投资学课后答案APT资料讲解.docx

1、投资学课后答案APT资料讲解Chapter 10Arbitrage Pricing Theory and Multifactor Models of Risk and Return Multiple Choice Questions1._ a relationship between expected return and risk.A.APT stipulatesB.CAPM stipulatesC.Both CAPM and APT stipulateD.Neither CAPM nor APT stipulateE.No pricing model has found2.Consider

2、 the multifactor APT with two factors. Stock A has an expected return of 17.6%, a beta of 1.45 on factor 1 and a beta of .86 on factor 2. The risk premium on the factor 1 portfolio is 3.2%. The risk-free rate of return is 5%. What is the risk-premium on factor 2 if no arbitrage opportunities exit?A.

3、9.26%B.3%C.4%D.7.75%E.9.75%3.In a multi-factor APT model, the coefficients on the macro factors are often called _.A.systemic riskB.factor sensitivitiesC.idiosyncratic riskD.factor betasE.both factor sensitivities and factor betas4.In a multi-factor APT model, the coefficients on the macro factors a

4、re often called _.A.systemic riskB.firm-specific riskC.idiosyncratic riskD.factor betasE.unique risk5.In a multi-factor APT model, the coefficients on the macro factors are often called _.A.systemic riskB.firm-specific riskC.idiosyncratic riskD.factor loadingsE.unique risk6.Which pricing model provi

5、des no guidance concerning the determination of the risk premium on factor portfolios?A.The CAPMB.The multifactor APTC.Both the CAPM and the multifactor APTD.Neither the CAPM nor the multifactor APTE.No pricing model currently exists that provides guidance concerning the determination of the risk pr

6、emium on any portfolio7.An arbitrage opportunity exists if an investor can construct a _ investment portfolio that will yield a sure profit.A.small positiveB.small negativeC.zeroD.large positiveE.large negative8.The APT was developed in 1976 by _.A.LintnerB.Modigliani and MillerC.RossD.SharpeE.Fama9

7、.A _ portfolio is a well-diversified portfolio constructed to have a beta of 1 on one of the factors and a beta of 0 on any other factor.A.factorB.marketC.indexD.factor and marketE.factor, market, and index10.The exploitation of security mispricing in such a way that risk-free economic profits may b

8、e earned is called _.A.arbitrageB.capital asset pricingC.factoringD.fundamental analysisE.technical analysis11.In developing the APT, Ross assumed that uncertainty in asset returns was a result ofA.a common macroeconomic factor.B.firm-specific factors.C.pricing error.D.neither common macroeconomic f

9、actors nor firm-specific factors.E.both common macroeconomic factors and firm-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.A.APT

10、; CAPMB.APT; OPMC.CAPM; APTD.CAPM; OPME.APT and OPM; CAPM13.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 oppo

11、rtunity, you should take a short position in portfolio _ and a long position in portfolio _.A.A; AB.A; BC.B; AD.B; BE.A; the riskless 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

12、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; AB.A; BC.B; AD.B; BE.No arbitrage opportunity exists.15.Consider the one-factor APT. The variance of returns on the fa

13、ctor 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 approximately _.A.3.6%B.6.0%C.7.3%D.10.1%E.8.6%16.Consider the one-factor APT. The standard deviation of returns on a well-diversified portfolio is 18%. T

14、he standard deviation on the factor portfolio is 16%. The beta of the well-diversified portfolio is approximately _.A.0.80B.1.13C.1.25D.1.56E.0.9317.Consider 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 be

15、ta of 1.0. If arbitrage opportunities are ruled out, stock A has a beta of _.A.0.67B.1.00C.1.30D.1.69E.0.7518.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

16、3%. The risk-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.6.89%19.Consider the multifactor model APT with two factors. Portfolio 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

17、 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.18.7%20.Consider the multifactor APT with two factors. The risk premiums on the factor 1 and factor 2

18、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 return is _.A.6.0%B.6.5%C.6.8%D.7.4%E.7.7%21.Consider a one-factor economy. Portfolio A has

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

20、lio B, and sold short $200,000 of portfolio A. Your expected profit from this strategy would be _.A.$1,000B.$0C.$1,000D.$2,000E.$1,60022.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

21、 returns on portfolios A and B are 19% and 24%, respectively. Assuming no arbitrage opportunities exist, the risk-free rate of return must be _.A.4.0%B.9.0%C.14.0%D.16.5%E.8.2%23.Consider the multifactor APT. The risk premiums on the factor 1 and factor 2 portfolios are 5% and 3%, respectively. The

22、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.1.33B.1.50C.1.67D.2.00E.1.7324.Consider the single factor APT. Portfolios A and B have expected returns of 14% and 18%, respectively. The risk-free rate of retu

23、rn is 7%. Portfolio A has a beta of 0.7. If arbitrage opportunities are ruled out, portfolio B must have a beta of _.A.0.45B.1.00C.1.10D.1.22E.1.33There are three stocks, A, B, and C. You can either invest in these stocks or short sell them. There are three possible states of nature for economic gro

24、wth 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 would be _ if economic g

25、rowth were moderate.A.3.0%B.14.5%C.15.5%D.16.0%E.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.A.17.0%B.22.5%C.30.0%D.30.5%E.25.6%27.If you invested in an equally weighted portfolio of stocks B and C, your p

26、ortfolio return would be _ if economic growth was weak.A.2.5%B.0.5%C.3.0%D.11.0%E.9.0%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 _.A.A; B and CB.B; A and CC.C; A and BD.A and B

27、; CE.No arbitrage opportunity exists.Consider the multifactor APT. 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

28、the factor F1portfolio should be _.A.3%B.4%C.5%D.6%E.2%30.Assuming no arbitrage opportunities exist, the risk premium on the factor F2 portfolio should be _.A.3%B.4%C.5%D.6%E.2%31.A zero-investment portfolio with a positive expected return arises when _.A.an investor has downside risk onlyB.the law

29、of prices is not violatedC.the opportunity set is not tangent to the capital allocation lineD.a risk-free arbitrage opportunity existsE.a 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.a dominance argumentB.the mean-variance efficiency frontierC.a risk-free arbitrageD.the capital asset pricing modelE.the SML33.The APT differs from the CAPM because the APT _.A.places more emphasis on market riskB.mi