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LOS n: Compare and contrast the conclusions and the underlying assumptions of the CAPM and the APT models, and explain why an investor can possibly earn a substantial premium for exposure to dimensions of risk unrelated to market movements.
Q1. Investors may be able earn a risk premium for holding dimensions of risk unrelated to market movements if:
A) the market is informationally efficient.
B) unsystematic risk can be diversified away in portfolios.
C) there is more than one source of systematic risk.
Q2. Which of the following is an implication of the capital asset pricing model for investor’s portfolio decisions?
A) Less risk-averse investors will hold less of a broadly based index and more of the risk-free asset.
B) All investors will hold some combination of a broadly based market index and the risk-free asset.
C) Less risk-averse investors will overweight high-beta stocks relative to the market portfolio.
Q3. In the context of multi-factor models, investors with lower-than-average exposure to recession risk (e.g. those without labor income) can earn a risk premium for holding dimensions of risk unrelated to market movements by creating equity portfolios with:
A) greater-than-average exposure to the recession risk factor.
B) greater-than-average market risk exposure.
C) less-than-average exposure to the recession risk factor.
Q4. Which of the following models is NOT consistent with the concept that investors can earn an additional risk premium for holding dimensions of risk unrelated to market movements?
A) The arbitrage pricing theory.
B) Macroeconomic multi-factor models.
C) The capital asset pricing model (CAPM).
Q5. Which of the following statements regarding the arbitrage pricing theory (APT) and the capital asset pricing model (CAPM) is least accurate? APT:
A) does not identify its risk factors.
B) and CAPM assume all investors hold the market portfolio.
C) requires fewer assumptions than CAPM. | 
发表于 2009-4-2 13:26
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