博迪投资学第九版英文答案
投资学(博迪)答案
(ii)价格不变，净价值不变。
收益百分比= 0。
(iii)净价值下跌至7 2美元×2 5 0-5 000美元=13 000美元。
收益百分比=2 000美元/15 000美元=-0.133 3=-1 3 . 3 3%
股票价格的百分比变化和投资者收益百分比关系由下式给定：
第五章利率史与风险溢价
1.根据表5-1，分析以下情况对真实利率的影响？
a.企业对其产品的未来需求日趋悲观，并决定减少其资本支出。
b.居民因为其未来社会福利保险的不确定性增加而倾向于更多地储蓄。
c.联邦储蓄委员会从公开市场上购买美国国债以增加货币供给。
a.如果企业降低资本支出，它们就很可能会减少对资金的需求。这将使得图5 - 1中的需求曲线向左上方移动，从而降低均衡实际利率。
a. Lanni公司向银行贷款。它共获得50000美元的现金，并且签发了一张票据保证3年内还款。
b. Lanni公司使用这笔现金和它自有的20000美元为其一新的财务计划软件开发提供融资。
c. Lanni公司将此软件产品卖给微软公司（Microsoft）,微软以它的品牌供应给公众，Lanni公司获得微软的股票1500股作为报酬。
10.67%; -2.67%; -16%
e.假设一年后，Intel股票价格降至多少时，投资者将受到追缴保证金的通知？p=28.8
购买成本是8 0美元×250=20 000美元。你从经纪人处借得5 000美元，并从自有资金中取出
15 000美元进行投资。你的保证金账户初始净价值为15 000美元。
a. (i)净价值增加了2 000美元，从15 000美元增加到：8 8美元×2 5 0-5 000美元=17 000美元。
博迪投资学第九版 Investment Chap015 习题答案
CHAPTER 15: THE TERM STRUCTURE OF INTEREST RATES PROBLEM SETS.1. In general, the forward rate can be viewed as the sum of the market‟s expectation ofthe future short rate plus a potential risk (or …liquidity‟) premium. According to the expectations theory of the term structure of interest rates, the liquidity premium is zero so that the forward rate is equal to the market‟s expectation of the future short rate. Therefore, the market‟s expectation of future short rates (i.e., forward rates) can be derived from the yield curve, and there is no risk premium for longermaturities.The liquidity preference theory, on the other hand, specifies that the liquiditypremium is positive so that the forward rate is greater than the market‟s expectation of the future short rate. This could result in an upward sloping term structure even if the market does not anticipate an increase in interest rates. The liquiditypreference theory is based on the assumption that the financial markets aredominated by short-term investors who demand a premium in order to be induced to invest in long maturity securities.2. True. Under the expectations hypothesis, there are no risk premia built into bondprices. The only reason for long-term yields to exceed short-term yields is anexpectation of higher short-term rates in the future.3. Uncertain. Expectations of lower inflation will usually lead to lower nominalinterest rates. Nevertheless, if the liquidity premium is sufficiently great, long-term yields may exceed short-term yields despite expectations of falling short rates.4. The liquidity theory holds that investors demand a premium to compensate them forinterest rate exposure and the premium increases with maturity. Add this premium to a flat curve and the result is an upward sloping yield curve.5. The pure expectations theory, also referred to as the unbiased expectations theory,purports that forward rates are solely a function of expected future spot rates.Under the pure expectations theory, a yield curve that is upward (downward)sloping, means that short-term rates are expected to rise (fall). A flat yield curveimplies that the market expects short-term rates to remain constant.6. The yield curve slopes upward because short-term rates are lower than long-term rates. Since market rates are determined by supply and demand, it follows thatinvestors (demand side) expect rates to be higher in the future than in the near-term. 7. Maturity Price YTM Forward Rate1 $943.40 6.00%2 $898.47 5.50% (1.0552/1.06) – 1 = 5.0% 3 $847.62 5.67% (1.05673/1.0552) – 1 = 6.0% 4$792.166.00%(1.064/1.05673) – 1 = 7.0%8.The expected price path of the 4-year zero coupon bond is shown below. (Note that we discount the face value by the appropriate sequence of forward rates implied by this year‟s yield curve.) Beginning of YearExpected PriceExpected Rate of Return 1 $792.16($839.69/$792.16) – 1 = 6.00% 2 69.839$07.106.105.1000,1$=⨯⨯($881.68/$839.69) – 1 = 5.00% 3 68.881$07.106.1000,1$=⨯($934.58/$881.68) – 1 = 6.00%458.934$07.1000,1$= ($1,000.00/$934.58) – 1 = 7.00% 9.If expectations theory holds, then the forward rate equals the short rate, and the one year interest rate three years from now would be43(1.07)1.08518.51%(1.065)-==10. a.A 3-year zero coupon bond with face value $100 will sell today at a yield of 6% and a price of:$100/1.063 =$83.96Next year, the bond will have a two-year maturity, and therefore a yield of 6% (from next year‟s forecasted yield curve). The price will be $89.00, resulting in a holding period return of 6%.b. The forward rates based on today‟s yield curve are as follows: Year Forward Rate2 (1.052/1.04) – 1 = 6.01% 3(1.063/1.052) – 1 = 8.03%Using the forward rates, the forecast for the yield curve next year is: Maturity YTM 1 6.01% 2 (1.0601 × 1.0803)1/2 – 1 = 7.02%The market forecast is for a higher YTM on 2–year bonds than your forecast. Thus, the market predicts a lower price and higher rate of return.11. a. 86.101$08.1109$07.19$P 2=+=b.The yield to maturity is the solution for y in the following equation:86.101$)y 1(109$y 19$2=+++ [Using a financial calculator, enter n = 2; FV = 100; PMT = 9; PV = –101.86; Compute i] YTM = 7.958%c.The forward rate for next year, derived from the zero-coupon yield curve, is the solution for f 2 in the following equation:0901.107.1)08.1(f 122==+ ⇒ f 2 = 0.0901 = 9.01%.Therefore, using an expected rate for next year of r 2 = 9.01%, we find that the forecast bond price is:99.99$0901.1109$P ==d.If the liquidity premium is 1% then the forecast interest rate is:E(r 2) = f 2 – liquidity premium = 9.01% – 1.00% = 8.01% The forecast of the bond price is:92.100$0801.1109$=12. a.The current bond price is:($85 × 0.94340) + ($85 × 0.87352) + ($1,085 × 0.81637) = $1,040.20 This price implies a yield to maturity of 6.97%, as shown by the following: [$85 × Annuity factor (6.97%, 3)] + [$1,000 × PV factor (6.97%, 3)] = $1,040.17b.If one year from now y = 8%, then the bond price will be:[$85 × Annuity factor (8%, 2)] + [$1,000 × PV factor (8%, 2)] = $1,008.92 The holding period rate of return is:[$85 + ($1,008.92 – $1,040.20)]/$1,040.20 = 0.0516 = 5.16%13. Year Forward Rate PV of $1 received at period end 1 5% $1/1.05 = $0.95242 7% $1/(1.05⨯1.07) = $0.890138%$1/(1.05⨯1.07⨯1.08) = $0.8241a. Price = ($60 × 0.9524) + ($60 × 0.8901) + ($1,060 × 0.8241) = $984.14b.To find the yield to maturity, solve for y in the following equation: $984.10 = [$60 × Annuity factor (y, 3)] + [$1,000 × PV factor (y, 3)] This can be solved using a financial calculator to show that y = 6.60%c.Period Payment received at end of period:Will grow by a factor of: To a future value of: 1 $60.00 1.07 ⨯ 1.08 $69.34 2 $60.00 1.08 $64.80 3 $1,060.00 1.00 $1,060.00$1,194.14$984.10 ⨯ (1 + y realized )3 = $1,194.141 + y realized = 0666.110.984$14.194,1$3/1=⎪⎭⎫⎝⎛ ⇒ y realized = 6.66%d.Next year, the price of the bond will be:[$60 × Annuity factor (7%, 2)] + [$1,000 × PV factor (7%, 2)] = $981.92 Therefore, there will be a capital loss equal to: $984.10 – $981.92 = $2.18 The holding period return is:%88.50588.010.984$)18.2$(60$==-+14. a.The return on the one-year zero-coupon bond will be 6.1%. The price of the 4-year zero today is:$1,000/1.0644 = $780.25Next year, i f the yield curve is unchanged, today‟s 4-year zero coupon bond will have a 3-year maturity, a YTM of 6.3%, and therefore the price will be:$1,000/1.0633 = $832.53The resulting one-year rate of return will be: 6.70%Therefore, in this case, the longer-term bond is expected to provide the higher return because its YTM is expected to decline during the holding period. b.If you believe in the expectations hypothesis, you would not expect that the yield curve next year will be the same as today‟s curve. The u pward slope in today's curve would be evidence that expected short rates are rising and that the yield curve will shift upward, reducing the holding period return on the four-year bond. Under the expectations hypothesis, all bonds have equal expected holding period returns. Therefore, you would predict that the HPR for the 4-year bond would be 6.1%, the same as for the 1-year bond.15. The price of the coupon bond, based on its yield to maturity, is:[$120 × Annuity factor (5.8%, 2)] + [$1,000 × PV factor (5.8%, 2)] = $1,113.99 If the coupons were stripped and sold separately as zeros, then, based on the yield to maturity of zeros with maturities of one and two years, respectively, the coupon payments could be sold separately for:08.111,1$06.1120,1$05.1120$2=+ The arbitrage strategy is to buy zeros with face values of $120 and $1,120, and respective maturities of one year and two years, and simultaneously sell the coupon bond. The profit equals $2.91 on each bond.16. a.The one-year zero-coupon bond has a yield to maturity of 6%, as shown below:1y 1100$34.94$+=⇒y 1 = 0.06000 = 6.000% The yield on the two-year zero is 8.472%, as shown below:22)y 1(100$99.84$+=⇒y 2 = 0.08472 = 8.472% The price of the coupon bond is:51.106$)08472.1(112$06.112$2=+Therefore: yield to maturity for the coupon bond = 8.333%[On a financial calculator, enter: n = 2; PV = –106.51; FV = 100; PMT = 12]b. %00.111100.0106.1)08472.1(1y 1)y 1(f 21222==-=-++=c.Expected price 90.100$11.1112$==(Note that next year, the coupon bond will have one payment left.) Expected holding period return =%00.60600.051.106$)51.106$90.100($12$==-+This holding period return is the same as the return on the one-year zero.d.If there is a liquidity premium, then: E(r 2) < f 2 E(Price) =90.100$)r (E 1112$2>+E(HPR) > 6%17. a.We obtain forward rates from the following table: Maturity YTM Forward Rate Price (for parts c, d) 1 year 10%$1,000/1.10 = $909.09 2 years 11% (1.112/1.10) – 1 = 12.01% $1,000/1.112 = $811.62 3 years 12% (1.123/1.112) – 1 = 14.03%$1,000/1.123 = $711.78b.We obtain next year‟s prices and yields by discounting each zero‟s face value at the forward rates for next year that we derived in part (a): Maturity PriceYTM1 year $1,000/1.1201 = $892.78 12.01%2 years$1,000/(1.1201 × 1.1403) = $782.9313.02%Note that this year‟s upward sloping yield curve implies, according t o the expectations hypothesis, a shift upward in next year‟s curve.c.Next year, the 2-year zero will be a 1-year zero, and will therefore sell at a price of: $1,000/1.1201 = $892.78Similarly, the current 3-year zero will be a 2-year zero and will sell for: $782.93 Expected total rate of return:2-year bond: %00.1011000.1162.811$78.892$=-=-3-year bond:%00.1011000.1178.711$93.782$=-=-d.The current price of the bond should equal the value of each payment times the present value of $1 to be received at the “maturity” of th at payment. The present value schedule can be taken directly from the prices of zero-coupon bonds calculated above.Current price = ($120 × 0.90909) + ($120 × 0.81162) + ($1,120 × 0.71178)= $109.0908 + $97.3944 + $797.1936 = $1,003.68Similarly, the expected prices of zeros one year from now can be used to calculate the expected bond value at that time:Expected price 1 year from now = ($120 × 0.89278) + ($1,120 × 0.78293)= $107.1336 + $876.8816 = $984.02Total expected rate of return =%00.101000.068.003,1$)68.003,1$02.984($120$==-+18. a.Maturity (years) Price YTM Forward rate 1 $925.93 8.00% 2 $853.39 8.25% 8.50% 3 $782.92 8.50% 9.00% 4 $715.00 8.75% 9.50% 5$650.009.00%10.00%b.For each 3-year zero issued today, use the proceeds to buy:$782.92/$715.00 = 1.095 four-year zerosYour cash flows are thus as follows:Time Cash Flow0 $ 03 -$1,000 The 3-year zero issued at time 0 matures;the issuer pays out $1,000 face value4 +$1,095 The 4-year zeros purchased at time 0 mature;receive face valueThis is a synthetic one-year loan originating at time 3. The rate on thesynthetic loan is 0.095 = 9.5%, precisely the forward rate for year 4.c. For each 4-year zero issued today, use the proceeds to buy:$715.00/$650.00 = 1.100 five-year zerosYour cash flows