6.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) has fewer assumptions than CAPM. B) is more flexible than CAPM in its application. C) does not require that one of the risk factors is the market portfolio; unlike the CAPM. D) is often times thought of as a special case of the CAPM. The correct answer was D) The CAPM is often times thought of as a special case of the APT since CAPM has only one factor, the market portfolio. 7．One of the assumptions of the arbitrage pricing theory (APT) is that there are no arbitrage opportunities available. An arbitrage opportunity is: A) a factor portfolio with a positive expected risk premium. B) an investment that has an expected positive net cash flow but requires no initial investment. C) a portfolio with an expected return equal to the risk-free rate. D) a portfolio with factor exposures that sum to one. The correct answer was B) One of the three assumptions of the APT is that there are no arbitrage opportunities available to investors among these well-diversified portfolios. An arbitrage opportunity is an investment that has an expected positive net cash flow but requires no initial investment. All factor portfolios will have positive risk premiums equal to the factor price for that factor. An arbitrage opportunity does not necessarily require a return equal to the risk-free rate, and the factor exposures for an arbitrage portfolio are all equal to zero. 8．If the arbitrage pricing theory (APT) holds, it determines: A) the factor prices in a multi-factor model. B) the market risk premium in the capital asset pricing model (CAPM). C) factor sensitivities in a multi-factor model. D) the intercept term in a multi-factor model. The correct answer was D) One way to think about the relationship between the APT and multi-factor models is to recognize that the intercept term in a multi-factor model is the asset’s expected return; the APT is an expected return model that tells us what that intercept should be. 9．Which of the following is an equilibrium-pricing model? A) Macroeconomic factor model. B) Fundamental factor model. C) Statistical factor model. D) The arbitrage pricing theory (APT). The correct answer was D) The APT is an equilibrium-pricing model; multi-factor models are “ad-hoc,” meaning the factors in these models are not derived directly from an equilibrium theory. Rather they are identified empirically by looking for macroeconomic variables that best fit the data. 10．The Arbitrage Pricing Theory (APT) has all of the following characteristics EXCEPT it: A) assumes that asset returns are described by a factor model. B) assumes that arbitrage opportunities are available to investors. C) assumes a large number of assets are available to investors. D) is an equilibrium pricing model. The correct answer was B) The APT assumes that no arbitrage opportunities are available to investors. | 
发表于 2008-4-16 14:45
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