投资学模拟试题第十套
《投资学》考试题库及答案
《投资学》考试题库及答案投资学考试题库及答案1. 什么是投资学？投资学是研究投资行为和投资决策的学科。
它涉及到资金的配置和管理，以及分析市场和资产的风险与回报。
2. 请列举投资学中常见的投资工具和资产类别。
- 投资工具：股票、债券、期货合约、期权合约等。
- 资产类别：股票、债券、商品、房地产等。
3. 什么是现金流量？为什么它在投资决策中很重要？- 现金流量指的是某一时间段内产生或支出的现金金额。
- 它在投资决策中很重要，因为投资决策的目的是为了获得更多现金流入。
分析现金流量可以帮助投资者评估投资项目的盈利能力和风险。
4. 请解释什么是投资回报率（ROI）？如何计算ROI？- 投资回报率是用于衡量投资项目的收益率的指标。
- 计算ROI的公式是（投资收益 - 投资成本）/ 投资成本 ×100%。
5. 什么是资本资产定价模型（CAPM）？它有什么作用？- 资本资产定价模型是一种用于估计资产预期回报的模型。
- 它的作用是帮助投资者确定资产的合理价格，并衡量资产的系统风险。
6. 请解释什么是分散投资？为什么分散投资可以降低投资风险？- 分散投资指的是将投资分散到不同的资产或资产类别中。
- 分散投资可以降低投资风险，因为不同资产之间的回报通常是不相关的。
当一个资产表现不佳时，其他资产的回报可能会抵消这种损失。
7. 请说明什么是投资组合？如何构建一个优化的投资组合？- 投资组合是指将多个不同的资产组合在一起形成的投资策略。
- 构建一个优化的投资组合需要考虑资产的回报和风险，以及投资者的目标和偏好。
通过有效的资产分配和风险调整，可以最大化投资组合的回报并降低风险。
8. 请解释什么是市场效率假设？它对投资者有什么影响？- 市场效率假设认为市场价格已经反映了所有可获得的信息，投资者无法通过分析市场信息获得超额收益。
- 对投资者而言，市场效率假设表明他们需要依赖其他策略来获取超越市场平均水平的收益，如选择合适的资产配置和分散投资。
上财投资学教程第二版课后练习第10章习题集
上财投资学教程第二版课后练习第10章习题集(总18页)--本页仅作为文档封面，使用时请直接删除即可----内页可以根据需求调整合适字体及大小--习题集一、判断题（40题）：1.股市的运行和发展植根于宏观经济环境，同时股市的活动又会对宏观经济产生影响。
因此，股市运行与宏观经济运行应当基本一致。
（）2．宏观经济运行是一个动态的过程。
在这一过程中，一些经济变量会以周期性的方式变动。
（）3．经济周期的平均长度为 40 个月的周期，一般被称为中周期。
（）4．经济周期的长度为 50年左右的循环，被称为“康德拉耶夫”周期。
（）5．银行提供的优惠利率属于先行指标。
（）6．与经济周期的可预测性相比，股票市场的周期性涨跌的可预测性却较差。
（）7．财政政策是指货币当局为实现既定的经济目标，运用各种工具调节货币供应和利率，进而影响宏观经济的运行状态的各类方针和措施的总和。
（）8．扩张性货币政策是通过降低利率，扩大信贷以增加货币供应量，刺激社会总需求增长。
（）9．紧缩性货币政策是通过降低利率，扩大信贷规模来增加货币供应量，以刺激总需求的增长。
（）10．调整法定存款准备金率是实施财政政策所运用的工具之一。
（）11．在经济过度扩张，社会需求过度膨胀，社会总需求大于社会总供给时，政府常常运用扩张性货币政策。
（）12．紧缩性财政政策的目的在于，当经济增长强劲，价格水平持续上涨时，通过提高政府购买水平，提高转移支付水平，降低税率，以减少总需求，抑制通货膨胀。
（）13．短期财政政策的目标一般是促进经济稳定增长，主要是通过发挥财政政策的“相机抉择”功能，调节宏观经济的运行，进而影响股票市场运行的。
（）14．一般而言，利率与证券市场表现为正相关。
利率上升将对上市公司造成正面影响。
（）15．温和、稳定的通货膨胀对证券价格上扬有推动作用。
（）16．股票价格指数是滞后指标。
因为股价是对公司综合实力的后续体现。
（）制度是一国在货币已实现完全可自由兑换、资本项目已开放的情况下，有限度地引进外资、进一步开放资本市场的一项过渡性的制度。
投资学10版习题答案10
投资学10版习题答案10CHAPTER 10: ARBITRAGE PRICING THEORY ANDMULTIFACTOR MODELS OF RISK AND RETURNPROBLEM SETS1. The revised estimate of the expected rate of return on the stock would be theold estimate plus the sum of the products of the unexpected change in eachfactor times the respective sensitivity coefficient:Revised estimate = 12% + [(1 × 2%) + (0.5 × 3%)] = 15.5%Note that the IP estimate is computed as: 1 × (5% - 3%), and the IR estimate iscomputed as: 0.5 × (8% - 5%).2. The APT factors must correlate with major sources of uncertainty, i.e., sourcesof uncertainty that are of concern to many investors. Researchers shouldinvestigate factors that correlate with uncertainty in consumption andinvestment opportunities. GDP, the inflation rate, and interest rates are amongthe factors that can be expected to determine risk premiums. In particular,industrial production (IP) is a good indicator of changes in the business cycle.Thus, IP is a candidate for a factor that is highly correlated with uncertaintiesthat have to do with investment and consumption opportunities in theeconomy.3. Any pattern of returns can be explained if we are free to choose an indefinitelylarge number of explanatory factors. If a theory of asset pricing is to havevalue, it must explain returns using a reasonably limited number ofexplanatory variables (i.e., systematic factors such as unemployment levels,GDP, and