are thus as follows:Time Cash Flow0 $ 04 -$1,000 The 4-year zero issued at time 0 matures;the issuer pays out $1,000 face value5 +$1,100 The 5-year zeros purchased at time 0 mature;receive face valueThis is a synthetic one-year loan originating at time 4. The rate on thesynthetic loan is 0.100 = 10.0%, precisely the forward rate for year 5.19. a. For each three-year zero you buy today, issue:$782.92/$650.00 = 1.2045 five-year zerosThe time-0 cash flow equals zero.b. Your cash flows are thus as follows:Time Cash Flow0 $ 03 +$1,000.00 The 3-year zero purchased at time 0 matures;receive $1,000 face value5 -$1,204.50 The 5-year zeros issued at time 0 mature;issuer pays face valueThis is a synthetic two-year loan originating at time 3.c.The effective two-year interest rate on the forward loan is:$1,204.50/$1,000 1 = 0.2045 = 20.45%d.The one-year forward rates for years 4 and 5 are 9.5% and 10%, respectively. Notice that:1.095 × 1.10 = 1.2045 =1 + (two-year forward rate on the 3-year ahead forward loan)The 5-year YTM is 9.0%. The 3-year YTM is 8.5%. Therefore, another way to derive the 2-year forward rate for a loan starting at time 3 is:%46.202046.01085.109.11)y 1()y 1()2(f 3533553==-=-++= [Note: slight discrepancies here from rounding errors in YTM calculations]CFA PROBLEMS1. Expectations hypothesis: The yields on long-term bonds are geometric averages ofpresent and expected future short rates. An upward sloping curve is explained by expected future short rates being higher than the current short rate. A downward-sloping yield curve implies expected future short rates are lower than the current short rate. Thus bonds of different maturities have different yields if expectations of future short rates are different from the current short rate.Liquidity preference hypothesis: Yields on long-term bonds are greater than the expected return from rolling-over short-term bonds in order to compensate investors in long-term bonds for bearing interest rate risk. Thus bonds of different maturities can have different yields even if expected future short rates are all equal to the current short rate. An upward sloping yield curve can be consistent even with expectations of falling short rates if liquidity premiums are high enough. If,however, the yield curve is downward sloping and liquidity premiums are assumed to be positive, then we can conclude that future short rates are expected to be lower than the current short rate. 2. d. 3.a.(1+y 4 )4 = (1+ y 3 )3 (1 + f 4 ) (1.055)4 = (1.05)3 (1 + f 4 )1.2388 = 1.1576 (1 + f 4 ) ⇒ f 4 = 0.0701 = 7.01%b.The conditions would be those that underlie the expectations theory of the term structure: risk neutral market participants who are willing to substitute among maturities solely on the basis of yield differentials. This behavior would rule out liquidity or term premia relating to risk.c.Under the expectations hypothesis, lower implied forward rates wouldindicate lower expected future spot rates for the corresponding period. Since the lower expected future rates embodied in the term structure are nominal rates, either lower expected future real rates or lower expected future inflation rates would be consistent with the specified change in the observed (implied) forward rate.4.The given rates are annual rates, but each period is a half-year. Therefore, the per period spot rates are 2.5% on one-year bonds and 2% on six-month bonds. The semiannual forward rate is obtained by solving for f in the following equation:030.102.1025.1f 12==+This means that the forward rate is 0.030 = 3.0% semiannually, or 6.0% annually. 5.The present value of each bond‟s payments can be derived by discounting each cash flow by the appropriate rate from the spot interest rate (i.e., the pure yield) curve:Bond A: 53.98$11.1110$08.110$05.110$PV 32=++= Bond B:36.88$11.1106$08.16$05.16$PV 32=++=Bond A sells for $0.13 (i.e., 0.13% of par value) less than the present value of itsstripped payments. Bond B sells for $0.02 less than the present value of its stripped payments. Bond A is more attractively priced. 6. a.Based on the pure expectations theory, VanHusen‟s conclusion is incorrect. According to this theory, the expected return over any time horizon would be the same, regardless of the maturity strategy employed.b. According to the liquidity preference theory, the shape of the yield curveimplies that short-term interest rates are expected to rise in the future. Thistheory asserts that forward rates reflect expectations about future interest ratesplus a liquidity premium that increases with maturity. Given the shape of theyield curve and the liquidity premium data provided, the yield curve would stillbe positively sloped (at least through maturity of eight years) after subtractingthe respective liquidity premiums:2.90% – 0.55% = 2.35%3.50% – 0.55% = 2.95%3.80% – 0.65% = 3.15%4.00% – 0.75% = 3.25%4.15% – 0.90% = 3.25%4.30% – 1.10% = 3.20%4.45% – 1.20% = 3.25%4.60% – 1.50% = 3.10%4.70% – 1.60% = 3.10%7. The coupon bonds can be viewed as portfolios of stripped zeros: each coupon canstand alone as an independent zero-coupon bond. Therefore, yields on couponbonds reflect yields on payments with dates corresponding to each coupon. When the yield curve is upward sloping, coupon bonds have lower yields than zeroswith the same maturity because the yields to maturity on coupon bonds reflect the yields on the earlier interim coupon payments.8. The following table shows the expected short-term interest rate based on theprojections of Federal Reserve rate cuts, the term premium (which increases at arate of 0.10% per 12 months), the forward rate (which is the sum of the expectedrate and term premium), and the YTM, which is the geometric average of theforward rates.Time Expectedshort rateTermpremiumForwardrate (annual)Forward rate(semi-annual)YTM(semi-annual)0 5.00% 0.00% 5.00% 2.500% 2.500% 6 months 4.50 0.05 4.55 2.275 2.387 12 months 4.00 0.10 4.10 2.050 2.275 18 months 4.00 0.15 4.15 2.075 2.225 24 months 4.00 0.20 4.20 2.100 2.200 30 months 5.00 0.25 5.25 2.625 2.271 36 months 5.00 0.30 5.30 2.650 2.334 This analysis is predicated on the liquidity preference theory of the term structure, which asserts that the forward rate in any period is the sum of the expected short rate plus the liquidity premium.9. a. Five-year Spot Rate:5544332211)y 1(070,1$)y 1(70$)y 1(70$)y 1(70$)y 1(70$000,1$+++++++++= 55432)y 1(070,1$)0716.1(70$)0605.1(70$)0521.1(70$)05.1(70$000,1$+++++= 55)y 1(070,1$08.53$69.58$24.63$67.66$000,1$+++++= 55)y 1(070,1$32.758$+= 32.758$070,1$)y 1(55=+⇒%13.71411.1y 55=-= Five-year Forward Rate:%01.710701.11)0716.1()0713.1(45=-=-b. The yield to maturity is the single discount rate that equates the present valueof a series of cash flows to a current price. It is the internal rate of return. The short rate for a given interval is the interest rate for that interval available at different points in time.The spot rate for a given period is the yield to maturity on a zero-coupon bond that matures at the end of the period. A spot rate is the discount rate for each period. Spot rates are used to discount each cash flow of a coupon bond in order to calculate a current price. Spot rates are the rates appropriate fordiscounting future cash flows of different maturities.A forward rate is the implicit rate that links any two spot rates. Forward rates are directly related to spot rates, and therefore to yield to maturity. Some would argue (as in the expectations hypothesis) that forward rates are the market expectations of future interest rates. A forward rate represents abreak-even rate that links two spot rates. It is important to note that forward rates link spot rates, not yields to maturity.Yield to maturity is not unique for any particular maturity. In other words, two bonds with the same maturity but different coupon rates may havedifferent yields to maturity. In contrast, spot rates and forward rates for each date are unique.c.The 4-year spot rate is 7.16%. Therefore, 7.16% is the theoretical yield to maturity for the zero-coupon U.S. Treasury note. The price of the zero-coupon note discounted at 7.16% is the present value of $1,000 to be received in 4 years. Using annual compounding: 35.758$)0716.1(000,1$PV 4==10. a.The two-year implied annually compounded forward rate for a deferred loan beginning in 3 years is calculated as follows: %07.60607.0111.109.11)y 1()y 1()2(f 2/1352/133553==-⎥⎦⎤⎢⎣⎡=-⎥⎦⎤⎢⎣⎡++=b. Assuming a par value of $1,000, the bond price is calculated as follows: 10.987$)09.1(090,1$)10.1(90$)11.1(90$)12.1(90$)13.1(90$)y 1(090,1$)y 1(90$)y 1(90$)y 1(90$)y 1(90$P 543215544332211=++++=+++++++++=。
博迪的投资学第二章练习题(英)
21.Which of the following is not a money market instrument?A. Treasury billB. Commercial paperC. Preferred stockD. Banker's acceptance2.Thirteen week T-bill auctions are conducted ____.A. dailyB. weeklyC. monthlyD. quarterly3.When computing the bank discount yield you would use ____ days in the year.A. 260B. 360C. 365D. 3664. A dollar denominated deposit at a London bank is called _____.A. eurodollarsB. LIBORC. fed fundsD. banker's acceptance5.Money market securities are sometimes referred to as "cash equivalent" because _____.A. they are safe and marketableB. they are not liquidC. they are high riskD. they are low denomination6.The most actively traded money market security isA. Treasury billsB. Bankers' AcceptancesC. Certificates of DepositD. Common stock7.______ voting of common stock gives minority shareholders the most representation on the board ofdirectors.A. MajorityB. CumulativeC. RightsD. Proxy8.An investor in a T-bill earns interest by _________.A. receiving interest payments every 90 daysB. receiving dividend payments every 30 daysC. converting the T-bill at maturity into a higher valued T-noteD. buying the bill at a discount from the face value received at maturity9.______ would not be included in the EAFE index.A. AustraliaB. CanadaC. FranceD. Japan10._____ is considered to be an emerging market country.A. FranceB. NorwayC. BrazilD. Canada11.Which one of the following is a true statement?A. Dividends on preferred stocks are tax-deductible to individual investors but not to corporate investorsB. Common dividends cannot be paid if preferred dividends are in arrears on cumulative preferred stockC. Preferred stockholders have voting powerD. Investors can sue managers for nonpayment of preferred dividends12.The bid price of a treasury bill is _________.A. the price at which the dealer in treasury bills is willing to sell the billB. the price at which the dealer in treasury bills is willing to buy the billC. greater than the ask price of the treasury bill expressed in dollar termsD. the price at which the investor can buy the treasury bill13.The German stock market is measured by which market index?A. FTSEB. Dow Jones 30C. DAXD. Nikkei14.Deposits of commercial banks at the Federal Reserve are called _____.A. bankers acceptancesB. federal fundsC. repurchase agreementsD. time deposits15.Which of the following is not a true statement regarding municipal bonds?A. A municipal bond is a debt obligation issued by state or local governments.B. A municipal bond is a debt obligation issued by the Federal Government.C. The interest income from a municipal bond is exempt from federal income taxation.D. The interest income from a municipal bond is exempt from state and local taxation in the issuing state.16.Which of the following is not a characteristic of a money market instrument?A. LiquidityB. MarketabilityC. Low riskD. Maturity greater than one year17.An individual who goes short in a futures positionA. commits to delivering the underlying commodity at contract maturityB. commits to purchasing the underlying commodity at contract maturityC. has the right to deliver the underlying commodity at contract maturityD. has the right to purchase the underlying commodity at contract maturity18.Which of the following is not a nickname for an agency associated with the mortgage markets?A. Fannie MaeB. Freddie MacC. Sallie MaeD. Ginnie Maemercial paper is a short-term security issued by __________ to raise funds.A. the Federal ReserveB. commercial banksC. large well-known companiesD. the New York Stock Exchange20.The maximum maturity on commercial paper isA. 270 daysB. 