WorksheetsQuant 1.11 Test
Total questions: 40
Worksheet time: 1hrs 20mins
Name
Class
Date
1.
Q. Which of the following characteristics of an investment study most likely indicates time-period bias?
a)
A. The study is based on a short time-series.
b)
B. Information not available on the test date is used.
c)
C. A structural change occurred prior to the start of the study’s time series.
2.
None
a)
A. $30,432 .
b)
B. $30,447 .
c)
C. $31,677 .
3.
None
a)
A. 34.51.
b)
B. 100.49.
c)
C. 102.98.
4.
The minimum rate of return an investor must receive in order to accept an investment is best described as the:
a)
A. internal rate of return.
b)
B. required rate of return.
c)
C. expected return.
5.
Which statement is most accurate when considering a multivariate normal distribution for the returns on 10 stocks from different sectors? There are:
a)
A. 45 distinct correlations not equal to one.
b)
B. 90 distinct correlations not equal to one.
c)
C. 100 distinct correlations.
6.
None
a)
A. The probability that the value of X will be equal to 4 is 0.90
b)
B. The probability that the value of X will be less than or equal to 5 but greater than 2 is 0.75.
c)
C. The random variable X is continuous.
7.
Survivorship bias is most likely an example of which bias?
a)
A. Sample selection
b)
B. Data mining
c)
C. Look-ahead
8.
None
a)
A. 37.50%.
b)
B. 56.25%.
c)
C. 18.75%.
9.
Q. A stock is priced at $100.00 and follows a one-period binomial process with an up move that equals 1.05 and a down move that equals 0.97. If 1 million Bernoulli trials are conducted and the average terminal stock price is $102.00, the probability of an up move (p) is closest to:
a)
A. 0.375.
b)
B. 0.500.
c)
C. 0.625.
10.
Q. Data values that are categorical and not amenable to being organized in a logical order are most likely to be characterized as:
a)
A. ordinal data.
b)
B. discrete data.
c)
C. nominal data.
11.
During the past 36 months, the standard deviation of a portfolio’s monthly returns has been 4.9%. To test a claim that this portfolio’s investment strategy results in a standard deviation of monthly returns that is less than 5.0%, the value of the test statistic is closest to:
a)
A. 34.30.
b)
B. 33.61.
c)
C. 34.57.
12.
None
a)
A. 2.40%.
b)
B. 2.53%.
c)
C. 7.58%.
13.
Given a large random sample, which of the following types of data are least appropriately analyzed with nonparametric tests?
a)
A. Signed data (e.g., number of positives and negatives)
b)
B. Ranked data (e.g., 1st, 3rd)
c)
C. Numerical values (e.g., 28.43, 79.11)
14.
Q. Which of the following statements is most accurate? If the covariance of returns between two assets is 0.0023, then:
a)
A. the assets’ risk is near zero.
b)
B. the asset returns are unrelated.
c)
C. the asset returns have a positive relationship.
15.
Q. If the probability that Zolaf Company sales exceed last year’s sales is 0.167, the odds for exceeding sales are closest to:
a)
A. 1 to 5.
b)
B. 1 to 6.
c)
C. 5 to 1.
16.
None
a)
A. A. No No
b)
B. B. No Yes
c)
C. C. Yes No
17.
The distribution of all the distinct possible values for a statistic when calculated from samples of the same size randomly drawn from the same population is most accurately referred to as:
a)
A. a discrete uniform distribution.
b)
B. a multivariate normal distribution.
c)
C. the sampling distribution of a statistic.
18.
Q. A hypothesis test for a normally distributed population at a 0.05 significance level implies a:
a)
A. 95% probability of rejecting a true null hypothesis.
b)
B. 95% probability of a Type I error for a two-tailed test.
c)
C. 5% critical value rejection region in a tail of the distribution for a one-tailed test.
19.
Q. For a lump sum investment of ¥250,000 invested at a stated annual rate of 3% compounded daily, the number of months needed to grow the sum to ¥1,000,000 is closest to:
a)
A. 555 .
b)
B. 563 .
c)
C. 576 .
20.
