投资学第7版TestBank答案10.docx
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投资学第7版TestBank答案10
MultipleChoiceQuestions
1.___________arelationshipbetweenexpectedreturnandrisk.
A）APTstipulates
B）CAPMstipulates
C）BothCAPMandAPTstipulate
D）NeitherCAPMnorAPTstipulate
E）Nopricingmodelhasfound
Answer:
CDifficulty:
Easy
Rationale:
Bothmodelsattempttoexplainassetpricingbasedonrisk/returnrelationships.
2.Whichpricingmodelprovidesnoguidanceconcerningthedeterminationoftheriskpremiumonfactorportfolios?
A）TheCAPM
B）ThemultifactorAPT
C）BoththeCAPMandthemultifactorAPT
D）NeithertheCAPMnorthemultifactorAPT
E）Noneoftheaboveisatruestatement.
Answer:
BDifficulty:
Moderate
Rationale:
ThemultifactorAPTprovidesnoguidanceastothedeterminationoftheriskpremiumonthevariousfactors.TheCAPMassumesthattheexcessmarketreturnovertherisk-freerateisthemarketpremiuminthesinglefactorCAPM.
3.Anarbitrageopportunityexistsifaninvestorcanconstructa__________investmentportfoliothatwillyieldasureprofit.
A）positive
B）negative
C）zero
D）alloftheabove
E）noneoftheabove
Answer:
CDifficulty:
Easy
Rationale:
Iftheinvestorcanconstructaportfoliowithouttheuseoftheinvestor'sownfundsandtheportfolioyieldsapositiveprofit,arbitrageopportunitiesexist.
4.TheAPTwasdevelopedin1976by____________.
A）Lintner
B）ModiglianiandMiller
C）Ross
D）Sharpe
E）noneoftheabove
Answer:
CDifficulty:
Easy
Rationale:
Rossdevelopedthismodelin1976.
5.A_________portfolioisawell-diversifiedportfolioconstructedtohaveabetaof1ononeofthefactorsandabetaof0onanyotherfactor.
A）factor
B）market
C）index
D）AandB
E）A,B,andC
Answer:
ADifficulty:
Easy
Rationale:
Afactormodelportfoliohasabetaof1onefactor,withzerobetasonotherfactors.
6.Theexploitationofsecuritymispricinginsuchawaythatrisk-freeeconomicprofitsmaybeearnediscalled___________.
A）arbitrage
B）capitalassetpricing
C）factoring
D）fundamentalanalysis
E）noneoftheabove
Answer:
ADifficulty:
Easy
Rationale:
Arbitrageisearningofpositiveprofitswithazero（risk-free）investment.
7.IndevelopingtheAPT,Rossassumedthatuncertaintyinassetreturnswasaresultof
A）acommonmacroeconomicfactor
B）firm-specificfactors
C）pricingerror
D）neitherAnorB
E）bothAandB
Answer:
EDifficulty:
Moderate
Rationale:
Totalrisk（uncertainty）isassumedtobecomposedofbothmacroeconomicandfirm-specificfactors.
8.The____________providesanunequivocalstatementontheexpectedreturn-betarelationshipforallassets,whereasthe_____________impliesthatthisrelationshipholdsforallbutperhapsasmallnumberofsecurities.
A）APT,CAPM
B）APT,OPM
C）CAPM,APT
D）CAPM,OPM
E）noneoftheabove
Answer:
CDifficulty:
Moderate
Rationale:
TheCAPMisanasset-pricingmodelbasedontherisk/returnrelationshipofallassets.TheAPTimpliesthatthisrelationshipholdsforallwell-diversifiedportfolios,andforallbutperhapsafewindividualsecurities.
9.ConsiderasinglefactorAPT.PortfolioAhasabetaof1.0andanexpectedreturnof16%.PortfolioBhasabetaof0.8andanexpectedreturnof12%.Therisk-freerateofreturnis6%.Ifyouwantedtotakeadvantageofanarbitrageopportunity,youshouldtakeashortpositioninportfolio__________andalongpositioninportfolio_______.
A）A,A
B）A,B
C）B,A
D）B,B
E）A,therisklessasset
Answer:
CDifficulty:
Moderate
Rationale:
A:
16%=1.0F+6%;F=10%;B:
12%=0.8F+6%:
F=7.5%;thus,shortBandtakealongpositioninA.
