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Fama-French三因子计算过程说明姜国华、叶昕、饶品贵、祝继高（北京大学光华管理学院会计系，1000871）一、数据来源财务数据来源于CSMAR财务年报数据库。
数据区间：资产负债表自1990年起，利润及利润分配表自1990年起，财务状况变动表自1992年起，现金流量表自1998年起，资产减值准备表自2001年起。
市场回报数据来源于CSMAR中国证券市场交易数据库。
数据区间：上海A股从1990年12月19日起，深圳A股从1991年07月03日。
市场回报数据包括月个股回报、月市场回报、综合月市场回报三个数据集。
无风险利率我们使用的是中国人民银行公布的人民币三个月整存整取利率调整后得到的，即将三个月整存整取利率除以12。
二、数据处理过程11．财务数据只保留年末数(Sgnyea='B')2，剔除年初数（Sgnyea='A'）；然后按公司和按年度将资产负债表、利润及利润分配表和现金流量表合并。
市场回报数据剔除B股数据，并将所有特殊值替换为缺失值，最后按月份将月个股回报、月市场回报和综合月市场回报进行合并。
2．以个股第t-1年12月31日的权益账面价值与市场价值的比值(Book-to-market ratio，简称BM)和第t年4月30日的市场价值(简称SIZE)为依据，对第t年5月至第t＋1年4月期间内的公司观测进行分组（每个月进行分组）。
分组方法如下：(1)按SIZE大小平均分为两组（Small组, Big组）；(2)按BM从小到大分三组，即前30%(Growth组)，中间40%(Neutral组)，后30%(Value组)，共形成六个组，即Small Growth组, Small Neutral组, Small Value组, Big Growth组, Big Neutral组, Big Value组。
个股的市场价值是指月个股总市值(Msmvttl)，。
若BM和SIZE为缺失值或负值，则予以删除。
CFA一级Notes习题笔记EthicsCode of Ethics1.act with integrity, competence, diligence, respect, and in an ethical manner with the public, clients, prospective clients, employers, employees, colleagues in the investment profession, and other participants in the global capital markets2.place the integrity of the investment profession and the interests of clients above their own personal interestse reasonable care and exercise independent professional judgement when conducting investment analysis, making investment recommendations, taking investment actions, and engaging in other professional activities4.practice and encourage others to practice in a professional and ethical manner that will reflect credit on themselves and the profession5.promote the integrity of, and uphold the rules governing, capital markets6.maintain and improve their professional competence and strive to maintain and improve the competence of other ivestment professionals.Standards of Professional ConductI professionalismA.knowledge of the lawB.independence and objectivityC.MisrepresentationD.MisconductII.integrity of capital marketsA.material nonpublic informationB.market manipulationIII.duties to clientsA.Loyalty,Prudence and CareB.Fair DealingC.SuitabilityD.Performance presentationE.preservation of confidentialityIV.duties to employersA.loyaltyB.additional compensation arrangementsC.responsibilities of supervisorsV.investment analysis, reommendations,and actionsA.Diligence and reasonable basismunication with clients and prospective clientsC.record retentionVI.conflicts of interestA.Disclosure of conflictsB.priority of transactionsC.referral feesVII.responsibilities as a CFA institute member or CFA candidateA.conduct as menbers and candidates in the cfa programB.reference to CFA institute, the cfa designation, and the cfa program1.私人投资跟Code无关，但滥用举报违反personal conduct。
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金融英语第十章答案Exercises of Chapter 10I. Answer the following questions in English.1.When is bond said to be selling at a premium and when is bond said to be selling at a discount?Ans: When a bond trades at a price above the face value,it is said to be selling at a premium. When a bond sells below face value, it is said to be selling at a discount.2.What is the most important source of risk for bonds in general? Ex plain.Ans: Interest rate risk is the number one source of risk to fixed-in come investors,because it's the major cause of price volatility in the bond market.3.What is the major advantage for municipal bonds?Ans: The major advantage to munis is that the returns are free from federal tax.4.What is the coupon?Ans: The coupon is the amount the bondholder will receive as inte rest payments.5.What are callable bonds?Ans: A bond that can be redeemed by the issuer prior to its maturit y. Usually a premium is paid to the bond owner when the bond is calle d. Also known as a "redeemable bond".6.How to classify fixed-income securities in general?Ans: In general, fixed-income securities are classified according to the length of timebefore maturity7.What are zero-coupon bonds?Ans: This is a type of bond that makes no coupon payments but instead is issued at aconsiderable discount to par value.8.What do bond brokers do for investors?Ans: A full service or discount brokerageⅡ. Fill