投资学第7版练习作业题
投资学第7版Test Bank答案完整可编辑
Multiple Choice Questions1. The term structure of interest rates is:A) The relationship between the rates of interest on all securities.B) The relationship between the interest rate on a security and its time to maturity.C) The relationship between the yield on a bond and its default rate.D) All of the above.E) None of the above.Answer: B Difficulty: EasyRationale: The term structure of interest rates is the relationship between two variables, years and yield to maturity (holding all else constant).2. The yield curve shows at any point in time:A) The relationship between the yield on a bond and the duration of the bond.B) The relationship between the coupon rate on a bond and time to maturity of thebond.C) The relationship between yield on a bond and the time to maturity on the bond.D) All of the above.E) None of the above.Answer: C Difficulty: Easy3. An inverted yield curve implies that:A) Long-term interest rates are lower than short-term interest rates.B) Long-term interest rates are higher than short-term interest rates.C) Long-term interest rates are the same as short-term interest rates.D) Intermediate term interest rates are higher than either short- or long-term interestrates.E) none of the above.Answer: A Difficulty: EasyRationale: The inverted, or downward sloping, yield curve is one in which short-term rates are higher than long-term rates. The inverted yield curve has been observedfrequently, although not as frequently as the upward sloping, or normal, yield curve.4. An upward sloping yield curve is a(n) _______ yield curve.A) normal.B) humped.C) inverted.D) flat.E) none of the above.Answer: A Difficulty: EasyRationale: The upward sloping yield curve is referred to as the normal yield curve, probably because, historically, the upward sloping yield curve is the shape that has been observed most frequently.5. According to the expectations hypothesis, a normal yield curve implies thatA) interest rates are expected to remain stable in the future.B) interest rates are expected to decline in the future.C) interest rates are expected to increase in the future.D) interest rates are expected to decline first, then increase.E) interest rates are expected to increase first, then decrease.Answer: C Difficulty: EasyRationale: An upward sloping yield curve is based on the expectation that short-term interest rates will increase.6. Which of the following is not proposed as an explanation for the term structure ofinterest rates?A) The expectations theory.B) The liquidity preference theory.C) The market segmentation theory.D) Modern portfolio theory.E) A, B, and C.Answer: D Difficulty: EasyRationale: A, B, and C are all theories that have been proposed to explain the term structure.7. The expectations theory of the term structure of interest rates states thatA) forward rates are determined by investors' expectations of future interest rates.B) forward rates exceed the expected future interest rates.C) yields on long- and short-maturity bonds are determined by the supply and demandfor the securities.D) all of the above.E) none of the above.Answer: A Difficulty: EasyRationale: The forward rate equals the market consensus expectation of future short interest rates.8. Which of the following theories state that the shape of the yield curve is essentiallydetermined by the supply and demands for long-and short-maturity bonds?A) Liquidity preference theory.B) Expectations theory.C) Market segmentation theory.D) All of the above.E) None of the above.Answer: C Difficulty: EasyRationale: Market segmentation theory states that the markets for different maturities are separate markets, and that interest rates at the different maturities are determined by the intersection of the respective supply and demand curves.9. According to the "liquidity preference" theory of the term structure of interest rates, theyield curve usually should be:A) inverted.B) normal.C) upward slopingD) A and B.E) B and C.Answer: E Difficulty: EasyRationale: According to the liquidity preference theory, investors would prefer to be liquid rather than illiquid. In order to accept a more illiquid investment, investors require a liquidity premium and the normal, or upward sloping, yield curve results.Use the following to answer questions 10-13:Suppose that all investors expect that interest rates for the 4 years will be as follows:10. What is the price of 3-year zero coupon bond with a par value of $1,000?A) $863.83B) $816.58C) $772.18D) $765.55E) none of the aboveAnswer: B Difficulty: ModerateRationale: $1,000 / (1.05)(1.07)(1.09) = $816.5811. If you have just purchased a 4-year zero coupon bond, what would be the expected rateof return on your investment in the first year if the implied forward rates stay the same?(Par value of the bond = $1,000)A) 5%B) 7%C) 9%D) 10%E) none of the aboveAnswer: A Difficulty: ModerateRationale: The forward interest rate given for the first year of the investment is given as 5% (see table above).12. What is the price of a 2-year maturity bond with a 10% coupon rate paid annually? (Parvalue = $1,000)A) $1,092B) $1,054C) $1,000D) $1,073E) none of the aboveAnswer: D Difficulty: ModerateRationale: [(1.05)(1.07)]1/2 - 1 = 6%; FV = 1000, n = 2, PMT = 100, i = 6, PV =$1,073.3413. What is the yield to maturity of a 3-year zero coupon bond?A) 7.00%B) 9.00%C) 6.99%D) 7.49%E) none of the aboveAnswer: C Difficulty: ModerateRationale: [(1.05)(1.07)(1.09)]1/3 - 1 = 6.99.Use the following to answer questions 14-16:The following is a list of prices for zero coupon bonds with different maturities and par value of $1,000.14. What is, according to the expectations theory, the expected forward rate in the thirdyear?A) 7.00%B) 7.33%C) 9.00%D) 11.19%E) none of the aboveAnswer: C Difficulty: ModerateRationale: 881.68 / 808.88 - 1 = 9%15. What is the yield to maturity on a 3-year zero coupon bond?A) 6.37%B) 9.00%C) 7.33%D) 10.00%E) none of the aboveAnswer: C Difficulty: ModerateRationale: (1000 / 808.81)1/3 -1 = 7.33%16. What is the price of a 4-year maturity bond with a 12% coupon rate paid annually? (Parvalue = $1,000)A) $742.09B) $1,222.09C) $1,000.00D) $1,141.92E) none of the aboveAnswer: D Difficulty: DifficultRationale: (1000 / 742.09)1/4 -1 = 7.74%; FV = 1000, PMT = 120, n = 4, i = 7.74, PV = $1,141.9217. The market segmentation theory of the term structure of interest ratesA) theoretically can explain all shapes of yield curves.B) definitely holds in the "real world".C) assumes that markets for different maturities are separate markets.D) A and B.E) A and C.Answer: E Difficulty: EasyRationale: Although this theory is quite tidy theoretically, both investors and borrows will depart from their "preferred maturity habitats" if yields on alternative maturities are attractive enough.18. An upward sloping yield curveA) may be an indication that interest rates are expected to increase.B) may incorporate a liquidity premium.C) may reflect the confounding of the liquidity premium with interest rateexpectations.D) all of the above.E) none of the above.Answer: D Difficulty: EasyRationale: One of the problems of the most commonly used explanation of termstructure, the expectations hypothesis, is that it is difficult to separate out the liquidity premium from interest rate expectations.19. The "break-even" interest rate for year n that equates the return on an n-periodzero-coupon bond to that of an n-1-period zero-coupon bond rolled over into a one-year bond in year n is defined asA) the forward rate.B) the short rate.C) the yield to maturity.D) the discount rate.E) None of the above.Answer: A Difficulty: EasyRationale: The forward rate for year n, fn, is the "break-even" interest rate for year n that equates the return on an n-period zero- coupon bond to that of an n-1-periodzero-coupon bond rolled over into a one-year bond in year n.20. When computing yield to maturity, the implicit reinvestment assumption is that theinterest payments are reinvested at the:A) Coupon rate.B) Current yield.C) Yield to maturity at the time of the investment.D) Prevailing yield to maturity at the time interest payments are received.E) The average yield to maturity throughout the investment period.Answer: C Difficulty: ModerateRationale: In order to earn the yield to maturity quoted at the time of the investment, coupons must be reinvested at that rate.21. Which one of the following statements is true?A) The expectations hypothesis indicates a flat yield curve if anticipated futureshort-term rates exceed the current short-term rate.B) The basic conclusion of the expectations hypothesis is that the long-term rate isequal to the anticipated long-term rate.C) The liquidity preference hypothesis indicates that, all other things being equal,longer maturities will have lower yields.D) The segmentation hypothesis contends that borrows and lenders are constrained toparticular segments of the yield curve.E) None of the above.Answer: D Difficulty: ModerateRationale: A flat yield curve indicates expectations of existing rates. Expectations hypothesis states that the forward rate equals the market consensus of expectations of future short interest rates. The reverse of C is true.22. The concepts of spot and forward rates are most closely associated with which one ofthe following explanations of the term structure of interest rates.A) Segmented Market theoryB) Expectations HypothesisC) Preferred Habitat HypothesisD) Liquidity Premium theoryE) None of the aboveAnswer: B Difficulty: ModerateRationale: Only the expectations hypothesis is based on spot and forward rates. A andC assume separate markets for different maturities; liquidity premium assumes higheryields for longer maturities.Use the following to answer question 23:23. Given the bond described above, if interest were paid semi-annually (rather thanannually), and the bond continued to be priced at $850, the resulting effective annual yield to maturity would be:A) Less than 12%B) More than 12%C) 12%D) Cannot be determinedE) None of the aboveAnswer: B Difficulty: ModerateRationale: FV = 1000, PV = -850, PMT = 50, n = 40, i = 5.9964 (semi-annual);(1.059964)2 - 1 = 12.35%.24. Interest rates might declineA) because real interest rates are expected to decline.B) because the inflation rate is expected to decline.C) because nominal interest rates are expected to increase.D) A and B.E) B and C.Answer: D Difficulty: EasyRationale: The nominal rate is comprised of the real interest rate plus the expectedinflation rate.25. Forward rates ____________ future short rates because ____________.A) are equal to; they are both extracted from yields to maturity.B) are equal to; they are perfect forecasts.C) differ from; they are imperfect forecasts.D) differ from; forward rates are estimated from dealer quotes while future short ratesare extracted from yields to maturity.E) are equal to; although they are estimated from different sources they both are usedby traders to make purchase decisions.Answer: C Difficulty: EasyRationale: Forward rates are the estimates of future short rates extracted from yields to maturity but they are not perfect forecasts because the future cannot be predicted with certainty; therefore they will usually differ.26. The pure yield curve can be estimatedA) by using zero-coupon bonds.B) by using coupon bonds if each coupon is treated as a separate "zero."C) by using corporate bonds with different risk ratings.D) by estimating liquidity premiums for different maturities.E) A and B.Answer: E Difficulty: ModerateRationale: The pure yield curve is calculated using zero coupon bonds, but coupon bonds may be used if each coupon is treated as a separate "zero."27. The on the run yield curve isA) a plot of yield as a function of maturity for zero-coupon bonds.B) a plot of yield as a function of maturity for recently issued coupon bonds trading ator near par.C) a plot of yield as a function of maturity for corporate bonds with different riskratings.D) a plot of liquidity premiums for different maturities.E) A and B.Answer: B Difficulty: Moderate28. The market segmentation and preferred habitat theories of term structureA) are identical.B) vary in that market segmentation is rarely accepted today.C) vary in that market segmentation maintains that borrowers and lenders will notdepart from their preferred maturities and preferred habitat maintains that marketparticipants will depart from preferred maturities if yields on other maturities areattractive enough.D) A and B.E) B and C.Answer: E Difficulty: ModerateRationale: Borrowers and lenders will depart from their preferred maturity habitats if yields are attractive enough; thus, the market segmentation hypothesis is no longerreadily accepted.29. The yield curveA) is a graphical depiction of term structure of interest rates.B) is usually depicted for U. S. Treasuries in order to hold risk constant acrossmaturities and yields.C) is usually depicted for corporate bonds of different ratings.D) A and B.E) A and C.Answer: D Difficulty: EasyRationale: The yield curve (yields vs. maturities, all else equal) is depicted for U. S.Treasuries more frequently than for corporate bonds, as the risk is constant acrossmaturities for Treasuries.Use the following to answer questions 30-32:30. What should the purchase price of a 2-year zero coupon bond be if it is purchased at thebeginning of year 2 and has face value of $1,000?A) $877.54B) $888.33C) $883.32D) $893.36E) $871.80Answer: A Difficulty: DifficultRationale: $1,000 / [(1.064)(1.071)] = $877.5431. What would the yield to maturity be on a four-year zero coupon bond purchased today?A) 5.80%B) 7.30%C) 6.65%D) 7.25%E) none of the above.Answer: C Difficulty: ModerateRationale: [(1.058) (1.064) (1.071) (1.073)]1/4 - 1 = 6.65%32. Calculate the price at the beginning of year 1 of a 10% annual coupon bond with facevalue $1,000 and 5 years to maturity.A) $1,105B) $1,132C) $1,179D) $1,150E) $1,119Answer: B Difficulty: DifficultRationale: i = [(1.058) (1.064) (1.071) (1.073) (1.074)]1/5 - 1 = 6.8%; FV = 1000, PMT = 100, n = 5, i = 6.8, PV = $1,131.9133. Given the yield on a 3 year zero-coupon bond is 7.2% and forward rates of 6.1% in year1 and 6.9% in year 2, what must be the forward rate in year 3?A) 8.4%B) 8.6%C) 8.1%D) 8.9%E) none of the above.Answer: B Difficulty: ModerateRationale: f3 = (1.072)3 / [(1.061) (1.069)] - 1 = 8.6%34. An inverted yield curve is oneA) with a hump in the middle.B) constructed by using convertible bonds.C) that is relatively flat.D) that plots the inverse relationship between bond prices and bond yields.E) that slopes downward.Answer: E Difficulty: EasyRationale: An inverted yield curve occurs when short-term rates are higher thanlong-term rates.35. Investors can use publicly available financial date to determine which of the following?I)the shape of the yield curveII)future short-term ratesIII)the direction the Dow indexes are headingIV)the actions to be taken by the Federal ReserveA) I and IIB) I and IIIC) I, II, and IIID) I, III, and IVE) I, II, III, and IVAnswer: A Difficulty: ModerateRationale: Only the shape of the yield curve and future inferred rates can be determined.The movement of the Dow Indexes and Federal Reserve policy are influenced by term structure but are determined by many other variables also.36. Which of the following combinations will result in a sharply increasing yield curve?A) increasing expected short rates and increasing liquidity premiumsB) decreasing expected short rates and increasing liquidity premiumsC) increasing expected short rates and decreasing liquidity premiumsD) increasing expected short rates and constant liquidity premiumsE) constant expected short rates and increasing liquidity premiumsAnswer: A Difficulty: ModerateRationale: Both of the forces will act to increase the slope of the yield curve.37. The yield curve is a component ofA) the Dow Jones Industrial Average.B) the consumer price index.C) the index of leading economic indicators.D) the producer price index.E) the inflation index.Answer: C Difficulty: EasyRationale: Since the yield curve is often used to forecast the business cycle, it is used as one of the leading economic indicators.38. The most recently issued Treasury securities are calledA) on the run.B) off the run.C) on the market.D) off the market.E) none of the above.Answer: A Difficulty: EasyUse the following to answer questions 39-42:Suppose that all investors expect that interest rates for the 4 years will be as follows:39. What is the price of 3-year zero coupon bond with a par value of $1,000?A) $889.08B) $816.58C) $772.18D) $765.55E) none of the aboveAnswer: A Difficulty: ModerateRationale: $1,000 / (1.03)(1.04)(1.05) = $889.0840. If you have just purchased a 4-year zero coupon bond, what would be the expected rateof return on your investment in the first year if the implied forward rates stay the same?