投资学第7版TestBank答案10文档格式.docx
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ThemultifactorAPTprovidesnoguidaneeastothedeterminationoftheriskpremiumonthevariousfactors.TheCAPMassumesthattheexcessmarketreturnovertherisk-freerateisthemarketpremiuminthesinglefactorCAPM.
3.Anarbitrageopportunityexistsifaninvestorcanconstructainvestment
portfoliothatwillyieldasureprofit.
A）positive
B）negative
C）zero
D）alloftheabove
E）noneoftheabove
Iftheinvestorcanconstructaportfoliowithouttheuseoftheinvestor'
sownfundsandtheportfolioyieldsapositiveprofit,arbitrageopportunitiesexist.
4.TheAPTwasdevelopedin1976by.
A）Lintner
B）ModiglianiandMiller
C）Ross
D）Sharpe
Answer:
EasyRationale:
Rossdevelopedthismodelin1976.
5.Aportfolioisawell-diversifiedportfolioconstructedtohaveabetaof1on
oneofthefactorsandabetaof0onanyotherfactor.
A）factor
B）market
C）index
D）AandB
E）A,B,andC
ADifficulty:
Rationale:
Afactormodelportfoliohasabetaof1onefactor,withzerobetasonotherfactors.
6.Theexploitationofsecuritymispricinginsuchawaythatrisk-freeeconomicprofitsmaybeearnediscalled.
A）arbitrage
B）capitalassetpricing
C）factoring
D）fundamentalanalysis
Arbitrageisearningofpositiveprofitswithazero（risk-free）investment.
7.IndevelopingtheAPT,Rossassumedthatuncertaintyinassetreturnswasaresultof
A）acommonmacroeconomicfactor
B）firm-specificfactors
C）pricingerror
D）neitherAnorB
E）bothAandB
EDifficulty:
Totalrisk（uncertainty）isassumedtobecomposedofbothmacroeconomicandfirm-specificfactors.
8.Theprovidesanunequivocalstatementontheexpectedreturn-beta
relationshipforallassets,whereastheimpliesthatthisrelationship
holdsforallbutperhapsasmallnumberofsecurities.
A）APT,CAPM
B）APT,OPM
C）CAPM,APT
D）CAPM,OPM
TheCAPMisanasset-pricingmodelbasedontherisk/returnrelationshipofallassets.TheAPTimpliesthatthisrelationshipholdsforallwell-diversifiedportfolios,andforallbutperhapsafewindividualsecurities.
9.ConsiderasinglefactorAPT.PortfolioAhasabetaof1.0andanexpectedreturnof
16%.PortfolioBhasabetaof0.8andanexpectedreturnof12%.Therisk-freerateofreturnis6%.Ifyouwantedtotakeadvantageofanarbitrageopportunity,youshouldtakeashortpositioninportfolioandalongpositioninportfolio.
A）A,A
B）A,B
C）B,A
D）B,B
E）A,therisklessasset
Rationale:
A:
16%=1.0F+6%;
F=10%;
B:
12%=0.8F+6%:
F=7.5%;
thus,shortBandtakealongpositioninA.
10.ConsiderthesinglefactorAPT.PortfolioAhasabetaof0.2andanexpectedreturnof
13%.PortfolioBhasabetaof0.4andanexpectedreturnof15%.Therisk-freerateofreturnis10%.Ifyouwantedtotakeadvantageofanarbitrageopportunity,youshouldtakeashortpositioninportfolioandalongpositioninportfolio.
13%=10%+0.2F;
F=15%;
15%=10%+0.4F;
F=12.5%;
therefore,shortBandtakealongpositioninA.
11.Considertheone-factorAPT.Thevarianeeofreturnsonthefactorportfoliois6%.The
betaofawell-diversifiedportfolioonthefactoris1.1.Thevarianeeofreturnsonthewell-diversifiedportfolioisapproximately.
A）3.6%
B）6.0%
C）7.3%
D）10.1%
Wp=（1.1）2（6%）=7.26%.
12.Considertheone-factorAPT.Thestandarddeviationofreturnsonawell-diversified
portfoliois18%.Thestandarddeviationonthefactorportfoliois16%.Thebetaofthewell-diversifiedportfolioisapproximately.
A）0.80
B）1.13
C）1.25
D）1.56
（18%）2=（16%）2b2;
b=1.125.
13.Considerthesingle-factorAPT.StocksAandBhaveexpectedreturnsof15%and18%,respectively.Therisk-freerateofreturnis6%.StockBhasabetaof1.0.Ifarbitrageopportunitiesareruledout,stockAhasabetaof.
A）0.67
B）1.00
C）1.30
D）1.69
15%=6%+bF;
8%=6%+1.0F;
F=12%;
thus,betaofA=9/12=0.75.
14.ConsiderthemultifactorAPTwithtwofactors.StockAhasanexpectedreturnof16.4%,abetaof1.4onfactor1andabetaof.8onfactor2.Theriskpremiumonthefactor1portfoliois3%.Therisk-freerateofreturnis6%.Whatistherisk-premiumonfactor2ifnoarbitrageopportunitiesexit?
