10-1Copyright©2017McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.Chapter10TestBank-StaticStudent:___________________________________________________________________________MultipleChoiceQuestions1.___________arelationshipbetweenexpectedreturnandrisk.A.APTstipulatesB.CAPMstipulatesC.BothCAPMandAPTstipulateD.NeitherCAPMnorAPTstipulateE.Nopricingmodelhasbeenfound.2.ConsiderthemultifactorAPTwithtwofactors.StockAhasanexpectedreturnof17.6%,abetaof1.45onfactor1,andabetaof.86onfactor2.Theriskpremiumonthefactor1portfoliois3.2%.Therisk-freerateofreturnis5%.Whatistherisk-premiumonfactor2ifnoarbitrageopportunitiesexist?A.9.26%B.3%C.4%D.7.75%3.InamultifactorAPTmodel,thecoefficientsonthemacrofactorsareoftencalledA.systematicrisk.B.factorsensitivities.C.idiosyncraticrisk.D.factorbetas.E.factorsensitivitiesandfactorbetas.4.InamultifactorAPTmodel,thecoefficientsonthemacrofactorsareoftencalledA.systematicrisk.B.firm-specificrisk.C.idiosyncraticrisk.D.factorbetas.5.InamultifactorAPTmodel,thecoefficientsonthemacrofactorsareoftencalledA.systematicriskB.firm-specificrisk.C.idiosyncraticrisk.D.factorloadings.6.Whichpricingmodelprovidesnoguidanceconcerningthedeterminationoftheriskpremiumonfactorportfolios?A.TheCAPMB.ThemultifactorAPTC.BoththeCAPMandthemultifactorAPTD.NeithertheCAPMnorthemultifactorAPTE.Noneoftheoptionsarecorrect.7.Anarbitrageopportunityexistsifaninvestorcanconstructa__________investmentportfoliothatwillyieldasureprofit.A.positiveB.negativeC.zeroD.Alloftheoptions.E.Noneoftheoptionsarecorrect.10-2Copyright©2017McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.8.TheAPTwasdevelopedin1976byA.Lintner.B.ModiglianiandMiller.C.Ross.D.Sharpe.9.A_________portfolioisawell-diversifiedportfolioconstructedtohaveabetaof1ononeofthefactorsandabetaof0onanyotherfactor.A.factorB.marketC.indexD.factorandmarketE.factor,market,andindex10.Theexploitation...
