指控英文投资学第7版Test Bank答案10

2021年1月19日发(作者：relieved)
Chapter 10 Arbitrage Pricing Theory and Multifactor Models of Risk and
Return


Multiple Choice Questions



1.
___________ a relationship between expected return and risk.


A)
APT stipulates


B)
CAPM stipulates


C)
Both CAPM and APT stipulate


D)
Neither CAPM nor APT stipulate


E)
No pricing model has found


Answer: C Difficulty: Easy



Rationale: Both models attempt to explain asset pricing based on risk/return
relationships.



2.
Which pricing model provides no guidance concerning the determination of the risk
premium on factor portfolios?


A)
The CAPM


B)
The multifactor APT


C)
Both the CAPM and the multifactor APT


D)
Neither the CAPM nor the multifactor APT


E)
None of the above is a true statement.


Answer: B Difficulty: Moderate



Rationale: The multifactor APT provides no guidance as to the determination 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 single factor CAPM.



3.
An arbitrage opportunity exists if an investor can construct a __________ investment
portfolio that will yield a sure profit.


A)
positive


B)
negative


C)
zero


D)
all of the above


E)
none of the above


Answer: C Difficulty: Easy



Rationale: If the investor can construct a portfolio without the use of the investor's own
funds and the portfolio yields a positive profit, arbitrage opportunities exist.

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4.
The APT was developed in 1976 by ____________.

A)
Lintner

B)
Modigliani and Miller

C)
Ross

D)
Sharpe

E)
none of the above

Answer: C Difficulty: Easy


Rationale: Ross developed this model in 1976.

5.
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 factor.

A)
factor

B)
market

C)
index

D)
A and B

E)
A, B, and C

Answer: A Difficulty: Easy


Rationale: A factor model portfolio has a beta of 1 one factor, with zero betas on other
factors.

6.
The exploitation of security mispricing in such a way that risk-free economic profits
may be earned is called ___________.

A)
arbitrage

B)
capital asset pricing

C)
factoring

D)
fundamental analysis

E)
none of the above

Answer: A Difficulty: Easy


Rationale: Arbitrage is earning of positive profits with a zero (risk-free) investment.

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7.
In developing the APT, Ross assumed that uncertainty in asset returns was a result of

A)
a common macroeconomic factor

B)
firm-specific factors

C)
pricing error

D)
neither A nor B

E)
both A and B

Answer: E Difficulty: Moderate


Rationale: Total risk (uncertainty) is assumed to be composed of both macroeconomic
and firm- specific factors.

8.
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, CAPM

B)
APT, OPM

C)
CAPM, APT

D)
CAPM, OPM

E)
none of the above

Answer: C Difficulty: Moderate


Rationale: The CAPM is an asset-pricing model based on the risk/return relationship of
all assets. The APT implies that this relationship holds for all well- diversified portfolios,
and for all but perhaps a few individual securities.

9.
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 should
take a short position in portfolio __________ and a long position in portfolio _______.

A)
A, A

B)
A, B

C)
B, A

D)
B, B

E)
A, the riskless asset

Answer: C Difficulty: Moderate


Rationale: A: 16% = 1.0F + 6%; F = 10%; B: 12% = 0.8F + 6%: F = 7.5%; thus, short B
and take a long position in A.








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Chapter 10 Arbitrage Pricing Theory and Multifactor Models of Risk and
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10.
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 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, A


B)
A, B


C)
B, A


D)
B, B


E)
none of the above


Answer: C Difficulty: Moderate



Rationale: A: 13% = 10% + 0.2F; F = 15%; B: 15% = 10% + 0.4F; F = 12.5%; therefore,
short B and take a long position in A.



11.
Consider the one-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 approximately __________.


A)
3.6%


B)
6.0%


C)
7.3%


D)
10.1%


E)
none of the above


Answer: C Difficulty: Moderate



Rationale: s
2
P
= (1.1)
2
(6%) = 7.26%.



12.
Consider the one-factor APT. The standard deviation of returns on a well-diversified
portfolio is 18%. The standard deviation on the factor portfolio is 16%. The beta of the
well-diversified portfolio is approximately __________.


A)
0.80


B)
1.13


C)
1.25


D)
1.56


E)
none of the above


Answer: B Difficulty: Moderate



Rationale: (18%)
2
= (16%)
2
b
2
; b = 1.125.

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13.
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)
0.67


B)
1.00


C)
1.30


D)
1.69


E)
none of the above


Answer: E Difficulty: Moderate



Rationale: A: 15% = 6% + bF; B: 8% = 6% + 1.0F; F = 12%; thus, beta of A = 9/12 =
0.75.