(Par value of the bond = $1,000)A) 5%B) 3%C) 9%D) 10%E) none of the aboveAnswer: B Difficulty: ModerateRationale: The forward interest rate given for the first year of the investment is given as 3% (see table above).41. What is the price of a 2-year maturity bond with a 5% coupon rate paid annually? (Parvalue = $1,000)A) $1,092.97B) $1,054.24C) $1,028.51D) $1,073.34E) none of the aboveAnswer: C Difficulty: ModerateRationale: [(1.03)(1.04)]1/2 - 1 = 3.5%; FV = 1000, n = 2, PMT = 50, i = 3.5, PV =$1,028.5142. What is the yield to maturity of a 3-year zero coupon bond?A) 7.00%B) 9.00%C) 6.99%D) 4%E) none of the aboveAnswer: D Difficulty: ModerateRationale: [(1.03)(1.04)(1.05)]1/3 - 1 = 4%.Use the following to answer questions 43-46:The following is a list of prices for zero coupon bonds with different maturities and par value of $1,000.43. What is, according to the expectations theory, the expected forward rate in the thirdyear?A) 7.23B) 9.37%C) 9.00%D) 10.9%E) none of the aboveAnswer: B Difficulty: ModerateRationale: 862.57 / 788.66 - 1 = 9.37%44. What is the yield to maturity on a 3-year zero coupon bond?A) 6.37%B) 9.00%C) 7.33%D) 8.24%E) none of the aboveAnswer: D Difficulty: ModerateRationale: (1000 / 788.66)1/3 -1 = 8.24%45. What is the price of a 4-year maturity bond with a 10% coupon rate paid annually? (Parvalue = $1,000)A) $742.09B) $1,222.09C) $1,035.66D) $1,141.84E) none of the aboveAnswer: C Difficulty: DifficultRationale: (1000 / 711.00)1/4 -1 = 8.9%; FV = 1000, PMT = 100, n = 4, i = 8.9, PV =$1,035.6646. You have purchased a 4-year maturity bond with a 9% coupon rate paid annually. Thebond has a par value of $1,000. What would the price of the bond be one year from now if the implied forward rates stay the same?A) $995.63B) $1,108.88C) $1,000.00D) $1,042.78E) none of the aboveAnswer: A Difficulty: DifficultRationale: (925.16 / 711.00)]1/3 - 1.0 = 9.17%; FV = 1000, PMT = 90, n = 3, i = 9.17, PV = $995.63Use the following to answer question 47:47. Given the bond described above, if interest were paid semi-annually (rather thanannually), and the bond continued to be priced at $917.99, the resulting effective annual yield to maturity would be:A) Less than 10%B) More than 10%C) 10%D) Cannot be determinedE) None of the aboveAnswer: B Difficulty: ModerateRationale: FV = 1000, PV = -917.99, PMT = 45, n = 36, i = 4.995325 (semi-annual);(1.4995325)2 - 1 = 10.24%.Use the following to answer questions 48-50:48. What should the purchase price of a 2-year zero coupon bond be if it is purchased at thebeginning of year 2 and has face value of $1,000?A) $877.54B) $888.33C) $883.32D) $894.21E) $871.80Answer: D Difficulty: DifficultRationale: $1,000 / [(1.055)(1.06)] = $894.2149. What would the yield to maturity be on a four-year zero coupon bond purchased today?A) 5.75%B) 6.30%C) 5.65%D) 5.25%E) none of the above.Answer: A Difficulty: ModerateRationale: [(1.05) (1.055) (1.06) (1.065)]1/4 - 1 = 5.75%50. Calculate the price at the beginning of year 1 of an 8% annual coupon bond with facevalue $1,000 and 5 years to maturity.A) $1,105.47B) $1,131.91C) $1,084.25D) $1,150.01E) $719.75Answer: C Difficulty: DifficultRationale: i = [(1.05) (1.055) (1.06) (1.065) (1.07)]1/5 - 1 = 6%; FV = 1000, PMT = 80, n = 5, i = 6, PV = $1084.2551. Given the yield on a 3 year zero-coupon bond is 7% and forward rates of 6% in year 1and 6.5% in year 2, what must be the forward rate in year 3?A) 7.2%B) 8.6%C) 8.5%D) 6.9%E) none of the above.Answer: C Difficulty: ModerateRationale: f3 = (1.07)3 / [(1.06) (1.065)] - 1 = 8.5%Use the following to answer questions 52-61:52. What should the purchase price of a 1-year zero coupon bond be if it is purchased todayand has face value of $1,000?A) $966.37B) $912.87C) $950.21D) $956.02E) $945.51Answer: D Difficulty: DifficultRationale: $1,000 / (1.046) = $956.0253. What should the purchase price of a 2-year zero coupon bond be if it is purchased todayand has face value of $1,000?A) $966.87B) $911.37C) $950.21D) $956.02E) $945.51Answer: B Difficulty: DifficultRationale: $1,000 / [(1.046)(1.049)] = $911.3754. What should the purchase price of a 3-year zero coupon bond be if it is purchased todayand has face value of $1,000?A) $887.42B) $871.12C) $879.54D) $856.02E) $866.32Answer: E Difficulty: DifficultRationale: $1,000 / [(1.046)(1.049)(1.052)] = $866.3255. What should the purchase price of a 4-year zero coupon bond be if it is purchased todayand has face value of $1,000?A) $887.42B) $821.15C) $879.54D) $856.02E) $866.32Answer: B Difficulty: DifficultRationale: $1,000 / [(1.046)(1.049)(1.052)(1.055)] = $821.1556. What should the purchase price of a 5-year zero coupon bond be if it is purchased todayand has face value of $1,000?A) $776.14B) $721.15C) $779.54D) $756.02E) $766.32Answer: A Difficulty: DifficultRationale: $1,000 / [(1.046)(1.049)(1.052)(1.055)(1.058)] = $776.1457. What is the yield to maturity of a 1-year bond?A) 4.6%B) 4.9%C) 5.2%D) 5.5%E) 5.8%Answer: A Difficulty: ModerateRationale: 4.6% (given in table)58. What is the yield to maturity of a 5-year bond?A) 4.6%B) 4.9%C) 5.2%D) 5.5%E) 5.8%Answer: C Difficulty: ModerateRationale: [(1.046)(1.049)(1.052)(1.055)(1.058)]1/5 -1 = 5.2%59. What is the yield to maturity of a 4-year bond?A) 4.69%B) 4.95%C) 5.02%D) 5.05%E) 5.08%Answer: C Difficulty: ModerateRationale: [(1.046)(1.049)(1.052)(1.055)]1/4 -1 = 5.05%60. What is the yield to maturity of a 3-year bond?A) 4.6%B) 4.9%C) 5.2%D) 5.5%E) 5.8%Answer: B Difficulty: ModerateRationale: [(1.046)(1.049)(1.052)]1/3 -1 = 4.9%61. What is the yield to maturity of a 2-year bond?A) 4.6%B) 4.9%C) 5.2%D) 4.7%E) 5.8%Answer: D Difficulty: ModerateRationale: [(1.046)(1.049)]1/2 -1 = 4.7%Essay Questions62. Discuss the three theories of the term structure of interest rates. Include in yourdiscussion the differences in the theories, and the advantages/disadvantages of each.Difficulty: ModerateAnswer:The expectations hypothesis is the most commonly accepted theory of term structure.The theory states that the forward rate equals the market consensus expectation of future short-term rates. Thus, yield to maturity is determined solely by current and expected future one-period interest rates. An upward sloping, or normal, yield curve wouldindicate that investors anticipate an increase in interest rates. An inverted, or downward sloping, yield curve would indicate an expectation of decreased interest rates. Ahorizontal yield curve would indicate an expectation of no interest rate changes.The liquidity preference theory of term structure maintains that short-term investorsdominate the market; thus, in general, the forward rate exceeds the expected short-term rate. In other words, investors prefer to be liquid to illiquid, all else equal, and willdemand a liquidity premium in order to go long term. Thus, liquidity preference readily explains the upward sloping, or normal, yield curve. However, liquidity preferencedoes not readily explain other yield curve shapes.Market segmentation and preferred habitat theories indicate that the markets fordifferent maturity debt instruments are segmented. Market segmentation maintains that the rates for the different maturities are determined by the intersection of the supply and demand curves for the different maturity instruments. Market segmentation readilyexplains all shapes of yield curves. However, market segmentation is not observed in the real world. Investors and issuers will leave their preferred maturity habitats if yields are attractive enough on other maturities.The purpose of this question is to ascertain that students understand the variousexplanations (and deficiencies of these explanations) of term structure.63. Term structure of interest rates is the relationship between what variables? What isassumed about other variables? How is term structure of interest rates depictedgraphically?Difficulty: ModerateAnswer:Term structure of interest rates is the relationship between yield to maturity and term to maturity, all else equal. The "all else equal" refers to risk class. Term structure ofinterest rates is depicted graphically by the yield curve, which is usually a graph of U.S.governments of different yields and different terms to maturity. The use of U.S.governments allows one to examine the relationship between yield and maturity,holding risk constant. The yield curve depicts this relationship at one point in time only.This question is designed to ascertain that students understand the relationshipsinvolved in term structure, the restrictions on the relationships, and how therelationships are depicted graphically.64. Although the expectations of increases in future interest rates can result in an upwardsloping yield curve; an upward sloping yield curve does not in and of itself imply the expectations of higher future interest rates. Explain.Difficulty: ModerateAnswer:The effects of possible liquidity premiums confound any simple attempt to extractexpectation from the term structure. That is, the upward sloping yield curve may be due to expectations of interest rate increases, or due to the requirement of a liquiditypremium, or both. The liquidity premium could more than offset expectations ofdecreased interest rates, and an upward sloping yield would result.The purpose of this question is to assure that the student understands the confounding of the liquidity premium with the expectations hypothesis, and that the interpretations of term structure are not clear-cut.。
(完整版)投资学第7版TestBank答案11
Multiple Choice Questions1.If you believe in the ________ form of the EMH, you believe that stock prices reflectall relevant information including historical stock prices and current public informationabout the firm, but not information that is available only to insiders.A)semistrongB)strongC)weakD)A, B, and CE)none of the aboveAnswer: A Difficulty: EasyRationale: The semistrong form of EMH maintains that stock prices immediatelyreflect all historical and current public information, but not inside information.2.Proponents of the EMH typically advocateA)an active trading strategy.B)investing in an index fund.C) a passive investment strategy.D) A and BE) B and CAnswer: E Difficulty: EasyRationale: Believers of market efficiency advocate passive investment strategies, andan investment in an index fund is one of the most practical passive investment strategies, especially for small investors.3.If you believe in the _______ form of the EMH, you believe that stock prices reflect allinformation that can be derived by examining market trading data such as the historyof past stock prices, trading volume or short interest.A)semistrongB)strongC)weakD)all of the aboveE)none of the aboveAnswer: C Difficulty: EasyRationale: The information described above is market data, which is the data set forthe weak form of market efficiency. The semistrong form includes the above plus allother public information. The strong form includes all public and private information.4.If you believe in the _________ form of the EMH, you believe that stock prices reflectall available information, including information that is available only to insiders.A)semistrongB)strongC)weakD)all of the aboveE)none of the aboveAnswer: B Difficulty: EasyRationale: The strong form includes all public and private information.5.If you believe in the reversal effect, you shouldA)buy bonds in this period if you held stocks in the last period.B)buy stocks in this period if you held bonds in the last period.C)buy stocks this period that performed poorly last period.D)go short.E) C and DAnswer: C Difficulty: EasyRationale: The reversal effect states that stocks that do well in one period tend to perform poorly in the subsequent period, and vice versa.6.__________ focus more on past price movements of a firm's stock than on theunderlying determinants of future profitability.A)Credit analystsB)Fundamental analystsC)Systems analystsD)Technical analystsE)All of the aboveAnswer: D Difficulty: EasyRationale: Technicians attempt to predict future stock prices based on historical stock prices.7._________ above which it is difficult for the market to rise.A)Book value is a valueB)Resistance level is a valueC)Support level is a valueD) A and BE) A and CAnswer: B Difficulty: EasyRationale: When stock prices have remained stable for a long period, these prices are termed resistance levels; technicians believe it is difficult for the stock prices to penetrate these resistance levels.8.___________ the return on a stock beyond what would be predicted frommarket movements alone.A)An excess economic return isB)An economic return isC)An abnormal return isD) A and BE) A and CAnswer: E Difficulty: EasyRationale: An economic return is the expected return, based on the perceived level of risk and market factors. When returns exceed these levels, the returns are called abnormal or excess economic returns.9.The debate over whether markets are efficient will probably never be resolvedbecause of ________.A)the lucky event issue.B)the magnitude issue.C)the selection bias issue.D)all of the above.E)none of the above.Answer: D Difficulty: EasyRationale: Factors A, B, and C all exist make rigid testing of market efficiencydifficult or impossible.10. A common strategy for passive management is ____________.A)creating an index fundB)creating a small firm fundC)creating an investment clubD) A and CE) B and CAnswer: A Difficulty: EasyRationale: The index fund is, by definition, passively managed. The other investment alternatives may or may not be managed passively.11.Arbel (1985) found thatA)the January effect was highest for neglected firms.B)the book-to-market value ratio effect was highest in JanuaryC)the liquidity effect was highest for small firms.D)the neglected firm effect was independent of the small firm effect.E)small firms had higher book-to-market value ratios.Answer: A Difficulty: ModerateRationale: Arbel divided firms into highly researched, moderately researched,and neglected groups based on the number of institutions holding the stock.12.Researchers have found that most of the small firm effect occursA)during the spring months.B)during the summer months.C)in December.D)in January.E)randomly.Answer: D Difficulty: ModerateRationale: Much of the so-called small firm effect simply may be the tax-effect as investors sell stocks on which they have losses in December and reinvest the funds in January. As small firms are especially volatile, these actions affect small firms in a more dramatic fashion.13.Malkiel (1995) calculated that the average alphas, or abnormal returns, on alarge sample of mutual funds between 1972 and 1991 wereA)significantly positive.B)significantly negative.C)statistically indistinguishable from zero.D)positive before 1981 and negative thereafter.E)negative before 1981 and positive thereafter.Answer: C Difficulty: ModerateRationale: Malkiel's study suggests that fund managers do not beat the market on a risk-adjusted basis.14.Basu (1977, 1983) found that firms with low P/E ratiosA)earned higher average returns than firms with high P/E ratios.B)earned the same average returns as firms with high P/E ratios.C)earned lower average returns than firms with high P/E ratios.D)had higher dividend yields than firms with high P/E ratios.E)none of the above.Answer: A Difficulty: ModerateRationale: Firms with high P/E ratios already have an inflated price relative toearnings and thus tend to have lower returns than low P/E ratio stocks. However, the P/E ratio may capture risk not fully impounded in market betas so this may represent an appropriate risk adjustment rather than a market anomaly.15.Jaffe (1974) found that stock prices _________ after insiders intensively bought shares.A)decreasedB)did not changeC)increasedD)became extremely volatileE)became much less volatileAnswer: C Difficulty: ModerateRationale: Insider trading may signal private information.16.Banz (1981) found that, on average, the risk-adjusted returns of small firmsA)were higher than