> Question 21 The following figure forms ten industry-wise portfolios and shows their returns and market betas. Which of the following statements regarding the industry portfolios is false? | A B IC D Durbl consumer durables) has higher systematic risk than utils (utilities) Manuf manufacturing and Other (others such as mines, hotels, and finance) have negative alphas NoDur (consumer nondurables) and Hlth healthcare, medical equipment, and drugs) are relatively overpriced Long HiTec (business equipment and short Telem (telephone and television transmission) constitute risk arbitrage Hint: Chapter 13. Assignment 2 Question 14 Industry Portfolios 12.0 1.40 1.23 1.25 10.0 1.12 1.12 120 0.97 0.90 1.00 2.0 0.84 0.75 0.77 0.80 0.66 Average Excess Return (%) 6.0 Market Beta 0.60 4.0 0.40 2.0 0.20 6.9 9.2 0.0 0.00 Telcin NoDur Utils Hith Enrgy Shops Manuf Other HiTec Durbl Industry Average Excess Return (%) Market Beta Question 22 > The following is gold's security characteristic line against the market (1972-2019). Gold's market beta is -0.31 during this time. The expected market return is 8.55%. The risk-free rate is 4.72%. According to CAPM, which of the following statements is true? A B C D Gold is risky so its expected return will be greater than the risk-free rate Gold's expected return will equal the risk-free rate as minimum possible Gold has a negative beta so its expected return will be less than the risk-free rate An asset whose beta is +0.31 will have the same expected return with gold