国际公司金融第十九章课后习题答案

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国际财务管理（英文版）第11版马杜拉答案Chapter19

国际财务管理（英文版）第11版马杜拉答案Chapter19Chapter 19International Cash Management Lecture OutlineCash Flow Analysis: Subsidiary PerspectiveSubsidiary ExpensesRevenueSubsidiarySubsidiary Dividend PaymentsSubsidiary Liquidity ManagementCentralized Cash ManagementTechniques to Optimize Cash FlowsAccelerating Cash InflowsMinimizing Currency Conversion CostsManaging Blocked FundsManaging Intersubsidiary Cash Transfers Complications in Optimizing Cash Flow CharacteristicsCompany-RelatedRestrictionsGovernmentCharacteristics of Banking SystemsInvesting Excess CashHow to Invest Excess CashCentralized Cash ManagementDetermining the Effective YieldImplications of Interest Rate ParityUse of the Forward Rate as a ForecastUse of Exchange Rate ForecastsDiversifying Cash Across CurrenciesHedgingDynamicChapter ThemeThis chapter emphasizes the decisions involved in the management of cash by an MNC. The additional opportunities and risks of cash management for an MNC versus a domestic firm should be stressed. There are actually three key components of the chapter. The first is distinguishing between subsidiary control over excess cash versus centralized control. An argument is made in favor of centralized control. The second component is optimizing cash flow. Several techniques are recommended to optimize cash flow. Finally, the decision of where to invest excess cash should be discussed with consideration of all factors that need to be incorporated for this decision.Topics to Stimulate Class Discussion1. Should international cash management be conducted at the subsidiary level or at the centralizedlevel? Elaborate.2. What is the use of netting to an MNC?3. How can a firm deal with blocked funds?4. Assume that as a treasurer of a U.S. corporation, you believe that the British pound’s forward rateis an accurate forecast of the pound’s future spot rate. What does this imply about your decision of whether to invest cash in the U.S. or in the U.K.?Critical debateShould a MNC’s subsidiaries operate their own cash management policies?Yes. Ultimately cash management means that everything is controlled from the Propositioncentre. Different countries and indeed different products have very different working capital requirements. Centralization could easily lead to poor working capital management and cash flow difficulties.No. Trade between subsidiaries accounts for about a large percentage of Opposingviewworld exports, there has to be coordination between subsidiaries, also customers can be MNC’s so coordination is also required in debt collection. Also, there are considerable exchangerate savings to be madeWith whom do you agree? Think carefully about the arguments for and against allowing subsidiaries to manage their own cash. What are the problems with each of the arguments? Is there a solution that avoids the main drawbacks?ANSWER: For is the argument that the business is more efficient when such matters are run centrally. There are many systems nowadays run centrally from road tax to supermatrket clubcards. However, against is the argument that motivation is lost by running the business from the centre. Is autonomy worth the loss of efficiency if it means a better motivated workforce. Does this answer depend on the type of business?Answers to End of Chapter Questions1. International Cash Management. Discuss the general functions involved in international cashmanagement. Explain how the MNC’s optimization of cash flow can distort the profits of each subsidiary.ANSWER: The general functions of international cash management are optimizing cash flows and investing excess cash. These functions combined will lead to efficient usage of funds.When subsidiaries adjust their cash transactions between each other to reduce taxes or financing costs, their individual performances are distorted. For example, a subsidiary that makes a late payment to another subsidiary (due to its shortage of funds) benefits in that it avoided a short-term loan by delaying payment. The recipient subsidiary was hampered due to not receiving funds earlier (since the present value of the late payment is lower).2. Netting. Explain the benefits of netting. How can a centralized cash management system bebeneficial to the MNC?ANSWER: Netting is a centralized compilation of inter-subsidiary cash flows. It is designed to reduce currency conversion costs and processing costs associated with payments between subsidiaries. By specifying a single net payment to be made instead of all individual payments owed between subsidiaries, transactions costs are reduced and cash flows may be forecasted more accurately.A centralized cash management system is beneficial in that it allows for netting, which can reducetransactions costs and improve cash budgeting. In addition, it can increase yields on short-term investments by pooling excess cash of various subsidiaries.3. Leading and Lagging. How can an MNC implement leading and lagging techniques to helpsubsidiaries in need of funds?ANSWER: A subsidiary in need of funds would receive cash inflows from another subsidiary sooner than is required. This early payment provides the necessary funds. If the subsidiary in need of funds is making payment, it may be allowed by the MNC parent or recipient subsidiary to delay on its payment.4. International Fisher Effect. If a U.S. firm believes that the international Fisher effect holds, whatare the implications regarding a strategy of continually attempting to generate high returns from investing in currencies with high interest rates?ANSWER: High interest rate currencies will typically depreciate to offset their interest rate advantage (on average) according to the IFE. Therefore, this strategy will on average provide similar returns as a domestic investment, and the strategy is not worthwhile.5. Investing Strategy. Trumpington ltd has ￡2 million in excess cash that it has invested in Mexicoat an annual interest rate of 60 percent. The UK interest rate is 9 percent. By how much would the Mexican peso have to depreciate to cause such a strategy to backfire?1 +9%-1 = -31.875%1 +60%ANSWER: If the peso depreciates by more than 31.875 percent, the effective yield on the Mexican deposit will be less than the domestic yield.6. Investing Strategy. Why would a UK firm consider investing short-term funds in euros evenwhen it does not have any future cash outflows in euros?ANSWER: The interest rate on the euro may be higher, or the euro may have a high probability of appreciating. Also the firm may invest in euros today to hedge a future payment in euros.7. Covered Interest Arbitrage. Granville SA has 2 million euro in cash available for 90 days. It isconsidering the use of covered interest arbitrage, since theeuro’s 90-day interest rate is higher than the euro interest rate. What will determine whether this strategy is feasible?ANSWER: If interest rate parity exists, then the forward rate of the euro contains a discount that sufficiently offsets the higher interest rate on euros. Consequently, the act of covered interest arbitrage would not be feasible.8. Effective Yield. Corlins plc has ￡1 million in cash available for 30 days. It can earn 1 percent on a30-day investment in the United Kingdom. Alternatively, if it converts the pounds to South African rand, it can earn 1 ? percent on a rand deposit. The spot rate of the rand is ￡0.09. The spot rate 30 days from now is expected to be ￡0.08. Should Corlins invest its cash in the United Kingdom or in South Africa? Explain your answer.ANSWER: If Corlins plc invests in a Mexican deposit, it will convert ￡1 million to 11,111,111R which will accumulate to 11,277,778R after one month (due to the 1 1/2% interest rate). If the spot rate of the rand is ￡0.08 after one month, the rand will be converted to ￡902,222, which is less than the amount of pounds the firm started with. Thus, the Corlins plc should invest its cash in the UK. An alternative approach is to note that the value of the rand is going to fall by (0.08 –0.09)/0.09 = -11.1% much greater than the difference in interest rates.9. Effective Yield. Rollins plc has ￡3 million in cash available for 180 days. It can earn 7 percent ona UK Treasury bill or 9 percent on a US Treasury bill. The US investment does require conversionof pounds to dollars. Assume that interest rate parity holds and that Rollins believes the 180-day forward rate is a reliablepredictor of the spot rate to be realized 180 days from now. Would the British investment provide an effective yield that is below, above, or equal to the yield on the U.S.investment? Explain your answer.ANSWER: If the forward rate is an accurate forecast of the future spot rate, then the return on a foreign investment without covering the currency exposure will be the same as if it was covered.The uncovered foreign investment, like the act of covered interest arbitrage, will generate a return similar to the domestic return (given that interest rate parity exists).10. Effective Yield. Repeat question 9, but this time assume that Rollins plc expects the 180-dayforward rate of the dollar to substantially overestimate the spot rate to be realized in 180 days.ANSWER: In this case, the future spot rate will be less than the forward rate. If it was equal to the forward rate, the foreign return would have been similar to the domestic return for Rollins Inc.