【正文】 not be considered.the relationship between past FRED spreads.only factor risk mands a risk premium in market equilibrium and only nonsystematic risk is related to expected returns.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 timeplaces more emphasis on systematic riskthe SMLa riskfree arbitrage opportunity does not exist2%2%C。%%%C.C.%C.$0C.%C.%C.3%C.C.C.%C. AD.14.A。 OPME.A.A.A.A.A.A.A.A.A.A.A.A.___________ a relationship between expected return and risk.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?In a multifactor APT model, the coefficients on the macro factors are often called ______.In a multifactor APT model, the coefficients on the macro factors are often called ______.In a multifactor APT model, the coefficients on the macro factors are often called ______.Which pricing model provides no guidance concerning the determination of the risk premium on factor portfolios?An arbitrage opportunity exists if an investor can construct a __________ investment portfolio that will yield a sure profit.The APT was developed in 1976 by ____________.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.The exploitation of security mispricing in such a way that riskfree economic profits may be earned is called ___________.In developing the APT, Ross assumed that uncertainty in asset returns was a result ofThe ____________ 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.CAPM。 AB. the riskless assetB。%B.B.B.2%B.%B.%B.?$1,000B.%B.B.B.%E.%E.%E. A and CC.6%E.6%E.a riskfree arbitrage opportunity existsE.the capital asset pricing modelE.recognizes multiple systematic risk factorsE.variability of coefficients of sensitivity to the APT factors for a given asset over timeE.only factor risk mands a risk premium in market equilibrium and only systematic risk is related to expected returns.E.the business cycle, interest rate fluctuations, and inflation rates.E.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.borrow at the risk free rate and buy B.E. APT assumes a few large changes are required to bring the market back to equilibrium.C.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 inIn the context of the Arbitrage Pricing Theory, as a welldiversified portfolio bees larger its nonsystematic risk approachesA welldiversified portfolio is defined asThe APT requires a benchmark portfolioImposing the noarbitrage condition on a singlefactor security market implies which of the following statements?I) the expected returnbeta relationship is maintained for all but a small number of welldiversified portfolios.II) the expected returnbeta relationship is maintained for all welldiversified portfolios.III) the expected returnbeta relationship is maintained for all but a small number of individual securities.IV) the expected returnbeta relationship is maintained for all individual securities.Consider a welldiversified portfolio, A, in a twofactor economy. The riskfree rate is 6%, the risk premium on the first factor portfolio is 4% and the risk premium on the second factor portfolio is 3%. If portfolio A has a beta of on the first factor and .8 on the second factor, what is its expected return?The term arbitrage refers toTo take advantage of an arbitrage opportunity, an investor would I) construct a zero investment portfolio that will yield a sure profit.II) construct a zero beta investment portfolio that will yield a sure profit.III) make simultaneous trades in two markets without any net investment.IV) short sell the asset in the lowpriced market and buy it in the highpriced market.The factor F in the APT model representsIn the APT model, what is the nonsystematic standard deviation of an equallyweighted portfolio that has an average value of s(ei) equal to 25% and 50 securities?In the APT model, what is the nonsystematic standard deviation of an equallyweighted portfolio that has an average value of s(ei) equal to 20% and 20 securities?In the APT model, what is the nonsystematic standard deviation of an equallyweighted portfolio that has an average value of s(ei) equal to 20% and 40 securities?In the APT model, what is the nonsystematic standard deviation of an equallyweighted portfolio that has an average value of s(ei) equal to 18% and 250 securities?Which of the following is true about the security market line (SML) derived from the APT?Which of the following is false about the security market line (SML) derived from the APT?If arbitrage opportunities are to be ruled out, each welldiversified portfolio39。56.57.I, II, III, and IVThere is no relationship between factor risk, risk premiums, and returns.Neither the change in industrial production, change in expected inflation, change in unanticipated inflation, nor excess return of longterm government bonds over Tbills were included in their model.All of these factors were i