【正文】 value of a factor that affects all security returns.E.the sensitivity of the firm to that factor.C.A.48.I, III, and IVE.I and IIIC.A.47.negotiating for favorable brokerage fees.E.short selling high and buying low.C.A.46.%E.%C.A.45.II and IV are correct.E.I and IV are correct.C.A.44.that is welldiversified and lies on the SML.E.that contains all securities in proportion to their market values.C.A.43.a portfolio that is equally weighted.E.one that contains securities from at least three different industry sectors.C.A.42.negative one.E.infinity.C.A.41.equilibrium arbitrage.E.risk arbitrage.C.A.40.CAPM depends on riskreturn dominance。 APT depends on a no arbitrage condition, CAPM assumes many small 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.D.CAPM assumes many small changes are required to bring the market back to equilibrium。CAPM depends on riskreturn dominance。An important difference between CAPM and APT islend at the risk free rate and buy B.sell B short and buy A.D.borrow at the risk free rate and buy A.B.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 willthat the model does not require a specific benchmark market portfolio and that risk need not be considered.that risk need not be considered.D.that the model provides specific guidance concerning the determination of the risk premiums on the factor portfolios.B.Advantage(s) of the APT is(are)the relationship between past FRED spreads.inflation rates.D.the business cycle.B.The following factors might affect stock returns:only factor risk mands a risk premium in market equilibrium and only nonsystematic risk is related to expected returns.only nonsystematic risk is related to expected returns.D.only factor risk mands a risk premium in market equilibrium.B.In terms of the risk/return relationship in the APTsuperior measurement of the riskfree rate of return over historical time periods and variability of coefficients of sensitivity to the APT factors for a given asset over timesuperior measurement of the riskfree rate of return over historical time periodsD.use of several factors instead of a single market index to explain the riskreturn relationshipB.The feature of the APT that offers the greatest potential advantage over the CAPM is the ______________.places more emphasis on systematic riskrecognizes multiple unsystematic risk factorsD.places more emphasis on market riskB.The APT differs from the CAPM because the APT _________.the SMLa riskfree arbitrageD.a dominance argumentB.An investor will take as large a position as possible when an equilibrium price relationship is violated. This is an example of _________.a riskfree arbitrage opportunity does not existthe opportunity set is not tangent to the capital allocation lineD.an investor has downside risk onlyB.A zeroinvestment portfolio with a positive expected return arises when _________.2%5%D.3%B.Assuming no arbitrage opportunities exist, the risk premium on the factor F2 portfolio should be ___________.2%5%D.3%B.Assuming no arbitrage opportunities exist, the risk premium on the factor F1portfolio should be __________.Consider the multifactor APT. There are two independent economic factors, F1and F2. The riskfree rate of return is 6%. The following information is available about two welldiversified portfolios:No arbitrage opportunity exists.A and B。C。B。A。If you wanted to take advantage of a riskfree arbitrage opportunity, you should take a short position in _________ and a long position in an equally weighted portfolio of _______.%%D.?%B.If you invested in an equally weighted portfolio of stocks B and C, your portfolio return would be _____________ if economic growth was weak.%%D.%B.If you invested in an equally weighted portfolio of stocks A and C, your portfolio return would be ____________ if economic growth was strong.%%D.%B.If you invested in an equally weighted portfolio of stocks A and B, your portfolio return would be ___________ if economic growth were moderate. economic growth may be strong, moderate, or weak. The returns for the uping year on stocks A, B, and C for each of these states of nature are given below:E.C.A.24.E.C.A.23.%E.%C.A.22.$2,000E.$0C.A.21.%E.%C.A.20.%E.%C.A.19.%E.3%C.A.18.E.C.A.17.E.C.A.16.%E.%C.A.15. BE. AD. BC. AB.A.14.A。B。B。A。A。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 _______. CAPM OPME. APTD. OPMC. CAPMB.A.12.neither mon macroeconomic factors nor firmspecific factors.E.firmspecific factors.C.A.11.fundamental analysisE.capital asset pricingC.A.10.factor and marketE.marketC.A.9.SharpeE.Modigliani and MillerC.A.8.large positiveE.small negativeC.A.7.Neither the CAPM nor the multifactor APTE.The multifactor APTC.A.6.factor loadingsE.firmspecific riskC.A.5.factor betasE.firmspecific riskC.A.4.factor betasE.factor sensitivitiesC.A.3.%E.3%C.A.2.Neither CAPM nor APT stipulateE.CAPM stipulatesC.A.1.Chapter 10 Arbitrage Pricing Theory and Multifactor Models of Risk and ReturnChapter 10Arbitrage Pricing Theory and Multifactor Models of