金融市场与金融机构基础-Fabozzi-Chapter13
金融学第12章金融学(第二版兹维博迪罗伯特C默顿等著)
资本预算
定义：企业的管理者为获取长期存在的资 产，同时为了培训运营所有这些资产的人 员所作出的一项规划。
资本预算过程中的基本分析单位是投资项 目。
资本预算过程包括：鉴定新投资项目的构 思，对其进行评估，决定哪些可以实施， 然后贯彻执行。
融资
企业可以发行一系列广泛的金融工具和索 取权来筹集资金。
❖ 金融中介被定义为主要业务是提供金融服务 和金融产品的企业。
❖ 如：银行投资公司，保险公司
❖ 金融产品：支票账户，商品贷款，抵押，共 同基金以及各种保险合同。
2.2资金流动
通过金融体系从拥有资金盈余的主体流向存在 赤字的主体。
金融市场
盈余单位
赤字单位
金融中介
2.3从功能出发的视觉
❖ 2.3.1 功能1：跨期转移资源 ❖ 金融体系提供了跨期转移资源，跨国界转移
❖ 如:你需要10万美元开办一家企业，但你没有钱，那 么你就是一个资金赤字单位。你需要说服一位投资 者（资金盈余单位）提供7万美元换取公司75%的 利润份额，同时你说服一家银行（金融中介）贷3 万元给你。于是，风险就从你那里转移到了投资者 和银行身上。
2.3.3 功能3 ：清算支付和结算支付
❖ 金融体系提供清算支付和结算支付的方式为商品， 服务，资产的交换提供便利。
收购如何起到市场性管束的作用？
无论管理混乱的根源是管理者不称职还是管理者 对不同目标的追求，收购机制都可以将其矫正。 这个作用就像市场对经济的资源配置的作用是一 样的。
金融市场讲义1-12(1)
金融市场讲义1、参考书：Anthony M. Santomero& Dacid F. Babbel《金融市场、工具与结构》东北财经大学出版社（着眼于提供一个对金融市场的职能、定价和制度性结构的透析，略去宏观经济学工具的同时，给出了不同金融工具的定价方法，以及市场中运做的工具与机构间的差别）2、Peter S.Mishkin《货币与资本市场》机械工业出版社（货币与资本市场课程，热中于对机构和金融工具的描述）3、Frederic S Mishkin《货币金融学》中国人民大学出版社（货币和银行业课程，从货币在社会的作用入手，到金融市场的宏观经济学意义。
对金融工具并不注重，也不对金融市场与机构的结构进行任何细节的分析。
）第一部分金融体系的结构与作用第一章概论基本概念：金融工具：标明交易双方权利、义务关系的书面凭证。
包括股票、债券和存单等。
金融机构：根据借贷双方的要求创造和交易金融工具的机构。
指从社会聚集资金,然后投资于各种股票,债券货币市场工具,银行存款等金融资产或发放贷款的机构.金融市场:指经济生活中用来进行资本和信贷资金交易的场所,即金融工具进行交易的场所和机构.一、金融体系的作用金融体系对现代经济的作用：1、为交易提供了支付手段交换的两方面：实物的过程与金融的过程，伴随交换的发展，金融的形式日益复杂。
有实际资产和金融资产的划分。
对金融资产的划分。
对金融资产的购买称之为金融投资----因为放弃了当前消费（产出）而获得的对经济其他部分的未来消费（产出）的书面所有权。
2、储蓄－投资的转化金融体系为储蓄－投资的转化提供了一个桥梁的作用金融体系在整个经济中储蓄－投资到转化的过程金融体系与个人、企业的活动密切相关金融体系为整个经济的盈余提供渠道并通过企业投资使资金增值。
二、储蓄、投资与金融市场储蓄在经济学上是一种延迟的消费是为了未来的不确定性而进行的储蓄储蓄取决与消费者的投资决策投资是指获得新生的生产设备、建筑和库存，即实际资产的购买投资决策取决于预期收益储蓄、投资与金融市场的联系：储蓄和投资在本质上与金融无关。
金融市场与金融机构讲义PPT(26张)
金融学 张乃文
2.金融期权市场
（1）按内容不同，分为看涨期权和看跌期权。 （2）按标的不同，分为现货期权和期货期权。 （3）按行权时间，可分为欧式期权和美式期权。
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金融学 张乃文
（二）外汇市场
1.外汇市场的主体：外汇银行、中央银行、外汇经纪人 2.外汇市场的功能：
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10、山有封顶，还有彼岸，慢慢长途，终有回转，余味苦涩，终有回甘。
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11、人生就像是一个马尔可夫链，你的未来取决于你当下正在做的事，而无关于过去做完的事。
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12、女人，要么有美貌，要么有智慧，如果两者你都不占绝对优势，那你就选择善良。
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13、时间，抓住了就是黄金，虚度了就是流水。理想，努力了才叫梦想，放弃了那只是妄想。努力，虽然未必会收获，但放弃，就一定一无所获。
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16、人生在世：可以缺钱，但不能缺德;可以失言，但不能失信;可以倒下，但不能跪下;可以求名，但不能盗名;可以低落，但不能堕落;可以放松，但不能放纵;可以虚荣，但不能虚伪;可以平凡，但不能平庸;可以浪漫，但不能浪荡;可以生气，但不能生事。
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17、人生没有笔直路，当你感到迷茫、失落时，找几部这种充满正能量的电影，坐下来静静欣赏，去发现生命中真正重要的东西。
议价买卖和竞价买卖 直接交易和间接交易 现货交易和期货交易
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金融学 张乃文
四、其他金融市场
（一）金融衍生工具市场 1.金融期货市场
（1）金融期货的基本类型：外汇期货、利率期货、股票 指数期货。
（2）金融期货交易的基本功能：套期保值、价格发现。
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1、想要体面生活，又觉得打拼辛苦；想要健康身体，又无法坚持运动。人最失败的，莫过于对自己不负责任，连答应自己的事都办不到，又何必抱怨这个世界都和你作对？人生的道理很简单，你想要什么，就去付出足够的努力。
Fabozzi_金融市场与金融机构基础课后答案12
C H A P T E R12R I S K/R E T U R N A N D A S S E T P R I C I N G M O D E L S PORTFOLIO THEORYPortfolio theory proceeds from the axiom that investors seek to maximize returns given some risk level they are willing to accept. Portfolios that maximize the expected return from an investment subject to a given level of risk are said to be efficient. From among efficient portfolios, the one which risk-averse investors prefer, is said to be an optimal portfolio. To construct an efficient portfolio, it is necessary to understand what is meant by expected return and risk.Investment ReturnThe return on an investment portfolio during a given interval of time is equal to the change in value of the portfolio plus any distributions received from the assets in the portfolio. These returns are expressed as a fraction of the initial portfolio value.R = (V1– V0 + D) / V0where V1 = portfolio value at the end of intervalV0 = portfolio value at the beginning of intervalD = cash distribution during intervalFor purposes of comparison, returns are expressed per unit of time, usually a year. If several years of units are included in the time horizon, then the return can be computed by averaging the return over the several unit intervals. There are three averaging methods in use: (1) the arithmetic average return (simple average of total return divided by number of time units), (2) time-weighted rate of return (also referred to as the geometric average), (3) dollar weighted return. One measure of risk is the