180 daysC. 90 daysD. 30 days21.Which one of the following is a true statement regarding the Dow Jones Industrial Average?A. It is a value-weighted average of 30 large industrial stocksB. It is a price-weighted average of 30 large industrial stocksC. It is a price-weighted average of 100 large stocks traded on the New York Stock ExchangeD. It is a value-weighted average of all stocks traded on the New York Stock Exchange22.Treasury bills are financial instruments issued by __________ to raise funds.A. commercial banksB. the Federal GovernmentC. large corporationsD. state and city governments23.Which of the following are true statements about T-bills?I. T-bills typically sell in denominations of $10,000II. Income earned on T-bills is exempt from all Federal taxesIII. Income earned on T-bills is exempt from state and local taxesA. I onlyB. I and II onlyC. I and III onlyD. I, II and III24. A bond that has no collateral is called _________.A. a callable bondB. a debentureC. a junk bondD. a mortgage25. A __________ gives its holder the right to sell an asset for a specified exercise price on or before aspecified expiration date.A. call optionB. futures contractC. put optionD. interest rate swap26. A T-bill quote sheet has 90 day T-bill quotes with a 4.92 bid and a 4.86 ask. If the bill has a $10,000 facevalue an investor could buy this bill forA. $10,000.00B. $9,878.50C. $9,877.00D. $9,880.1627.Which one of the following is a true statement regarding corporate bonds?A. A corporate callable bond gives its holder the right to exchange it for a specified number of thecompany's common sharesB. A corporate debenture is a secured bondC. A corporate convertible bond gives its holder the right to exchange it for a specified number of thecompany's common sharesD. Holders of corporate bonds have voting rights in the company28.The yield on tax-exempt bonds is ______.A. usually less than 50% of the yield on taxable bondsB. normally about 90% of the yield on taxable bondsC. greater than the yield on taxable bondsD. less than the yield on taxable bonds29.__________ is not a money market instrument.A. A certificate of depositB. A treasury billC. A treasury bondD. Commercial paper30.An investor buys a T-bill at a bank discount quote of 4.80 with 150 days to maturity. The investor's actualannual rate of return on this investment was _____.A. 4.80%B. 4.97%C. 5.47%D. 5.74%31.The U.K. stock index is the _________.A. DAXB. FTSEC. GSED. TSE32. A __________ gives its holder the right to buy an asset for a specified exercise price on or before aspecified expiration date.A. call optionB. futures contractC. put optionD. interest rate swap33.Which one of the following provides the best example of securitization?A. convertible bondB. call optionC. mortgage pass-through securityD. preferred stock34.Which of the following indices are market-value weighted?I. The NYSE CompositeII. The S&P 500III. The Wilshire 5000A. I and II onlyB. II and III onlyC. I and III onlyD. I, II and III35.The interest rate charged by large banks in London to lend money among themselves is called _________.A. the prime rateB. the discount rateC. the federal funds rateD. LIBOR36. A firm that has large securities holdings that wishes to raise money for a short length of time may be able tofind the cheapest financing from which of the following?A. Reverse repurchase agreementB. Banker's acceptanceC. Commercial paperD. Repurchase agreement37.Currently the Dow Jones Industrial Average is computed by _________.A. adding the prices of 30 large "blue-chip" stocks and dividing by 30B. calculating the total market value of the 30 firms in the index and dividing by 30C. measuring the current total market value of the 30 stocks in the index relative to the total value on theprevious dayD. a dding the prices of 30 large "blue-chip" stocks and dividing by a divisor adjusted for stock splits andlarge stock dividends38.An investor purchases one municipal and one corporate bond that pay rates of return of 5.00% and 6.40%respectively. If the investor is in the 15% tax bracket, his after tax rates of return on the municipal and corporate bonds would be respectivelyA. 5.00% and 6.40%B. 5.00% and 5.44%C. 4.25% and 6.40%D. 5.75% and 5.44%39.If a treasury note has a bid price of $996.25, the quoted bid price in the Wall Street Journal would be_________.A. 99:25B. 99:63C. 99:20D. 99:0840.TIPS are ______.A. Treasury bonds that pay a variable rate of interestB. U.K. bonds that protect investors from default riskC. securities that trade on the Toronto stock indexD. Treasury bonds that protect investors from inflation41.The price quotations of treasury bonds in the Wall Street Journal show a bid price of 102:12 and an askprice of 102:14. If you sold the bond you expect to receive _________.A. $1,024.75B. $1,024.38C. $1,023.75D. $1,022.5042.The Dow Jones Industrial Average is _________.A. a price weighted averageB. a value weight and averageC. an equally weighted averageD. an unweighted average43.Investors will earn higher rates of returns on TIPS than equivalent default risk standard bonds if_______________.A. inflation is lower than anticipated over the investment periodB. inflation is higher than anticipated over the investment periodC. the U.S. dollar increases in value against the euroD. the spread between commercial paper and Treasury securities remains low44.Preferred stock is like long-term debt in that ___________.A. it gives the holder voting power regarding the firm's managementB. it promises to pay to its holder a fixed stream of income each yearC. the preferred dividend is a tax-deductible expense for the firmD. in the event of bankruptcy preferred stock has equal status with debt45.Which of the following does not approximate the performance of a buy and hold portfolio strategy?A. An equally weighted indexB. A price weighted indexC. A value weighted indexD. Weights are not a factor in this situation46.In calculating the Dow Jones Industrial Average, the adjustment for a stock split occurs _________.A. automaticallyB. by adjusting the divisorC. by adjusting the numeratorD. by adjusting the market value weights47.If the market prices of the 30 stocks in the Dow Jones Industrial Average all change by the same dollaramount on a given day, assuming there are no stock splits which stock will have the greatest impact on the average?A. The one with the highest priceB. The one with the lowest priceC. All 30 stocks will have the same impactD. The answer cannot be determined by the information given48. A bond issued by the State of Alabama is priced to yield 6.25%. If you are in the 28% tax bracket this bondwould provide you with an equivalent taxable yield of _________.A. 4.50%B. 7.25%C. 8.68%D. none of the above49.The purchase of a futures contract gives the buyer _________.A. the right to buy an item at a specified priceB. the right to sell an item at a specified priceC. the obligation to buy an item at a specified priceD. the obligation to sell an item at a specified price50.Ownership of a put option entitles the owner to the __________ to ___________ a specific stock, on orbefore a specific date, at a specific price.A. right, buyB. right, sellC. obligation, buyD. obligation, sell51.An investor in a 28% tax bracket is trying to decide whether to invest in a municipal bond or a corporatebond. She looks up municipal bond yields (r m) but wishes to calculate the taxable equivalent yield r. The formula she should use is given by ______.A. r = r m * (1 - 28%)B. r = r m/(1 - 72%)C. r = r m * (1 - 72%)D. r = r m/(1 - 28%)52.June call and put options on King Books Inc are available with exercise prices of $30, $35 and $40. Amongthe different exercise prices, the call option with the _____ exercise price and the put option with the _____ exercise price will have the greatest value.A. $40; $30B. $30; $40C. $35; $35D. $40; $4053.Ownership of a call option entitles the owner to the __________ to __________ a specific stock, on orbefore a specific date, at a specific price.A. right, buyB. right, sellC. obligation, buyD. obligation, sell54.The ________ the ratio of municipal bond yields to corporate bond yields the _________ the cutoff taxbracket where more individuals will prefer to hold municipal debt.A. higher; lowerB. lower; lowerC. lower; higherD. higher; higher55.Which of the following types of bonds are excluded from most bond indices?A. Corporate bondsB. Junk bondsC. Municipal bondsD. None of the above56.The Hang Seng index reflects market performance on which of the following major stock markets?A. JapanB. SingaporeC. TaiwanD. Hong Kong57.The Standard and Poors 500 is a(n) __________ weighted index.A. equallyB. priceC. valueD. share58. A firm that fails to pay dividends on its preferred stock is said to be _________.A. insolventB. in arrearsC. insufferableD. delinquentrge well-known companies often issue their own short term unsecured debt notes directly to the public,rather than borrowing from banks, their notes are called _________.A. certificates of depositB. repurchase agreementsC. banker's acceptancesD. commercial paper60.Which of the following is most like a short-term collateralized loan?A. Certificate of depositB. Repurchase agreementC. Banker's acceptanceD. Commercial paper61.Eurodollars are _________.A. dollar denominated deposits at any foreign bank or foreign branch of an American bankB. dollar denominated bonds issued by firms outside their home marketC. currency issued by Euro Disney and traded in FranceD. dollars that wind up in banks as a result of money laundering activities62.Which of the following is used to back international sales of goods and services?A. Certificate of depositB. Banker's acceptanceC. Eurodollar depositsD. Commercial paper63.Treasury notes have initial maturities between ________ years.A. 2 and 4B. 5 and 10C. 10 and 30D. 1 and 1064.Which of the following are not characteristic of common stock ownership?A. Residual claimantB. Unlimited liabilityC. Voting rightsD. Limited life of the security65.If you thought prices of stock would be rising over the next few months you may wish to__________________ on the stock.A. purchase a call optionB. purchase a put optionC. sell a futures contractD. place a short sale order66. A typical bond price quote includes all but which one of the following?A. Daily high price for the bondB. Closing bond priceC. Yield to maturityD. Dividend yield67.What are business firms most likely to use derivative securities for?A. HedgingB. SpeculatingC. Doing calculus problemsD. Market making68.What would you expect to have happened to the spread between yields on commercial paper and Treasurybills immediately after September 11, 2001?A. No change, as both yields will remain the same.B. Increase, the spread usually increases in response to a crisis.C. Decrease, the spread usually decreases in response to a crisis.D. No change, as both yields will move in the same direction.69. A stock quote indicates a stock price of $60 and a dividend