投资学第7版Test Bank答案10.doc

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1、Chapter10ArbitragePricingTheoryandMultifactorModelsofRiskandReturnMultipleChoiceQuestions1.___________arelationshipbetweenexpectedreturnandrisk.A)APTstipulatesB)CAPMstipulatesC)BothCAPMandAPTstipulateD)NeitherCAPMnorAPTstipulateE)NopricingmodelhasfoundAnswer:CDifficulty:EasyRationale:Bothmodelsatt

2、empttoexplainassetpricingbasedonrisk/returnrelationships.2.Whichpricingmodelprovidesnoguidanceconcerningthedeterminationoftheriskpremiumonfactorportfolios?A)TheCAPMB)ThemultifactorAPTC)BoththeCAPMandthemultifactorAPTD)NeithertheCAPMnorthemultifactorAPTE)Noneoftheaboveisatruestatement.Answer:BDiffi

3、culty:ModerateRationale:ThemultifactorAPTprovidesnoguidanceastothedeterminationoftheriskpremiumonthevariousfactors.TheCAPMassumesthattheexcessmarketreturnovertherisk-freerateisthemarketpremiuminthesinglefactorCAPM.3.Anarbitrageopportunityexistsifaninvestorcanconstructa__________investmentportfolio

4、thatwillyieldasureprofit.A)positiveB)negativeC)zeroD)alloftheaboveE)noneoftheaboveAnswer:CDifficulty:EasyRationale:Iftheinvestorcanconstructaportfoliowithouttheuseoftheinvestor'sownfundsandtheportfolioyieldsapositiveprofit,arbitrageopportunitiesexist.236Chapter10ArbitragePricingTheoryandMultifacto

5、rModelsofRiskandReturn4.TheAPTwasdevelopedin1976by____________.A)LintnerB)ModiglianiandMillerC)RossD)SharpeE)noneoftheaboveAnswer:CDifficulty:EasyRationale:Rossdevelopedthismodelin1976.5.A_________portfolioisawell-diversifiedportfolioconstructedtohaveabetaof1ononeofthefactorsandabetaof0onanyotherf

6、actor.A)factorB)marketC)indexD)AandBE)A,B,andCAnswer:ADifficulty:EasyRationale:Afactormodelportfoliohasabetaof1onefactor,withzerobetasonotherfactors.6.Theexploitationofsecuritymispricinginsuchawaythatrisk-freeeconomicprofitsmaybeearnediscalled___________.A)arbitrageB)capitalassetpricingC)factoring

7、D)fundamentalanalysisE)noneoftheaboveAnswer:ADifficulty:EasyRationale:Arbitrageisearningofpositiveprofitswithazero(risk-free)investment.236Chapter10ArbitragePricingTheoryandMultifactorModelsofRiskandReturn7.Indev