oil prices).4. Equation 10.11 applies here:E(r p) = r f + βP1 [E(r1 ) -r f ] + βP2 [E(r2 ) –r f]We need to find the risk premium (RP) for each of the two factors:RP1 = [E(r1 ) -r f] and RP2 = [E(r2 ) -r f]In order to do so, we solve the following system of two equations with two unknowns: .31 = .06 + (1.5 ×RP1 ) + (2.0 ×RP2 ).27 = .06 + (2.2 ×RP1 ) + [(–0.2) ×RP2 ]The solution to this set of equations isRP1 = 10% and RP2 = 5%Thus, the expected return-beta relationship is10-1Copyright © 2014 McGraw-Hill Education. All rights reserved. No reproduction or distribution without the prior writtenE(r P) = 6% + (βP1× 10%) + (βP2× 5%)10-2Copyright © 2014 McGraw-Hill Education. All rights reserved. No reproduction or distribution without the prior written5. The expected return for portfolio F equals the risk-free rate since its betaequals 0.For portfolio A, the ratio of risk premium to beta is (12 − 6)/1.2 = 5For portfolio E, the ratio is lower at (8 – 6)/0.6 = 3.33This implies that an arbitrage opportunity exists. For instance, you can createa portfolio G with beta equal to 0.6 (the same as E’s) by combining portfolio Aand portfolio F in equal weights. The expected return and beta for portfolio G are then:E(r G) = (0.5 × 12%) + (0.5 × 6%) = 9%βG = (0.5 × 1.2) + (0.5 × 0%) = 0.6Comparing portfolio G to portfolio E, G has the same beta and higher return.Therefore, an arbitrage opportunity exists by buying portfolio G and selling an equal amount of portfolio E. The profit for this arbitrage will ber G–r E =[9% + (0.6 ×F)] - [8% + (0.6 ×F)] = 1%That is, 1% of the funds (long or short) in each portfolio.6. Substituting the portfolio returns and betas in the expected return-betarelationship, we obtain two equations with two unknowns, the risk-free rate (r f) and the factor risk premium (RP):12% = r f + (1.2 ×RP)9% = r f + (0.8 ×RP)Solving these equations, we obtainr f = 3% and RP = 7.5%7. a. Shorting an equally weighted portfolio of the ten negative-alpha stocksand investing the proceeds in an equally-weighted portfolio of the 10positive-alpha stocks eliminates the market exposure and creates azero-investment portfolio. Denoting the systematic market factor as R M,the expected dollar return is (noting that the expectation of nonsystematicrisk, e, is zero):$1,000,000 × [0.02 + (1.0 ×R M)] - $1,000,000 × [(–0.02) + (1.0 ×R M)]= $1,000,000 × 0.04 = $40,000The sensitivity of the payoff of this portfolio to the market factor is zerobecause the exposures of the positive alpha and negative alpha stockscancel out. (Notice that the terms involving R M sum to zero.) Thus, thesystematic component of total risk is also zero. The variance of theanalyst’s profit is not zero, however, since this portfolio is not welldiversified.10-3Copyright © 2014 McGraw-Hill Education. All rights reserved. No reproduction or distribution without the prior written10-4Copyright © 2014 McGraw-Hill Education. All rights reserved. No reproduction or distribution without the prior writtenFor n = 20 stocks (i.e., long 10 stocks and short 10 stocks) the investor will have a $100,000 position (either long or short) in each stock. Net marketexposure is zero, but