in the each blank with an appropriate word o r expression.l. Interest Rate Risk is the number one source of risk to fixed-incom e investors,because it's the ( major )cause of price volatility in the bond market.2.In the ( case )of bonds, interest rate risk translates ( into ) marketrisk: The behavior of interest rate, in general, affects all bond s and cuts( across ) all sectors of the market-even the U.S. Treasury mar ket.3. When market interest rates rise, bond prices fall, and vice ver sa. And asinterest rates become more volatile,( so ) do bond prices.4. This is a type of bond that makes no coupon payments but( ins tead )isissued at a considerable discount to par value. For example, let's say a zero-coupon bond with a $1 000 par value and 10 years to maturity is( trading )at $ 600; you'd be paying $ 600 ( today )for a bond that wil l be worth$1 000 in 10 years.5. Bonds have a ( number )of characteristics of which youneed to be aware.All of these factors play a role in determining the value of a b ond and theextent to( which )it fits in your portfolio.6. In general, fixed-income securities are classified( according to )the length of timebefore maturity. These are the three main categories.III. Translate the following sentences into English.l.债券买卖是指交易双方以约定的价格买卖一定金额的债券并在规定的清算时间内办理债券款项交割的交易方式。
投资学课后答案APTChapter 10 Arbitrage Pricing Theory and Multifactor Models of Risk and Return Multiple Choice Questions1. ___________ a relationship between expected return and risk.A. APT stipulatesB. CAPM stipulatesC. Both CAPM and APT stipulateD. Neither CAPM nor APT stipulateE. No pricing model has found2. Consider the multifactor APT with two factors. Stock A has an expected return of 17.6%, a beta of 1.45 on factor 1 and a beta of .86 on factor 2. The risk premium on the factor 1 portfolio is3.2%. The risk-free rate of return is 5%. What is the risk-premium on factor 2 if no arbitrage opportunities exit?A. 9.26%B. 3%C. 4%D. 7.75%E. 9.75%3. In a multi-factor APT model, the coefficients on the macro factors are often called ______.A. systemic riskB. factor sensitivitiesC. idiosyncratic riskD. factor betasE. both factor sensitivities and factor betas4. In a multi-factor APT model, the coefficients on the macro factors are often called ______.A. systemic riskB. firm-specific riskC. idiosyncratic riskD. factor betasE. unique risk5. In a multi-factor APT model, the coefficients on the macro factors are often called ______.A. systemic riskB. firm-specific riskC. idiosyncratic riskD. factor loadingsE. unique risk6. Which pricing model provides no guidance concerning the determination of the risk premium on factor portfolios?A. The CAPMB. The multifactor APTC. Both the CAPM and the multifactor APTD. Neither the CAPM nor the multifactor APTE. No pricing model currently exists that provides guidance concerning the determination of the risk premium on any portfolio7. An arbitrage opportunity exists if an investor can construct a __________ investment portfolio that will yield a sure profit.A. small positiveB. small negativeC. zeroD. large positiveE. large negative8. The APT was developed in 1976 by ____________.A. LintnerB. Modigliani and MillerC. RossD. SharpeE. Fama9. A _________ portfolio is a well-diversified portfolio constructed to have a beta of 1 on one of the factors and a beta of 0 on any other factor.A. factorB. marketC. indexD. factor and marketE. factor, market, and index10. The exploitation of security mispricing in such a way that risk-free economic profits may be earned is called___________.A. arbitrageB. capital asset pricingC. factoringD. fundamental analysisE. technical analysis11. In developing the APT, Ross assumed that uncertainty in asset returns was a result ofA. a common macroeconomic factor.B. firm-specific factors.C. pricing error.D. neither common macroeconomic factors nor firm-specific factors.E. both common macroeconomic factors and firm-specific factors.12. The ____________ provides an unequivocal statement on the expected return-beta relationship for all assets, whereas the _____________ implies that this relationship holds for all but perhaps a small number of securities.A. APT; CAPMB. APT; OPMC. CAPM; APTD. CAPM; OPME. APT