yield of 3%. The latest quarterly dividendreceived by stock investors must have been ______ per share.A. $0.55B. $1.80C. $0.45D. $1.2570.Three stocks have share prices of $12, $75, and $30 with total market values of $400 million, $350 millionand $150 million respectively. If you were to construct a price-weighted index of the three stocks what would be the index value?A. 300B. 39C. 43D. 3071.Which of the following is not considered a money market investment?A. Bankers acceptancesB. EurodollarC. Repurchase agreementD. Treasury note72.The Federal Reserve Board of Governors directly controls which of the following interest rates?A. Bankers acceptancesB. Brokers callC. Federal fundsD. LIBOR73.You decide to purchase an equal number of shares of stocks of firms to create a portfolio. If you wishedto construct an index to track your portfolio performance your best match for your portfolio would be to construct a/an ______.A. value weighted indexB. equal weighted indexC. price weighted indexD. bond price index74.In a ___________ index changes in the value of the stock with the greatest market value will move theindex value the most everything else equal.A. value weighted indexB. equal weighted indexC. price weighted indexD. bond price index75. A corporation in a 34% tax bracket invests in the preferred stock of another company and earns a 6% pre-tax rate of return. An individual investor in a 15% tax bracket invests in the same preferred stock and earns the same pre-tax return. The after tax return to the corporation is _______ and the after tax return to the individual investor is _______.A. 3.96%; 5.1%B. 5.39%; 5.1%C. 6.00%; 6.00%D. 3.96%; 6.00%76.All but which one of the following indices is value weighted?A. Nasdaq CompositeB. S&P 500C. Wilshire 5000D. DJIA77.What is the tax exempt equivalent yield on a 9% bond yield given a marginal tax rate of 28%?A. 6.48%B. 7.25%C. 8.02%D. 9.00%78. A tax free municipal bond provides a yield of 3.2%. What is the equivalent taxable yield on the bond givena 35% tax bracket?A. 3.20%B. 3.68%C. 4.92%D. 5.00%79.An index computed from a simple average of returns is a/an _____.A. equal weighted indexB. value weighted indexC. price weighted indexD. share weighted index80. A tax free municipal bond provides a yield of 2.34%. What is the equivalent taxable yield on the bondgiven a 28% tax bracket?A. 2.34%B. 2.68%C. 3.25%D. 4.92%81.The Chompers Index is a price weighted stock index based on the 3 largest fast food chains. The stockprices for the three stocks are $54, $23, and $44. What is the price weighted index value of the Chompers Index?A. 23.43B. 35.36C. 40.33D. 49.5882.The Hydro Index is a price weighted stock index based on the 5 largest boat manufacturers in the nation.The stock prices for the five stocks are $10, $20, $80, $50 and $40. The price of the last stock was just split2 for 1 and the stock price was halved from $40 to $20. What is the new divisor for a price weighted index?A. 5.00B. 4.85C. 4.50D. 4.7583. A benchmark index has three stocks priced at $23, $43, and $56. The number of outstanding shares foreach is 350,000 shares, 405,000 shares, and 553,000 shares, respectively. If the market value weighted index was 970 yesterday and the prices changed to $23, $41, and $58, what is the new index value?A. 960B. 970C. 975D. 98584. A benchmark market value index is comprised of three stocks. Yesterday the three stocks were pricedat $12, $20, and $60. The number of outstanding shares for each is 600,000 shares, 500,000 shares, and 200,000 shares, respectively. If the stock prices changed to $16, $18, and $62 today respectively, what is the one day rate of return on the index?A. 5.78%B. 4.35%C. 6.16%D. 7.42%85.Which of the following mortgage scenarios will benefit the homeowner the most?A. Adjustable rate mortgage when interest rate increases.B. Fixed rate mortgage when interest rates falls.C. Fixed rare mortgage when interest rate rises.D. None of the above, as banker's interest will always be protected.2 Key1.Which of the following is not a money market instrument?A. Treasury billB. Commercial paperC.Preferred stockD. Banker's acceptanceBodie - Chapter 02 #1Difficulty: Easy2.Thirteen week T-bill auctions are conducted ____.A. dailyB. weeklyC. monthlyD. quarterlyBodie - Chapter 02 #2Difficulty: Easy3.When computing the bank discount yield you would use ____ days in the year.A. 260B. 360C. 365D. 366Bodie - Chapter 02 #3Difficulty: Medium4. A dollar denominated deposit at a London bank is called _____.A. eurodollarsB. LIBORC. fed fundsD. banker's acceptanceBodie - Chapter 02 #4Difficulty: Easy5.Money market securities are sometimes referred to as "cash equivalent" because _____.A. they are safe and marketableB. they are not liquidC. they are high riskD. they are low denominationBodie - Chapter 02 #5Difficulty: Easy6.The most actively traded money market security isA. Treasury billsB. Bankers' AcceptancesC. Certificates of DepositD. Common stockBodie - Chapter 02 #6Difficulty: Medium 7.______ voting of common stock gives minority shareholders the most representation on the board ofdirectors.A. MajorityB.CumulativeC. RightsD. ProxyBodie - Chapter 02 #7Difficulty: Medium8.An investor in a T-bill earns interest by _________.A. receiving interest payments every 90 daysB. receiving dividend payments every 30 daysC. converting the T-bill at maturity into a higher valued T-noteD.buying the bill at a discount from the face value received at maturityBodie - Chapter 02 #8Difficulty: Easy9.______ would not be included in the EAFE index.A. AustraliaB. CanadaC. FranceD. JapanBodie - Chapter 02 #9Difficulty: Hard10._____ is considered to be an emerging market country.A. FranceB. NorwayC. BrazilD. CanadaBodie - Chapter 02 #10Difficulty: Medium11.Which one of the following is a true statement?A.D ividends on preferred stocks are tax-deductible to individual investors but not to corporateinvestorsB. Common dividends cannot be paid if preferred dividends are in arrears on cumulative preferred stockC. Preferred stockholders have voting powerD. Investors can sue managers for nonpayment of preferred dividendsBodie - Chapter 02 #11Difficulty: Medium12.The bid price of a treasury bill is _________.A. the price at which the dealer in treasury bills is willing to sell the billB.the price at which the dealer in treasury bills is willing to buy the billC. greater than the ask price of the treasury bill expressed in dollar termsD. the price at which the investor can buy the treasury billBodie - Chapter 02 #12Difficulty: Easy13.The German stock market is measured by which market index?A. FTSEB. Dow Jones 30C. DAXD. NikkeiBodie - Chapter 02 #13Difficulty: Easy14.Deposits of commercial banks at the Federal Reserve are called _____.A. bankers acceptancesB. federal fundsC. repurchase agreementsD. time depositsBodie - Chapter 02 #14Difficulty: Easy15.Which of the following is not a true statement regarding municipal bonds?A. A municipal bond is a debt obligation issued by state or local governments.B. A municipal bond is a debt obligation issued by the Federal Government.C. The interest income from a municipal bond is exempt from federal income taxation.D.T he interest income from a municipal bond is exempt from state and local taxation in the issuingstate.Bodie - Chapter 02 #15Difficulty: Easy16.Which of the following is not a characteristic of a money market instrument?A. LiquidityB. MarketabilityC. Low riskD. Maturity greater than one yearBodie - Chapter 02 #16Difficulty: Easy17.An individual who goes short in a futures positionA. commits to delivering the underlying commodity at contract maturityB. commits to purchasing the underlying commodity at contract maturityC. has the right to deliver the underlying commodity at contract maturityD. has the right to purchase the underlying commodity at contract maturityBodie - Chapter 02 #17Difficulty: Easy18.Which of the following is not a nickname for an agency associated with the mortgage markets?A. Fannie MaeB. Freddie MacC. Sallie MaeD. Ginnie MaeBodie - Chapter 02 #18Difficulty: Easymercial paper is a short-term security issued by __________ to raise funds.A. the Federal ReserveB. commercial banksC. large well-known companiesD. the New York Stock ExchangeBodie - Chapter 02 #19Difficulty: Easy20.The maximum maturity on commercial paper isA. 270 daysB. 180 daysC. 90 daysD. 30 daysBodie - Chapter 02 #20Difficulty: Medium21.Which one of the following is a true statement regarding the Dow Jones Industrial Average?A. It is a value-weighted average of 30 large industrial stocksB. It is a price-weighted average of 30 large industrial stocksC. It is a price-weighted average of 100 large stocks traded on the New York Stock ExchangeD. It is a value-weighted average of all stocks traded on the New York Stock ExchangeBodie - Chapter 02 #21Difficulty: Easy22.Treasury bills are financial instruments issued by __________ to raise funds.A. commercial banksB. the Federal GovernmentC. large corporationsD. state and city governmentsBodie - Chapter 02 #22Difficulty: Easy23.Which of the following are true statements about T-bills?I. T-bills typically sell in denominations of $10,000II. Income earned on T-bills is exempt from all Federal taxesIII. Income earned on T-bills is exempt from state and local taxesA. I onlyB. I and II onlyC. I and III onlyD. I, II and IIIBodie - Chapter 02 #23Difficulty: Medium24. A bond that has no collateral is called _________.A. a callable bondB.a debentureC. a junk bondD. a mortgageBodie - Chapter 02 #24Difficulty: Easy 25. A __________ gives its holder the right to sell an asset for a specified exercise price on or before aspecified expiration date.A. call optionB. futures contractC.put optionD. interest rate swapBodie - Chapter 02 #25Difficulty: Easy 26. A T-bill quote sheet has 90 day T-bill quotes with a 4.92 bid and a 4.86 ask. If the bill has a $10,000face value an investor could buy this bill forA. $10,000.00B. $9,878.50C. $9,877.00D. $9,880.16Bodie - Chapter 02 #26Difficulty: Hard27.Which one of the following is a true statement regarding corporate bonds?A.A corporate callable bond gives its holder the right to exchange it for a specified number of thecompany's common sharesB. A corporate debenture is a secured bondC.A corporate convertible bond gives its holder the right to exchange it for a specified number of thecompany's common sharesD. Holders of corporate bonds have voting rights in the companyBodie - Chapter 02 #27Difficulty: Medium28.The yield on tax-exempt bonds is ______.A. usually less than 50% of the yield on taxable bondsB. normally about 90% of the yield on taxable bondsC. greater than the yield on taxable bondsD. less than the yield on taxable bondsBodie - Chapter 02 #28Difficulty: Easy29.__________ is not a money market instrument.A. A certificate of depositB. A treasury billC. A treasury bondD. Commercial paperBodie - Chapter 02 #29Difficulty: Easy 30.An investor buys a T-bill at a bank discount quote of 4.80 with 150 days to maturity. The investor'sactual annual rate of return on this investment was _____.A. 4.80%B. 4.97%C. 5.47%D. 5.74%Bodie - Chapter 02 #30Difficulty: Hard31.The U.K. stock index is the _________.A.DAXB. FTSEC. GSED. TSEBodie - Chapter 02 #31Difficulty: Easy。
博迪投资学第九版英文答案(供参考)
