博迪第八版投资学第十章课后习题答案(7)

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9. a. A long position in a portfolio (P) comprised of Portfolios A and B

will offer an expected return-beta tradeoff lying on a straight

line between points A and B. Therefore, we can choose weights such

that P = C but with expected return higher than that of

Portfolio C. Hence, combining P with a short position in C will

create an arbitrage portfolio with zero investment, zero beta, and

positive rate of return.

b. The argument in part (a) leads to the proposition that the

coefficient of 2 must be zero in order to preclude arbitrage

opportunities.

10. a. E(r) = 6 + (1.2 6) + (0.5 8) + (0.3 3) = 18.1%

b.Surprises in the macroeconomic factors will result in surprises in

the return of the stock:

Unexpected return from macro factors =

[1.2(4 – 5)] + [0.5(6 – 3)] + [0.3(0 – 2)] = –0.3%

E (r) =18.1% ? 0.3% = 17.8%

11. The APT required (i.e., equilibrium) rate of return on the stock based

on r f and the factor betas is:

required E(r) = 6 + (1 6) + (0.5 2) + (0.75 4) = 16%

According to the equation for the return on the stock, the actually

expected return on the stock is 15% (because the expected surprises on all factors are zero by definition). Because the actually expected

return based on risk is less than the equilibrium return, we conclude that the stock is overpriced.

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