投资学课后答案APTWord格式.docx

投资学课后答案APTWord格式.docx

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3%

4%

7.75%

9.75%

3. 

Inamulti-factorAPTmodel,thecoefficientsonthemacrofactorsareoftencalled______. 

systemicrisk

factorsensitivities

idiosyncraticrisk

factorbetas

bothfactorsensitivitiesandfactorbetas

4. 

firm-specificrisk

uniquerisk

5. 

factorloadings

6. 

Whichpricingmodelprovidesnoguidanceconcerningthedeterminationoftheriskpremiumonfactorportfolios?

TheCAPM

ThemultifactorAPT

BoththeCAPMandthemultifactorAPT

NeithertheCAPMnorthemultifactorAPT

Nopricingmodelcurrentlyexiststhatprovidesguidanceconcerningthedeterminationoftheriskpremiumonanyportfolio

7. 

Anarbitrageopportunityexistsifaninvestorcanconstructa__________investmentportfoliothatwillyieldasureprofit. 

smallpositive

smallnegative

zero

largepositive

largenegative

8. 

TheAPTwasdevelopedin1976by____________. 

Lintner

ModiglianiandMiller

Ross

Sharpe

Fama

9. 

A_________portfolioisawell-diversifiedportfolioconstructedtohaveabetaof1ononeofthefactorsandabetaof0onanyotherfactor. 

factor

market

index

factorandmarket

factor,market,andindex

10. 

Theexploitationofsecuritymispricinginsuchawaythatrisk-freeeconomicprofitsmaybeearnediscalled___________. 

arbitrage

capitalassetpricing

factoring

fundamentalanalysis

technicalanalysis

11. 

IndevelopingtheAPT,Rossassumedthatuncertaintyinassetreturnswasaresultof 

acommonmacroeconomicfactor.

firm-specificfactors.

pricingerror.

neithercommonmacroeconomicfactorsnorfirm-specificfactors.

bothcommonmacroeconomicfactorsandfirm-specificfactors.

12. 

The____________providesanunequivocalstatementontheexpectedreturn-betarelationshipforallassets,whereasthe_____________impliesthatthisrelationshipholdsforallbutperhapsasmallnumberofsecurities. 

APT;

CAPM

OPM

CAPM;

APT

APTandOPM;

13. 

ConsiderasinglefactorAPT.PortfolioAhasabetaof1.0andanexpectedreturnof16%.PortfolioBhasabetaof0.8andanexpectedreturnof12%.Therisk-freerateofreturnis6%.Ifyouwantedtotakeadvantageofanarbitrageopportunity,youshouldtakeashortpositioninportfolio__________andalongpositioninportfolio_______. 

A;

A

B

B;

therisklessasset

14. 

ConsiderthesinglefactorAPT.PortfolioAhasabetaof0.2andanexpectedreturnof13%.PortfolioBhasabetaof0.4andanexpectedreturnof15%.Therisk-freerateofreturnis10%.Ifyouwantedtotakeadvantageofanarbitrageopportunity,youshouldtakeashortpositioninportfolio_________andalongpositioninportfolio_________. 

Noarbitrageopportunityexists.

15. 

Considertheone-factorAPT.Thevarianceofreturnsonthefactorportfoliois6%.Thebetaofawell-diversifiedportfolioonthefactoris1.1.Thevarianceofreturnsonthewell-diversifiedportfolioisapproximately__________. 

3.6%

6.0%

7.3%

10.1%

8.6%

16. 

Considertheone-factorAPT.Thestandarddeviationofreturnsonawell-diversifiedportfoliois18%.Thestandarddeviationonthefactorportfoliois16%.Thebetaofthewell-diversifiedportfolioisapproximately__________. 

0.80

1.13

1.25

1.56

0.93

17. 

Considerthesingle-factorAPT.StocksAandBhaveexpectedreturnsof15%and18%,respectively.Therisk-freerateofreturnis6%.StockBhasabetaof1.0.Ifarbitrageopportunitiesareruledout,stockAhasabetaof__________. 

0.67

1.00

1.30

1.69

0.75

18. 

ConsiderthemultifactorAPTwithtwofactors.StockAhasanexpectedreturnof16.4%,abetaof1.4onfactor1andabetaof.8onfactor2.Theriskpremiumonthefactor1portfoliois3%.Therisk-freerateofreturnis6%.Whatistherisk-premiumonfactor2ifnoarbitrageopportunitiesexit?

2%

6.89%

19. 

ConsiderthemultifactormodelAPTwithtwofactors.PortfolioAhasabetaof0.75onfactor1andabetaof1.25onfactor2.Theriskpremiumsonthefactor1andfactor2portfoliosare1%and7%,respectively.Therisk-freerateofreturnis7%.TheexpectedreturnonportfolioAis__________ifnoarbitrageopportunitiesexist. 