CHAPTER 1: THE INVESTMENT ENVIRONMENT PROBLEM SETS1.Ultimately, it is true that real assets determine the material well being of aneconomy. Nevertheless, individuals can benefit when financial engineering creates new products that allow them to manage their portfolios of financial assets moreefficiently. Because bundling and unbundling creates financial products with newproperties and sensitivities to various sources of risk, it allows investors to hedgeparticular sources of risk more efficiently.2.Securitization requires access to a large number of potential investors. To attractthese investors, the capital market needs:1. a safe system of business laws and low probability of confiscatorytaxation/regulation;2. a well-developed investment banking industry;3. a well-developed system of brokerage and financial transactions, and;4.well-developed media, particularly financial reporting.These characteristics are found in (indeed make for) a well-developed financialmarket.3.Securitization leads to disintermediation; that is, securitization provides a means formarket participants to bypass intermediaries. For example, mortgage-backedsecurities channel funds to the housing market without requiring that banks or thrift institutions make loans from their own portfolios. As securitization progresses,financial intermediaries must increase other activities such as providing short-term liquidity to consumers and small business, and financial services.4.Financial assets make it easy for large firms to raise the capital needed to financetheir investments in real assets. If Ford, for example, could not issue stocks orbonds to the general public, it would have a far more difficult time raising capital.Contraction of the supply of financial assets would make financing more difficult,thereby increasing the cost of capital. A higher cost of capital results in lessinvestment and lower real growth.5.Even if the firm does not need to issue stock in any particular year, the stock marketis still important to the financial manager. The stock price provides importantinformation about how the market values the firm's investment projects. Forexample, if the stock price rises considerably, managers might conclude that themarket believes the firm's future prospects are bright. This might be a useful signal to the firm to proceed with an investment such as an expansion of the firm'sbusiness.In addition, shares that can be traded in the secondary market are more attractive to initial investors since they know that they will be able to sell their shares. This inturn makes investors more willing to buy shares in a primary offering, and thusimproves the terms on which firms can raise money in the equity market.6. a. No. The increase in price did not add to the productive capacity of the economy.b.Yes, the value of the equity held in these assets has increased.c.Future homeowners as a whole are worse off, since mortgage liabilities have alsoincreased. In addition, this housing price bubble will eventually burst and societyas a whole (and most likely taxpayers) will endure the damage.7. a. The bank loan is a financial liability for Lanni. (Lanni's IOU is the bank'sfinancial asset.) The cash Lanni receives is a financial asset. The new financialasset created is Lanni's promissory note (that is, Lanni’s IOU to the bank).nni transfers financial assets (cash) to the software developers. In return,Lanni gets a real asset, the completed software. No financial assets are created ordestroyed; cash is simply transferred from one party to another.nni gives the real asset (the software) to Microsoft in exchange for a financialasset, 1,500 shares of Microsoft stock. If Microsoft issues new shares in order topay Lanni, then this would represent the creation of new financial assets.nni exchanges one financial asset (1,500 shares of stock) for another($120,000). Lanni gives a financial asset ($50,000 cash) to the bank and getsback another financial asset (its IOU). The loan is "destroyed" in the transaction,since it is retired when paid off and no longer exists.8. a.Assets Shareholders’ equityLiabilities & Computers 30,000 Shareholders’ equity 50,000Total $100,000 Total $100,000 Ratio of real assets to total assets = $30,000/$100,000 = 0.30b.Assets Shareholders’ equity Liabilities & Software product* $ 70,000 Bank loan $ 50,000 Computers 30,000Shareholders’ equity 50,000Total $100,000 Total $100,000 *Valued at costRatio of real assets to total assets = $100,000/$100,000 = 1.0c.Assets Shareholders’ equity Liabilities & Microsoft shares $120,000 Bank loan $ 50,000 Computers 30,000Shareholders’ equity 100,000Total $150,000 Total $150,000 Ratio of real assets to total assets = $30,000/$150,000 = 0.20Conclusion: when the firm starts up and raises working capital, it is characterized bya low ratio of real assets to total assets. When it is in full production, it has a highratio of real assets to total assets. When the project "shuts down" and the firm sells it off for cash, financial assets once again replace real assets.9.For commercial banks, the ratio is: $140.1/$11,895.1 = 0.0118 For non-financialfirms, the ratio is: $12,538/$26,572 = 0.4719 The difference should be expectedprimarily because the bulk of the business of financial institutions is to make loans;which are financial assets for financial institutions.10. a. Primary-market transactionb.Derivative assetsc.Investors who wish to hold gold without the complication and cost of physicalstorage.11. a. A fixed salary means that compensation is (at least in the short run) independentof the firm's success. This salary structure does not tie the manager’s immediatecompensation to the success of the firm. However, the manager might view this asthe safest compensation structure and therefore value it more highly.b.A salary that is paid in the form of stock in the firm means that the managerearns the most when the shareholders’ wealth is maximized. Five years ofvesting helps align the interests of the employee with the long-term performanceof the firm. This structure is therefore most likely to align the interests ofmanagers and shareholders. If stock compensation is overdone, however, themanager might view it as overly risky since the manager’s career is alreadylinked to the firm, and this undiversified exposure would be exacerbated with alarge stock position in the firm.c. A profit-linked salary creates great incentives for managers to contribute to thefirm’s success. However, a manager whose salary is tied to short-term profitswill be risk seeking, especially if these short-term profits determine salary or ifthe compensation structure does not bear the full cost of the project’s risks.Shareholders, in contrast, bear the losses as well as the gains on the project, andmight be less willing to assume that risk.12.Even if an individual shareholder could monitor and improve managers’performance, and thereby increase the value of the firm, the payoff would be small,since the ownership share in a large corporation would be very small. For example,if you own $10,000 of Ford stock and can increase the value of the firm by 5%, avery ambitious goal, you benefit by only: 0.05 × $10,000 = $500In contrast, a bank that has a multimillion-dollar loan outstanding to the firm has a big stake in making sure that the firm can repay the loan. It is clearly worthwhile for the bank to spend considerable resources to monitor the firm.13.Mutual funds accept funds from small investors and invest, on behalf of theseinvestors, in the national and international securities markets.Pension funds accept funds and then invest, on behalf of current and future retirees,thereby channeling funds from one sector of the economy to another.Venture capital firms pool the funds of private investors and invest in start-up firms.Banks accept deposits from customers and loan those funds to businesses, or use the funds to buy securities of large corporations.14.Treasury bills serve a purpose for investors who prefer a low-risk investment. Thelower average rate of return compared to stocks is the price investors pay forpredictability of investment performance and portfolio value.15.With a “top-down” investing style, you focus on asset allocation or the broadcomposition of the entire portfolio, which is the major determinant of overallperformance. Moreover, top-down management is the natural way to establish aportfolio with a level of risk consistent with your risk tolerance. The disadvantageof an exclusive emphasis on top-down issues is that you may forfeit the potentialhigh returns that could result from identifying and concentrating in undervaluedsecurities or sectors of the market.With a “bottom-up” investing style, you try to benefit from identifying undervalued securities. The disadvantage is that you tend to overlook the overall composition of your portfolio, which may result in a non-diversified portfolio or a portfolio with arisk level inconsistent with your level of risk tolerance. In addition, this techniquetends to require more active management, thus generating more transaction costs.Finally, your analysis may be incorrect, in which case you will have fruitlesslyexpended effort and money attempting to beat a simple buy-and-hold strategy.16.You should be skeptical. If the author actually knows how to achieve such returns,one must question why the author would then be so ready to sell the secret to others.Financial markets are very competitive; one of the implications of this fact is thatriches do not come easily. High expected returns require bearing some risk, andobvious bargains are few and far between. Odds are that the only one getting richfrom the book is its author.17.Financial assets provide for a means to acquire real assets as well as an expansionof these real assets. Financial assets provide a measure of liquidity to real assetsand allow for investors to more effectively reduce risk through diversification. 18.Allowing traders to share in the profits increases the traders’ willingness to assumerisk. Traders will share in the upside potential directly but only in the downsideindirectly (poor performance = potential job loss). Shareholders, by contrast, areaffected directly by both the upside and downside potential of risk.19.Answers may vary, however, students should touch on the following: increasedtransparency, regulations to promote capital adequacy by increasing the frequencyof gain or loss settlement, incentives to discourage excessive risk taking, and thepromotion of more accurate and unbiased risk assessment.CHAPTER 2: ASSET CLASSES AND FINANCIALINSTRUMENTSPROBLEM SETS1.Preferred stock is like long-term debt in that it typically promises a fixedpayment each year. In this way, it is a perpetuity. Preferred stock is also likelong-term debt in that it does not give the holder voting rights in the firm.Preferred stock is like equity in that the firm is under no contractual obligation to make the preferred stock dividend payments. Failure to make payments does not set off corporate bankruptcy. With respect to the priority of claims to the assetsof the firm in the event of corporate bankruptcy, preferred stock has a higherpriority than common equity but a lower priority than bonds.2.Money market securities are called “cash equivalents” because of their greatliquidity. The prices of money market securities are very stable, and they canbe converted to cash (i.e., sold) on very short notice and with very lowtransaction costs.3.