and OPM; CAPM13. Consider a single factor APT. Portfolio A has a beta of 1.0 and an expected return of 16%. Portfolio B has a beta of 0.8 and an expected return of 12%. The risk-free rate of return is 6%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio __________ and a long position in portfolio _______.A. A; AB. A; BC. B; AD. B; BE. A; the riskless asset14. Consider the single factor APT. Portfolio A has a beta of 0.2 and an expected return of 13%. Portfolio B has a beta of 0.4 and an expected return of 15%. The risk-free rate of return is 10%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio _________ and a long position in portfolio _________.A. A; AB. A; BC. B; AD. B; BE. No arbitrage opportunity exists.15. Consider the one-factor APT. The variance of returns on the factor portfolio is 6%. The beta of a well-diversified portfolio on the factor is 1.1. The variance of returns on thewell-diversified portfolio is approximately __________.A. 3.6%B. 6.0%C. 7.3%D. 10.1%E. 8.6%16. Consider the one-factor APT. The standard deviation of returns on a well-diversified portfolio is 18%. The standard deviation on the factor portfolio is 16%. The beta of thewell-diversified portfolio is approximately __________.A. 0.80B. 1.13C. 1.2517. Consider the single-factor APT. Stocks A and B have expected returns of 15% and 18%, respectively. The risk-free rate of return is 6%. Stock B has a beta of 1.0. If arbitrage opportunities are ruled out, stock A has a beta of __________.A. 0.67B. 1.00C. 1.30D. 1.69E. 0.7518. Consider the multifactor APT with two factors. Stock A has an expected return of 16.4%, a beta of 1.4 on factor 1 and a beta of .8 on factor 2. The risk premium on the factor 1 portfolio is 3%. The risk-free rate of return is 6%. What is the risk-premium on factor 2 if no arbitrage opportunities exit?A. 2%B. 3%C. 4%D. 7.75%E. 6.89%19. Consider the multifactor model APT with two factors. Portfolio A has a beta of 0.75 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 portfolio A is __________ if no arbitrage opportunities exist.A. 13.5%B. 15.0%C. 16.5%D. 23.0%E. 18.7%20. Consider the multifactor APT with two factors. The risk premiums on the factor 1 and factor 2 portfolios are 5% and 6%, respectively. Stock A has a beta of 1.2 on factor 1, and a beta of 0.7 on factor 2. The expected return on stock A is 17%. If no arbitrage opportunities exist, the risk-free rate of return is ___________.A. 6.0%B. 6.5%C. 6.8%D. 7.4%E. 7.7%21. 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. ?$1,000B. $0C. $1,00022. Consider the one-factor APT. Assume that two portfolios, A and B, are well diversified. The betas of portfolios A and B are 1.0 and 1.5, respectively. The expected returns on portfolios A and B are 19% and 24%, respectively. Assuming no arbitrage opportunities exist, therisk-free rate of return must be ____________.A. 4.0%B. 9.0%C. 14.0%D. 16.5%E. 8.2%23. Consider the multifactor APT. The risk premiums on the factor 1 and factor 2 portfolios are 5% and 3%, respectively. The risk-free rate of return is 10%. Stock A has an expected return of 19% and a beta on factor 1 of 0.8. Stock A has a beta on factor 2 of ________.A. 1.33B. 1.50C. 1.67D. 2.00E. 1.7324. Consider the single factor APT. Portfolios A and B have expected returns of 14% and 18%, respectively. The risk-free rate of return is 7%. Portfolio A has a beta of 0.7. If arbitrage opportunities are ruled out, portfolio B must have a beta of__________.A. 0.45B. 1.00C. 1.10D. 1.22E. 1.33There are three stocks, A, B, and C. You can either invest in these stocks or short sell them. There are three possible states of nature for economic growth in the upcoming year; economic growth may be strong, moderate, or weak. The returns for the upcoming year on stocks A, B, and C for each of these states of nature are given below:25. If you invested in an equally weighted portfolio of stocks A and B, your portfolio return would be ___________ if economic growth were moderate.A. 3.0%D. 16.0%E. 17.0%26. If you invested in an equally weighted portfolio of stocks A and C, your portfolio return would be ____________ if economic growth was