投资学第7版Test Bank答案10

投资学第7版Test Bank答案

Return

Multiple Choice Questions

1. ___________ a relationship between expected return and risk.

A) APT stipulates

B) CAPM stipulates

C) Both CAPM and APT stipulate

D) Neither CAPM nor APT stipulate

E) No pricing model has found

Answer: C Difficulty: Easy

Rationale: Both models attempt to explain asset pricing based on risk/return

relationships.

2. Which pricing model provides no guidance concerning the determination of the risk

premium on factor portfolios?

A) The CAPM

B) The multifactor APT

C) Both the CAPM and the multifactor APT

D) Neither the CAPM nor the multifactor APT

E) None of the above is a true statement.

Answer: B Difficulty: Moderate

Rationale: The multifactor APT provides no guidance as to the determination of the risk

premium on the various factors. The CAPM assumes that the excess market return over the risk-free rate is the market premium in the single factor CAPM.

3. portfolio that will yield a sure profit.

A) positive

B) negative

C) zero

D) all of the above

E) none of the above

Answer: C Difficulty: Easy

Rationale: If the investor can construct a portfolio without the use of the investor's own

funds and the portfolio yields a positive profit, arbitrage opportunities exist.

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