(a) A repurchase agreement is an agreement whereby the seller of a securityagrees to “repurchase” it from the buyer on an agreed upon date at an agreedupon price. Repos are typically used by securities dealers as a means forobtaining funds to purchase securities.4.The spread will widen. Deterioration of the economy increases credit risk,that is, the likelihood of default. Investors will demand a greater premium ondebt securities subject to default risk.high-income investor would be more inclined to pick tax-exempt securities.7. a. You would have to pay the asked price of:86:14 = 86.43750% of par = $864.375b.The coupon rate is 3.5% implying coupon payments of $35.00 annuallyor, more precisely, $17.50 semiannually.c.Current yield = Annual coupon income/price= $35.00/$864.375 = 0.0405 = 4.05%8.P = $10,000/1.02 = $9,803.929.The total before-tax income is $4. After the 70% exclusion for preferred stockdividends, the taxable income is: 0.30 × $4 = $1.20Therefore, taxes are: 0.30 × $1.20 = $0.36After-tax income is: $4.00 – $0.36 = $3.64Rate of return is: $3.64/$40.00 = 9.10%10. a. You could buy: $5,000/$67.32 = 74.27 sharesb.Your annual dividend income would be: 74.27 × $1.52 = $112.89c.The price-to-earnings ratio is 11 and the price is $67.32. Therefore:$67.32/Earnings per share = 11 ⇒ Earnings per share = $6.12d.General Dynamics closed today at $67.32, which was $0.47 higher thanyesterday’s price. Yesterday’s closing price was: $66.8511. a. At t = 0, the value of the index is: (90 + 50 + 100)/3 = 80At t = 1, the value of the index is: (95 + 45 + 110)/3 = 83.333The rate of return is: (83.333/80) − 1 = 4.17%b.In the absence of a split, Stock C would sell for 110, so the value of theindex would be: 250/3 = 83.333After the split, Stock C sells for 55. Therefore, we need to find thedivisor (d) such that: 83.333 = (95 + 45 + 55)/d ⇒ d = 2.340c.The return is zero. The index remains unchanged because the return foreach stock separately equals zero.12. a. Total market value at t = 0 is: ($9,000 + $10,000 + $20,000) = $39,000Total market value at t = 1 is: ($9,500 + $9,000 + $22,000) = $40,500Rate of return = ($40,500/$39,000) – 1 = 3.85%b.The return on each stock is as follows:r A = (95/90) – 1 = 0.0556r B = (45/50) – 1 = –0.10 r C= (110/100) – 1 = 0.10The equally-weighted average is:[0.0556 + (-0.10) + 0.10]/3 = 0.0185 = 1.85%13.The after-tax yield on the corporate bonds is: 0.09 × (1 – 0.30) = 0.0630 = 6.30%Therefore, municipals must offer at least 6.30% yields.14.Equation (2.2) shows that the equivalent taxable yield is: r = r m /(1 – t)a. 4.00%b. 4.44%c. 5.00%d. 5.71%15.In an equally-weighted index fund, each stock is given equal weight regardless ofits market capitalization. Smaller cap stocks will have the same weight as largercap stocks. The challenges are as follows:•Given equal weights placed to smaller cap and larger cap,equalweighted indices (EWI) will tend to be more volatile than theirmarket-capitalization counterparts;•It follows that EWIs are not good reflectors of the broad marketwhich they represent; EWIs underplay the economic importance oflarger companies;•Turnover rates will tend to be higher, as an EWI must be rebalancedback to its original target. By design, many of the transactionswould be among the smaller, less-liquid stocks.16. a. The higher coupon bond.b.The call with the lower exercise price.c.The put on the lower priced stock.17. a. You bought the contract when the futures price was $3.835 (see Figure2.10). The contract closes at a price of $3.875, which is $0.04 more than theoriginal futures price. The contract multiplier is 5000. Therefore, the gainwill be: $0.04 × 5000 = $200.00b.Open interest is 177,561 contracts.18. a. Since the stock price exceeds the exercise price, you exercise the call.The payoff on the option will be: $21.75 − $21 = $0.75The cost was originally $0.64, so the profit is: $0.75 − $0.64 = $0.11b.If the call has an exercise price of $22, you would not exercise for anystock price of $22 or less. The loss on the call would be the initial cost:$0.30c.Since the stock price is less than the exercise price, you will exercise theput.The payoff on the option will be: $22 − $21.75 = $0.25The option originally cost $1.63 so the profit is: $0.25 − $1.63 = −$1.38 19.There is always a possibility that the option will be in-the-money at some timeprior to expiration. Investors will pay something for this possibility of a positivepayoff.20.Value of call at expiration Initial Cost Profita.0 4 -4b.0 4 -4c.0 4 -4d. 5 4 1e.10 4 6Value of put at expiration Initial Cost Profita.10 6 4b. 5 6 -1c.0 6 -6d.0 6 -6e.0 6 -621. A put option conveys the right to sell the underlying asset at the exercise price.A short position in a futures contract carries an obligation to sell the underlyingasset at the futures price.22. A call option conveys the right to buy the underlying asset at the exercise price.A long position in a futures contract carries an obligation to buy the underlyingasset at the futures price.CFA PROBLEMS1.(d)2.The equivalent taxable yield is: 6.75%/(1 − 0.34) = 10.23%3.(a) Writing a call entails unlimited potential losses as the stock price rises.4. a. The taxable bond. With a zero tax bracket, the after-tax yield for thetaxable bond is the same as the before-tax yield (5%), which is greater than the yield on the municipal bond.b. The taxable bond. The after-tax yield for the taxable bond is:0.05× (1 – 0.10) = 4.5%c. You are indifferent. The after-tax yield for the taxable bond is:0.05 × (1 – 0.20) = 4.0%The after-tax yield is the same as that of the municipal bond.d. The municipal bond offers the higher after-tax yield for investors in taxbrackets above 20%.5.If the after-tax yields are equal, then: 0.056 = 0.08 × (1 – t) This implies that t =0.30 =30%.CHAPTER 3: HOW SECURITIES ARE TRADEDPROBLEM SETS1.Answers to this problem will vary.2.The dealer sets the bid and asked price. Spreads should be higher on inactivelytraded stocks and lower on actively traded stocks.3. a. In principle, potential losses are unbounded, growing directly with increases inthe price of IBM.b.If the stop-buy order can be filled at $128, the maximum possible loss pershare is $8, or $800 total. If the price of IBM shares goes above $128, then thestop-buy order would be executed, limiting the losses from the short sale.4.(a) A market order is an order to execute the trade immediately at the best possibleprice. The emphasis in a market order is the speed of execution (the reduction ofexecution uncertainty). The disadvantage of a market order is that the price it will be executed at is not known ahead of time; it thus has price uncertainty.5.(a) The advantage of an Electronic Crossing Network (ECN) is that it can executelarge block orders without affecting the public quote. Since this security is illiquid, large block orders are less likely to occur and thus it would not likely trade through an ECN.Electronic Limit-Order Markets (ELOM) transact securities with high tradingvolume. This illiquid security is unlikely to be traded on an ELOM.6. a. The stock is purchased for: 300 × $40 = $12,000The amount borrowed is $4,000. Therefore, the investor put up equity, ormargin, of $8,000.b.If the share price falls to $30, then the value of the stock falls to $9,000. Bythe end of the year, the amount of the loan owed to the broker grows to: $4,000× 1.08 = $4,320Therefore, the remaining margin in the investor’s account is: $9,000− $4,320 = $4,680The percentage margin is now: $4,680/$9,000 = 0.52 = 52% Therefore,the investor will not receive a margin call.c.The rate of return on the investment over the year is:(Ending equity in the account − Initial equity)/Initial equity= ($4,680 − $8,000)/$8,000 = −0.415 = −41.5%7. a. The initial margin was: 0.50 × 1,000 × $40 = $20,000As a result of the increase in the stock price Old Economy Traders loses:$10 × 1,000 = $10,000Therefore, margin decreases by $10,000. Moreover, Old Economy Tradersmust pay the dividend of $2 per share to the lender of the shares, so that themargin in the account decreases by an additional $2,000. Therefore, theremaining margin is:$20,000 – $10,000 – $2,000 = $8,000b.The percentage margin is: $8,000/$50,000 = 0.16 = 16% So there will be amargin call.c.The equity in the account decreased from $20,000 to $8,000 in one year, for arate of return of: (−$12,000/$20,000) = −0.60 = −60%8. a. The buy order will be filled at the best limit-sell order price: $50.25b.The next market buy order will be filled at the next-best limit-sell order price:$51.50c.You would want to increase your inventory. There is considerable buyingdemand at prices just below $50, indicating that downside risk is limited. Incontrast, limit sell orders are sparse, indicating that a moderate buy order couldresult in a substantial price increase.9. a. You buy 200 shares of Telecom for $10,000. These shares increase in value by10%, or $1,000. You pay interest of: 0.08 × $5,000 = $400The rate of return will be: $1,000 −$400 = 0.1212%=$5,000b.The value of the 200 shares is 200P. Equity is (200P – $5,000). You willreceive a margin call when:= 0.30 ⇒ when P = $35.71 or lower10. a. Initial margin is 50% of $5,000 or $2,500.b.Total assets are $7,500 ($5,000 from the sale of the stock and $2,500 put up formargin). Liabilities are 100P. Therefore, equity is ($7,500 – 100P). A margincall will be issued when:$7,500 −100P = 0.30⇒ when P = $57.69 or higher100P11.The total cost of the purchase is: $40 × 500 = $20,000You borrow $5,000 from your broker, and invest $15,000 of your own funds. Your margin account starts out with equity of $15,000.a. (i) Equity increases to: ($44 × 500) – $5,000 = $17,000Percentage gain = $2,000/$15,000 = 0.1333 = 13.33% (ii)With price unchanged, equity is unchanged.Percentage gain = zero(iii) Equity falls to ($36 × 500) – $5,000 = $13,000Percentage gain = (–$2,000/$15,000) = –0.1333 = –13.33%The relationship between the percentage return and the percentage change inthe price of the stock is given by:Total investment= % change in % return = % change in price ×price × 1.333Investor's initial equityFor example, when the stock price rises from $40 to $44, the percentage changein price is 10%, while the percentage gain for the investor is:% return = 10% ×$20,000 = 13.33% $15,000b.The value of the 500 shares is 500P. Equity is (500P – $5,000). You willreceive a margin call when:= 0.25 ⇒ when P = $13.33 or lowerc.The value of the 500 shares is 500P. But now you have borrowed $10,000instead of $5,000. Therefore, equity is (500P – $10,000). You will receive amargin call when:= 0.25 ⇒ when P = $26.67 or lowerWith less equity in the account, you are far more vulnerable to a margin call.d.By the end of the year, the amount of the loan owed to the broker grows to:$5,000 × 1.08 = $5,400The equity in your account is (500P – $5,400). Initial equity was $15,000.Therefore, your rate of return after one year is as follows:(i) = 0.1067 = 10.67%(ii) = –0.0267 = –2.67%(iii) = –0.1600 = –16.00%The relationship between the percentage return and the percentage change inthe price of Intel is given by:% return = % change in price× Investor'Total investments initial equity−8%× Investor'Fundss borrowedinitial equityFor example, when the stock price rises from $40 to $44, the percentage changein price is 10%, while the percentage gain for the investor is:10%× $20,000−8%× $5,000 =10.67%$15,000$15,000e.The value of the 500 shares is 500P. Equity is (500P – $5,400). You willreceive a margin call when:= 0.25 ⇒ when P = $14.40 or lower12. a. The gain or loss on the short position is: (–500 × ΔP) Invested funds = $15,000Therefore: rate of return = (–500 × ΔP)/15,000The rate of return in each of the three scenarios is:(i)rate of return = (–500 × $4)/$15,000 = –0.1333 = –13.33%(ii)rate of return = (–500 × $0)/$15,000 = 0%(iii)rate of return = [–500 × (–$4)]/$15,000 = +0.1333 = +13.33%b.Total assets in the margin account equal:$20,000 (from the sale of the stock) + $15,000 (the initial margin) = $35,000Liabilities are 500P. You will receive a margin call when:$35,000 −500P = 0.25⇒ when P = $56 or higher500Pc.With a $1 dividend, the short position must now pay on the borrowed shares:($1/share × 500 shares) = $500. Rate of return is now:[(–500 × ΔP) – 500]/15,000(i)rate of return = [(–500 × $4) – $500]/$15,000 = –0.1667 = –16.67%(ii)rate of return = [(–500 × $0) – $500]/$15,000 = –0.0333 = –3.33%(iii)rate of return = [(–500) × (–$4) – $500]/$15,000 = +0.1000 = +10.00%Total assets are $35,000, and liabilities are (500P + 500). A margin callwill be issued when:= 0.25 ⇒ when P = $55.20 or higher13.The broker is instructed to attempt to sell your Marriott stock as soon as the Marriottstock trades at a bid price of $20 or less. Here, the broker will attempt to execute,but may not be able to sell at $20, since the bid price is now $19.95. The price atwhich you sell may be more or less than $20 because the stop-loss becomes a market order to sell at current market prices.14. a. $55.50b.