【正文】 ncluded in their modelNone of these factors were included in their model.they are macroeconomic factorsnone of these statements are true.using only stocks with relatively stable returns.E.%E.E.%E. BC.Consider the single factor APT. Portfolio A has a beta of and an expected return of 12%. Portfolio B has a beta of and an expected return of 13%. The riskfree rate of return is 5%. 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。%D.%D.D.Discuss the similarities and the differences between the CAPM and the APT with regard to the following factors: capital market equilibrium, assumptions about risk aversion, riskreturn dominance, and the number of investors required to restore equilibrium.APT stipulatesB.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?AACSB: AnalyticBloom39。factor betasE.firmspecific riskC.A.6.AACSB: AnalyticBloom39。large positiveE.A.The multifactor APTC.factor loadingsE.AACSB: AnalyticBloom39。4.A.4%D.No pricing model has foundBoth models attempt to explain asset pricing based on risk/return relationships.Multiple Choice Questions80.Discuss the advantages of the multifactor APT over the single factor APT and the CAPM. What is one shorting of the multifactor APT and how does this shorting pare to CAPM implications?Short Answer QuestionsConsider the onefactor APT. The standard deviation of returns on a welldiversified portfolio is 22%. The standard deviation on the factor portfolio is 14%. The beta of the welldiversified portfolio is approximately __________.Consider the onefactor APT. The variance of returns on the factor portfolio is 11%. The beta of a welldiversified portfolio on the factor is . The variance of returns on the welldiversified portfolio is approximately __________.Consider the onefactor APT. The variance of returns on the factor portfolio is 9%. The beta of a welldiversified portfolio on the factor is . The variance of returns on the welldiversified portfolio is approximately __________.A。 BE.A.A.A.A.A.modeling the systematic ponent of firm returns in greater detail.B.they may result from data snoopingB.B.B.Return on the market index.B.Change in industrial wasteB.Change in industrial productionB.factor risk.B.II, III, and IVB.%C.inversely proportional to its standard deviation.C.The SML for the APT has an intercept equal to the expected return on the market portfolio.D.The SML for the APT has an intercept equal to the expected return on the market portfolio.D.%D.%D.%D.%D.a factor that affects all security returns.D.II and IIID.earning riskfree economic profits.D.%D.II and III are correct.D.that need not be welldiversified.D.a portfolio whose factor beta equals .D.zero.D.option arbitrage.D. 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.A.A.A.A.A.A.A.A.A.A.A. CE.A.A.A.A.%$1,600%%%%No arbitrage opportunity exists.A。 AD.13.APT。pricing error.D.factoringD.indexD.RossD.zeroD.Both the CAPM and the multifactor APTD.idiosyncratic riskD.idiosyncratic riskD.idiosyncratic riskD.4%D.Both CAPM and APT stipulateD.Chapter 10 Arbitrage Pricing Theory and Multifactor Models of Risk and ReturnChapter 10Arbitrage Pricing Theory and Multifactor Models of Risk and Return Neither CAPM nor APT stipulateE.%E.factor betasE.factor betasE.factor loadingsE.Neither the CAPM nor the multifactor APTE.large positiveE.SharpeE.factor and marketE.fundamental analysisE.neither mon macroeconomic factors nor firmspecific factors.E. OPMC.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 _______.B。 AB.15.16.17.18.19.20.21.22.23.24.%B.%B.?%B.A。No arbitrage opportunity exists.3%B.3%B.an investor has downside risk onlyB.a dominance argumentB.places more emphasis on market riskB.use of several factors instead of a single market index to explain the riskreturn relationshipB.only factor risk mands a risk premium in market equilibrium.B.the business cycle.B.that the model provides specific guidance concerning the determination of the risk premiums on the factor portfolios.B.borrow at the risk free rate and buy A.B.CAPM depends on riskreturn dominance。CAPM depends on riskreturn dominance。equilibrium arbitrage.E.negative one.E.a portfolio that is equally weighted.E.that is welldiversified and lies on the SML.E.II and IV are correct.E.%E.negotiating for favorable brokerage fees.E.I, III, and IVE.the deviation from its expected value of a factor that affects all security returns.E.%E.%E.%E.%E.The benchmark portfolio for the SML may be any welldiversified portfolio.E.The benchmark portfolio for the SML may be any welldiversified portfolio.E.proportional to its weight in the market portfolio.D.%D.II and IVC.nonfactor risk.C.Change in expected inflationC.Change in expected inflationC.Excess return of sma