extent to which future portfolio values are likely to diverge from the expected value.Portfolio RiskPortfolio risk can be measured in terms of the dispersion of returns about the expected value or mean return. The variance of return is a weighted sum of the squared deviations from the expected return. The standard deviation is the square root of the variance.Expected Portfolio ReturnA particularly useful way to quantify the uncertainty about the portfolio return is to specify the probability associated with each of the possible future returns and calculate the expected value of the portfolio return. The expected value is the weighted average of the possible outcomes, where the weights are the relative chances of occurrence. The expected return on the portfolio isexpressed as:E(R) = P1 R1 + P2 R2 + . . . + P N R NProbability distributions can take various shapes. For a symmetrical distribution, the dispersion of returns on one side of the expected return is the same as the dispersion on the other side of the expected return. The risk of a portfolio is measured by the variance and standard deviation of returns.DiversificationDiversification results from combining securities whose returns are less than perfectly correlated in order to reduce portfolio risk. It smoothes out the variation of returns and reduces the variability. Much of the total risk is diversifiable. But not all risks can be eliminated via diversification. Unsystematic risk (that which relates uniquely to the security or issuing firm) can be substantially reduced with a large, well-diversified portfolio. Still some risks remain which affect all firms to some degree (e.g. business cycles and interest rate changes). This is the market or systematic risk.Mathematically, a security’s return is compos ed of: R =βrm + e where, beta is a market sensitivity index, indicating how sensitive the security return is to changes in the market level. The unsystematic return is independent of the market return and is represented by the epsilon e. The systematic risk of a security is equal to β times the standard deviation of the market return. The unsystematic risk equals the standard deviation of the residual return factor. Portfolio systematic risk is equal to the portfolio beta factor times the risk of the market index. The portfolio beta factor is simply the average of the individual security betas, weighted by the proportion of each security in the portfolio.The Risk of Individual SecuritiesThe systematic risk of an individual security is that portion of its total risk that cannot be eliminated by combining it with other securities in a well diversified portfolio. Thus, we have: Security Return = Systematic Return + Unsystematic ReturnThe security return may be expressed as:R = β R M + ε where ε is unsystematic returnThe security return model is usually written in such a way that the average value of the unsystematic return is zero. This is accomplished by adding a factor alphaαto the model to represent the average value of the unsystematic returns over time.R = α + β R M + ε where ε is unsystematic returnThis model for security returns is referred to as the market model.Estimating BetaBeta can be estimated by regressing returns of a security on the returns of a market portfolio. Since historical data are employed the beta computed will vary with the time period used, number of observations, and market index employed. Thus a question may be raised about the stability of beta over time.THE CAPITAL ASSET PRICING MODELThe capital asset pricing model (CAPM) asserts that the expected return on a portfolio should exceed the risk-less rate of return by an amount that is proportional to the portfolio beta. The relationship between expected return and risk should be linear.Underlying AssumptionsThe model contains several critical assumptions: (1) investors are risk-averse; (2) investors have common time horizon; (3) investors have homogeneous expectations; (4) perfect markets exist, with no transactions costs and borrowing rates are equal to lending rates.Tests of the CAPMOne major difficulty in testing the CAPM is that the model is stated in terms of investor expectations and not in terms of required returns. Yet a number of tests have been tried, the results suggesting that there is indeed a linear risk/return