投资学课后答案APT

1、精品好资料学习推荐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 the

2、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.9.26%

3、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 are of

4、ten 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 provides n

5、o 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 premium

6、 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.A _

7、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 be ear

8、ned 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 factor

9、s 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; CAP

10、MB.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 opportuni

11、ty, 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 risk-

12、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 factor

13、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%. The st

14、andard 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 beta of

15、 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 3%. T

16、he 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 1 an

17、d 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 portf

18、olios 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 a bet

19、a 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 portfolio B

20、, 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 retu

21、rns 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 risk-

22、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 return is

23、 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 growth i

24、n 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 growth

25、 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 portfo

26、lio 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; CE.

27、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 the f

28、actor 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 of pr

29、ices 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 e

30、xample 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.minimizes the importance of diversificationC.recognizes multiple unsyste

31、matic risk factorsD.recognizes multiple systematic risk factorsE.places more emphasis on systematic risk34.The feature of the APT that offers the greatest potential advantage over the CAPM is the _.A.use of several factors instead of a single market index to explain the risk-return relationshipB.ide

32、ntification of anticipated changes in production, inflation, and term structure as key factors in explaining the risk-return relationshipC.superior measurement of the risk-free rate of return over historical time periodsD.variability of coefficients of sensitivity to the APT factors for a given asse

33、t over timeE.superior measurement of the risk-free rate of return over historical time periods and variability of coefficients of sensitivity to the APT factors for a given asset over time35.In terms of the risk/return relationship in the APTA.only factor risk commands a risk premium in market equil

34、ibrium.B.only systematic risk is related to expected returns.C.only nonsystematic risk is related to expected returns.D.only factor risk commands a risk premium in market equilibrium and only systematic risk is related to expected returns.E.only factor risk commands a risk premium in market equilibr

35、ium and only nonsystematic risk is related to expected returns.36.The following factors might affect stock returns:A.the business cycle.B.interest rate fluctuations.C.inflation rates.D.the business cycle, interest rate fluctuations, and inflation rates.E.the relationship between past FRED spreads.37

36、.Advantage(s) of the APT is(are)A.that the model provides specific guidance concerning the determination of the risk premiums on the factor portfolios.B.that the model does not require a specific benchmark market portfolio.C.that risk need not be considered.D.that the model provides specific guidanc

37、e concerning the determination of the risk premiums on the factor portfolios and that the model does not require a specific benchmark market portfolio.E.that the model does not require a specific benchmark market portfolio and that risk need not be considered.38.Portfolio A has expected return of 10

38、% and standard deviation of 19%. Portfolio B has expected return of 12% and standard deviation of 17%. Rational investors willA.borrow at the risk free rate and buy A.B.sell A short and buy B.C.sell B short and buy A.D.borrow at the risk free rate and buy B.E.lend at the risk free rate and buy B.39.

39、An important difference between CAPM and APT isA.CAPM depends on risk-return dominance; APT depends on a no arbitrage condition.B.CAPM assumes many small changes are required to bring the market back to equilibrium; APT assumes a few large changes are required to bring the market back to equilibrium

40、.C.implications for prices derived from CAPM arguments are stronger than prices derived from APT arguments.D.CAPM depends on risk-return dominance; APT depends on a no arbitrage condition, CAPM assumes many small changes are required to bring the market back to equilibrium; APT assumes a few large c

41、hanges are required to bring the market back to equilibrium, implications for prices derived from CAPM arguments are stronger than prices derived from APT arguments.E.CAPM depends on risk-return dominance; APT depends on a no arbitrage condition and assumes many small changes are required to bring t

42、he market back to equilibrium.40.A professional who searches for mispriced securities in specific areas such as merger-target stocks, rather than one who seeks strict (risk-free) arbitrage opportunities is engaged inA.pure arbitrage.B.risk arbitrage.C.option arbitrage.D.equilibrium arbitrage.E.cover

43、ed interest arbitrage.41.In the context of the Arbitrage Pricing Theory, as a well-diversified portfolio becomes larger its nonsystematic risk approachesA.one.B.infinity.C.zero.D.negative one.E.None of these is correct.42.A well-diversified portfolio is defined asA.one that is diversified over a lar

44、ge enough number of securities that the nonsystematic variance is essentially zero.B.one that contains securities from at least three different industry sectors.C.a portfolio whose factor beta equals 1.0.D.a portfolio that is equally weighted.E.a portfolio that is equally weighted and contains secur

45、ities from at least three different industry sectors.43.The APT requires a benchmark portfolioA.that is equal to the true market portfolio.B.that contains all securities in proportion to their market values.C.that need not be well-diversified.D.that is well-diversified and lies on the SML.E.that is

46、unobservable.44.Imposing the no-arbitrage condition on a single-factor security market implies which of the following statements?I) the expected return-beta relationship is maintained for all but a small number of well-diversified portfolios.II) the expected return-beta relationship is maintained fo

47、r all well-diversified portfolios.III) the expected return-beta relationship is maintained for all but a small number of individual securities.IV) the expected return-beta relationship is maintained for all individual securities.A.I and III are correct.B.I and IV are correct.C.II and III are correct

48、.D.II and IV are correct.E.Only I is correct.45.Consider a well-diversified portfolio, A, in a two-factor economy. The risk-free rate is 6%, the risk premium on the first factor portfolio is 4% and the risk premium on the second factor portfolio is 3%. If portfolio A has a beta of 1.2 on the first f

49、actor and .8 on the second factor, what is its expected return?A.7.0%B.8.0%C.9.2%D.13.0%E.13.2%46.The term arbitrage refers toA.buying low and selling high.B.short selling high and buying low.C.earning risk-free economic profits.D.negotiating for favorable brokerage fees.E.hedging your portfolio thr

50、ough the use of options.47.To take advantage of an arbitrage opportunity, an investor would I) construct a zero investment portfolio that will yield a sure profit.II) construct a zero beta investment portfolio that will yield a sure profit.III) make simultaneous trades in two markets without any net

51、 investment.IV) short sell the asset in the low-priced market and buy it in the high-priced market.A.I and IVB.I and IIIC.II and IIID.I, III, and IVE.II, III, and IV48.The factor F in the APT model representsA.firm-specific risk.B.the sensitivity of the firm to that factor.C.a factor that affects al

52、l security returns.D.the deviation from its expected value of a factor that affects all security returns.E.a random amount of return attributable to firm events.49.In the APT model, what is the nonsystematic standard deviation of an equally-weighted portfolio that has an average value of s(ei) equal

53、 to 25% and 50 securities?A.12.5%B.625%C.0.5%D.3.54%E.14.59%50.In the APT model, what is the nonsystematic standard deviation of an equally-weighted portfolio that has an average value of s(ei) equal to 20% and 20 securities?A.12.5%B.625%C.4.47%D.3.54%E.14.59%51.In the APT model, what is the nonsyst

54、ematic standard deviation of an equally-weighted portfolio that has an average value of s(ei) equal to 20% and 40 securities?A.12.5%B.625%C.0.5%D.3.54%E.3.16%52.In the APT model, what is the nonsystematic standard deviation of an equally-weighted portfolio that has an average value of s(ei) equal to

55、 18% and 250 securities?A.1.14%B.625%C.0.5%D.3.54%E.3.16%53.Which of the following is true about the security market line (SML) derived from the APT?A.The SML has a downward slope.B.The SML for the APT shows expected return in relation to portfolio standard deviation.C.The SML for the APT has an intercept equal to the expected return on