题目
Which of the following is TRUE about the relationship between the CAPM and the arbitrage pricing model (APT)?
选项
A.CAPM assumes that the market is the only source of covariance between returns.
B.If we employ a procedure (e.g., Roll and Ross) and identify more than one common factor, we can logically reject the CAPM.
C.Similar to the CAPM, in order to test the APT we need to identify a "Market Portfolio" of all risky assets.
D.The APT solution with multiple factors appropriately priced is fully consistent with the form of the CAPM.
答案
D
解析
The simplest case in which an APT model is consistent with the simple form of the CAPM is the case where the return-generating function is of the form: R(i) = alpha(i) + beta(i)*R（ ） + e(i). The APT solution with multiple factors appropriately priced is fully consistent with the form of the CAPM. We wish to stress this point. Employing the Roll and Ross procedure and finding that more than one common factor is significantly different from zero is not sufficient proof to reject any CAPM. APT模型与CAPM的简单形式一致的最简单情况是：R（i）=alpha（i）＋beta（i）* R（ ）＋e（i）。 定价合理的多因素APT理论与CAPM的形式完全一致。 我们希望强调这一点。采用Rolland Ross程序并发现一个以上的公因子与零显着不同，不足以证明它不能拒绝任何形式的CAPM模型