投资学作业答案
投资学习题+答案
投资学习题+答案一、单选题（共30题，每题1分，共30分）1、若提高一只债券的初始到期收益率,其他因素不变,该债券的久期( )。
A、变小B、无法判断C、变大D、不变正确答案：A2、以下说法不正确的是( )。
A、价格高开低收产生阴K线B、光头阳K线说明以当日最高价收盘C、价格低开高收产生阳K线D、今日价格高于前日价格必定是阳K线正确答案：D3、在周期天数少的移动平均线从下向上突破周期天数较多的移动平均线时,为股票的( )。
A、卖出信号B、买入信号C、等待信号D、持有信号正确答案：B4、合格的境内机构投资者的英文简称为( )。
A、QFIIB、QDIIC、RQFIID、RQDII正确答案：B5、有四种面值均为100元的债券,投资者预期未来市场利率会下降,应该买入( )。
债券名称到期期限票面利率甲 10年 6%乙 8年 5%丙 8年 6%丁 10年 5%A、乙B、丙C、甲D、丁正确答案：D6、投资与投机事实上在追求( )目标上是一致的。
A、风险B、处理风险的态度上C、投资收益D、组织结构上正确答案：C7、除权的原因不包括( )。
A、发放红股B、配股C、对外进行重大投资D、资本公积金转增股票正确答案：C8、一个股票看跌期权卖方承受的最大损失是( )。
A、执行价格减去看跌期权价格B、执行价格C、股价减去看跌期权价格D、看跌期权价格正确答案：A9、某项投资不融资时获得的收益率是20%,如果融资保证金比例为80%,则投资人融资时在该项投资上最高可以获得的收益率是( )。
A、28%B、40%C、58%D、45%正确答案：D10、股票看涨期权卖方承受的最大损失可能是( )。
A、无限大B、执行价格减去看涨期权价格C、看涨期权价格D、执行价格正确答案：A11、下面哪一种形态是股价反转向上的形态( )。
A、头肩顶B、三重顶C、双底D、双顶正确答案：C12、下列关于证券投资的风险与收益的描述中,错误的是( )。
A、在证券投资中,收益和风险形影相随,收益以风险为代价,风险用收益来补偿B、风险和收益的本质联系可以用公式表述为:预期收益率=无风险利率+风险补偿C、美国一般将联邦政府发行的短期国库券视为无风险证券,把短期国库券利率视为无风险利率D、在通货膨胀严重的情况下,债券的票面利率会提高或是会发行浮动利率债券,这种情况是对利率风险的补偿正确答案：D13、若提高一只债券的票面利率,其他因素不变,该债券的久期( )。
投资学第9章习题及答案
本章习题1．简述利率敏感性的六个特征。
2．简述久期的法则。
3．凸性和价格波动之间有着怎样的关系？4．简述可赎回债券与不可赎回债券的凸性之间的区别。
5．简述负债管理策略中免疫策略的局限性。
6．简述积极的债券投资组合管理中互换策略的主要类型。
7．一种收益率为10%的9年期债券，久期为7.194年。
如果市场收益率改变50个基点，则债券价格变化的百分比是多少？8．某种半年付息的债券，其利率为8%，收益率为8%，期限为15年，麦考利久期为10年。
（1）利用上述信息，计算修正久期。
（2）解释为什么修正久期是计算债券利率敏感性的较好方法。
（3）确定修正久期变动的方向，如果：a．息票率为4%，而不是8%b．到期期限为7年而不是15年。
（4）说明在给定利率变化的情况下，修正久期与凸性是怎样用来估计债券价格变动的？第九章本章习题答案1. 在市场利率中，债券价格的敏感性变化对投资者而言显然十分重要。
为了了解利率风险的决定因素，可以参见图9-1。
该图表示四种债券价格相对于到期收益变化的变化百分比，它们有不同的息票率、初始到期收益率以及到期时间。
这四种债券的情况表明，当收益增加时，债券价格下降；价格曲线是凸的，这意味着收益下降对价格的影响远远大于等规模的收益增加。
通过观察，可以得出以下两个特征：（1）债券价格与收益呈反比，即：当收益升高时，债券价格下降；当收益上升时，债券价格上升。
（2）债券的到期收益升高会导致其价格变化幅度小于等规模的收益下降。
比较债券A和B的利率敏感性，除到期时间外，其他情况均基本相同。
图9-1表明债券B比债券A期限更长，对利率更敏感。
这体现出其另一特征：（3）长期债券价格对利率变化的敏感性比短期债券更高。
这不足为奇，例如，如果利率上涨，则当前贴现率较高，债券的价值下降。
由于利率适用于更多种类的远期现金流，则较高的贴现率的影响会更大。
值得注意的是，当债券B的期限是债券A的期限的6倍的时候，它的利率敏感性低于6倍。
投资学练习题[含答案]
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2016《投资学原理》期中作业资产组合理论：1.可行证券包括股票基金A、B和短期国库券，数据如下所示。
期望收益（%）标准差（%）B 30 60A和B的相关系数为-0.2，a.计算最优风险组合，并求出其期望收益和方差。
b.计算资本配置线斜率。
c.对于一个风险厌恶系数为5的投资者，他应该如何决策？2．假设风险证券包括很多股票，分布均为E(r)=15%，σ=60%，相关系数统一为0.5。
a.25只等权重股票构成的组合的收益分布是什么？b.要构造标准差不超过43%的组合，至少需要多少只股票？c.系统性风险是多少？d.如果短期国库券存在，收益率10%，资本配置线的斜率是多少？资本资产定价模型：3.两个投资顾问在比较业绩。
一个的平均收益率为19%，另一个为16%。
然而前者的β为1.5，后者的β为1 。
a.你能判断哪个投资顾问更擅长选择个股？（不考虑市场总体趋势）b.如果短期国债利率为6%，而这一期间市场收益率为14%，那么哪个投资者选股更出色？c.如果国债利率为3%，市场收益率为15%，情况又怎样？4.假定短期政府债券的收益率为5%（被认为是无风险的）。
假定一β值为1的资产组合市场要求的期望收益率为12%，根据资本资产定价模型：a.市场组合的期望收益率是多少？b.β为零的股票期望收益率是多少？c.假设你正准备买入一只股票，价格为40元。
该股票预期在明年发放股息3元，投资者预期以41元的价格将股票卖出。
股票风险β=-0.5，该股票是被高估了还是低估了？5.a.一个共同基金的β值为0.8，期望收益率为14%。
如果r f=5%，市场组合的期望收益率为15%，你会选择投资该基金么？基金的α值是多少？b.一个包含市场指数资产组合和货币市场账户的消极资产组合与该基金的β值相同么？证明消极资产组合期望收益率与基金期望收益率之差等于上一小题中的α值。
因素模型与套利定价6.假定股市收益以市场指数作为共同因素，经济体中所有股票对市场价格指数的β均为1.公司特有的收益的标准差都为30%。
投资学练习及答案要点
投资学练习及答案要点1.______是金融资产。
(d)a.债券;b.机器;c.股票;d.a和c;e.a和b2._____是基本证券的一个例子。
(e)a.长虹公司的普通股票；b.中国石油公司股票的看涨期权;c.第三世界国家的公司股票的看涨期权。
d.中央政府国债；e.a和d.3.____是金融中介。
(e)a.商业银行;b.保险公司;c.投资公司;d.信托公司;e.上述各项均恰当4._____就是场外证券交易市场的一个例子。
(c)a.拍卖市场;b.经纪人市场;c.交易商市场;d.直接搜索市场;e.上述各项均不准确5.公司股东通过________来保护自己不受管理层决策失误的侵害。
(d)a.代理议案中聘用管理层的能力;b.管理层收益投资回报上的掌控;c.举行股东大会的权力d.被其他公司全面收购的威胁;e.一股一权的议会选举原则6.发生改变当代投资环境的关键趋势整体表现在_____。
(e)a.全球化;b.证券化;c.信用增益;d.金融工程;e.上述各项均正确7.下面哪些不是货币市场工具的特征？(e)a.流动性;b.可以销售性;c.长期限;d.股金增值;e.c和d8.下面哪些不是货币市场工具？(d)a.短期国库券;b.大额可转让存款单；c.商业票据;d.长期国债;e.欧洲美元9.为满足准备金要求，银行为在美联储借的隔夜的超额保证金所支付的利率是。
(c)a.优惠利率;b.贴现利率;.c联邦基金利率;d.买入利率;e.货币市场利率10.下面哪些阐释就是恰当的？(a)a.中期国债期限可达10年;b.长期国债期限可达10年;c.中期国债期限可达10~30年。
d.中期国债可随时支取;e.短期国库券期限可达10年11.在公司破产事件中。
(d)a.股东最有可能丧失的就是他们在公司股票上的最初投资;b.普通股东在赢得公司资产索赔方面存有优先权。
c.债券持有人有权获得公司偿付股东清算后所剩余财产的赔偿d.优先股股东比普通股股东有获得赔偿的优先权e.a和d12.面值为10000美元的90天期短期国库券售价为9800美元，那么国库券的有效率年收益率为多少？(c)a.8.16%;b.2.04%;c.8.53%d.6.12%;e.8.42%13.下列哪些证券是货币市场工具？(d)a.中期国库券;b.长期国债;c.市政债券;d.商业票据;e.抵押债券14.公司债券的收益率为8.5%，免税的市政债券收益率为6.12%，为使纳税后的两者收益相等，你的税率应是。