firm-specific risk has not been fully diversified. The variance of dollar returns from the positions in the 20 stocks is20 × [(100,000 × 0.30)2] = 18,000,000,000The standard deviation of dollar returns is $134,164.b. If n = 50 stocks (25 stocks long and 25 stocks short), the investor will havea $40,000 position in each stock, and the variance of dollar returns is50 × [(40,000 × 0.30)2] = 7,200,000,000The standard deviation of dollar returns is $84,853.Similarly, if n = 100 stocks (50 stocks long and 50 stocks short), theinvestor will have a $20,000 position in each stock, and the variance ofdollar returns is100 × [(20,000 × 0.30)2] = 3,600,000,000The standard deviation of dollar returns is $60,000. Notice that, when the number of stocks increases by a factor of 5 (i.e.,from 20 to 100), standard deviation decreases by a factor of 5= 2.23607 (from $134,164 to $60,000).8. a.)(σσβσ2222e M +=88125)208.0(σ2222=+⨯=A50010)200.1(σ2222=+⨯=B97620)202.1(σ2222=+⨯=Cb. If there are an infinite number of assets with identical characteristics, thena well-diversified portfolio of each type will have only systematic risksince the nonsystematic risk will approach zero with large n. Eachvariance is simply β2 × market variance:222Well-diversified σ256Well-diversified σ400Well-diversified σ576A B C ;;;The mean will equal that of the individual (identical) stocks.c. There is no arbitrage opportunity because the well-diversified portfoliosall plot on the security market line (SML). Because they are fairly priced,there is no arbitrage.9. a. A long position in a portfolio (P) composed of portfolios A and B willoffer an expected return-beta trade-off lying on a straight line betweenpoints A and B. Therefore, we can choose weights such that βP = βC butwith expected return higher than that of portfolio C. Hence, combining Pwith a short position in C will create an arbitrage portfolio with zeroinvestment, zero beta, and positive rate of return.b. The argument in part (a) leads to the proposition that the coefficient of β2must be zero in order to preclude arbitrage opportunities.10. a. E(r) = 6% + (1.2 × 6%) + (0.5 × 8%) + (0.3 × 3%) = 18.1%b.Surprises in the macroeconomic factors will result in surprises in thereturn of the stock:Unexpected return from macro factors =[1.2 × (4% – 5%)] + [0.5 × (6% – 3%)] + [0.3 × (0% – 2%)] = –0.3%E(r) =18.1% − 0.3% = 17.8%11. The APT required (i.e., equilibrium) rate of return on the stock based on r f andthe factor betas isRequired E(r) = 6% + (1 × 6%) + (0.5 × 2%) + (0.75 × 4%) = 16% According to the equation for the return on the stock, the actually expectedreturn on the stock is 15% (because the expected surprises on all factors arezero by definition). Because the actually expected return based on risk is less than the equilibrium return, we conclude that the stock is overpriced.12. The first two factors seem promising with respect to the likely impact on thefirm’s cost of capital. Both are macro factors that would elicit hedging demands across broad sectors of investors. The third factor, while important to PorkProducts, is a poor choice for a multifactor SML because the price of hogs is of minor