the risk-adjusted returns of large firms.B)were the same as the risk-adjusted returns of large firms.C)were lower than the risk-adjusted returns of large firms.D)were unrelated to the risk-adjusted returns of large firms.E)were negative.Answer: A Difficulty: ModerateRationale: Banz found A to be true, although subsequent studies have attemptedto explain the small firm effect as the January effect, the neglected firm effect, etc.17.Proponents of the EMH think technical analystsA)should focus on relative strength.B)should focus on resistance levels.C)should focus on support levels.D)should focus on financial statements.E)are wasting their time.Answer: E Difficulty: ModerateRationale: Technical analysts attempt to predict future stock prices from historic stock prices; proponents of EMH believe that stock price changes are random variables.18.Studies of positive earnings surprises have shown that there isA) a positive abnormal return on the day positive earnings surprises are announced.B) a positive drift in the stock price on the days following the earningssurprise announcement.C) a negative drift in the stock price on the days following the earningssurprise announcement.D)both A and B are true.E)both A and C are true.Answer: D Difficulty: ModerateRationale: The market appears to adjust to earnings information gradually, resulting ina sustained period of abnormal returns.19.On November 22, 2005 the stock price of Walmart was $39.50 and the retailer stockindex was 600.30. On November 25, 2005 the stock price of Walmart was $40.25 and the retailer stock index was 605.20. Consider the ratio of Walmart to the retailer index on November 22 and November 25. Walmart is _______ the retail industry andtechnical analysts who follow relative strength would advise _______ the stock.A)outperforming, buyingB)outperforming, sellingC)underperforming, buyingD)underperforming, sellingE)equally performing, neither buying nor sellingAnswer: A Difficulty: ModerateRationale: 11/22: $39.50/600.30 = 0.0658; 11/25: $40.25/605.20 = 0.0665; Thus,K-Mart's relative strength is improving and technicians using this technique wouldrecommend buying.20.Work by Amihud and Mendelson (1986,1991)A)argues that investors will demand a rate of return premium to invest in lessliquid stocks.B)may help explain the small firm effect.C)may be related to the neglected firm effect.D) B and C.E)A, B, and C.Answer: E Difficulty: ModerateRationale: Lack of liquidity may affect the returns of small and neglected firms;however the theory does not explain why the abnormal returns are concentratedin January.21.Fama and French (1992) found that the stocks of firms within the highest decile ofmarket/book ratios had average monthly returns of _______ while the stocks offirms within the lowest decile of market/book ratios had average monthly returnsof________.A)greater than 1%, greater than 1%B)greater than 1%, less than 1%C)less than 1%, greater than 1%D)less than 1%, less than 1%E)less than 0.5%, greater than 0.5%Answer: C Difficulty: ModerateRationale: This finding suggests either that low market-to-book ratio firms arerelatively underpriced, or that the market-to-book ratio is serving as a proxy for arisk factor that affects expected equilibrium returns.22. A market decline of 23% on a day when there is no significant macroeconomic event______ consistent with the EMH because ________.A)would be, it was a clear response to macroeconomic news.B)would be, it was not a clear response to macroeconomic news.C)would not be, it was a clear response to macroeconomic news.D)would not be, it was not a clear response to macroeconomic news.E)none of the above.Answer: D Difficulty: ModerateRationale: This happened on October 19, 1987. Although this specific event is not mentioned in this edition of the book, it is an example of something that would be considered a violation of the EMH.23.In an efficient market, __________.A)security prices react quickly to new informationB)security prices are seldom far above or below their justified levelsC)security analysts will not enable investors to realize superior returns consistentlyD)one cannot make moneyE)A, B, and CAnswer: E Difficulty: EasyRationale: A, B, and C are true; however, even in an efficient market one should be able to earn the appropriate risk-adjusted rate of return.24.The weak form of the efficient market hypothesis asserts thatA)stock prices do not rapidly adjust to new information contained in past prices orpast data.B)future changes in stock prices cannot be predicted from past prices.C)technicians cannot expect to outperform the market.D) A and BE) B and CAnswer: E Difficulty: EasyRationale: Stock prices do adjust rapidly to new information.25. A support level is the price range at which a technical analyst would expect theA)supply of a stock to increase dramatically.B)supply of a stock to decrease substantially.C)demand for a stock to increase substantially.D)demand for a stock to decrease substantially.E)price of a stock to fall.Answer: C Difficulty: EasyRationale: A support level is considered to be a level below that the price of the stock is unlikely to fall and is believed to be determined by market psychology.26. A finding that _________ would provide evidence against the semistrong form ofthe efficient market theory.A)low P/E stocks tend to have positive abnormal returnsB)trend analysis is worthless in determining stock pricesC)one can consistently outperform the market by adopting the contrarianapproach exemplified by the reversals phenomenonD) A and BE) A and CAnswer: E Difficulty: ModerateRationale: Both A and C are inconsistent with the semistrong form of the EMH.27.The weak form of the efficient market hypothesis contradictsA)technical analysis, but supports fundamental analysis as valid.B)fundamental analysis, but supports technical analysis as valid.C)both fundamental analysis and technical analysis.D)technical analysis, but is silent on the possibility of successfulfundamental analysis.E)none of the above.Answer: D Difficulty: ModerateRationale: The process of fundamental analysis makes the market more efficient, and thus the work of the fundamentalist more difficult. The data set for the weak form of the EMH is market data, which is the only data used exclusively by technicians.Fundamentalists use all public information.28.Two basic assumptions of technical analysis are that security prices adjustA)rapidly to new information and market prices are determined by the interactionof supply and demand.B)rapidly to new information and liquidity is provided by security dealers.C)gradually to new information and market prices are determined by the interactionof supply and demand.D)gradually to new information and liquidity is provided by security dealers.E)rapidly to information and to the actions of insiders.Answer: C Difficulty: ModerateRationale: Technicians follow market data--price changes and volume of trading (asindicator of supply and demand) believing that they can identify price trends assecurity prices adjust gradually.29.Cumulative abnormal returns (CAR)A)are used in event studies.B)are better measures of security returns due to firm-specific events than areabnormal returns (AR).C)are cumulated over the period prior to the firm-specific event.D) A and B.E) A and C.Answer: D Difficulty: ModerateRationale: As leakage of information occurs, the accumulated abnormal returns that are abnormal returns summed over the period of interest (around the event date) are better measures of the effect of firm-specific events.30.Studies of mutual fund performanceA)indicate that one should not randomly select a mutual fund.B)indicate that historical performance is not necessarily indicative offuture performance.C)indicate that the professional management of the fund insures above market returns.D) A and B.E) B and C.Answer: D Difficulty: EasyRationale: Studies show that all funds do not outperform the market and thathistorical performance is not necessarily an indicator of future performance.31.The likelihood of an investment newsletter's successfully predicting the direction of themarket for three consecutive years by chance should beA)between 50% and 70%.B)between 25% and 50%.C)between 10% and 25%.D)less than 10%.E)greater than 70%.Answer: C Difficulty: ModerateRationale: The probability of successful prediction for 3 consecutive years is 23,or 12.5%.32.In an efficient market the correlation coefficient between stock returns fortwo non-overlapping time periods should beA)positive and large.B)positive and small.C)zero.D)negative and small.E)negative and large.Answer: C Difficulty: ModerateRationale: In an efficient market there should be no serial correlation betweenreturns from non-overlapping periods.33.The weather report says that a devastating and unexpected freeze is expected to hitFlorida tonight, during the peak of the citrus harvest. In an efficient market one would expect the price of Florida Orange's stock toA)drop immediately.B)remain unchanged.C)increase immediately.D)gradually decline for the next several weeks.E)gradually increase for the next several weeks.Answer: A Difficulty: ModerateRationale: In an efficient market the price of the stock should drop immediatelywhen the bad news is announced. If later news changes the perceived impact toFlorida Orange, the price may once again adjust quickly to the new information. Agradual change is a violation of the EMH.34. Matthews Corporation has a beta of 1.2. The annualized market return yesterday was13%, and the risk-free rate is currently 5%. You observe that Matthews had anannualized return yesterday of 17%. Assuming that markets are efficient, this suggests thatA) bad news about Matthews was announced yesterday.B) good news about Matthews was announced yesterday.C) no news about Matthews was announced yesterday.D) interest rates rose yesterday.E) interest rates fell yesterday.Answer: B Difficulty: ModerateRationale: AR = 17% - (5% + 1.2 (8%)) = +2.4%. A positive abnormal return suggests that there was firm-specific good news.th 35. Nicholas Manufacturing just announced yesterday that its 4 quarter earnings will be 10% higher than last year's 4th quarter. You observe that Nicholas had anabnormal return of -1.2% yesterday. This suggests thatA) the market is not efficient.B) Nicholas' stock will probably rise in value tomorrow.C) investors expected the earnings increase to be larger than what was actuallyannounced.D) investors expected the earnings increase to be smaller than what was actuallyannounced.E) earnings are expected to decrease next quarter.Answer: C Difficulty: ModerateRationale: Anticipated earnings changes are impounded into a security's price as soon as expectations are formed. Therefore a negative market response indicates that the earnings surprise was negative, that is, the increase was less than anticipated.36.When Maurice Kendall first examined stock price patterns in 1953, he found thatA)certain patterns tended to repeat within the business cycle.B)there were no predictable patterns in stock prices.C)stocks whose prices had increased consistently for one week tended to have anet decrease the following week.D)stocks whose prices had increased consistently for one week tended to have anet increase the following week.E)the direction of change in stock prices was unpredictable, but the amount ofchange followed a distinct pattern.Answer: B Difficulty: EasyRationale: The first studies in this area were made possible by the development of computer technology. Kendall's study was the first to indicate that marketswere efficient.37.If stock prices follow a random walkA)it implies that investors are irrational.B)it means that the market cannot be efficient.C)price levels are not random.D)price changes are random.E)price movements are predictable.Answer: D Difficulty: EasyRationale: A random walk means that the changes in prices are randomand independent.38.The main difference between the three forms of market efficiency is thatA)the definition of efficiency differs.B)the definition of excess return differs.C)the definition of prices differs.D)the definition of information differs.E)they were discovered by different people.Answer: D Difficulty: ModerateRationale: The main difference is that weak form encompasses historical data,semistrong form encompasses historical data and current public information, and strong form encompasses historical data, current public information, and inside information. All of the other definitions remain the same.39.Chartists practiceA)technical analysis.B)fundamental analysis.C)regression analysis.D)insider analysis.E)psychoanalysis.Answer: A Difficulty: EasyRationale: Chartist is another name for a technical analyst.40.Which of the following are used by fundamental analysts to determine properstock prices?I)trendlinesII)earningsIII)dividend prospectsIV) expectations of future interest ratesV)resistance levelsA)I, IV, and VB)I, II, and IIIC)II, III, and IVD)II, IV, and VE)All of the items are used by fundamental analysts.Answer: C Difficulty: ModerateRationale: Analysts look at fundamental factors such as earnings, dividend prospects, expectation of future interest rates, and risk of the firm. The information is used todetermine the present value of future cash flows to stockholders. Technical analysts use trendlines and resistance levels.41.According to proponents of the efficient market hypothesis, the best strategy for asmall investor with a portfolio worth $40,000 is probably toA)perform fundamental analysis.B)exploit market anomalies.C)invest in Treasury securities.D)invest in derivative securities.E)invest in mutual funds.Answer: E Difficulty: ModerateRationale: Individual investors tend to have relatively small portfolios and are usually unable to realize economies of size. The best strategy is to pool funds with other small investors and allow professional managers to invest the funds.42.Which of the following are investment superstars who have consistently shownsuperior performance?I)Warren BuffetII)Phoebe BuffetIII)Peter LynchIV) Merrill LynchV)Jimmy BuffetA)I, III, and IVB)II, III, and IVC)I and IIID)III and IVE)I, III, IV, and VAnswer: C Difficulty: ModerateRationale: Warren Buffet manages Berkshire Hathaway and Peter Lynch managed Fidelity's Magellan Fund. Phoebe Buffet is a character on NBC's and Jimmy Buffet is Away in Margaritaville. Merrill Lynch isn't a person.43.Google has a beta of 1.0. The annualized market return yesterday was 11%, and therisk-free rate is currently 5%. You observe that Google had an annualized returnyesterday of 14%. Assuming that markets are efficient, this suggests thatA)bad news about Google was announced yesterday.B)good news about Google was announced yesterday.C)no news about Google was announced yesterday.D)interest rates rose yesterday.E)interest rates fell yesterday.Answer: B Difficulty: ModerateRationale: AR = 14% - (5% + 1.0 (6%)) = +3.0%. A positive abnormal return suggests that there was firm-specific good news.44.Music Doctors has a beta of 2.25. The annualized market return yesterday was 12%,and the risk-free rate is currently 4%. You observe that Music Doctors had anannualized return yesterday of 15%. Assuming that markets are efficient, this suggests thatA)bad news about Music Doctors was announced yesterday.B)good news about Music Doctors was announced yesterday.C)no news about Music Doctors was announced yesterday.D)interest rates rose yesterday.E)interest rates fell yesterday.Answer: A Difficulty: ModerateRationale: AR = 15% - (4% + 2.25 (8%)) = -7.0%. A negative abnormal return suggests that there was firm-specific bad news.45.QQAG has a beta of 1.7. The annualized market return yesterday was 13%, and therisk-free rate is currently 3%. You observe that QQAG had an annualized returnyesterday of 20%. Assuming that markets are efficient, this suggests thatA)bad news about QQAG was announced yesterday.B)good news about QQAG was announced yesterday.C)no significant news about QQAG was announced yesterday.D)interest rates rose yesterday.E)interest rates fell yesterday.Answer: C Difficulty: ModerateRationale: AR = 20% - (3% + 1.7 (10%)) = 0.0%. A positive abnormal return suggests that there was firm-specific good news and a negative abnormal return suggests that there was firm-specific bad news.46.QQAG just announced yesterday that its th4 quarter earnings will be 35% higherthan last year's 