strong.A. 17.0%B. 22.5%C. 30.0%D. 30.5%E. 25.6%27. If you invested in an equally weighted portfolio of stocks B and C, your portfolio return would be _____________ if economic growth was weak.A. ?2.5%B. 0.5%C. 3.0%D. 11.0%E. 9.0%28. If you wanted to take advantage of a risk-free arbitrage opportunity, you should take a short position in _________ and a long position in an equally weighted portfolio of _______.A. A; B and CB. B; A and CC. C; A and BD. A and B; CE. No arbitrage opportunity exists.Consider the multifactor APT. There are two independent economic factors, F1and F2. The risk-free rate of return is 6%. The following information is available about two well-diversified portfolios:29. Assuming no arbitrage opportunities exist, the risk premium on the factor F1portfolio should be __________.A. 3%B. 4%C. 5%D. 6%E. 2%30. Assuming no arbitrage opportunities exist, the risk premium on the factor F2 portfolio should be ___________.A. 3%B. 4%C. 5%D. 6%E. 2%31. A zero-investment portfolio with a positive expected return arises when _________.A. an investor has downside risk onlyB. the law of prices is not violatedC. the opportunity set is not tangent to the capital allocation lineD. a risk-free arbitrage opportunity existsE. a risk-free arbitrage opportunity does not exist32. An investor will take as large a position as possible when an equilibrium price relationship is violated. This is an example of _________.A. a dominance argumentB. the mean-variance efficiency frontierC. a risk-free arbitrageD. the capital asset pricing modelE. the SML33. The APT differs from the CAPM because the APT _________.A. places more emphasis on market riskB. minimizes the importance of diversificationC. recognizes multiple unsystematic risk factorsD. recognizes multiple systematic risk factorsE. places more emphasis on systematic risk34. The feature of the APT that offers the greatest potential advantage over the CAPM is the ______________.A. use of several factors instead of a single market index to explain the risk-return relationshipB. identification of anticipated changes in production, inflation, and term structure as key factors in explaining the risk-return relationshipC. superior measurement of the risk-free rate of return over historical time periodsD. variability of coefficients of sensitivity to the APT factors for a given asset over timeE. superior measurement of the risk-free rate of return over historical time periods and variability of coefficients of sensitivity to the APT factors for a given asset over time35. In terms of the risk/return relationship in the APTA. only factor risk commands a risk premium in market equilibrium.B. only systematic risk is related to expected returns.C. only nonsystematic risk is related to expected returns.D. only factor risk commands a risk premium in market equilibrium and only systematic risk is related to expected returns.E. only factor risk commands a risk premium in market equilibrium and only nonsystematic risk is related to expected returns.36. The following factors might affect stock returns:A. the business cycle.B. interest rate fluctuations.C. inflation rates.D. the business cycle, interest rate fluctuations, and inflation rates.E. the relationship between past FRED spreads.37. Advantage(s) of the APT is(are)A. that the model provides specific guidance concerning the determination of the risk premiums on the factor portfolios.B. that the model does not require a specific benchmark market portfolio.C. that risk need not be considered.D. that the model provides specific guidance concerning the determination of the risk premiums on the factor portfolios and that the model does not require a specific benchmark market portfolio.E. that the model does not require a specific benchmark market portfolio and that risk need not be considered.38. Portfolio A has expected return of 10% and standard deviation of 19%. Portfolio B has expected return of 12% and standard deviation of 17%. Rational investors willA. borrow at the risk free rate and buy A.B. sell A short and buy B.C. sell B short and buy A.D. borrow at the risk free rate and buy B.E. lend at the risk free rate and buy B.39. An