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is the risk-free rate and is the return on the market index): 6. Suppose you have 5-year annual data on the excess returns on a fund manager's portfolio (fund ABC) and the excess returns on a market index (where IBC is the return on fund ABC, Yeart Excess return on fund ABC Excess return on market index ABC-981 14.0 16.0 32.0 21.7 11.6 6.0 21.2 16.2 17.4 11.0 What is the estimated alpha (a) for Fund ABC? (a) 2.3 (b) 3.3 (c) 4.3 (d) 5.3. 4 7. Given the data in Question 6, what is the estimated beta (P) of Fund ABC? (a) 3.1 (6) 2.1 (c) 1.1 (d) None of the above. 8. The estimated alpha (a) and beta (P) of a rival fund, Fund DEF, are 2.3 and 3.1, respectively. If the expected market risk premium is 12%, what would we expect the excess return of Fund DEF to be? (a) 39.5% (b) 30.7% (c) 5.4% (d) 64.8%. concerning the regression disturbance terms? in COV 9. What is the most appropriate interpretation of the assumption 1 21) .; (a) The errors are nonlinearly independent of one another (6) The errors are linearly dependent of one another (c) The covariance of the errors is constant and finite over all its values (d) The errors are linearly independent of one another. 10. The estimators and determined by OLS will be the Best Linear Unbiased Estimators (BLUE) if which of the following assumptions hold? (I) The errors have zero mean (II) The variance of the errors is constant and finite over all values of the independent variable(s) (III) The errors are linearly independent of one another (IV)There is no relationship between the error and corresponding independent variables (a) I and II only (6) I, II and III only (c) II, III and IV only (d) I, II, III, and IV. is the risk-free rate and is the return on the market index): 6. Suppose you have 5-year annual data on the excess returns on a fund manager's portfolio (fund ABC) and the excess returns on a market index (where IBC is the return on fund ABC, Yeart Excess return on fund ABC Excess return on market index ABC-981 14.0 16.0 32.0 21.7 11.6 6.0 21.2 16.2 17.4 11.0 What is the estimated alpha (a) for Fund ABC? (a) 2.3 (b) 3.3 (c) 4.3 (d) 5.3. 4 7. Given the data in Question 6, what is the estimated beta (P) of Fund ABC? (a) 3.1 (6) 2.1 (c) 1.1 (d) None of the above. 8. The estimated alpha (a) and beta (P) of a rival fund, Fund DEF, are 2.3 and 3.1, respectively. If the expected market risk premium is 12%, what would we expect the excess return of Fund DEF to be? (a) 39.5% (b) 30.7% (c) 5.4% (d) 64.8%. concerning the regression disturbance terms? in COV 9. What is the most appropriate interpretation of the assumption 1 21) .; (a) The errors are nonlinearly independent of one another (6) The errors are linearly dependent of one another (c) The covariance of the errors is constant and finite over all its values (d) The errors are linearly independent of one another. 10. The estimators and determined by OLS will be the Best Linear Unbiased Estimators (BLUE) if which of the following assumptions hold? (I) The errors have zero mean (II) The variance of the errors is constant and finite over all values of the independent variable(s) (III) The errors are linearly independent of one another (IV)There is no relationship between the error and corresponding independent variables (a) I and II only (6) I, II and III only (c) II, III and IV only (d) I, II, III, and IV

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