【正文】 2021 The McGrawHill Companies, Inc. All Rights Reserved. 1142 Answer: A Rationale: Ri = bPFP = bP( )= bP 。 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. 1138 Answer: E McGrawHill/Irwin Corporate Finance, 7/e 169。 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。 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. 1134 Answer: C McGrawHill/Irwin Corporate Finance, 7/e 169。 2021 The McGrawHill Companies, Inc. All Rights Reserved. 1132 Summary and Conclusions The APT assumes that stock returns are generated according to factor models such as: As securities are added to the portfolio, the unsystematic risks of the individual securities offset 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. 1130 The Capital Asset Pricing Model and the Arbitrage Pricing Theory APT applies to well diversified portfolios and not necessarily to individual stocks. With APT it is possible for some individual stocks to be mispriced not lie on the SML. APT is more general in that it gets to an expected return and beta relationship without the assumption of the market portfolio. APT can be extended to multifactor models. McGrawHill/Irwin Corporate Finance, 7/e 169。 2021 The McGrawHill Companies, Inc. All Rights Reserved. 1129 Relationship Between b amp。 2021 The McGrawHill Companies, Inc. All Rights Reserved. 1128 Relationship Between b amp。 2021 The McGrawHill Companies, Inc. All Rights Reserved. 1126 Portfolios and Diversification So the return on a diversified portfolio is determined by two sets of parameters: 1. The weighed average of expected returns. 2. The weighted average of the betas times the factor F. F β X β X β X R X R X R X R N N N N P ) ( 2 2 1 1 2 2 1 1 + + + + + + + = L L In a large portfolio, the only source of uncertainty is the portfolio’s sensitivity to the factor. McGrawHill/Irwin Corporate Finance, 7/e 169。 2021 The McGrawHill Companies, Inc. All Rights Reserved. 1124 Portfolios and Diversification We know that the portfolio return is the weighted average of the returns on the individual assets in the portfolio: N N i i P R X R X R X R X R + + + + + = L L 2 2 1 1 ) ( ) ( ) ( 2 2 2 2 1 1 1 1 N N N N P ε F β R X ε F β R X ε F β R X R + + + + + + + + + = L N N N N N N P ε X F β X R X ε X F β X R X ε X F β X R X R + + + + + + + + + = L 2 2 2 2 2 2 1 1 1 1 1 1 i i i i ε F β R R + + = McGrawHill/Irwin Corporate Finance, 7/e 169。 2021 The McGrawHi