"Portfolio Management":Expected return
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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%.
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.
C is correct.
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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