投资学习题课参考答案_东南大学_韩勇
投资学第13章课后习题及答案
投资学第13章课后习题及答案第13章本章习题1.如何理解技术分析的三大假设？2.技术分析具有哪些原则？在应用过程总应注意哪些问题？3.运用K线理论应该注意哪些问题？4.道氏理论的主要思想是什么？5.应用技术分析的法则有哪些？6.移动平均线的作用是什么？7.何谓技术指标与价格的背离？应该如何使用？参考答案：1.（1）假设一有其合理性的一面。
我们知道，影响证券价格的变动有很多方面的因素，包括宏观面、政策面、市场面、资金面、心理面等，但任何一个因素对证券市场的影响最终都必然体现在证券价格的变动上。
但是我们也应该看到，在这一假设的前提基础上，投资者在市场上获得的信息是公开的，且所有投资者所获得的信息都是一致的，即市场是有效的。
因为市场的有效性，加上投资者对市场信息的反馈及时准确，使得证券价格能够完全将市场信息加以消化，最终体现在证券价格上。
但是市场行为反映的信息只体现在股票价格的变动之中，同原始的信息毕竟有差异，损失信息是必然的。
正因为如此，在进行技术分析的同时，还应该适当进行一些基本分析和别的方面的分析，以弥补其不足。
（2）第二个理论假设结论在趋势论者看来是天经地义，完全可信的。
因为投资人之所以要卖掉手中的股票，是因为他认为目前的价格已经到顶，马上将往下跌，或者即使上涨，涨的幅度也有限，不会太多了。
他的这种悲观的观点是不会立刻改变的。
但是，随机漫步论者认为证券价格的形成是随机的，其价格变动并无趋势可言，当证券市场受到外来冲击时，这种预期就会发生变化，使得未来价格的变化表现出无规律的现象。
（3）第三个假设看似合理，且在一定程度上也反映了证券投资市场上的真实情形。
因为股票市场的某个市场行为留在投资人头脑中的阴影和快乐是会永远影响股票投资人的。
在进行技术分析时，一旦遇到与过去某一时期相同或相似的情况，应该与过去的结果比较。
过去的结果是已知的，这个已知的结果应该是现在对未来作预测的参考。
但是，股票市场的市场行为是干变万化的，不可能有完全相同的情况重复出现，差异总是或多或少存在。
5投资学第五章习题答案
1．根据交易者的信息结构，可以把交易者分为知情交易者和非知情交易者。
知情交易者拥有关于资产价值的私人信息，这些私人信息不为知情交易者以外的其他市场参与者。
非知情交易者没有关于资产价值的私人信息，他们交易的动机是出于流动性的需要而非获取资产的未来收益。
于是非知情交易者又称为流动性交易者。
知情交易者拥有关于资产价值的私人信息，在市场上拥有垄断优势。
因此知情交易者可以利用自己的信息优势制定最优的交易策略来获取垄断收益。
非知情交易者分为相机抉择和非相机抉择两种。
前者通过对交易时间的选择制定最优的交易策略，从而是自己的损失降至最低。
后者只能在给定的时刻交易某个特定数量的资产，只能被动地进行交易。
这种差别的原因，主要在于是否拥有私人信息。
2. 知情交易者的交易策略与做市商的定价策略都是线性的，而且做市商的定价策略是被动的，公开的。
知情交易者可以很好的预测，自己下了一定数量的订单之后，做市商的反应。
因此，这场贯序博弈中，知情交易者具有先动优势。
不存在其他均衡，因为将做市商的定价策略代入知情交易者的交易策略函数之后，得到一个二次函数，这一函数的极大值是唯一的。
投资学第10版课后习题答案.docx
CHAPTER 4: MUTUAL FUNDS AND OTHER INVESTMENTCOMPANIESPROBLEM SETS1.The unit investment trust should have lower operating expenses.Because the investment trust portfolio is fixed once the trust isestablished, it does not have to pay portfolio managers toconstantly monitor and rebalance the portfolio as perceivedneeds or opportunities change. Because the portfolio is fixed, theunit investment trust also incurs virtually no trading costs.2. a. Unit investment trusts : Diversification from large-scale investing,lower transaction costs associated with large-scale trading, lowmanagement fees, predictable portfolio composition, guaranteed lowportfolio turnover rate.b.Open-end mutual funds : Diversification from large-scaleinvesting, lower transaction costs associated with large-scale trading, professional management that may be able totake advantage of buy or sell opportunities as they arise,record keeping.c.Individual stocks and bonds: No management fee; ability tocoordinate realization of capital gains or losses withinvestors ’ personal tax situation s; capability of designingportfolio to investor’s specific risk and return profile.3.Open-end funds are obligated to redeem investor's shares at netasset value and thus must keep cash or cash-equivalent securitieson hand in order to meet potential redemptions. Closed-end fundsdo not need the cash reserves because there are no redemptions forclosed-end funds. Investors in closed-end funds sell their shareswhen they wish to cash out.4.Balanced funds keep relatively stable proportions of funds investedin each asset class. They are meant as convenient instruments toprovide participation in a range of asset classes. Life-cycle fundsare balanced funds whose asset mix generally depends on the age of the investor. Aggressive life-cycle funds, with larger investments in equities, are marketed to younger investors, while conservative life-cycle funds, with larger investments in fixed-income securities, are designed for older investors. Asset allocation funds, in contrast, may vary the proportions invested in each asset class by large amounts as predictions of relative performance across classes vary. Asset allocation funds therefore engage in more aggressive market timing.5.Unlike an open-end fund, in which underlying shares are redeemedwhen the fund is redeemed, a closed-end fund trades as a security in the market. Thus, their prices may differ from the NAV.6.Advantages of an ETF over a mutual fund:ETFs are continuously traded and can be sold or purchasedon margin.There are no capital gains tax triggers when an ETF issold (shares are just sold from one investor to another).Investors buy from brokers, thus eliminating the cost ofdirect marketing to individual small investors. Thisimplies lower management fees.Disadvantages of an ETF over a mutual fund:Prices can depart from NAV (unlike an open-end fund).There is a broker fee when buying and selling (unlike ano-load fund).7.The offering price includes a 6% front-end load, or salescommission, meaning that every dollar paid results in only$ going toward purchase of shares. Therefore:Offering price =NAV$10.70 = $1Load 1 0.068.NAV = Offering price(1–Load) = $.95 = $9.Stock Value Held by FundA$ 7,000,000B12,000,000C8,000,000D15,000,000Total $42,000,000Net asset value =$42,000,000$30,000 = $4,000,00010.Value of stocks sold and replaced = $15,000,000Turnover rate =$15,000,000= , or % $42,000,00011. a.$200,000,000$3,000,000NAV$39.405,000,000b.Premium (or discount) =Pr ice NAV =$36$39.40 =–, or %NAV$39.40 The fund sells at an % discount from NAV.NAV 1 NAV 0 Distributions$12.10$12.50$1.50 12.$12.500.088, or 8.8%NAV 013. a. Start-of-year price:P0 = $×= $End-of-year price:P = $ × = $1Although NAV increased by $, the price of the fund decreased by$.Rate of return =P P Distributions$11.25$12.24$1.50100.042, or 4.2%P0$12.24b.An investor holding the same securities as the fund managerwould have earned a rate of return based on the increase inthe NAV of the portfolio:NAV 1 NAV 0 Distributions$12.10$12.00$1.50NAV 0$12.000.133, or 13.3%14. a. Empirical research indicates that past performance of mutualfunds is not highly predictive of future performance,especially for better-performing funds. While there maybe some tendency for the fund to be an above average performer nextyear, it is unlikely to once again be a top 10% performer.b.On the other hand, the evidence is more suggestive of atendency for poor performance to persist. This tendency isprobably related to fund costs and turnover rates. Thus ifthe fund is among the poorest performers, investors shouldbe concerned that the poor performance will persist.15.NAV0 = $200,000,000/10,000,000 = $20Dividends per share = $2,000,000/10,000,000 = $NAV is based on the 8% price gain, less