4thquarter. You observe that QQAG had an abnormal return of -1.7% yesterday. This suggests thatA)the market is not efficient.B)QQAG stock will probably rise in value tomorrow.C)investors expected the earnings increase to be larger than what wasactually announced.D)investors expected the earnings increase to be smaller than what wasactually announced.E)earnings are expected to decrease next quarter.Answer: C Difficulty: ModerateRationale: Anticipated earnings changes are impounded into a security's price as soon as expectations are formed. Therefore a negative market response indicates that the earnings surprise was negative, that is, the increase was less than anticipated.47.LJP Corporation just announced yesterday that it would undertake an international jointventure. You observe that LJP had an abnormal return of 3% yesterday. This suggests thatA)the market is not efficient.B)LJP stock will probably rise in value again tomorrow.C)investors view the international joint venture as bad news.D)investors view the international joint venture as good news.E)earnings are expected to decrease next quarter.Answer: D Difficulty: Moderate48.Music Doctors just announced yesterday that its st1 quarter sales were 35% higherthan last year's 1stquarter. You observe that Music Doctors had an abnormal returnof -2% yesterday. This suggests thatA)the market is not efficient.B)Music Doctors stock will probably rise in value tomorrow.C)investors expected the sales increase to be larger than what was actually announced.D)investors expected the sales increase to be smaller than what wasactually announced.E)earnings are expected to decrease next quarter.Answer: C Difficulty: Moderate49.The Food and Drug Administration (FDA) just announced yesterday that they wouldapprove a new cancer-fighting drug from King. You observe that King had an abnormal return of 0% yesterday. This suggests thatA)the market is not efficient.B)King stock will probably rise in value tomorrow.C)King stock will probably fall in value tomorrow.D)the approval was already anticipated by the marketE)none of the above.Answer: D Difficulty: Moderate50.Your professor finds a stock-trading rule that generates excess risk-adjusted returns.Instead of publishing the results, she keeps the trading rule to herself. This is mostclosely associated with ________.A)regret avoidanceB)selection biasC)framingD)insider tradingE)none of the aboveAnswer: B Difficulty: Moderate51.At freshman orientation, 1,500 students are asked to flip a coin 20 times. One student iscrowned the winner (tossed 20 heads). This is most closely associated with ________.A)regret avoidanceB)selection biasC)overconfidenceD)the lucky event issueE)none of the aboveAnswer: D Difficulty: Moderate52.Sehun (1986) finds that the practice of monitoring insider trade disclosures, andtrading on that information, would be ________.A)extremely profitable for long-term tradersB)extremely profitable for short-term tradersC)marginally profitable for long-term tradersD)marginally profitable for short-term tradersE)not sufficiently profitable to cover trading costsAnswer: E53.If you believe in the reversal effect, you shouldA)sell bonds in this period if you held stocks in the last period.B)sell stocks in this period if you held bonds in the last period.C)sell stocks this period that performed well last period.D)go long.E) C and DAnswer: C Difficulty: EasyRationale: The reversal effect states that stocks that do well in one period tendto perform poorly in the subsequent period, and vice versa.。
投资学7版习题总答案
第1章投资环境一、单选题1. B2.B3.A4.C5.B6. B7.D8.B9.D 10.B二、多选题1. CD2.ABCD3.ABCD4.ACD5.BCD6. ABC7.ABD8.ABCD9.BCD 10.ABC三、判断题1.非2.是3.非4.是5.是6.非7.是8.非9.非 10.是四、简答题：1、从三方面来区分：（1）实物资产是能够为社会经济提供产品与服务能力的资产，包括土地、建筑物、知识、用于生产的机器设备等；金融资产不能直接对社会生产产生作用，只能简介推动社会生产，比如带来公司所有权和经营权的分离，金融资产包括股票、债券。
（2）实物资产是创造收入的资产，而金融资产只能定义为收入或财富在投资者之间的分配。
（3）实物资产和金融资产可以在资产负债表中区分开来。
实物资产一般只能在资产负债表一边的资产方出现，而金融资产可以在资产负债表的两栏出现。
2、证券化要求拥有大量的潜在投资者。
要吸引他们，资本市场需要：（1）一个安全的行业法规体系、较低的税赋和可能的严格管制；（2）相当发达的投资银行业；（3）高度发达的经纪行和金融交易体系；（4）高度发达的信息系统，尤其是在财务披露方面。
这些都是一个高度发达的金融市场的必备(实际也是构成)条件。
3、证券化导致非中介化；也就是说，它提供给市场参与者一种无须经过中介机构的方法。
例如，抵押支撑的证券将资金融通到房地产市场而无须银行或储蓄机构从它们的自有资产中提供贷款。
随着证券化的进程，金融中介必须增加它在其他方面的业务能力，例如提供金融服务或向消费者和小企业提供短期资金的融通。
4、资产在初级市场被初次销售，发行公司收到销售净收入。
同一资产的每一次后续销售都发生在次级市场，从二次销售中得到的收入由卖主获得而不是由原始发行者获得。
投资银行家通常使在初级市场上销售的操作便利化，各种有组织的兑换和场外交易市场是次级市场的例子。
5、经纪人市场是指中间人不持有资产，只是将买主和卖主聚集到一起，以佣金为收入的市场，有组织的交换主要指经纪人市场。
(完整word版)投资学第7版TestBank答案07
Multiple Choice Questions1。
Market risk is also referred to asA）systematic risk， diversifiable risk.B）systematic risk， nondiversifiable risk.C) unique risk， nondiversifiable risk.D) unique risk, diversifiable risk.E) none of the above.Answer： B Difficulty： EasyRationale： Market, systematic, and nondiversifiable risk are synonyms referring to the risk that cannot be eliminated from the portfolio。
Diversifiable， unique, nonsystematic, and firm-specific risks are synonyms referring to the risk that can be eliminated from the portfolio by diversification.2. The risk that can be diversified away isA）firm specific risk。
B) beta。
C) systematic risk.D）market risk.E) none of the above。
Answer: A Difficulty： EasyRationale: See explanations for 1 and 2 above.3. The variance of a portfolio of risky securitiesA）is a weighted sum of the securities’ variances。
完整版投资学第7版TestBank答案08
完整版投资学第7版TestBank答案08Chapter 8 Index ModelsMultiple Choice Questions1. As diversification increases, the total variance of a portfolio approaches____________.A) 0B) 1C) the variance of the market portfolioD) infinityE) none of the aboveAnswer: C Difficulty: EasyRationale: As more and more securities are added to the portfolio, unsystematic risk decreases and most of the remaining risk is systematic, as measured by the variance of the market portfolio.2. The index model was first suggested by ____________.A) GrahamB) MarkowitzC) MillerD) SharpeE) none of the aboveAnswer: D Difficulty: EasyRationale: William Sharpe, building on the work of Harry Markowitz, developed theindex model.3. A single-index model uses __________ as a proxy for the systematic risk factor.A) a market index, such as the S&P 500B) the current account deficitC) the growth rate in GNPD) the unemployment rateE) none of the aboveAnswer: A Difficulty: EasyRationale: The single-index model uses a market index, such as the S&P 500, as a proxyfor the market, and thus for systematic risk.163Chapter 8 Index Models4. The Security Risk Evaluation book published by Merrill Lynch relies on the__________ most recent monthly observations to calculate regression parameters.A) 12B) 36C) 60D) 120E) none of the aboveAnswer: C Difficulty: EasyRationale: Most published betas and other regression parameters, including those published by Merrill Lynch, are based on five years of monthly return data.5. The Security Risk Evaluation book published by Merrill Lynch uses the__________ asa proxy for the market portfolio.A) Dow Jones Industrial AverageB) Dow Jones Transportation AverageC) S&P 500 IndexD) Wilshire 5000E) none of the aboveAnswer: C Difficulty: EasyRationale: The Merrill Lynch data (and much of the other published data sets) are basedon the S&P 500 index as a market proxy.6. According to the index model, covariances among security pairs areA) due to the influence of a single common factor represented by the market index returnB) extremely difficult to calculateC) related to industry-specific eventsD) usually positiveE) A and DAnswer: E Difficulty: EasyRationale: Most securities move together most of the time, and move with a market index, or market proxy.164Chapter 8 Index Models7. The intercept calculated by Merrill Lynch in the regression equations is equal toA) αin the CAPM(1 + β) α+ rB) fC) α+ r (1 -β) fD) 1 -αE) none of the aboveAnswer: C Difficulty: ModerateRationale: The intercept that Merrill Lynch calls alpha is really, using the parameters ofthe CAPM, an estimate of a + rf (1 - b). The apparent justification for this procedure isthat, on a monthly basis, rf(1 - b) is small and is apt to beswamped by the volatility of actual stock returns.8. Analysts may use regression analysis to estimate the index model for a stock. Whendoing so, the slope of the regression line is an estimate of ______________.of the asset A) the αthe βof the asset B)C) the σof the assetD) the of the asset δnone of the above E)Answer: B Difficulty: ModerateRationale: The slope of the regression line, b, measures the volatility of the stock versusthe volatility of the market.9. In a factor model, the return on a stock in a particular period will be related to_________.A) firm-specific eventsB) macroeconomic eventsC) the error termboth A and B D)E) neither A nor BAnswer: D Difficulty: ModerateRationale: The return on a stock is related to both firm-specific and macroeconomic events.165Chapter 8 Index Models10. Rosenberg and Guy found that __________ helped to predict a firm's beta.A) the firm's financial characteristicsB) the firm's industry groupC) firm sizeD) both A and BE) A, B and C all helped to predict betas.Answer: E Difficulty: ModerateRationale: Rosenberg and Guy found that after controlling for the firm's financial characteristics, the firm's industry group was a significant predictor of the firm's beta.11. If the index model is valid, _________ would be helpful in determining the covariancebetween assets K and L.A) βkB) βLC) σMD) all of the aboveE) none of the aboveAnswer: D Difficulty: ModerateRationale: If the index model is valid A, B, and C are determinants of the covariancebetween K and L.12. Rosenberg and Guy found that ___________ helped to predict firms' betas.A) debt/asset ratiosB) market capitalizationC) variance of earningsD) all of the aboveE) none of the aboveAnswer: D Difficulty: ModerateRationale: Rosenberg and Guy found that A, B, and C were determinants of firms' betas.166Chapter 8 Index Models13. If a firm's beta was calculated as 0.6 in a regression equation, Merrill Lynch would statethe adjusted beta at a numberA) less than 0.6 but greater than zero.B) between 0.6 and 1.0.C) between 1.0 and 1.6.D) greater than 1.6.E) zero or less.Answer: B Difficulty: ModerateRationale: Betas, on average, equal one; thus, betas over time regress toward the mean,or 1. Therefore, if historic betas are less than 1, adjusted betas are between 1 and the calculated beta.14. The beta of Exxon stock has been estimated as 1.2 by Merrill Lynch using regressionanalysis on a sample of historical returns. The Merrill Lynch adjusted beta of Exxon stock would be ___________.A) 1.20B) 1.32C) 1.13D) 1.0E) none of the aboveAnswer: C Difficulty: ModerateRationale: Adjusted beta = 2/3 sample beta + 1/3(1); = 2/3(1.2) + 1/3 = 1.13.15. Assume that stock market returns do not resemble a single-index structure. An investment fund analyzes 100 stocks in order to construct a mean-variance efficient portfolio constrained by 100 investments. They will need to calculate _____________expected returns and ___________ variances of returns.A) 100, 100B) 100, 4950C) 4950, 100D) 4950, 4950E) none of the aboveAnswer: A Difficulty: ModerateRationale: The expected returns of each of the 100 securities must be calculated.Inaddition, the 100 variances around these returns must be calculated.167Chapter 8 Index Models16. Assume that stock market returns do not resemble a single-index structure. An investment fund analyzes 100 stocks in order to construct a mean-variance efficient portfolio constrained by 100 investments. They will need to calculate ____________covariances.A) 45B) 100C) 4,950D) 10,000E) none of the aboveAnswer: C Difficulty: ModerateRationale: (n2 - n)/2 = (10,000 - 100)/2 = 4,950 covariances must be calculated. 17. Assume that stock market returns do follow a single-index structure. An investmentfund analyzes 200 stocks in order to construct a mean-variance efficient portfolio constrained by 200 investments. They will need to calculate ________ estimates of expected returns and ________ estimates of sensitivity coefficients to the macroeconomic factor.A) 200; 19,900B) 200; 200C) 19,900; 200D) 19,900; 19.900E) none of the aboveAnswer: B Difficulty: ModerateRationale: For a single-index model, n(200), expected returns and n(200) sensitivity coefficients to the macroeconomic factor must be estimated.18. Assume that stock market returns do follow a single-index structure. An investmentfund analyzes 500 stocks in order to construct a mean-variance efficient portfolio constrained by 500 investments. They will need to calculate ________ estimates of firm-specific variances and ________ estimates for the variance of the macroeconomic factor.A) 500; 1B) 500; 500C) 124,750; 1D) 124,750; 500E) 250,000; 500Answer: A Difficulty: ModerateRationale: For the single-index model, n(500) estimates of firm-specific variances mustbe calculated and 1 estimate for the variance of the common macroeconomic factor. 168Chapter 8 Index Models19. Consider the single-index model. The alpha of a stock is 0%. The return on the marketindex is 16%. The risk-free rate of return is 5%. The stock earns a return that exceedsthe risk-free rate by 11% and there are no firm-specific events affecting the stock performance. The βof the stock is _______.A) 0.67B) 0.75C) 1.0D) 1.33E) 1.50Answer: C Difficulty: ModerateRationale: 11% = 0% + b(11%); b = 1.0.20. Suppose you held a well-diversified portfolio with a very large number of securities,and that the single index model holds. If the óof your portfolio was 0.20 and ówas M0.16, the βof the p ortfolio would be approximately ________.A) 0.64B) 0.80C) 1.25D) 1.56E) none of the aboveAnswer: C Difficulty: Difficult 22222 = 1.56; b = 1.25. m = b Rationale: s; (0.2)p / s/(0.16)21. Suppose the following equation best describes the evolution of βover time: β= 0.25 + 0.75βt-1t If a stock had a βof 0.6 last year, you would forecast the βto be _______ in the comingyear.A) 0.45B) 0.60。
(完整word版)投资学第7版Test Bank答案05
Multiple Choice Questions1. Over the past year you earned a nominal rate of interest of 10 percent on your money.The inflation rate was 5 percent over the same period. The exact actual growth rate of your purchasing power wasA) 15.5%.B) 10.0%.C) 5.0%.D) 4.8%.E) 15.0%Answer: D Difficulty: ModerateRationale: r = (1+R) / (1+I) - 1; 1.10% / 1.5% - 1 = 4.8%.2. A year ago, you invested $1,000 in a savings account that pays an annual interest rate of7%. What is your approximate annual real rate of return if the rate of inflation was 3% over the year?A) 4%.B) 10%.C) 7%.D) 3%.E) none of the above.Answer: A Difficulty: EasyRationale: 7% - 3% = 4%.3. If the annual real rate of interest is 5% and the expected inflation rate is 4%, the nominalrate of interest would be approximatelyA) 1%.B) 9%.C) 20%.D) 15%.E) none of the above.Answer: B Difficulty: EasyRationale: 5% + 4% = 9%.4. You purchased a share of stock for $20. One year later you received $1 as dividend andsold the share for $29. What was your holding period return?A) 45%B) 50%C) 5%D) 40%E) none of the aboveAnswer: B Difficulty: ModerateRationale: ($1 + $29 - $20)/$20 = 0.5000, or 50%.5. Which of the following determine(s) the level of real interest rates?I)the supply of savings by households and business firmsII)the demand for investment fundsIII)the government's net supply and/or demand for fundsA) I onlyB) II onlyC) I and II onlyD) I, II, and IIIE) none of the aboveAnswer: D Difficulty: ModerateRationale: The value of savings by households is the major supply of funds; the demand for investment funds is a portion of the total demand for funds; the government'sposition can be one of either net supplier, or net demander of funds. The above factors constitute the total supply and demand for funds, which determine real interest rates.6. Which of the following statement(s) is (are) true?I)The real rate of interest is determined by the supply and demand for funds.II)The real rate of interest is determined by the expected rate of inflation.III)The real rate of interest can be affected by actions of the Fed.IV)The real rate of interest is equal to the nominal interest rate plus the expected rate of inflation.A) I and II only.B) I and III only.C) III and IV only.D) II and III only.E) I, II, III, and IV onlyAnswer: B Difficulty: ModerateRationale: The expected rate of inflation is a determinant of nominal, not real, interest rates. Real rates are determined by the supply and demand for funds, which can be affected by the Fed.7. Which of the following statements