relationship. More noted is Roll’s critique which states while the CAPM is testable in principle, no correct test of the theory has yet been presented. There is only one potentially testable hypothesis, namely that the true market portfolio is mean-variance efficient. Because the true market portfolio must contain all worldwide assets, the value of most of which cannot be observed, the hypothesis is in all probability untestable.THE MULTIFACTOR CAPMThe CAPM assumes the only risk is uncertainty about future market prices. But Robert Merton suggests that there exist extra-market sources of risk of concern to investors as well, such as future income, inflation, future investment opportunities. These risks affect ability to consume goods and to invest in securities in the future. Thus Merton has developed a “multifactor CAPM” to incorporate these extra-market risks in the model. In essence a security’s return has a Beta sensitivity to several factors. What these precise factors are and how many, however, has not been established. Thus this model is even harder to test than the straight CAPM.ARBITRAGE PRICING THEORY MODELDeveloped by Stephen Ross, the arbitrage pricing model (APT) assumes that there are several factors that determine the rate of return on a security, not just one as in the case of the CAPM. Rather, a security’s return is linearly related to “H” factors, but what they are is not specified. It is like the multifactor CAPM but distinguished from it in that it does not require a market index or standard deviation of returns.Empirical EvidenceEmpirical work suggests the following four plausible factors:1. unanticipated changes in industrial production;2. unanticipated changes in the spread between the yield on low grade and high grade bonds;3. unanticipated changes in interest rates and the shape of the yield curve;4. unanticipated changes in inflation.ATTACKS ON THE THEORYPortfolio theory is a normative theory. It describes how investors should behave. However, a number of positive theories have challenged portfolio theory by showing disparities between how investors should behave and how they actually behave.Asset Return Distribution and Risk MeasuresThere is empirical evidence to suggest that the probability distribution of returns is not normal, but is skewed. This means that between periods when the market exhibits relatively modest changes in returns, there will be periods when there are changes that are much higher (i.e., crashes and bubbles) than the normal distribution predicts.Assault by the Behavioral Finance Theory CampBehavioral finance looks at how psychology affects investor decisions and the implications not only for portfolio theory but also asset pricing theory and market efficiency. There are three themes in the behavioral finance literature: (1) investors err in making investment decisions because they rely on rules of thumb, (2) investors are influenced by form as well as substance in making investment decisions, (3) prices in the financial market are affected by errors and decision frames.The first theme involves heuristics, a term meaning a rule of thumb strategy to follow in order to shorten the time it takes to make a decision. There are circumstances where heuristics can workfairly well. But it can also lead to cognitive biases, or heuristic-driven biases.The second theme involves the concept of framing, meaning the way in which a situation or choice is presented to an investor can drive results. For example, investors often fail to treat the value of their stock portfolio at market value. Instead, they have a “mental account” where they continue to market the value of each stock in their portfolio at the purchase price despite the change in the market value.The third them of behavioral finance involves how errors caused by heuristics and framing dependence affect the pricing of assets.ANSWERS TO QUESTIONS FOR CHAPTER 12(Questions are in bold print followed by answers.)1. A friend has asked you to help him figure out a statement he received from his broker. It seems that, at the start of last year, your friend paid $900 for a bond, and sold it at the end of the year for $890. During the year, he received a single coupon payment of $110. The statement claims that his return (not including commissions and