Multiple Choice Questi ons
1. ____________ a relati on ship betwee n expected retur n 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
An swer: C Difficulty: Easy
Rati on ale: Both models attempt to explai n asset 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 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.
An swer: B Difficulty: Moderate
Rati 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 arbitrage opport unity exists if an in vestor can con struct a ___ inv estme nt
portfolio that will yield a sure profit. A) positive B) negative C) zero
D) all of the above E) none of the above
An swer: C Difficulty: Easy
Rati on ale: If the inv estor can con struct a portfolio without the use of the in vestor's own funds and the portfolio yields a positive profit, arbitrage opport un ities exist.
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.
7. In developing the APT, Ross assumed that uncertainty in asset returns was a result of
8.9.of
A) a com mon macroec ono mic factor B) firm-specific factors C) pricing error D) neither A nor B E)
both A and B
An swer: E Difficulty: Moderate
Rati on ale: Total risk (un certa in ty) is assumed to be composed of both macroec ono mic and firm-specific factors.
The _______________ provides an unequivocal statement on the expected return-beta
relati on ship for all assets, whereas the _________ implies that this relati on ship
holds for all but perhaps a small nu mber of securities. A) APT, CAPM B) APT, OPM C) CAPM, APT D) CAPM, OPM
E) none of the above
An swer: C Difficulty: Moderate
Rati 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. Consider a single factor APT. Portfolio A has a beta of 1.0 and an expected return 16%. 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 oninportfolio and ________________ a longpositi ______ on in portfolio . A) A, A B) A, B C) B, A
D) B, B
E) A, theriskless asset
An swer: C Difficulty: Moderate
Ratio 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.
投资学第7版TestBank答案10