is true?A) Inflation has no effect on the nominal rate of interest.B) The realized nominal rate of interest is always greater than the real rate of interest.C) Certificates of deposit offer a guaranteed real rate of interest.D) None of the above is true.E) A, B and CAnswer: D Difficulty: ModerateRationale: Expected inflation rates are a determinant of nominal interest rates. The realized nominal rate of interest would be negative if the difference between actual and anticipated inflation rates exceeded the real rate. The realized nominal rate of interest would be less than the real rate if the unexpected inflation were greater than the real rate of interest. Certificates of deposit contain a real rate based on an estimate of inflation that is not guaranteed.8. Other things equal, an increase in the government budget deficitA) drives the interest rate down.B) drives the interest rate up.C) might not have any effect on interest rates.D) increases business prospects.E) none of the above.Answer: B Difficulty: ModerateRationale: An increase in the government budget deficit, other things equal, causes the government to increase its borrowing, which increases the demand for funds and drives interest rates up.9. Ceteris paribus, a decrease in the demand for loanable fundsA) drives the interest rate down.B) drives the interest rate up.C) might not have any effect on interest rate.D) results from an increase in business prospects and a decrease in the level of savings.E) none of the above.Answer: A Difficulty: ModerateRationale: A decrease in demand, ceteris paribus, always drives interest rates down. An increase in business prospects would increase the demand for funds. The savings level affects the supply of, not the demand for, funds.10. The holding period return (HPR) on a share of stock is equal toA) the capital gain yield during the period, plus the inflation rate.B) the capital gain yield during the period, plus the dividend yield.C) the current yield, plus the dividend yield.D) the dividend yield, plus the risk premium.E) the change in stock price.Answer: B Difficulty: ModerateRationale: The HPR of any investment is the sum of the capital gain and the cash flow over the period, which for common stock is B.11. Historical records regarding return on stocks, Treasury bonds, and Treasury billsbetween 1926 and 2005 show thatA) stocks offered investors greater rates of return than bonds and bills.B) stock returns were less volatile than those of bonds and bills.C) bonds offered investors greater rates of return than stocks and bills.D) bills outperformed stocks and bonds.E) treasury bills always offered a rate of return greater than inflation.Answer: A Difficulty: ModerateRationale: The historical data show that, as expected, stocks offer a greater return and greater volatility than the other investment alternatives. Inflation sometimes exceeded the T-bill return.12. If the interest rate paid by borrowers and the interest rate received by savers accuratelyreflects the realized rate of inflation:A) borrowers gain and savers lose.B) savers gain and borrowers lose.C) both borrowers and savers lose.D) neither borrowers nor savers gain or lose.E) both borrowers and savers gain.Answer: D Difficulty: ModerateRationale: If the described interest rate accurately reflects the rate of inflation, bothborrowers and lenders are paying and receiving, respectively, the real rate of interest;thus, neither group gains.Use the following to answer questions 13-15:You have been given this probability distribution for the holding period return for KMP stock:13. What is the expected holding period return for KMP stock?A) 10.40%B) 9.32%C) 11.63%D) 11.54%E) 10.88%Answer: A Difficulty: ModerateRationale: HPR = .30 (18%) + .50 (12%) + .20 (-5%) = 10.4%14. What is the expected standard deviation for KMP stock?A) 6.91%B) 8.13%C) 7.79%D) 7.25%E) 8.85%Answer: B Difficulty: DifficultRationale: s = [.30 (18 - 10.4)2 + .50 (12 - 10.4)2 + .20 (-5 - 10.4)2]1/2 = 8.13%15. What is the expected variance for KMP stock?A) 66.04%B) 69.96%C) 77.04%D) 63.72%E) 78.45%Answer: A Difficulty: DifficultRationale: s = [.30 (18 - 10.4)2 + .50 (12 - 10.4)2 + .20 (-5 - 10.4)2] = 66.04%16. If the nominal return is constant, the after-tax real rate of returnA) declines as the inflation rate increases.B) increases as the inflation rate increases.C) declines as the inflation rate declines.D) increases as the inflation rate decreases.E) A and D.Answer: E Difficulty: ModerateRationale: Inflation rates have an inverse effect on after-tax real rates of return.17. The risk premium for common stocksA) cannot be zero, for investors would be unwilling to invest in common stocks.B) must always be positive, in theory.C) is negative, as common stocks are risky.D) A and B.E) A and C.Answer: D Difficulty: ModerateRationale: If the risk premium for common stocks were zero or negative, investorswould be unwilling to accept the lower returns for the increased risk.18. A risk-free intermediate or long-term investmentA) is free of all types of risk.B) does not guarantee the future purchasing power of its cash flows.C) does guarantee the future purchasing power of its cash flows as it is insured by the U.S. Treasury.D) A and B.E) B and C.Answer: B Difficulty: ModerateRationale: A risk-free U. S. Treasury bond is a fixed income instrument, and thus does not guarantee the future purchasing power of its cash flows. As a result, purchasing power risk is present.19. You purchase a share of Boeing stock for $90. One year later, after receiving a dividendof $3, you sell the stock for $92. What was your holding period return?A) 4.44%B) 2.22%C) 3.33%D) 5.56%E) none of the aboveAnswer: D Difficulty: ModerateRationale: HPR = (92 - 90 + 3) / 90 = 5.56%20. Toyota stock has the following probability distribution of expected prices one year fromnow:If you buy Toyota today for $55 and it will pay a dividend during the year of $4 per share, what is your expected holding period return on Toyota?A) 17.72%B) 18.89%C) 17.91%D) 18.18%E) None of the aboveAnswer: D Difficulty: DifficultRationale: E(P1) = .25 (54/55 - 1) + .40 (64/55 - 1) + .35 (74/55 - 1) = 18.18%.21. Which of the following factors would not be expected to affect the nominal interestrate?A) the supply of loanable fundsB) the demand for loanable fundsC) the coupon rate on previously issued government bondsD) the expected rate of inflationE) government spending and borrowingAnswer: C Difficulty: EasyRationale: The nominal interest rate is affected by supply, demand, government actions and inflation. Coupon rates on previously issued government bonds reflect historical interest rates but should not affect the current level of interest rates.22. Your Certificate of Deposit will mature in one week and you are considering how toinvest the proceeds. If you invest in a 30-day CD the bank will pay you 4%. If you invest in a 2-year CD the bank will pay you 6% interest. Which option would youchoose?A) the 30-day CD, no matter what you expect interest rates to do in the futureB) the 2-year CD, no matter what you expect interest rates to do in the futureC) the 30-day CD if you expect that interest rates will fall in the futureD) the 2-year CD if you expect that interest rates will fall in the futureE) You would be indifferent between the 30-day and the 2-year CDs.Answer: D Difficulty: ModerateRationale: You would prefer to lock in the higher rate on the 2-year CD rather than subject yourself to reinvestment rate risk. If you expected interest rates to rise in the future the opposite choice would be better.23. In words, the real rate of interest is approximately equal toA) the nominal rate minus the inflation rate.B) the inflation rate minus the nominal rate.C) the nominal rate times the inflation rate.D) the inflation rate divided by the nominal rate.E) the nominal rate plus the inflation rate.Answer: A Difficulty: EasyRationale: The actual relationship is (1 + real rate) = (1 + nominal rate) / (1 + inflation rate). This can be approximated by the equation: real rate = nominal rate - inflation rate.24. If the Federal Reserve lowers the discount rate, ceteris paribus, the equilibrium levels offunds lent will __________ and the equilibrium level of real interest rates will___________A) increase; increaseB) increase; decreaseC) decrease; increaseD) decrease; decreaseE) reverse direction from their previous trendsAnswer: B Difficulty: ModerateRationale: A lower discount rate would encourage banks to make more loans, which would increase the money supply. The supply curve would shift to the right and the equilibrium level of funds would increase while the equilibrium interest rate would fall.25. What has been the relationship between T-Bill rates and inflation rates since the 1980s?A) The T-Bill rate was sometimes higher than and sometimes lower than the inflationrate.B) The T-Bill rate has equaled the inflation rate plus a constant percentage.C) The inflation rate has equaled the T-Bill rate plus a constant percentage.D) The T-Bill rate has been higher than the inflation rate almost the entire period.E) The T-Bill rate has been lower than the inflation rate almost the entire period.Answer: D Difficulty: ModerateRationale: The T-Bill rate was higher than the inflation rate for over two decades.26. “Bracket Creep” happens whenA) tax liabilities are based on real income and there is a negative inflation rate.B) tax liabilities are based on real income and there is a positive inflation rate.C) tax liabilities are based on nominal income and there is a negative inflation rate.D) tax liabilities are based on nominal income and there is a positive inflation rate.E) too many peculiar people make their way into the highest tax bracket.Answer: D Difficulty: ModerateRationale: A positive inflation rate typically leads to higher nominal income. Higher nominal income means people will have higher tax liabilities and in some cases will put them in higher tax brackets. This can happen even when real income has declined.27. The holding-period return (HPR) for a stock is equal toA) the real yield minus the inflation rate.B) the nominal yield minus the real yield.C) the capital gains yield minus the tax rate.D) the capital gains yield minus the dividend yield.E) the dividend yield plus the capital gains yield.Answer: E Difficulty: EasyRationale: HPR consists of an income component and a price change component. The income component on a stock is the dividend yield. The price change component is the capital gains yield.28. The historical arithmetic rate of return on small stocks over the 1926-2005 period hasbeen _______. The standard deviation of small stocks' returns has been ________ than the standard deviation of large stocks' returns.A) 12.43%, lowerB) 13.11%, lowerC) 16.24%, higherD) 17.95%, higherE) 21.53%, higherAnswer: D Difficulty: ModerateRationale: See Table 5-5.Use the following to answer question 29:You have been given this probability distribution for the holding period return for Cheese, Inc stock:29. Assuming that the expected return on Cheese's stock is 14.35%, what is the standarddeviation of these returns?A) 4.72%B) 6.30%C) 4.38%D) 5.74%E) None of the aboveAnswer: D Difficulty: ModerateRationale: Variance = .20*(24-14.35)2 + .45*(15-14.35)2 + .35*(8-14.35)2 = 32.9275.Standard deviation = 32.9275.1/2 = 5.74.30. An investor purchased a bond 45 days ago for $985. He received $15 in interest andsold the bond for $980. What is the holding period return on his investment?A) 1.52%B) 0.50%C) 1.92%D) 0.01%E) None of the aboveAnswer: E Difficulty: EasyRationale: HPR = ($15+980-985)/$985 = .010152284 = approximately 1.02%.31. Over the past year you earned a nominal rate of interest of 8 percent on your money.The inflation rate was 3.5 percent over the same period. The exact actual growth rate of your purchasing power wasA) 15.55%.B) 4.35%.C) 5.02%.D) 4.81%.E) 15.04%Answer: B Difficulty: ModerateRationale: r = (1+R) / (1+I) - 1; 1.08 / 1.035 - 1 = 4.35%.32. Over the past year you earned a nominal rate of interest of 14 percent on your money.The inflation rate was 2 percent over the same period. The exact actual growth rate of your purchasing power wasA) 11.76%.B) 16.00%.C) 15.02%.D) 14.32%.E) none of the above.Answer: A Difficulty: ModerateRationale: r = (1+R) / (1+I) - 1; 1.14 / 1.02 - 1 = 11.76%.33. Over the past year you earned a nominal rate of interest of 12.5 percent on your money.The inflation rate was 2.6 percent over the same period. The exact actual growth rate of your purchasing power wasA) 9.15%.B) 9.90%.C) 9.65%.D) 10.52%.E) none of the above.Answer: C Difficulty: ModerateRationale: r = (1+R) / (1+I) - 1; 1.125 / 1.026 - 1 = 9.65%.34. A year ago, you invested $1,000 in a savings account that pays an annual interest rate of4%. What is your approximate annual real rate of return if the rate of inflation was 2% over the year?A) 4%.B) 2%.C) 6%.D) 3%.E) none of the above.Answer: B Difficulty: EasyRationale: 4% - 2% = 2%.35. A year ago, you invested $2,500 in a savings account that pays an annual interest rate of2.5%. What is your approximate annual real rate of return if the rate of inflation was1.6% over the year?A) 4.1%.B) 2.5%.C) 2.9%.D) 1.6%.E) none of the above.Answer: E Difficulty: EasyRationale: 2.5% - 1.6% = 0.9%.36. A year ago, you invested $12,000 in an investment that produced a return of 16%. Whatis your approximate annual real rate of return if the rate of inflation was 2% over the year?A) 18%.B) 2%.C) 16%.D) 15%.E) none of the above.Answer: E Difficulty: EasyRationale: 16% - 2% = 14%.37. If the annual real rate of interest is 3.5% and the expected inflation rate is 2.5%, thenominal rate of interest would be approximatelyA) 3.5%.B) 2.5%.C) 1%.D) 6.8%.E) none of the above.Answer: E Difficulty: EasyRationale: 3.5% + 2.5% = 6%.38. If the annual real rate of interest is 2.5% and the expected inflation rate is 3.4%, thenominal rate of interest would be approximatelyA) 4.9%.B) 0.9%.C) -0.9%.D) 7%.E) none of the above.Answer: E Difficulty: EasyRationale: 2.5% + 3.4% = 5.9%.39. If the annual real rate of interest is 4% and the expected inflation rate is 3%, the nominalrate of interest would be approximatelyA) 4%.B) 3%.C) 1%.D) 5%.E) none of the above.Answer: E Difficulty: EasyRationale: 4% + 3% = 7%.40. You purchased a share of stock for $12. One year later you received $0.25 as dividendand sold the share for $12.92. What was your holding period return?A) 9.75%B) 10.65%C) 11.75%D) 11.25%E) none of the aboveAnswer: A Difficulty: ModerateRationale: ($0.25 + $12.92 - $12)/$12 = 0.975, or 9.75%.41. You purchased a share of stock for $120. One year later you received $1.82 as dividendand sold the share for $136. What was your holding period return?A) 15.67%B) 22.12%C) 15.67%D) 13.24%E) none of the aboveAnswer: E Difficulty: ModerateRationale: ($1.82 + $136 - $120)/$120 = 0.1485, or 14.85%.42. You purchased a share of stock for $65. One year later you received $2.37 as dividendand sold the share for $63. What was your holding period return?A) 0.57%B) -0.2550%C) -0.89%D) 1.63%E) none of the aboveAnswer: A Difficulty: ModerateRationale: ($2.37 + $63 - $65)/$65 = 0.0056, or 0.57%.Use the following to answer questions 43-45:You have been given this probability distribution for the holding period return for a stock:43. What is the expected holding period return for the stock?A) 11.67%B) 8.33%C) 9.56%D) 12.4%E) None of the aboveAnswer: E Difficulty: ModerateRationale: HPR = .40 (22%) + .35 (11%) + .25 (-9%) = 10.4%44. What is the expected standard deviation for the stock?A) 2.07%B) 9.96%C) 7.04%D) 1.44%E) None of the aboveAnswer: E Difficulty: DifficultRationale: s = [.40 (22 - 10.4)2 + .35 (11 - 10.4)2 + .25 (-9 - 10.4)2]1/2 = 12.167%45. What is the expected variance for the stock?A) 142.07%B) 189.96%C) 177.04%D) 128.17%E) None of the aboveAnswer: E Difficulty: DifficultRationale: s = [ .40 (22 - 10.4)2 + .35 (11 - 10.4)2 + .25 (-9 - 10.4)2] = 148.04%46. Which of the following measures of risk best highlights the potential loss from extremenegative returns?A) Standard deviationB) VarianceC) Upper partial standard deviationD) Value at Risk (VaR)E) None of the aboveAnswer: D Difficulty: Moderate47. Over the past year you earned a nominal rate of interest of 3.6 percent on your money.The inflation rate was 3.1 percent over the same period. The exact actual growth rate of your purchasing power wasA) 3.6%.B) 