the 1% 12b-1 fee: 1NAV1 = $20(1 – = $Rate of return =$21.384 $20$0.20 = , or %$2016.The excess of purchases over sales must be due to new inflowsinto the fund. Therefore, $400 million of stock previously held by thefund was replaced by new holdings. So turnover is: $400/$2,200 = ,or %.17. Fees paid to investment managers were: $ billion = $ million Since thetotal expense ratio was % and the management fee was %, weconclude that % must be for other expenses. Therefore, otheradministrative expenses were:$ billion = $ million.18.As an initial approximation, your return equals the return on the sharesminus the total of the expense ratio and purchase costs: 12%%4% = %.But the precise return is less than this because the 4% loadis paid up front, not at the end of the year.To purchase the shares, you would have had to invest:$20,000/(1 = $20,833.The shares increase in value from $20,000 to:= $20,000 $22,160.The rate of return is: ($22,160$20,833)/$20,833 = %.19.Assume $1,000 investment Loaded-Up Fund Economy Fund Yearly growth ( r is 6%)(1 r .01 .0075)(.98) (1 r .0025) t= 1 year$1,$1,t= 3 years$1,$1,t= 10 years$1,$1,20.a. $450,000,000 $10,000000 $1044,000,000b. The redemption of 1 million shares will most likely trigger capitalgains taxes which will lower the remaining portfolio by an amountgreater than $10,000,000 (implying a remaining total value lessthan $440,000,000). The outstanding shares fall to 43 million andthe NAV drops to below $10.21.Suppose you have $1,000 to invest. The initial investment inClass A shares is $940 net of the front-end load. After four years,your portfolio will be worth:$940 4 = $1,Class B shares allow you to invest the full $1,000, but yourinvestment performance net of 12b-1 fees will be only %, andyou will pay a 1% back-end load fee if you sell after four years.Your portfolio value after four years will be:$1,000 4 = $1,After paying the back-end load fee, your portfolio value will be:$1,.99 = $1,Class B shares are the better choice if your horizon is four years.With a 15-year horizon, the Class A shares will be worth:$94015 = $3,For the Class B shares, there is no back-end load in this casesince the horizon is greater than five years. Therefore, thevalue of the Class B shares will be:$1,00015 = $3,At this longer horizon, Class B shares are no longer the betterchoice. The effect of Class B's % 12b-1 fees accumulates over timeand finally overwhelms the 6% load charged to Class A investors.22. a.After two years, each dollar invested in a fund with a 4%load and a portfolio return equal to r will grow to: $ 2.(1 +r–Each dollar invested in the bank CD will grow to: $1.If the mutual fund is to be the better investment, thenthe portfolio return ( r ) must satisfy:(1 +r –2>(1 +r – 2 >(1 + r–2>1 + r – >1 + r >Therefore: r > = %b.If you invest for six years, then the portfolio returnmust satisfy:(1 + r –6 > =(1 +r–6>1 +r–>r > %The cutoff rate of return is lower for the six-year investment because the “fixed cost ” (the one -time front-end load) is spread over a greater number of years.c. With a 12b-1 fee instead of a front-end load, the portfoliomust earn a rate of return ( r ) that satisfies:1 + r – – >In this case, r must exceed % regardless of the investmenthorizon.23. The turnover rate is 50%. This means that, on average, 50% of theportfolio is sold and replaced with other securities each year.Trading costs on the sell orders are % and the buy orders toreplace those securities entail another % in trading costs. Totaltrading costs will reduce portfolio returns by: 2 % = %24. For the bond fund, the fraction of portfolio income given upto fees is:0.6% 4.0%= , or %For the equity fund, the fraction of investment earnings givenup to fees is:0. 6% = , or %12.0%Fees are a much higher fraction of expected earnings for thebond fund and therefore may be a more important factor inselecting the bond fund.This may help to explain why unmanaged unit investment trusts are concentrated in the fixed income market. The advantages of unitinvestment trusts are low turnover, low trading costs, and lowmanagement fees. This is a more important concern to bond-market investors.25. Suppose that finishing in the top half of all portfolio managersis purely luck, and that the probability of doing so in any year isexactly ? . Then the probability that any particular manager would5 = finish in the top half of the sample five years in a row is (?)1/32. We would then expect to find that [350 (1/32)] = 11managers finish in the top half for each of the five consecutiveyears. This is precisely what we found. Thus, we should not conclude that the consistent performance after five years is proof of skill. We would expect to find 11 managers exhibiting precisely this level of "consistency" even if performance is due solely to luck.。
投资学第10版课后习题答案
CHAPTER 4: MUTUAL FUNDS AND OTHER INVESTMENTCOMPANIESPROBLEM SETS1. The unit investment trust should have lower operating expenses.Because the investment trust portfolio is fixed once the trust isestablished, it does not have to pay portfolio managers toconstantly monitor and rebalance the portfolio as perceived needsor opportunities change. Because the portfolio is fixed, the unitinvestment trust also incurs virtually no trading costs.2. a. Unit investment trusts: Diversification from large-scaleinvesting, lower transaction costs associated with large-scaletrading, low management fees, predictable portfolio composition,guaranteed low portfolio turnover rate.b. Open-end mutual funds: Diversification from large-scaleinvesting, lower transaction costs associated with large-scaletrading, professional management that may be able to takeadvantage of buy or sell opportunities as they arise, recordkeeping.c. Individual stocks and bonds: No management fee; ability tocoordinate realization of capital gains or losses withinvestors’ personal tax situation s; capability of designingportfolio to investor’s specific risk and return profile.3. Open-end funds are obligated to redeem investor's shares at netasset value and thus must keep cash or cash-equivalent securitieson hand in order to meet potential redemptions. Closed-end funds do not need the cash reserves because there are no