投资学第7版TestBank答案10Word文档格式.docx

投资学第7版TestBank答案10Word文档格式.docx

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C）BoththeCAPMandthemultifactorAPT

D）NeithertheCAPMnorthemultifactorAPT

E）Noneoftheaboveisatruestatement.

BDifficulty:

Moderate

ThemultifactorAPTprovidesnoguidanceastothedeterminationoftheriskpremiumonthevariousfactors.TheCAPMassumesthattheexcessmarketreturnovertherisk-freerateisthemarketpremiuminthesinglefactorCAPM.

3.Anarbitrageopportunityexistsifaninvestorcanconstructa__________investmentportfoliothatwillyieldasureprofit.

A）positive

B）negative

C）zero

D）alloftheabove

E）noneoftheabove

Iftheinvestorcanconstructaportfoliowithouttheuseoftheinvestor'

sownfundsandtheportfolioyieldsapositiveprofit,arbitrageopportunitiesexist.

4.TheAPTwasdevelopedin1976by____________.

A）Lintner

B）ModiglianiandMiller

C）Ross

D）Sharpe

Rossdevelopedthismodelin1976.

5.A_________portfolioisawell-diversifiedportfolioconstructedtohaveabetaof1ononeofthefactorsandabetaof0onanyotherfactor.

A）factor

B）market

C）index

D）AandB

E）A,B,andC

ADifficulty:

Afactormodelportfoliohasabetaof1onefactor,withzerobetasonotherfactors.

6.Theexploitationofsecuritymispricinginsuchawaythatrisk-freeeconomicprofitsmaybeearnediscalled___________.

A）arbitrage

B）capitalassetpricing

C）factoring

D）fundamentalanalysis

Arbitrageisearningofpositiveprofitswithazero（risk-free）investment.

7.IndevelopingtheAPT,Rossassumedthatuncertaintyinassetreturnswasaresultof

A）acommonmacroeconomicfactor

B）firm-specificfactors

C）pricingerror

D）neitherAnorB

E）bothAandB

EDifficulty:

Totalrisk（uncertainty）isassumedtobecomposedofbothmacroeconomicandfirm-specificfactors.

8.The____________providesanunequivocalstatementontheexpectedreturn-betarelationshipforallassets,whereasthe_____________impliesthatthisrelationshipholdsforallbutperhapsasmallnumberofsecurities.

A）APT,CAPM

B）APT,OPM

C）CAPM,APT

D）CAPM,OPM

TheCAPMisanasset-pricingmodelbasedontherisk/returnrelationshipofallassets.TheAPTimpliesthatthisrelationshipholdsforallwell-diversifiedportfolios,andforallbutperhapsafewindividualsecurities.

9.ConsiderasinglefactorAPT.PortfolioAhasabetaof1.0andanexpectedreturnof16%.PortfolioBhasabetaof0.8andanexpectedreturnof12%.Therisk-freerateofreturnis6%.Ifyouwantedtotakeadvantageofanarbitrageopportunity,youshouldtakeashortpositioninportfolio__________andalongpositioninportfolio_______.

A）A,A

B）A,B

C）B,A

D）B,B

E）A,therisklessasset

A:

16%=1.0F+6%;

F=10%;

B:

12%=0.8F+6%:

F=7.5%;

thus,shortBandtakealongpositioninA.

10.ConsiderthesinglefactorAPT.PortfolioAhasabetaof0.2andanexpectedreturnof13%.PortfolioBhasabetaof0.4andanexpectedreturnof15%.Therisk-freerateofreturnis10%.Ifyouwantedtotakeadvantageofanarbitrageopportunity,youshouldtakeashortpositioninportfolio_________andalongpositioninportfolio_________.

13%=10%+0.2F;

F=15%;

15%=10%+0.4F;

F=12.5%;

therefore,shortBandtakealongpositioninA.

11.Considertheone-factorAPT.Thevarianceofreturnsonthefactorportfoliois6%.Thebetaofawell-diversifiedportfolioonthefactoris1.1.Thevarianceofreturnsonthewell-diversifiedportfolioisapproximately__________.

A）3.6%

B）6.0%

C）7.3%

D）10.1%

s2P=（1.1）2（6%）=7.26%.

12.Considertheone-factorAPT.Thestandarddeviationofreturnsonawell-diversifiedportfoliois18%.Thestandarddeviationonthefactorportfoliois16%.Thebetaofthewell-diversifiedportfolioisapproximately__________.

A）0.80

B）1.13

C）1.25

D）1.56

（18%）2=（16%）2b2;

b=1.125.

13.Considerthesingle-factorAPT.StocksAandBhaveexpectedreturnsof15%and18%,respectively.Therisk-freerateofreturnis6%.StockBhasabetaof1.0.Ifarbitrageopportunitiesareruledout,stockAhasabetaof__________.

