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1、 .Chapter 10Arbitrage Pricing Theory and Multifactor Models of Risk and ReturnMultiple Choice Questions1._ a relationship between expected return and risk.A.APT stipulatesB.CAPM stipulatesC.Both CAPM and APT stipulateD.Neither CAPM nor APT stipulateE.No pricing model has been found.2.Consider the mu
2、ltifactor APT with two factors. Stock A has an expected return of 17.6%, a beta of 1.45 on factor 1, and a beta of .86 on factor 2. The risk premium on the factor 1 portfolio is 3.2%. The risk-free rate of return is 5%. What is the risk-premium on factor 2 if no arbitrage opportunities exist?A.9.26%
3、B.3%C.4%D.7.75%3.In a multifactor APT model, the coefficients on the macro factors are often calledA.systemic risk.B.factor sensitivities.C.idiosyncratic risk.D.factor betas.E.factor sensitivities and factor betas.4.In a multifactor APT model, the coefficients on the macro factors are often calledA.
4、systemic risk.B.firm-specific risk.C.idiosyncratic risk.D.factor betas.5.In a multifactor APT model, the coefficients on the macro factors are often calledA.systemic risk.B.firm-specific risk.C.idiosyncratic risk.D.factor loadings.6.Which pricing model provides no guidance concerning the determinati
5、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 options is a true statement.7.An arbitrage opportunity exists if an investor can construct a _ investment portfolio that will yiel
6、d a sure profit.A.positiveB.negativeC.zeroD.All of the optionsE.None of the options8.The APT was developed in 1976 byA.Lintner.B.Modigliani and Miller.C.Ross.D.Sharpe.9.A _ portfolio is a well-diversified portfolio constructed to have a beta of 1 on one of the factors and a beta of 0 on any other fa
7、ctor.A.factorB.marketC.indexD.factor and marketE.factor, market, and index10.The exploitation of security mispricing in such a way that risk-free economic profits may be earned is calledA.arbitrage.B.capital asset pricing.C.factoring.D.fundamental analysis.E.None of the options11.In developing the A
8、PT, Ross assumed that uncertainty in asset returns was a result ofA.a common macroeconomic factor.B.firm-specific factors.C.pricing error.D.a common macroeconomic factor and firm-specific factors.12.The _ provides an unequivocal statement on the expected return-beta relationship for all assets, wher
9、eas the _ implies that this relationship holds for all but perhaps a small number of securities.A.APT, CAPMB.APT, OPMC.CAPM, APTD.CAPM, OPM13.Consider a single factor APT. Portfolio A has a beta of 1.0 and an expected return of 16%. Portfolio B has a beta of 0.8 and an expected return of 12%. The ri
10、sk-free rate of return is 6%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio _ and a long position in portfolio _.A.A, AB.A, BC.B, AD.B, BE.A, the riskless asset14.Consider the single factor APT. Portfolio A has a beta of 0.2 and an expecte
11、d return of 13%. Portfolio B has a beta of 0.4 and an expected return of 15%. The risk-free rate of return is 10%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio _ and a long position in portfolio _.A.A, AB.A, BC.B, AD.B, B15.Consider the o
12、ne-factor APT. The variance of returns on the factor portfolio is 6%. The beta of a well-diversified portfolio on the factor is 1.1. The variance of returns on the well-diversified portfolio is approximatelyA.3.6%.B.6.0%.C.7.3%.D.10.1%.16.Consider the one-factor APT. The standard deviation of return
13、s on a well-diversified portfolio is 18%. The standard deviation on the factor portfolio is 16%. The beta of the well-diversified portfolio is approximatelyA.0.80.B.1.13.C.1.25.D.1.56.17.Consider the single-factor APT. Stocks A and B have expected returns of 15% and 18%, respectively. The 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 ofA.0.67.B.1.00.C.1.30.D.1.69.E.0.75.18.Consider the multifactor APT with two factors. Stock A has a
