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【单选题】
Consider a one-factor economy. Portfolio A has a beta of 1.0 on the factor, and portfolio B has a beta of 2.0 on the factor. The expected returns on portfolios A and B are 11% and 17%, respectively. Assume that the risk-free rate is 6%, and that arbitrage opportunities exist. Suppose you invested \$100,000 in the risk-free asset, \$100,000 in portfolio B, and sold short $200,000 of portfolio A. Your expected profit from this strategy would be ________
A.
–$1,000.
B.
$0.
C.
$1,000.
D.
$2,000.
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参考答案：
举一反三
【单选题】________ a relationship between expected return and risk.
A.
APT stipulates
B.
CAPM stipulates
C.
Both CAPM and APT stipulate
D.
Neither CAPM nor APT stipulate
E.
No pricing model has been found.
【单选题】Proponents of the EMH typically advocate________
A.
an active trading strategy.
B.
investing in an index fund.
C.
a passive investment strategy.
D.
an active trading strategy and investing in an index fund.
E.
investing in an index fund and a passive investment strategy.
【单选题】In a multifactor APT model, the coefficients on the macro factors are often called________
A.
systematic risk.
B.
firm-specific risk.
C.
idiosyncratic risk.
D.
factor betas.
【单选题】If you believe in the ________ form of the EMH, you believe that stock prices reflect all available information, including information that is available only to insiders.
A.
semistrong
B.
strong
C.
weak
D.
All of the options are correct.
E.
None of the options are correct.
【单选题】Single men trade far more often than women. This is due to greater ________ among men.
A.
framing
B.
regret avoidance
C.
overconfidence
D.
conservatism
【单选题】If you believe in the ________ form of the EMH, you believe that stock prices only reflect all information that can be derived by examining market trading data, such as the history of past stock price...
A.
semistrong
B.
strong
C.
weak
D.
All of the options are correct.
E.
None of the options are correct.
【单选题】Markets would be inefficient if irrational investors ________ and actions of arbitragers were________.
A.
existed; unlimited
B.
did not exist; unlimited
C.
existed; limited
D.
did not exist; limited
【单选题】________ focus more on past price movements of a firm's stock than on the underlying determinants of future profitability.
A.
Credit analysts
B.
Fundamental analysts
C.
Systems analysts
D.
Technical analysts
【单选题】75 on factor 1 and a beta of 1.25 on factor 2. The risk premiums on the factor-1 and factor-2 portfolios are 1% and 7%, respectively. The risk-free rate of return is 7%. The expected return on portfol...
A.
13.5%
B.
15.0%
C.
16.5%
D.
23.0%
【单选题】The debate over whether markets are efficient will probably never be resolved because of________
A.
the lucky event issue.
B.
the magnitude issue.
C.
the selection bias issue.
D.
All of the options are correct.
E.
None of the options are correct.
相关题目：
【单选题】________ a relationship between expected return and risk.
A.
APT stipulates
B.
CAPM stipulates
C.
Both CAPM and APT stipulate
D.
Neither CAPM nor APT stipulate
E.
No pricing model has been found.
【单选题】Proponents of the EMH typically advocate________
A.
an active trading strategy.
B.
investing in an index fund.
C.
a passive investment strategy.
D.
an active trading strategy and investing in an index fund.
E.
investing in an index fund and a passive investment strategy.
【单选题】In a multifactor APT model, the coefficients on the macro factors are often called________
A.
systematic risk.
B.
firm-specific risk.
C.
idiosyncratic risk.
D.
factor betas.
【单选题】If you believe in the ________ form of the EMH, you believe that stock prices reflect all available information, including information that is available only to insiders.
A.
semistrong
B.
strong
C.
weak
D.
All of the options are correct.
E.
None of the options are correct.
【单选题】Single men trade far more often than women. This is due to greater ________ among men.
A.
framing
B.
regret avoidance
C.
overconfidence
D.
conservatism
【单选题】If you believe in the ________ form of the EMH, you believe that stock prices only reflect all information that can be derived by examining market trading data, such as the history of past stock price...
A.
semistrong
B.
strong
C.
weak
D.
All of the options are correct.
E.
None of the options are correct.
【单选题】Markets would be inefficient if irrational investors ________ and actions of arbitragers were________.
A.
existed; unlimited
B.
did not exist; unlimited
C.
existed; limited
D.
did not exist; limited
【单选题】________ focus more on past price movements of a firm's stock than on the underlying determinants of future profitability.
A.
Credit analysts
B.
Fundamental analysts
C.
Systems analysts
D.
Technical analysts
【单选题】75 on factor 1 and a beta of 1.25 on factor 2. The risk premiums on the factor-1 and factor-2 portfolios are 1% and 7%, respectively. The risk-free rate of return is 7%. The expected return on portfol...
A.
13.5%
B.
15.0%
C.
16.5%
D.
23.0%
【单选题】The debate over whether markets are efficient will probably never be resolved because of________
A.
the lucky event issue.
B.
the magnitude issue.
C.
the selection bias issue.
D.
All of the options are correct.
E.
None of the options are correct.
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