投资学题库Chap010

10-1Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.Chapter10ArbitragePricingTheoryandMultifactorModelsofRiskandReturnMultipleChoiceQuestions1.___________arelationshipbetweenexpectedreturnandrisk.A.APTstipulatesB.CAPMstipulatesC.BothCAPMandAPTstipulateD.NeitherCAPMnorAPTstipulateE.Nopricingmodelhasbeenfound.2.ConsiderthemultifactorAPTwithtwofactors.StockAhasanexpectedreturnof17.6%,abetaof1.45onfactor1,andabetaof.86onfactor2.Theriskpremiumonthefactor1portfoliois3.2%.Therisk-freerateofreturnis5%.Whatistherisk-premiumonfactor2ifnoarbitrageopportunitiesexist?A.9.26%B.3%C.4%D.7.75%10-2Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.3.InamultifactorAPTmodel,thecoefficientsonthemacrofactorsareoftencalledA.systemicrisk.B.factorsensitivities.C.idiosyncraticrisk.D.factorbetas.E.factorsensitivitiesandfactorbetas.4.InamultifactorAPTmodel,thecoefficientsonthemacrofactorsareoftencalledA.systemicrisk.B.firm-specificrisk.C.idiosyncraticrisk.D.factorbetas.5.InamultifactorAPTmodel,thecoefficientsonthemacrofactorsareoftencalledA.systemicrisk.B.firm-specificrisk.C.idiosyncraticrisk.D.factorloadings.10-3Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.6.Whichpricingmodelprovidesnoguidanceconcerningthedeterminationoftheriskpremiumonfactorportfolios?A.TheCAPMB.ThemultifactorAPTC.BoththeCAPMandthemultifactorAPTD.NeithertheCAPMnorthemultifactorAPTE.Noneoftheoptionsisatruestatement.7.Anarbitrageopportunityexistsifaninvestorcanconstructa__________investmentportfoliothatwillyieldasureprofit.A.positiveB.negativeC.zeroD.AlloftheoptionsE.Noneoftheoptions8.TheAPTwasdevelopedin1976byA.Lintner.B.ModiglianiandMiller.C.Ross.D.Sharpe.10-4Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.9.A_________portfolioisawell-diversifiedportfolioconstructedtohaveabetaof1ononeofthefactorsandabetaof0onanyotherfactor.A.factorB.marketC.indexD.factorandmarketE.factor,market,andindex10.Theexploitationofsecuritymispricinginsuchawaythatrisk-freeeconomicprofitsmaybeearnediscalledA.arbitrage.B.capitalassetpricing.C.factoring.D.fundamentalanalysis.E.Noneoftheoptions11.IndevelopingtheAPT,RossassumedthatuncertaintyinassetreturnswasaresultofA.acommonmacroeconomicfactor.B.firm-specificfactors.C.pricingerror.D.acommonmacroeconomicfactorandfirm-specificfactors.10-5Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.12.The____________providesanunequivocalstatementontheexpectedreturn-betarelationshipforallassets,whereasthe_____________impliesthatthisrelationshipholdsforallbutperhapsasmallnumberofsecurities.A.APT,CAPMB.APT,OPMC.CAPM,APTD.CAPM,OPM13.ConsiderasinglefactorAPT.PortfolioAhasabetaof1.0andanexpectedreturnof16%.PortfolioBhasabetaof0.8andanexpectedreturnof12%.Therisk-freerateofreturnis6%.Ifyouwantedtotakeadvantageofanarbitrageopportunity,youshouldtakeashortpositioninportfolio__________andalongpositioninportfolio_______.A.A,AB.A,BC.B,AD.B,BE.A,therisklessasset10-6Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.14.ConsiderthesinglefactorAPT.PortfolioAhasabetaof0.2andanexpectedreturnof13%.PortfolioBhasabetaof0.4andanexpectedreturnof15%.Therisk-freerateofreturnis10%.Ifyouwantedtotakeadvantageofanarbitrageopportunity,youshouldtakeashortpositioninportfolio_________andalongpositioninportfolio_________.A.A,AB.A,BC.B,AD.B,B15.Considertheone-factorAPT.Thevarianceofreturnsonthefactorportfoliois6%.Thebetaofawell-diversifiedportfolioonthefactoris1.1.Thevarianceofreturnsonthewell-diversifiedportfolioisapproximatelyA.3.6%.B.6.0%.C.7.3%.D.10.1%.16.Considertheone-factorAPT.Thestandarddeviationofreturnsonawell-diversifiedportfoliois18%.Thestandarddeviationonthefactorportfoliois16%.Thebetaofthewell-diversifiedportfolioisapproximatelyA.0.80.B.1.13.C.1.25.D.1.56.10-7Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.17.Considerthesingle-factorAPT.StocksAandBhaveexpectedreturnsof15%and18%,respectively.Therisk-freerateofreturnis6%.StockBhasabetaof1.0.Ifarbitrageopportunitiesareruledout,stockAhasabetaofA.0.67.B.1.00.C.1.30.D.1.69.E.0.75.18.ConsiderthemultifactorAPTwithtwofactors.StockAhasanexpectedreturnof16.4%,abetaof1.4onfactor1andabetaof.8onfactor2.Theriskpremiumonthefactor1portfoliois3%.Therisk-freerateofreturnis6%.Whatistherisk-premiumonfactor2ifnoarbitrageopportunitiesexist?A.2%B.3%C.4%D.7.75%10-8Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.19.ConsiderthemultifactormodelAPTwithtwofactors.PortfolioAhasabetaof0.75onfactor1and