3.1%.C) 0.5%.D) 6.7%.E) none of the aboveAnswer: E Difficulty: ModerateRationale: r = (1+R) / (1+I) - 1; 1.036/ 1.031% - 1 = 0.328%.48. A year ago, you invested $1,000 in a savings account that pays an annual interest rate of4.3%. What is your approximate annual real rate of return if the rate of inflation was 3%over the year?A) 4.3%.B) -1.3%.C) 7.3%.D) 3%.E) none of the above.Answer: E Difficulty: EasyRationale: 4.3% - 3% = 1.3%.49. If the annual real rate of interest is 3.5% and the expected inflation rate is 3.5%, thenominal rate of interest would be approximatelyA) 0%.B) 3.5%.C) 12.25%.D) 7%.E) none of the above.Answer: D Difficulty: EasyRationale: 3.5% + 3.5% = 7%.50. You purchased a share of CSCO stock for $20. One year later you received $2 asdividend and sold the share for $31. What was your holding period return?A) 45%B) 50%C) 60%D) 40%E) none of the aboveAnswer: E Difficulty: ModerateRationale: ($2 + $31 - $20)/$20 = 0.65, or 65%.Use the following to answer questions 51-53:You have been given this probability distribution for the holding period return for GM stock:51. What is the expected holding period return for GM stock?A) 10.4%B) 11.4%C) 12.4%D) 13.4%E) 14.4%Answer: E Difficulty: ModerateRationale: HPR = .40 (30%) + .40 (11%) + .20 (-10%) = 14.4%52. What is the expected standard deviation for GM stock?A) 16.91%B) 16.13%C) 13.79%D) 15.25%E) 14.87%Answer: E Difficulty: DifficultRationale: s = [.40 (30 - 14.4)2 + .40 (11 - 14.4)2 + .20 (-10 - 14.4)2]1/2 = 14.87%53. What is the expected variance for GM stock?A) 200.00%B) 221.04%C) 246.37%D) 14.87%E) 16.13%Answer: B Difficulty: DifficultRationale: s = [.40 (30 - 14.4)2 + .40 (11 - 14.4)2 + .20 (-10 - 14.4)2] = 221.04%54. You purchase a share of CAT stock for $90. One year later, after receiving a dividendof $4, you sell the stock for $97. What was your holding period return?A) 14.44%B) 12.22%C) 13.33%D) 5.56%E) none of the aboveAnswer: B Difficulty: ModerateRationale: HPR = ([97 - 90] + 4) / 90 = 12.22%55. When comparing investments with different horizons the ____________ provides themore accurate comparison.A) arithmetic averageB) effective annual rateC) average annual returnD) historical annual averageE) none of the aboveAnswer: B Difficulty: Easy56. Annual Percentage Rates (APRs) are computed usingA) simple interest.B) compound interest.C) either A or B can be used.D) best estimates of expected real costs.E) none of the above.Answer: B Difficulty: Easy57. An investment provides a 2% return semi-annually, its effective annual rate isA) 2%.B) 4%.C) 4.02%D) 4.04%E) none of the aboveAnswer: D Difficulty: ModerateRationale: (1.02)2 -1 = 4.04%58. An investment provides a 3% return semi-annually, its effective annual rate isA) 3%.B) 6%.C) 6.06%D) 6.09%E) none of the aboveAnswer: D Difficulty: ModerateRationale: (1.03)2 -1 = 6.09%59. An investment provides a 2.1% return quarterly, its effective annual rate isA) 2.1%.B) 8.4%.C) 8.56%D) 8.67%E) none of the aboveAnswer: D Difficulty: ModerateRationale: (1.021)4 -1 = 8.67%60. Skewnes is a measure of ____________.A) how fat the tails of a distribution areB) the downside risk of a distributionC) the normality of a distributionD) the dividend yield of the distributionE) None of the aboveAnswer: C Difficulty: Moderate61. Kurtosis is a measure of ____________.A) how fat the tails of a distribution areB) the downside risk of a distributionC) the normality of a distributionD) the dividend yield of the distributionE) A and CAnswer: C Difficulty: Moderate62. When a distribution is positively skewed, ____________.A) standard deviation overestimates riskB) standard deviation correctly estimates riskC) standard deviation underestimates riskD) the tails are fatter than in a normal distributionE) none of the aboveAnswer: A Difficulty: Moderate63. When a distribution is negatively skewed, ____________.A) standard deviation overestimates riskB) standard deviation correctly estimates riskC) standard deviation underestimates riskD) the tails are fatter than in a normal distributionE) none of the aboveAnswer: C Difficulty: Moderate64. If a distribution has “fat tails” it exhibitsA) positive skewnessB) negative skewnessC) a kurtosis of zeroD) kutrosisE) A and DAnswer: D Difficulty: ModerateEssay Questions65. Discuss the relationships between interest rates (both real and nominal), expectedinflation rates, and tax rates on investment returns.Difficulty: ModerateAnswer:The nominal interest rate is the quoted interest rate; however this rate is approximately equal to the real rate of interest plus the expected rate of inflation. Thus, an investor is expecting to earn the real rate in terms of the increased purchasing power resulting from the investment. In addition, the investor should consider the after-tax returns on theinvestment. The higher the inflation rate, the lower the real after-tax rate of return.Investors suffer an inflation penalty equal to the tax rate times the inflation rate.The rationale for this question is to ascertain that the student understands therelationships among these basic determinants of the after-tax real rate of return.66. Discuss why common stocks must earn a risk premium.Difficulty: EasyAnswer:Most investors are risk averse; that is, in order to accept the risk involved in investing in common stocks, the investors expect a return from the stocks over and above the return the investors could earn from a risk-free investment, such as U. S. Treasury issues. This excess return (the return in excess of the risk-free rate) is the risk premium required by the investors to invest in common stocks.The purpose of this question is to ascertain that the students understanding the basicrisk-return relationship, as the relationship applies to investing in common stocks vs. a risk-free asset (i.e., why would investors be willing to assume the risk of common stock as investment vehicles)?67. Discuss the law of one price and how this concept relates to the possibility of earningarbitrage profits?Difficulty: ModerateAnswer:The law of one price states that equivalent securities are equally (or almost equally) priced when sold on different markets. As a result, risk-free arbitrage profits should not be possible.The purpose of this question to introduce the student to arbitrage profits and market efficiency.68. Discuss the historical distributions of each of the following in terms of their averagereturn and the dispersion of their returns: U. S. small company stocks, U. S. largecompany stocks, U. S. long-term government bonds, and U.S. T-bills. Would any of these investments cause a loss in purchasing power during a 1926-2005 holding period?Difficulty: DifficultAnswer:The data given in Tables 5.3 & 5.5Whether the averages are measured on a geometric basis or an arithmetic basis, theranking is always the same, with small company average>large companyaverage>government bond average>T-bill average. With regard to risk, therelationships among the standard deviations are small company>largecompany>government bonds>T-bills. These ranks indicate that the ex-post dataconfirm what would be expected - higher returns are earned to compensate for theincreased risk. None of these investments would have caused a loss in purchasingpower during the 1926-2002 period, because all had average returns higher than the average inflation rate.The goal of this question is to see if students have a general idea of the historicalrelationships among the returns and risk levels of various categories of investmentsrelative to each other and to the level of inflation.。
投资学第7版TestBank答案
投资学第7版TestBank答案Multiple Choice Questions1. Shares of several foreign firms are traded in the . markets in the formofA) ADRsB) ECUsC) single-country fundsD) all of the aboveE) none of the aboveAnswer: A Difficulty: EasyRationale: American Depository Receipts (ADRs) allow U. S. investors to invest in foreign stocks via transactions on the . stock exchanges.2. __________ refers to the possibility of expropriation of assets, changesin tax policy, and the possibility of restrictions on foreign exchange transactions.A) default riskB) foreign exchange riskC) market riskD) political riskE) none of the aboveAnswer: D Difficulty: EasyRationale: All of the above factors are political in nature, and thus are examples of political risk.3. __________ are mutual funds that invest in one country only.A) ADRsB) ECUsC) single-country fundsD) all of the aboveE) none of the aboveAnswer: C Difficulty: EasyRationale: Mutual funds that invest in the stocks of one country only are called single-country funds.4. The performance of an internationally diversified portfolio may beaffected byA) country selectionB) currency selectionC) stock selectionD) all of the aboveE) none of the aboveAnswer: D Difficulty: EasyRationale: All of the above factors may affect the performance of an international portfolio.5. Over the period 2001-2005, most correlations between the . stock indexand stock-index portfolios of other countries wereA) negativeB) positive but less than .9C) approximately zeroD) .9 or aboveE) none of the aboveAnswer: B Difficulty: ModerateRationale: Correlation coefficients were typically below .9, while correlations between well-diversified U. S. market portfolios were typically above .9. See Table .6. The __________ index is a widely used index of . stocks.A) CBOEB) Dow JonesC) EAFED) all of the aboveE) none of the aboveAnswer: C Difficulty: EasyRationale: The Europe, Australia, Far East (EAFE) index computed by Morgan Stanley is a widely used index of . stocks.7. The __________ equity market had the highest average local currency returnbetween 2001 and 2005.A) RussianB) NorwegianC) .D) .E) none of the aboveAnswer: A Difficulty: ModerateRationale: See Table .8. The __________ equity market had the highest average . dollar returnbetween 2001 and 2005.A) RussianB) FinnishC) ColumbianD) .E) none of the aboveAnswer: C Difficulty: ModerateRationale: See Table .9. The __________ equity market had the highest average . dollar standarddeviation between 2001 and 2005.A) TurkishB) FinnishC) IndonesianD) .E) none of the aboveAnswer: A Difficulty: ModerateRationale: See Table .10. The __________ equity market had the highest average local currencystandard deviation between 2001 and 2005.A) TurkishB) FinnishC) IndonesianD) .E) none of the aboveAnswer: A Difficulty: ModerateRationale: See Table .11. In 2005, the . equity market represented __________ of the world equitymarket.A) 19%B) 60%C) 43%D) 39%E) none of the aboveAnswer: D Difficulty: ModerateRationale: See Table .12. The straightforward generalization of the simple CAPM to internationalstocks is problematic because __________.A) inflation risk perceptions by different investors in differentcountries will differ as consumption baskets differB) investors in different countries view exchange rate risk from theperspective of different domestic currenciesC) taxes, transaction costs and capital barriers across countries makeit difficult for investor to hold a world index portfolioD) all of the aboveE) none of the above.Answer: D Difficulty: ModerateRationale: All of the above factors make a broad generalization of the CAPM to international stocks problematic.13. The yield on a 1-year bill in the . is 8% and the present exchange rateis 1 pound = U. S. $. If you expect the exchange rate to be 1 pound - U. S. $ a year from now, the return a U. S. investor can expect to earn by investing in . bills isA) %B) 0%C) 8%D) %E) none of the aboveAnswer: D Difficulty: ModerateRationale: r(US) = [1 + r(UK)]F0/E0 - 1; [][] - 1 = %.14. Suppose the 1-year risk-free rate of return in the U. S. is 5%. The currentexchange rate is 1 pound = U. S. $. The 1-year forward rate is 1 pound = $. What is the minimum yield on a 1-year risk-freesecurity in Britain that would induce a U. S. investor to invest in the British security?A) %B) %C) %D) %E) none of the aboveAnswer: C Difficulty: ModerateRationale: = (1 + r) X [] - 1; r = %.15. The interest rate on a 1-year Canadian security is 8%. The current exchangerate is C$ = US $. The 1-year forward rate is C$ = US $. The return (denominated in . $) that a . investor can earn by investing in the Canadian security is __________.A) %B) %C) %D) %E) none of the aboveAnswer: C Difficulty: ModerateRationale: [] = x - 1; x = %.16. Suppose the 1-year risk-free rate of return in the . is 4% and the 1-yearrisk-free rate of return in Britain is 7%. The current exchange rate is1 pound = . $. A 1-year future exchange rate of __________ for the poundwould make a U. S. investor indifferent between investing in the U. S.security and investing the British security.A)B)C)D)E) none of the aboveAnswer: A Difficulty: ModerateRationale: = x/; x = .17. The present exchange rate is C$ = U. S. $. The one year future rate isC$ = U. S. $. The yield on a 1-year . bill is 4%. A yield of __________ on a 1-year __________ Canadian bill will make investor indifferentbetween investing in the . bill and the Canadian bill.A) %B) %C) %D) %E) none of the aboveAnswer: D Difficulty: ModerateRationale: = [($$(1 + r)] - 1; r = %.Use the following to answer questions 18-19:Assume there is a fixed exchange rate between the Canadian and . dollar. The expected return and standard deviation of return on the . stock market are 18% and 15%, respectively. The expected return and standard deviation on the Canadian stock market are 13% and 20%, respectively. The covariance of returns between the . and Canadian stock markets is %.18. If you invested 50% of your money in the Canadian stock market and 50%in the . stock market, the expected return on your portfoliowould be __________.A) %B) %C) %D) %E) none of the aboveAnswer: D Difficulty: ModerateRationale: 18% + 13% = %.19. If you invested 50% of your money in the Canadian stock market and 50%in the . stock market, the standard deviation of return of your portfolio would be __________.A) %B) %C) %D) %E) none of the aboveAnswer: A Difficulty: Difficult= [2(15%)2 + 2(20%)2 + 2]1/2 = %.Rationale: sP20. The major concern that has been raised with respect to the weighting ofcountries within the EAFE index isA) currency volatilities are not considered in the weighting.B) cross-correlations are not considered in the weighting.C) inflation is not represented in the weighting.D) the weights are not proportional to the asset bases of the respectivecountries.Answer: D Difficulty: ModerateRationale: Some argue that countries should be weighted in proportion to their GDP to properly adjust for the true size of their corporate sectors, since many firms are not publicly traded.21. You are a U. S. investor who purchased British securities for 2,000 poundsone year ago when the British pound cost $. No dividends were paid on the British securities in the past year. Your total return based on U. S.dollars was __________ if the value of the securities is now 2,400 pounds and the pound is worth $.A) %B) %C) %D) %E) none of the aboveAnswer: C Difficulty: ModerateRationale: ($3,840 - $3,000)/$3,000 = , or %.22. . investorsA) can trade derivative securities based on prices in foreign securitymarkets.B) cannot trade foreign derivative securities.C) can trade options and futures on the Nikkei stock index of 225 stockstraded on the Tokyo stock exchange and on FTSE (Financial Times ShareExchange) indexes of . and European stocks.D) A and C.Answer: D Difficulty: ModerateRationale: U. S. investors can invest as indicated in A, examples of which are given in C.23. Exchange rate riskA) results from changes in the exchange rates in the currencies of theinvestor and the country in which the investment is made.B) can be hedged by using a forward or futures contract in foreignexchange.C) cannot be eliminated.D) A and C.E) A and B.Answer: E Difficulty: ModerateRationale: Although international investing involves risk resulting from the changing exchange rates between currencies, this risk can be hedged by using a forward or futures contract in foreign exchange.24. International investingA) cannot be measured against a passive benchmark, such as the S&P 500.B) can be measured against a widely used index of non-U. S. stocks, theEAFE index (Europe, Australia, Far East).C) can be measured against international indexes computed by MorganStanley, Salomon Brothers, First Boston and Goldman, Sachs, amongothers.D) B and C.E) none of the above.Answer: D Difficulty: ModerateRationale: International investments