投資學(xué)10版習(xí)題答案10-wenkub
2023-07-08 13:53:20 本頁(yè)面
【正文】 FA PROBLEMS1. a. This statement is incorrect. The CAPM requires a meanvariance efficient market portfolio, but APT does not.b. This statement is incorrect. The CAPM assumes normally distributed security returns, but APT does not.c. This statement is correct.2. b. Since portfolio X has b = , then X is the market portfolio and E(RM) =16%. Using E(RM ) = 16% and rf = 8%, the expected return for portfolio Y is not consistent.3. d. 4. c.5. d.6. c. Investors will take on as large a position as possible only if the mispricing opportunity is an arbitrage. Otherwise, considerations of risk and diversification will limit the position they attempt to take in the mispriced security.7. d.8. d.109Copyright 169。Chapter 10 Arbitrage Pricing Theory and Multifactor Models of Risk and ReturnCHAPTER 10: ARBITRAGE PRICING THEORY AND MULTIFACTOR MODELS OF RISK AND RETURNPROBLEM SETS1. The revised estimate of the expected rate of return on the stock would be the old estimate plus the sum of the products of the unexpected change in each factor times the respective sensitivity coefficient:Revised estimate = 12% + [(1 2%) + ( 3%)] = %Note that the IP estimate is puted as: 1 (5% 3%), and the IR estimate is puted as: (8% 5%).2. The APT factors must correlate with major sources of uncertainty, ., sources of uncertainty that are of concern to many investors. Researchers should investigate factors that correlate with uncertainty in consumption and investment opportunities. GDP, the inflation rate, and interest rates are among the factors that can be expected to determine risk premiums. In particular, industrial production (IP) is a good indicator of changes in the business cycle. Thus, IP is a candidate for a factor that is highly correlated with uncertainties that have to do with investment and consumption opportunities in the economy.3. Any pattern of returns can be explained if we are free to choose an indefinitely large number of explanatory factors. If a theory of asset pricing is to have value, it must explain returns using a reasonably limited number of explanatory variables (., systematic factors such as unemployment levels, GDP, and oil prices).4. Equation applies here:E(rp ) = rf + βP1 [E(r1 ) rf ] + βP2 [E(r2 ) – rf ]We need to find the risk premium (RP) for each of the two factors:RP1 = [E(r1 ) rf ] and RP2 = [E(r2 ) rf ]In order to do so, we solve the following system of two equations with two unknowns:.31 = .06 + ( RP1 ) + ( RP2 ).27 = .06 + ( RP1 ) + [(–) RP2 ]The solution to this set of equations isRP1 = 10% and RP2 = 5%Thus, the expected returnbeta relationship isE(rP ) = 6% + (βP1 10%) + (βP2 5%) 5. The expected return for portfolio F equals the riskfree rate since its beta equals 0.For portfolio A, the ratio of risk premium to beta is (12 ? 6)/ = 5For portfolio E, the ratio is lower at (8 – 6)/ = This implies that an arbitrage opportunity exists. For instance, you can create a portfolio G with beta equal to (the same as E’s) by bining portfolio A and portfolio F in equal weights. The expected return and beta for portfolio G are then:E(rG ) = ( 12%) + ( 6%) = 9%βG = ( ) + ( 0%) =
職業(yè)教育相關(guān)推薦
鄂ICP備17016276號(hào)-1