博迪第八版投资学第十章课后习题答案

可编辑

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%

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).

4. Equation 10.9 applies here:

E(r p) = r f + P1 [E(r1 ) r f ] + P2 [E(r2) – r f ]

We need to find the risk premium (RP) for each of the two factors: RP1 = [E(r1) r f ] and RP2 = [E(r2) r f ]

In order to do so, we solve the following system of two equations with two unknowns:

31 = 6 + (1.5 RP1) + (2.0 RP2)

27 = 6 + (2.2 RP1) + [(–0.2) RP2]

The solution to this set of equations is:

RP1 = 10% and RP2 = 5%

精品文档，欢迎下载

百度搜索“77cn”或“免费范文网”即可找到本站免费阅读全部范文。收藏本站方便下次阅读，免费范文网，提供经典小说教育文库博迪第八版投资学第十章课后习题答案在线全文阅读。