important difference between CAPM and APT isA. CAPM depends on risk-return dominance; APT depends on a no arbitrage condition.B. CAPM assumes many small changes are required to bring the market back to equilibrium; APT assumes a few large changes are required to bring the market back to equilibrium.C. implications for prices derived from CAPM arguments are stronger than prices derived from APT arguments.D. CAPM depends on risk-return dominance; APT depends on a no arbitrage condition, CAPM assumes many small changes are required to bring the market back to equilibrium; APT assumes a few large changes are required to bring the market back to equilibrium, implications for prices derived from CAPM arguments are stronger than prices derived from APT arguments.E. CAPM depends on risk-return dominance; APT depends on a no arbitrage condition and assumes many small changes are required to bring the market back to equilibrium.40. A professional who searches for mispriced securities in specific areas such as merger-target stocks, rather than one who seeks strict (risk-free) arbitrage opportunities is engaged inA. pure arbitrage.B. risk arbitrage.C. option arbitrage.D. equilibrium arbitrage.E. covered interest arbitrage.41. In the context of the Arbitrage Pricing Theory, as a well-diversified portfolio becomes larger its nonsystematic risk approachesA. one.B. infinity.C. zero.D. negative one.E. None of these is correct.42. A well-diversified portfolio is defined asA. one that is diversified over a large enough number of securities that the nonsystematic variance is essentially zero.B. one that contains securities from at least three different industry sectors.C. a portfolio whose factor beta equals 1.0.D. a portfolio that is equally weighted.E. a portfolio that is equally weighted and contains securities from at least three different industry sectors.43. The APT requires a benchmark portfolioA. that is equal to the true market portfolio.B. that contains all securities in proportion to their market values.C. that need not be well-diversified.D. that is well-diversified and lies on the SML.E. that is unobservable.44. Imposing the no-arbitrage condition on a single-factor security market implies which of the following statements?I) the expected return-beta relationship is maintained for all but a small number ofwell-diversified portfolios.II) the expected return-beta relationship is maintained for all well-diversified portfolios.III) the expected return-beta relationship is maintained for all but a small number of individual securities.IV) the expected return-beta relationship is maintained for all individual securities.A. I and III are correct.B. I and IV are correct.C. II and III are correct.D. II and IV are correct.E. Only I is correct.45. Consider a well-diversified portfolio, A, in a two-factor economy. The risk-free rate is 6%, the risk premium on the first factor portfolio is 4% and the risk premium on the second factor portfolio is 3%. If portfolio A has a beta of 1.2 on the first factor and .8 on the second factor, what is its expected return?A. 7.0%B. 8.0%C. 9.2%D. 13.0%E. 13.2%46. The term "arbitrage" refers toA. buying low and selling high.B. short selling high and buying low.C. earning risk-free economic profits.D. negotiating for favorable brokerage fees.E. hedging your portfolio through the use of options.47. To take advantage of an arbitrage opportunity, an investor wouldI) construct a zero investment portfolio that will yield a sure profit.II) construct a zero beta investment portfolio that will yield a sure profit.III) make simultaneous trades in two markets without any net investment.IV) short sell the asset in the low-priced market and buy it in the high-priced market.A. I and IVB. I and IIIC. II and IIID. I, III, and IVE. II, III, and IV48. The factor F in the APT model representsA. firm-specific risk.B. the sensitivity of the firm to that factor.C. a factor that affects all security returns.D. the deviation from its expected value of a factor that affects all security returns.E. a random amount of return attributable to firm events.49. In the APT model, what is the nonsystematic standard deviation of an