(as explained in the answer to question 9). If the future spot rate is lower than the forward rate, the U.S. firm will receive less when converting the pounds back to dollars. Thus, the foreign return is expected to be less than the domestic return.11. Effective Yield. Repeat question 9, but this time assume that the Rollins plc expects the 180-dayforward rate of the pound to substantially underestimate the spot rate to be realized in 180 days.ANSWER: In this case, Rollins will receive more when converting the pounds back to dollars than the amount necessary to match the domestic return. Thus, the foreign returnis expected to be greater than the domestic return.12. Effective Yield. Assume that the one-year UK interest rate is 10 percent and the one-year USinterest rate is 13 percent. If a UK firm invests its funds in the US, by what percentage will the dollar have to depreciate to make its effective yield the same as the UK interest rate from the UK firm’s perspective?ANSWER:(1 + 10%) – 1 = about –2.65%(113%)+13. Investing in a Currency Portfolio. Why would a firm consider investing in a portfolio of foreigncurrencies instead of just a single foreign currency?ANSWER: A portfolio of currencies reduces the probability of the foreign investment backfiring due to depreciation in the currencies denominating the investment. If all funds are in an investment denominated in a single foreign currency, risk of that currency substantially depreciating is relatively high (compared to an entire portfolio of currencies substantially depreciating).14. Interest Rate Parity. Trellis ltd has determined that the interest rate on euros is 16 percent whilethe UK interest rate is 11 percent for one-year Treasury bills. The one-year forward rate of the euro has a discount of 7 percent. Does interest rate parity exist? Can Trellis achieve a higher effective yield by using covered interest arbitrage than by investing in UK Treasury bills? Explain.ANSWER: If interest rate parity (IRP) existed, the forward rate of the euro should have a discount reflecting the interest ratedifferential:(1 + 11%) – 1 = –4.31% (discount)=Forwarddiscount(1 + 16%)Since the euro’s actual discount exceeds that percentage, IRP does not exist. However, Dallas Company would achieve a lower effective yield if attempting covered interest arbitrage than if it invests in UK Treasury bills, because the euro’s forward discount more than offsets the interest rate differential.15. Diversified Investments. Hofstra ltd has no business outside the UK but has cash invested in sixEuropean countries, each of which uses the euro as its local currency. Are Hofstra’s short-term investments well diversified and subject to a low degree of exchange rate risk? Explain.ANSWER: The short-term investments are not well diversified, because the entire portfolio of investments is denominated in euros. If the euro weakens against the pound, the return on all short-term securities denominated in euros will decline from the perspective of the UK firm.16. Investing Strategy. Should McNeese ltd consider investing funds in Latin American countrieswhere it may expand facilities? The interest rates are high, and the proceeds from the investments could be used to help support the expansion. When would this strategy backfire?ANSWER: McNeese could benefit from investing at a high interest rate. However, this strategy could backfire if the currency weakens over time, because McNeese could have converted pounds later (at the time of expansion) at a more favourableexchange rate. The tradeoff is a higher interest rate if it invests funds now, versus a more favourable exchange rate if it invests funds later.17. Impact of a crisis. Palos SA (Spain) commonly invests some of its excess euros in foreigngovernment short-term securities in order to earn a higher short-term interest rate on its cash. Describe how the potential return and risk of this strategy may be affected by financial crisis.ANSWER: A financial crisis si likely to mean higher interest rates due to the greater risk. If the euros invested are excesss, then Palos might like to a certain extent to take the risk if it feels that the financial crisis is unwarranted. In this respect ti might use information from its local interests if there are any. Using specialist information in this way would lead to Palos earning excess returns as a reward for the information.Advanced Questions18. Investing in a Portfolio. Poppleton ltd plans to invest its excess cash in South African rand forone year. The one-year South African interest rate is 19 percent. The probability of the rand’s percentage change in value during the next year is shown below:Possible rate of change in the South African rand overthe life of theinvestmentProbability ofoccurrence-15% 20%-4 50%0 30%What is the expected value of the effective yield based onthis information? Given that the UKinterest rate for one year is 7 percent, what is the probability that a one-year investment in pesos will generate a lower effective yield than could be generated if Poppleton ltd simply invested domestically?ANSWER:Effective Yield if thisP ossible Rate of Rate of Change in theChange in Peso Probability Peso Does Occur –15% 20% (1.19) [1 + (–15%)] – 1 = 1.15% –4% 50% (1.19) [1 + (–4%)] – 1 = 14.24% 0% 30% (1.19) [1 + (0%)] – 1 = 19.00%E(r) = 20% (1.15%) + 50% (14.24%) + 30% (19.00%)= 0.23% + 7.12% + 5.70%= 13.05%There is a 20% probability that the rand’s effective yield will be less than the domestic yield.19. Effective Yield of Portfolio. Ithaca (Greece) considers placing 30 percent of its excess funds in a one-year Singapore dollar deposit and the remaining 70 percent of its funds in a one-year US dollar deposit. The Singapore one-year interest rate is 15 percent, while the US one-year interest rate is 10 percent. The possible percentage changes in the two currencies for the next year are forecasted as follows:currency Possible percentage change in the spot rate over the investmenthorizonProbability of that change in the spot rateoccurringSingapore dollar -2% 20%Singapore dollar 1 60Singapore dollar 3 20US dollar 1 50US dollar 4 40US dollar 6 10Given this information, determine the possible effective yields of the portfolio and the probability associated with each possible portfolio yield. Given a one-year euro interest rate of 8 percent, what is the probability that the portfolio’s effective yield will be lower than the yield achieved from investing in the United States? (assume that the movements on the two currencies are not correlated)ANSWER:Possible % Change Effective Yield Based on thein the Singapore Dollar% Change in the Singapore Dollar –2% (1.15) [1 + (–2%)] – 1 = 12.7%1% (1.15) [1 + (1%)] – 1 = 16.15%3% (1.15) [1 + (3%)] – 1 = 18.45%Possible % Change in Effective Yield Based on thethe US Dollar % Change in the US Dollar1% (1.13) [1 + (1%)] – 1 = 14.13%4% (1.13) [1 + (4%)] – 1 = 17.52%6% (1.13) [1 + (6%)] – 1 = 19.78%Possible JointEffective Yield Computation of Computation of EffectiveS$ C$ Joint Probability Yield of Portfolio12.7% 14.13% (20%)(50%) = 10% .3(12.7%) + .7(14.13%) =13.701%12.7 17.52 (20%)(40%) = 8% .3(12.7%) + .7(17.52%) = 16.074%12.7 19.78 (20%)(10%) = 2% .3(12.7%) + .7(19.78%) = 17.656%16.15 14.13 (60%)(50%) = 30% .3(16.15%) + .7(14.13%) =14.736%16.15 17.52 (60%)(40%) = 24% .3(16.15%) + .7(17.52%) =17.109%16.15 19.78 (60%)(10%) = 6% .3(16.15%) + .7(19.78%) =18.691%18.45 14.13 (20%)(50%) = 10% .3(18.45%) + .7(14.13%) =15.426%18.45 17.52 (20%)(40%) = 8% .3(18.45%) + .7(17.52%) =17.799%18.45 19.78 (20%)(10%) = 2% .3(18.45%) + .7(19.78%) =19.381%100%There is a 0% chance that the portfolio will generate a lower return than a euro investment (determined by the table above).。

