投资学课后问题详解APT.doc

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1、Chapter10ArbitragePricingTheoryandMultifactorModelsofRiskandReturn MultipleChoiceQuestions 1. ___________arelationshipbetweenexpectedreturnandrisk. A. APTstipulatesB. CAPMstipulatesC. BothCAPMandAPTstipulateD. NeitherCAPMnorAPTstipulateE. Nopricingmodelhasfound 2. Considerthemultifac

2、torAPTwithtwofactors.StockAhasanexpectedreturnof17.6%,abetaof1.45onfactor1andabetaof.86onfactor2.Theriskpremiumonthefactor1portfoliois3.2%.Therisk-freerateofreturnis5%.Whatistherisk-premiumonfactor2ifnoarbitrageopportunitiesexit? A. 9.26%B. 3%C. 4%D. 7.75%E. 9.75% 3. Inamulti-factorA

3、PTmodel,thecoefficientsonthemacrofactorsareoftencalled______. A. systemicriskB. factorsensitivitiesC. idiosyncraticriskD. factorbetasE. bothfactorsensitivitiesandfactorbetas 4. Inamulti-factorAPTmodel,thecoefficientsonthemacrofactorsareoftencalled______. A. systemicriskB. firm-specif

4、icriskC. idiosyncraticriskD. factorbetasE. uniquerisk 5. Inamulti-factorAPTmodel,thecoefficientsonthemacrofactorsareoftencalled______. A. systemicriskB. firm-specificriskC. idiosyncraticriskD. factorloadingsE. uniquerisk 6. Whichpricingmodelprovidesnoguidanceconcerningthedeterminatio

5、noftheriskpremiumonfactorportfolios? A. TheCAPMB. ThemultifactorAPTC. BoththeCAPMandthemultifactorAPTD. NeithertheCAPMnorthemultifactorAPTE. Nopricingmodelcurrentlyexiststhatprovidesguidanceconcerningthedeterminationoftheriskpremiumonanyportfolio 7. Anarbitrageopportunityexistsifanin

6、vestorcanconstructa__________investmentportfoliothatwillyieldasureprofit. A. smallpositiveB. smallnegativeC. zeroD. largepositiveE. largenegative 8. TheAPTwasdevelopedin1976by____________. A. LintnerB. ModiglianiandMillerC. RossD. SharpeE. Fama 9. A_________portfolioisawell-diversifi

7、edportfolioconstructedtohaveabetaof1ononeofthefactorsandabetaof0onanyotherfactor. A. factorB. marketC. indexD. factorandmarketE. factor,market,andindex 10. Theexploitationofsecuritymispricinginsuchawaythatrisk-freeeconomicprofitsmaybeearnediscalled___________. A. arbitrageB. capitala

8、ssetpricingC