投资学课后答案APTWord格式.docx

1、3%4%7.75%9.75%3.In a multi-factor APT model, the coefficients on the macro factors are often called _.systemic riskfactor sensitivitiesidiosyncratic riskfactor betasboth factor sensitivities and factor betas4.firm-specific riskunique risk5.factor loadings6.Which pricing model provides no guidance co

2、ncerning the determination of the risk premium on factor portfolios?The CAPMThe multifactor APTBoth the CAPM and the multifactor APTNeither the CAPM nor the multifactor APTNo pricing model currently exists that provides guidance concerning the determination of the risk premium on any portfolio7.An a

3、rbitrage opportunity exists if an investor can construct a _ investment portfolio that will yield a sure profit.small positivesmall negativezerolarge positivelarge negative8.The APT was developed in 1976 by _.LintnerModigliani and MillerRossSharpeFama9.A _ portfolio is a well-diversified portfolio c

4、onstructed to have a beta of 1 on one of the factors and a beta of 0 on any other factor.factormarketindexfactor and marketfactor, market, and index10.The exploitation of security mispricing in such a way that risk-free economic profits may be earned is called _.arbitragecapital asset pricingfactori

5、ngfundamental analysistechnical analysis11.In developing the APT, Ross assumed that uncertainty in asset returns was a result ofa common macroeconomic factor.firm-specific factors.pricing error.neither common macroeconomic factors nor firm-specific factors.both common macroeconomic factors and firm-

6、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.APT; CAPM OPMCAPM; APTAPT and OPM;13.Consider a single factor APT. Portfolio A has

7、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 BB; the r

8、iskless asset14.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

9、 in portfolio _ and a long position in portfolio _.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 approx

10、imately _.3.6%6.0%7.3%10.1%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 _.0.801.131.251.560.9317.Consider the single-fac

11、tor 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 _.0.671.001.301.690.7518.Consider the multifactor APT with two factors. Stock A has an expected r

12、eturn of 16.4%, a beta of 1.4 on factor 1 and a beta of .8 on factor 2. The risk premium on the factor 1 portfolio is 3%. The risk-free rate of return is 6%. What is the risk-premium on factor 2 if no arbitrage opportunities exit?2%6.89%19.Consider the multifactor model APT with two factors. Portfol

13、io A has a beta of 0.75 on factor 1 and a beta of 1.25 on factor 2. The risk premiums on the factor 1 and factor 2 portfolios are 1% and 7%, respectively. The risk-free rate of return is 7%. The expected return on portfolio A is _ if no arbitrage opportunities exist.13.5%15.0%16.5%23.0%18.7%20.Consi

14、der the multifactor APT with two factors. The risk premiums on the factor 1 and factor 2 portfolios are 5% and 6%, respectively. Stock A has a beta of 1.2 on factor 1, and a beta of 0.7 on factor 2. The expected return on stock A is 17%. If no arbitrage opportunities exist, the risk-free rate of ret

15、urn is _.6.5%6.8%7.4%7.7%21.Consider a one-factor economy. Portfolio A has a beta of 1.0 on the factor and portfolio B has a beta of 2.0 on the factor. The expected returns on portfolios A and B are 11% and 17%, respectively. Assume that the risk-free rate is 6% and that arbitrage opportunities exis

16、t. Suppose you invested $100,000 in the risk-free asset, $100,000 in portfolio B, and sold short $200,000 of portfolio A. Your expected profit from this strategy would be _.$1,000$0$1,000$2,000$1,60022.Consider the one-factor APT. Assume that two portfolios, A and B, are well diversified. The betas

17、of portfolios A and B are 1.0 and 1.5, respectively. The expected returns on portfolios A and B are 19% and 24%, respectively. Assuming no arbitrage opportunities exist, the risk-free rate of return must be _.4.0%9.0%14.0%8.2%23.Consider the multifactor APT. The risk premiums on the factor 1 and fac

18、tor 2 portfolios are 5% and 3%, respectively. The risk-free rate of return is 10%. Stock A has an expected return of 19% and a beta on factor 1 of 0.8. Stock A has a beta on factor 2 of _.1.331.501.672.001.7324.Consider the single factor APT. Portfolios A and B have expected returns of 14% and 18%,

19、respectively. The risk-free rate of return is 7%. Portfolio A has a beta of 0.7. If arbitrage opportunities are ruled out, portfolio B must have a beta of _.0.451.101.22There are three stocks, A, B, and C. You can either invest in these stocks or short sell them. There are three possible states of n

20、ature for economic growth in the upcoming year; economic growth may be strong, moderate, or weak. The returns for the upcoming year on stocks A, B, and C for each of these states of nature are given below:25.If you invested in an equally weighted portfolio of stocks A and B, your portfolio return wo

21、uld be _ if economic growth were moderate.3.0%14.5%15.5%16.0%17.0%26.If you invested in an equally weighted portfolio of stocks A and C, your portfolio return would be _ if economic growth was strong.22.5%30.0%30.5%25.6%27.If you invested in an equally weighted portfolio of stocks B and C, your port

22、folio return would be _ if economic growth was weak.2.5%0.5%11.0%28.If you wanted to take advantage of a risk-free arbitrage opportunity, you should take a short position in _ and a long position in an equally weighted portfolio of _. B and C A and CC; A and BA and B; CConsider the multifactor APT.

23、There are two independent economic factors, F1and F2. The risk-free rate of return is 6%. The following information is available about two well-diversified portfolios:29.Assuming no arbitrage opportunities exist, the risk premium on the factor F1portfolio should be _.5%6%30.Assuming no arbitrage opp

24、ortunities exist, the risk premium on the factor F2 portfolio should be _.31.A zero-investment portfolio with a positive expected return arises when _.an investor has downside risk onlythe law of prices is not violatedthe opportunity set is not tangent to the capital allocation linea risk-free arbit

25、rage opportunity existsa risk-free arbitrage opportunity does not exist32.An investor will take as large a position as possible when an equilibrium price relationship is violated. This is an example of _.a dominance argumentthe mean-variance efficiency frontiera risk-free arbitragethe capital asset pricing modelthe SML33.The APT differs from the CAPM because the APT _.places more emphasis on market riskminimi