【正文】 t is the nonsystematic standard deviation of an equallyweighted portfolio that has an average value of s(ei) equal to 18% and 250 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?The factor F in the APT model representsThe term arbitrage refers toImposing 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.A welldiversified portfolio is defined asA professional who searches for mispriced securities in specific areas such as mergertarget stocks, rather than one who seeks strict (riskfree) arbitrage opportunities is engaged inborrow at the risk free rate and buy B.E.the business cycle, interest rate fluctuations, and inflation rates.E.variability of coefficients of sensitivity to the APT factors for a given asset over timeE.the capital asset pricing modelE.6%E.%E.%E.B.%B.%B.2%B.B.B。 AB.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.The exploitation of security mispricing in such a way that riskfree economic profits may be earned is called ___________.The APT was developed in 1976 by ____________.Which pricing model provides no guidance concerning the determination of the risk premium on factor portfolios?In a multifactor APT model, the coefficients on the macro factors are often called ______.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?A.A.A.A.A.A. OPME.14.%C.C.%C.$0C.C.%C。2%a riskfree arbitrage opportunity does not existplaces more emphasis on systematic riskonly factor risk mands a risk premium in market equilibrium and only nonsystematic risk is related to expected returns.that the model does not require a specific benchmark market portfolio and that risk need not be considered.implications for prices derived from CAPM arguments are stronger than prices derived from APT arguments.D.A.A.A.A.A.A.A.s expected excess return must beWhich 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。59.61.63.65.ignoring firmspecific risk..95B。 BE.%E.A.both factor sensitivities and factor betasThe coefficients are called factor betas, factor sensitivities, or factor loadings.systemic riskB.s: RememberDifficulty: IntermediateTopic: APT and CAPMAn arbitrage opportunity exists if an investor can construct a __________ investment portfolio that will yield a sure profit.idiosyncratic riskD.s: RememberDifficulty: BasicTopic: APT3%C. 76.74.72.B。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 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.A.A.A.A.A.inversely proportional to the riskfree rate.B.The SML for the APT shows expected return in relation to portfolio standard deviation.C.625%C.625%C.I and IIIC.%C.that contains all securities in proportion to their market values.C.infinity.C. APT depends on a no arbitrage condition, CAPM assumes many small changes are required to bring the market back to equilibrium。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 willThe following factors might affect stock returns:The feature of the APT that offers the greatest potential advantage over the CAPM is the ______________.An investor will take as large a position as possible when an equilibrium price relationship is violated. This is an example of _________.Assuming no arbitrage opportunities exist, the risk premium on the factor F2 portfolio should be ___________.A and B。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 invested in an equally weighted portfolio of stocks A and B, your portfolio return would be ___________ if economic growth were moderate.E.$2,000E.%E.E.%E.A. CAPMfirmspecific factors.C.marketC.small negativeC.firmspecific riskC.factor sensitivitiesC.CAPM stipulatesC.No pricing model has foundboth factor sensitivities and factor betasunique risklarge negativefactor, market, and indexboth mon macroecon