投資學(xué)課后答案解析APT

1、WORD格式可編輯Chapter 10Arbitrage Pricing Theory and Multifactor Models of Risk and ReturnMultiple 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 APTwith 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.

3、26%B. 3%C. 4%D. 7.75%E. 9.75%3. In a multi-factor APTmodel, 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 APTmodel, the coefficients on the macro fac

4、tors are often called .A. systemic riskB. firm-specific riskC. idiosyncratic riskD. factor betasE. unique risk專業(yè)知識(shí)整理分享5. In a multi-factor APTmodel, the coefficients on the macro factors are often called .A. systemic riskB. firm-specific riskC. idiosyncratic riskD. factor loadingsE. unique risk6. Wh

5、ich pricing model provides 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

6、determination of the risk premium 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. Modiglian

7、i and MillerC. RossD. SharpeE. Fama9. A portfolio is a well-diversified portfolio constructed to havea 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 w

8、ay that risk-free economic profits may be 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

9、. pricing error.D. neither common macroeconomic factors nor firm-specific factors.E. both common macroeconomic factors and firm-specific factors.12. The provides an unequivocal statement on the expectedreturn-beta relationship for all assets, whereas the implies thatthis relationship holds for all b

10、ut perhaps a small number of securities.A. APT; 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 ofreturn is 6%. If

11、 you wanted to take advantage of anarbitrageopportunity, you should take a short position in portfolio and a longposition in portfolio .A. B. C. D.A A B BA B A BE.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

12、 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 longposition in portfolio .A. A; AB. A; BC. B; AD. B; BE. No arbitrage opportunity exists.15. Consider the one-

13、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 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

14、 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.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

15、. 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 ofA. 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

16、 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?A. 2%B. 3%C. 4%D. 7.75%E. 6.89%19. Consider the multifactor model APTwith two factors. Portfolio A has a beta of 0.75 on factor 1 a

17、nd a beta of 1.25 on factor 2. The risk premiums on thefactor 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 arbitrageopportunities exist.A. 13.5%B. 15.0%C. 16.5%D. 23.0%E. 18.7%20. Consider the multifactor APT wi

18、th two factors. The risk premiums on thefactor 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 stockA is 17%. If no arbitrage opportunities exist, the risk-free rate of return isA. 6.0%B. 6.5%C. 6.8%D.

19、 7.4%E. 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 exist. Suppose y

20、ou invested $100,000 in the risk-free asset, $100,000 in portfolio B, and sold short $200,000 of portfolioA. Your expected profit from this strategy would be .A. - $1,000B. $0C. $1,000D. $2,000E. $1,60022. Consider the one-factor APT. Assumethat two portfolios, A and B, are well diversified. The bet

21、as 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 beA. 4.0%B. 9.0%C. 14.0%D. 16.5%E. 8.2%23. Consider the multifactor APT. The risk premiums on

22、 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. 1.33B. 1.50C. 1.67D. 2.00E. 1.7324. Consider the single factor APT. Portfolios A and B hav

23、e 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 of .A. 0.45B. 1.00C. 1.10D. 1.22E. 1.33WORD格式可編輯There are three stocks, A, B, and C. You can either invest in the

24、se stocksor short sell them. There 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 statesof nature are given below:StMe of NatiweShying GrmvthA lo

25、d urn tu (JrcnvthWeak: GrovdhA39%17%BC30%15%0%14%22%25. If you invested in an equally weighted portfolio of stocks 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. 17.0%26. If you invested in an equally weighted portfolio of stocks A and C, y

26、our 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 portfolio return would be if economic growth was weak.A. - 2.5%B. 0.5%C. 3.0%D. 11.0%E. 9.0%專業(yè)知識(shí)整理分享28. If you wanted to ta

27、ke advantage of a risk-free arbitrage opportunity, you should take a short position in and a long position in an equallyweighted portfolio of.A. A; B and CB. B; A and CC. C;A and BD. A and B; CE. No arbitrage opportunity exists.Consider the multifactor APT. There are two independent economic factors

28、,FandF2. The risk-free rate of return is 6%. The following information is available about two well-diversified portfolios:Pcrtt日 linP on F on F2Ex口匕ct eI ReturnALO2.0L9%JB2.00,012%29. Assuming no arbitrage opportunities portfolio should be.exist, the riskpremium on the factorA.B.C.D.E.3%4%5%6%2%30.A

29、ssuming no arbitrage opportunitiesexist, the riskpremium on the factorA.B.C.D.E.F2 portfolio should be 3%4%5%6%2%31. A zero-investment portfolio with a positive expected return arises whenA. an investor has downside risk onlyB. the law of prices is not violatedC. the opportunity set is not tangent t

30、o 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

31、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 unsystematic risk factorsD. recognizes multiple systemat

32、ic risk factorsE. places more emphasis on systematic riskWORD格式可編輯34. 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. identification of anticipated changes i

33、n 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 asset over timeE. superior measurement

34、 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 time專業(yè)知識(shí)整理分享35. In terms of the risk/return relationship in the APTA. only factor risk commands a risk premium in market equilibrium.B. only systemat

35、ic 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 equilibrium and only nonsys

36、tematic 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. Advantage(s

37、) 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 guidance concer

38、ning 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% and

39、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.

40、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 equilibri

41、um.C. implications for prices derived from CAPMarguments are stronger than prices derived from APT arguments.D. CAPM depends on risk-return dominance; APT depends on a no arbitrage condition, CAPMassumesmanysmall changes are required to bring the market back to equilibrium; APTassumes a few large ch

42、anges 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

43、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.

44、 covered 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 diversif

45、ied over a large 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

46、and contains securities 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 lie

47、s on the SML.E. that is 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.J. ) the expected return-beta rel

48、ationship is maintained for all well-diversified portfolios.K. I) the expected return-beta relationship is maintained for all but a small number of individual securities.L. ) the expected return-beta relationship is maintained for all individual securities.M. I and III are correct.N. I and IV are co

49、rrect.O. II and III are correct.P. II and IV are correct.Q. 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

50、A has a beta of 1.2 on the first factor 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 f

51、or favorable brokerage fees.E. hedging your portfolio through 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.II

52、I) make simultaneous trades in two markets without any net 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

53、 sensitivity of the firm to that factor.C. a factor that affects all security returns.securityD. the deviation from its expected value of a factor that affects all returns.E. a random amount of return attributable to firm events.WORD格式可編輯專業(yè)知識(shí)整理分享49. In the APT model, what is the nonsystematic standa

54、rd deviation of an equally-weighted portfolio that has an average value of二(e i) equal to 25% and50 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二(e i) equal to 20% an

55、d20 securities?A. 12.5%B. 625%C. 4.47%D. 3.54%E. 14.59%51. In the APT model, what is the nonsystematic standard deviation of an二(e i) equal to 20% andequally-weighted portfolio that has an average value of 40 securities?A. 12.5%B. 625%C. 0.5%D. 3.54%E. 3.16%52. In the APT model, what is the nonsyste

56、matic standard deviation of an equally-weighted portfolio that has an average value of二(e i) equal to 18% and250 securities?A. 1.14%B. 625%C. 0.5%D. 3.54%E. 3.16%WORD格式可編輯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. T

57、he SMLfor the APTshows expected return in relation to portfolio standard deviation.C. The SML for the APT has an intercept equal to the expected return on the market portfolio.D. The benchmark portfolio for the SML may be any well-diversified portfolio.E. The SML is not relevant for the APT.54. Which of the following is false about the security market