《国际金融》习题及参考答案

《国际金融》习题及参考答案一、选择题1. 国际金融市场的核心是（）A. 国际货币市场B. 国际资本市场C. 国际外汇市场D. 国际黄金市场答案：C2. 以下哪种汇率制度属于固定汇率制度？（）A. 浮动汇率制度B. 币值盯住制度C. 管理浮动汇率制度D. 自由浮动汇率制度答案：B3. 以下哪个国家采用了独立货币政策？（）A. 美国B. 欧元区C. 日本D. 英国答案：A4. 国际收支平衡表中，经常账户包括以下哪项？（）A. 货物贸易B. 服务贸易C. 收益D. 以上都对答案：D二、判断题1. 国际货币基金组织（IMF）的主要任务是促进国际货币合作和平衡国际收支。

（）答案：正确2. 浮动汇率制度下，汇率完全由市场供求关系决定，不受政府干预。

（）答案：错误3. 国际金融市场一体化有利于全球资源的优化配置，提高金融市场的效率。

（）答案：正确4. 汇率上升，本币贬值，有利于出口，不利于进口。

（）答案：正确三、简答题1. 简述国际金融市场的功能。

答：国际金融市场的功能主要包括以下几点：（1）资金融通功能：国际金融市场为全球各国政府、企业及金融机构提供资金筹集和投资渠道。

（2）风险转移功能：国际金融市场通过金融衍生品等工具，为参与者提供风险转移和避险手段。

（3）价格发现功能：国际金融市场为各类金融产品提供价格发现机制，有助于市场参与者做出合理的投资决策。

（4）促进国际贸易和投资：国际金融市场为国际贸易和投资提供金融支持，降低交易成本，提高交易效率。

2. 简述固定汇率制度和浮动汇率制度的优缺点。

答：固定汇率制度优点：（1）降低汇率波动风险，有利于国际贸易和投资。

（2）有利于国内经济政策的稳定。

缺点：（1）可能导致资源配置扭曲。

（2）容易产生货币危机。

浮动汇率制度优点：（1）自动调节国际收支。

（2）减少政府干预，提高市场效率。

缺点：（1）汇率波动可能导致国际贸易和投资风险增加。

（2）可能引发货币危机。

四、计算题1. 假设我国某年国际收支平衡表如下：经常账户：出口100亿美元，进口80亿美元；资本账户：净流出10亿美元。

国际金融各章练习题及答案.doc

国际金融各章练习题及答案本教材练习题概况：第一章外汇与汇率一、单项选择题1、动态的外汇是指。

P1A、国际结算中的支付手段氏外国货币C、特别提款权D、国际汇兑2、静态的外汇是以表示的可用于国际之间结算的支付手段。

P1A、本国货币氏外国货币C、外国有价证券D、外国金币3、夕卜汇是在国外能得到偿付的货币债权，它具。

P2A、稳定性B.保值性C、可自由兑换性D、筹资性4、按外汇买卖交割期限划分，可分为。

P3A、自由外汇与记账外汇氏贸易外汇与非贸易外汇C、短期外汇与长期外汇D、即期外汇与远期外汇5、直接标价法。

P5A、是以一定单位的外国货币作为标准折算为本国货币来表示的汇率B、是以一定单位的本国货币作为标准折算为外国货币来表示的汇率C、是以美元为标准来表示各国货币的价格D、是以一定单位的本国货币作为标准折算为一定数额的外国货币来表示的汇率6、若某日外汇市场上A银行报价如下：美元/日元：119. 73欧元/美元：1. 1938Z先生要向A银行购入1欧元，要支付多少日元？P5A、142.93B、143. 7956C、100.0251D、100.62827、若某日外汇市场上A银行报价如下：美元/日元：119. 73/120. 13美元 / 加元：1. 1490/1. 1530Z先生要向A银行卖出10000日元，能获得多少加元？P5A、72.6E、72.20C、6. 30 D、5.658、金本位制下汇率的决定基础是。

P9A、金平价E、铸币平价C、绝对购买力平价D、相对购买力平价9、利率对汇率的变动影响有。

P12A、利率上升，本国汇率上升B、利率下降，本国汇率下降A、需比较国外汇率及本国的通货膨胀率而定D、无法确定10、人民币自由兑换的含义是。

P17A、经常项目的交易中实现的人民币自由兑换B＞资本项目的交易中实现的人民币自由兑换C、国内公民个人实现的人民币自由兑换D、经常项目和资本项目下都实现的人民币自由兑换二、名词解释题1、固定汇率：是指一国货币对另一国货币的汇率基本固定，同时将汇率的变动幅度限制在一个规定的较小范围内。

国际公司金融习题答案--第十九章

国际公司金融课后习题答案--第十九章第十九章课后习题参考答案1. 国际证券组合投资渠道有哪些？国际证券组合投资渠道主要有以下四种：（1）国际共同基金。

国际共同基金是指基金公司将基金认购人的资金不完全投资在国内市场，而将部分或全部资金投资到海外资本市场的共同基金。

（2）存托凭证。

是一种在某一国家证券市场流通的代表国外公司股票的可转让凭证。

（3）国家基金。

国家基金是指将全部资金专门投入到海外某一特定资本市场的基金。

（4）世界股票基准份额（WEBS）。

WEBS是美国机构复制国外股票市场指数的基金。

2. 为什么国家与国家之间的股票相关系数小于国家内部股票的相关系数？这对国际证券投资有何意义?国家与国家之间的股票相关系数小于国家内部股票的相关系数，直观上讲，这是因为经济、政治、体制，甚至是一些心理因素对股票收益的影响在国与国之间有很大的不同造成的。

此外，各国商业周期的相异性也会进一步降低国际相关性。

当一些投资者有机会进入外国资本市场，而且本国与外国资本市场相关程度远小于1时，一国投资者可以通过投资到那些和本国资本市场相关程度比较小的国家，大大降低组合投资风险。

3. 在实践中一般用哪些指标来衡量国际证券投资组合的绩效？在实践中一般使用夏普测度（Sharp measure，SHP）和特雷纳测度（Treynor measure，TRN）来衡量组合投资的绩效。

SHP和TRN越高，组合绩效越好；SHP和TRN越低，组合投资绩效越差。

SHP和TRN是用来衡量经风险调整后的预期收益率指标，它们表示的是每单位投资所带来的超过无风险收益率的预期超额收益率，只是两者用来衡量风险的指标不同：前者是采用证券组合的标准差，对证券组合的总风险进行调整；后者采用β值，对系统风险进行调整。

公式如下：式中，SHP和TRN分别表示证券组合的夏普测度和特雷纳测度，E(r p)、r f、σp分别表示证券组合的预期收益率、无风险收益率和证券组合的标准差。

中级经济师基础---第十九章-对外金融关系与政策

第十九章对外金融关系及政策第一节汇率制度学习要求：掌握汇率制度的概念、划分及影响汇率制度选择的因素。

掌握人民币汇率制度。

具体内容：一、汇率制度的含义及划分1、汇率制度的含义汇率制度是指各国对本国货币汇率变动的基本方式所做的一系列安排或规定。

2、汇率制度的划分传统上，国际汇率制度分为固定汇率制度和浮动汇率制度两种类型。

(1)固定汇率制度：各国货币受汇率平价的制约，市场汇率只能围绕平价在很小的幅度内上下波动的汇率制度。

历史上层出现两种固定汇率制度，即①金本位制度下的固定汇率：是自发的固定汇率制度。

(货币都及黄金挂钩)黄金输送点是汇率变动的上下限(外汇汇率始终在黄金输送点范围内波动)。

②布雷顿森林体系下的固定汇率制度：实行以美元为中心的人为的可调整的固定汇率制度。

(2)浮动汇率制度：是指没有汇率平价的制约，市场汇率随着外汇供求状况变动而变动的汇率制度。

在此汇率制度下，各国可以自行安排其汇率，形成多种汇率安排并存的国际汇率体系。

1999年，国际货币基金组织按照汇率弹性从小到大，将各国汇率制度分为：无单独法定货币、货币当局安排、传统盯住安排、水平区间盯住、爬行盯住、发行区间、事先不公布汇率目标的管理浮动、独立浮动。

