投资学10版习题答案10.doc

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1、Chapter10-ArbitragePricingTheoryandMultifactorModelsofRiskandReturnCHAPTER10:ARBITRAGEPRICINGTHEORYANDMULTIFACTORMODELSOFRISKANDRETURNPROBLEMSETS1.Therevisedestimateoftheexpectedrateofreturnonthestockwouldbetheoldestimateplusthesumoftheproductsoftheunexpectedchangeineachfactortimestherespectives

2、ensitivitycoefficient:Revisedestimate=12%+[(1×2%)+(0.5×3%)]=15.5%NotethattheIPestimateiscomputedas:1×(5%-3%),andtheIRestimateiscomputedas:0.5×(8%-5%).2.TheAPTfactorsmustcorrelatewithmajorsourcesofuncertainty,i.e.,sourcesofuncertaintythatareofconcerntomanyinvestors.Researchersshouldinvestigatefac

3、torsthatcorrelatewithuncertaintyinconsumptionandinvestmentopportunities.GDP,theinflationrate,andinterestratesareamongthefactorsthatcanbeexpectedtodetermineriskpremiums.Inparticular,industrialproduction(IP)isagoodindicatorofchangesinthebusinesscycle.Thus,IPisacandidateforafactorthatishighlycorrel

4、atedwithuncertaintiesthathavetodowithinvestmentandconsumptionopportunitiesintheeconomy.3.Anypatternofreturnscanbeexplainedifwearefreetochooseanindefinitelylargenumberofexplanatoryfactors.Ifatheoryofassetpricingistohavevalue,itmustexplainreturnsusingareasonablylimitednumberofexplanatoryvariables(

5、i.e.,systematicfactorssuchasunemploymentlevels,GDP,andoilprices).4.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×RP

6、1)+(2.0×RP2).27=.06+(2.2×RP1)+[(–0.2)×RP2]ThesolutiontothissetofequationsisRP1=10%andRP2=5%Thus,theexpectedreturn-betarelationshipisE(rP)=6%+(βP1×10%)+(βP2×5%)10-9Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.

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