14.
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 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)
4%


D)
7.75%


E)
none of the above


Answer: D Difficulty: Difficult



Rationale: 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 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 above


Answer: C Difficulty: Moderate



Rationale: 7% + 0.75(1%) + 1.25(7%) = 16.5%.

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16.
Consider the multifactor APT with two factors. 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)
none of the above


Answer: 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. Assume 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)
-$$1,000


B)
$$0


C)
$$1,000


D)
$$2,000


E)
none of the above


Answer: C Difficulty: Moderate



Rationale: $$100,000(0.06) = $$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 portfolios 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 above


Answer: B Difficulty: Moderate



Rationale: A: 19% = r
f
+ 1(F); B:24% = r
f
+ 1.5(F); 5% = .5(F); F = 10%; 24% = r
f
+
1.5(10); ff = 9%.

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Chapter 10 Arbitrage Pricing Theory and Multifactor Models of Risk and
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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 return of 19% and a beta on factor 1 of 0.8. Stock A has a beta on factor 2 of
________.


A)
1.33


B)
1.50


C)
1.67


D)
2.00


E)
none of the above


Answer: C Difficulty: Moderate



Rationale: 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%. Portfolio A has a beta of 0.7. If
arbitrage opportunities are ruled out, portfolio B must have a beta of __________.


A)
0.45


B)
1.00


C)
1.10


D)
1.22


E)
none of the above


Answer: C Difficulty: Moderate



Rationale: A: 14% = 7% + 0.7F; F = 10; B: 18% = 7% + 10b; b = 1.10.


Use the following to answer questions 21-24:


There are three stocks, A, B, and C. You can either invest in these stocks or short sell them.
There are three possible states of nature for economic growth in the upcoming year; economic
growth may be strong, moderate, or weak. The returns for the upcoming year on stocks A, B,
and C for each of these states of nature are given below:



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Chapter 10 Arbitrage Pricing Theory and Multifactor Models of Risk and
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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 above


Answer: D Difficulty: Easy



Rationale: 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 above


Answer: B Difficulty: Easy



Rationale: 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 above


Answer: D Difficulty: Easy



Rationale: 0.5(0%) + 0.5(22%) = 11%.

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24.
If you wanted to take advantage of a risk-free arbitrage opportunity, you should take a
short position in _________ and a long position in an equally weighted portfolio of
_______.


A)
A, B and C


B)
B, A and C


C)
C, A and B


D)
A and B, C


E)
none of the above, none of the above


Answer: C Difficulty: Difficult



Rationale: E(R
A
) = (39% + 17% - 5%)/3 = 17%; E(R
B
) = (30% + 15% + 0%)/3 = 15%;
E(R
C
) = (22% + 14% + 6%)/3 = 14%; E(R
P
) = -0.5(14%) + 0.5[(17% + 15%)/2]; -7.0%
+ 8.0% = 1.0%.


Use the following to answer questions 25-26:


Consider the multifactor APT. There are two independent economic factors, F
1
and F
2
. The
risk-free rate of return is 6%. The following information is available about two well-diversified
portfolios:




25.
Assuming no arbitrage opportunities exist, the risk premium on the factor F
1
portfolio
should be __________.


A)
3%


B)
4%


C)
5%


D)
6%


E)
none of the above


Answer: A Difficulty: Difficult



Rationale: 2A: 38% = 12% + 2.0(RP1) + 4.0(RP2); B: 12% = 6% + 2.0(RP1) +
0.0(RP2); 26% = 6% + 4.0(RP2); RP2 = 5; A: 19% = 6% + RP1 + 2.0(5); RP1 = 3%.


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Chapter 10 Arbitrage Pricing Theory and Multifactor Models of Risk and
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26.
Assuming no arbitrage opportunities exist, the risk premium on the factor F
2
portfolio
should be ___________.


A)
3%


B)
4%


C)
5%


D)
6%


E)
none of the above


Answer: C Difficulty: Difficult



Rationale: See solution to previous problem.



27.
A zero-investment portfolio with a positive expected return arises when _________.


A)
an investor has downside risk only


B)
the law of prices is not violated


C)
the opportunity set is not tangent to the capital allocation line


D)
a risk-free arbitrage opportunity exists


E)
none of the above


Answer: D Difficulty: Easy



Rationale: When an investor can create a zero-investment portfolio (by using none of
the investor's own funds) with a possibility of a positive profit, a risk-free arbitrage
opportunity exists.



28.
An investor will take as large a position as possible when an equilibrium price
relationship is violated. This is an example of _________.


