1、投资学第7版TestBank答案10Multiple Choice Questions1. a relati on ship betwee n expected retur n and risk.A)APT stipulatesB)CAPM stipulatesC)Both CAPM and APT stipulated) Neither CAPM nor APT stipulateE) No pricing model has foundAn swer: C Difficulty: EasyRati on ale: Both models attempt to explai n asset
2、pric ing based on risk/return relati on ships.2.Which pric ing model provides no guida nee concerning the determ in ati on of the risk premium on factor portfolios?A)The CAPMb) The multifactor APTC)Both the CAPM and the multifactor APTD)Neither the CAPM nor the multifactor APTE)None of the above is
3、a true statement.An swer: B Difficulty: ModerateRati on ale: The multifactor APT provides no guida nee as to the determ in ati on of the risk premium on the various factors. The CAPM assumes that the excess market return over the risk-free rate is the market premium in the si ngle factor CAPM.3.An a
4、rbitrage opport unity exists if an in vestor can con struct a inv estme ntportfolio that will yield a sure profit.A)positiveB)negativeC)zeroD)all of the aboveE)none of the aboveAn swer: C Difficulty: EasyRati on ale: If the inv estor can con struct a portfolio without the use of the in vestors own f
5、unds and the portfolio yields a positive profit, arbitrage opport un ities exist.4.The APT was developed in 1976 by .A)LintnerB)Modigliani and MillerC)RossD)SharpeE)none of the aboveAnswer: C Difficulty: EasyRationale: Ross developed this model in 1976.5.A portfolio is a well-diversified portfolio c
6、onstructed to have a beta of 1 onone of the factors and a beta of 0 on any other factor.A)factorB)marketC)indexD)A and BE)A, B, and CAnswer: A Difficulty: EasyRationale: A factor model portfolio has a beta of 1 one factor, with zero betas on other factors.6.The exploitation of security mispricing in
7、 such a way that risk-free economic profits may be earned is called .A)arbitrageB)capital asset pricingC)factoringD)fundamental analysisE)none of the aboveAnswer: A Difficulty: EasyRationale: Arbitrage is earning of positive profits with a zero (risk-free) investment.7.In developing the APT, Ross as
8、sumed that uncertainty in asset returns was a result ofA)a com mon macroec ono mic factorB)firm-specific factorsC)pricing errorD)neither A nor BE)both A and BAn swer: E Difficulty: ModerateRati on ale: Total risk (un certa in ty) is assumed to be composed of both macroec ono mic and firm-specific fa
9、ctors.8.The provides an unequivocal statement on the expected return-betarelati on ship for all assets, whereas the implies that this relati on shipholds for all but perhaps a small nu mber of securities.A)APT, CAPMB)APT, OPMC)CAPM, APTD)CAPM, OPME)none of the aboveAn swer: C Difficulty: ModerateRat
10、i on ale: The CAPM is an asset-prici ng model based on the risk/retur n relati on ship of all assets. The APT implies that this relati on ship holds for all well-diversified portfolios, and for all but perhaps a few in dividual securities.9.Consider a single factor APT. Portfolio A has a beta of 1.0
11、 and an expected return of16%. Portfolio B has a beta of 0.8 and an expected retur n of 12%. The risk-free rate of return is 6%. If you wan ted to take adva ntage of an arbitrage opport uni ty, you should take a short positi on in portfolio and a long positi on in portfolio .A)A, AB)A, BC)B, AD)B, B
12、E)A, the riskless assetAn swer: C Difficulty: ModerateRatio nale: A: 16% = 1.0F + 6%; F = 10%; B: 12% = 0.8F + 6%: F = 7.5%; thus, short B and take a long positi on in A.10.Consider the single factor APT. Portfolio A has a beta of 0.2 and an expected return of13%. Portfolio B has a beta of 0.4 and a
13、n expected retur n of 15%. The risk-free rate of retur n is 10%. If you wan ted to take adva ntage of an arbitrage opport un ity, you should take a short positi on in portfolio and a long positi on in portfolio .A)A, AB)A, BC)B, AD)B, BE)none of the aboveAn swer: C Difficulty: ModerateRatio nale: A:
14、 13% = 10% + 0.2F; F = 15%; B: 15% = 10% + 0.4F; F = 12.5%; therefore, short B and take a long positi on in A.11.Consider the one-factor APT. The varianee of returns on the factor portfolio is 6%. Thebeta of a well-diversified portfolio on the factor is 1.1. The varia nee of retur ns on the well-div
15、ersified portfolio is approximately .A)3.6%B)6.0%C)7.3%D)10.1%E)none of the aboveAn swer: C Difficulty: Moderate2 2Ratio nale: Vp = (1.1)2(6%) = 7.26%.12.Consider the one-factor APT. The standard deviation of returns on a well-diversifiedportfolio is 18%. The sta ndard deviati on on the factor portf
16、olio is 16%. The beta of the well-diversified portfolio is approximately .A)0.80B)1.13C)1.25D)1.56E)none of the aboveAn swer: B Difficulty: Moderate2 2 2Ratio nale: (18%)2 = (16%)2 b2; b = 1.125.13.Consider the single-factor APT. Stocks A and B have expected returns of 15% and 18%, respectively. The