equally-weighted portfolio that has an average value of σ(e i) equal to 25% and 50 securities?A. 12.5%B. 625%C. 0.5%D. 3.54%E. 14.59%50. In the APT model, what is the nonsystematic standard deviation of an equally-weighted portfolio that has an average value of σ(e i) equal to 20% and 20 securities?A. 12.5%B. 625%C. 4.47%D. 3.54%E. 14.59%51. In the APT model, what is the nonsystematic standard deviation of an equally-weighted portfolio that has an average value of σ(e i) equal to 20% and 40 securities?A. 12.5%B. 625%C. 0.5%D. 3.54%E. 3.16%52. In the APT model, what is the nonsystematic standard deviation of an equally-weighted portfolio that has an average value of σ(e i) equal to 18% and 250 securities?A. 1.14%B. 625%C. 0.5%D. 3.54%E. 3.16%53. Which of the following is true about the security market line (SML) derived from the APT?A. The SML has a downward slope.B. The SML for the APT shows expected return in relation to portfolio standard deviation.C. The SML for the APT has an intercept equal to the expected return on the market portfolio.D. The benchmark portfolio for the SML may be any well-diversified portfolio.E. The SML is not relevant for the APT.54. Which of the following is false about the security market line (SML) derived from the APT?A. The SML has a downward slope.B. The SML for the APT shows expected return in relation to portfolio standard deviation.C. The SML for the APT has an intercept equal to the expected return on the market portfolio.D. The benchmark portfolio for the SML may be any well-diversified portfolio.E. The SML has a downward slope, the SML for the APT shows expected return in relation to portfolio standard deviation, and the SML for the APT has an intercept equal to the expected return on the market portfolio are all false.55. If arbitrage opportunities are to be ruled out, each well-diversified portfolio's expected excess return must beA. inversely proportional to the risk-free rate.B. inversely proportional to its standard deviation.C. proportional to its weight in the market portfolio.D. proportional to its standard deviation.E. proportional to its beta coefficient.56. Suppose you are working with two factor portfolios, Portfolio 1 and Portfolio 2. The portfolios have expected returns of 15% and 6%, respectively. Based on this information, what would be the expected return on well-diversified portfolio A, if Ahas a beta of 0.80 on the first factor and 0.50 on the second factor? The risk-free rate is 3%.A. 15.2%B. 14.1%C. 13.3%D. 10.7%E. 8.4%57. Which of the following is (are) true regarding the APT?I) The Security Market Line does not apply to the APT.II) More than one factor can be important in determining returns.III) Almost all individual securities satisfy the APT relationship.IV) It doesn't rely on the market portfolio that contains all assets.A. II, III, and IVB. II and IVC. II and IIID. I, II, and IVE. I, II, III, and IV58. In a factor model, the return on a stock in a particular period will be related toA. factor risk.B. non-factor risk.C. standard deviation of returns.D. both factor risk and non-factor risk.E. There is no relationship between factor risk, risk premiums, and returns.59. Which of the following factors did Chen, Roll and Ross not include in their multifactor model?A. Change in industrial productionB. Change in expected inflationC. Change in unanticipated inflationD. Excess return of long-term government bonds over T-billsE. Neither the change in industrial production, change in expected inflation, change in unanticipated inflation, nor excess return of long-term government bonds over T-bills were included in their model.60. Which of the following factors did Chen, Roll and Ross include in their multifactor model?A. Change in industrial wasteB. Change in expected inflationC. Change in unanticipated inflationD. Change in expected inflation and Change in unanticipated inflationE. All of these factors were included in their model61. Which of the following factors were used by Fama and French in their multi-factor model?A. Return on the market index.B. Excess return of small stocks over large stocks.C. Excess return of high book-to-market stocks over low