redemptions forclosed-end funds. Investors in closed-end funds sell their shareswhen they wish to cash out.4. Balanced funds keep relatively stable proportions of funds investedin each asset class. They are meant as convenient instruments toprovide participation in a range of asset classes. Life-cycle fundsare balanced funds whose asset mix generally depends on the age of the investor. Aggressive life-cycle funds, with larger investments in equities, are marketed to younger investors, while conservative life-cycle funds, with larger investments in fixed-income securities, are designed for older investors. Asset allocation funds, in contrast, may vary the proportions invested in each asset class by large amounts as predictions of relative performance across classes vary. Asset allocation funds therefore engage in more aggressive market timing.5. Unlike an open-end fund, in which underlying shares are redeemedwhen the fund is redeemed, a closed-end fund trades as a security in the market. Thus, their prices may differ from the NAV.6. Advantages of an ETF over a mutual fund:ETFs are continuously traded and can be sold or purchased on margin.There are no capital gains tax triggers when an ETF is sold(shares are just sold from one investor to another).Investors buy from brokers, thus eliminating the cost ofdirect marketing to individual small investors. This implieslower management fees.Disadvantages of an ETF over a mutual fund:Prices can depart from NAV (unlike an open-end fund).There is a broker fee when buying and selling (unlike a no-load fund).7. The offering price includes a 6% front-end load, or salescommission, meaning that every dollar paid results in only $ going toward purchase of shares. Therefore: Offering price =06.0170.10$Load 1NAV -=-= $8. NAV = Offering price (1 –Load) = $ .95 = $9. Stock Value Held by FundA $ 7,000,000B 12,000,000C 8,000,000D 15,000,000Total $42,000,000Net asset value =000,000,4000,30$000,000,42$-= $10. Value of stocks sold and replaced = $15,000,000 Turnover rate =000,000,42$000,000,15$= , or %11. a. 40.39$000,000,5000,000,3$000,000,200$NAV =-=b. Premium (or discount) = NAVNAV ice Pr - = 40.39$40.39$36$-= –, or % The fund sells at an % discount from NAV.12. 100NAV NAV Distributions $12.10$12.50$1.500.088, or 8.8%NAV $12.50-+-+==13. a. Start-of-year price: P 0 = $ × = $End-of-year price: P 1 = $ × = $Although NAV increased by $, the price of the fund decreased by $. Rate of return =100Distributions $11.25$12.24$1.500.042, or 4.2%$12.24P P P -+-+==b. An investor holding the same securities as the fund managerwould have earned a rate of return based on the increase in the NAV of the portfolio:100NAV NAV Distributions $12.10$12.00$1.500.133, or 13.3%NAV $12.00-+-+==14. a. Empirical research indicates that past performance of mutualfunds is not highly predictive of future performance,especially for better-performing funds. While there may be some tendency for the fund to be an above average performer nextyear, it is unlikely to once again be a top 10% performer.b. On the other hand, the evidence is more suggestive of atendency for poor performance to persist. This tendency isprobably related to fund costs and turnover rates. Thus if the fund is among the poorest performers, investors should beconcerned that the poor performance will persist.15. NAV 0 = $200,000,000/10,000,000 = $20Dividends per share = $2,000,000/10,000,000 = $NAV1 is based on the 8% price gain, less the 1% 12b-1 fee: NAV1 = $20 (1 – = $Rate of return =20$20 .0$20$384.21$+-= , or %16. The excess of purchases over sales must be due to new inflows intothe fund. Therefore, $400 million of stock previously held by the fund was replaced by new holdings. So turnover is: $400/$2,200 = , or %.17. Fees paid to investment managers were: $ billion = $ millionSince the total expense ratio was % and the management fee was %, we conclude that % must be for other expenses. Therefore, other administrative expenses were: $ billion = $ million.18. As an initial approximation, your return equals the return on the shares minus the total of the expense ratio and purchase costs: 12% % 4% = %.But the precise return is less than this because the 4% load is paid up front, not at the end of the year. To purchase the shares, you would have had to invest: $20,000/(1 = $20,833. The shares increase in value from $20,000 to: $20,000 = $22,160. The rate of return is: ($22,160 $20,833)/$20,833 = %.19. Assume $1,000 investmentLoaded-Up Fund Economy Fund Yearly growth (r is 6%) (1.01.0075)r +-- (.98)(1.0025)r ⨯+- t = 1 year$1, $1, t = 3 years$1, $1, t = 10 years$1, $1,20. a. $450,000,000$10,000000$1044,000,000-= b. The redemption of 1 million shares will most likely triggercapital gains taxes which will lower the remaining portfolio by an amount greater than $10,000,000 (implying a remaining total value less than $440,000,000). The outstanding shares fall to 43 million and the NAV drops to below $10.21. Suppose you have $1,000 to invest. The initial investment in ClassA shares is $940 net of the front-end load. After four years, yourportfolio will be worth:$940 4 = $1,Class B shares allow you to invest the full $1,000, but yourinvestment performance net of 12b-1 fees will be only %, and you will pay a 1% back-end load fee if you sell after four years. Your portfolio value after four years will be:$1,000 4 = $1,After paying the back-end load fee, your portfolio value will be:$1, .99 = $1,Class B shares are the better choice if your horizon is four years.With a 15-year horizon, the Class A shares will be worth:$940 15 = $3,For the Class B shares, there is no back-end load in this casesince the horizon is greater than five years. Therefore, the value of the Class B shares will be:$1,000 15 = $3,At this longer horizon, Class B shares are no longer the betterchoice. The effect of Class B's % 12b-1 fees accumulates over time and finally overwhelms the 6% load charged to Class A investors.22. a. After two years, each dollar invested in a fund with a 4% loadand a portfolio return equal to r will grow to: $ (1 + r–2.Each dollar invested in the bank CD will grow to: $1 .If the mutual fund is to be the better investment, then theportfolio