12. True or false?

a. Stocks of small companies have done better than predicted by the CAPM.

b. Stocks with high ratios of book value to market price have done better than predicted by the CAPM.

c. On average, stock returns have been positively related to beta.

12. 对或错？

a. 小公司的股票表现优于CAPM所预测的。

b. 高账面值对市价比率的股票表现优于CAPM所预测的。

c. 平均来说，股票回报率与beta正相关。

13. Some true or false questions about the APT:

a. The APT factors cannot reflect diversifiable risks.

b. The market rate of return cannot be an APT factor.

c. Each APT factor must have a positive risk premium associated with it; otherwise the model is inconsistent.

d. There is no theory that specifically identifies the APT factors.

e. The APT model could be true but not very useful, for example, if the relevant factors change unpredictably.

13. 一些关于APT的正确或错误的问题：

a. APT因素不能反映可分散风险。

b. 市场回报率不可以是一个APT因素。

c. 每个APT因素都必有一个与之相连的正风险溢价；否则的话模型就会不一致。

d. 不存在专门辨别APT因素的理论。

e. APT模型可以是正确的但是不怎么很有用，例如，如果相关因素意外地变动。

14. Consider the following simplified APT model (compare Tables 8.3 and 8.4):EXCEL

Calculate the expected return for the following stocks. Assume r_f= 5 percent.

14. 考虑下述简化后APT模型（比较表格8.3和8.4）：EXCEL

计算下列股票的期望回报率。设r_f= 5%

15. Look again at Practice Question 14. Consider a portfolio with equal investments in stocks P, P², and P³.

a. What are the factor risk exposures for the portfolio?

b. What is the portfolio’s expected return?

15. 再看一下习题14。考虑一个等额投资于股票P, P²和P³的投资组合。

a. 这个投资组合的因素风险敞口是多少？

b. 这个投资组合的期望回报率是多少？

16. The following table shows the sensitivity of four stocks to the three Fama–French factors in the five years to 2001. Estimate the expected return on each stock assuming that the interest rate is 3.5 percent, the expected risk premium on the market is 8.8 percent, the expected risk premium on the size factor is 3.1 percent, and the expected risk premium on the book-to-market factor is 4.4 percent. (These were the realized premia from 1928–2000.)

*Return on small-firm stocks less return on large-firm stocks.

^†Return on high book-to-market-ratio stocks less return on low book-to-market-ratio stocks.

16. 下面这张表格显示了至2001年的五年内四支股票对Fama–French三因素的敏感性。设利率为3.5%，市场（因素）期望风险溢价为8.8%，规模因素期望风险溢价为3.1%，账面值对市值因素期望风险溢价为4.4%（这些是1928至2000间实现的溢价），估算每支股票的期望回报率。

*小企业股票回报率减去大企业股票回报率

^†高账面值对市值比率股票回报率减去低账面值对市值比率股票回报率