博迪投资学课后答案
CHAPTER 1: THE INVESTMENT ENVIRONMENT PROBLEM 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. Becausebundling and unbundling creates financial products with new properties and sensitivities to various sources of risk, it allows investors to hedge particular sources of risk moreefficiently.2.Securitization requires access to a large number of potential investors. To attract theseinvestors, 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 financial market. 3. Securitization leads to disintermediation; that is, securitization provides a means formarket participants to bypass intermediaries. For example, mortgage-backed securities channel funds to the housing market without requiring that banks or thrift institutionsmake loans from their own portfolios. As securitization progresses, financialintermediaries must increase other activities such as providing short-term liquidity toconsumers and small business, and financial services.4. Financial assets make it easy for large firms to raise the capital needed to finance theirinvestments in real assets. If General Motors, 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 less investment and lower real growth.5. Even if the firm does not need to issue stock in any particular year, the stock market is stillimportant 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, the fact that shares can be traded in the secondary market makes the sharesmore attractive to investors since investors know that, when they wish to, 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.6. a. Cash is a financial asset because it is the liability of the federal government.b. No. The cash does not directly add to the productive capacity of the economy.c. Yes.d. Society as a whole is worse off, since taxpayers, as a group will make up for theliability.7. a. The bank loan is a financial liability for Lanni. (Lanni's IOU is the bank's financialasset.) The cash Lanni receives is a financial asset. The new financial asset createdis Lanni's promissory note (that is, Lanni’s IOU to the bank).b. Lanni transfers financial assets (cash) to the software developers. In return, Lannigets a real asset, the completed software. No financial assets are created ordestroyed; cash is simply transferred from one party to another.c. Lanni 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 to payLanni, then this would represent the creation of new financial assets.d. Lanni 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 gets back anotherfinancial asset (its IOU). The loan is "destroyed" in the transaction, since it is retiredwhen paid off and no longer exists.8. a.AssetsLiabilities &Shareholders’ equityCash $ 70,000 Bank loan $ 50,000 Computers 30,000 Shareholders’ equity Total 50,000$100,000 Total $100,000Ratio of real assets to total assets = $30,000/$100,000 = 0.30b.AssetsLiabilities & Shareholders’ equity Software product*$ 70,000 Bank loan $ 50,000 Computers30,000 Shareholders’ equity Total 50,000 $100,000 Total $100,000 *Valued at costRatio of real assets to total assets = $100,000/$100,000 = 1.0c.AssetsLiabilities & Shareholders’ equity Microsoft shares$120,000 Bank loan $ 50,000 Computers30,000 Shareholders’ equity Total 100,000 $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 itoff for cash, financial assets once again replace real assets.9. For commercial banks, the ratio is: $107.5/$10,410.9 = 0.010For non-financial firms, the ratio is: $13,295/$25,164 = 0.528The difference should be expected primarily because the bulk of the business offinancial institutions is to make loans; which are financial assets for financialinstitutions.