return (r) must satisfy:(1 + r–2 >(1 + r–2 >(1 + r–2 >1 + r– >1 + r >Therefore: r > = %b. If you invest for six years, then the portfolio return mustsatisfy:(1 + r–6 > =(1 + r–6 >1 + r– >r > %The cutoff rate of return is lower for the six-year investment because the “fixed cost” (the one-time front-end load) is spread over a greater number of years.c. With a 12b-1 fee instead of a front-end load, the portfoliomust earn a rate of return (r ) that satisfies:1 + r – – >In this case, r must exceed % regardless of the investmenthorizon.23. The turnover rate is 50%. This means that, on average, 50% of theportfolio is sold and replaced with other securities each year. Trading costs on the sell orders are % and the buy orders toreplace those securities entail another % in trading costs. Total trading costs will reduce portfolio returns by: 2 % = %24. For the bond fund, the fraction of portfolio income given up tofees is: %0.4%6.0= , or % For the equity fund, the fraction of investment earnings given up to fees is:%0.12%6.0= , or % Fees are a much higher fraction of expected earnings for the bond fund and therefore may be a more important factor in selecting the bond fund.This may help to explain why unmanaged unit investment trusts are concentrated in the fixed income market. The advantages of unit investment trusts are low turnover, low trading costs, and low management fees. This is a more important concern to bond-market investors.25. Suppose that finishing in the top half of all portfolio managers ispurely luck, and that the probability of doing so in any year is exactly ½. Then the probability that any particular manager would finish in the top half of the sample five years in a row is (½)5 = 1/32. We would then expect to find that [350 (1/32)] = 11managers finish in the top half for each of the five consecutiveyears. This is precisely what we found. Thus, we should not conclude that the consistent performance after five years is proof of skill. We would expect to find 11 managers exhibiting precisely this level of "consistency" even if performance is due solely to luck.。
证券投资学习题参考答案
第五章1、解：（1）根据CAPM 模型 ()i f i m f R R R R β=+-， 当证券i 为市场组合m 时，我们有： ()m f m m f R R R R β=+- 1m B β∴==（2）由()A f A m f R R R R β=+-，可得：0.110.5(0.14)0.08f f f R R R =+⨯-∴=资本市场线为： ()(0.140.08)0.080.080.50.12m f ppp f p mR R R R σσσσ--=+=+=+证券市场线为：()0.08(0.140.08)0.080.06i f i m f i i R R R R βββ=+-=+-=+2、解：如果市场达到均衡状态，则市场不存在套利机会。
我们假设一个证券组合为123(,,),(1,2,3)i i i ωωωω=其中代表投资证券的比重。
而有无数多组123(,,)ωωω满足 12312312300.93.01.800.150.210.120ωωωωωωωωω++=⎧⎪++=⎨⎪++>⎩比如123(,,)(100,75,175)ωωω=-组合就满足了上面的式子，也就是说我们可以构建一个套利组合，卖空175个单位股票3，然后买进100个单位股票1以及75个单位股票2 ，这样我们原始投入为0，组合的敏感因子也为0，也就是不够共同因素影响，但该组合缺可以获得正收益，所以原来市场不均衡。
要使得市场达到均衡，则必须要求3个股票都满足单因素APT 模型：i f i r R b λ=+由0.150.90.1243,0.02860.21 3.0f f f R R R λλλ=+⎧⎪⇒≈≈⎨=+⎪⎩股票3的期望回报率应该是：330.1243 1.80.02860.1757817.578%f r R b λ=+=+⨯==股票3的期望回报率上升为17.578%，市场就能达到均衡。
3、解：因为基金组合的β值为1，所以基金组合的期望收益()()p m E R E R = （1）由题意可知：222()0.080.05(0.5)0.110.11()0.080.0250.0620.0250.0870.79p p p p p E R b b E R b =+⨯-+=-+=+=∴= （2）依题意有：11()0.080.05()0.080.0621.240.050.05p p p p E R b E R b =+-=== 答：略。
投资学第10版课后习题答案Chap003
CHAPTER 3: HOW SECURITIES ARE TRADEDPROBLEM SETS1.Stop-loss order: allows a stock to be sold if the price falls below a predeterminedlevel. Stop-loss orders often accompany short sales. Limit sell order: sells stockwhen the price rises above a predetermined level. Market order: either a buy or sellorder that is executed immediately at the current market price2. In response to the potential negative reaction to large [block] trades, trades will be splitup into many small trades, effectively hiding the total number of shares bought or sold.3. The use of leverage necessarily magnifies returns to investors. Leveragingborrowed money allows for greater return on investment if the stock price increases.However, if the stock price declines, the investor must repay the loan, regardless ofhow far the stock price drops, and incur a negative rate of return. For example, if aninvestor buys an asset at $100 and the price rises to $110, the investor earns 10%.If an investor takes out a $40 loan at 5% and buys the same stock, the return will be13.3%, computed as follows: $10 capital gain minus $2 interest expense divided bythe $60 original investment. Of course, if the stock price falls below $100, thenegative return will be greater for the leveraged account.4. (a) A market order is an order to execute the trade immediately at the bestpossible price. The emphasis in a market order is the speed of execution (thereduction of execution uncertainty). The disadvantage of a market order is thatthe price at which it will be executed is not known ahead of time; it thus hasprice uncertainty.5. (a) A broker market consists of intermediaries who have the discretion to tradefor their clients. A large block trade in an illiquid security would most likelytrade in this market as the brokers would have the best access to clientsinterested in this type of security.The advantage of an electronic communication network (ECN) is that it canexecute large block orders without affecting the public quote. Since thissecurity is illiquid, large block orders are less likely to occur and thus it wouldnot likely trade through an ECN.Electronic limit-order markets (ELOM) transact securities with high tradingvolume. This illiquid security is unlikely to be traded on an ELOM.6. a. The stock is purchased for: 300 ⨯ $40 = $12,000The amount borrowed is $4,000. Therefore, the investor put up equity, ormargin, of $8,000.b.If the share price falls to $30, then the value of the stock falls to $9,000. Bythe end of the year, the amount of the loan owed to the broker grows to:$4,000 ⨯ 1.08 = $4,320Therefore, the remaining margin in the investor’s account is:$9,000 - $4,320 = $4,680The percentage margin is now: $4,680/$9,000 = 0.52, or 52%Therefore, the investor will not receive a margin call.c.The rate of return on the investment over the year is:(Ending equity in the account - Initial equity)/Initial equity= ($4,680 - $8,000)/$8,000 = -0.415, or -41.5%Alternatively, divide the initial equity investments into the change in valueplus the interest