QUESTION 13 Suppose we have two stocks A and B. Stock A has an expected return...

 

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QUESTION 13 Suppose we have two stocks A and B. Stock A has an expected return of 10%, a standard deviation of return of 20% and a beta of 1.5. Stock B has an expected return of 8.4%, a standard deviation of 30% and a beta of 1.1. Which stock has a higher systematic risk? Which stock has a higher total risk? OA. A has a higher systematic risk. A has a higher total risk B. B has a higher systematic risk, A has a higher total risk OC.B has a higher systematic risk, B has a higher total risk OD.A has a higher systematic risk, B has a higher total risk QUESTION 14 Consider the following model to explain a fund manager's performance: pt=ap+bpfmt + SpSMBt+ hpHMI.t+ept If the fund manager is market neutral but is tilted towards large stocks, which of the following would apply? OA. bp > 0 and Sp> 0 OB. bp < 0 and sp < 0 OC. bp = 0 and Sp> 0 O D. bp = 0 and Sp <0 1.60 QUESTION 13 Suppose we have two stocks A and B. Stock A has an expected return of 10%, a standard deviation of return of 20% and a beta of 1.5. Stock B has an expected return of 8.4%, a standard deviation of 30% and a beta of 1.1. Which stock has a higher systematic risk? Which stock has a higher total risk? OA. A has a higher systematic risk. A has a higher total risk B. B has a higher systematic risk, A has a higher total risk OC.B has a higher systematic risk, B has a higher total risk OD.A has a higher systematic risk, B has a higher total risk QUESTION 14 Consider the following model to explain a fund manager's performance: pt=ap+bpfmt + SpSMBt+ hpHMI.t+ept If the fund manager is market neutral but is tilted towards large stocks, which of the following would apply? OA. bp > 0 and Sp> 0 OB. bp < 0 and sp < 0 OC. bp = 0 and Sp> 0 O D. bp = 0 and Sp <0 1.60

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QUESTION 13 B B has a higher systematic risk A has a higher total risk Systematic risk is often meas... View the full answer