单选题
Suppose the correlation between the returns of Belgian stocks and US stocks increased. Assuming that the standard deviations of the countries' stock returns remain unchanged, which of the following will occur? A. Risk estimates (standard deviations) for portfolios containing both U. S. and Belgian stocks will increase B. The beta for Belgian stocks from a U.S. perspective will increase C. A and B
【正确答案】
C
【答案解析】 The covariance component of portfolio risk will increase for all 2 - country
portfolios. Since BetaUS=COVUS.B/VARB, an
increase in covariance will also increase beta.