11. It enough investors decide to well as they we likely to cewek prices, they A expected returns to fall risk permis B. expected returns to rise, risk premiums to all C. expected returns to rise risk premiums to D. expected returns to fall risk premiums to E. expected returns to rise, risk premiums to be maintained 12. The arbitrage pricing theory was developed by model was developed by and the capital pricing A. Henry Markowitz / Stephen Hoss C. Eugene Fama/ William Sharpe E. Richard Roll/Henry Markowitz B. Stephen Row / William Sharpe D. Kenneth French / Eugene Fama 13. Consider the single factor APT. Portfolio A has a beta of 1.3 and an expected return of 21% Portfolio B has a beta of 0.7 and an expected return of 12%. The risk-free rate of return is 8%. you wanted to take advantage of an arbitrage opportunity, you should sell (take a short position in) portfolio __and buy take a long position in) portfolio A. C. E. A; A B. AB B; A D. BB There is no arbitrage opportunity 14. Which of the following are assumptions of the simple CAPM model? I. Individual trades of investors do not affect a stock's price. II. All investors plan for one identical holding period. III. All investors analyze securities in the same way and share the same cconomic view of the world. IV. All investors have the same level of risk aversion B. I, II and III only D. I, II, III and IV A. I, II, and IV only C. II, III, and IV only E. I and II only