taxes) is 11.11% for the year. Is this claim correct?Returns can be measured by taking all the cash flows (interest payments and capital gains) and dividing by the cost of the security. The formula is:R=(I+P1-P0)/P0=$110+$890-$900/$900=11.11%,so the statement is correct.2. Suppose the probability distribution for the one-period return of some asset is as follows:Return Probability0.20 0.100.15 0.200.10 0.300.03 0.25-0.06 0.15a. W hat is this asset’s expected one-period return?b. What is this asset’s variance and standard deviation for the one-period return?a.The expected return for the asset is:(0.20) (0.10) + (0.15) (0.20) + (0.10) (0.30) + (0.03) (0.25) + (-0.06) (0.15) = 7.85%b.The asset’s return variance is:(0.10) [0.20-0.0785]2+(0.20) [0.15-0.0785]2+(0.30) [0.10-0.0785]2+(0.25) [0.03-0.0785]2+(0.15) [(-0.06) -0.0785] 2=0.006102.The square root of the variance is the standard deviation. Hence, the standard deviation is 0.07812.3. “A portfolio’s expected return and variance of return are simply the weighted average of the expected return and variance of the individual assets.” Do you agree with this statement?This statement is only partially correct. A portfolio’s expe cted return is a weighted average of the expected return of the assets comprising the portfolio. But the portfolio variance is not because it also depends on the correlation (covariance) of the asset returns.4. In the January 25, 1991, issue of The Value Line Investment Survey, you note the following:Company Beta (β)IBM 0.95Bally Manufacturing 1.40Cigna Corporation 1.00British Telecom 0.60a.How do you interpret these betas?b.Is it reasonable to assume that the expected return on British Telecom is less thanthat on IBM shares?c.“Given that Cigna Corporation has a β of 1.00, one can mimic the performance ofthe stock market as a whole by buying only these shares.” Do you agree with thisstatement?a.These figures represent the systematic risk of these stocks; how the stock’s return shouldmove relative to a market index return.b.According to the CAPM, the higher the beta, the greater the expected return. So, accordingtot he reported values for beta, the expected return for British Telecom is less than for IBM.c.This statement is not true. Investing in only these shares will still expose the investor to muchunsystematic risk, which can only be diversified away by investing in a portfolio of different securities.5. Assume the following:Expected market return = 15%Risk-free rate = 5.7%If a security’s beta is 1.3, what is its expected return according to the CAPM?The expected return is:.07+1.3 (.15-.07) =.174=17.4%, (assume risk free rate =7%).6. Professor Harry Markowitz, corecipient of the 1990 Nobel Prize in Economics, wrote the following:A portfolio with sixty different railway securities, for example, wouldnot be as well diversified as the same size portfolio with some railroad,some public utility, mining, various sorts of manufacturing, etc.Why is this true?This is true because railway securities are likely to be highly correlated with each other, whereas a well-diversified portfolio of issues from different industries leads to elimination of unsystematic risk.7. Following is an excerpt from an article, “Risk and Reward,” in The Economist of October 20, 1990:Next question: is the CAPM supported by the facts? That iscontroversial, to put it mildly. It is a tribute to Mr. Sharpe [cowinnerof the 1990 Nobel Prize in Economics] that his work, which dates fromthe early 1960s, is still argued over so heatedly. Attention has latelyturned away from beta to more complicated ways of carving up risk.But the significance of CAPM for financial economics would be hardto exaggerate.a.Summarize Roll’s argument on the problems inherent in empirically verifying theCAPM.b.What are some of the other “more complicated ways of carving up risk”?a.Roll argues that while the CAPM is testable in principle, no correct test of the theory has yetbeen presented. He also argues that there is practically no possibility that a correct test will be done because there is only one potentially testable hypothesis associated with the CAPM, namely that the true market portfolio is mean-variance efficient. Since this portfolio must contain all worldwide assets, the value of most of which cannot be observed, the hypothesis is probably untestable.b.CAPM assumes investors are only concerned with one risk -- the future prices of their assets.Merton asserts that there are other investor concerns, such as the ability to consume goods and services in the future. He has tried to incorporate more than one risk factor in his model.8.a.What are the difficulties in practice of applying the arbitrage pricing theory model?b.Does Roll’s criticism also apply to this pricing model?c.