【正文】 CAPM stipulatesC.3%C.factor sensitivitiesC.firmspecific riskC.firmspecific riskC.The multifactor APTC.small negativeC.Modigliani and MillerC.marketC.capital asset pricingC.firmspecific factors.C. CAPMB. CAPMB。A. BE.%E.E.E.%E.%E.%E.$2,000E.%E.E.E.If you invested in an equally weighted portfolio of stocks A and B, your portfolio return would be ___________ if economic growth were moderate.If you invested in an equally weighted portfolio of stocks A and C, your portfolio return would be ____________ if economic growth was strong.If you invested in an equally weighted portfolio of stocks B and C, your portfolio return would be _____________ if economic growth was weak.If you wanted to take advantage of a riskfree arbitrage opportunity, you should take a short position in _________ and a long position in an equally weighted portfolio of _______.A and B。Assuming no arbitrage opportunities exist, the risk premium on the factor F1portfolio should be __________.Assuming no arbitrage opportunities exist, the risk premium on the factor F2 portfolio should be ___________.A zeroinvestment portfolio with a positive expected return arises when _________.An investor will take as large a position as possible when an equilibrium price relationship is violated. This is an example of _________.The APT differs from the CAPM because the APT _________.The feature of the APT that offers the greatest potential advantage over the CAPM is the ______________.In terms of the risk/return relationship in the APTThe following factors might affect stock returns:Advantage(s) of the APT is(are)Portfolio A has expected return of 10% and standard deviation of 19%. Portfolio B has expected return of 12% and standard deviation of 17%. Rational investors willAn important difference between CAPM and APT is APT depends on a no arbitrage condition, CAPM assumes many small changes are required to bring the market back to equilibrium。risk arbitrage.C.infinity.C.one that contains securities from at least three different industry sectors.C.that contains all securities in proportion to their market values.C.I and IV are correct.C.%C.short selling high and buying low.C.I and IIIC.the sensitivity of the firm to that factor.C.625%C.625%C.625%C.625%C.The SML for the APT shows expected return in relation to portfolio standard deviation.C.The SML for the APT shows expected return in relation to portfolio standard deviation.C.inversely proportional to the riskfree rate.B.%B.A.A.A.A.A.A.A.A.A. returns byConsider 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.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 ________.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?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 _______.B。 AB.72.73.74.76. Neither CAPM nor APT stipulateE.3%C.In a multifactor APT model, the coefficients on the macro factors are often called ______.s: RememberDifficulty: BasicTopic: APTunique riskThe coefficients are called factor betas, factor sensitivities, or factor loadings.idiosyncratic riskD.The CAPMB.An arbitrage opportunity exists if an investor can construct a __________ investment portfolio that will yield a sure profit.large negativeIf the investor can construct a。s: RememberDifficulty: IntermediateTopic: APT and CAPMWhich pricing model provides no guidance concerning the determination of the risk premium on factor portfolios?systemic riskB.idiosyncratic riskD.both factor sensitivities and factor betasThe coefficients are called factor betas, factor sensitivities, or factor loadings.s: ApplyDifficulty: ChallengeTopic: APTA.CAPM stipulatesC.77.E.%E.%E. BE.A.B。%.95%ignoring firmspecific risk.66.65.64.63.62.61.60.59.58.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。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%.s expected excess return must beA.A.A.A.A.A.A.A.A.A.A.A.A.A.A.implications for prices derived from CAPM arguments are stronger than prices derived from APT arguments.D.lend at the risk free rate and buy B.that the model does not require a specific benchmark market portfolio and that risk need