importance to most investors and is therefore highly unlikely to be apriced risk factor. Better choices would focus on variables that investors inaggregate might find more important to their welfare. Examples include:inflation uncertainty, short-term interest-rate risk, energy price risk, orexchange rate risk. The important point here is that, in specifying a multifactor SML, we not confuse risk factors that are important to10-5Copyright © 2014 McGraw-Hill Education. All rights reserved. No reproduction or distribution without the prior written10-6Copyright © 2014 McGraw-Hill Education. All rights reserved. No reproduction or distribution without the prior writtena particular investor with factors that are important to investors in general; only the latter are likely to command a risk premium in the capital markets.13. The formula is ()0.04 1.250.08 1.50.02.1717%E r =+⨯+⨯==14. If 4%f r = and based on the sensitivities to real GDP (0.75) and inflation(1.25), McCracken would calculate the expected return for the Orb Large Cap Fund to be:()0.040.750.08 1.250.02.040.0858.5% above the risk free rate E r =+⨯+⨯=+=Therefore, Kwon’s fundamental analysis estimate is congruent withMcCracken’s APT estimate . If we assume that both Kwon and McCracken’s estimates on the return of Orb’s Large Cap Fund are accurate, then noarbitrage profit is possible.15. In order to eliminate inflation, the following three equations must be solvedsimultaneously, where the GDP sensitivity will equal 1 in the first equation, inflation sensitivity will equal 0 in the second equation and the sum of the weights must equal 1 in the third equation.1.1.250.75 1.012.1.5 1.25 2.003.1wx wy wz wz wy wz wx wy wz ++=++=++=Here, x represents Orb’s High Growth Fund, y represents Large Cap Fund and z represents Utility Fund. Using algebraic manipulation will yield wx = wy = 1.6 and wz = -2.2.16. Since retirees living off a steady income would be hurt by inflation, thisportfolio would not be appropriate for them. Retirees would want a portfolio with a return positively correlated with inflation to preserve value, and less correlated with the variable growth of GDP. Thus, Stiles is wrong. McCracken is correct in that supply side macroeconomic policies are generally designed to increase output at a minimum of inflationary pressure. Increased output would mean higher GDP, which in turn would increase returns of a fund positively correlated with GDP.17. The maximum residual variance is tied to the number of securities (n ) in theportfolio because, as we increase the number of securities, we are more likely to encounter securities with larger residual variances. The starting point is to determine the practical limit on the portfolio residual standard deviation, σ(e P ),that still qualifies as a well-diversified portfolio. A reasonable approach is to compare10-7Copyright © 2014 McGraw-Hill Education. All rights reserved. No reproduction or distribution without the prior writtenσ2(e P) to the market variance, or equivalently, to compare σ(e P) to the market standard deviation. Suppose we do not allow σ(e P) to exceed pσM, where p is a small decimal fraction, for example, 