投资学10版习题答案10.doc

CHAPTER 10: ARBITRAGE PRICING THEORY AND MULTIFACTOR MODELS OF RISK AND RETURN PROBLEM SETS 1. The revised estimate of the expected rate of return on the stock would be the old estimate plus the sum of the products of the unexpected change in each factor times the respective sensitivity coefficient: Revised estimate = 12% + [(1 × 2%) + (0.5 × 3%)] = 15.5% Note that the IP estimate is computed as: 1 × (5% - 3%), and the IR estimate is computed as: 0.5 × (8% - 5%). 2. The APT factors must correlate with major sources of uncertainty, i.e., sources of uncertainty that are of concern to many investors. Researchers should investigate factors that correlate with uncertainty in consumption and investment opportunities. GDP, the inflation rate, and interest rates are among the factors that can be expected to determine risk premiums. In particular, industrial production (IP) is a good indicator of changes in the business cycle. Thus, IP is a candidate for a factor that is highly correlated with uncertainties that have to do with investment and consumption opportunities in the economy. 3. Any pattern of returns can be explained if we are free to choose an indefinitely large number of explanatory factors. If a theory of asset pricing is to have value, it must explain returns using a reasonably limited number of explanatory variables (i.e., systematic factors such as unemployment levels, GDP, and oil prices). 4. Equation 10.11 applies here: E(rp ) = rf + βP1 [E(r1 ) ( rf ] + βP2 [E(r2 ) – rf ] We need to find the risk premium (RP) for each of the two factors: RP1 = [E(r1 ) ( rf ] and RP2 = [E(r2 ) ( rf ] In order to do so, we solve the following system of two equations with two unknowns: .31 = .06 + (1.5 × RP1 ) + (2.0 × RP2 ) .27 = .06 + (2.2 × RP1 ) + [(–0.2) × RP2 ] The solution to this set of equations is RP1 = 10% and RP2 = 5% Thus, the expected return-beta relationship is E(rP ) = 6% + (βP1 × 10%) + (βP2 × 5%) 5. The expected return for portfolio F equals the risk-free ra