【例题1：课后题第1题】在战后布雷顿森林体系下，实行的汇率制度是( )A人为的可调整的固定汇率制度B自发的可调整的固定汇率制度C人为的可调整的浮动汇率制度D人为的有管理的浮动汇率制度二、影响汇率制度选择的因素1、决定一个国家汇率制度的因素有：(1)经济开放程度(2)经济规模(3)国内金融市场的发达程度及其国际金融市场的一体程度(4)进出口贸易的商品结构和地域分布(5)相对的通货膨胀率2、经济开放程度越高、经济规模越小、进出口集中在某几种商品或某一国家的国家，一般倾向于固定汇率制度。

经济开放程度低、进出口商品多样化或地域分布分散化、同国际金融市场联系密切、资本流出流入较为客观和频繁，或国内通货膨胀率及其他主要国家不一致的国家，则倾向于实行浮动汇率制度。

HullOFOD9eSolutionsCh19第九版期权、期货及其他衍生品课后答案

ln( S0 K ) (01 0252 2)05 03712 025 05 The delta of the option is N (d1 ) or 0.64. d1
Problem 19.4. What does it mean to assert that the theta of an option position is −0.1 when time is measured in yt neither a stock price nor its implied volatility will change, what type of option position is appropriate?
A theta of 01 means that if t units of time pass with no change in either the stock price or its volatility, the value of the option declines by 01t . A trader who feels that neither the stock price nor its implied volatility will change should write an option with as high a negative theta as possible. Relatively short-life at-the-money options have the most negative thetas. Problem 19.5. What is meant by the gamma of an option position? What are the risks in the situation where the gamma of a position is large and negative and the delta is zero? The gamma of an option position is the rate of change of the delta of the position with respect to the asset price. For example, a gamma of 0.1 would indicate that when the asset price increases by a certain small amount delta increases by 0.1 of this amount. When the gamma of an option writer’s position is large and negative and the delta is zero, the option writer will lose significant amounts of money if there is a large movement (either an increase or a decrease) in the asset price. Problem 19.6. “The procedure for creating an option position synthetically is the reverse of the procedure for hedging the option position.” Explain this statement. To hedge an option position it is necessary to create the opposite option position synthetically. For example, to hedge a long position in a put it is necessary to create a short position in a put synthetically. It follows that the procedure for creating an option position synthetically is the reverse of the procedure for hedging the option position. Problem 19.7. Why did portfolio insurance not work well on October 19, 1987? Portfolio insurance involves creating a put option synthetically. It assumes that as soon as a portfolio’s value declines by a small amount the portfolio manager’s position is rebalanced by either (a) selling part of the portfolio, or (b) selling index futures. On October 19, 1987, the market declined so quickly that the sort of rebalancing anticipated in portfolio insurance schemes could not be accomplished. Problem 19.8. The Black-Scholes-Merton price of an out-of-the-money call option with an exercise price of $40 is $4. A trader who has written the option plans to use a stop-loss strategy. The trader’s plan is to buy at $40.10 and to sell at $39.90. Estimate the expected number of times the stock will be bought or sold. The strategy costs the trader 010 each time the stock is bought or sold. The total expected cost of the strategy, in present value terms, must be $4. This means that the expected number of times the stock will be bought or sold is approximately 40. The expected number of times it will be bought is approximately 20 and the expected number of times it will be sold is also approximately 20. The buy and sell transactions can take place at any time during the life of the option. The above numbers are therefore only approximately correct because of the effects of discounting. Also the estimate is of the number of times the stock is bought or sold in the risk-neutral world, not the real world.