0.05; then, the smaller the value we choose for p, the more stringent our criterion for defining how diversified awell-diversified portfolio must be.Now construct a portfolio of n securities with weights w1, w2,…,w n, so that ∑w i =1. The portfolio residual variance is σ2(e P) = ∑w12σ2(e i)To meet our practical definition of sufficiently diversified, we require thisresidual variance to be less than (pσM)2. A sure and simple way to proceed is to assume the worst, that is, assume that the residual variance of each security is the highest possible value allowed under the assumptions of the problem: σ2(e i) = nσ2MIn that case σ2(e P) = ∑w i2 nσM2Now apply the constraint: ∑w i2 nσM2 ≤ (pσM)2This requires that: n∑w i2 ≤ p2Or, equivalently, that: ∑w i2 ≤ p2/nA relatively easy way to generate a set of well-diversified portfolios is to useportfolio weights that follow a geometric progression, since the computations then become relatively straightforward. Choose w1 and a common factor q for thegeometric progression such that q < 1. Therefore, the weight on each stock is a fraction q of the weight on the previous stock in the series. Then the sum of nterms is:∑w i= w1(1– q n)/(1– q) = 1or: w1 = (1– q)/(1–q n)The sum of the n squared weights is similarly obtained from w12 and a common geometric progression factor of q2. Therefore∑w i2 = w12(1– q2n)/(1– q 2)Substituting for w1 from above, we obtain∑w i2 = [(1– q)2/(1–q n)2] × [(1– q2n)/(1– q 2)]For sufficient diversification, we choose q so that ∑w i2 ≤ p2/n For example, continue to assume that p = 0.05 and n = 1,000. If we chooseq = 0.9973, then we will satisfy the required condition. At this value for q w1 = 0.0029 and w n = 0.0029 × 0.99731,000In this case, w1 is about 15 times w n. Despite this significant departure fromequal weighting, this portfolio is nevertheless well diversified. Any value of qbetween10-8Copyright © 2014 McGraw-Hill Education. All rights reserved. No reproduction or distribution without the prior written0.9973 and 1.0 results in a well-diversified portfolio. As q gets closer to 1, theportfolio approaches equal weighting.18. a. Assume a single-factor economy, with a factor risk premium E M and a(large) set of well-diversified portfolios with beta βP. Suppose we create aportfolio Z by allocating the portion w to portfolio P and (1 –w) to themarket portfolio M. The rate of return on portfolio Z is:R Z = (w ×R P) + [(1 –w) ×R M]Portfolio Z is riskless if we choose w so that βZ = 0. This requires that:βZ = (w ×βP) + [(1 –w) × 1] = 0 ⇒w = 1/(1 –βP) and (1 –w) = –βP/(1 –βP)Substitute this value for w in the expression for R Z:R Z = {[1/(1 –βP)] ×R P} – {[βP/(1 –βP)] ×R M}Since βZ = 0, then, in order to avoid arbitrage, R Z must be zero.This implies that: R P = βP ×R MTaking expectations we have:E P = βP ×E MThis is the SML for well-diversified portfolios.b. The same argument can be used to show that, in a three-factor modelwith factor risk premiums E M, E1 and E2, in order to avoid arbitrage, wemust have:E P = (βPM ×E M) + (βP1 ×E1) + (βP2 ×E2)This is the SML for a three-factor economy.19. a. The Fama-French (FF) three-factor model holds that one of