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) independent ofthe 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 manager earns themost when the shareholders’ wealth is maximized. This structure is therefore mostlikely to align the interests of managers and shareholders. If stock compensation isoverdone, however, the manager might view it as overly risky since the manager’scareer is already linked to the firm, and this undiversified exposure would beexacerbated with a large stock position in the firm.c. Call options on shares of the firm create great incentives for managers to contribute tothe firm’s success. In some cases, however, stock options can lead to other agencyproblems. For example, a manager with numerous call options might be tempted totake on a very risky investment project, reasoning that if the project succeeds thepayoff will be huge, while if it fails, the losses are limited to the lost value of theoptions. Shareholders, in contrast, bear the losses as well as the gains on the project,and might be less willing to assume that risk.12. Even if an individual shareholder could monitor and improve managers’ performance, andthereby 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 GM stock and can increase the value of the firm by 5%, a very 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 tospend considerable resources to monitor the firm.13. Mutual funds accept funds from small investors and invest, on behalf of these investors,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 broad compositionof the entire portfolio, which is the major determinant of overall performance. Moreover,top-down management is the natural way to establish a portfolio with a level of riskconsistent with your risk tolerance. The disadvantage of an exclusive emphasis on top-down issues is that you may forfeit the potential high returns that could result fromidentifying and concentrating in undervalued securities 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 a risk level inconsistentwith your level of risk tolerance. In addition, this technique tends to require more activemanagement, thus generating more transaction costs. Finally, your analysis may be incorrect, in which case you will have fruitlessly expended effort and money attempting to beat asimple buy-and-hold strategy.16. You should be skeptical. If the author actually knows how to achieve such returns, one mustquestion 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 that riches do not come easily.High expected returns require bearing some risk, and obvious bargains are few and farbetween. Odds are that the only one getting rich from the book is its author.17. a. The SEC website defines the difference between saving and investing in terms ofthe investment alternatives or the financial assets the individual chooses to acquire.According to the SEC website, saving is the process of acquiring a “safe” financialasset and investing is the process of acquiring “risky” financial assets.b. The economist’s definition of savings is the difference between income andconsumption. Investing is the process of allocating one’s savings among availableassets, both real assets and financial assets. The SEC definitions actually represent(according the economist’s definition) two kinds of investment alternatives.18. As is the case for the SEC definitions (see Problem 17), the SIA defines saving andinvesting as acquisition of alternative kinds of financial assets. According to the SIA,saving is the process of acquiring safe assets, generally from a bank, while investing isthe acquisition of other financial assets, such as stocks and bonds. On the other hand,the definitions in the chapter indicate that saving