$55.25c.The trade will not be executed because the bid price is lower than the pricespecified in the limit sell order.d.The trade will not be executed because the asked price is greater than the pricespecified in the limit buy order.15. a. In an exchange market, there can be price improvement in the two market orders.Brokers for each of the market orders (i.e., the buy order and the sell order) can agree to execute a trade inside the quoted spread. For example, they can trade at $55.37, thus improving the price for both customers by $0.12 or $0.13 relative to the quoted bid and asked prices. The buyer gets the stock for $0.13 less than the quoted asked price, and the seller receives $0.12 more for the stock than the quoted bid price.b.Whereas the limit order to buy at $55.37 would not be executed in a dealermarket (since the asked price is $55.50), it could be executed in an exchangemarket. A broker for another customer with an order to sell at market wouldview the limit buy order as the best bid price; the two brokers could agree tothe trade and bring it to the specialist, who would then execute the trade.16. a. You will not receive a margin call. You borrowed $20,000 and with another$20,000 of your own equity you bought 1,000 shares of Disney at $40 per share. At $35 per share, the market value of the stock is $35,000, your equity is $15,000, and the percentage margin is: $15,000/$35,000 = 42.9% Your percentage margin exceeds the required maintenance margin.b.You will receive a margin call when:= 0.35 ⇒ when P = $30.77 or lower17.The proceeds from the short sale (net of commission) were: ($21 × 100) – $50 =$2,050 A dividend payment of $200 was withdrawn from the account.Covering the short sale at $15 per share costs (with commission): $1,500 + $50 =$1,550。
博迪《投资学》(第9版)课后习题-资本资产定价模型(圣才出品)
第9章 资本资产定价模型一、习题1．如果()()1814P f M E r r E r =%, =6%, =%，那么该资产组合的β值等于多少？答：()()P f P M f E r r E r r β⎡⎤=+⨯−⎣⎦0.18＝0.06＋p β×（0.14－0.06）解得p β＝0.12/0.08＝1.5。
2．某证券的市场价格是50美元，期望收益率是14%，无风险利率为6%，市场风险溢价为8.5%。
如果该证券与市场投资组合的相关系数加倍（其他保持不变），该证券的市场价格是多少？假设该股票永远支付固定数额的股利。
答：如果该证券与市场投资组合的相关系数加倍（其他所有变量如方差保持不变），那么β和风险溢价也将加倍。
当前风险溢价为：14%－6%＝8%。
因此新的风险溢价将变为16%，新的证券贴现率将变为：16%＋6%＝22%。
如果股票支付某一水平的永久红利，那么，从原始的数据中可以知道，红利必须满足永续年金的现值公式：价格＝股利／贴现率即：50＝D/0.14，解得，D ＝50×0.14＝7（美元）。
在新的贴现率22%的情况下，股票价格为：7/0.22＝31.82（美元）。
股票风险的增加使它的价值降低了36.36%。
3．下列选项是否正确？并给出解释。
a ．β为零的股票提供的期望收益率为零。
b ．资本资产定价模型认为投资者对持有高波动性证券要求更高的收益率。
c ．你可以通过将75%的资金投资于短期国债，其余的资金投资于市场投资组合的方式来构建一个β为0.75的资产组合。
答：a ．错误。
β＝0意味着E （r ）＝r f ，不等于零。
b ．错误。
只有承担了较高的系统风险（不可分散的风险或市场风险），投资者才要求较高期望收益；如果高风险债券的β较小，即使总风险较大，投资者要求的收益率也不会太高。
c ．错误。
投资组合应当是75%的市场组合和25%的短期国债，此时β为：()()0.7510.2500.75p β=⨯+⨯=4．下表给出两个公司的数据。
博迪《投资学》(第9版)课后习题-资产类别与金融工具(圣才出品)
第2章资产类别与金融工具一、习题1．优先股与长期债务的相似点是什么？其与权益的相似点又是什么？答：优先股像长期债务一样，它承诺向持有者每年支付固定的收益。
从这个角度讲，优先股类似于无限期的债券，即永久债券。
优先股另一个与长期债务相似的特点是：它没有赋予其持有者参与公司决策的权利。
优先股是一种权益投资，公司保留向优先股股东支付股利的自主权，支付股利并不是公司的合同义务。
若无法支付，公司并不会破产。
而在公司破产的情况下，优先股对公司资产的求偿权优先于普通股，但位于债券之后。
2．为什么有时把货币市场证券称为“现金等价物”？答：货币市场证券被称为“现金等价物”，是因为它们具有很大的流动性。
货币市场证券的价格都非常稳定，它们可以在极短的时间内变现（即卖出），并且具有非常低的交易成本。
3．下面哪一项对回购协议的描述是正确的？a．出售证券时承诺将在特定的日期按确定的价格回购这些证券。
b．出售证券时承诺将在不确定的日期按确定的价格回购这些证券。
c．购买证券时承诺将在特定的日期购买更多的同种证券。
答：a项正确。
回购协议是证券的卖方同意在约定时间以约定价格向买方“回购”该证券的协议。
这通常是证券交易商获取资金购买证券的手段。
4．如果发生严重的经济衰退，你预期商业票据的收益率与短期国库券的收益率之差将如何变化？答：它们的收益率之差将会扩大。
经济的恶化会增加信贷风险，即增加违约的可能性。
因此，对于具有较高违约风险的债务证券，投资者将要求更高的溢价。
5．普通股、优先股以及公司债券之间的主要区别是什么？答：普通股、优先股以及公司债券之间的主要区别如下表所示：6．为什么与低税率等级的投资者相比，高税率等级的投资者更倾向于投资市政债券？答：市政债券的利息是免税的。
当面临更高的边际税率时，高收入的投资者更倾向于投资免税的证券。
7．回顾教材图2-3，观察将于2039年2月到期的长期国债：a．购买这样一张证券你需要支付多少钱？b．它的利率是多少？c．该国债当前的收益率是多少？答：a．需要支付的价格为：86:14＝面值×86.43750%＝864.375（美元）。
博迪投资学第九版-Investment-Chap013-习题答案
CHAPTER 13: EMPIRICAL EVIDENCE ON SECURITY RETURNS PROBLEM SETS1. Even if the single-factor CCAPM (with a consumption-trackingportfolio used as the index) performs better than the CAPM, it is still quite possible that the consumption portfolio does notcapture the size and growth characteristics captured by the SMB(i.e., small minus big capitalization) and HML (i.e., high minuslow book-to-market ratio) factors of the Fama-French three-factor model. Therefore, it is expected that the Fama-French model with consumption provides a better explanation of returns than does the model with consumption alone.2. Wealth and consumption should be positively correlated and,therefore, market volatility and consumption volatility should also be positively correlated. Periods of high market volatility might coincide with periods of high consumption volatility. The‘conventional’ CAPM focuses on the covariance of security returns with returns for the market portfolio (which in turn tracksaggregate wealth) while the consumption-based CAPM focuses on the covariance of security returns with returns for a portfolio thattracks consumption growth. However, to the extent that wealth and consumption are correlated, both versions of the CAPM mightrepresent patterns in actual returns reasonably well.To see this formally, suppose that the CAPM and the consumption-based model are approximately true. According to the conventional CAPM, the market price of risk equals expected excess market return divided by the variance of that excess return. According to theconsumption-beta model, the price of risk equals expected excessmarket return divided by the covariance of R M with g, where g is the rate of consumption growth. This covariance equals the correlation of R M with g times the product of the standard deviations of thevariables. Combining the two models, the correlation between R M andg equals the standard deviation of R M divided by the standarddeviation of g. Accordingly, if the correlation between R M and g is relatively stable, then an increase in market volatility will beaccompanied by an increase in the volatility of consumption growth.Note: For the following problems, the focus is on the estimation procedure. To keep the exercise feasible, the sample was limited to returns on nine stocks plus a market index and a second factor over a period of 12 years. The data were generated to conform to a two-factor CAPM so that actual rates of return equal CAPMexpectations plus random noise, and the true intercept of the SCL is zero for all stocks. The exercise will provide a feel for the pitfalls of verifying social-science models. However, due to the small size of the sample, results are not always consistent withthe findings of other studies as reported in the chapter.3. Using the regression feature of Excel with the data presented inthe text, the first-pass (SCL) estimation results are:Stock:A B C D E F G H I R Square0.060.060.060.370.170.590.060.670.70ObservationBeta-0.470.590.42 1.380.90 1.780.66 1.91 2.08t-Alpha0.73-0.04-0.06-0.410.05-0.450.33-0.270.64t-Beta-0.810.780.78 2.42 1.42 3.830.78 4.51 4.814. The hypotheses for the second-pass regression for the SML are:•The intercept is zero; and,•The slope is equal to the average return on the index portfolio.5. The second-pass data from first-pass (SCL) estimates are:AverageBetaExcessReturnA 5.18-0.47B 4.190.59C 2.750.42D 6.15 1.38E8.050.90F9.90 1.78G11.320.66H13.11 1.91I22.83 2.08M8.12S The second-pass regression yields:Regression StatisticsMultiple R 0.7074R Square0.5004Adjusted RSquare0.4291Standard Error 4.6234 Observations9Coefficients StandardErrortStatisticfor β=0tStatisticforIntercept 3.92 2.54 1.54Slope 5.21 1.97 2.65-1.486. As we saw in the chapter, the intercept is too high (3.92% per yearinstead of 0) and the slope is too flat (5.21% instead of apredicted value equal to the sample-average risk premium: r M r f =8.12%). The intercept is not significantly greater than zero (thet-statistic is less than 2) and the slope is not significantlydifferent from its theoretical value (the t-statistic for thishypothesis is 1.48). This lack of statistical significance isprobably due to the small size of the sample.7. Arranging the securities in three portfolios based on betas fromthe SCL estimates, the first pass input data are:Year ABC DEG FHI115.0525.8656.692-16.76-29.74-50.85319.67-5.688.984-15.83-2.5835.41547.1837.70-3.256-2.2653.8675.447-18.6715.3212.508-6.3536.3332.1297.8514.0850.421021.4112.6652.1411-2.53-50.71-66.1212-0.30-4.99-20.10 Average 4.048.5115.28Std.Dev.19.3029.4743.96(continued on next page)The first-pass (SCL) estimates are:ABC DEG FHIR Square0.040.480.82Observation121212Alpha 2.580.54-0.34Beta0.180.98 1.92t-Alpha0.420.08-0.06t-Beta0.62 3.02 6.83Grouping into portfolios has improved the SCL estimates as is evident from the higher R-square for Portfolio DEG and Portfolio FHI. This means that the beta (slope) is measured with greater precision, reducing the error-in-measurement problem at the expense of leaving fewer observations for the second pass.The inputs for the second pass regression are:AverageExcessReturnBetaABC 4.040.18DEH8.510.98FGI15.28 1.92M8.12The second-pass estimates are:RegressionMultiple R0.9975R Square0.9949Adjusted RSquare0.9899Standard Error0.5693Observations3Coefficients StandardErrortStatisticfor β =0tStatisticfor βIntercept 2.620.58 4.55Slope 6.470.4614.03-3.58Despite the decrease in the intercept and the increase in slope, the intercept is now significantly positive, and the slope is significantly less than the hypothesized value by more than three times the standard error.8. Roll’s critique suggests that the problem b egins with the marketindex, which is not the theoretical portfolio against which thesecond pass regression should hold. Hence, even if therelationship is valid with respect to the true (unknown) index, we may not find it. As a result, the second pass relationship may be meaningless.9.Except for Stock I, which realized an extremely positive surprise, the CML shows that the index dominates all other securities, and the three portfolios dominate all individual stocks. The power of diversification is evident despite the very small sample size.10. The first-pass (SCL) regression results are summarized below:A B C D E F G H IR-Square0.070.360.110.440.240.840.120.680.71Observatio121212121212121212 nsIntercept9.19-1.89-1.00-4.480.17-3.47 5.32-2.64 5.66Beta M-0.470.580.41 1.390.89 1.790.65 1.91 2.08Beta F-0.35 2.330.67-1.05 1.03-1.95 1.150.430.48 t-Intercept0.71-0.13-0.08-0.370.01-0.520.29-0.280.59t-Beta M-0.770.870.75 2.46 1.40 5.800.75 4.35 4.65 t-Beta F-0.34 2.060.71-1.080.94-3.690.770.570.6311. The hypotheses for the second-pass regression for the two-factorSML are:•The intercept is zero;•The market-index slope coefficient equals the market-index average return; and,•The factor slope coefficient equals the average return on thefactor.