Q. The best approach for creating a stratified random sample of a population involves:
a)
A. drawing an equal number of simple random samples from each subpopulation.
b)
B. selecting every kth member of the population until the desired sample size is reached.
c)
C. drawing simple random samples from each subpopulation in sizes proportional to the relative size of each subpopulation.
21.
The confidence interval is most likely to be:
a)
A. wider as the sample size increases.
b)
B. wider as the point estimate increases.
c)
C. narrower as the reliability factor decreases.
22.
The discrepancy between a statistically significant result and an economically meaningful result is least likely the result of:
a)
A. transaction costs.
b)
B. risk tolerance.
c)
C. sampling errors.
23.
Q. If an estimator is consistent, an increase in sample size will increase the:
a)
A. accuracy of estimates.
b)
B. efficiency of the estimator.
c)
C. unbiasedness of the estimator.
24.
Q. A Type II error is best described as:
a)
A. rejecting a true null hypothesis.
b)
B. failing to reject a false null hypothesis.
c)
C. failing to reject a false alternative hypothesis.
25.
Q. A tree-map is best suited to illustrate:
a)
A. underlying trends over time.
b)
B. joint variations in two variables.
c)
C. value differences of categorical groups.
26.
None
a)
A. The p-value indicates the probability of making a Type II error.
b)
B. The lower the p-value, the weaker the evidence for rejecting the H0.
c)
C. The p-value is the smallest level of significance at which H0 can be rejected.
27.
Which of the following is the least likely characteristic of the normal probability distribution? The normal probability distribution:
a)
A. is more suitable as a model for asset prices than for returns.
b)
B. has the same value for mean, median, and mode.
c)
C. has kurtosis of 3.0.
28.
Q. An analyst is examining the monthly returns for two funds over one year. Both funds’ returns are non-normally distributed. To test whether the mean return of one fund is greater than the mean return of the other fund, the analyst can use:
a)
A. a parametric test only.
b)
B. a nonparametric test only.
c)
C. both parametric and nonparametric tests.
29.
If the probability for an event Z is 14% (i.e., P(Z) = 14%), the odds for Z are closest to:
a)
A. 0.163.
b)
B. 0.071.
c)
C. 0.123.
30.
None
a)
A. 6.39 and reject the null.
b)
B. 9.60 and do not reject the null.
c)
C. 7.15 and do not reject the null.
31.
Q. Which one of the following statements about Student’s t-distribution is false?
a)
A. It is symmetrically distributed around its mean value, like the normal distribution.
b)
B. It has shorter (i.e., thinner) tails than the normal distribution.
c)
C. As its degrees of freedom increase, Student’s t-distribution approaches the normal distribution.
32.
None
a)
A. 2.97%.
b)
B. 3.00%.
c)
C. 3.33%.
33.
Q. A chi-square test is most appropriate for tests concerning:
a)
A. a single variance.
b)
B. differences between two population means with variances assumed to be equal.
c)
C. differences between two population means with variances assumed to not be equal.
34.
A z-test regarding a mean is most appropriate when the variance is unknown and the:
a)
A. sample is not normally distributed.
b)
B. central limit theorem is applicable.
c)
C. sample is small and normally distributed.
35.
None
a)
A. 0.02.
b)
B. 0.42.
c)
C. 2.41.
36.
None
a)
A. 0.10 only.
b)
B. 0.10, 0.05, and 0.01.
c)
C. 0.10 and 0.05.
37.
None
a)
A. Allocation A
b)
B. Allocation B
c)
C. Allocation C
38.
Q. The probability of an event given that another event has occurred is a:
a)
A. joint probability.
b)
B. marginal probability.
c)
C. conditional probability.
39.
Q. Suppose we take a random sample of 30 companies in an industry with 200 companies. We calculate the sample mean of the ratio of cash flow to total debt for the prior year. We find that this ratio is 23%. Subsequently, we learn that the population cash flow to total debt ratio (taking account of all 200 companies) is 26%. What is the explanation for the discrepancy between the sample mean of 23% and the population mean of 26%?
a)
A. Sampling error.
b)
B. Bias.
c)
C. A lack of consistency.
40.
Q. The lognormal distribution is a more accurate model for the distribution of stock prices than the normal distribution because stock prices are:
a)
A. symmetrical.
b)
B. unbounded.
c)
C. non-negative.
100 %