the factorsdriving returns is firm size. An index with returns highly correlated withfirm size (i.e., firm capitalization) that captures this factor is SMB (smallminus big), the return for a portfolio of small stocks in excess of thereturn for a portfolio of large stocks. The returns for a small firm will bepositively correlated with SMB. Moreover, the smaller the firm, thegreater its residual from the other two factors, the market portfolio andthe HML portfolio, which is the return for a portfolio of highbook-to-market stocks in excess of the return for a portfolio of lowbook-to-market stocks. Hence, the ratio of the variance of this residual tothe variance of the return on SMB will be larger and, together with thehigher correlation, results in a high beta on the SMB factor.10-9Copyright © 2014 McGraw-Hill Education. All rights reserved. No reproduction or distribution without the prior writtenb.This question appears to point to a flaw in the FF model. The modelpredicts that firm size affects average returns so that, if two firms mergeinto a larger firm, then the FF model predicts lower average returns forthe merged firm. However, there seems to be no reason for the mergedfirm to underperform the returns of the component companies, assumingthat the component firms were unrelated and that they will now beoperated independently. We might therefore expect that the performanceof the merged firm would be the same as the performance of a portfolioof the originally independent firms, but the FF model predicts that theincreased firm size will result in lower average returns. Therefore, thequestion revolves around the behavior of returns for a portfolio of smallfirms, compared to the return for larger firms that result from mergingthose small firms into larger ones. Had past mergers of small firms intolarger firms resulted, on average, in no change in the resultant largerfirms’ stock return characteristics (compared to the portfolio of stocks ofthe merged firms), the size factor in the FF model would have failed.Perhaps the reason the size factor seems to help explain stock returns isthat, when small firms become large, the characteristics of their fortunes(and hence their stock returns) change in a significant way. Putdifferently, stocks of large firms that result from a merger of smallerfirms appear empirically to behave differently from portfolios of thesmaller component firms. Specifically, the FF model predicts that thelarge firm will have a smaller risk premium. Notice that this developmentis not necessarily a bad thing for the stockholders of the smaller firmsthat merge. The lower risk premium may be due, in part, to the increasein value of the larger firm relative to the merged firms.CFA PROBLEMS1. a. This statement is incorrect. The CAPM requires a mean-varianceefficient market portfolio, but APT does not.b.This statement is incorrect. The CAPM assumes normally distributedsecurity returns, but APT does not.c. This statement is correct.2. b. Since portfolio X has = 1.0, then X is the market portfolio and E(R M)=16%. Using E(R M ) = 16% and r f = 8%, the expected return for portfolioY is not consistent.3. d.4. c.5. d.6. c. I nvestors will take on as large a position as possible only if themispricing opportunity is an arbitrage. Otherwise, considerations of riskand diversification will limit the position they attempt to take in themispriced security.7. d.8. d.。
