【正文】 ified portfolio bees larger its nonsystematic risk approachesoption arbitrage.D.A professional who searches for mispriced securities in specific areas such as mergertarget stocks, rather than one who seeks strict (riskfree) arbitrage opportunities is engaged in APT assumes a few large changes are required to bring the market back to equilibrium, implications for prices derived from CAPM arguments are stronger than prices derived from APT arguments.E. APT assumes a few large changes are required to bring the market back to equilibrium.C.A.borrow at the risk free rate and buy B.E.A.that the model provides specific guidance concerning the determination of the risk premiums on the factor portfolios and that the model does not require a specific benchmark market portfolio.E.A.the business cycle, interest rate fluctuations, and inflation rates.E.A.only factor risk mands a risk premium in market equilibrium and only systematic risk is related to expected returns.E.A.variability of coefficients of sensitivity to the APT factors for a given asset over timeE.A.recognizes multiple systematic risk factorsE.A.the capital asset pricing modelE.A.a riskfree arbitrage opportunity existsE.A.6%E.A.6%E.A. CE. A and CC.A.%E.A.%E.A.%E.A.B.B.%%B.$1,600?$1,000B.%%B.%%B.%2%B.B.B.%%B.No arbitrage opportunity exists.B。A。 the riskless asset AD. AB.13.CAPM。APT。The ____________ provides an unequivocal statement on the expected returnbeta relationship for all assets, whereas the _____________ implies that this relationship holds for all but perhaps a small number of securities.pricing error.D.In developing the APT, Ross assumed that uncertainty in asset returns was a result offactoringD.The exploitation of security mispricing in such a way that riskfree economic profits may be earned is called ___________.indexD.A _________ portfolio is a welldiversified portfolio constructed to have a beta of 1 on one of the factors and a beta of 0 on any other factor.RossD.The APT was developed in 1976 by ____________.zeroD.An arbitrage opportunity exists if an investor can construct a __________ investment portfolio that will yield a sure profit.Both the CAPM and the multifactor APTD.Which pricing model provides no guidance concerning the determination of the risk premium on factor portfolios?idiosyncratic riskD.In a multifactor APT model, the coefficients on the macro factors are often called ______.idiosyncratic riskD.In a multifactor APT model, the coefficients on the macro factors are often called ______.idiosyncratic riskD.In a multifactor APT model, the coefficients on the macro factors are often called ______.4%D.Consider the multifactor APT with two factors. Stock A has an expected return of %, a beta of on factor 1 and a beta of .86 on factor 2. The risk premium on the factor 1 portfolio is %. The riskfree rate of return is 5%. What is the riskpremium on factor 2 if no arbitrage opportunities exit?Both CAPM and APT stipulateD.___________ a relationship between expected return and risk.Chapter 10 Arbitrage Pricing Theory and Multifactor Models of Risk and ReturnChapter 10Arbitrage Pricing Theory and Multifactor Models of Risk and Return A.Neither CAPM nor APT stipulateE.A.%E.A.factor betasE.A.factor betasE.A.factor loadingsE.A.Neither the CAPM nor the multifactor APTE.A.large positiveE.A.SharpeE.A.factor and marketE.A.fundamental analysisE.A.neither mon macroeconomic factors nor firmspecific factors.E.A. OPMC. OPME.Consider a single factor APT. Portfolio A has a beta of and an expected return of 16%. Portfolio B has a beta of and an expected return of 12%. The riskfree 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。B。14. AB. AD.15.%C.16.C.17.C.18.3%C.19.%C.20.%C.21.$0C.22.%C.23.C.24.C.%B.%%B.%?%B.%A。C。No arbitrage opportunity exists.3%B.2%3%B.2%an investor has downside risk onlyB.a riskfree arbitrage opportunity does not exista dominance argumentB.the SMLplaces more emphasis on market riskB.places more emphasis on systematic riskuse of several factors instead of a single market index to explain the riskreturn relationshipB.superior measurement of the riskfree rate of return over historical time periods and variability of coefficients of sensitivity to the APT factors for a given asset over timeonly factor risk mands a risk premium in market equilibrium.B.only factor risk mands a risk premium in market equilibrium and only nonsystematic risk is related to expected returns.the business cycle.B.the relationship between past FRED spreads.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 and that risk need not be considered.borrow at the risk free rate and buy A.B.lend at the risk free rate and buy B.CAPM depends on riskreturn dominance。implications for prices derived from CAPM arguments are stronger than prices derived from APT arguments.D.CAPM depends on riskreturn dominance。A.equilibrium arbitrage.E.A.negative one.E.A.a portfolio that is equally weighted.E.A.that is welldiversified and lies on the SML.E.A.II and IV are correct.E.A.%E.A.negotiating for favorable brokerage fees.E.A.I, III, and IVE.A.the deviation from its expected value of a factor that affects all security returns.E.A.%E.A.%E.A.%E.A.%E.A.The benchmark portfolio for the SML may b