【正文】 ffset each other. A fully diversified portfolio has no unsystematic risk. The CAPM can be viewed as a special case of the APT. Empirical models try to capture the relations between returns and stock attributes that can be measured directly from the data without appeal to theory. ε F β F β F β R R S S GDP GDP I I + + + + = McGrawHill/Irwin Corporate Finance, 7/e 169。 2021 The McGrawHill Companies, Inc. All Rights Reserved. 1133 Multiple Choice Questions 1. Both the APT and the CAPM imply a positive relationship between expected return and risk. The APT views risk A) very similarly to the CAPM via the beta of the security. B) in terms of individual intersecurity correlation versus the beta of the CAPM. C) via the industry wide or marketwide factors creating correlation between securities. D) the standardized deviation of the covariance. E) None of the above. McGrawHill/Irwin Corporate Finance, 7/e 169。 2021 The McGrawHill Companies, Inc. All Rights Reserved. 1134 Answer: C McGrawHill/Irwin Corporate Finance, 7/e 169。 2021 The McGrawHill Companies, Inc. All Rights Reserved. 1135 2. In the equation R = + U, the three symbols stand for: A) average return, expected return, and unexpected return. B) required return, expected return, and unbiased return. C) actual total return, expected return, and unexpected return. D) required return, expected return, and unbiased risk. E) risk, expected return, and unsystematic risk. RMcGrawHill/Irwin Corporate Finance, 7/e 169。 2021 The McGrawHill Companies, Inc. All Rights Reserved. 1136 Answer: C McGrawHill/Irwin Corporate Finance, 7/e 169。 2021 The McGrawHill Companies, Inc. All Rights Reserved. 1137 3. Which of the following is true about the impact on market price of a security when a pany makes an announcement and the market has discounted the news? A) The price will change a great deal。 even though the impact is primarily in the future, the future value is discounted to the present. B) The price will change little, if at all, since the impact is primarily in the future. C) The price will change little, if at all, since the market considers this information unimportant. D) The price will change little, if at all, since the market considers this information untrue. E) The price will change little, if at all, since the market has already included this information in the security39。s price. McGrawHill/Irwin Corporate Finance, 7/e 169。 2021 The McGrawHill Companies, Inc. All Rights Reserved. 1138 Answer: E McGrawHill/Irwin Corporate Finance, 7/e 169。 2021 The McGrawHill Companies, Inc. All Rights Reserved. 1139 risk is defined as A) a risk that specifically affects an asset or small group of assets. B) any risk that affects a large number of assets. C) any risk that has a huge impact on the return of a security. D) the random ponent of return. E) None of the above. McGrawHill/Irwin Corporate Finance, 7/e 169。 2021 The McGrawHill Companies, Inc. All Rights Reserved. 1140 Answer: B McGrawHill/Irwin Corporate Finance, 7/e 169。 2021 The McGrawHill Companies, Inc. All Rights Reserved. 1141 The systematic response coefficient for productivity, bP, would produce an unexpected change in any security return of __ bP if the expected rate of productivity was % and the actual rate was %. A) % B) % C) % D) % E) % McGrawHill/Irwin Corporate Finance, 7/e 169。 2021 The McGrawHill Companies, Inc. All Rights Reserved. 1142 Answer: A Rationale: Ri = bPFP = bP( )= b