10.ConsiderthesinglefactorAPT.PortfolioAhasabetaof0.2andanexpectedreturnof13%.PortfolioBhasabetaof0.4andanexpectedreturnof15%.Therisk-freerateofreturnis10%.Ifyouwantedtotakeadvantageofanarbitrageopportunity,youshouldtakeashortpositioninportfolio_________andalongpositioninportfolio_________.
A）A,A
B）A,B
C）B,A
D）B,B
E）noneoftheabove
Answer:
CDifficulty:
Moderate
Rationale:
A:
13%=10%+0.2F;F=15%;B:
15%=10%+0.4F;F=12.5%;therefore,shortBandtakealongpositioninA.
11.Considertheone-factorAPT.Thevarianceofreturnsonthefactorportfoliois6%.Thebetaofawell-diversifiedportfolioonthefactoris1.1.Thevarianceofreturnsonthewell-diversifiedportfolioisapproximately__________.
A）3.6%
B）6.0%
C）7.3%
D）10.1%
E）noneoftheabove
Answer:
CDifficulty:
Moderate
Rationale:
s2P=（1.1）2（6%）=7.26%.
12.Considertheone-factorAPT.Thestandarddeviationofreturnsonawell-diversifiedportfoliois18%.Thestandarddeviationonthefactorportfoliois16%.Thebetaofthewell-diversifiedportfolioisapproximately__________.
A）0.80
B）1.13
C）1.25
D）1.56
E）noneoftheabove
Answer:
BDifficulty:
Moderate
Rationale:
（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
E）noneoftheabove
Answer:
EDifficulty:
Moderate
Rationale:
A:
15%=6%+bF;B:
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%
E）noneoftheabove
Answer:
DDifficulty:
Difficult
Rationale:
16.4%=1.4（3%）+.8x+6%;x=7.75.
15.ConsiderthemultifactormodelAPTwithtwofactors.PortfolioAhasabetaof0.75onfactor1andabetaof1.25onfactor2.Theriskpremiumsonthefactor1andfactor2portfoliosare1%and7%,respectively.Therisk-freerateofreturnis7%.TheexpectedreturnonportfolioAis__________ifnoarbitrageopportunitiesexist.
A）13.5%
B）15.0%
C）16.5%
D）23.0%
E）noneoftheabove
Answer:
CDifficulty:
Moderate
Rationale:
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%
E）noneoftheabove
Answer:
CDifficulty:
Moderate
Rationale:
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
E）noneoftheabove
Answer:
CDifficulty:
Moderate
Rationale:
$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%
E）noneoftheabove
Answer:
BDifficulty:
Moderate
Rationale:
A:
19%=rf+1（F）;B:
24%=rf+1.5（F）;5%=.5（F）;F=10%;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
E）noneoftheabove
Answer:
CDifficulty:
Moderate
Rationale:
19%=10%+5%（0.8）+3%（x）;x=1.67.
20.ConsiderthesinglefactorAPT.PortfoliosAandBhaveexpectedreturnsof14%and18%,respectively.Therisk-freerateofreturnis7%.PortfolioAhasabetaof0.7.Ifarbitrageopportunitiesareruledout,portfolioBmusthaveabetaof__________.
A）0.45
B）1.00
C）1.10
D）1.22
E）noneoftheabove
Answer:
CDifficulty:
Moderate
Rationale:
A:
14%=7%+0.7F;F=10;B:
18%=7%+10b;b=1.10.
Usethefollowingtoanswerquestions21-24:
Therearethreestocks,A,B,andC.Youcaneitherinvestinthesestocksorshortsellthem.Therearethreepossiblestatesofnatureforeconomicgrowthintheupcomingyear;economicgrowthmaybestrong,moderate,orweak.ThereturnsfortheupcomingyearonstocksA,B,andCforeachofthesestatesofnaturearegivenbelow:
21.IfyouinvestedinanequallyweightedportfolioofstocksAandB,yourportfolioreturnwouldbe___________ifeconomicgrowthweremoderate.
A）3.0%
B）14.5%
C）15.5%
D）16.0%
E）noneoftheabove
Answer:
DDifficulty:
Easy
Rationale:
E（Rp）=0.5（17%）+0.5（15%）=16%.
22.IfyouinvestedinanequallyweightedportfolioofstocksAandC,yourportfolioreturnwouldbe
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