投资学课后答案解析APT.doc

Chapter 10 - Arbitrage Pricing Theory and Multifactor Models of Risk and Return 10- PAGE 61 Chapter 10 Arbitrage Pricing Theory and Multifactor Models of Risk and Return ? Multiple Choice Questions? 1.?___________ a relationship between expected return and risk.?A.?APT stipulatesB.?CAPM stipulatesC.?Both CAPM and APT stipulateD.?Neither CAPM nor APT stipulateE.?No pricing model has found ? 2.?Consider the multifactor APT with two factors. Stock A has an expected return of 17.6%, a beta of 1.45 on factor 1 and a beta of .86 on factor 2. The risk premium on the factor 1 portfolio is 3.2%