means spending less than one’s income.Investing is the process of allocating one’s savings among financial assets, includingsavings account deposits and money market accounts (“saving” according to the SIA),other financial assets such as stocks and bonds (“investing” according to the SIA), aswell as real assets.CHAPTER 2: ASSET CLASSES ANDFINANCIAL INSTRUMENTSPROBLEM SETS1. Preferred stock is like long-term debt in that it typically promises a fixed payment eachyear. In this way, it is a perpetuity. Preferred stock is also like long-term debt in that itdoes 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 assets of the firm in the event of corporate bankruptcy, preferred stock has a higher priority than common equity but a lower priority than bonds.2. Money market securities are called “cash equivalents” because of their great liquidity.The prices of money market securities are very stable, and they can be converted tocash (i.e., sold) on very short notice and with very low transaction costs.3. The spread will widen. Deterioration of the economy increases credit risk, that is, thelikelihood of default. Investors will demand a greater premium on debt securitiessubject to default risk.4. On the day we tried this experiment, 36 of the 50 stocks met this criterion, leading us toconclude that returns on stock investments can be quite volatile.5. a. You would have to pay the asked price of:118:31 = 118.96875% of par = $1,189.6875b. The coupon rate is 11.750% implying coupon payments of $117.50 annually or, moreprecisely, $58.75 semiannually.c.Current yield = Annual coupon income/price= $117.50/$1,189.6875 = 0.0988 = 9.88%6. P = $10,000/1.02 = $9,803.927. The total before-tax income is $4. After the 70% exclusion for preferred stock dividends, thetaxable 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%8. a. General Dynamics closed today at $74.59, which was $0.17 higher than yesterday’sprice. Yesterday’s closing price was: $74.42b. You could buy: $5,000/$74.59 = 67.03 sharesc. Your annual dividend income would be: 67.03 × $0.92 = $61.67d. The price-to-earnings ratio is 16 and the price is $74.59. Therefore:$74.59/Earnings per share = 16 Earnings per share = $4.669. 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 the indexwould be: 250/3 = 83.333After the split, Stock C sells for 55. Therefore, we need to find the divisor (d)such that:83.333 = (95 + 45 + 55)/d ⇒ d = 2.340c. The return is zero. The index remains unchanged because the return for each stockseparately equals zero.10. a. Total market value at t = 0 is: ($9,000 + $10,000 + $20,000) = $39,000T otal market value at t = 1 is: ($9,500 + $9,000 + $22,000) = $40,500R ate of return = ($40,500/$39,000) – 1 = 3.85%b.The return on each stock is as follows:r A r = (95/90) – 1 = 0.0556B r = (45/50) – 1 = –0.10CThe equally-weighted average is:= (110/100) – 1 = 0.10[0.0556 + (-0.10) + 0.10]/3 = 0.0185 = 1.85%11. 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.12. 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%13. a. The higher coupon bond.b. The call with the lower exercise price.c. The put on the lower priced stock.14. a. You bought the contract when the futures price was 1427.50 (see Figure 2.12). Thecontract closes at a price of 1300, which is 127.50 less than the original futures price. Thecontract multiplier is $250. Therefore, the loss will be:127.50 × $250 = $31,875b. Open interest is 601,655 contracts.15. a. Since the stock price exceeds the exercise price, you will exercise the call.The payoff on the option will be: $42 − $40 = $2The option originally cost $2.14, so the profit is: $2.00 − $2.14 = −$0.14Rate of return = −$0.14/$2.14 = −0.0654 = −6.54%b. If the call has an exercise price of $42.50, you would not exercise for any stock price of$42.50 or less. The loss on the call would be the initial cost: $0.72c. Since the stock price is less than the exercise price, you will exercise the put.The payoff on the option will be: $42.50 − $42.00 = $0.50The option originally cost $1.83 so the profit is: $0.50 − $1.83 = −$1.33Rate of return = −$1.33/$1.83 = −0.7268 = −72.68%16. There is always a possibility that the option will be in-the-money at some time prior toexpiration. Investors will pay something for this possibility of a positive payoff.17.