payment:($3,000 loss + $320 interest)/$8,000 = -0.415.7. a. The initial margin was: 0.50 ⨯ 1,000 ⨯ $40 = $20,000As a result of the increase in the stock price Old Economy Traders loses: $10 ⨯ 1,000 = $10,000Therefore, margin decreases by $10,000. Moreover, Old Economy Tradersmust pay the dividend of $2 per share to the lender of the shares, so that themargin in the account decreases by an additional $2,000. Therefore, theremaining margin is:$20,000 – $10,000 – $2,000 = $8,000b. The percentage margin is: $8,000/$50,000 = 0.16, or 16%So there will be a margin call.c. The equity in the account decreased from $20,000 to $8,000 in one year, for arate of return of: (-$12,000/$20,000) = -0.60, or -60%8.a. The buy order will be filled at the best limit-sell order price: $50.25b.The next market buy order will be filled at the next-best limit-sell order price: $51.50 c. You would want to increase your inventory. There is considerable buyingdemand at prices just below $50, indicating that downside risk is limited. Incontrast, limit sell orders are sparse, indicating that a moderate buy order could result in a substantial price increase.9. a.You buy 200 shares of Telecom for $10,000. These shares increase in value by 10%, or $1,000. You pay interest of: 0.08 ⨯ $5,000 = $400The rate of return will be: $1,000$4000.1212%$5,000-==b. The value of the 200 shares is 200P . Equity is (200P – $5,000). You will receive a margin call when:PP 200000,5$200-= 0.30 ⇒ when P = $35.71 or lower10. a.Initial margin is 50% of $5,000, or $2,500.b. Total assets are $7,500 ($5,000 from the sale of the stock and $2,500 put up formargin). Liabilities are 100P . Therefore, equity is ($7,500 – 100P ). A margin call will be issued when:PP 100100500,7$-= 0.30 ⇒ when P = $57.69 or higher11. The total cost of the purchase is: $20 ⨯ 1,000 = $20,000You borrow $5,000 from your broker and invest $15,000 of your own funds.Your margin account starts out with equity of $15,000.a. (i) Equity increases to: ($22 ⨯ 1,000) – $5,000 = $17,000Percentage gain = $2,000/$15,000 = 0.1333, or 13.33%(ii) With price unchanged, equity is unchanged.Percentage gain = zero(iii) Equity falls to ($18 ⨯ 1,000) – $5,000 = $13,000Percentage gain = (–$2,000/$15,000) = –0.1333, or –13.33%The relationship between the percentage return and the percentage change inthe price of the stock is given by:% return = % change in price ⨯ equityinitial s Investor'investment T otal = % change in price ⨯ 1.333 For example, when the stock price rises from $20 to $22, the percentage change in price is 10%, while the percentage gain for the investor is:% return = 10% ⨯000,15$000,20$= 13.33%b. The value of the 1,000 shares is 1,000P . Equity is (1,000P – $5,000). You will receive a margin call when:P P 000,1000,5$000,1-= 0.25 ⇒ when P = $6.67 or lowerc. The value of the 1,000 shares is 1,000P . But now you have borrowed $10,000instead of $5,000. Therefore, equity is (1,000P – $10,000). You will receive a margin call when:PP 000,1000,10$000,1-= 0.25 ⇒ when P = $13.33 or lower With less equity in the account, you are far more vulnerable to a margin call.d. By the end of the year, the amount of the loan owed to the broker grows to:$5,000 ⨯ 1.08 = $5,400The equity in your account is (1,000P – $5,400). Initial equity was $15,000.Therefore, your rate of return after one year is as follows: (i)000,15$000,15$400,5$)22$000,1(--⨯= 0.1067, or 10.67% (ii)000,15$000,15$400,5$)20$000,1(--⨯= –0.0267, or –2.67% (iii)000,15$000,15$400,5$)18$000,1(--⨯= –0.1600, or –16.00% The relationship between the percentage return and the percentage change inthe price of Intel is given by: % return = ⎪⎪⎭⎫ ⎝⎛⨯equity initial s Investor'investment Total price in change %⎪⎪⎭⎫ ⎝⎛⨯-equity initial s Investor'borrowed Funds %8For example, when the stock price rises from $40 to $44, the percentage change in price is 10%, while the percentage gain for the investor is:⎪⎭⎫ ⎝⎛⨯000,15$000,20$%10⎪⎭⎫ ⎝⎛⨯-000,15$000,5$%8=10.67%e. The value of the 1000 shares is 1,000P . Equity is (1,000P – $5,400). You will receive a margin call when:PP 000,1400,5$000,1-= 0.25 ⇒ when P = $7.20 or lower12. a. The gain or loss on the short position is: (–1,000 ⨯ ΔP )Invested funds = $15,000Therefore: rate of return = (–1,000 ⨯ ΔP )/15,000The rate of return in each of the three scenarios is:(i) Rate of return = (–1,000 ⨯ $2)/$15,000 = –0.1333, or –13.33%(ii) Rate of return = (–1,000 ⨯ $0)/$15,000 = 0%(iii) Rate of return = [–1,000 ⨯ (–$2)]/$15,000 = +0.1333, or+13.33%b. Total assets in the margin account equal:$20,000 (from the sale of the stock) + $15,000 (the initial margin) = $35,000Liabilities are 500P . You will receive a margin call when:PP 000,1000,1000,35$-= 0.25 ⇒ when P = $28 or higherc. With a $1 dividend, the short position must now pay on the borrowed shares:($1/share ⨯ 1000 shares) = $1000. Rate of return is now:[(–1,000 ⨯ ΔP ) – 1,000]/15,000(i) Rate of return = [(–1,000 ⨯ $2) – $1,000]/$15,000 = –0.2000, or –20.00%(ii) Rate of return = [(–1,000 ⨯ $0) – $1,000]/$15,000 = –0.0667, or –6.67% (iii) Rate of return = [(–1,000) ⨯ (–$2) – $1,000]/$15,000 = +0.067, or+6.67%Total assets are $35,000, and liabilities are (1,000P + 1,000). A margin call will be issued when:PP 000,1000,1000,1000,35--= 0.25 ⇒ when P = $27.2 or higher13. The broker is instructed to attempt to sell your Marriott stock as soon as theMarriott stock trades at a bid price of $40 or less. Here, the broker will attempt to execute but may not be able to sell at $40, since the bid price is now $39.95. The price at which you sell may be more or less than $40 because the stop-loss becomes a market order to sell at current market prices.14. a. $55.50b. $55.25c. The trade will not be executed because the bid price is lower than the pricespecified in the limit-sell order.d. The trade will not be executed because the asked price is greater than the pricespecified in the limit-buy order.15. a. You will not receive a margin call. You borrowed $20,000 and with another$20,000 of your own equity you bought 1,000 shares of Disney at $40 pershare. At $35 per share, the market value of the stock is $35,000, your equityis $15,000, and the percentage margin is: $15,000/$35,000 = 42.9%Your