A)
a dominance argument


B)
the mean-variance efficiency frontier


C)
a risk- free arbitrage


D)
the capital asset pricing model


E)
none of the above


Answer: C Difficulty: Moderate



Rationale: When the equilibrium price is violated, the investor will buy the lower priced
asset and simultaneously place an order to sell the higher priced asset. Such
transactions result in risk-free arbitrage. The larger the positions, the greater the
risk-free arbitrage profits.

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29.
The APT differs from the CAPM because the APT _________.


A)
places more emphasis on market risk


B)
minimizes the importance of diversification


C)
recognizes multiple unsystematic risk factors


D)
recognizes multiple systematic risk factors


E)
none of the above


Answer: D Difficulty: Moderate



Rationale: The CAPM assumes that market returns represent systematic risk. The APT
recognizes that other macroeconomic factors may be systematic risk factors.



30.
The feature of the APT that offers the greatest potential advantage over the CAPM is the
______________.


A)
use of several factors instead of a single market index to explain the risk-return
relationship


B)
identification of anticipated changes in production, inflation and term structure as
key factors in explaining the risk-return relationship


C)
superior measurement of the risk-free rate of return over historical time periods


D)
variability of coefficients of sensitivity to the APT factors for a given asset over
time


E)
none of the above


Answer: A Difficulty: Easy



Rationale: The advantage of the APT is the use of multiple factors, rather than a single
market index, to explain the risk-return relationship. However, APT does not identify
the specific factors.



31.
In terms of the risk/return relationship


A)
only factor risk commands a risk premium in market equilibrium.


B)
only systematic risk is related to expected returns.


C)
only nonsystematic risk is related to expected returns.


D)
A and B.


E)
A and C.


Answer: D Difficulty: Easy



Rationale: Nonfactor risk may be diversified away; thus, only factor risk commands a
risk premium in market equilibrium. Nonsystematic risk across firms cancels out in
well-diversified portfolios; thus, only systematic risk is related to expected returns.

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32.
The following factors might affect stock returns:


A)
the business cycle.


B)
interest rate fluctuations.


C)
inflation rates.


D)
all of the above.


E)
none of the above.


Answer: D Difficulty: Easy



Rationale: A, B, and C all are likely to affect stock returns.



33.
Advantage(s) of the APT is(are)


A)
that the model provides specific guidance concerning the determination of the risk
premiums on the factor portfolios.


B)
that the model does not require a specific benchmark market portfolio.


C)
that risk need not be considered.


D)
A and B.


E)
B and C.


Answer: B Difficulty: Easy



Rationale: The APT provides no guidance concerning the determination of the risk
premiums on the factor portfolios. Risk must considered in both the CAPM and APT.
A major advantage of APT over the CAPM is that a specific benchmark market
portfolio is not required.



34.
Portfolio A has expected return of 10% and standard deviation of 19%. Portfolio B has
expected return of 12% and standard deviation of 17%. Rational investors will


A)
Borrow at the risk free rate and buy A.


B)
Sell A short and buy B.


C)
Sell B short and buy A.


D)
Borrow at the risk free rate and buy B.


E)
Lend at the risk free rate and buy B.


Answer: B Difficulty: Easy



Rationale: Rational investors will arbitrage by selling A and buying B.

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35.
An important difference between CAPM and APT is


A)
CAPM depends on risk-return dominance; APT depends on a no arbitrage
condition.


B)
CAPM assumes many small changes are required to bring the market back to
equilibrium; APT assumes a few large changes are required to bring the market
back to equilibrium.


C)
implications for prices derived from CAPM arguments are stronger than prices
derived from APT arguments.


D)
all of the above are true.


E)
both A and B are true.


Answer: E Difficulty: Difficult



Rationale: Under the risk-return dominance argument of CAPM, when an equilibrium
price is violated many investors will make small portfolio changes, depending on their
risk tolerance, until equilibrium is restored. Under the no-arbitrage argument of APT,
each investor will take as large a position as possible so only a few investors must act to
restore equilibrium. Implications derived from APT are much stronger than those
derived from CAPM, making C an incorrect statement.



36.
A professional who searches for mispriced securities in specific areas such as
merger-target stocks, rather than one who seeks strict (risk-free) arbitrage opportunities
is engaged in


A)
pure arbitrage.


B)
risk arbitrage.


C)
option arbitrage.


D)
equilibrium arbitrage.


E)
none of the above.


Answer: B Difficulty: Moderate



Rationale: Risk arbitrage involves searching for mispricings based on speculative
information that may or may not materialize.

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