Question

1. which economist was not directly involved in the development of the capm?

a. william sharpe
b. jack treynor
c. eugene fama
d. jan mossin

1. the black capm (zero - beta capm) differs from the traditional capm because it:

a. includes multiple risk factors
b. excludes the risk - free asset assumption
c. incorporates behavioral biases
d. uses consumption growth instead of market returns

1. the arbitrage pricing theory (apt) was developed as an alternative to capm primarily because:

a. it assumes investors are irrational
b. it identifies risk factors beyond market risk
c. it uses beta as the only determinant of return
d. it relies on a one - period model

1. the consumption - based capm (ccapm) links expected returns to:

a. the volatility of consumption growth
b. market risk premium
c. beta of the firm
d. investment and profitability factors

Explanation:

1. William Sharpe, Jack Treynor, and Jan Mossin were key in CAPM development. Eugene Fama is known for efficient - market hypothesis and Fama - French models, not direct CAPM work.
2. The Black CAPM (Zero - Beta CAPM) relaxes the risk - free asset assumption. Traditional CAPM assumes a risk - free asset, while Black CAPM allows for a zero - beta portfolio as a substitute.
3. APT was developed as an alternative to CAPM mainly because it identifies multiple risk factors (beyond just market risk as in CAPM).
4. The Consumption - Based CAPM (CCAPM) links expected returns to the volatility of consumption growth. It is based on the idea that asset prices should reflect the inter - temporal consumption decisions of investors.

Answer:

1. c. Eugene Fama
2. b. Excludes the risk - free asset assumption
3. b. It identifies risk factors beyond market risk
4. a. The volatility of consumption growth