percentage margin exceeds the required maintenance margin.b. You will receive a margin call when:PP 000,1000,20$000,1-= 0.35 ⇒ when P = $30.77 or lower16. The proceeds from the short sale (net of commission) were: ($21 ⨯ 100) – $50 = $2,050A dividend payment of $200 was withdrawn from the account.Covering the short sale at $15 per share costs (with commission): $1,500 + $50 = $1,550Therefore, the value of your account is equal to the net profit on the transaction:$2,050 – $200 – $1,550 = $300Note that your profit ($300) equals (100 shares ⨯ profit per share of $3). Your net proceeds per share were:$21selling price of stock –$15 repurchase price of stock–$ 2 dividend per share–$ 1 2 trades $0.50 commission per share$ 3CFA PROBLEMS1. a. In addition to the explicit fees of $70,000, FBN appears to have paid animplicit price in underpricing of the IPO. The underpricing is $3 per share, ora total of $300,000, implying total costs of $370,000.b. No. The underwriters do not capture the part of the costs correspondingto the underpricing. The underpricing may be a rational marketingstrategy. Without it, the underwriters would need to spend more resourcesin order to place the issue with the public. The underwriters would thenneed to charge higher explicit fees to the issuing firm. The issuing firmmay be just as well off paying the implicit issuance cost represented bythe underpricing.2. (d) The broker will sell, at current market price, after the first transaction at$55 or less.3. (d)。
（完整版）投资学第10版习题答案05
（完整版）投资学第10版习题答案05CHAPTER 5: RISK, RETURN, AND THE HISTORICALRECORDPROBLEM SETS1.The Fisher equation predicts that the nominal rate will equal the equilibriumreal rate plus the expected inflation rate. Hence, if the inflation rate increasesfrom 3% to 5% while there is no change in the real rate, then the nominal ratewill increase by 2%. On the other hand, it is possible that an increase in theexpected inflation rate would be accompanied by a change in the real rate ofinterest. While it is conceivable that the nominal interest rate could remainconstant as the inflation rate increased, implying that the real rate decreasedas inflation increased, this is not a likely scenario.2.If we assume that the distribution of returns remains reasonably stable overthe entire history, then a longer sample period (i.e., a larger sample) increasesthe precision of the estimate of the expected rate of return; this is aconsequence of the fact that the standard error decreases as the sample sizeincreases. However, if we assume that the mean of the distribution of returnsis changing over time but we are not in a position to determine the nature ofthis change, then the expected return must be estimated from a more recentpart of the historical period. In this scenario, we must determine how far back,historically, to go in selecting the relevant sample. Here, it is likely to bedisadvantageous to use the entire data set back to 1880.3.The true statements are (c) and (e). The explanations follow.Statement (c): Let = the annual standard deviation of the riskyσinvestments and = the standard deviation of the first investment alternative1σover the two-year period. Then:σσ?=21Therefore, the annualized standard deviation for the first investment alternative is equal to:σσσ<=221Statement (e): The first investment alternative is more attractive to investors with lower degrees of risk aversion. The first alternative (entailing a sequence of two identically distributed and uncorrelated risky investments) is riskierthan the second alternative (the risky investment followed by a risk-freeinvestment). Therefore, the first alternative is more attractive to investorswith lower degrees of risk aversion. Notice, however, that if you mistakenly believed that time diversification can reduce the total risk of a sequence ofrisky investments, you would have been tempted to conclude that the firstalternative is less risky and therefore more attractive to more risk-averseinvestors. This is clearly not the case; the two-year standard deviation of the first alternative is greater than the two-year standard deviation of the second alternative.4.For the money market fund, your holding-period return for the next yeardepends on the level of 30-day interest rates each month when the fund rolls over maturing securities. The one-year savings deposit offers a 7.5% holding period return for the year. If you forecast that the rate on money marketinstruments will increase significantly above the current 6% yield, then themoney market fund might result in a higher HPR than the savings deposit.The 20-year Treasury bond offers a yield to maturity of 9% per year, which is 150 basis points higher than the rate on the one-year savings deposit;however, you could earn a one-year HPR much less than 7.5% on the bond if long-term interest rates increase during the year. If Treasury bond yields rise above 9%, then the price of the bond will fall, and the resulting capital losswill wipe out some or all of the 9% return you would have earned if bondyields had remained unchanged over the course of the year.5. a.If businesses reduce their capital spending, then they are likely todecrease their demand for funds. This will shift the demand curve inFigure 5.1 to the left and reduce the equilibrium real rate of interest.b.Increased household saving will shift the supply of funds curve to theright and cause real interest rates to fall.c.Open market purchases of U.S. Treasury securities by the FederalReserve Board are equivalent to an increase in the supply of funds (ashift of the supply curve to the right). The FED buys treasuries withcash from its own account or it issues certificates which trade likecash. As a result, there is an increase in the money supply, and theequilibrium real rate of interest will fall.6. a.The “Inflation-Plus” CD is the safer investment because it guarantees thepurchasing power of the investment. Using the approximation that the realrate equals the nominal rate minus the inflation rate, the CD provides a realrate of 1.5% regardless of the inflation rate.b.The expected return depends on the expected rate of inflation over the nextyear. If the expected rate