17、 risk-free rate of return is 6%. Stock B has a beta of 1.0. If arbitrage opportunities are ruled out, stock A has a beta of .A)0.67B)1.00C)1.30D)1.69E)none of the aboveAnswer: E Difficulty: ModerateRationale: A: 15% = 6% + bF; B: 8% = 6% + 1.0F; F = 12%; thus, beta of A = 9/12 = 0.75.14.Consider the
18、 multifactor APT with two factors. Stock A has an expected return of 16.4%, a beta of 1.4 on factor 1 and a beta of .8 on factor 2. The risk premium on the factor 1 portfolio is 3%. The risk-free rate of return is 6%. What is the risk-premium on factor 2 if no arbitrage opportunities exit?A)2%B)3%C)
19、4%D)7.75%E)none of the aboveAnswer: D Difficulty: DifficultRationale: 16.4% = 1.4(3%) + .8x + 6%; x = 7.75.15.Consider the multifactor model APT with two factors. Portfolio A has a beta of 0.75 on factor 1 and a beta of 1.25 on factor 2. The risk premiums on the factor 1 and factor 2 portfolios are
20、1% and 7%, respectively. The risk-free rate of return is 7%. The expected return on portfolio A is if no arbitrage opportunities exist.A)13.5%B)15.0%C)16.5%D)23.0%E)none of the aboveAnswer: C Difficulty: ModerateRationale: 7% + 0.75(1%) + 1.25(7%) = 16.5%.16.Consider the multifactor APT with two fac
21、tors. The risk premiums on the factor 1 and factor 2 portfolios are 5% and 6%, respectively. Stock A has a beta of 1.2 on factor 1, and a beta of 0.7 on factor 2. The expected return on stock A is 17%. If no arbitrage opportunities exist, the risk-free rate of return is .A)6.0%B)6.5%C)6.8%D)7.4%E)no
22、ne of the aboveAnswer: C Difficulty: Moderate Rationale: 17% = x% + 1.2(5%) + 0.7(6%); x = 6.8%.17.Consider a one-factor economy. Portfolio A has a beta of 1.0 on the factor and portfolio B has a beta of 2.0 on the factor. The expected returns on portfolios A and B are 11% and 17%, respectively. Ass
23、ume that the risk-free rate is 6% and that arbitrage opportunities exist. Suppose you invested $100,000 in the risk-free asset, $100,000 in portfolio B, and sold short $200,000 of portfolio A. Your expected profit from this strategy would be .A)-$1,000B)$0C)$1,000D)$2,000E)none of the aboveAnswer: C
24、 Difficulty: ModerateRationale: $100,000(0.06) = $6,000 (risk-free position); $100,000(0.17) = $17,000 (portfolio B); -$200,000(0.11) = -$22,000 (short position, portfolio A); 1,000 profit.18.Consider the one-factor APT. Assume that two portfolios, A and B, are well diversified. The betas of portfol
25、ios A and B are 1.0 and 1.5, respectively. The expected returns on portfolios A and B are 19% and 24%, respectively. Assuming no arbitrage opportunities exist, the risk-free rate of return must be .A)4.0%B)9.0%C)14.0%D)16.5%E)none of the aboveAnswer: B Difficulty: Moderate Rationale: A: 19% = rf + 1
26、(F); B:24% = rf + 1.5(F); 5% = .5(F); F = 10%; 24% = rf + 1.5(10); ff = 9%.19.Consider the multifactor APT. The risk premiums on the factor 1 and factor 2 portfolios are 5% and 3%, respectively. The risk-free rate of return is 10%. Stock A has an expected retur n of 19% and a beta on factor 1 of 0.8
27、. Stock A has a beta on factor 2 ofA)1.33B)1.50C)1.67D)2.00E)none of the aboveAn swer: C Difficulty: ModerateRationale: 19% = 10% + 5%(0.8) + 3%(x); x = 1.67.20.Consider the single factor APT. Portfolios A and B have expected returns of 14% and 18%, respectively. The risk-free rate of return is 7%.
28、Portfolio A has a beta of 0.7. If arbitrage opport un ities are ruled out, portfolio B must have a beta of .A)0.45B)1.00C)1.10D)1.22E)none of the aboveAn swer: C Difficulty: ModerateRationale: A: 14% = 7% + 0.7F; F = 10; B: 18% = 7% + 10b; b = 1.10.Use the following to answer questions 21-24:There a
29、re three stocks, A, B, and C. You can either inv est in these stocks or short sell them. There are three possible states of n ature for econo mic growth in the upco ming year; econo mic growth may be strong, moderate, or weak. The retur ns for the upco ming year on stocks A, B, and C for each of the
30、se states of n ature are give n below:State of NatureStockStrong GrowthModerate GrowthWeak GrowthA39%加-5%B30%15%0%C14%22%21.If you invested in an equally weighted portfolio of stocks A and B, your portfolio return would be if economic growth were moderate.A)3.0%B)14.5%C)15.5%D)16.0%E)none of the abo
31、veAnswer: D Difficulty: EasyRationale: E(Rp) = 0.5(17%) + 0.5(15%) = 16%.22.If you invested in an equally weighted portfolio of stocks A and C, your portfolio return would be if economic growth was strong.A)17.0%B)22.5%C)30.0%D)30.5%E)none of the aboveAnswer: B Difficulty: EasyRationale: 0.5(39%) + 0.5(6%) = 22.5%.23.If you invested in an equally weighted portfolio of stocks B and C, your portfolio return would be if economic growth was weak.A)-2.5%B)0.5%C)3.0%D)11.0%E)none of the aboveAnswer: D Difficulty: EasyRationale: 0.5(0%) + 0.5(22%) = 11%.
