投资学 (博迪) 第10版课后习题答案10 Investments 10th Edition Textbook Solutions Chapter 10.pdf

《投资学 (博迪) 第10版课后习题答案10 Investments 10th Edition Textbook Solutions Chapter 10.pdf》由会员上传分享，免费在线阅读，更多相关内容在教育资源-天天文库。

1、Chapter10-ArbitragePricingTheoryandMultifactorModelsofRiskandReturnCHAPTER10:ARBITRAGEPRICINGTHEORYANDMULTIFACTORMODELSOFRISKANDRETURNPROBLEMSETS1.Therevisedestimateoftheexpectedrateofreturnonthestockwouldbetheoldestimateplusthesumoftheproductsoftheu

2、nexpectedchangeineachfactortimestherespectivesensitivitycoefficient:Revisedestimate=12%+[(1×2%)+(0.5×3%)]=15.5%NotethattheIPestimateiscomputedas:1×(5%-3%),andtheIRestimateiscomputedas:0.5×(8%-5%).2.TheAPTfactorsmustcorrelatewithmajorsourcesofuncertai

3、nty,i.e.,sourcesofuncertaintythatareofconcerntomanyinvestors.Researchersshouldinvestigatefactorsthatcorrelatewithuncertaintyinconsumptionandinvestmentopportunities.GDP,theinflationrate,andinterestratesareamongthefactorsthatcanbeexpectedtodetermineris

4、kpremiums.Inparticular,industrialproduction(IP)isagoodindicatorofchangesinthebusinesscycle.Thus,IPisacandidateforafactorthatishighlycorrelatedwithuncertaintiesthathavetodowithinvestmentandconsumptionopportunitiesintheeconomy.3.Anypatternofreturnscanb

5、eexplainedifwearefreetochooseanindefinitelylargenumberofexplanatoryfactors.Ifatheoryofassetpricingistohavevalue,itmustexplainreturnsusingareasonablylimitednumberofexplanatoryvariables(i.e.,systematicfactorssuchasunemploymentlevels,GDP,andoilprices).4

6、.Equation10.11applieshere:E(rp)=rf+βP1[E(r1)−rf]+βP2[E(r2)–rf]Weneedtofindtheriskpremium(RP)foreachofthetwofactors:RP1=[E(r1)−rf]andRP2=[E(r2)−rf]Inordertodoso,wesolvethefollowingsystemoftwoequationswithtwounknowns:.31=.06+(1.5×RP1)+(2.0×RP2).27=.06+

7、(2.2×RP1)+[(–0.2)×RP2]ThesolutiontothissetofequationsisRP1=10%andRP2=5%Thus,theexpectedreturn-betarelationshipisE(rP)=6%+(βP1×10%)+(βP2×5%)10-1Copyright©2014McGraw-HillEducation.Allrightsreserved.Noreproductionordistributionwithoutthepriorwrittencons

8、entofMcGraw-HillEducation.Chapter10-ArbitragePricingTheoryandMultifactorModelsofRiskandReturn5.TheexpectedreturnforportfolioFequalstherisk-freeratesinceitsbetaequals0.ForportfolioA,theratioofriskpremiumtobetais(12−6)/1.2=5ForportfolioE,theratioislowe