“In the CAPM investors should be compensated for accepting systematic risk: forthe APT model, investors are rewarded for accepting both systematic risk andunsystematic risk.” Do you agree with this statement?a.The difficulty lies in identifying the systematic factors.b.Roll’s criticism does not apply to the APT model because that model does not rely on a truemarket index.c.This statement is true for the CAPM, but not for the APT model. The latter also asserts thatinvestors should be compensated only for accepting systematic risk. But unlike the CAPM, there is more than one systematic risk.9.a.What does it mean that a return distribution has a fat tail?b.What is the implication if a return distribution is assumed to be normallydistributed but is in fact a fat-tailed distribution?a.Probability distributions are not normal, but are instead skewed. The tails of the distributionare more likely than predicted by a normal probability distribution.b.The implication is that between periods when the market exhibits relatively modest changesin returns, there will be periods when there are changes that are much higher (i.e., crashes and bubbles) than the normal distribution predicts.10. How does the behavioral finance approach differ from the standard finance theory approach?Standard financial theory assumes investors are rational utility maximizers. Behavioral finance theory challenges this assumption. It argues that investors are systematically subject to cognitive biases and errors. They make decisions based on mental shortcuts, called heuristics, and these shortcuts are not necessarily consistent with rational wealth maximizing behavior as predicted by the standard finance theory.。
fabozzi_金融市场与金融机构基础课后答案.doc
CHAPTER 4THE U.S. FEDERAL RESERVEAND THE CREATION OF MONEYCENTRAL BANKS AND THEIR PURPOSEThe primary role of a central bank is to maintain the stability of the currency and money supply for a country or a group of countries. The role of central banks can be categorized as: (1) risk assessment, (2) risk reduction, (3) oversight of payment systems, (4) crisis management.One of the major ways a central bank accomplishes its goals is through monetary policy. For this reason, central banks are sometimes called monetary authority. In implementing monetary policy, central banks, acting as a reserve bank, require private banks to maintain and deposit the required reserves with the central bank. In times of financial crisis, central banks perform the role of lender of last resort for the banking system. Countries throughout the world may have central banks. Additionally, the European Central Bank is responsible for implementing monetary policy for the member countries of the European Union.There is widespread agreement that central banks should be independent of the government so that decisions of the central bank will not be influenced for short-term political purposes such as pursuing a monetary policy to expand the economy but at the expense of inflation.In implementing monetary and economic policies, the United States is a member of an informal network of nations. This group started in 1976 as the Group of 6, or G6: US, France, Germany, UK, Italy, and Japan. Thereafter, Canada joined to for the G7. In 1998, Russia joined to form the G8.THE CENTRAL BANK OF THE UNITED STATES: THE FEDERAL RESERVE SYSTEMThe Federal Reserve System consists of 12 banking districts covering the entire country. Created in 1913, the Federal Reserve is the government agency responsible for the management of the US monetary and banking systems. It is independent of the political branches of government. The Fed is managed by a seven-member Board of Governors, who are appointed by the President and approved by Congress.The Fed's tools for monetary management have been made more difficult by financial innovations. The public's increasing acceptance