投资学课后答案APT
.Chapter 10Arbitrage Pricing Theory and Multifactor Models of Risk and Return Multiple Choice Questions 1. _ a relationship between expected return and risk. A. APT stipulatesB. CAPM stipulatesC. Both CAPM and APT stipulateD. Neither CAPM nor APT stipulateE. No pricing model has found 2. Consider the multifactor APT with two factors. Stock A has an expected return of 17.6%, a beta of 1.45 on factor 1 and a beta of .86 on factor 2. The risk premium on the factor 1 portfolio is 3.2%. The risk-free rate of return is 5%. What is the risk-premium on factor 2 if no arbitrage opportunities exit? A. 9.26%B. 3%C. 4%D. 7.75%E. 9.75% 3. In a multi-factor APT model, the coefficients on the macro factors are often called _. A. systemic riskB. factor sensitivitiesC. idiosyncratic riskD. factor betasE. both factor sensitivities and factor betas 4. In a multi-factor APT model, the coefficients on the macro factors are often called _. A. systemic riskB. firm-specific riskC. idiosyncratic riskD. factor betasE. unique risk 5. In a multi-factor APT model, the coefficients on the macro factors are often called _. A. systemic riskB. firm-specific riskC. idiosyncratic riskD. factor loadingsE. unique risk 6. Which pricing model provides no guidance concerning the determination of the risk premium on factor portfolios? A. The CAPMB. The multifactor APTC. Both the CAPM and the multifactor APTD. Neither the CAPM nor the multifactor APTE. No pricing model currently exists that provides guidance concerning the determination of the risk premium on any portfolio 7. An arbitrage opportunity exists if an investor can construct a _ investment portfolio that will yield a sure profit. A. small positiveB. small negativeC. zeroD. large positiveE. large negative 8. The APT was developed in 1976 by _. A. LintnerB. Modigliani and MillerC. RossD. SharpeE. Fama 9. A _ portfolio is a well-diversified portfolio constructed to have a beta of 1 on one of the factors and a beta of 0 on any other factor. A. factorB. marketC. indexD. factor and marketE. factor, market, and index 10. The exploitation of security mispricing in such a way that risk-free economic profits may be earned is called _. A. arbitrageB. capital asset pricingC. factoringD. fundamental analysisE. technical analysis 11. In developing the APT, Ross assumed that uncertainty in asset returns was a result of A. a common macroeconomic factor.B. firm-specific factors.C. pricing error.D. neither common macroeconomic factors nor firm-specific factors.E. both common macroeconomic factors and firm-specific factors. 12. The _ provides an unequivocal statement on the expected return-beta relationship for all assets, whereas the _ implies that this relationship holds for all but perhaps a small number of securities. A. APT; CAPMB. APT; OPMC. CAPM; APTD. CAPM; OPME. APT and OPM; CAPM 13. Consider a single factor APT. Portfolio A has a beta of 1.0 and an expected return of 16%. Portfolio B has a beta of 0.8 and an expected return of 12%. The risk-free rate of return is 6%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio _ and a long position in portfolio _. A. A; AB. A; BC. B; AD. B; BE. A; the riskless asset 14. Consider the single factor APT. Portfolio A has a beta of 0.2 and an expected return of 13%. Portfolio B has a beta of 0.4 and an expected return of 15%. The risk-free rate of return is 10%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio _ and a long position in portfolio _. A. A; AB. A; BC. B; AD. B; BE. No arbitrage opportunity exists. 15. Consider the one-factor APT. The variance of returns on the factor portfolio is 6%. The beta of a well-diversified portfolio on the factor is 1.1. The variance of returns on the well-diversified portfolio is approximately _. A. 3.6%B. 6.0%C. 7.3%D. 10.1%E. 8.6% 16. Consider the one-factor APT. The standard deviation of returns on a well-diversified portfolio is 18%. The standard deviation on the factor portfolio is 16%. The beta of the well-diversified portfolio is approximately _. A. 0.80B. 1.13C. 1.25D. 1.56E. 0.93 17. Consider the single-factor APT. Stocks A and B have expected returns of 15% and 18%, respectively. The risk-free rate of return is 6%. Stock B has a beta of 1.0. If arbitrage opportunities are ruled out, stock A has a beta of _. A. 0.67B. 1.00C. 1.30D. 1.69E. 0.75 18. Consider the multifactor APT with two factors. Stock A has an expected return of 16.4%, a beta of 1.4 on factor 1 and a beta of .8 on f