投资学第7版TestBank答案10.docx

1、投资学第7版TestBank答案10Multiple Choice Questions 1. _ a relationship between expected return and risk. A) APT stipulates B) CAPM stipulates C) Both CAPM and APT stipulate D) Neither CAPM nor APT stipulate E) No pricing model has found Answer: C Difficulty: Easy Rationale: Both models attempt to explain a

2、sset pricing based on risk/return relationships. 2. Which pricing model provides no guidance concerning the determination of the risk premium on factor portfolios? A) The CAPM B) The multifactor APT C) Both the CAPM and the multifactor APT D) Neither the CAPM nor the multifactor APT E) None of the a

3、bove is a true statement. Answer: B Difficulty: Moderate Rationale: The multifactor APT provides no guidance as to the determination of the risk premium on the various factors. The CAPM assumes that the excess market return over the risk-free rate is the market premium in the single factor CAPM. 3.

4、An arbitrage opportunity exists if an investor can construct a _ investment portfolio that will yield a sure profit. A) positive B) negative C) zero D) all of the above E) none of the above Answer: C Difficulty: Easy Rationale: If the investor can construct a portfolio without the use of the investo

5、rs own funds and the portfolio yields a positive profit, arbitrage opportunities exist. 4. The APT was developed in 1976 by _. A) Lintner B) Modigliani and Miller C) Ross D) Sharpe E) none of the above Answer: C Difficulty: Easy Rationale: Ross developed this model in 1976. 5. A _ portfolio is a wel

6、l-diversified portfolio constructed to have a beta of 1 on one of the factors and a beta of 0 on any other factor. A) factor B) market C) index D) A and B E) A, B, and C Answer: A Difficulty: Easy Rationale: A factor model portfolio has a beta of 1 one factor, with zero betas on other factors. 6. Th

7、e exploitation of security mispricing in such a way that risk-free economic profits may be earned is called _. A) arbitrage B) capital asset pricing C) factoring D) fundamental analysis E) none of the above Answer: A Difficulty: Easy Rationale: Arbitrage is earning of positive profits with a zero (r

8、isk-free) investment. 7. 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 A nor B E) both A and B Answer: E Difficulty: Moderate Rationale: Total risk (uncertainty) is assumed t

9、o be composed of both macroeconomic and firm-specific factors. 8. 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, CAPM B) APT, OPM C) CAPM, AP

10、T D) CAPM, OPM E) none of the above Answer: C Difficulty: Moderate Rationale: The CAPM is an asset-pricing model based on the risk/return relationship of all assets. The APT implies that this relationship holds for all well-diversified portfolios, and for all but perhaps a few individual securities.

11、 9. 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 _

12、 and a long position in portfolio _. A) A, A B) A, B C) B, A D) B, B E) A, the riskless asset Answer: C Difficulty: Moderate Rationale: A: 16% = 1.0F + 6%; F = 10%; B: 12% = 0.8F + 6%: F = 7.5%; thus, short B and take a long position in A. 10. Consider the single factor APT. Portfolio A has a beta o

13、f 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, A B) A, B C) B

14、, A D) B, B E) none of the above Answer: C Difficulty: Moderate Rationale: A: 13% = 10% + 0.2F; F = 15%; B: 15% = 10% + 0.4F; F = 12.5%; therefore, short B and take a long position in A. 11. Consider the one-factor APT. The variance of returns on the factor portfolio is 6%. The beta of a well-divers

15、ified 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) none of the above Answer: C Difficulty: Moderate Rationale: s2P = (1.1)2(6%) = 7.26%. 12. Consider the one-factor APT. The standard deviation of ret

16、urns 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) 0.80 B) 1.13 C) 1.25 D) 1.56 E) none of the above Answer: B Difficulty: Moderate Rationale: (18%)2 = (16%)2 b2; b = 1.125. 13. Conside

17、r 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) 0.67 B) 1.00 C) 1.30 D) 1.69 E) none of the above Answer: E Difficulty: Mod

18、erate Rationale: A: 15% = 6% + bF; B: 8% = 6% + 1.0F; F = 12%; thus, beta of A = 9/12 = 0.75. 14. 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 factor 2. The risk premium on the factor 1 portfolio is 3%. The risk

19、-free rate of return is 6%. What is the risk-premium on factor 2 if no arbitrage opportunities exit? A) 2% B) 3% C) 4% D) 7.75% E) none of the above Answer: D Difficulty: Difficult Rationale: 16.4% = 1.4(3%) + .8x + 6%; x = 7.75. 15. Consider the multifactor model APT with two factors. Portfolio A h

20、as 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. A) 13.5% B) 15.0% C) 16.5% D) 23.0% E)

21、none of the above Answer: C Difficulty: Moderate Rationale: 7% + 0.75(1%) + 1.25(7%) = 16.5%. 16. Consider 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

22、. The expected return on stock A is 17%. If no arbitrage opportunities exist, the risk-free rate of return is _. A) 6.0% B) 6.5% C) 6.8% D) 7.4% E) none of the above Answer: C Difficulty: Moderate Rationale: 17% = x% + 1.2(5%) + 0.7(6%); x = 6.8%. 17. Consider a one-factor economy. Portfolio A has a

23、 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 exist. Suppose you invested $100,000 in the risk-free asset, $100,000 in portfol

24、io B, and sold short $200,000 of portfolio A. Your expected profit from this strategy would be _. A) -$1,000 B) $0 C) $1,000 D) $2,000 E) none of the above Answer: C Difficulty: Moderate Rationale: $100,000(0.06) = $6,000 (risk-free position); $100,000(0.17) = $17,000 (portfolio B); -$200,000(0.11)

25、= -$22,000 (short position, portfolio A); 1,000 profit. 18. Consider the one-factor APT. Assume that two portfolios, A and B, are well diversified. The betas 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 arb

26、itrage opportunities exist, the risk-free rate of return must be _. A) 4.0% B) 9.0% C) 14.0% D) 16.5% E) none of the above Answer: B Difficulty: 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. Consider the multifactor APT. The risk p

27、remiums on the factor 1 and factor 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 _. A) 1.33 B) 1.50 C) 1.67 D) 2.00 E) none of the above Answer: C Difficulty: Moder

28、ate Rationale: 19% = 10% + 5%(0.8) + 3%(x); x = 1.67. 20. Consider the single factor APT. Portfolios A and B have expected returns of 14% and 18%, 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 o

29、f _. A) 0.45 B) 1.00 C) 1.10 D) 1.22 E) none of the above Answer: C Difficulty: Moderate Rationale: A: 14% = 7% + 0.7F; F = 10; B: 18% = 7% + 10b; b = 1.10.Use the following to answer questions 21-24:There are three stocks, A, B, and C. You can either invest in these stocks or short sell them. There

30、 are three possible states of nature 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: 21. If you invested in an equally weighted portfolio of stocks

31、A and B, your portfolio return would be _ if economic growth were moderate. A) 3.0% B) 14.5% C) 15.5% D) 16.0% E) none of the above Answer: D Difficulty: Easy Rationale: E(Rp) = 0.5(17%) + 0.5(15%) = 16%. 22. If you invested in an equally weighted portfolio of stocks A and C, your portfolio return would be