国际财务管理答案Chap019

CHAPTER 19 MULTINATIONAL CASH MANAGEMENTSUGGESTED ANSWERS AND SOLUTIONS TO END-OF-CHAPTERQUESTIONS AND PROBLEMSQUESTIONS1. Describe the key factors contributing to effective cash management within a firm. Why is the cash management process more difficult in a MNC?Answer: An effective cash management system should be based on a cash budget that projects expected cash inflows and outflows over some planning horizon. It provides for the systematic receipt and disbursement of cash. It also provides for funds mobilization, where cash shortages are covered by borrowing at the most favorable rates and surplus funds are invested at the most advantageous rates. Within a MNC the complexity of the cash management process is compounded because the firm does business in a variety of currencies, and hence the cost of foreign exchange transactions is an additional dimension to be managed.2. Discuss the pros and cons of a MNC having a centralized cash manager handle all investment and borrowing for all affiliates of the MNC versus each affiliate having a local manager who performs the cash management activities of the affiliate.Answer: Under a centralized cash management system, the cash manager will have a global view of the cash requirements of the MNC. There will be less chance that funds will be mislocated, i.e., denominated in the wrong currency. Additionally, under a global view, transaction exposure for the MNC can be more efficiently managed. Moreover, a centralized system readily allows for investing excess cash at the most advantageous rates and borrowing to cover cash shortages at the most favorable rates.Under a decentralized system, the local cash manager is given more responsibility for managing the cash needs of the affiliate than under a centralized system. Consequently, the local cash management position serves as good training for higher level positions within the affiliate or MNC. Also, under a decentralized system, local bank relationships are better developed since the affiliate conducts more of its cash management functions at the local level. This may prove important if funds need to be borrowed locally. But overall, the benefits of a centralized cash management system tend to outweigh its disadvantages.3. How might a MNC use transfer pricing strategies? How do import duties affect transfer pricing policies?Answer: A MNC might use transfer pricing strategies for two basic purposes: income tax liability reduction or funds repositioning. If the tax rate in the country of the selling affiliate is less than the tax rate in the buying affiliate country, a high markup policy on sales will leave little taxable income in the buying affiliate country to be taxed at the higher rate. Even if the tax rate in the buying affiliate country is not more than that in the selling affiliate country, a high markup policy will leave less funds to be removed from the buying affiliate country. In general, import duties work in the opposite direction from income taxes. For example, a high markup policy will decrease the income taxes due in the buying affiliate country, but increase the import duty due in that country. Generally, the income tax is more important in comparison to the import duty in its after-tax effect on consolidated net income.4. What are the various means the taxing authority of a country might use to determine if a transfer price is reasonable?Answer: The U.S. and many other countries require the transfer price to be consistent with arm’s length pricing, i.e., be a price that an unrelated party would pay for the same good or service. The taxing authority can arbitrarily set the transfer price if it believes that transfer pricing schemes are being used to evade taxes or that taxable income is not being clearly reflected. There are three general methods to establish arm’s length pricing. One method is to use a comparable uncontrolled price at which the good or service would be priced between unrelated parties. A second method is the resale price approach; that is, reduce the price at which the good is resold by an amount sufficient to cover overhead costs and a reasonable profit for the selling affiliate. The third method is the cost-plus approach, where an appropriate profit is added to the cost of the manufacturing affiliate.5. Discuss how a MNC might attempt to repatriate blocked funds from a host country.Answer: There are several methods a parent firm might use to repatriate profits from an affiliate in a host country that is blocking funds. Some of these measures should be enacted early on as a guard against future funds blockage. One is to establish a regular dividend policy that the host country becomes used to and expects. This assumes, however, the host country will let a reasonable amount of funds be repatriated. If this is not the case, the parent firm might attempt to use a high markup policy transfer pricing scheme. Since host countries are aware of transfer pricing strategies, a large change in the transfer price is likely not to go unquestioned by the host country. Thus, the parent firm should establish early on recognition of, and payment for, specific services that are being provided by the affiliate in addition to payment at an arm’s length price for the physical goods. For example, the pare nt firm might charge for a share of worldwide advertising, technical training of employees of the affiliate, appropriate overhead charges, or a royalty or licensing fee for use of well-recognized brand names, technology, or patents. The host country might accept these charges as reasonable, whereas a large transfer price that incorporates all charges into a single price might be questioned as unreasonably large. Additionally, the parent firm can create exports, by having the affiliate charged in the blocked currency for goods and services for which the parent would typically pay, or through direct negotiation appeal to the host country for more reasonable treatment, if it is in an important industry to the host country.PROBLEMS1. Affiliate A sells 5,000 units to Affiliate B per year. The marginal income tax rate for Affiliate A is 25 percent and the marginal income tax rate for Affiliate B is 40 percent. The transfer price per unit is currently $2,000, but it can be set at any level between $2,000 and $2,400. Derive a formula to determine how much annual after-tax profits can be increased by selecting the optimal transfer price.Note To Instructor: The solution to this problem is consistent with the example presented in the text as Exhibit 19.13.Solution: Let τA and τB be the marginal income tax rate for Affiliate A and B. Further let Q denote quantity, and let P be the current transfer price per unit and P* be the optimal transfer price per unit. The increase in annual after-tax profit (or the tax savings) can be stated as Q(P - P*)(τA - τB). For each unit there is a tax savings of (τA - τB) on (P - P*). Using the above numbers, there is a tax savings of (.25 - .40) = .15 for each additional dollar of cost transferred from the low tax affiliate to the high tax affiliate. Thus, at the maximum there can be a $60 = ($2,000 - 2,400)(.25 - .40) tax savings per unit from raising the transfer price from $2,000 to $2,400. In total, the tax savings is 5,000 units x $60 = $300,000.2. Affiliate A sells 5,000 units to Affiliate B per year. The marginal income tax rate for Affiliate A is 25 percent and the marginal income tax rate for Affiliate B is 40 percent. Additionally, Affiliate B pays a tax-deductible tariff of 5 percent on imported merchandise. The transfer price per unit is currently $2,000, but it can be set at any level between $2,000 and $2,400. Derive (a) a formula to determine the effective marginal tax rate for Affiliate B and, (b) a formula to determine how much annual after-tax profits can be increased by selecting the optimal transfer price.Note to Instructor: The solution to this problem is consistent with the example presented in the text as Exhibit 19.14.Solution: This problem extends the work in problem 1, above. When the ad-valorem import tariff is tax deductible, the effective marginal tax rate paid by Affiliate B is:(1 + Tariff)τB - Tariff = (1 + .05)(.40) - .05 = .37. Hence, for each additional dollar of cost transferred from the low tax affiliate to the high tax affiliate there is an after-tax savings of: (P - P*)[τA + Tariff - (1 + Tariff) τB]. In total, the tax savings is:Q(P - P*)[τA + Tariff - (1 + Tariff) τB] = 5,000 x ($2,000 - 2,400)(.25 - .37) = 5,000 x $48 = $240,000.MINI CASE 1: EFFICIENT FUNDS FLOW AT EASTERN TRADING COMPANYThe Eastern Trading Company of Singapore purchases spices in bulk from around the world, packages them into consumer-size quantities, and sells them through sales affiliates in Hong Kong, the United Kingdom, and the United States. For a recent month, the following payments matrix of interaffiliate cash flows, stated in Singapore dollars, was forecasted. Show how Eastern Trading can use multilateral netting to minimize the foreign exchange transactions necessary to settle interaffiliate payments. If foreign exchange transactions cost the company .5 percent, what savings result from netting?Suggested Solution to Mini Case 1: Efficient Funds Flow at Eastern Trading CompanyBilateral NettingMultilateral NettingWithout netting, S$277,000 of interaffiliate foreign exchange transactions occur among the four affiliates of Eastern Trading. With multilateral netting, interaffiliate foreign exchange transactions are reduced to S$136,000, or by S$141,000. The savings are .005 x S$141,000 = S$705 for the planning period.MINI CASE 2: EASTERN TRADING COMPANY’S OPTIMAL TRAN SFER PRICING STRATEGYThe Eastern Trading Company of Singapore ships prepackaged spices to Hong Kong, the United Kingdom, and the United States, where they are resold by sales affiliates. Eastern Trading is concerned with what might happen in Hong Kong now that control has been turned over to China. Eastern Trading has decided that it should reexamine its transfer pricing policy with its Hong Kong affiliate as a means of repositioning funds from Hong Kong to Singapore. The following table shows the present transfer pricing scheme, based on a carton of assorted, prepackaged spices, which is the typical shipment to the Hong Kong sales affiliate. What do you recommend that Eastern Trading should do?Suggested Solution to Mini Case 2: Eastern Trading Company’s Optimal Transfer Pricing StrategyEastern Trading is currently in a good situation. Because the income tax rate in Hong Kong is less than in Singapore, Eastern Trading’s present low markup transfer price strategy results in larger pre-tax income in Hong Kong, which is taxed at only a 17.5% rate versus the 20% rate on taxable income in Singapore. If Eastern Trading is free to repatriate profits from Hong Kong, it defers paying the additional tax due (20% - 17.5% = 2.5%) in Singapore until the profits are actually repatriated. Nevertheless, the marginal tax rate on Hong Kong taxable income will eventually be 20% upon repatriation. Therefore, since Eastern Trading is concerned about repatriation under Chinese control of Hong Kong, it might attempt to increase its transfer price.If Eastern Trading is successful in increasing the transfer price, more of the taxable income per unit will be taxed at the current time in Singapore at 20%. A 25% increase in the transfer price would raise it from S$300 to S$375 per unit. At S$375, the split would be as follows:The higher transfer price would result in only S$64 left to be repatriated from Hong Kong instead of S$124.MINI CASE 3: EASTERN TRADING COMPANY’S NEW M.B.A.The Eastern Trading Company of Singapore presently follows a decentralized system of cash management where it and its affiliates each maintain their own transaction and precautionary cash balances. Eastern Trading believes that it and its affiliates’ cash needs are normally distr ibuted and independent from one another. It is corporate policy to maintain two and one-half standard deviations of cash as precautionary holdings. At this level of safety there is a 99.37 percent chance that each affiliate will have enough cash holdings to cover transactions.A new MBA hired by the company claims that the investment in precautionary cash balances is needlessly large and can be reduced substantially if the firm converts to a centralized cash management system. Use the projected information for the current month, which is presented below, to determine the amount of cash Eastern Trading needs to hold in precautionary balances under its current decentralized system and the level of precautionary cash it would need to hold under a centralized system. Was the new MBA a good hire?IM-11 Suggested Solution to Mini Case 3: Eastern Trading Company’s New M.B.A.Eastern Trading is holding S$350,000 to cover expected transactions and S$350,000 as precautionary balances among the four affiliates. In total, it is holding S$700,000 under its decentralized cash management system.If Eastern Trading views its cash needs from a portfolio perspective under a centralized cash management system, one portfolio standard deviation of cash would be:$71,063 S=) $35,000 (S + ) $40,000 (S + ) $25,000 (S + ) $40,000 (S =. Dev . Std Portfolio 2 2 2 2Hence, under a centralized system, Eastern Trading would continue to need S$350,000 to cover expected transactions, but precautionary cash balances could be reduced to $177,658 (= 2.5 x S$71,063). Thus, the investment in precautionary cash can be reduced by S$172,342 (= S$350,000 – 177,658). The new MBA was a good hire.。