13.5%

15.0%

16.5%

23.0%

18.7%

20. 

ConsiderthemultifactorAPTwithtwofactors.Theriskpremiumsonthefactor1andfactor2portfoliosare5%and6%,respectively.StockAhasabetaof1.2onfactor1,andabetaof0.7onfactor2.TheexpectedreturnonstockAis17%.Ifnoarbitrageopportunitiesexist,therisk-freerateofreturnis___________. 

6.5%

6.8%

7.4%

7.7%

21. 

Consideraone-factoreconomy.PortfolioAhasabetaof1.0onthefactorandportfolioBhasabetaof2.0onthefactor.TheexpectedreturnsonportfoliosAandBare11%and17%,respectively.Assumethattherisk-freerateis6%andthatarbitrageopportunitiesexist.Supposeyouinvested$100,000intherisk-freeasset,$100,000inportfolioB,andsoldshort$200,000ofportfolioA.Yourexpectedprofitfromthisstrategywouldbe______________. 

−$1,000

$0

$1,000

$2,000

$1,600

22. 

Considertheone-factorAPT.Assumethattwoportfolios,AandB,arewelldiversified.ThebetasofportfoliosAandBare1.0and1.5,respectively.TheexpectedreturnsonportfoliosAandBare19%and24%,respectively.Assumingnoarbitrageopportunitiesexist,therisk-freerateofreturnmustbe____________. 

4.0%

9.0%

14.0%

8.2%

23. 

ConsiderthemultifactorAPT.Theriskpremiumsonthefactor1andfactor2portfoliosare5%and3%,respectively.Therisk-freerateofreturnis10%.StockAhasanexpectedreturnof19%andabetaonfactor1of0.8.StockAhasabetaonfactor2of________. 

1.33

1.50

1.67

2.00

1.73

24. 

ConsiderthesinglefactorAPT.PortfoliosAandBhaveexpectedreturnsof14%and18%,respectively.Therisk-freerateofreturnis7%.PortfolioAhasabetaof0.7.Ifarbitrageopportunitiesareruledout,portfolioBmusthaveabetaof__________. 

0.45

1.10

1.22

Therearethreestocks,A,B,andC.Youcaneitherinvestinthesestocksorshortsellthem.Therearethreepossiblestatesofnatureforeconomicgrowthintheupcomingyear;

economicgrowthmaybestrong,moderate,orweak.ThereturnsfortheupcomingyearonstocksA,B,andCforeachofthesestatesofnaturearegivenbelow:

25. 

IfyouinvestedinanequallyweightedportfolioofstocksAandB,yourportfolioreturnwouldbe___________ifeconomicgrowthweremoderate. 

3.0%

14.5%

15.5%

16.0%

17.0%

26. 

IfyouinvestedinanequallyweightedportfolioofstocksAandC,yourportfolioreturnwouldbe____________ifeconomicgrowthwasstrong. 

22.5%

30.0%

30.5%

25.6%

27. 

IfyouinvestedinanequallyweightedportfolioofstocksBandC,yourportfolioreturnwouldbe_____________ifeconomicgrowthwasweak. 

−2.5%

0.5%

11.0%

28. 

Ifyouwantedtotakeadvantageofarisk-freearbitrageopportunity,youshouldtakeashortpositionin_________andalongpositioninanequallyweightedportfolioof_______. 

BandC

AandC

C;

AandB

AandB;

C

ConsiderthemultifactorAPT.Therearetwoindependenteconomicfactors,F1andF2.Therisk-freerateofreturnis6%.Thefollowinginformationisavailableabouttwowell-diversifiedportfolios:

29. 

Assumingnoarbitrageopportunitiesexist,theriskpremiumonthefactorF1portfolioshouldbe__________. 

5%

6%

30. 

Assumingnoarbitrageopportunitiesexist,theriskpremiumonthefactorF2portfolioshouldbe___________. 

31. 

Azero-investmentportfoliowithapositiveexpectedreturnariseswhen_________. 

aninvestorhasdownsideriskonly

thelawofpricesisnotviolated

theopportunitysetisnottangenttothecapitalallocationline

arisk-freearbitrageopportunityexists

arisk-freearbitrageopportunitydoesnotexist

32. 

Aninvestorwilltakeaslargeapositionaspossiblewhenanequilibriumpricerelationshipisviolated.Thisisanexampleof_________. 

adominanceargument

themean-varianceefficiencyfrontier

arisk-freearbitrage

thecapitalassetpricingmodel

theSML

33. 

TheAPTdiffersfromtheCAPMbecausetheAPT_________. 

placesmoreemphasisonmarketrisk

minimi