投资学(博迪)第10版课后练习题答案10Investments10thEditionTextbookSolutionsChapter10.pdfVIP

Chapter 10 - Arbitrage Pricing Theory and Multifactor Models of Risk and Return 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 c