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 -618. A put option conveys the right to sell the underlying asset at the exercise price. A shortposition in a futures contract carries an obligation to sell the underlying asset at thefutures price.19. A call option conveys the right to buy the underlying asset at the exercise price. A longposition in a futures contract carries an obligation to buy the underlying asset at thefutures 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 the taxable bond isthe same as the before-tax yield (5%), which is greater than the yield on the municipalbond.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 tax brackets above20%.5.If the after-tax yields are equal, then: 0.056 = 0.08 × (1 – t)This implies that t = 0.30 =30%.CHAPTER 2: ASSET CLASSES ANDFINANCIAL INSTRUMENTSPROBLEM SETS1. Preferred stock is like long-term debt in that it typically promises a fixed payment eachyear. In this way, it is a perpetuity. Preferred stock is also like long-term debt in that itdoes 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 assets of the firm in the event of corporate bankruptcy, preferred stock has a higher priority than common equity but a lower priority than bonds.2. Money market securities are called “cash equivalents” because of their great liquidity.The prices of money market securities are very stable, and they can be converted tocash (i.e., sold) on very short notice and with very low transaction costs.3. The spread will widen. Deterioration of the economy increases credit risk, that is, thelikelihood of default. Investors will demand a greater premium on debt securitiessubject to default risk.4. On the day we tried this experiment, 36 of the 50 stocks met this criterion, leading us toconclude that returns on stock investments can be quite volatile.5. a. You would have to pay the asked price of:118:31 = 118.96875% of par = $1,189.6875b. The coupon rate is 11.750% implying coupon payments of $117.50 annually or, moreprecisely, $58.75 semiannually.c.Current yield = Annual coupon income/price= $117.50/$1,189.6875 = 0.0988 = 9.88%6. P = $10,000/1.02 = $9,803.927. The total before-tax income is $4. After the 70% exclusion for preferred stock dividends, thetaxable 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%8. a. General Dynamics closed today at $74.59, which was $0.17 higher than yesterday’sprice. Yesterday’s closing price was: $74.42b. You could buy: $5,000/$74.59 = 67.03 sharesc. Your annual dividend income would be: 67.03 × $0.92 = $61.67d. The price-to-earnings ratio is 16 and the price is $74.59. Therefore:$74.59/Earnings per share = 16 Earnings per share = $4.669. 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 the indexwould be: 250/3 = 83.333After the split, Stock C sells for 55. Therefore, we need to find the divisor (d)such that:83.333 = (95 + 45 + 55)/d ⇒ d = 2.340c. The return is zero. The index remains unchanged because the return for each stockseparately equals zero.10. a. Total market value at t = 0 is: ($9,000 + $10,000 + $20,000) = $39,000T otal market value at t = 1 is: ($9,500 + $9,000 + $22,000) = $40,500R ate of return = ($40,500/$39,000) – 1 = 3.85%b.The return on each stock is as follows:r A r = (95/90) – 1 = 0.0556B r = (45/50) – 1 = –0.10CThe equally-weighted average is:= (110/100) – 1 = 0.10[0.0556 + (-0.10) + 0.10]/3 = 0.0185 = 1.85%11. 