【正文】 large negativeIf the investor can construct a。zeroD.small positiveB.An arbitrage opportunity exists if an investor can construct a __________ investment portfolio that will yield a sure profit.s: RememberDifficulty: IntermediateTopic: APT and CAPMNo pricing model currently exists that provides guidance concerning the determination of the risk premium on any portfolio.The multifactor APT provides no guidance as to the determination of the risk premium on the various factors. The CAPM assumes that the excess market return over the riskfree rate is the market premium in the single factor CAPM.Both the CAPM and the multifactor APTD.The CAPMB.Which pricing model provides no guidance concerning the determination of the risk premium on factor portfolios?s: RememberDifficulty: BasicTopic: APTunique riskThe coefficients are called factor betas, factor sensitivities, or factor loadings.idiosyncratic riskD.systemic riskB.In a multifactor APT model, the coefficients on the macro factors are often called ______.s: RememberDifficulty: BasicTopic: APTunique riskThe coefficients are called factor betas, factor sensitivities, or factor loadings.idiosyncratic riskD.systemic riskB.In a multifactor APT model, the coefficients on the macro factors are often called ______.s: RememberDifficulty: BasicTopic: APTboth factor sensitivities and factor betasThe coefficients are called factor betas, factor sensitivities, or factor loadings.idiosyncratic riskD.systemic riskB.In a multifactor APT model, the coefficients on the macro factors are often called ______.s: ApplyDifficulty: ChallengeTopic: APT x = .%E.3%C.A.2.AACSB: AnalyticBloom39。Neither CAPM nor APT stipulateE.CAPM stipulatesC.A.1. Name three variables that Chen, Roll, and Ross used to measure the impact of macroeconomic factors on security returns. Briefly explain the reasoning behind their model. explain how an investor can take advantage of it. Give specific details about how to form the portfolio, what to buy and what to sell.79.78.77.76.75.E.C.A.74.%E.%C.A.73.%E.%C.A.72. BE. AD. BC. AB.A.71.A。B。B。A。A。Consider a single factor APT. Portfolio A has a beta of and an expected return of 22%. Portfolio B has a beta of and an expected return of 17%. The riskfree rate of return is 4%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio __________ and a long position in portfolio _______.%%D.%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?.95D.B.Consider the multifactor APT. The risk premiums on the factor 1 and factor 2 portfolios are 6% and 4%, respectively. The riskfree rate of return is 4%. Stock A has an expected return of 16% and a beta on factor 1 of . Stock A has a beta on factor 2 of ________.%%D.%B.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.ignoring firmspecific risk.calculating beta coefficients by an alternative method.D.expanding beyond one factor to represent sources of systematic risk.B. returns by66.modeling the systematic ponent of firm returns in greater detail, incorporating firmspecific ponents into the pricing model, and allowing for multiple economic factors to have differential effects.E.incorporating firmspecific ponents into the pricing model.C.A.65.they are more appropriate for a singlefactor modelE.they are sources of systematic riskC.A.64.E.C.A.63.E.C.A.62.All of these factors were included in their model.E.Excess return of small stocks over large stocks.C.A.61.Change in expected inflation and Change in unanticipated inflationE.Change in expected inflationC.A.60.Excess return of longterm government bonds over TbillsE.Change in expected inflationC.A.59.both factor risk and nonfactor risk.E.nonfactor risk.C.A.58.I, II, and IVE.II and IVC.A.Which 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。%%D.%B.Suppose you are working with two factor portfolios, Portfolio 1 and Portfolio 2. The portfolios have expected returns of 15% and 6%, respectively. Based on this information, what would be the expected return on welldiversified portfolio A, if A has a beta of on the first factor and on the second factor? The riskfree rate is 3%.proportional to its beta coefficient.proportional to its weight in the market portfolio.D.inversely proportional to the riskfree rate.B.s expected excess return must be55.The benchmark portfolio for the SML may be any welldiversified portfolio.E.The SML for the APT shows expected return in relation to portfolio standard deviation.C.A.54.The benchmark portfolio for the SML may be any welldiversified portfolio.E.The SML for the APT shows expected return in relation to portfolio standard deviation.C.A.53.%E.625%C.A.52.%E.625%C.A.51.%E.625%C.A.50.%E.625%C.A.49.the deviation from its expected