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1、 .Chapter 10Arbitrage Pricing Theory and Multifactor Models of Risk and Return Multiple 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 found2.Consider the multifa
2、ctor 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 exit?A.9.26%B.3%C.4
3、%D.7.75%E.9.75%3.In a multi-factor APT model, the coefficients on the macro factors are often called _.A.systemic riskB.factor sensitivitiesC.idiosyncratic riskD.factor betasE.both factor sensitivities and factor betas4.In a multi-factor APT model, the coefficients on the macro factors are often cal
4、led _.A.systemic riskB.firm-specific riskC.idiosyncratic riskD.factor betasE.unique risk5.In a multi-factor APT model, the coefficients on the macro factors are often called _.A.systemic riskB.firm-specific riskC.idiosyncratic riskD.factor loadingsE.unique risk6.Which pricing model provides no guida
5、nce concerning the determination 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.No pricing model currently exists that provides guidance concerning the determination of the risk premium on any
6、 portfolio7.An arbitrage opportunity exists if an investor can construct a _ investment portfolio that will yield a sure profit.A.small positiveB.small negativeC.zeroD.large positiveE.large negative8.The APT was developed in 1976 by _.A.LintnerB.Modigliani and MillerC.RossD.SharpeE.Fama9.A _ portfol
7、io 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 factor.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
8、called _.A.arbitrageB.capital asset pricingC.factoringD.fundamental analysisE.technical analysis11.In developing the APT, Ross assumed that uncertainty in asset returns was a result ofA.a common macroeconomic factor.B.firm-specific factors.C.pricing error.D.neither common macroeconomic factors nor f
9、irm-specific factors.E.both common macroeconomic factors and firm-specific factors.12.The _ provides an unequivocal statement on the expected return-beta relationship for all assets, whereas the _ implies that this relationship holds for all but perhaps a small number of securities.A.APT; CAPMB.APT;
10、 OPMC.CAPM; APTD.CAPM; OPME.APT and OPM; CAPM13.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 risk-free rate of return is 6%. If you wanted to take advantage of an arbitrage opportunity, you
11、 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 expected return of 13%. Portfolio B has a beta of 0.4 and an expected return of 15%. The risk-free ra
12、te 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; BE.No arbitrage opportunity exists.15.Consider the one-factor APT. The variance of returns on the factor portfol
13、io 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 approximately _.A.3.6%B.6.0%C.7.3%D.10.1%E.8.6%16.Consider the one-factor APT. The standard deviation of returns on a well-diversified portfolio is 18%. The standard
14、deviation on the factor portfolio is 16%. The beta of the well-diversified portfolio is approximately _.A.0.80B.1.13C.1.25D.1.56E.0.9317.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 of _.A.0.67B.1.00C.1.30D.1.69E.0.7518.Consider the 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 f