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.12. 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%13. a. The higher coupon bond.b. The call with the lower exercise price.c. The put on the lower priced stock.14. a. You bought the contract when the futures price was 1427.50 (see Figure 2.12). Thecontract closes at a price of 1300, which is 127.50 less than the original futures price. Thecontract multiplier is $250. Therefore, the loss will be:127.50 × $250 = $31,875b. Open interest is 601,655 contracts.15. a. Since the stock price exceeds the exercise price, you will exercise the call.The payoff on the option will be: $42 − $40 = $2The option originally cost $2.14, so the profit is: $2.00 − $2.14 = −$0.14Rate of return = −$0.14/$2.14 = −0.0654 = −6.54%b. If the call has an exercise price of $42.50, you would not exercise for any stock price of$42.50 or less. The loss on the call would be the initial cost: $0.72c. Since the stock price is less than the exercise price, you will exercise the put.The payoff on the option will be: $42.50 − $42.00 = $0.50The option originally cost $1.83 so the profit is: $0.50 − $1.83 = −$1.33Rate of return = −$1.33/$1.83 = −0.7268 = −72.68%16. There is always a possibility that the option will be in-the-money at some time prior toexpiration. Investors will pay something for this possibility of a positive payoff.17.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 -618. A put option conveys the right to sell the underlying asset at the exercise price. A shortposition in a futures contract carries an obligation to sell the underlying asset at thefutures price.19. A call option conveys the right to buy the underlying asset at the exercise price. A longposition in a futures contract carries an obligation to buy the underlying asset at thefutures 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 the taxable bond isthe same as the before-tax yield (5%), which is greater than the yield on the municipalbond.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 tax brackets above20%.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 SuperDot system expedites the flow of orders from exchange members to thespecialists. It allows members to send computerized orders directly to the floor of theexchange, which allows the nearly simultaneous sale of each stock in a large portfolio.This capability is necessary for program trading.3. The dealer sets the bid and asked price. Spreads should be higher on inactively traded stocksand lower on actively traded stocks.4. a. In principle, potential losses are unbounded, growing directly with increases in theprice of IBM.b. If the stop-buy order can be filled at $128, the maximum possible loss per share is$8. If the price of IBM shares goes above $128, then the stop-buy order would beexecuted, limiting the losses from the short sale.5. a. The stock is purchased for: 300 × $40 = $12,000The amount borrowed is $4,000. Therefore, the investor put up equity, or margin,of $8,000.b.If the share price falls to $30, then the value of the stock falls to $9,000. By theend 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%6. 