A）2%
B）3%
C）4%
D）7.75%
DDifficulty:
Difficult
16.4%=1.4（3%）+.8x+6%;
x=7.75.
15.ConsiderthemultifactormodelAPTwithtwofactors.PortfolioAhasabetaof0.75onfactor1andabetaof1.25onfactor2.Theriskpremiumsonthefactor1andfactor2portfoliosare1%and7%,respectively.Therisk-freerateofreturnis7%.TheexpectedreturnonportfolioAisifnoarbitrageopportunitiesexist.
A）13.5%
B）15.0%
C）16.5%
D）23.0%
7%+0.75（1%）+1.25（7%）=16.5%.
16.ConsiderthemultifactorAPTwithtwofactors.Theriskpremiumsonthefactor1andfactor2portfoliosare5%and6%,respectively.StockAhasabetaof1.2onfactor1,andabetaof0.7onfactor2.TheexpectedreturnonstockAis17%.Ifnoarbitrageopportunitiesexist,therisk-freerateofreturnis.
A）6.0%
B）6.5%
C）6.8%
D）7.4%
ModerateRationale:
17%=x%+1.2（5%）+0.7（6%）;
x=6.8%.
17.Consideraone-factoreconomy.PortfolioAhasabetaof1.0onthefactorandportfolioBhasabetaof2.0onthefactor.TheexpectedreturnsonportfoliosAandBare11%and17%,respectively.Assumethattherisk-freerateis6%andthatarbitrageopportunitiesexist.Supposeyouinvested$100,000intherisk-freeasset,$100,000inportfolioB,andsoldshort$200,000ofportfolioA.Yourexpectedprofitfromthisstrategywouldbe.
A）-$1,000
B）$0
C）$1,000
D）$2,000
$100,000（0.06）=$6,000（risk-freeposition）;
$100,000（0.17）=$17,000（portfolioB）;
-$200,000（0.11）=-$22,000（shortposition,portfolioA）;
1,000profit.
18.Considertheone-factorAPT.Assumethattwoportfolios,AandB,arewelldiversified.ThebetasofportfoliosAandBare1.0and1.5,respectively.TheexpectedreturnsonportfoliosAandBare19%and24%,respectively.Assumingnoarbitrageopportunitiesexist,therisk-freerateofreturnmustbe.
A）4.0%
B）9.0%
C）14.0%
D）16.5%
19%=rf+1（F）;
24%=rf+1.5（F）;
5%=.5（F）;
24%=rf+1.5（10）;
ff=9%.
19.ConsiderthemultifactorAPT.Theriskpremiumsonthefactor1andfactor2portfoliosare5%and3%,respectively.Therisk-freerateofreturnis10%.StockAhasanexpectedreturnof19%andabetaonfactor1of0.8.StockAhasabetaonfactor2of
A）1.33
B）1.50
C）1.67
D）2.00
19%=10%+5%（0.8）+3%（x）;
x=1.67.
20.ConsiderthesinglefactorAPT.PortfoliosAandBhaveexpectedreturnsof14%and18%,respectively.Therisk-freerateofreturnis7%.PortfolioAhasabetaof0.7.Ifarbitrageopportunitiesareruledout,portfolioBmusthaveabetaof.
A）0.45
C）1.10
D）1.22
14%=7%+0.7F;
F=10;
18%=7%+10b;
b=1.10.
Usethefollowingtoanswerquestions21-24:
Therearethreestocks,A,B,andC.Youcaneitherinvestinthesestocksorshortsellthem.Therearethreepossiblestatesofnatureforeconomicgrowthintheupcomingyear;
economicgrowthmaybestrong,moderate,orweak.ThereturnsfortheupcomingyearonstocksA,B,andCforeachofthesestatesofnaturearegivenbelow:
Stock
StateofNature
StrongGrowth
ModerateGrowth
WeakGrowth
A
39%
17%
-5%
B
30%
15%
0%
C
6%
14%
22%
21.IfyouinvestedinanequallyweightedportfolioofstocksAandB,yourportfolioreturnwouldbeifeconomicgrowthweremoderate.
A）3.0%
B）14.5%
C）15.5%
D）16.0%
E（Rp）=0.5（17%）+0.5（15%）=16%.
22.IfyouinvestedinanequallyweightedportfolioofstocksAandC,yourportfolioreturnwouldbeifeconomicgrowthwasstrong.
A）17.0%
B）22.5%
C）30.0%
D）30.5%
0.5（39%）+0.5（6%）=22.5%.
23.IfyouinvestedinanequallyweightedportfolioofstocksBandC,yourportfolioreturnwouldbeifeconomicgrowthwasweak.
A）-2.5%
B）0.5%
C）3.0%
D）11.0%
0.5（0%）+0.5（22%）=11%.
24.Ifyouw
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