can be evaluated against aninternational index, such as EAFE, created by Morgan Stanley, and others that have become available in recent years.25. Investors looking for effective international diversification shouldA) invest about 60% of their money in foreign stocks.B) invest the same percentage of their money in foreign stocks thatforeign equities represent in the world equity market.C) frequently hedge currency exposure.D) both A and B.E) none of the above.Answer: E Difficulty: ModerateUse the following to answer questions 26-28:The manager of Quantitative International Fund uses EAFE as a benchmark. Last year's performance for the fund and the benchmark were as follows:26. Calculate Quantitative's currency selection return contribution.A) +20%B) -5%C) +15%D) +5%E) -10%Answer: B Difficulty: DifficultRationale: EAFE: (.30)(10%) + (.10)(-10%) + (.60)(30%) = 20%appreciation;Diversified: (.25)(10%) + (.25)(-10%) + (.50)(30%) = 15% appreciation;Loss of 5% relative to EAFE.27. Calculate Quantitative's country selection return contribution.A) %B) %C) %D) %E) %Answer: D Difficulty: DifficultRationale: EAFE: (.30)(10%) + (.10)(5%) + (.60)(15%) = %; Diversified: (.25)(10%) + (.25)(5%) + (.50)(15%) = %; Loss of % relative to EAFE.28. Calculate Quantitative's stock selection return contribution.A) %B) %C) %D) %E) none of the above.Answer: A Difficulty: ModerateRationale: (9% - 10%).25 + (8% - 5%).25 + (16% - 15%).50 = %29. Using the S&P500 portfolio as a proxy of the market portfolioA) is appropriate because . securities represent more than 60% of worldequities.B) is appropriate because most . investors are primarilyinterested in .securities.C) is appropriate because most . and . investors are primarily interestedin . securities.D) is inappropriate because . securities make up less than 40% of worldequities.E) is inappropriate because the average . investor has less than 20% ofher portfolio in . equities.Answer: D Difficulty: EasyRationale: It is important to take a global perspective when making investment decisions. The S&P500 is increasingly inappropriate.30. The average country equity market share isA) less than 2%B) between 3% and 4%C) between 5% and 7%D) between 7% and 8%E) greater than 8%Answer: A Difficulty: ModerateRationale: This is stated in the text and confirmed by Table .31. When an investor adds international stocks to her portfolioA) it will raise her risk relative to the risk she would face just holding .stocks.B) she can reduce its risk relative to the risk she would face just holding .stocks.C) she will increase her expected return, but must also take on more risk.D) it will have no significant impact on either the risk or the returnof her portfolio.E) she needs to seek professional management because she doesn't haveaccess to international stocks on her own.Answer: B Difficulty: EasyRationale: See Figure .32. Which of the following countries has an equity index that lies on theefficient frontier generated by allowing international diversification?A) the United StatesB) the United KingdomC) JapanD) NorwayE) none of the above--each of these countries' indexes fall inside theefficient frontier.Answer: E Difficulty: ModerateRationale: See Figure . To get to the efficient frontier you would need to combine the countries' indexes.33. “ADRs” stands for ___________ and “WEBS” stands for ____________.A) Additional Dollar Returns; Weekly Equity and Bond SurveyB) Additional Daily Returns; World Equity and Bond SurveyC) American Dollar Returns; World Equity and Bond StatisticsD) American Depository Receipts; World Equity Benchmark SharesE) Adjusted Dollar Returns; Weighted Equity Benchmark SharesAnswer: D Difficulty: EasyRationale: The student should be familiar with these basic terms that relate to international investing.34. WEBS portfoliosA) are passively managed.B) are shares that can be sold by investors.C) are free from brokerage commissions.D) A and BE) A, B, and CAnswer: D Difficulty: ModerateRationale: They are passively managed and when holders want to divest their shares they sell them rather than redeeming them with the company that issued them. There are brokerage commissions, however.35. The EAFE isA) the East Asia Foreign Equity index.B) the Economic Advisor's Foreign Estimator index.C) the European and Asian Foreign Equity index.D) The European, Asian, French Equity index.E) the European, Australian, Far East index.Answer: E Difficulty: EasyRationale: The index is one of several world equity indices that exist.It is computed by Morgan Stanley.36. Home bias refers toA) the tendency to vacation in your home country instead oftravelingabroad.B) the tendency to believe that your home country is better than othercountries.C) the tendency to give preferential treatment to people from your homecountry.D) the tendency to overweight investments in your home country.E) none of the above.Answer: DEssay Questions37. Discuss performance evaluation of international portfolio managers interms of potential sources of abnormal returns.Difficulty: ModerateAnswer:The following factors may be measured to determine the performance of an international portfolio manager.(A)C urrency selection: a benchmark might be the weighted average of thecurrency appreciation of the currencies represented in the EAFEportfolio.(B)C ountry selection measures the contribution to performanceattributable to investing in the better-performing stock markets ofthe world. Country selection can be measured as theweighted averageof the equity index returns of each country using as weights the shareof the manager's portfolio in each country.(C)S tock selection ability may be measured as the weighted average ofequity returns in excess of the equity index in each country.(D)C ash/bond selection may be measured as the excess return derived fromweighting bonds and bills differently from some benchmark weights.The rationale for this question is to determine the student's understanding of evaluating the various components of potential abnormal returns resulting from actively managing an international portfolio. 38. Discuss some of the factors that might be included in a multifactor modelof security returns in an international application of arbitrage pricing theory (APT).Difficulty: ModerateAnswer:Some of the factors that might be considered in a multifactor international APT model are:(A)A world stock index(B)A national (domestic) stock index(C)Industrial/sector indexes(D)Currency movements.Studies have indicated that domestic factors appear to be the dominant influence on stock returns. However, there is clear evidence of a world market factor during the market crash of October 1987.The rationale for this question is to determine the student's understanding of the possible effects of various factors on aninternational portfolio.39. Marla holds her portfolio 100% in . securities. She tells you that shebelieves foreign investing can be extremely hazardous to her portfolio.She's not sure abou t the details, but has “heard some things”. Discuss this idea with Marla by listing three objections you have heard from your clients who have similar fears. Explain each of the objections is subject to faulty reasoning.Difficulty: ModerateAnswer:A few of the factors students may mention areClient: “The . markets have done extremely well in the past few years,so I should stay 100% invested in them.” Your Reply: You can explainthat there are other times when foreign markets have beat the .substantially in performance. You can't tell easily beforehand whatmarkets will do the best. It is important to consider that there aremany times when countries' markets move in different directions andyou can buffer your risk to some extent by investing globally.Client: “You should keep your money at home.” Your Reply: Don'tconfuse familiarity with good portfolio management. Even though thereis a lot of information available on . companies, it can be difficultto use the information to make good forecasts. Most professionalmanagers aren't even good at this.Client: “There's too much currency risk.” Your Reply: It is truethat there may be times when both a security's value in its own currencyand the currency exchange rate may lead to poor returns. But theopposite is also true. And there are cases when security price movements and currency movements will have opposite impacts on yourportfolio's return. This may have a smoothing effect on your portfolio.Client: “Invest with the best.” Your Reply: Even if . mark ets havebeen the best performers in recent periods there is no guarantee thatthings will stay that way. If you diversify internationally you will benefit when other markets take the lead.40. You are managing a portfolio that consists of . equities. You have prepareda presentation to use when you discuss the possibility of addinginternational stocks to your client's portfolio.Draw a graph that shows the risk of the portfolio relative tothe number of stocks held in the portfolio.When your client arrives, he is surprised at your suggestion that he add international stocks, but is willing to listen to your statements to justify your recommendations. State two reasons why he shouldconsider the international stocks and briefly explain each.Difficulty: ModerateAnswer:The graph should look like the one that is shown in figure .Two important reasons for adding international securities are thefavorable diversification effects due to the less than perfect positive correlations among countries' returns and the possible benefit from currency risk.This question tests the student's knowledge of the basic ideas behind investing in international stocks and other classes of equities.。
(完整版)投资学第7版TestBank答案12
Multiple Choice Questions1. Conventional theories presume that investors ____________ and behavioral financepresumes that they ____________.A) are irrational; are irrationalB) are rational; may not be rationalC) are rational; are rationalD) may not be rational; may not be rationalE) may not be rational; are rationalAnswer: B Difficulty: Easy2. The premise of behavioral finance is thatA) conventional financial theory ignores how real people make decisions and thatpeople make a difference.B) conventional financial theory considers how emotional people make decisions butthe market is driven by rational utility maximizing investors.C) conventional financial theory should ignore how the average person makesdecisions because the market is driven by investors that are much moresophisticated than the average person.D) B and CE) none of the aboveAnswer: A Difficulty: Easy3. Some economists believe that the anomalies literature is consistent with investors’____________ and ____________.A) ability to always process information correctly and therefore they infer correctprobability distributions about future rates of return; given a probability distributionof returns, they always make consistent and optimal decisionsB) inability to always process information correctly and therefore they infer incorrectprobability distributions about future rates of return; given a probability distributionof returns, they always make consistent and optimal decisionsC) ability to always process information correctly and therefore they infer correctprobability distributions about future rates of return; given a probability distributionof returns, they often make inconsistent or suboptimal decisionsD) inability to always process information correctly and therefore they infer incorrectprobability distributions about future rates of return; given a probability distributionof returns, they often make inconsistent or suboptimal decisionsE) none of the aboveAnswer: D Difficulty: Moderate4. Information processing errors consist ofI)forecasting errorsII)overconfidenceIII)conservatismIV)framingA) I and IIB) I and IIIC) III and IVD) IV onlyE) I, II and IIIAnswer: E Difficulty: Moderate5. Forecasting errors are potentially important becauseA) research suggests that people underweight recent information.B) research suggests that people overweight recent information.C) research suggests that people correctly weight recent information.D) either A or B depending on whether the information was good or bad.E) none of the above.Answer: B Difficulty: Moderate6. DeBondt and Thaler believe that high P/E result from investorsA) earnings expectations that are too extreme.B) earnings expectations that are not extreme enough.C) stock price expectations that are too extreme.D) stock price expectations that are not extreme enough.E) none of the above.Answer: A Difficulty: Moderate7. If a person gives too much weight to recent information compared to prior beliefs, theywould make ________ errors.A) framingB) selection biasC) overconfidenceD) conservatismE) forecastingAnswer: E Difficulty: Moderate8. Single men trade far more often than women. This is due to greater ________ amongmen.A) framingB) regret avoidanceC) overconfidenceD) conservatismE) none of the aboveAnswer: C Difficulty: Moderate9. ____________ may be responsible for the prevalence of active versus passiveinvestments management.A) Forecasting errorsB) OverconfidenceC) Mental accountingD) ConservatismE) Regret avoidanceAnswer: B Difficulty: Moderate10. Barber and Odean (2000) ranked portfolios by turnover and report that the difference inreturn between the highest and lowest turnover portfolios is 7% per year. They attribute this toA) overconfidenceB) framingC) regret avoidanceD) sample neglectE) all of the aboveAnswer: A Difficulty: Moderate11. ________ bias means that investors are too slow in updating their beliefs in response toevidence.A) framingB) regret avoidanceC) overconfidenceD) conservatismE) none of the aboveAnswer: D Difficulty: Moderate12. Psychologists have found that people who make decisions that turn out badly blamethemselves more when that decision was unconventional. The name for thisphenomenon isA) regret avoidanceB) framingC) mental accountingD) overconfidenceE) obnoxicityAnswer: A Difficulty: ModerateRationale: An investments example given in the text is buying the stock of a start-up firm that shows subsequent poor performance, versus buying blue chip stocks that perform poorly. Investors tend to have more regret if they chose the less conventional start-up stock. DeBondt and Thaler say that such regret theory is consistent with the size effect and the book-to-market effect.13. An example of ________ is that a person may reject an investment when it is posed interms of risk surrounding potential gains but may accept the same investment if it is posed in terms of risk surrounding potential losses.A) framingB) regret avoidanceC) overconfidenceD) conservatismE) none of the aboveAnswer: A Difficulty: Moderate14. Statman (1977) argues that ________ is consistent with some investors' irrationalpreference for stocks with high cash dividends and with a tendency to hold losingpositions too long.A) mental accountingB) regret avoidanceC) overconfidenceD) conservatismE) none of the aboveAnswer: A Difficulty: Moderate15. An example of ________ is that it is not as painful to have purchased a blue-chip stockthat decreases in value, as it is to lose money on an unknown start-up firm.A) mental accountingB) regret avoidanceC) overconfidenceD) conservatismE) none of the aboveAnswer: B Difficulty: Moderate16. Arbitrageurs may be unable to exploit behavioral biases due to ____________.I)fundamental riskII)implementation costsIII)model riskIV)conservatismV)regret avoidanceA) I and II onlyB) I, II, and IIIC) I, II, III, and VD) II, III, and IVE) IV and VAnswer: B Difficulty: Moderate17. ____________ are good examples of the limits to arbitrage because they show that thelaw of one price is violated.I)Siamese Twin CompaniesII)Unit trustsIII)Closed end fundsIV)Open end fundsV)Equity carve outsA) I and IIB) I, II, and IIIC) I, III, and VD) IV and VE) VAnswer: C Difficulty: Moderate18. __________ was the grandfather of technical analysis.A) Harry MarkowitzB) William SharpeC) Charles DowD) Benjamin GrahamE) none of the aboveAnswer: C Difficulty: EasyRationale: Charles Dow, the originator of the Dow Theory, was the grandfather of technical analysis. Benjamin Graham might be considered the grandfather offundamental analysis. Harry Markowitz and William Sharpe might be considered the grandfathers of modern portfolio theory.19. The goal of the Dow theory is toA) identify head and shoulder patterns.B) identify breakaway