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 Traders mustpay the dividend of $2 per share to the lender of the shares, so that the margin inthe account decreases by an additional $2,000. Therefore, the remaining 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 a margin call.c.The equity in the account decreased from $20,000 to $8,000 in one year, for a rate of return of: (−$12,000/$20,000) = −0.60 = −60%7. Much of what the specialist does (e.g., crossing orders and maintaining the limit order book)can be accomplished by a computerized system. In fact, some exchanges use an automated system for night trading. A more difficult issue to resolve is whether the more discretionary activities of specialists involving trading for their own accounts (e.g., maintaining an orderly market) can be replicated by a computer system.8. a.The buy order will be filled at the best limit-sell order price: $50.25 b. The next market buy order will be filled at the next-best limit-sell orderprice: $51.50c. You would want to increase your inventory. There is considerable buying demand atprices just below $50, indicating that downside risk is limited. In contrast, limit sellorders are sparse, indicating that a moderate buy order could result in a substantialprice increase.9. a.You buy 200 shares of Telecom for $10,000. These shares increase in value by 10%,or $1,000. You pay interest of: 0.08 × $5,000 = $400 The rate of return will be:000,5$400$000,1$−= 0.12 = 12%。
投资学(债券组合管理)习题与答案
一、单选题1、关于机构投资者选择什么样的债券组合管理，以下说法不正确的是（）。
A.受投资者类型及其负债情况影响B.受投资者的账户管理情况影响C.受投资者对市场有效性的看法影响D.负债期限较短的机构投资者适合采用积极的债券组合管理策略正确答案：D2、对消极的债券组合管理策略的目的或目标描述不准确或不正确的是（）。
A.在既定的风险约束下获得最高的预期收益率B.实现市场平均收益率C.控制债券组合的风险D.为将来发生的债务提供足额的现金流正确答案：A3、消极的债券组合管理策略不包括（）。
A.现金流匹配策略B.免疫策略C.收益率曲线变动策略D.指数化策略正确答案：C4、负债管理策略是主要的消极债券组合管理方法之一，但资产负债管理通常不是（）的核心业务。
A.寿险公司B.风投公司C.养老基金公司D.银行正确答案：B5、以下哪一项不是确保多期免疫策略成功的条件（）。
A.债券组合中的资产现金流时间分布范围比负债现金流时间分布范围更广B.债券组合和负债的久期相等C.债券组合和负债的现值相等D.债券组合和负债的凸性相等正确答案：D6、积极的债券组合管理策略不包括（）。
A.替代互换B.期限分析C.跨期保值D.利率预测互换正确答案：C7、以下关于积极的债券组合管理策略，说法不正确的是（）。
A.积极的债券管理者认为明智的投资人总是能够把握机会战胜市场，获得超过市场平均收益的超额回报B.采用积极的债券组合管理策略的管理者认为自己的分析能力和见解优于市场上的其他投资者C.积极的债券组合管理策略获取超额回报的可能来源是利率预测和找出定价错误的固定收益证券D.实践中，采用积极的债券组合管理策略确实能够获得超过采取消极的债券组合管理策略的超额回报正确答案：D8、关于指数化策略说法不正确的是（）。
A.债券市场指数中包括的债券种类众多，按市值比重购买所有债券难度太大B.债券市场指数构成中所选债券期限必须大于1年，随着时间的推移，有些选入债券到期期限会小于1年，需要从指数中剔除C.债券指数所选的债券都是市场上活跃的债券，流动性较好，在市场上很容易找到合适的交易方进行买卖D.股票指数构成中股票的种类一般仅有几百种，购买难度不大，可以按照股票指数完全复制。
投资学(第五版)全套习题参考解答242149
第一章1.我国和西方(经济学)对投资概念的界定有何异同?西方经济学认为，投资主要是以企业为主导的实物资本形成的过程，但主体也可以扩展至政府、非营利性组织和居民家庭，内容也可以扩展至人力资本和无形资本。
我国对投资概念的界定与我国经济发展进步密切相关，计划经济时代强调政府为主体的基本建设投资，改革开放后投资的概念逐渐转变和扩展至固定、流动资产投资和间接投资，实际上与西方的投资概念逐渐接轨。
2.直接投资与间接投资的区别和联系是什么?直接投资和间接投资的主要区别在于投资的运用方式不同，直接投资是将资金直接投入投资项目的建设或购置以形成固定资产和流动资产的投资，间接投资则是投资者通过购买有价证券等金融资产以获取一定预期收益的投资。
但是，直接投资和间接投资都属于投资的概念，间接投资可以转化成为直接投资，直接投资在很多时候也需要间接投资配合才能完成。
3.投资应具备哪些要素?这些要素在不同投资体制下所处的地位和内容有什么不同?投资的要素包括投资主体、投资客体、投资目的和投资方式：投资主体即投资者，是具有资金或资财来源和投资决策权的投资活动主体；投资客体即投资对象、目标或标的物；投资目的指投资者的意图及所要取得的效果；投资方式指投入资金运用的形式与方法。
不同的投资体制下各投资要素的地位和内容有所不同。
一般来说，相比于计划经济体制，在市场经济体制下投资主体由政府为主让位于企业投资为主，投资客体从基本的建设扩展到各种有形和无形资产，投资目的由发展再生产扩展到设备更新升级、获取财务收益、社会效益等内容，投资方式由政府无偿拨付为主扩展到市场化的直接和间接投资，各投资要素显现出多样化、市场化的特征。
4.简述投资风险的产生与防范。
投资风险是由投资自身的其他特点引起的。
投资具有复杂性和系统性，系统的复杂性和与外部的广泛联系是投资风险的主要根源。
投资的周期较长，资金投入具有连续性，人们事先难以预测到建设过程中可能发生的全部变化，周期越长，可能影响项目收益的因素就会出现越多，投资回收的风险也就越大。
国际投资学试题及答案
国际投资学试题及答案一、选择题（每题2分，共20分）1. 国际投资的主体主要包括：A. 个人投资者B. 跨国公司C. 各国政府D. 所有上述选项2. 以下哪项不是国际投资的特点？A. 跨地域性B. 高风险性C. 短期性D. 多样性3. 汇率变动对国际投资的影响主要体现在：A. 投资成本B. 投资收益C. 投资风险D. 所有上述选项4. 国际直接投资与国际间接投资的区别在于：A. 投资的地域范围B. 投资的控制权C. 投资的期限D. 投资的规模5. 国际投资组合的分散化可以：A. 增加投资收益B. 降低投资风险C. 增加投资成本D. 减少投资机会二、简答题（每题10分，共30分）6. 简述国际投资的动机有哪些？7. 解释什么是“货币风险”及其对国际投资的影响。
8. 描述国际投资中的风险管理策略。
三、计算题（每题25分，共50分）9. 假设某公司计划在海外投资100万美元，当前汇率为1美元兑换6.5元人民币。
如果一年后汇率变动为1美元兑换7元人民币，不考虑其他因素，该公司的汇率变动收益是多少？10. 某投资者购买了两种不同国家的债券，A国债券的收益率为5%，B 国债券的收益率为7%，投资者将资金平均分配到两种债券上。
如果投资者面临5%的通货膨胀率，计算实际收益率。
四、论述题（共30分）11. 论述国际投资对东道国经济发展的积极和消极影响。
答案一、选择题1. D2. C3. D4. B5. B二、简答题6. 国际投资的动机包括寻求更高的投资回报、分散投资风险、获取资源和市场、技术转移和学习、响应政府政策和法规等。
7. 货币风险是指由于汇率变动导致投资价值波动的风险。
它对国际投资的影响主要体现在投资成本和收益的不确定性，增加了投资决策的复杂性。
8. 国际投资中的风险管理策略包括：多元化投资、对冲、保险、风险评估和监控等。
三、计算题9. 汇率变动收益 = 100万美元 * (7 - 6.5) = 500,000元人民币。