际财务管理杰夫马杜拉第9版第十九章课后习题答案

Chapter 19Financing International TradeLecture OutlinePayment Methods for International TradePrepaymentLetters of CreditDraftsConsignmentAccountOpenTrade Finance MethodsAccounts Receivable FinancingFactoringLetters of CreditAcceptancesBanker’sWorking Capital FinancingMedium-Term Capital Goods Financing (Forfaiting) CountertradeAgencies that Motivate International Trade Export-Import Bank of the U.S.Private Export Funding Corporation (PEFCO)Overseas Private Investment Corporation (OPIC)2 Financing International TradeChapter ThemeThis chapter first suggests why international trade can be difficult. Then, it explains the various ways in which banking institutions can facilitate international trade by resolving problems faced by the exporter and importer.Topics to Stimulate Class Discussion1. Assume that you receive a call from an old friend who has set up a computer parts store. He says thathe plans to begin exporting these parts soon. What potential complications should he consider?2. Why do exporters sometimes sell off their banker’s acceptances? Would they be better off obtaininga short-term loan instead? What information is necessary to answer this question?3. What is the common role of a banking institution in international trade besides financing?POINT/COUNTER-POINT:Do Agencies that Facilitate International Trade Prevent Free Trade?POINT:Yes. The Export-Import Bank of the U.S. provides many programs to help U.S. exporters conduct international trade. The government is essentially subsidizing the exports. Governments in other countries have various programs as well. Thus, some countries may have a trade advantage because their exporters are subsidized in various ways. These subsidies distort the notion of free trade.COUNTER-POINT:No. It is natural for any government to facilitate exporting for relatively inexperienced exporting firms. All governments provide a variety of services for their firms, including public services, and tax breaks for producing products that are ultimately exported. There is a difference between facilitating the exporting process and versus protecting an industry from foreign competition. The protection of an industry violates the notion of free trade, but facilitating the exporting process does not.WHO IS CORRECT?Use the Internet to learn more about this issue. Which argument do you support? Offer your own opinion on this issue.ANSWER:This issue will lead to many conflicting answers. Students will vary in what they perceive as free trade. Is it appropriate for a country to promote free trade while it indirectly subsidizes some firms that export products? Every country could be criticized for subsidizing its exporters in some way. There is no perfect answer but students should realize that governments subsidize firms but simultaneously complain if other governments use a similar strategy.Answers to End of Chapter Questions1.Banker’s Acceptances.a. Describe how foreign trade would be affected if banks did not provide trade-related services.b. How can a banker’s acceptance be beneficial to an exporter, an importer, and a bank?Financing International Trade 3 ANSWER: Foreign trade would be reduced without the trade-related services by banks, because some trade can only occur if banks back the transaction with bankers acceptances.A banker’s acceptance guarantees payment to the exporter so that credit risk of the importer is notworrisome. It allows the importers to import goods without being turned down due to uncertainty about their credit standing. It is a revenue generator for the bank since a fee is received by the bank for this service.2.Export Financing.a. Why would an exporter provide financing for an importer?b. Is there much risk in this activity? Explain.ANSWER: An exporter could increase sales by allowing the importer to pay at a future date. There may be high credit risk incurred by the exporter here, especially if the importer is an unknown small firm.3. Role of Factors. What is the role of a factor in international trade transactions?ANSWER: A factor can relieve the exporter of the worry about the credit risk of the importer. In return, the factor is rewarded by being able to purchase the accounts receivables at a lower price than their cash value.4. Export-Import Bank. a) What is the role today of the Export-Import Bank of the U.S.? b) Describethe Direct Loan Program administered by the Export-Import Bank.ANSWER: The role today is to finance and facilitate the export of American goods and to strengthen the competitiveness of U.S. industries involved in foreign trade.Under the Direct Loan Program, the Eximbank provides long-term loans to foreign buyers topurchase U.S. goods. The loan rates are channeled through banks, which serve as the intermediaries.5. Bills of Lading. What are bills of lading, and how do they facilitate international trade transactions?ANSWER: Bills of lading provide a receipt for shipment, a summary of freight charges, and convey title to the merchandise.6. Forfaiting. What is forfaiting? Specify the type of traded goods for which forfaiting is applied.ANSWER: A forfaiting transaction involves an importer that issues a promissory note to pay for the imported capital goods over a period of three to seven years or so. Notes are extended to the exporter who sells them at a discount to a forfaiting bank.7. PEFCO. Briefly describe the role of the Private Export Funding Corporation (PEFCO).ANSWER: PEFCO provides medium- and long-term credit to importers of U.S. goods and services.8. Government Programs. This chapter described many forms of government insurance and guaranteeprograms. What motivates a government to establish so many programs?4 Financing International TradeANSWER: Governments may be able to boost exports by establishing policies that either protect the exporters from various types of risk or encourage lenders to provide financing to the exporters.9. Countertrade. What is countertrade?ANSWER: Countertrade involves the sale of goods to one country in exchange for goods from that country.10. Impact of September 11. Every quarter, Bronx Co. ships computer chips to a firm in central Asia. Ithad not used any trade financing because the importing firm always pays its bill in a timely manner upon receipt of the computer chips. After the September 11, 2001 terrorist attack on the U.S., it reconsidered whether it should use some form of trade financing that would ensure that it would be paid for its exports upon delivery. Offer a suggestion to Bronx Co. on how it could achieve its goal.ANSWER: It could use banker’s acceptances in which a bank would guarantee the payment by the importer.11. Working Capital Guarantee Program. Briefly describe the Working Capital Guarantee Programadministered by the Export-Import Bank.ANSWER: The Working Capital Guarantee Program allows exporters to obtain short-term loans from commercial banks that are guaranteed by the Eximbank. This protects the commercial banks against default risk of the exporter and makes it easier for exporters to obtain loans.12. Small Business Policy. Describe the Small Business Policy.ANSWER: The Small Business Policy provides enhanced coverage against credit risk to newexporters and small businesses.13. OPIC. Describe the role of the Overseas Private Investment Corporation (OPIC).ANSWER: The OPIC insures direct U.S. investments in foreign countries against the risks ofcurrency inconvertibility, expropriation, and other potential risks; it also offers insurance coverage for exporters that bid on foreign contracts.Advanced Questions14. Letters of Credit. Ocean Traders of North America is a firm based in Mobile, Alabama, thatspecializes in seafood exports and commonly uses letters of credit (L/Cs) to ensure payment. Itrecently experienced a problem, however. Ocean Traders had an irrevocable L/C issued by a Russian bank to ensure that it would receive payment upon shipment of 16,000 tons of fish to a Russian firm.This bank backed out of its obligation, however, stating that it was not authorized to guaranteecommercial transactions.a. Explain how an irrevocable L/C would normally facilitate the business transaction between theRussian importer and Ocean Traders of North America (the U.S. exporter).ANSWER: The letter of credit was issued by a Russian bank to guarantee payment for the goods to be exported by the U.S. exporter.Financing International Trade 5b. Explain how the cancellation of the L/C could create a trade crisis between the U.S. and Russianfirms.ANSWER: If exporting firms can not rely on letters of credit, they must resort to trusting thecounterparty in the trade agreement. This will reduce trade, because exporters frequently do not know much about the counterparty.c. Why do you think situations like this (the cancellation of the L/C) are rare in industrializedcountries?ANSWER: Governments or regulators have a vested interest in ensuring that banks follow through on letters of credit. Otherwise, there would be a reluctance to conduct trade in any country that does not back its guarantees.d. Can you think of any alternative strategy that the U.S. exporter could have used to protect itselfbetter when dealing with a Russian importer?ANSWER: The U.S. exporter could have attempted to obtain a letter of credit from a U.S. bank, with the responsibility placed on the U.S. bank to guarantee payment. In this case, the U.S. bank would have been put in a position to demand payment from the Russian importer or the importer’s Russian bank.Solution to Continuing Case Problem: Blades, Inc.1.Assuming that banks in Thailand issue a time draft on behalf of Sports Equipment Inc. and MajorLeagues Inc., would Blades receive payment for its roller blades before it delivers them? Do the banks issuing the time drafts guarantee payment on behalf of the Thai retailers if they default on the payment?ANSWER: No, Blades would not receive payment before it delivers roller blades to SportsEquipment Inc. and Major Leagues Inc. if banks in Thailand issue a time draft on the retailers’ behalf.The usual time of payment under a time draft is the maturity of the draft, and Blades relies on the retailers to pay the drafts at maturity.No, the banks issuing the time drafts do not guarantee payment on behalf of the Thai retailers if they default on the payment. The draft merely represents Blades’ formal demand for payment from the buyer and affords Blades’ less protection than a letter of credit, since the banks are not obligated to honor payments on the buyer’s behalf.2.What payment method should Blades suggest to Sports Gear Inc.? Substantiate your answer.ANSWER: Blades should suggest to Sports Gear Inc. that its bank issue a letter of credit on its behalf.In a letter of credit, the bank is substituting its credit for that of the buyers, and Blades would be assured of receiving payment from the issuing bank as long as it presents the necessary documents in accordance with the L/C. The issuing bank is then obligated to honor drawings under the L/C. On the other hand, Sports Gear Inc. does not have to pay for the goods until shipment has been made and documents are presented in good order.6 Financing International Trade3.What organization could Blades contact in order to insure its sales to the Thai retailers? What type ofinsurance do these organizations provide?ANSWER: Blades could contact the Export-Import Bank of the U.S. (Eximbank), which provides insurance protection against the risk of nonpayment by foreign buyers. Under such insurancecoverage, Eximbank will reimburse Blades between 90 and 100 percent of the insured amount,depending on the type of policy and buyers.4.How could Blades use accounts receivable financing or factoring, considering that it does notcurrently have accounts receivable in Thailand? If Blades uses a Thai bank to obtain this financing, how do you think the fact that Blades does not have receivables in Thailand would affect the terms of the financing?ANSWER: Blades could use accounts receivable financing and factoring using its accountsreceivable in the U.S. Using accounts receivable financing, Blades could obtain a loan from a bank that would be secured by an assignment of the accounts receivables. Using factoring, Blades could sell the U.S. accounts receivable to a factor. Either approach is probably available to Blades if it decides to use a U.S. bank. However, it could also attempt to conduct accounts receivable financing of factoring of its U.S. receivables using a bank in Thailand.Thai banks may consider the assignment of foreign receivables less attractive than the assignment of domestic receivables and may require high interest rates (accounts receivable financing) or discount the receivables heavily (factoring).5.Assuming that Blades is unable to locate a Thai bank that is willing to issue an L/C on Blades behalf,can you think of a way Blades could utilize its bank in the U.S. to effectively obtain an L/C from a Thai bank?ANSWER: Blades could inquire whether its U.S. bank has a correspondent bank in Thailand. In that case, the Thai bank may be willing to accept a letter of credit issued by Blades’ U.S. bank on Blades’ behalf.6.What organizations could Blades contact to obtain working capital financing? If Blades is unable toobtain working capital financing from these organizations, what are its other options to finance its working capital needs in Thailand?ANSWER: There are several organizations Blades could contact to obtain working capital financing.For example, the Eximbank’s Working Capital Guarantee Program encourages commercial banks to extend short-term financing by providing a comprehensive guarantee that covers 100 percent of the loan’s principal and interest. Furthermore, the Overseas Private Investment Corporation (OPIC) will provide medium- to long-term financing to U.S. investors undertaking an overseas venture.If Blades is unable to obtain working capital financing from these organizations, it could ask its bank for a short-term loan that finances the working capital cycle that begins with the purchase ofinventory and continues with the sale of the goods, creation of an account receivable, and conversion to cash.Solution to Supplemental Case: Ryco Chemical CompanyFinancing International Trade 7a. Ryco could attempt to work out a countertrade agreement. Ryco could provide chemicals thatConcellos needs in exchange for the chemicals that Ryco normally purchases from Concellos.Ryco could benefit because its cost of importing some chemicals would no longer be tied toBrazilian inflation. Instead its cost would be tied to its own cost of producing the chemicals itmust exchange for the imports. If Concellos would agree to the countertrade agreement, Rycomay be able to stabilize its cost of imports, which could reduce the uncertainty surrounding cash flows and profitability.b. Concellos is exposed to the weak currency (called the real). If it purchases the chemicals used inproduction from Ryco, its cost will not be affected by the real’s exchange rate (as it couldpurchase the U.S. goods through a countertrade agreement). Thus, it may be able to stabilize its cost of imports in this matter.c. Concellos’ cost of obtaining imports is the cost of producing the chemicals it uses for exchange(based on the countertrade agreement). Given high inflation in Brazil, these production costs will rise. However, it may be able to raise its prices on its final products by the inflation rate to cover its higher costs of production. Overall, it will be able to offset these higher costs easier thanoffsetting the higher costs that would result from exchange rate effects. Since its competitorsbase their prices on local cost of production (as they are not exposed to a weak exchange raterisk), Concellos would now incur costs that are more similar to those of its competitors.Small Business DilemmaEnsuring Payment for Products Exported by the Sports Exports Company1. How could Jim use a letter of credit to ensure that he will be paid for the products he exports?ANSWER: A letter of credit could be issued by a bank on behalf of the distributor promising to pay the Sports Exports Company upon presentation of shipping documents. In this way, the letter of credit substitutes its credit standing for that of the distributor.2. Jim has discussed the possibility of expanding his export business through a second sportinggoods distributor in the United Kingdom; this second distributor would cover a different territory than the first distributor. This second distributor is only willing to engage in a consignmentarrangement when selling footballs to retail stores. Explain the risk to Jim beyond the typicaltypes of risk he incurs when dealing with the first distributor. Should Jim pursue this type ofbusiness?ANSWER: With a consignment arrangement, the Sports Exports Company would retain title to the merchandise. Thus, it would not receive payment until after the second distributor sold thefootballs. Also, even if the second distributor does sell the footballs but fails to pay for them, the Sports Exports Company has limited recourse.Jim should probably avoid the consignment arrangement because of the risk involved.。

