投资学第7版Test Bank答案完整.doc

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1、MultipleChoiceQuestions1.___________arelationshipbetweenexpectedreturnandrisk.A)APTstipulatesB)CAPMstipulatesC)BothCAPMandAPTstipulateD)NeitherCAPMnorAPTstipulateE)NopricingmodelhasfoundAnswer:CDifficulty:EasyRationale:Bothmodelsattempttoexplainassetpricingbasedonrisk/returnrelationships.2.Wh

2、ichpricingmodelprovidesnoguidanceconcerningthedeterminationoftheriskpremiumonfactorportfolios?A)TheCAPMB)ThemultifactorAPTC)BoththeCAPMandthemultifactorAPTD)NeithertheCAPMnorthemultifactorAPTE)Noneoftheaboveisatruestatement.Answer:BDifficulty:ModerateRationale:ThemultifactorAPTprovidesnoguida

3、nceastothedeterminationoftheriskpremiumonthevariousfactors.TheCAPMassumesthattheexcessmarketreturnovertherisk-freerateisthemarketpremiuminthesinglefactorCAPM.3.Anarbitrageopportunityexistsifaninvestorcanconstructa__________investmentportfoliothatwillyieldasureprofit.A)positiveB)negativeC)zero

4、D)alloftheaboveE)noneoftheaboveAnswer:CDifficulty:EasyRationale:Iftheinvestorcanconstructaportfoliowithouttheuseoftheinvestor'sownfundsandtheportfolioyieldsapositiveprofit,arbitrageopportunitiesexist.精选范本,供参考！4.TheAPTwasdevelopedin1976by____________.A)LintnerB)ModiglianiandMillerC)RossD)Sharp

5、eE)noneoftheaboveAnswer:CDifficulty:EasyRationale:Rossdevelopedthismodelin1976.5.A_________portfolioisawell-diversifiedportfolioconstructedtohaveabetaof1ononeofthefactorsandabetaof0onanyotherfactor.A)factorB)marketC)indexD)AandBE)A,B,andCAnswer:ADifficulty:EasyRationale:Afactormodelportfolioh

6、asabetaof1onefactor,withzerobetasonotherfactors.6.Theexploitationofsecuritymispricinginsuchawaythatrisk-freeeconomicprofitsmaybeearnediscalled___________.A)arbitrageB)capitalassetpricingC)factoringD)fundamentalanalysisE)noneoftheaboveAnswer:ADifficulty:EasyRationale:Arbitrageisearningofpositi

7、veprofitswithazero(risk-free)investment.精选范本,供参考！7.IndevelopingtheAPT,RossassumedthatuncertaintyinassetreturnswasaresultofA)acommonmacroeconomicfactorB)firm-specificfactorsC)pricingerrorD)neitherAnorBE)bothAandBAnswer:EDifficulty:ModerateRati