A）0.67

B）1.00

C）1.30

D）1.69

15%=6%+bF;

8%=6%+1.0F;

F=12%;

thus,betaofA=9/12=0.75.

14.ConsiderthemultifactorAPTwithtwofactors.StockAhasanexpectedreturnof16.4%,abetaof1.4onfactor1andabetaof.8onfactor2.Theriskpremiumonthefactor1portfoliois3%.Therisk-freerateofreturnis6%.Whatistherisk-premiumonfactor2ifnoarbitrageopportunitiesexit?

A）2%

B）3%

C）4%

D）7.75%

DDifficulty:

Difficult

16.4%=1.4（3%）+.8x+6%;

x=7.75.

15.ConsiderthemultifactormodelAPTwithtwofactors.PortfolioAhasabetaof0.75onfactor1andabetaof1.25onfactor2.Theriskpremiumsonthefactor1andfactor2portfoliosare1%and7%,respectively.Therisk-freerateofreturnis7%.TheexpectedreturnonportfolioAis__________ifnoarbitrageopportunitiesexist.

A）13.5%

B）15.0%

C）16.5%

D）23.0%

7%+0.75（1%）+1.25（7%）=16.5%.

16.ConsiderthemultifactorAPTwithtwofactors.Theriskpremiumsonthefactor1andfactor2portfoliosare5%and6%,respectively.StockAhasabetaof1.2onfactor1,andabetaof0.7onfactor2.TheexpectedreturnonstockAis17%.Ifnoarbitrageopportunitiesexist,therisk-freerateofreturnis___________.

A）6.0%

B）6.5%

C）6.8%

D）7.4%

17%=x%+1.2（5%）+0.7（6%）;

x=6.8%.

17.Consideraone-factoreconomy.PortfolioAhasabetaof1.0onthefactorandportfolioBhasabetaof2.0onthefactor.TheexpectedreturnsonportfoliosAandBare11%and17%,respectively.Assumethattherisk-freerateis6%andthatarbitrageopportunitiesexist.Supposeyouinvested$100,000intherisk-freeasset,$100,000inportfolioB,andsoldshort$200,000ofportfolioA.Yourexpectedprofitfromthisstrategywouldbe______________.

A）-$1,000

B）$0

C）$1,000

D）$2,000

$100,000（0.06）=$6,000（risk-freeposition）;

$100,000（0.17）=$17,000（portfolioB）;

-$200,000（0.11）=-$22,000（shortposition,portfolioA）;

1,000profit.

18.Considertheone-factorAPT.Assumethattwoportfolios,AandB,arewelldiversified.ThebetasofportfoliosAandBare1.0and1.5,respectively.TheexpectedreturnsonportfoliosAandBare19%and24%,respectively.Assumingnoarbitrageopportunitiesexist,therisk-freerateofreturnmustbe____________.

A）4.0%

B）9.0%

C）14.0%

D）16.5%

19%=rf+1（F）;

24%=rf+1.5（F）;

5%=.5（F）;

24%=rf+1.5（10）;

ff=9%.

19.ConsiderthemultifactorAPT.Theriskpremiumsonthefactor1andfactor2portfoliosare5%and3%,respectively.Therisk-freerateofreturnis10%.StockAhasanexpectedreturnof19%andabetaonfactor1of0.8.StockAhasabetaonfactor2of________.

A）1.33

B）1.50

C）1.67

D）2.00

19%=10%+5%（0.8）+3%（x）;

x=1.67.

20.ConsiderthesinglefactorAPT.PortfoliosAandBhaveexpectedreturnsof14%and18%,respectively.Therisk-freerateofreturnis7%.PortfolioAhasabetaof0.7.Ifarbitrageopportunitiesareruledout,portfolioBmusthaveabetaof__________.

A）0.45

C）1.10

D）1.22

14%=7%+0.7F;

F=10;

18%=7%+10b;

b=1.10.

Usethefollowingtoanswerquestions21-24:

Therearethreestocks,A,B,andC.Youcaneitherinvestinthesestocksorshortsellthem.Therearethreepossiblestatesofnatureforeconomicgrowthintheupcomingyear;

economicgrowthmaybestrong,moderate,orweak.ThereturnsfortheupcomingyearonstocksA,B,andCforeachofthesestatesofnaturearegivenbelow:

21.IfyouinvestedinanequallyweightedportfolioofstocksAandB,yourportfolioreturnwouldbe___________ifeconomicgrowthweremoderate.

A）3.0%

B）14.5%

C）15.5%

D）16.0%

E（Rp）=0.5（17%）+0.5（15%）=16%.

22.IfyouinvestedinanequallyweightedportfolioofstocksAandC,yourportfolioreturnwouldbe