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第十九章课后习题参考答案1. 国际证券组合投资渠道有哪些？国际证券组合投资渠道主要有以下四种：（1）国际共同基金。

国际共同基金是指基金公司将基金认购人的资金不完全投资在国内市场，而将部分或全部资金投资到海外资本市场的共同基金。

（2）存托凭证。

是一种在某一国家证券市场流通的代表国外公司股票的可转让凭证。

（3）国家基金。

国家基金是指将全部资金专门投入到海外某一特定资本市场的基金。

（4）世界股票基准份额（WEBS）。

WEBS是美国机构复制国外股票市场指数的基金。

此外，各国商业周期的相异性也会进一步降低国际相关性。

SHP和TRN越高，组合绩效越好；SHP和TRN越低，组合投资绩效越差。

4. 有人说：“国际金融市场一体化进程的不断发展会削弱国际证券组合投资所带来的好处。

”请说说你的看法。

一国投资者进行国际证券投资的目的是为了更进一步的降低投资风险和提高投资收益。

但是在20世纪70年代中期之前，各国投资者很少投资国外资本市场，这主要是各国在国际资本流动上设置了众多的障碍。

随着各国外汇市场的不断开放和和资本管制的逐步放松，国际证券投资规模越来越大，各国投资者发现进行国际证券投资可以更好的分散风险。

而且国内、国际证券相关程度越低，证券组合的风险分散效果越明显。

但是当各国的资本市场之间的相关程度越来越高，国际证券投资就不再能导致风险的显著下降。

因此随着国际金融市场一体化进程的不断发展，国际证券组合投资带来的好处可能会削弱。

5. 假设有两只国际共同基金，基金A和基金B。

其中基金A的年平均收益率为20％，标准差为10％，基金B的年平均收益率为15％，标准差为5％，年平均无风险利率为5％，请利用夏普测度来判定两个基金的优劣。

=1.5=2基金A和基金B的夏普测度分别为1.5和2，依据夏普测度，基金B的风险调整收益要好于基金A。

6. 假设国际共同基金A和基金C的年平均收益率分别为20%和8%，β值分别为2和0.8，市场组合的平均收益率为9%，年平均无风险收益率为5%，请利用特雷诺测度来比较基金A 和基金C，并把他们与市组合进行比较。