book-to-market stocks.D. All of these factors were included in their model.E. None of these factors were included in their model.62. Consider the single-factor APT. Stocks A and B have expected returns of 12% and 14%, respectively. The risk-free rate of return is 5%. Stock B has a beta of 1.2. If arbitrage opportunities are ruled out, stock A has a beta of __________.A. 0.67B. 0.93C. 1.30D. 1.69E. 1.2763. Consider the one-factor APT. The standard deviation of returns on a well-diversified portfolio is 19%. The standard deviation on the factor portfolio is 12%. The beta of thewell-diversified portfolio is approximately __________.A. 1.58B. 1.13C. 1.25D. 0.76E. 1.4264. Black argues that past risk premiums on firm-characteristic variables, such as those described by Fama and French, are problematic because ________.A. they may result from data snoopingB. they are sources of systematic riskC. they can be explained by security characteristic linesD. they are more appropriate for a single-factor modelE. they are macroeconomic factors65. Multifactor models seek to improve the performance of the single-index model byA. modeling the systematic component of firm returns in greater detail.B. incorporating firm-specific components into the pricing model.C. allowing for multiple economic factors to have differential effects.D. modeling the systematic component of firm returns in greater detail, incorporatingfirm-specific components into the pricing model, and allowing for multiple economic factors to have differential effects.E. none of these statements are true.66. Multifactor models such as the one constructed by Chen, Roll, and Ross, can better describe assets' returns byA. expanding beyond one factor to represent sources of systematic risk.B. using variables that are easier to forecast ex ante.C. calculating beta coefficients by an alternative method.D. using only stocks with relatively stable returns.E. ignoring firm-specific risk.67. Consider the multifactor model APT with three factors. Portfolio A has a beta of 0.8 on factor 1, a beta of 1.1 on factor 2, and a beta of 1.25 on factor 3. The risk premiums on the factor 1, factor 2, and factor 3 are 3%, 5% and 2%, respectively. The risk-free rate of return is 3%. The expected return on portfolio A is __________ if no arbitrage opportunities exist.A. 13.5%B. 13.4%C. 16.5%D. 23.0%E. 11.6%68. Consider the multifactor APT. The risk premiums on the factor 1 and factor 2 portfolios are 6% and 4%, respectively. The risk-free rate of return is 4%. Stock A has an expected return of 16% and a beta on factor 1 of 1.3. Stock A has a beta on factor 2 of ________.A. 1.33B. 1.05C. 1.67D. 2.00E. .95。
混合型基金定价研究作者：赖秋睿李志远来源：《财讯》2019年第07期摘要：混合型基金与其他类型的基金有较大的区别，在于其能够在股票和债券之间灵活配置，因此仅用股票因子对其进行解释是不够合理的。
本文依据Fama和French的研究，对其提出的股票因子和债券因子在中国市场的样本上进行检验，发现了仅有股票因子和TERM因子显著。
本文对我国混合型基金的定价提供了参考。
关键词：资产定价；混合型基金；Fama-French因子模型一、研究背景混合型基金是一种能够对资产灵活配置的投资组合。
混合型基金独具的资产配置功能为资产规模较低，但是风险偏好中等偏上的投资者提供了投资的渠道，具有较广阔的市场。
截止2018年底，混合型基金份额共计1.65万亿份，占除货币市场基金外的总份额37.15%；规模共计1.69万亿，占除货币市场基金外的总规模34.26%，其份额和规模都仅次于债券型基金。
二、文献综述Sharpe，Linter，Treynor和Mossin（1964）提出了资产资本定价模型（Capital Asset Pricing Model，CAPM），他们认为资产价格的波动来源于市场的波动与资产本身特异的波动，因此资产的价格可以由市场指数和截距项来描述。
Fama，French（1992）发现了CAPM 在美国市场上的解释能力并不充足，他们提出了杠杆因子和市值因子。
根据这项研究，Fama，French （1993）提出了构造SMB，HML 和市场指数因子共同解释资产收益率的方法。
Fama 和French（1992）在FF三因子模型上引入了TERM和DEF因子，同时发现了市场因子能够被SMB，HML，TERM，DEF所解释。
在FF-三因子模型的基础上，Fama和French （2015）新增了投资因子和收益因子，并证明了这两个因子的模型对股票市场的解释能力更强。
赵胜民等（2016）认为，在中国市场上，五因子模型中的投资效应和收益效应并不明显，对于HML因子来说，这两个因子是冗余变量。
1、戈登著、祁斌译:《伟大的博弈》，中信出版社2007.2、(美)巴顿﹒比格斯著、张桦等译：《对冲基金风云录》，中信出版社20073、凯恩斯著：《就业、利息和货币通论》4、《公司的力量》，山西教育出版社，2010.8简介：本书是由中央电视台十集大型纪录片《公司的力量》改编而成(中国网络电视台、搜狐视频上有纪录片视频)。
中央电视台分赴意大利、英国、法国、德国、美国、日本、中国、印度等八个国家，详细挖掘了公司在世界范围内诞生和发展的历史。
而在此基础上，采访了5位诺贝尔经济学奖得主，9位商学院院长，逾百位来自历史、经济、政治、社会学等领域的各国资深学者，对公司和现代社会提出了各自的不同理解和精彩阐述，交汇成一次全球顶级学者的智慧碰撞。
5、《华尔街》，中国商业出版社，2010.10简介：本书由中央电视台十集大型纪录片《华尔街》改编（纪录片视频在中国网络电视台、搜狐视频上有）。
本书以华尔街金融危机为契机，以证券市场为中心，梳理两百多年来，现代金融来龙去脉，探寻、发现资本市场兴衰与经济起伏的规律，为决策者提供依据，为资本市场的实践者提供镜鉴，为大众提供关于资本市场的启示。
同时，也为中国人全面理解华尔街，全面理解美国，甚至全面理解现代金融与一个国家崛起的关系，提供最有益的帮助。
6、《道德情操论》，(英)亚当·斯密著。
有不同版本：中央编译出版社版；商务印书馆版；上海三联书店版。
