【正文】 e any welldiversified portfolio.E.A.The benchmark portfolio for the SML may be any welldiversified portfolio.E.s expected excess return must beproportional to its weight in the market portfolio.D.Suppose you are working with two factor portfolios, Portfolio 1 and Portfolio 2. The portfolios have expected returns of 15% and 6%, respectively. Based on this information, what would be the expected return on welldiversified portfolio A, if A has a beta of on the first factor and on the second factor? The riskfree rate is 3%.%D.Which of the following is (are) true regarding the APT?I) The Security Market Line does not apply to the APT.II) More than one factor can be important in determining returns.III) Almost all individual securities satisfy the APT relationship.IV) It doesn39。II and IVC.58.nonfactor risk.C.59.Change in expected inflationC.60.Change in expected inflationC.61.Excess return of small stocks over large stocks.C.62.C.63.C.64.they are sources of systematic riskC.65.incorporating firmspecific ponents into the pricing model.C.66.expanding beyond one factor to represent sources of systematic risk.B.ignoring firmspecific risk.%B.%B..95%B.%A。B。A。A. BC. BE.A.%E.A.%E.A.E.75.77.79.Name three variables that Chen, Roll, and Ross used to measure the impact of macroeconomic factors on security returns. Briefly explain the reasoning behind their model.1.CAPM stipulatesC.AACSB: AnalyticBloom39。A.%E.s: ApplyDifficulty: ChallengeTopic: APTsystemic riskB.both factor sensitivities and factor betasThe coefficients are called factor betas, factor sensitivities, or factor loadings.In a multifactor APT model, the coefficients on the macro factors are often called ______.idiosyncratic riskD.s: RememberDifficulty: BasicTopic: APTsystemic riskB.unique riskThe coefficients are called factor betas, factor sensitivities, or factor loadings.Which pricing model provides no guidance concerning the determination of the risk premium on factor portfolios?Both the CAPM and the multifactor APTD.s: RememberDifficulty: IntermediateTopic: APT and CAPMsmall positiveB.large negativeIf the investor can construct a。zeroD.An arbitrage opportunity exists if an investor can construct a __________ investment portfolio that will yield a sure profit.No pricing model currently exists that provides guidance concerning the determination of the risk premium on any portfolio.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 riskfree rate is the market premium in the single factor CAPM.The CAPMB.s: RememberDifficulty: BasicTopic: APTidiosyncratic riskD.In a multifactor APT model, the coefficients on the macro factors are often called ______.unique riskThe coefficients are called factor betas, factor sensitivities, or factor loadings.systemic riskB.s: RememberDifficulty: BasicTopic: APTidiosyncratic riskD.In a multifactor APT model, the coefficients on the macro factors are often called ______. x = .3%C.2.Neither CAPM nor APT stipulateE.A. explain how an investor can take advantage of it. Give specific details about how to form the portfolio, what to buy and what to sell.78.76.C.74.%C.73.%C.72. AD. AB.71.B。A。Consider a single factor APT. Portfolio A has a beta of and an expected return of 22%. Portfolio B has a beta of and an expected return of 17%. The riskfree rate of return is 4%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio __________ and a long position in portfolio _______.%D.Consider a welldiversified portfolio, A, in a twofactor economy. The riskfree rate is 5%, the risk premium on the first factor portfolio is 4% and the risk premium on the second factor portfolio is 6%. If portfolio A has a beta of on the first factor and on the second factor, what is its expected return?D.Consider the multifactor APT. The risk premiums on the factor 1 and factor 2 portfolios are 6% and 4%, respectively. The riskfree rate of return is 4%. Stock A has an expected return of 16% and a beta on factor 1 of . Stock A has a beta on factor 2 of ________.%D.Consider the multifactor model APT with three factors. Portfolio A has a beta of on factor 1, a beta of on factor 2, and a beta of on factor 3. The risk premiums on the factor 1, factor 2, and factor 3 are 3%, 5% and 2%, respectively. The riskfree rate of return is 3%. The expected return on portfolio A is __________ if no arbitrage opportunities exist.calculating beta coefficients by an alternative method.D. returns bymodeling the systematic ponent of firm returns in greater detail, incorporating firmspecific ponents into the pricing model, and allowing for multiple economic factors to have differential effects.E.A.they are more appropriate for a singlefactor modelE.A.E.A.E.A.All of these factors were included in their model.E.A.Change in expected inflation and Change in unanticipated inflationE.A.Excess return of longterm government bonds over TbillsE.A.both factor risk and nonfactor risk.E.A.I, II, and IVE.A.%%B.proportional to its beta coefficient.inversely proportional to the riskfree rate.B.55.The SML for the APT shows expected return in relation to portfolio standard deviation.C.54.The SML for the APT shows expected return in relation to portfolio standard deviation.C.53.625%C.52.625%C.51.625%C.50.625%C.49.the sensitivity of the firm to that factor.C.48.I and IIIC.47.short selling high and buying low.C.46.