0.0750.03750.04基金A和基金C的特雷诺测度分别等于0.075和0.0375，市场指数的特雷诺测度为0.04，因此基金A的表现好于基金C和市场表现，而基金C的表现不如市场表现。

7. 如果某一投资者将80%的资金购买了一只本国股票，20%的资金购买了一只外国股票，本国股票的标准差为15%，外国股票的标准差为18%，本国股票与外国股票之间的相关系数为0.5，请问：该投资者证券组合的标准差为多少？≈14.15%8. 若某一年美国S & P500指数年度收益率为10%，标准差为15%；用美元衡量的欧、澳、远东股票市场指数（EAFE）年度收益率为12%，标准差为16%，两者的相关系数为0.56，请问：（1）若一美国投资者将资金的一半投资在S & P500指数上，另一半投资在EAFE市场指数，请计算该投资者证券组合回报率和标准差；（2）如果两个市场的相关系数为0.7，该投资者证券组合的回报率和标准差又如何呢?(1)投资者证券组合回报率如下=0.5×0.1+0.5×0.12=0.11投资者证券组合标准差如下≈13.68%（2）投资者证券组合回报率如下=0.5×0.1+0.5×0.12=0.11投资者证券组合标准差如下≈14.29%9. 在一架飞机上，有三个分别来自印度、美国、法国的男子坐在一起聊天，他们谈到了国际股票市场情况。

美国人说：“我都不知道印度有股票市场？我对印度根本不了解，印度的首度在哪儿呀？我绝对不会将资金投资到印度股票市场的。

”法国人说：“我也不会将资金投资到印度，但也不会将资金投资到美国市场。

当地市场总会偏袒当地投资者，对外国投资者购买当地股票有歧视，而且，法国的会计报表编制方法和美国、印度并不相同，我看不懂这些市场的会计报表。

”印度人说：“我也不会将资金投到除印度股票市场以外的地方，我只了解印度股票市场，为什么要去美国和法国投资啊？我对这些国家公司并不熟悉。

”如果你是旁观者，你如何说服他们在国际股票市场投资呢。

在本案例中，三人均表现出对本国市场的偏好，可能这是由于交易成本、信息不对称等原因所引起。

但是，证券组合投资理论表明，证券组合所包含的证券之间相关性越小，证券组合风险分散效果越好。

由于不同国家股票市场之间的相关程度要低于一国国内股票之间的相关程度，所以，进行国际证券组合投资可以达到更好的风险分散目的。

10. 国际公司生产经营范围广泛，一国投资者是否可以通过购买本国的跨国公司股票来达到国际分散化投资目的？Solnik（1978年）和Dada、Williams（1993年）证实了持有国内跨国公司股份并不能够很好地替代国际证券组合分散化投资。

他们认为国际公司股票价格会更加强烈地受到国内市场指数的影响。

Rowland和Tesar（1998年）针对居住在加拿大、法国、德国、意大利、英国和美国的投资者，分析了购买本国国际公司股票和投资外国市场指数的不同。

他们发现，对于大多数国家和时间段而言，国际公司并不会给国内股票的证券组合提供风险分散的好处，但是外国股票的确可以给国内股票的证券组合提供风险分散的益处。

11. 一国投资者购买国家基金会有什么好处?首先，为国内个人投资者提供了国际分散化投资的手段。

其次，设立国家基金的资产管理公司的专业化投资会为投资人带来更高的投资收益。

最后，有些新兴市场国家只允许国家基金等机构投资者进行投资。

12. 请比较国际证券分散化投资手段DR和国家基金各有什么优缺点？国家基金的优点：（1）为国内个人投资者提供了国际分散化投资的手段。

（2）设立国家基金的资产管理公司的专业化投资会为投资人带来更高的投资收益。

（3）有些新兴市场国家只允许国家基金等机构投资者进行投资。

国家基金的缺点：（1）国家基金价格变化对美国股市变化更敏感。

（2）折、溢价情况普遍，且波动剧烈。

DR的优点：为国内个人投资者提供了国际分散化投资的手段，节约交易成本，还可以享受快速而可靠的披露、结算和保管服务。

DR的缺点：大部分的DR来自发达国家，通过DR把投资分散于新兴市场的机会是有限的。

DR和国家基金作为两种国际分散投资的手段，国际基金很有可能提供更完全的证券组合分散，但是所获的潜在收益很有可能被溢价和折价所抵减。

13. 欧元的出现对国际证券分散化投资产生了什么影响？欧元的出现使欧洲国家的金融市场的联系更加紧密，一体化程度更高，欧洲国家之间的证券市场的相关性提高。

众所周知，证券市场之间的相关程度越低，证券组合的风险分散效果越明显。

但是当各国的资本市场之间的相关程度越来越高，国际证券投资就不再能导致风险的显著下降。

因此随着欧元的出现，欧洲金融市场一体化进程的不断发展，国际证券分散化投资不会再带来更多的好处。

14. 请谈谈你如何理解“本国偏好之谜”的概念。

尽管国际证券组合投资理论表明一国投资者应该将资金尽量分散投资到国外资本市场，以充分分享国际证券组合的好处，但实际中，投资者将绝大部分资金投资在本国资本市场，而只将极少部分资金投资海外市场，这违背了国际证券组合投资理论。

这种现象称为“本国偏好之谜”。

15. 信息不对称可以解释“本国偏好之谜”吗？经济学家们试图从信息不对称的角度对本国偏好现象进行解释，虽然有助于理解本国偏好之谜，但是无法取得共识。

信息不对称理论认为投资者从企业提供的资料中获取的信息准确程度是不一样的，而国内投资者在这方面更有优势。

信息不对称理论及其所引生出来的距离理论在一定程度上解释了本国偏好之迷，但不能解释在机构投资者拥有较高的素质和理性分析能力的美国也会产生本国偏好之迷，这是其缺陷。

16. 行为金融理论在解释“本国偏好之谜”更有优势吗？行为金融的兴起为“本国偏好之谜”提供了新的视角。

French和Poterba (1991)在解释“本国偏好之谜”时，认为投资者行为是引起本国偏好的重要原因。

他们认为，投资者对各国资产收益率的预期存在偏差，一般都普遍认为本国市场收益率要高于其他国家。

另外，投资者可能并不是基于收益和方差的历史资料来估算投资组合的风险，而是赋予外国投资以特别的风险，因为他们对外国市场、制度和企业知之甚少。

投资者因此更愿意持有本国股票而不愿意投资海外股票市场。

Fellner和Maciejovsky (2003)认为，人的社会身份和民族归属感可能是引起本国偏好的一个因素，强烈的民族归属感促使投资者更愿意购买本国公司股票而不愿意投资海外市场。

行为金融研究也许会对“本国偏好之谜”提供更好更合理的解释。