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Chapter 12 - An Alternative View of Risk and Return: The Arbitrage Pricing Theory
Chapter 12
An Alternative View of Risk and Return: The Arbitrage Pricing Theory
Multiple Choice Questions
1. In the equation R = + U, the three symbols stand for: A. average return, expected return, and unexpected return. B. required return, expected return, and unbiased return.
C. actual total return, expected return, and unexpected return. D. required return, expected return, and unbiased risk. E. risk, expected return, and unsystematic risk.
2. The acronym APT stands for: A. Arbitrage Pricing Techniques. B. Absolute Profit Theory. C. Arbitrage Pricing Theory. D. Asset Puting Theory.
E. Assured Price Techniques.
3. The acronym CAPM stands for: A. Capital Asset Pricing Model.
B. Certain Arbitrage Pressure Model. C. Current Arbitrage Prices Model. D. Cumulative Asset Price Model. E. None of the above.
4. The unexpected return on a security, U, is made up of: A. market risk and systematic risk.
B. systematic risk and unsystematic risk. C. idiosyncratic risk and unsystematic risk. D. expected return and market risk.
E. expected return and idiosyncratic risk.
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Chapter 12 - An Alternative View of Risk and Return: The Arbitrage Pricing Theory
5. Systematic risk is defined as:
A. a risk that specifically affects an asset or small group of assets. B. any risk that affects a large number of assets.
C. any risk that has a huge impact on the return of a security. D. the random component of return. E. None of the above.
6. The term Corr(? R, ? T) = 0 tells us that: A. all error terms of company R and T are 0.
B. the unsystematic risk of companies R and T is unrelated or uncorrelated. C. the correlation between the returns of companies R and T is -1. D. the systematic risk of companies R and T is unrelated. E. None of the above.
7. A factor is a variable that:
A. affects the returns of risky assets in a systematic fashion. B. affects the returns of risky assets in an unsystematic fashion. C. correlates with risky asset returns in a unsystematic fashion.
D. does not correlate with the returns of risky assets in an systematic fashion. E. None of the above.
8. A security that has a beta of zero will have an expected return of: A. zero.
B. the market risk premium. C. the risk free rate.
D. less than the risk free rate but not negative.
E. less than the risk free rate which can be negative.
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Chapter 12 - An Alternative View of Risk and Return: The Arbitrage Pricing Theory
9. Which of the following is true about the impact on market price of a security when a company makes an announcement and the market has discounted the news?
A. The price will change a great deal; even though the impact is primarily in the future, the future value is discounted to the present.
B. The price will change little, if at all, since the impact is primarily in the future.
C. The price will change little, if at all, since the market considers this information unimportant. D. The price will change little, if at all, since the market considers this information untrue. E. The price will change little, if at all, since the market has already included this information in the security's price.
10. Shareholders discount many corporate announcements because of their prior expectations. If an announcement causes the price to change it will mostly be driven by: A. the expected part of the announcement. B. market inefficiency.
C. the unexpected part of the announcement. D. the systematic risk. E. None of the above.
11. A company owning gold mines will probably have a _____ inflation beta because an ___ increase in inflation is usually associated with an increase in gold prices. A. negative; anticipated B. positive; anticipated C. negative; unanticipated D. positive; unanticipated E. None of the above.
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Chapter 12 - An Alternative View of Risk and Return: The Arbitrage Pricing Theory
12. If company A, a medical research company, makes a new product discovery and their stock rises 5%, this will have:
A. no effect on Company B's, a newspaper, stock price because it is a systematic risk element. B. no effect on Company B's, a newspaper, stock price because it is an unsystematic risk element.
C. a large effect on Company B's, a newspaper, stock price because it is a systematic risk element.
D. a large effect on Company B's, a newspaper, stock price because it is an unsystematic risk element.
E. None of the above.
13. What would not be true about a GNP beta?
A. If a stock's ? GNP = 1.5, the stock will experience a 1.5% increase for every 1% surprise increase in GNP.
B. If a stock's ? GNP = -1.5, the stock will experience a 1.5% decrease for every 1% surprise increase in GNP.
C. It is a measure of risk.
D. It measures the impact of systematic risk associated with GNP. E. None of the above.
14. If the expected rate of inflation was 3% and the actual rate was 6.2%; the systematic
response coefficient from inflation, ?I, would result in a change in any security return of ___ ?I. A. 9.2 B. 3.2 C. -3.2 D. 3.0 E. 6.2
15. In a portfolio of risky assets, the response to a factor, Fi, can be determined by: A. summing the weighted ?i s and multiplying by the factor Fi. B. summing the Fi s.
C. adding the average weighted expected returns. D. summing the weighted random errors. E. All of the above.
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