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Q14. Assume you are attempting to estimate the equilibrium expected return for a portfolio using a two-factor arbitrage pricing theory (APT) model. One factor is changes in the 30-year T-bond rate and the other factor is the percentage growth in gross national product (GNP). Assume that you have estimated the risk premium for the interest rate factor to be 0.02, and the risk premium on the GNP factor to be 0.03. The sensitivity of the portfolio to the interest rate factor is –1.2 and the portfolios sensitivity to the GNP factor is 0.80. Given a risk free rate equal to 0.03, what is the expected return for the asset?
A) 3.0%.
B) 5.0%.
C) 2.4%.
Q15. The factor risk premium on factor j in the arbitrage pricing theory (APT) can be interpreted as the:
A) sensitivity of the market portfolio to factor j.
B) expected risk premium investors require on a factor portfolio for factor j.
C) expected return investors require on a factor portfolio for factor j.
Q16. The Arbitrage Pricing Theory (APT) has all of the following characteristics EXCEPT it:
A) is an equilibrium pricing model.
B) assumes that arbitrage opportunities are available to investors.
C) assumes that asset returns are described by a factor model.
Q17. Which of the following is an equilibrium-pricing model?
A) Macroeconomic factor model.
B) Fundamental factor model.
C) The arbitrage pricing theory (APT).
Q18. If the arbitrage pricing theory (APT) holds, it determines:
A) factor sensitivities in a multi-factor model.
B) the factor prices in a multi-factor model.
C) the intercept term in a multi-factor model.
Q19. One of the assumptions of the arbitrage pricing theory (APT) is that there are no arbitrage opportunities available. An arbitrage opportunity is:
A) an investment that has an expected positive net cash flow but requires no initial investment.
B) a factor portfolio with a positive expected risk premium.
C) a portfolio with factor exposures that sum to one.
Q20. Which of the following statements regarding the arbitrage pricing theory (APT) as compared to the capital asset pricing model (CAPM) is least accurate? APT:
A) does not require that one of the risk factors is the market portfolio; unlike the CAPM.
B) has fewer assumptions than CAPM.
C) is often times thought of as a special case of the CAPM.
Q21. Which of the following is not an assumption of the arbitrage pricing theory (APT)?
A) Security returns are normally distributed.
B) Returns on assets can be described by a multi-factor process.
C) The market contains enough stocks so that unsystematic risk can be diversified away.
Q22. Which of the following is an assumption of the arbitrage pricing theory (APT)?
A) No arbitrage opportunities exist.
B) Returns are normally distributed.
C) Investors have quadratic utility functions.
Q23. Which of the following is an assumption of the arbitrage pricing theory (APT)?
A) Security returns are normally distributed.
B) Assets are priced such that no arbitrage opportunities exist.
C) Investors have quadratic utility functions.
Q24. Which of the following does NOT describe the arbitrage pricing theory (APT)?
A) It is an equilibrium-pricing model like the CAPM.
B) There are assumed to be at least five factors that explain asset returns.
C) It requires a weaker set of assumptions than the CAPM to derive.
Q25. An arbitrage pricing theory (APT) model has the following characteristics:
- The risk free rate is 3.8%.
- Factor risk premiums are:
A. (7%)
B. (4%)
C. (2%)
D. (10%)
Assume Silver Linings Fund has the following sensitivities to the factors:
- Sensitivity to A is 0.5.
- Sensitivity to B is 1.2.
- Sensitivity to C is 2.1.
- Sensitivity to D is 0.2.
The expected return on the Silver Linings Fund is:
A) 14.5%.
B) 18.3%.
C) 20.1%. | 
发表于 2009-4-2 13:17
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