11.What is the predicted return for Stonebrook? A) 11.00%. B) 11.68%. C) 0.20%. D) 0.40%. The correct answer was B) The predicted return uses the unemployment and interest rate surprises as follows: The returns for a stock that are correlated with surprises in interest rates and unemployment rates can be expressed using a two-factor model as: Ri = ai+ bi,1FInt + bi,2FUn + εi where:
Ri = the return on stock i
ai = the expected return on stock i
bi,1 = the factor sensitivity of stock i to unexpected changes in interest rates
FInt = unexpected changes in interest rates (the interest factor) = .053 - .051 = .002
bi,2 = the factor sensitivity of stock i to unexpected changes in the unemployment rate
FUn = unexpected changes in the unemployment rate (the unemployment rate factor) = .072 - .068 = .004
εi = a mean-zero error term that represents the part of asset i’s return not explained by the two factors. Thus the predicted return is: .11 + (1.0)(.002) + (1.2)(.004) = .1168 or 11.68% 12.The factor models for the returns on Omni, Inc., (OM) and Garbo Manufacturing (GAR) are: ROM = 20.0% –1.0(FCONF) + 1.4(FTIME) + εOM
RGAR = 15.0% –0.5(FCONF) + 0.8 (FTIME) + εGAR
What is the factor sensitivity to the time-horizon factor (TIME) of a portfolio invested 20 percent in Omni and 80 percent in Garbo? A) -0.60. B) 0.92. C) 0.16. D) 1.10. The correct answer was B) The factor model for the portfolio is:
RP = [(0.2)(20.0%) + (0.8)(15.0%)]
+ [(0.2)(-1.0) + (0.8)(-0.5)] (FCONF)
+ [(0.2)(1.4) + (0.8)(0.8)] (FTIME)
+ [(0.2) εOM + (0.8)εGAR] = 16.0% –0.60(FCONF) + 0.92(FTIME) + (0.2)εOM + (0.8)εGAR
13.Which of the following statements concerning the multi-factor model for returns on stock j {Rj = 12% + 1.4F1 – 0.8F2 + εj} is FALSE? A) The factor sensitivities are +1.4 and -0.8. B) The return on stock j will decrease as factor 2 is expected to increase. C) The expected return on stock j is 12%. D) F1 and F2 represent priced risk. The correct answer was B) In a multi-factor model, only unexpected changes in systematic factors are priced in the sense that they affect stock returns. The return on stock j will decrease only if factor 2 increases unexpectedly (because the factor sensitivity is less than zero). Expected increases will NOT cause stock j returns to decrease. 14.The factor models for the returns on Omni, Inc., (OM) and Garbo Manufacturing (GAR) are: ROM = 20.0% –1.0(FCONF) + 1.4(FTIME) + εOM
RGAR = 15.0% –0.5(FCONF) + 0.8 (FTIME) + εGAR
What is the expected return on a portfolio invested 60 percent in Omni and 40 percent in Garbo? A) 20.96%. B) 17.0%. C) 18.0%. D) 19.96%. The correct answer was C) The factor model for the portfolio is:
RP = [(0.6)(20.0%) + (0.4)(15.0%)]
+ [(0.6)(-1.0) + (0.4)(-0.5)] (FCONF)
+ [(0.6)(1.4) + (0.4)(0.8)] (FTIME)
+ [(0.6) εOM + (0.4)εGAR]
= 18.0% –0.80(FCONF) + 1.16(FTIME) + (0.6)εOM + (0.4)εGAR
15.In a multi-factor macroeconomic model the mean-zero error term represents: A) the portion of the individual asset's return that is not explained by the systematic factors. B) sampling error in estimating factor sensitivities. C) the no-arbitrage condition imposed in multi-factor models. D) the risk-free rate. The correct answer was A) The mean-zero error term represents the unsystematic, firm-specific, diversifiable risks that are not explained by the systematic factors. | 
发表于 2008-4-14 18:15
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