《证券投资学》模拟试卷参考答案(第10套)[3页]
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《证券投资学》模拟试卷10参考答案一、单项选择题（每题1分，共20分）DDABB CCDBAAABAB AADCC二、简答题（每题5分，共15分）1.答：投资者：非理性或有限理性；信息处理：预测错误、错误定价、代表性行为偏差：心理帐户、后悔规避、前景理论2.答：（1）市盈率法、市净率法、现金流贴现法、自由现金流贴现法、股利贴现法等3.答：资产支持证券是一种债券性质的金融工具，其向投资者支付的本息来自于基础资产池产生的现金流或剩余收益。
与股票和一般债券不同，资产支持证券不是对某一经营实体的利益要求权，而是对基础资产池所产生的现金流和剩余权益的要求权，是一种资产信用为支持的证券。
4.答：（1）市场行为包括一切信息。
（2）价格沿趋势波动并保持趋势。
（3）历史会重复。
三、计算题（共28分）1．解：净资产收益率=1.02*0.07*2.13=0.152 即15.2% （本题3分）2.解答:E(R)= 0.6+(0.16-0.06)*1.2=0.18P=6/0.18=33.33β=(0.1-0.06)/(0.16-0.06)=0.4 （本题6分）3.答：SOH公司的市盈率=30/1.2=25相对于行业21倍的平均市盈率，SOH公司市盈率偏高，应抛售。
HUB公司的理论发行价=21*1.8=37.8元（本题8分）4.解：已知km为15%，r为5%，βi 为1.5，由CAPM，该股票期望收益率为20%r + βi (km – r ) = 20%该期末期望价格为115，当前定价为95.83，且期间无股利，则期望收益率为：ki =（115/95.83) – 1 =25%αi =ki – [r + βi (k m – r ) ]= 5%表明当前定价过低，应当买入该股票。
（本题8分）5.解：申购日：认购费用＝10000×1％＝100（元）申购日：认购金额＝10000－100＝9900（元）次日：认购份数＝9900/0.99=10000（份）（本题3分）四、案例分析题（共12分）1. 市场有效性是指股票价格序列对相关信息的反应效率，上市公司的信息披露是投资者对公司股票价值进行评估的重要依据，虚假的信息会导致投资者错误的价值评估和错误的投资决策，给投资者造成损失。
投资学第10章习题及答案
第10章习题及答案1.2008年金融危机对我国股市有何影响？2.货币政策如何影响股市的？3.2008年以来我国实施的宽松的财政政策对于股票市场有何影响？4.简述经济周期与证券市场波动之间的关系？5.影响行业兴衰的因素都有哪些？6.一个公司的行业敏感性取决于哪些因素？参考答案1.国际经济关系对证券市场的影响，包括国际经济的增长状况、国际金融以及利率与汇率的变动、境外股市行情波动、贸易关系等。
其中国际金融以及利率与汇率的变动对于证券市场的影响非常大。
西方主要国际金融市场的利率一旦发生变化，证券市场也会相应的发生变化，即利率的提高将会带来证券市场的下跌趋势，反之利率的降低，证券市场就会上涨。
境外股市行情的波动会立刻影响到我国股市的波动。
一国因为某种因素引发股市危机，就会引发连锁的股市灾难。
另外，贸易关系的改变通常会引起相关国际性公司股票价格发生波动。
如果一国贸易对国际市场依赖性比较大，那么，贸易关系的改善，将会推动该国股市指数的大幅上涨；相反，如果贸易关系恶化，通常会引起该国股市指数的大幅下挫。
例如07年爆发美国次贷危机中，美国股市下跌了55%，以此同时，受到牵连的中国股市跌幅达到73%。
2.从证券投资的角度看, 货币政策可以直接影响证券市场行情。
中央银行的货币政策对证券的价格有重要影响。
从整体来说, 宽松的货币政策将会使证券市场价格上涨；而从紧的货币政策将会使证券市场价格下跌。
货币政策对证券市场的影响可以从四个方面来分析: （1）利率政策对于证券市场价格具有重要影响。
通常证券价格对利率的变动较为敏感。
（2）中央银行的微调政策对证券价格的影响具体表现如下：如果放松银根, 中央银行将大量买进证券, 增加了社会对证券的需求, 引起证券价格上升；如果紧缩银根,中央银行将抛出证券, 使证券供给过旺, 导致价格下跌。
（3）货币政策的综合影响, 当货币供应量过多而造成通货膨胀时, 人们为保值而购买证券(尤其是股票) , 推动证券需求上升, 价格上涨; 当货币供应量不足时, 人们为取得货币资金而抛售证券, 使证券价格下跌。
证劵投资学考试模拟题及参考答案
证券投资学考试模拟题及参考答案一、单选题（共50题，每题1分，共50分）1、债券按付息方式分类，可以分为（）。
A、政府债券、金融债券和公司债券B、零息债券、附息债券和息票累积债券C、实物债券、凭证式债券和记账式债券D、短期债券、中期债券和长期债券正确答案：B答案解析：考查债券的分类。
按付息方式，债券可以分为零息债券、附息债券和息票累积债券。
2、《货币市场基金管理暂行规定》规定：“对于每日按照面值进行报价的货币市场基金，可以在基金合同中将收益分配的方式约定为（），并应当（）进行收益分配。
”A、现金分红每日B、现金分红每周C、红利再投资每日D、红利再投资每周正确答案：C答案解析：考查货币市场基金的利润分配方式。
3、M头形态的颈线的作用是（）。
A、构筑轨道B、趋势线C、支撑线D、压力线正确答案：C4、有价证券按照（）可分为股票、债券和其他证券三大类。
A、发行主体B、违约风险C、收益是否固定D、证券所代表的权利性质正确答案：D5、（）是指由发行公司委托证券公司等证券中介机构代理出售证券的发行。
A、私募发行B、间接发行C、公募发行D、直接发行正确答案：B6、根据对称三角形的特殊性，我们可以预测（）。
A、股价向上或向下突破的高度区间B、股价向上或向下突破的时间区域C、股价向上或向下突破的方向D、以上都不对正确答案：B7、与市场上其他理财产品相比，基金的一个突出特点就是（）。
A、价值较高B、流通性较强C、透明度较高D、需求较大正确答案：C答案解析：考查基金信息披露。
在我国基金信息披露具有强制性。
8、深圳证券交易所的股价指数包括（）。
A、深证成分指数B、深证综合指数C、深证A股指数D、深证500指数E、ABCF、深证300正确答案：E答案解析：深证指数包含的内容。
9、（）认为收盘价是最重要的价格。
A、道氏理论B、形态理论C、波浪理论D、切线理论正确答案：A10、按照基金的（）划分，证券投资基金可分为成长型基金、收入型基金、平衡型基金。
证券交易-总10套第10套
〔据说上期命中率80%〕2011年9月证券从业资格考试考前押题证券交易总10套第10套证券交易总10套第10套一．单项选择题01：2002年12月30日和2003年1月3日，上海证券交易所和深圳证券交易所分别推出了〔〕。