of inflation is less than 3.5% then the conventionalCD offers a higher real return than the inflation-plus CD; if the expected rateof inflation is greater than 3.5%, then the opposite is true.c.If you expect the rate of inflation to be 3% over the next year, then theconventional CD offers you an expected real rate of return of 2%, which is0.5% higher than the real rate on the inflation-protected CD. But unless youknow that inflation will be 3% with certainty, the conventional CD is alsoriskier. The question of which is the better investment then depends on yourattitude towards risk versus return. You might choose to diversify and investpart of your funds in each.d.No. We cannot assume that the entire difference between the risk-freenominal rate (on conventional CDs) of 5% and the real risk-free rate (oninflation-protected CDs) of 1.5% is the expected rate of inflation. Part of thedifference is probably a risk premium associated with the uncertaintysurrounding the real rate of return on the conventional CDs. This impliesthat the expected rate of inflation is less than 3.5% per year.7.E(r) = [0.35 × 44.5%] + [0.30 × 14.0%] + [0.35 × (–16.5%)] = 14%σ2 = [0.35 × (44.5 – 14)2] + [0.30 × (14 – 14)2] + [0.35 × (–16.5 – 14)2] = 651.175σ = 25.52%The mean is unchanged, but the standard deviation has increased, as theprobabilities of the high and low returns have increased.8.Probability distribution of price and one-year holding period return for a 30-year U.S. Treasury bond (which will have 29 years to maturity at year-end):Economy Probability YTM Price CapitalGainCouponInterest HPRBoom0.2011.0%$ 74.05-$25.95$8.00-17.95% Normal growth0.508.0100.00 0.008.008.00Recession0.307.0112.2812.288.0020.289.E(q) = (0 × 0.25) + (1 × 0.25) + (2 × 0.50) = 1.25σq = [0.25 × (0 – 1.25)2 + 0.25 × (1 – 1.25)2 + 0.50 × (2 – 1.25)2]1/2 = 0.8292 10.(a) With probability 0.9544, the value of a normally distributedvariable will fall within 2 standard deviations of the mean; that is,between –40% and 80%. Simply add and subtract 2 standarddeviations to and from the mean.11.From Table 5.4, the average risk premium for the period 7/1926-9/2012 was:12.34% per year.Adding 12.34% to the 3% risk-free interest rate, the expected annual HPR for the Big/Value portfolio is: 3.00% + 12.34% = 15.34%.12.(01/1928-06/1970)Small BigLow2High Low2HighAverage 1.03% 1.21% 1.46%0.78%0.88% 1.18%SD8.55%8.47%10.35% 5.89% 6.91%9.11%Skew 1.6704 1.6673 2.30640.0067 1.6251 1.6348Kurtosis13.150513.528417.2137 6.256416.230513.6729(07/1970-12/2012)Small BigLow2High Low2HighAverage0.91% 1.33% 1.46%0.93% 1.02% 1.13%SD7.00% 5.49% 5.66% 4.81% 4.50% 4.78%Skew-0.3278-0.5135-0.4323-0.3136-0.3508-0.4954Kurtosis 1.7962 3.1917 3.8320 1.8516 2.0756 2.8629No. The distributions from (01/1928–06/1970) and (07/1970–12/2012) periods have distinct characteristics due to systematic shocks to the economy and subsequent government intervention. While the returns from the two periods do not differ greatly, their respective distributions tell a different story. The standard deviation for all six portfolios is larger in the first period. Skew is also positive, but negative in the second, showing a greater likelihood of higher-than-normal returns in the right tail. Kurtosis is also markedly larger in the first period.13.a%88.5,0588.070.170.080.01111or i i rn i rn rr =-=+-=-++=b.rr ≈ rn - i = 80% - 70% = 10%Clearly, the approximation gives a real HPR that is too high.14.From Table 5.2, the average real rate on T-bills has been 0.52%.a.T-bills: 0.52% real rate + 3% inflation = 3.52%b.Expected return on Big/Value:3.52% T-bill rate + 12.34% historical risk premium = 15.86%c.The risk premium on stocks remains unchanged. A premium, thedifference between two rates, is a real value, unaffected by inflation.15.Real interest rates are expected to rise. The investment activity will shiftthe demand for funds curve (in Figure 5.1) to the right. Therefore theequilibrium real interest rate will increase.16. a.Probability distribution of the HPR on the stock market and put:STOCKPUT State of the Economy Probability Ending Price +Dividend HPREnding Value HPR Excellent 0.25$ 131.0031.00%$ 0.00-100%Good 0.45 114.0014.00$ 0.00-100Poor 0.25 93.25?6.75$ 20.2568.75Crash0.05 48.00-52.00$ 64.00433.33Remember that the cost of the index fund is $100 per share, and the costof the put option is $12.b.The cost of one share of the index fund plus a put option is $112. Theprobability distribution of the HPR on the portfolio is:State of the Economy Probability Ending Price +Put +Dividend HPRExcellent 0.25$ 131.0017.0%= (131 - 112)/112Good 0.45 114.00 1.8= (114 - 112)/112Poor 0.25 113.50 1.3= (113.50 - 112)/112Crash0.05 112.000.0= (112 - 112)/112c.Buying the put option guarantees the investor a minimum HPR of 0.0%regardless of what happens to the stock's price. Thus, it offers insuranceagainst a price decline.17.The probability distribution of the dollar return on CD plus call option is:State of theEconomyProbability Ending Value of CD Ending Value of Call Combined Value Excellent0.25$ 114.00$16.50$130.50Good0.45 114.00 0.00114.00Poor0.25 114.00 0.00114.00Crash 0.05 114.00 0.00114.0018.a.Total return of the bond is (100/84.49)-1 = 0.1836. With t = 10, the annual rate on the real bond is (1 + EAR) = = 1.69%.1.18361/10 b.With a per quarter yield of 2%, the annual yield is = 1.0824, or8.24%. The equivalent continuously compounding (cc) rate is ln(1+.0824) =.0792, or 7.92%. The risk-free rate is 3.55% with a cc rate of ln(1+.0355) =.0349, or 3.49%. The cc risk premium will equal .0792 - .0349 = .0443, or4.433%.c.The appropriate formula is , σ2(effective )= e2 × m (cc ) ×[e σ2(cc )1]where . Using solver or goal seek, setting thetarget cell to the known effective cc rate by changing the unknown variance (cc) rate, the equivalent standard deviation (cc) is 18.03% (excel mayyield slightly different solutions).d.The expected value of the excess return will grow by 120 months (12months over a 10-year horizon). Therefore the excess return will be 120 × 4.433% = 531.9%. The expected SD grows by the square root of timeresulting in 18.03% × = 197.5%. The resulting Sharpe ratio is120531.9/197.5 = 2.6929. Normsdist (-2.6929) = .0035, or a .35% probabilityof shortfall over a 10-year horizon.CFA PROBLEMS1.The expected dollar return on the investment in equities is $18,000 (0.6 × $50,000 + 0.4× ?