points.C) identify resistance levels.D) identify support levels.E) identify long-term trends.Answer: E Difficulty: EasyRationale: The Dow theory uses the Dow Jones Industrial Average as an indicator of long-term trends in market prices.20. A long-term movement of prices, lasting from several months to years is called_________.A) a minor trendB) a primary trendC) an intermediate trendD) trend analysisE) B and DAnswer: B Difficulty: EasyRationale: Minor trends are merely day-to-day price movements; intermediate trends are or offsetting movements in one direction after longer-term movements in another direction; trends lasting for the period described above are primary trends.21. A daily fluctuation of little importance is called ____________A) a minor trendB) a primary trendC) an intermediate trendD) a market trendE) none of the aboveAnswer: A Difficulty: Easy22. Price movements that are caused by short-term deviations of prices from the underlyingtrend line are calledA) primary trends.B) secondary trends.C) tertiary trends.D) Dow trends.E) contrary trends.Answer: B Difficulty: EasyRationale: The secondary trend is caused by these deviations, which are eliminated by corrections that bring the prices back to the trend lines.23. The Dow theory posits that the three forces that simultaneously affect stock prices are____________.I)primary trendII)intermediate trendIII)momentum trendIV)minor trendV)contrarian trendA) I, II, and IIIB) II, III, and IVC) III, IV and VD) I, II, and IVE) I, III, and VAnswer: D Difficulty: Moderate24. The Elliot Wave Theory ____________.A) is a recent variation of the Dow TheoryB) suggests that stock prices can be described by a set of wave patternsC) is similar to the Kondratieff Wave theoryD) A and BE) A, B, and CAnswer: E Difficulty: EasyRationale: Both the Elliot Wave Theory and the Kondratieff Wave Theory are recent variations on the Dow Theory, which suggests that stock prices move in identifiable wave patterns.25. A trin ratio of less than 1.0 is considered as a _________.A) bearish signalB) bullish signalC) bearish signal by some technical analysts and a bullish signal by other technicalanalystsD) bullish signal by some fundamentalistsE) C and DAnswer: B Difficulty: EasyRationale: A trin ratio of less than 1.0 is considered bullish because the declining stocks have lower average volume than the advancing stocks, indicating net buying pressure.26. On October 29, 1991 there were 1,031 stocks that advanced on the NYSE and 610 thatdeclined. The volume in advancing issues was 112,866,000 and the volume in declining issues was 58,188,000. The trin ratio for that day was ________ and technical analysts were likely to be ________.A) 0.87, bullishB) 0.87, bearishC) 1.15, bullishD) 1.15, bearishE) none of the aboveAnswer: A Difficulty: ModerateRationale: (1,031/610) / (112,866,000/58,388,000) = 0.87. A trin ratio less than 1 is considered bullish because advancing stocks have a higher volume than decliningstocks, indicating a buying pressure.27. In regard to moving averages, it is considered to be a ____________ signal whenmarket price breaks through the moving average from ____________.A) bearish; belowB) bullish: belowC) bearish; aboveD) bullish aboveE) B and CAnswer: E Difficulty: Moderate28. Two popular moving average periods areA) 90-day and 52 weekB) 180-day and three yearC) 180-day two yearD) 200-day and 53 weekE) 200-day and two yearAnswer: D Difficulty: Moderate29. ____________ is a measure of the extent to which a movement in the market index isreflected in the price movements of all stocks in the market.A) put-call ratioB) trin ratioC) BreadthD) confidence indexE) all of the aboveAnswer: C Difficulty: Moderate30. Then confidence index is computed from ____________ and higher values areconsidered ____________ signals.A) bond yields; bearishB) odd lot trades; bearishC) odd lot trades; bullishD) put/call ratios; bullishE) bond yields; bullishAnswer: E Difficulty: Moderate31. The put/call ratio is computed as ____________ and higher values are considered____________ signals.A) the number of outstanding put options divided by outstanding call options; bullishor bearishB) the number of outstanding put options divided by outstanding call options; bullishC) the number of outstanding put options divided by outstanding call options; bearishD) the number of outstanding call options divided by outstanding put options; bullishE) the number of outstanding call options divided by outstanding put options; bullishAnswer: A Difficulty: Moderate32. The efficient market hypothesis ____________.A) implies that security prices properly reflect information available to investorsB) has little empirical validityC) implies that active traders will find it difficult to outperform a buy-and-hold strategyD) B and CE) A and CAnswer: E Difficulty: Moderate33. Tests of market efficiency have focused on ____________.A) the mean-variance efficiency of the selected market proxyB) strategies that would have provided superior risk-adjusted returnsC) results of actual investments of professional managersD) B and CE) A and BAnswer: D Difficulty: Moderate34. The anomalies literature ____________.A) provides a conclusive rejection of market efficiencyB) provides a conclusive support of market efficiencyC) suggests that several strategies would have provided superior returnsD) A and CE) none of the aboveAnswer: C Difficulty: Moderate35. Behavioral finance argues that ____________.A) even if security prices are wrong it may be difficult to exploit themB) the failure to uncover successful trading rules or traders cannot be taken as proof ofmarket efficiencyC) investors are rationalD) A and BE) all of the aboveAnswer: D Difficulty: Moderate36. Markets would be inefficient if irrational investors __________ and actions ifarbitragers were __________.A) existed; unlimitedB) did not exist; unlimitedC) existed; limitedD) did not exist; limitedE) none of the aboveAnswer: C Difficulty: Moderate37. If prices are correct __________ and if prices are not correct __________.A) there are no easy profit opportunities; there are no easy profit opportunitiesB) there are no easy profit opportunities; there are easy profit opportunitiesC) there are easy profit opportunities; there are easy profit opportunitiesD) there are easy profit opportunities; there are no easy profit opportunitiesE) none of the aboveAnswer: A Difficulty: Moderate38. __________ can lead investors to misestimate the true probabilities of possible eventsor associated rates of return.A) Information processing errorsB) Framing errorsC) Mental accounting errorsD) Regret avoidanceE) all of the aboveAnswer: A Difficulty: Moderate39. Kahneman and Tversky (1973) report that people __________ and __________.A) people give too little weight to recent experience compared to prior beliefs; tend tomake forecasts that are too extreme given the uncertainty of their informationB) people give too much weight to recent experience compared to prior beliefs; tend tomake forecasts that are too extreme given the uncertainty of their informationC) people give too little weight to recent experience compared to prior beliefs; tend tomake forecasts that are not extreme enough given the uncertainty of theirinformationD) people give too much weight to recent experience compared to prior beliefs; tend tomake forecasts that are not extreme enough given the uncertainty of theirinformationE) none of the aboveAnswer: B Difficulty: Difficult40. Errors in information processing can lead investors to misestimate __________.A) true probabilities of possible events and associated rates of returnB) true probabilities of possible eventsC) rates of returnD) the ability to uncover accounting manipulationE) fraudAnswer: A Difficulty: Moderate41. DeBondt and Thaler (1990) argue that the P/E effect can be explained by __________.A) forecasting errorsB) earnings expectations that are too extremeC) earnings expectations that are not extreme enoughD) regret aviodanceE) A and BAnswer: E Difficulty: Moderate42. Barber and Odean (2001) report that men trade __________ frequently than women andthe frequent trading leads to __________ returns.A) less; superiorB) less; inferiorC) more; superiorD) more; inferiorE) none of the aboveAnswer: D Difficulty: Moderate43. Conservatism implies that investors are too __________ in updating their beliefs inresponse to new evidence and that they initially __________ react to news.A) quick; overreactB) quick; under reactC) slow; overreactD) slow; under reactE) none of the aboveAnswer: D Difficulty: Moderate44. If information processing were perfect, many studies conclude that individuals wouldtend to make __________ decision using that information due to __________.A) less-than-fully rational; behavioral biasesB) fully rational; behavioral biasesC) less-than-fully rational; fundamental riskD) fully rational; fundamental riskE) fully rational; utility maximizationAnswer: A Difficulty: Moderate45. The assumptions concerning the shape of utility functions of investors differ betweenconventional theory and prospect theory. Conventional theory assumes that utilityfunctions are __________ whereas prospect theory assumes that utility functions are __________.A) concave and defined in terms of wealth; s-shaped (convex to losses and concave togains) and defined in terms of loses relative to current wealthB) convex and defined loses relative to current wealth; s-shaped (convex to losses andconcave to gains) and defined in terms of loses relative to current wealthC) s-shaped (convex to losses and concave to gains) and defined in terms of losesrelative to current wealth; concave and defined in terms of wealthD) s-shaped (convex to losses and concave to gains) and defined in terms of wealth;concave and defined in terms of loses relative to current wealthE) convex and defined in terms of wealth; concave and defined in terms of gainsrelative to current wealthAnswer: A Difficulty: Difficult46. The law-of-one-price posits that ability to arbitrage would force prices of identicalgoods to trade at equal prices. However, empirical evidence suggests that __________ are often mispriced.A) Siamese Twin CompaniesB) equity carve outsC) closed-end fundsD) A and CE) all of the aboveAnswer: E Difficulty: DifficultEssay Questions47. Compare and contrast the efficient market hypothesis with the school of thought termedbehavioral finance.Difficulty: DifficultAnswer:The efficient market hypothesis posits that investors are fully informed, rational, utility maximizers. Thus, security prices will fully reflect all information available to theinvestors. If any security becomes mispriced, the collective buying and selling actions of investors will quickly cause prices to change. Given an efficient market, it would be difficult to find a trading rule that would consistently outperform the market. Moreover, failure to uncover profitable trading strategies may be taken as proof of marketefficiency. Behavioral finance argues that conventional theory ignores how real people make decisions and that people make a difference. Behavioral finance says thatinvestors possess two “irrationalities”. First, investors do not always processinformation correctly and secondly they often make systematically suboptimaldecisions. Given less than perfectly rational investors, prices may be wrong and it still may be hard to exploit them. Thus, failure to uncover profitable trading strategies may not be taken as proof of market efficiency.48. Behavioral finance posits that investors possess information processing errors. Discussthe importance of information processing errors then list and explain the fourinformation processing errors discussed in the text.Difficulty: DifficultAnswer:Information processing errors are important because they can lead investors tomisestimate the true probabilities of possible events or associated rates of return. The four information processing errors are forecasting errors, overconfidence, conservatism, and sample size neglect. Forecasting errors arise when people give too much weight to recent experience. This leads to forecasts that are too extreme. Overconfidence refers to traders believing that they are better than average. This belief that they are superior leads to frequent trading (and according to empirical evidence, lower returns).Conservatism refers investors being slow in responding to new information rather than acting immediately. Sample size neglect refers to investors ignoring the size of a sample and making inferences based on a small sample.49. Behavioral finance posits that investors possess behavioral biases. Discuss theimportance of behavioral biases then list and explain the four behavioral biasesdiscussed in the text.Difficulty: DifficultAnswer:Behavioral biases are important because even if information processing was perfect, individuals may tend to make less-than-fully rational decisions using that information.The four behavioral biases are framing, mental accounting, regret avoidance, andprospect theory (or loss aversion). Framing refers to the tendency of investors to change prefe rences due to the way an investment is “framed” (i.e., in terms of risk or in terms of return). Mental accounting is a specific form of framing where an investor takes a lot of risk with one investment account but little risk with another account. Regret avoidance refers to the tendency of investors to blame themselves more for an unconventional investment that was unsuccessful than a conventional investment that was unsuccessful.Prospect theory (loss avoidance) suggests that the investor's utility curve is not concave and defined in terms of wealth. Instead, the investor's utility function would be defined in terms of losses relative to current wealth. Thus, the utility curve is convex to losses and concave to gains giving rise to an s-shaped utility curve.50. Discuss what technical analysis is, what technical analysts do, and the relationshipbetween technical analysis, fundamental analysis, and behavioral finance.Difficulty: DifficultAnswer:Technical analysis attempts to exploit recurring and predictable patterns in stock prices to generate superior portfolio performance. To determine recurring patterns, technical analysts examine historical returns by means of charts and or time-series analysis (such as moving averages). Technical analysts do not deny fundamental analysis but believe that prices adjust slowly to new information. Therefore, the key is to exploit the slow adjustment to the correct new price when information is released. Technical analysts also use volume and other data to assess market sentiment in an attempt to ascertain the future direction of the market. Behaviorists believe that behavioral biases may berelated to both price and volume data. Thus, technical analysis can be related tobehavioral finance.。
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投资学 练习作业题
（1） 画出基金A 和基金B 的可行集(5个点)。
（2） 找出最优风险投资组合P 及其期望收益与标准差。
（3） 找出由短期国库券与投资组合P 支持的资本配置线的斜率。
（4） 当一个投资者的风险厌恶程度A=5时，应在股票基金A 、B 和短期国库券中各投资
多少？
2假定一个风险证券投资组合中包含大量的股票，它们有相同的分布，
%60%,15)(==σr E ，相关系数5.0=ρ
（1）含有25种股票的等权重投资组合期望收益和标准差是多少？
（2）构造一个标准差小于或等于43%的有效投资组合所需要最少的股票数量为多少？ （3）这一投资组合的系统风险为多少？
（4）如果国库券的收益率为10%，资本配置的斜率为多少？
3短期国库券的收益现在是4.90%，你已经建立了一个最优风险资产投资组合，投资组合P ，即你把23%的资金投资到共同基金A ，把77%的资金投资到共同基金B 。
前者的收益率是8%，后者的收益率是19%。
（1） 投资组合P 的预期收益率是多少？
（2） 假定你设计了一个投资组合C ，其中34%的资金投资到无风险资产，其余的投资到
组合P 中，那么这个新的投资组合的预期收益是多少？
（3） 如果投资组合P 的标准差是21%，这个新组合的标准差是多少？确定在新的投资组
合中无风险资产、共同基金A 和共同基金B 的权重。
（1） 市场指数投资组合的平均超额收益率为多少？ （2） 股票A 与股票B 之间的协方差为多大？ （3） 股票B 与指数之间的协方差为多大？
（4） 将股票B 的方差分解为市场和公司特有两部分。
5对股票A 和股票B 分析估计的指数模型结果如下：
A M A e R R ++=6.012.0
B M B e R R ++=4.104.0
26.0=M σ 20.0)(=A e σ 10.0)(=B e σ
（1） 股票A 和股票B 收益之间的协方差是多少？ （2） 每只股票的方差是多少？
（3） 将每只股票的方差分类到系统风险和公司特有风险中 （4） 每只股票和市场指数的协方差是多少？ （5） 两只股票的相关系数是多少？
6预计无风险利率是6.1%，市场投资组合的预期收益是14.6%。
（1） 利用CAPM ，根据下表所提供的数据，计算股票4的预期收益 （2） 画出证券市场线
（3） 在证券市场线上，找出每样资产对应的点
7假定一个多元投资组合Z 的定价基础是两个因素。
第一个因素的β是1.10，第二个因素的
β是0.45，第一个因素的预期收益是11%，第二个因素的预期收益是17%，无风险利率是
5.2%。
利用套利定价理论回答以下问题： （1） 第一种因素的风险溢价是多少？ （2） 第二种因素的风险溢价是多少？
（3） 根据和第一种因素的关系，投资组合Z 的风险溢价是多少？ （4） 根据和第二种因素的关系，投资组合Z 的风险溢价是多少？ （5） 投资组合Z 的整体风险溢价是多少？ （6） 投资组合Z 的整体整体预期收益是多少？
8一年期债券的到期利率是6.3%，2年期零息债券的到期利率是7.9%。
（1）第2年的远期利率是多少？
（2）根据期望假设，明年的1年期利率的期望值是多少？
（3）根据流动性偏好理论，明年期的1年期利率的期望值比（2）得到的值高还是低？
9你管理着价值100万美元的资产组合，目标久期为10年，可以从两种债券中选择：5年期零息债券和永久债券，当前收益率均为5%。
（1） 你愿意持有两种债券的份额各为多少？
（2） 如果现在的目标久期为10年，则明年的持有比例会如何变化？。