(Note that the first two hypotheses are the same as those for the single factor model.)12. The inputs for the second pass regression are:AverageExcessReturnBeta M Beta FA 5.18-0.47-0.35B 4.190.58 2.33C 2.750.410.67D 6.15 1.39-1.05E8.050.89 1.03F9.90 1.79-1.95G11.320.65 1.15H13.11 1.910.43I22.83 2.080.48M8.12F0.60The second-pass regression yields:Regression StatisticsMultiple R0.7234R Square0.5233Adjusted RSquare0.3644Standard Error 4.8786Observations9Coefficients StandardErrortStatisticfor β =0tStatisticfor βtStatisticfor βIntercept 3.35 2.88 1.16Beta M 5.53 2.16 2.56-1.20Beta F0.80 1.420.560.14These results are slightly better than those for the single factor test; that is, the intercept is smaller and the slope on M is slightly greater. We cannot expect a great improvement since the factor we added does not appear to carry a large risk premium (average excess return is less than 1%), and its effect on mean returns is therefore small. The data do not reject the second factor because the slope is close to the average excess return and the difference is less than one standard error. However, with this sample size, the power of this test is extremely low.13. When we use the actual factor, we implicitly assume that investorscan perfectly replicate it, that is, they can invest in a portfolio that is perfectly correlated with the factor. When this is notpossible, one cannot expect the CAPM equation (the second passregression) to hold. Investors can use a replicating portfolio (aproxy for the factor) that maximizes the correlation with thefactor. The CAPM equation is then expected to hold with respect to the proxy portfolio.Using the bordered covariance matrix of the nine stocks and theExcel Solver we produce a proxy portfolio for factor F, denoted PF.To preserve the scale, we include constraints that require the nine weights to be in the range of [-1,1] and that the mean equal thefactor mean of 0.60%. The resultant weights for the proxy andperiod returns are:Proxy Portfolio for Factor F(PF)Weightson Universe YearPF HoldingPeriodReturnsA-0.141-33.51B 1.00262.78C0.9539.87D-0.354-153.56E0.165200.76F-1.006-36.62G0.137-74.34H0.198-10.84I0.06928.111059.5111-59.151214.22Average0.60This proxy (PF) has an R-square with the actual factor of 0.80.We next perform the first pass regressions for the two factor model using PF instead of P:A B C D E F G H I R-square0.080.550.200.430.330.880.160.710.72 Observations121212121212121212Intercept9.28-2.53-1.35-4.45-0.23-3.20 4.99-2.92 5.54 Beta M-0.500.800.49 1.32 1.00 1.640.76 1.97 2.12 Beta PF-0.060.420.16-0.130.21-0.290.210.110.08 t- 0.72-0.21-0.12-0.36-0.02-0.550.27-0.330.58 t-Beta M-0.83 1.430.94 2.29 1.66 6.000.90 4.67 4.77t-Beta PF-0.44 3.16 1.25-0.97 1.47-4.52 1.03 1.130.78Note that the betas of the nine stocks on M and the proxy (PF) are different from those in the first pass when we use the actual proxy.The first-pass regression for the two-factor model with the proxy yields:AverageExcessReturnBeta M Beta PFA 5.18-0.50-0.06B 4.190.800.42C 2.750.490.16D 6.15 1.32-0.13E8.05 1.000.21F9.90 1.64-0.29G11.320.760.21H13.11 1.970.11I22.83 2.120.08M8.12PF0.6The second-pass regression yields:Regression StatisticsMultiple R0.71R Square0.51Adjusted RSquare0.35Standard Error 4.95Observations9Coefficien ts StandardErrortStatisticfor β =0tStatisticfor βtStatisticfor βIntercept 3.50 2.99 1.17Beta M 5.39 2.18 2.48-1.25Beta PF0.268.360.03-0.04We can see that the results are similar to, but slightly inferior to, those with the actual factor, since the intercept is larger and the slope coefficient smaller. Note also that we use here an in-sample test rather than tests with future returns, which is more forgiving than an out-of-sample test.14. We assume that the value of your labor is incorporated in thecalculation of the rate of return for your business. It wouldlikely make sense to commission a valuation of your business atleast once each year. The resultant sequence of figures forpercentage change in the value of the business (including net cash withdrawals from the business in the calculations) will allow you to derive a reasonable estimate of the correlation between the rate of return for your business and returns for other assets. Youwould then search for industries having the lowest correlationswith your portfolio, and identify exchange traded funds (ETFs) for these industries. Your asset allocation would then be comprised of your business, a market portfolio ETF, and the low-correlation(hedge) industry ETFs. Assess the standard deviation of such aportfolio with reasonable proportions of the portfolio invested in the market and in the hedge industries. Now determine where youwant to be on the resultant CAL. If you wish to hold a less risky overall portfolio and to mix it with the risk-free asset, reducethe portfolio weights for the market and for the hedge industries in an efficient way.CFA PROBLEMS1. (i) Betas are estimated with respect to market indexes that areproxies for the true market portfolio, which is inherentlyunobservable.(ii) Empirical tests of the CAPM show that average returns are not related to beta in the manner predicted by the theory. Theempirical SML is flatter than the theoretical one.(iii) Multi-factor models of security returns show that beta, which is a one-dimensional measure of risk, may not capture the true risk of the stock of portfolio.2. a. The basic procedure in portfolio evaluation is to compare thereturns on a managed portfolio to the return expected on anunmanaged portfolio having the same risk, using the SML. Thatis, expected return is calculated from:E(r P ) = r f + βP [E(r M ) – r f ]where r f is the risk-free rate, E(r M ) is the expected return for the unmanaged portfolio (or the market portfolio), and βP is the beta coefficient (or systematic risk) of the managed portfolio. The performance benchmark then is the unmanaged portfolio. The typical proxy for this unmanaged portfolio is an aggregate stock market index such as the S&P 500.b. The benchmark error might occur when the unmanaged portfolioused in the evaluation process is not “optimized.” That is, market indices, such as the S&P 500, chosen as benchmarks are not on the manager’s ex ante mean/variance efficient frontier.c. Your graph should show an efficient frontier obtained fromactual returns, and a different one that represents (unobserved) ex-ante expectations. The CML and SML generated from actualreturns do not conform to the CAPM predictions, while thehypothesized lines do conform to the CAPM.d. The answer to this question depends on one’s prior beliefs.Given a consistent track record, an agnostic observer mightconclude that the data support the claim of superiority. Otherobservers might start with a strong prior that, since so manymanagers are attempting to beat a passive portfolio, a smallnumber are bound to produce seemingly convincing track records.e. The question is really whether the CAPM is at all testable.The problem is that even a slight inefficiency in the benchmarkportfolio may completely invalidate any test of the expectedreturn-beta relationship. It appears from Roll’s argumentthat the best guide to the question of the validity of the CAPMis the difficulty of beating a passive strategy.3. The effect of an incorrectly specified market proxy is that thebeta of Black’s portfolio is likely to be underestimated (i.e., too low) rel ative to the beta calculated based on the “true”market portfolio. This is because the Dow Jones Industrial Average (DJIA) and other market proxies are likely to have lessdiversification and therefore a higher variance of returns than the “true” market p ortfolio as specified by the capital asset pricing model. Consequently, beta computed using an overstated variance will be underestimated. This result is clear from the following formula:2Proxy Mark et Proxy Mark et Portfolio Portfolio )r ,r (Cov σ=βAn incorrectly specified market proxy is likely to produce a slope for the security market line (i.e., the market risk premium) that is underestimated relative to the “true” market portfolio. This results from the fact that the “true” market portfolio is likely to be more efficient (plotting on a higher return point for thesame risk) than the DJIA and similarly misspecified market proxies.Consequently, the proxy-based SML would offer less expected return per unit of risk..。
博迪《投资学》(第9版)课后习题-最优风险资产组合(圣才出品)
第7章最优风险资产组合一、习题1．以下哪些因素反映了单纯市场风险？a．短期利率上升b．公司仓库失火c．保险成本增加d．首席执行官死亡e．劳动力成本上升答：ae。
2．当增加房地产到一个股票、债券和货币的资产组合中，房地产收益的哪些因素影响组合风险？a．标准差b．期望收益c．和其他资产的相关性答：ac。
房地产被添加到组合中后，在投资组合中有四个资产类别：股票、债券、现金和房地产。
现在投资组合的方差包括房地产收益的方差项和房地产收益与其他三个资产类别之间的协方差项。
因此，房地产收益的方差（或标准差）和房地产收益与其他资产类别收益之间的相关性影响着投资组合的风险。
（注意房地产收益和现金收益之间的相关性很有可能为零。
）3．以下关于最小方差组合的陈述哪些是正确的？ a ．它的方差小于其他证券或组合 b ．它的期望收益比无风险利率低 c ．它可能是最优风险组合 d ．它包含所有证券 答：a 。
4．用以下数据回答习题4～10：一个养老金经理考虑3个共同基金。
第一个是股票基金，第二个是长期政府和公司债基金，第三个是短期国债货币基金，收益率为8%。
风险组合的概率分布如表7-1所示。
表7-1基金的收益率之间的相关系数为0.1。
两种风险基金的最小方差投资组合的投资比例是多少？这种投资组合收益率的期望值与标准差各是多少？答：机会集的参数为：E （r S ）＝20%，E （r B ）＝12%，σS ＝30%，σB ＝15%，ρ＝0.10。
根据标准差和相关系数，可以推出协方差矩阵（注意()ov ,S B S B C r r ρσσ=⨯⨯）：债券 股票 债券 225 45 股票45900最小方差组合可由下列公式推出：w Min（S）＝()()()222,225459002252452,B S BS B S BCov r rCov r rσσσ−−=+−⨯+−＝0.1739w Min（B）＝1－0.1739＝0.8261最小方差组合的均值和标准差为：E（r Min）＝（0.1739×0.20）＋（0.8261×0.12）＝0.1339＝13.39%σMin＝()122222w w2w w ov,S S B B S B S BC r rσσ/⎡⎤++⎣⎦＝[（0.17392×900）＋（0.82612×225）＋（2×0.1739×0.8261×45）]1/2＝13.92%5．制表并画出这两种风险基金的投资可行集，股票基金的投资比率从0～100%按照20%的幅度增长。
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CHAPTER 1: THE INVESTMENT ENVIRONMENT
PROBLELeabharlann SETS1. Ultimately, it is true that real assets determine the material well being of an economy. Nevertheless, individuals can benefit when financial engineering creates new products that allow them to manage their portfolios of financial assets more efficiently. Because bundling and unbundling creates financial products with new properties and sensitivities to various sources of risk, it allows investors to hedge particular sources of risk more efficiently.
5. Even if the firm does not need to issue stock in any particular year, the stock market is still important to the financial manager. The stock price provides important information about how the market values the firm's investment projects. For example, if the stock price rises considerably, managers might conclude that the market believes the firm's future prospects are bright. This might be a useful signal to the firm to proceed with an investment such as an expansion of the firm's business.
In addition, shares that can be traded in the secondary market are more attractive to initial investors since they know that they will be able to sell their shares. This in turn makes investors more willing to buy shares in a primary offering, and thus improves the terms on which firms can raise money in the equity market.
4. Financial assets make it easy for large firms to raise the capital needed to finance their investments in real assets. If Ford, for example, could not issue stocks or bonds to the general public, it would have a far more difficult time raising capital. Contraction of the supply of financial assets would make financing more difficult, thereby increasing the cost of capital. A higher cost of capital results in less investment and lower real growth.
These characteristics are found in (indeed make for) a well-developed financial market.
3. Securitization leads to disintermediation; that is, securitization provides a means for market participants to bypass intermediaries. For example, mortgage-backed securities channel funds to the housing market without requiring that banks or thrift institutions make loans from their own portfolios. As securitization progresses, financial intermediaries must increase other activities such as providing short-term liquidity to consumers and small business, and financial services.