$30,000) compared to the $5,000 expected return for T-bills. Therefore, theexpected risk premium is $13,000.2.E(r) = [0.2 × (?25%)] + [0.3 × 10%] + [0.5 × 24%] =10%3.E(r X) = [0.2 × (?20%)] + [0.5 × 18%] + [0.3 × 50%] =20%E(r Y) = [0.2 × (?15%)] + [0.5 × 20%] + [0.3 × 10%] =10%4.σX2 = [0.2 × (– 20 – 20)2] + [0.5 × (18 – 20)2] + [0.3 × (50 – 20)2] = 592σX = 24.33%σY2 = [0.2 × (– 15 – 10)2] + [0.5 × (20 – 10)2] + [0.3 × (10 – 10)2] = 175σY = 13.23%5.E(r) = (0.9 × 20%) + (0.1 × 10%) =19% $1,900 in returns6.The probability that the economy will be neutral is 0.50, or 50%. Given aneutral economy, the stock will experience poor performance 30% of thetime. The probability of both poor stock performance and a neutral economy is therefore:0.30 × 0.50 = 0.15 = 15%7.E(r) = (0.1 × 15%) + (0.6 × 13%) + (0.3 × 7%) = 11.4%。
投资学习题ppt课件
• 某投资人，其资金60％投资股票，预期报 酬率为20％，其40％投资国库券，预期报 酬率为8％，股票的标准差为15％，国库券 的标准差为0，则投资组合的标准差为（ ）
A.9％ B.15％ C.10％ D.12.5％
• 关于投资分散化，下列说法中正确的是 （）
• A. 分散化投资使系统风险减少 B. 分散化 投资使因素风险减少
• C. 分散化投资使非系统风险减少 D. 分散 化投资既降低风险又提高收益
• 下面哪一种资产组合不属于有效率边界？ （ ）。
• 资产组合 期望收益率（%） 标准差（%）
A
15
36
•B
12
15
•C
5
7
•D
9
21
客观状态 概率P 凯迪公司 凯恩公司
经济高 0.5 涨
经济正 0.3 常
经济萧 0.2 条
• C．此资产的贝他系数大于1 D．此资产的贝他 系数小于1
ห้องสมุดไป่ตู้
• 证券市场线表明，在市场均衡条件下，证券(或组 合)的收益由两部分组成，一部分是无风险收益， 另一部分是( )
• A．对总风险的补偿 消费的补偿
B．对放弃即期
• C．对非系统风险的补偿 险的补偿
D．对系统风
• 一个在小麦期货中作 头寸的交易者希望 小麦价格将来 （ ）
• C. 风险厌恶程度高的投资者会选择市场组 合M点右上方的资产组合
• D. 风险厌恶程度低的投资者会选择市场组 合M点右上方的资产组合
• E. 风险厌恶程度高的投资者会选择市场组 合M点左下方的资产组合
• 关于SML与CML，下列说法正确的是（ ）
• A．两者都表示有效组合的收益与风险的关 系
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投资学习题课 一、选择题 1、下面哪一个有关风险厌恶者的陈述是正确的（C） （A）他们只关心收益率 （B）他们接受公平游戏的投资 （C）他们只接受在无风险利率之上有风险溢价的风险投资 （D）他们愿意接受高风险和低收益 2、面值为1000元的90天期短期国库券售价为980元，那么国库券的有效年收益率为（C） （A）8.16% （B）8.53% （C）8.42% （D）2.04% 答：[1000-980]/980=2.0408%，有效年收益率=[1+2.0408%]4-1=8.42% 3、你以保证金以每股70元的价格购买了200股ABC公司普通股，假定初始保证金是50%，维持保证金是30%。假定股票不分红，忽略保证金利息。在下列哪种股价水平下，你将接到保证金通知（B） （A）21元 （B）50元 （C）49元 （D）80元 答：200股70元50%=7000元（贷款数量） 0.3=[200P-7000]/200P, P=50元 4、一年前你在投资帐户中存入10万元，收益率为7%，如果年通货膨胀率为3%，则你的近似年实际收益率是（A） （A）4% （B）10% （C）7% （D）3% 5、风险的存在意味着（B） （A）投资者将受损 （B）多于一种结果的可能性 （C）收益的标准差大于期望价值 （D）最后的财富大于初始财富 6、被动投资（A） （A）通过投资于指数共同基金实现 （B）包括大量的证券选择 （C）包括大量的交易费用 （D）B和C 答：被动投资实际不包括证券选择，它如果投资于指数共同基金，将包含最低的交易费用 7、风险资产组合的方差是（C） （A）组合中各个证券方差的加权和 （B）组合中各个证券方差的和 （C）组合中各个证券方差和协方差的加权和 （D）组合中各个证券协方差的加权和 8、资本配置线可以用来描述（A） （A）一项风险资产和一项无风险资产组成的资产组合 （B）两项风险资产组成的资产组合 （C）对一个特定的投资者提供相同效用的所有资产组合 （D）具有相同期望收益和不同标准差的所有资产组合 9、衍生证券的价值（A） （A）取决于与之相关的初始证券 （B）只能用来增加风险 （C）与初始证券无关 （D）可因最近关于这些证券的广泛的和反面的宣传而被提高 10、零贝塔证券的预期收益率是（D） 2
（A）市场收益率 （B）零收益率 （C）负收益率 （D）无风险收益率 11、A、B、C三种股票具有相同的期望收益率和方差，下表为三种股票之间的相关系数。根据这些相关系数，风险水平最低的资产组合为（C） 名 称 A B C 股票A 1.0 股票B 0.9 1.0 股票C 0.1 -0.4 1.0 （A）平均投资于A、B （B）平均投资于A、C （C）平均投资于B、C （D）全部投资于C 12、CAPM模型认为资产组合收益可由（C）得到最好的解释 （A）经济因素 （B）特有风险 （C）系统风险 （D）分散化 13、无风险收益率和市场期望收益率分别是6%和12%。根据CAPM模型，贝塔值为1.2的证券X的期望收益率是（D） （A）6% （B）14.4% （C）12% （D）13.2% 14、某个证券的市场风险，等于（A） （A）该证券收益与市场收益的协方差除以市场收益的方差 （B）该证券收益与市场收益的协方差除以市场收益的标准差 （C）该证券收益的方差除以它与市场收益的协方差 （D）该证券收益的方差除以与市场收益的方差 15、一个充分分散化的资产组合的（C） （A）市场风险可忽略 （B）系统风险或忽略 （C）非系统风险可忽略 （D）不可分散化的风险可忽略 16、证券X期望收益率为11%，贝塔值为1.5。无风险报酬率为5%，市场期望收益率9%。根据资本资产定价模型，这个证券（C） （A）被低估 （B）被高估 （C）定价公平 （D）无法判断 17、市场组合的风险溢价将和以下哪一项成比例（D） （A）投资者整体的平均风险厌恶程度 （B）用贝塔测度的市场资产组合的风险 （C）用方差测度的市场资产组合的风险 （D）A和C 18、标准差和贝塔值都是用来测度风险的，它们的区别在于（B） （A）贝塔值既测度系统风险，又测度非系统风险 （B）贝塔值只测度系统风险，标准差是整体风险的测度 （C）贝塔值只测度非系统风险，标准差是整体风险的测度 （D）贝塔值既测度系统风险，又测度非系统风险，而标准差只测度系统风险 19、如果X与Y都是充分分散化的资产组合，其中资产组合X的期望收益率为16%，贝塔值为1，Y的期望收益率为12%，贝塔值为0.25。若无风险报酬率为8%，则资产组合X和Y（B） （A）都处于均衡状态 （B）存在套利机会 （C）都被低估 （D）都被公平定价 20、根据套利定价理论（C） （A）高贝塔值的股票都属于高估定价 （B）低贝塔值的股票都属于低估定价 3
（C）正阿尔法值的股票会很快消失 （D）理性的投资者将会从事与其风险承受力相一致的套利活动 21、（C）说明了期望收益和风险之间的关系 （A）套利定价模型（APT） （B）资本资产定价模型（CAPM） （C）APT和CAPM （D）既不是APT，又不是CAPM 22、如果投资者构造了一个收益确定的资产组合，就出现了套利机会。这样的资产组合有（C） （A）正投资 （B）负投资 （C）零投资 （D）以上各项均正确 23、考虑单因素APT模型。资产组合A的贝塔值为0.2，期望收益率为13%。资产组合B的贝塔值为0.4，期望收益率为15%。无风险收益率为10%。如果希望进行套利，你应该持有空头头寸和多头头寸分别是（B） （A）A，B （B）B，A （C）A，无风险资产 （D）B，无风险资产 答：A: 13%=0.2F+10%, F=15% B: 15%=0.4F+10%, F=12.5%，因此B空头，A多头 24、考虑单因素APT模型。股票A和股票B的期望收益率分别为15%和18%，无风险收益率为6%。股票B的贝塔值为1.0。如果不存在套利机会，那么股票A的贝塔值为（B） （A）0.67 （B）0.75 （C）1.00 （D）1.30 25、考虑有两个因素的多因素APT模型。股票A的期望收益率为16.4%，A对因素1的贝塔值为1.4，对因素2的贝塔值为0.8。因素1的风险溢价为3%，无风险利率为6%。如果无套利机会，因素2的风险溢价为的风险溢价为（D） （A）2% （B）30% （C）4% （D）7.75% 26、一个充分分散风险的资产组合是指（A） （A）组成证券数目足够多，以至非系统方差基本为0的资产组合 （B）至少有三个以上行业的证券组成的资产组合 （C）因素贝塔值为1的资产组合 （D）等权重资产组合 27、投资者折价购入长期债券，原因在于债券的票面利率（C）当时的市场利率 （A）等于 （B）高于 （C）低于 （D）没有必然联系 28、债券的到期收益率是（B） （A）当债券以折价的方式卖出时，低于息票率；当以溢价方式卖出时，高于息票率 （B）发行人支付款项的现值等于债券价格的折现率 （C）现行收益率加上平均年资本利得率 （D）以任何所得的利息支付都是以息票率再投资这一假定为基础的 29、一种面值为1000元的每年附息债券，五年到期，到期收益率为10%。如果息票率为12%，这一债券的现价应为（C） （A）922.8元 （B）924.2元 （C）1075.8元 （D）1077.2元 30、你一年前购买了一种年附息票债券，从那时算起还年6年到期。息票利率为10%，面值为1000元。在你买此债券时，到期收益率为8%。如果你在收取第一年的利息后卖掉债券，到期收益率仍为8%，那么你那年的总回报率为（C） （A）7.00% （B）7.82% （C）8.00% （D）11.95% 31、比较A和B两种债券。它们现在都以1000元的面值出售，都年付息120元。A五年到期，B六年到期。如果两种债券的到期收益率从12%变为10%，则（B） （A）两种债券都会升值，A升得多 （B）两种债券都会升值，B升得多 4
（C）两种债券都会贬值，A贬得多 （D）两种债券都会贬值，B贬得多 32、你刚买了一种10年期的零息票债券，到期收益率为10%，面值为1000元。如果年底售出此债券，假设售出时到期收益率为11%，你的回报率是（D） （A）10.00% （B）20.42% （C）13.8% （D）1.4% 33、下面关于可转换债券的论述哪个是正确的（B） （A）可转换期越长，债券价值越小 （B）可转换的股票的易变性越大，可转换债券的价值越高 （C）股票的红利收益与债券到期收益差距越小，可转换债券的价值越高 （D）可转换债券的担保条件是可转换债券比股票更具吸引力的原因之一 34、根据固定增长的红利贴现模型，公司资本化率的降低将导致股票内在价值（B） （A）降低 （B）升高 （C）不变 （D）或升或降，取决于其他因素 35、投资者打算买一只普通股并持有一年，在年末投资者预期得到的红利为1.50元，预期股票那时可以26元的价格卖出。如果投资者想要得到15%的回报率，现在投资愿意支付的最高价格为（B） （A）22.61元 （B）23.91元 （C）24.50元 （D）27.50元
答：V0=(D1+P1)/(1+k)=（1.50+26）/ (1+15%)=23.91元 36、如果一家公司股权收益率为15%，留存比率为40%，则它的收益与红利的持续增长率为（A） （A）6% （B）9% （C）15% （D）40%
答：g=ROE×b=15%×40%=6% 37、某股票在今后三年中不打算发放红利，三年后预计红利每股2元，红利支付率40%，股权收益率为15%，如果预期收益率为12%，目前该股价值最接近于（C） （A）27元 （B）33元 （C）47元 （D）67元
答：g=ROE×b=15%×(1-40%)=9%, P3=D4/(k-g)=2/(12%-9%)=66.67元 V0=P3/(1.12)3=47.45 38、某只股票股东要求的回报率是15%，固定增长率为10%，红利支付率为45%，则该股票的价格-盈利比率为（C） （A）3 （B）4.5 （C）9 （D）11 答：P0=D1/(k-g)=0.45E1/(15%-10%)，P0/E1=9 39、（D）是盈利再投资的百分比 （A）红利分派率 （B）留存比率 （C）再投资比率 （D）B和C 40、ABC公司预期将在来年分派3.5元的红利，预计的每年红利增长率为10%。无风险回报率为5%，预期的市场组合回报率为13%。股票今天的市价为90元。则ABC公司股票的贝塔系数大概是（C） （A）0.8 （B）1.0 （C）1.1 （D）1.4 答：k=D1/V0+g=3.5/90+0.10=0.139，13.9%=5%+(13%-5%)，=1.1