投资学课后答案APT

Chapter10-ArbitragePricingTheoryandMultifactorModelsofRiskandReturn10-1Chapter10ArbitragePricingTheoryandMultifactorModelsofRiskandReturnMultipleChoiceQuestions1.___________arelationshipbetweenexpectedreturnandrisk.A.APTstipulatesB.CAPMstipulatesC.BothCAPMandAPTstipulateD.NeitherCAPMnorAPTstipulateE.Nopricingmodelhasfound2.ConsiderthemultifactorAPTwithtwofactors.StockAhasanexpectedreturnof17.6%,abetaof1.45onfactor1andabetaof.86onfactor2.Theriskpremiumonthefactor1portfoliois3.2%.Therisk-freerateofreturnis5%.Whatistherisk-premiumonfactor2ifnoarbitrageopportunitiesexit?A.9.26%B.3%C.4%D.7.75%E.9.75%3.Inamulti-factorAPTmodel,thecoefficientsonthemacrofactorsareoftencalled______.A.systemicriskB.factorsensitivitiesC.idiosyncraticriskD.factorbetasE.bothfactorsensitivitiesandfactorbetas4.Inamulti-factorAPTmodel,thecoefficientsonthemacrofactorsareoftencalled______.A.systemicriskB.firm-specificriskC.idiosyncraticriskD.factorbetasE.uniqueriskChapter10-ArbitragePricingTheoryandMultifactorModelsofRiskandReturn10-25.Inamulti-factorAPTmodel,thecoefficientsonthemacrofactorsareoftencalled______.A.systemicriskB.firm-specificriskC.idiosyncraticriskD.factorloadingsE.uniquerisk6.Whichpricingmodelprovidesnoguidanceconcerningthedeterminationoftheriskpremiumonfactorportfolios?A.TheCAPMB.ThemultifactorAPTC.BoththeCAPMandthemultifactorAPTD.NeithertheCAPMnorthemultifactorAPTE.Nopricingmodelcurrentlyexiststhatprovidesguidanceconcerningthedeterminationoftheriskpremiumonanyportfolio7.Anarbitrageopportunityexistsifaninvestorcanconstructa__________investmentportfoliothatwillyieldasureprofit.A.smallpositiveB.smallnegativeC.zeroD.largepositiveE.largenegative8.TheAPTwasdevelopedin1976by____________.A.LintnerB.ModiglianiandMillerC.RossD.SharpeE.FamaChapter10-ArbitragePricingTheoryandMultifactorModelsofRiskandReturn10-39.A_________portfolioisawell-diversifiedportfolioconstructedtohaveabetaof1ononeofthefactorsandabetaof0onanyotherfactor.A.factorB.marketC.indexD.factorandmarketE.factor,market,andindex10.Theexploitationofsecuritymispricinginsuchawaythatrisk-freeeconomicprofitsmaybeearnediscalled___________.A.arbitrageB.capitalassetpricingC.factoringD.fundamentalanalysisE.technicalanalysis11.IndevelopingtheAPT,RossassumedthatuncertaintyinassetreturnswasaresultofA.acommonmacroeconomicfactor.B.firm-specificfactors.C.pricingerror.D.neithercommonmacroeconomicfactorsnorfirm-specificfactors.E.bothcommonmacroeconomicfactorsandfirm-specificfactors.12.The____________providesanunequivocalstatementontheexpectedreturn-betarelationshipforallassets,whereasthe_____________impliesthatthisrelationshipholdsforallbutperhapsasmallnumberofsecurities.A.APT;CAPMB.APT;OPMC.CAPM;APTD.CAPM;OPME.APTandOPM;CAPMChapter10-ArbitragePricingTheoryandMultifactorModelsofRiskandReturn10-413.ConsiderasinglefactorAPT.PortfolioAhasabetaof1.0andanexpectedreturnof16%.PortfolioBhasabetaof0.8andanexpectedreturnof12%.Therisk-freerateofreturnis6%.Ifyouwantedtotakeadvantageofanarbitrageopportunity,youshouldtakeashortpositioninportfolio__________andalongpositioninportfolio_______.A.A;AB.A;BC.B;AD.B;BE.A;therisklessasset14.ConsiderthesinglefactorAPT.PortfolioAhasabetaof0.2andanexpectedreturnof13%.PortfolioBhasabetaof0.4andanexpectedreturnof15%.Therisk-freerateofreturnis10%.Ifyouwantedtotakeadvantageofanarbitrageopportunity,youshouldtakeashortpositioninportfolio_________andalongpositioninportfolio_________.A.A;AB.A;BC.B;AD.B;BE.Noarbitrageopportunityexists.15.Considertheone-factorAPT.Thevarianceofreturnsonthefactorportfoliois6%.Thebetaofawell-diversifiedportfolioonthefactoris1.1.Thevarianceofreturnsonthewell-diversifiedportfolioisapproximately__________.A.3.6%B.6.0%C.7.3%D.10.1%E.8.6%Chapter10-ArbitragePricingTheoryandMultifactorModelsofRiskandReturn10-516.Considertheone-factorAPT.Thestandarddeviationofreturnsonawell-diversifiedportfoliois18%.Thestandarddeviationonthefactorportfoliois16%.Thebetaofthewell-diversifiedportfolioisapproximately__________.A.0.80B.1.13C.1.25D.1.56E.0.9317.Considerthesingle-factorAPT.StocksAandBhaveexpectedreturnsof15%and18%,respectively.Therisk-freerateofreturnis6%.StockBhasabetaof1.0.Ifarbitrageopportunitiesareruledout,stockAhasabetaof__________.A.0.67B.1.00C.1.30D.1.69E.0.7518.ConsiderthemultifactorAPTwithtwofactors.StockAhasanexpectedreturnof16.4%,abetaof1.4onfactor1andabetaof.8onfactor2.Theriskpremiumonthefactor1portfoliois3%.Therisk-freerateofreturnis6%.Whatistherisk-premiumonfactor2ifnoarbitrageopportunitiesexit?A.2%B.3%C.4%D.7.75%E.6.89%Chapter10-ArbitragePricingTheoryandMultifactorModelsofRiskandReturn10-619.ConsiderthemultifactormodelAPTwithtwofactors.PortfolioAhasabetaof0.75onfactor1andabetaof1.25onfactor2.Theriskpremiumsonthefactor1andfactor2portfoliosare1%and7%,respectively.Therisk-freerateofreturnis7%.TheexpectedreturnonportfolioAis__________ifnoarbitrageopportunitiesexist.A.13.5%B.15.0%C.16.5%D.23.0%E.18.7%20.ConsiderthemultifactorAPTwithtwofactors.Theriskpremiumsonthefactor1andfactor2portfoliosare5%and6%,respectively.StockAhasabetaof1.2onfactor1,andabetaof