A：金融债券回购交易B：企业债券回购交易B：以企业债为主要品种的质押式回购交易D：以国债为主要品种的质押式回购交易02：QFII制度是指允许合格的境外机构投资者在一定的规定和限制下汇入一定额度的外汇资金，并转换当地货币，通过严格监管的专门账户投资当地〔〕，其资本利得、股息等经批准后可转为外汇汇出的种制度。
A：证券市场B：基金市场B：信托市场D：房地产市场03：全国银行间市场买断式回购的期限由交易双方确定，但最长不得超过〔〕。
A：61天B：90天B：91天D：97天04：在证券交易活动中，涉及公司的经营、财务或者对该公司证券的市场价格有重大影响的尚未公开的信息是〔〕。
A：有效市场信息B：内幕信息B：自营账户D：内幕交易05：取得融资融券业务试点资格的证券公司在开展融资融券业务前还应向交易所申请融资融券交易〔〕。
A：上限B：资金额度B：权限D：通行证06：共同对手方是指在结算过程中，同时作为所有买方和卖方的交收对手并保证交收顺利完成的主体，一般由〔〕充当。
A：管理机构B：托管机构B：清算机构D：结算机构07：附有交换条款的债券是指〔〕。
A：债券所有人具有按约定的条件将持有债券转换成发行公司所发行的普通股票的选择权 B：债券发行人在债券到期日之前具有买回部分或全部债权的权利B：债券所有人具有按约定的条件将持有债券与债券发行公司以外的其他公司的普通股票交换的选择权D：债券持有人具有在指定的日期内以票面价值卖回给发行人的权利08：客户委托资产应当按照中国证券监督管理委员会的规定采取〔〕方式进行保管。
A：质押B：抵押B：第三方存管D：托管09：〔〕由有关高级管理人员及部门负责人组成，负责制定融资融券业务操作流程，确定对单一客户和单一证券的授信额度、融资融券的期限和利率(费率)、保证金比例和最低维持担保比例等事项。
《投资学》试题及答案
《投资学》试题及答案题目1狭义的投资是指（）。
A. 创业投资B. 证券投资C. 风险投资D. 实物投资题目2以下属于失业人口的范畴的为（）。
A. 不愿工作的人B. 在校学生C. 被公司辞退的人员D. 退休人员题目3投资风险与收益之间呈（）。
A. 同方向变化B. 同比例变化C. 不确定性D. 反方向变化题目4实物投资主体是（）投资者，金融投资主体是（）投资者。
a. 直接；间接b. 间接；直接c. 间接；间接d. 直接；直接题目5区分直接投资和间接投资的基本标志是在于（）。
A. 投资者的投资方式B. 投资者是否拥有控制权C. 投资者的资本数量D. 投资者的投资渠道题目6总产出通常用（）来衡量。
A. 国内生产总值B. 国民生产总值C. 物价指数D. 国家生产总值题目7非自愿失业可分为（）。
或多项A. 结构性失业B. 隐蔽性失业C. 摩擦性失业D. 周期性失业The correct answers are: 摩擦性失业, 结构性失业, 周期性失业题目8则利用乘数-加速数模型计算下一期国民收入为（）。
A. 1400B. 600C. 2400D. 1000正确答案是1400题目9如果资本存量的利用程度高，那么消费与投资成（）变化。
A. 零B. 正比例C. 不确定性D. 反比例正确答案是反比例题目10用来衡量通货膨胀的程度的指标是（）。
A. 固定资产投资价格指数B. 城市居民消费价格指数C. 消费价格指数D. 工业品出产价格指数正确答案是消费价格指数二、多项选择题（每题6分，共30分）题目11以下哪些属于投资主体（）。
或多项A. 银行B. 政府C. 投资基金D. 保险公司E. 证券公司The correct answers are: 银行, 证券公司, 保险公司, 投资基金, 政府题目12投资的特征有（）。
或多项A. 安全性B. 时间性C. 风险性D. 收益性E. 经济性The correct answers are: 经济性, 时间性, 收益性, 风险性题目13短期投资和长期投资相比，具有（）特性。
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投资学模拟试题第十套
单项选择题（每题1分，共10分）
1、债券具有利率风险，通常()。
①市场利率上升，债券价格上升②市场利率下降，债券价格上升
③市场利率上升，债券价格不变④市场利率下降，债券价格不变
2、某债券面值1000元，5年还本，每年以息票付利息80元,，若甲投资者在第二年年终时以960元的市场价格购得该债券并持有到期，则甲持有该债券的实际收益率为()。
①8.33%②8%③9.72%④7.5%
3、在下列几项中，属于选择性货币政策工具的是()。
①法定存款准备金率②再贴现政策
③公开市场业务④直接信用控制
4、在经济周期的某个时期，产出、价格、利率、就业不断上升，直至某个高峰，说明经济变动处于()阶段。
①繁荣②衰退③萧条④复苏
5、债券期限越长，其收益率越高。
这种曲线形状是()收益率曲线类型。
①正常的②相反的③水平的④拱形的
6、甲股票的每股收益为1元，市盈率水平为15，估算该股票的价格为()。
①15元②13元③20元④25元
7、稳定增长是处于（）的产业的根本特征。
①初创阶段②成长阶段
③成熟阶段④衰退阶段
8、一般来说，紧的财政政策会导致证券价格()。
①上涨②下跌③不变④先涨后跌
9、就单枝K线而言，反映空方占据绝对优势的K线形状是()。
①大十字星②带有较长上影线的阳线
③光头光脚大阴线④光头光脚大阳线
10、某投资者购买90天到期，年利率12%的可转让大额存单100万元，在持有45天后出售，当时市场利率10%，则该存单的转让价格为()。
①110万元②101.7万元③101.5万元④101.3万元
二、多项选择题（每题2分，共10分）
1、马柯威茨均值方差模型通过两个假设来简化所研究的问题，它们是(）。
①投资者以期望收益率来衡量未来的实际收益水平，以收益率的方差来衡量未来实际收益的不确定性
②投资者总是希望收益率越高越好，风险越小越好
③资本市场没有摩擦
④投资者的个人偏好不存在差异
⑤投资者都认为收益率应该与风险成正比
2、如果市场中只存在两种证券，那么在以期望收益率为纵轴、标准差为横轴的坐标系中，对应于这两种证券的可行域将可能是(）。
①一个由三条双曲线围成的区域②一条直线
③一条双曲线④一条折线⑤以上都不对
3、令σP、αP和βP分别表示证券组合P的标准差、α系数和β系数，σM表示市场组合的标准差，那么能够反映证券组合P所承担风险程度的有(）。
①αP②σP2③βP④βP2σM2⑤σP
4、为了量化投资者的预期收益水平和不确定性(风险)，马柯维茨在其模型中所用的两个基本变量是（）。
①α系数②β系数③期望收益率
④收益率的标准差⑤证券相关系数
5、股票的收益是指投资者在持有股票期间获得的全部收入，是由()组成。
①股票面额②股利收入③投资损益
④股票价格⑤股票价差
三、计算题（每题10分，共20分）
1、现有一张为期3个月，面值100万的票据，贴现率为3％。
当持票人持有票据一个月，到银行贴现时，银行应付他多少钱？
2、下表列出了对证券S的未来收益率状况的估计。
计算S的期望收益率E(rS)和标准差σS。
收益率（r）30% 24% 15% 8%
概率（p）0.20 0.35 0.30 0.15
四、简述题（每题8分，共40分）
1、如何进行公司长期偿债能力分析?
2、简述利率的变动是怎样影响证券市场的？
3、简述MA指标的测市法则?
4、简述风险的价格如何计量？
5、简述系统性风险为什么不能分散掉？
五、论述题（每题20分，共20分）
1、如何选择最优的证券组合？。