简介：斯密用同情的基本原理来阐释正义、仁慈、克己等一切道德情操产生的根源，说明道德评价的性质、原则以及各种美德的特征，并对各种道德哲学学说进行了介绍和评价，进而揭示出人类社会赖以维系、和谐发展的基础，以及人的行为应遵循的一般道德准则。
该书得到温家宝总理的多次推荐。
7、郎咸平学术文选（Ⅰ、Ⅱ）（两册）推荐理由：郎咸平教授在公司财务和公司治理领域是世界顶尖级学者，本“文选”收录了郎咸平教授学术生涯中深受国际学术界重视的著作，不仅包括公司财务、公司治理领域，而且包括投资学领域，这些论文大部分均在国际一流期刊发表过。
医学英语阅读：阑尾炎导读：本文医学英语阅读：阑尾炎，仅供参考，如果觉得很不错，欢迎点评和分享。
appendicitisdefinitionappendicitis is a sudden inflammation of the appendix, a small, finger-shaped tube that branches off the large intestine.causes, incidence, and risk factorsappendicitis is one of the most common causes of emergency abdominal surgery in children. approximately 4 appendectomies per 1,000 children are done annually in the united states.appendicitis is more common in males than in females, and incidence peaks in the late teens and early 20s. the condition is uncommon among children younger than 2, but it can occur.appendicitis generally follows obstruction of the appendix by feces (fecalith), a foreign body, or rarely, a tumor. typically, the first symptom is crampy or "colicky" pain around the navel (periumbilical). there is usually a marked reduction in or total absence of appetite, often associated with nausea, and occasionally, vomiting and low grade fever.as the inflammation in the appendix increases, the pain tends to move downward and to the right (right lower quadrant) and localizes directly above the position of the appendix at a point called "mcburney's point." if a line is drawn from the navel to theprominence on the right pelvic bone (right superior iliac crest) and divided into thirds, mcburney's point is two-thirds of the line from the navel.pressing the abdomen at mcburney's point causes tenderness in a patient with appendicitis. when the abdomen is pressed, held momentarily, and then rapidly released, the patient may experience a momentary increase in pain. this "rebound tenderness" suggests inflammation has spread to the peritoneum.if the appendix ruptures, the pain may disappear for a short period and the patient may feel suddenly better. however, once peritonitis sets in, the pain returns and the patient becomes progressively more ill. at this time the abdomen may become rigid and extremely tender.symptoms of appendicitis in young children are seldom typical, so diagnosis is commonly delayed and perforation more likely. older children, adolescents, and adults are more easily diagnosed.symptoms·abdominal paino pain may begin in the upper-middle abdomen (epigastric), then develop to sharp localized paino pain may shift from the epigastric area to become most intense in the lower right side of the abdomen ("typical" case), tenderness of this area is common o pain initially may be vague, but becomes increasingly more severe·point tenderness, especially over the right lower quadrant of the abdomen·nausea and vomiting·fever usually occurs within several hoursabdominal pain may be worse when walking or coughing. the patient may prefer to lie still; sudden jarring motions or bumping can cause ter symptoms:·fever·loss of appetite·nausea·vomiting·constipation·rectal tenderness·chills and shakingadditional symptoms that may be associated with this disease include bloody urine (microscopic hematuria).signs and testswith appendicitis, pain increases when the abdomen is gently pressed and then the pressure is suddenly released. touching the abdomen may cause a spasm of the abdominal muscles if peritonitis is present. rectal examination may also cause pain, localized on the right side.the health care provider may perform other tests, including having the patient lie on his or her back with the following:·the right leg is extended straight up.·the knee and hip are flexed, and then the leg is rotated inward and outward.·the lower left portion of the abdomen is palpated.each of these actions will cause pain in the lower right quadrant of the abdomen of a person with appendicitis.appendicitis may be strongly suspected based on the following tests:·cbc, often shows an increased white blood cell count·abdominal sonography·abdominal ct scanthe surgeon may confirm the diagnosis during an exploratory laparotomy. the operation may be done as an open procedure or through a laparoscopic approach that uses a small camera and requires a smaller incision.。
