投资学第7版TestBank答案10.docx
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投资学第7版TestBank答案10.docx
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投资学第7版TestBank答案10
MultipleChoiceQuestions
1.___________arelationshipbetweenexpectedreturnandrisk.
A)APTstipulates
B)CAPMstipulates
C)BothCAPMandAPTstipulate
D)NeitherCAPMnorAPTstipulate
E)Nopricingmodelhasfound
Answer:
CDifficulty:
Easy
Rationale:
Bothmodelsattempttoexplainassetpricingbasedonrisk/returnrelationships.
2.Whichpricingmodelprovidesnoguidanceconcerningthedeterminationoftheriskpremiumonfactorportfolios?
A)TheCAPM
B)ThemultifactorAPT
C)BoththeCAPMandthemultifactorAPT
D)NeithertheCAPMnorthemultifactorAPT
E)Noneoftheaboveisatruestatement.
Answer:
BDifficulty:
Moderate
Rationale:
ThemultifactorAPTprovidesnoguidanceastothedeterminationoftheriskpremiumonthevariousfactors.TheCAPMassumesthattheexcessmarketreturnovertherisk-freerateisthemarketpremiuminthesinglefactorCAPM.
3.Anarbitrageopportunityexistsifaninvestorcanconstructa__________investmentportfoliothatwillyieldasureprofit.
A)positive
B)negative
C)zero
D)alloftheabove
E)noneoftheabove
Answer:
CDifficulty:
Easy
Rationale:
Iftheinvestorcanconstructaportfoliowithouttheuseoftheinvestor'sownfundsandtheportfolioyieldsapositiveprofit,arbitrageopportunitiesexist.
4.TheAPTwasdevelopedin1976by____________.
A)Lintner
B)ModiglianiandMiller
C)Ross
D)Sharpe
E)noneoftheabove
Answer:
CDifficulty:
Easy
Rationale:
Rossdevelopedthismodelin1976.
5.A_________portfolioisawell-diversifiedportfolioconstructedtohaveabetaof1ononeofthefactorsandabetaof0onanyotherfactor.
A)factor
B)market
C)index
D)AandB
E)A,B,andC
Answer:
ADifficulty:
Easy
Rationale:
Afactormodelportfoliohasabetaof1onefactor,withzerobetasonotherfactors.
6.Theexploitationofsecuritymispricinginsuchawaythatrisk-freeeconomicprofitsmaybeearnediscalled___________.
A)arbitrage
B)capitalassetpricing
C)factoring
D)fundamentalanalysis
E)noneoftheabove
Answer:
ADifficulty:
Easy
Rationale:
Arbitrageisearningofpositiveprofitswithazero(risk-free)investment.
7.IndevelopingtheAPT,Rossassumedthatuncertaintyinassetreturnswasaresultof
A)acommonmacroeconomicfactor
B)firm-specificfactors
C)pricingerror
D)neitherAnorB
E)bothAandB
Answer:
EDifficulty:
Moderate
Rationale:
Totalrisk(uncertainty)isassumedtobecomposedofbothmacroeconomicandfirm-specificfactors.
8.The____________providesanunequivocalstatementontheexpectedreturn-betarelationshipforallassets,whereasthe_____________impliesthatthisrelationshipholdsforallbutperhapsasmallnumberofsecurities.
A)APT,CAPM
B)APT,OPM
C)CAPM,APT
D)CAPM,OPM
E)noneoftheabove
Answer:
CDifficulty:
Moderate
Rationale:
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
Answer:
CDifficulty:
Moderate
Rationale:
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_________.
A)A,A
B)A,B
C)B,A
D)B,B
E)noneoftheabove
Answer:
CDifficulty:
Moderate
Rationale:
A:
13%=10%+0.2F;F=15%;B:
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%
E)noneoftheabove
Answer:
CDifficulty:
Moderate
Rationale:
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
E)noneoftheabove
Answer:
BDifficulty:
Moderate
Rationale:
(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
E)noneoftheabove
Answer:
EDifficulty:
Moderate
Rationale:
A:
15%=6%+bF;B:
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%
E)noneoftheabove
Answer:
DDifficulty:
Difficult
Rationale:
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%
E)noneoftheabove
Answer:
CDifficulty:
Moderate
Rationale:
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%
E)noneoftheabove
Answer:
CDifficulty:
Moderate
Rationale:
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
E)noneoftheabove
Answer:
CDifficulty:
Moderate
Rationale:
$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%
E)noneoftheabove
Answer:
BDifficulty:
Moderate
Rationale:
A:
19%=rf+1(F);B:
24%=rf+1.5(F);5%=.5(F);F=10%;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
E)noneoftheabove
Answer:
CDifficulty:
Moderate
Rationale:
19%=10%+5%(0.8)+3%(x);x=1.67.
20.ConsiderthesinglefactorAPT.PortfoliosAandBhaveexpectedreturnsof14%and18%,respectively.Therisk-freerateofreturnis7%.PortfolioAhasabetaof0.7.Ifarbitrageopportunitiesareruledout,portfolioBmusthaveabetaof__________.
A)0.45
B)1.00
C)1.10
D)1.22
E)noneoftheabove
Answer:
CDifficulty:
Moderate
Rationale:
A:
14%=7%+0.7F;F=10;B:
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)noneoftheabove
Answer:
DDifficulty:
Easy
Rationale:
E(Rp)=0.5(17%)+0.5(15%)=16%.
22.IfyouinvestedinanequallyweightedportfolioofstocksAandC,yourportfolioreturnwouldbe
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