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投资学 作业答案 第一章 为在满足明确的风险承受能力和适用的限制条件下，实现既定的回报率要求的策略是（）。
选项: c、投资政策 一个经常被引用来解释完全融资养老基金投资于普通股票的原因的错误说法是（）。 选项: c、股票提供了防范通货膨胀的手段 风险容忍水平对而言非常高的是（）。 选项: a、银行 一种对投资者在资产投资方面的限制是（）。 选项: a、投资限制 从经济学角度如何定义投资？（） 选项: a、投资就是人们对当期消费的延迟行为。 从财务角度如何定义投资？（） 选项: b、投资就是现金流的规划。 下列哪项是投资者要面对的问题？（） 选项: e、以上均是 投资管理的基石不包括下列哪项？（） 选项: c、投资者的天分 常见的财务、金融和经济数据库有哪些？（） 选项: d、以上均是 投资管理的过程的主要参与者有（）。 选项: d、以上均是 下列哪项不是机构投资者？（） 选项: e、个人 投资管理的第一步是（）。 选项: a、确定投资目标 投资管理的第三步是（）。 选项: c、选择投资组合策略 投资管理的第五步是（）。 选项: e、投资绩效 投资和投机的区别是（）。 选项: c、没有明显的界限 第二章 假如要成立一个专项奖学金，每年奖励10000元，年利率为5%，则现在需要（）运作资金。
选项: c、20万元 一年以前，你在自己的储蓄账户中存入1000美元，收益率为7%，如果年通胀率为3%，你的近似实际收益率为（）？
选项: a、4% 某人拟在3年后获得10000元，假设年利率6%，他现在应该投入（）元。 选项: a、8396 你以20美元购买了一股股票，一年以后你收到了1美元的红利，并以29美元卖出。你的持有期收益率是多少？（）
选项: b、50% 某人拟在3年后获得10000元，假设年利率6%，他现在每年应该投入（）元？（PV（6%，3）=2.6730）
选项: a、3741 一种资产组合具有0.15的预期收益率和0.15的标准差，无风险利率是6%，投资者的效用函数为：U=E(r)-(A/2)σ2。A的值是多少时使得风险资产与无风险资产对于投资者来讲没有区别？（）
选项: d、8 下列哪个叙述是正确的？（） 选项: e、上述各项均不准确 股票的HPR(持有期回报率)等于（）。 选项: b、持有期资本利得加上红利 艾丽丝是一个风险厌恶的投资者，戴维的风险厌恶程度小于艾丽丝的，因此（）。 选项: d、对于相同的收益率，戴维比艾丽丝忍受更高的风险 如果名义收益率是不变的，那么税后实际利率将在（）。 选项: d、通货膨胀率下降时上升 你以90美元购买一股Y公司股票，一年之后，收到了3美元红利，以92美元卖出股票，你的持有期收益是（）。
选项: a、5.56% T公司股票一年之后的价格有如下的概率分布:(状态 概率价格/美元 )1 0.25 50;2 0.40 60;3 0.35 70。如果你以55美元买入股票，并且一年可以得到4美元的红利，那么T公司股票的预期持有期收益率是（）。
选项: b、18.18% 第三章 公司的优先股经常以低于其债券的收益率出售,这是因为（）。 选项: d、拥有股票的公司可以将其所得红利收入免征所得税 下面各个选项中，不是货币市场工具的特征的是（）。 选项: e、C和D 下面各个选项中，不是货币市场工具的是（）。 选项: d、长期国债 商业票据是由（）为筹资而发行的短期证券。 选项: c、大型着名公司 在公司破产事件中（）。 选项: e、A和D 关于公司有价证券的说法正确的是（）。 选项: c、优先股股息通常可累计 面值为10000美元的90天期短期国库券售价为9800美元，那么国库券的折现年收益率为（）。
选项: b、8% 道·琼斯工业平均指数的计算方法是（）。 选项: c、将指数中的30种股票价格加和，然后除以一个除数 下面论述是正确的是（）。 选项: a、中期国债期限可达10年 短期国库券的贴现利率是5%，面值为10000美元的60天期国库券的买方报价为 选项: b、9916.67美元 关于公司债券，下面说法是正确的是（）。 选项: d、公司可转换债券允许债券持有者按一定比例将债券转换成公司普通股 下面内容中,最有效地阐述了欧洲美元的特点的是（）。 选项: c、存在美国的美国银行的美元 第四章 假定用100 000美元投资，与右下表的无风险短期国库券相比，投资于股票的预期风险溢价是多少？（）(期望收益 收益的标准差)8.4 8.4;8.4 14.0;12.0 8.4;12.0 14.0
选项: a、13，000美元 资本配置线由直线变成曲线，是什么原因造成的？（） 选项: b、借款利率高于贷款利率 你管理的股票基金的预期风险溢价为10%，标准差为14%，股票基金的风险回报率是（）。
选项: a、0.71 下面对资产组合分散化的说法哪些是正确的？（） 选项: c、当把越来越多的证券加入到资产组合当中时，总体风险一般会以递减的速率下降。
测度分散化资产组合中某一证券的风险用的是（）。 选项: d、贝塔值 下面哪一种资产组合不属于马克维茨描述的有效率边界？（） 选项: d、9 21 马克维茨描述的资产组合理论主要着眼于（）。 选项: b、分散化对于资产组合的风险的影响 假设一名风险厌恶型的投资者，拥有M公司的股票,他决定在其资产组合中加入Mac公司或是G公司的股票。这三种股票的期望收益率和总体风险水平相当， M公司股票与Mac公司股票的协方差为-0.5，M公司股票与G公司股票的协方差为+0.5。则资产组合：（）
选项: a、买入Mac公司股票，风险会降低更多。 资本配置线可以用来描述（）。 选项: a、一项风险资产和一项无风险资产组成的资产组合 投资者把他的财富的30%投资于一项预期收益为0.15、方差为0.04的风险资产，70%投资于收益为6%的国库券，他的资产组合的预期收益为（），标准差为（）。
选项: b、0.087、0.06 从直的向弯曲的变化的资本配置线是（）的结果？ 选项: b、借款利率超过贷款利率 第五章 假设证券市场处于CAPM模型所描述的均衡状态。证券A的期望收益率为6%，其中β系数为0.5，市场组合的期望收益率为9%，则无风险利率为（）。
c、3% 股票价格已经反映了所有的历史信息，如价格的变化状况、交易量变化状况等，因此技术分析手段对了解股票价格未来变化没有帮助。这一市场是指（）。
选项: c、弱有效市场 期望收益率－贝塔的关系（）。 选项: a、是CAPM模型最常用的一种表示方法 证券市场线描述的是：（） 选项: a、证券的预期收益率与其系统风险的关系。 按照CAPM模型，假定市场预期收益率=15%，无风险利率=8%，XYZ证券的预期收益率=17%，XYZ的贝塔值=1.25，以下哪种说法正确？（）
选项: c、X Y Z的阿尔法值为-0.25% 零贝塔证券的预期收益率是什么？（） 选项: c、负收益率 CAPM模型认为资产组合收益可以由（）得到最好的解释。 选项: c、系统风险 根据CAPM模型，贝塔值为1.0，阿尔法值为0的资产组合的预期收益率为：（） 选项: d、市场预期收益率RM 假定贝克基金(Baker Fund)与标准普尔500指数的相关系数为0.7，贝克基金的总风险中特有风险为多少？（）
选项: d、7 0% Ch国际基金与EAFE市场指数的相关性为1.0，EAFE指数期望收益为11%，Ch国际基金的期望收益为9%，EAFE国家的无风险收益率为3%，以此分析为基础，则Ch国际基金的隐含的贝塔值是多少？（）
选项: b、0.75 贝塔的定义最接近于：（） 选项: a、相关系数 贝塔与标准差作为对风险的测度，其不同之处在于贝塔测度的：（） 选项: b、仅是系统风险，而标准差测度的是总风险。 如果有效市场假定成立，下列哪一种说法是正确的？（） 选项: b、价格能够反映所有可得到的信息。 下列哪一现象为驳斥半强有效市场假定提供了依据？（） 选项: b、在红利大幅上扬的消息公布以后买入股票，投资者不能获得超额利润。 你管理的股票基金的预期风险溢价为10%，标准差为14%，短期国库券利率为6%。你的委托人决定将60000美元投资于你的股票基金，将40000美元投资于货币市场的短期国库券基金，股票基金的风险回报率是多少？（）
选项: a、0.71 第六章 一种债券的当前收益率应等于（）。 选项: d、年利率除以市场价格 下面几种投资中，最安全的是（）。 选项: c、短期国库券 在发行时，息票债券通常都是（）。 选项: b、接近或等于票面价值 其他条件不变时，债券的价格与收益率（）。 选项: b、反相关 如果投资者现在购买债券并持至到期日，衡量他平均收益率的指标是（）。 选项: d、转换溢价 下述（）为可转换债券可转换成股票的股数? 选项: a、转换比率 息票债券是（）。 选项: a、定期付息的