2022 Exam 9 Progress Thread

My main focus is Exam 8 this fall but hoping to get an early start at this.
Any seminar/manual recommendation for this?

I’m in for this sitting unfortunately. I used RF exclusively last time and I plan to use it again along with CC most likely.

I recommend cc. Tia is eh for this one.

1 Like

I second this. I purchased TIA for my second attempt and was very disappointed. CC + RF worked well for me.

1 Like

From what I hear so far, TIA isn’t that good for exam 7 and 9.

CC is great. I used that + source + cookbook.

1 Like

Are the source papers easy read?
I thought about CC

Some are better than others. Most are okay.

Kreps is not a terrible read, but it is hard to understand and also very unclear what is testable in it.

BKM is fine, but way too wordy. You can get lost in it.

The robbin and feldblum papers are probably not worth reading.

I thought I’d take the break between exams to try to zero in on a few deficiencies in my Exam 9 knowledge, so I’m hoping someone can help explain about whether or not alphas should be used in a problem.

Going through section 9.1 of BKM (10th edition), it works out the expected return-beta relationship:
E(r) = rf + B x [E(rm)-rf]
There is no alpha here. This made sense to me because I thought alpha was always zero under CAPM, because the assumptions of rational mean-variance optimizers with identical input lists doesn’t allow for mispricings to exist.

Then the next page talks about the security market line, and how a stock that is above the line has a positive alpha. But according to CAPM’s expected-return beta formula, that can never happen.

And then, at the end of 9.1, it states that the excess return on any stack is R = alpha + Beta*Rm + e, and E(R) = alpha + Beta*Rm

So, when do I assume alpha is zero, and when do I need to include it? I think I must be missing something conceptually.