Beta measures the ________ by which the stocks returns will change with the market.

The standard deviation measures the ________ range of possible return outcomes.

Unsystematic risk measures the _________ range of differences between the predicted and actual returns.

Multiple, percentage, percentage.

Magnitude, magnitude, magnitude.

Percentage, percentage, magnitude.

Percentage, percentage, percentage.

Percentage, magnitude, percentage.

A beta of -1.8 is considered:

Defensive or aggressive cannot be defined until the beta of the market is known.

Defensive because it is less than

Defensive because it is negative.

Aggressive because its absolute value is greater than 1.

Beta is evaluated in the context of:

SPI

TPI

Market

CAPM

Confidence Intervals

Beta is a poor measure of an investors actual return because:

Beta is based on historical data.

Dividends and coupon payments are not considered.

Beta are unstable when measured over a short time-period

It does not consider the economy as a whole.

The theoretical long-term expected return is the risk-free rate.

Betas provide accurate, not poor, measures of return

Past betas are poor predictors of future betas.

The Malaysian investor seeks to determine his systematic risk exposure, BFP#1, in Japan. Identify the inputs needed to determine only the dependent variable (FP#1) in the regression equation.

ROPC MYR/JPY

ROPC Mitsui (long)-MYR

ROPC JPY/MYR

ROPC Mitsui (long)-JPY

ROPC Mitsui (Short)-MYR

ROPC Mitsui (Short)-JPY

The Malaysian investor seeks to determine his systematic risk exposure, BFP#1, in Japan. Identify the inputs needed to determine only the independent variable (FM#1) in the regression equation.

JPY FX Index (Short)

MYR FX Index (Short)

MYR FX Index (Long)

JPY FX Index (Long)

ROPC Kuala Lumpur (long)

ROPC Nikki 400 (long)

Calculate the joint ROPC for FP#1 as an input into the regression analysis. Provide a sample of your results for the 1st, 5th and 8th jtROPCs: (enter solutions as decimals rather than percentages)

jtROPC1 =

:

jtROPC5 =

:

jtROPC8 =

Calculate the joint ROPC for FM#1 as an input into the regression analysis. Provide a sample of your results for the 1st, 5th and 8th jtROPCs: (enter solutions as decimals rather than percentages)

jt ROPC1 =

:

jt ROPC5 =

:

jt ROPC8 =

Run a single factor regression model for Foreign Portfolio #1and write the solution for beta, FP#1, in the blank.

Based on the solution for the beta of FP#1, we can surmise:

Defensive because it is less than the absolute value of 1.

Defensive because it is negative.

Aggressive because its absolute value is greater than 1.

Aggressive because it is negative

If FM#1 declines by 8.75%, the FP#1 will a) (increase/ decrease) by b) %.

Table 10.2 Data Inputs for Risk Evaluation Kuala Mitsui in Nikki 400Lumpur J Ringgit (RM) in t DateMitsui in t e JPY() FX JPY FX JPY/USD MYR/USD MYR/USD MYR fx Index | Lumpur Index IndexMYR/JPYPY/MYR Index 0 15-Sep 6290.69 314.5345 1962.87 1768.11 95.81 4.2815 85.635 91.68 0.044687 22.37767 122-Sep 6,616.14 330.806881 1999.49 1782.9193.15 4.5345 84.892 91.78 0.04868 20.54251 96.274.8979 85.839 91.65 4 13-Oct 6,681.58 334.079131 1953.25 1756.73 99.32 '..(bd)," D.,12:15 tep:/4 7..1 es:il..GaGp 1.(ni(Y; 91.390.048902 1.13.1 4:il.( 20.44909 ..(k:i: (pA";se361.. ) 19.'1%:iA4 4..( [///..93G 10-4.V3 8 10-Nov 6714.84 335.742 2035.921793.52101.334.786680.63592.42 21.16951