of money market mutual funds has funneled a large amount of money into what are essentially interest-bearing checking accounts. Securitization permits commercial banks to change what once were illiquid consumer loans of several varieties into securities. Selling these securities gives the banks a source of funding that is outside the Fed's influence.INSTRUMENT OF MONETARY POLICY: HOW THE FED INFLUENCES THE SUPPLY OF MONEYThe Fed has three instruments at its disposal to affect the level of reserves.Reserve RequirementsUnder our fractional reserve banking system have to maintain specified fractional amounts of reserves against their deposits. The Fed can raise or lower these required reserve ratios, thereby permitting banks to decrease or increase their lending and investment portfolios. A bank's total reserves equal its required reserves plus any excess reserves.Open Market OperationsThe Fed's most powerful instrument is its authority to conduct open market operation. It buys and sells in open debt markets government securities for its own accounts. The Fed prefers to use Treasury bills because it can make its substantial transactions without seriously disrupting the prices or yields of bills.The Federal Open Market Committee, or FOMC, is the unit that decides on the general issues of changing the rate of growth in the money supply, by open market sales or purchases of securities. The implementation of policy through open market operations is the responsibility of the trading desk of the Federal Reserve Bank of New York.Open Market Repurchase AgreementsThe Fed often employs variants of simple open market purchases and sales, these are called the repurchase agreement (or repo) and the reverse repo. In a repo, the Fed buys a particular amount of securities from a seller that agrees to repurchase the same number of securities for a higher price at some future time. In a reverse repo, the Fed sells securities and makes a commitment to buy them back at a higher price later.Discount RateA bank borrowing from the Fed is said to use the discount window. The discount rate is the rate charged to banks borrowing directly from the Fed. Raising the rate is designed to discourage such borrowing, while lowering should have the opposite effect.DIFFERENT KINDS OF MONEYMoney is that item which serves as a numeraire. In a basic sense money can be defined as anything that serves as a unit of account and medium of exchange. We measure prices in dollars and exchange dollars for goods. Hence coins, currency, and any items readily exchanged into dollars (checking deposits or NOW accounts) constitute our money supply.MONEY AND MONETARY AGGREGATESMonetary aggregates measure the amount of money available to the economy at any time. The monetary base is defined as currency in circulation (coins and federal reserve notes) and reserves in the banking system. The instruments that serve as a medium of exchange can be narrowly defined as Mi, which is currency and demand deposits. M2 is Mi plus time and savings accounts, and money market mutual funds. Finally, M3 is M? plus short-term Treasury liabilities. While all three aggregates are watched and monitored, Mi is the most common form of the money supply, with its trait as being the most liquid. The ratio of the money supply to the economy's income is known as the velocity of money.THE MONEY MULTIPIER: THE EXPANSION OF THE MONEY SUPPLYThe money multiplier effect arises from the fact that a small change in reserves can produce a large change in the money supply. Through our fractional reserve system, a small increase will allow an individual bank, to lend out the greater part of these additional funds. These loans subsequently become deposits in other banks allowing them to expand proportionately. So, while one bank can expand its loans (or deposits) by an amount 1% of reserves required, all banks in the system can do likewise. Thus, in a simple format total change in deposits can be stated as change in reserves divided by the reserve requirement, which is also the formula for perpetuity. For example, if the change in the level of reserves is $100 and the reserve requirement is 20%, the change in total deposits will be $500 for a multiplier of 5. Of course, major assumptions are that banks will fully loan out their excess reserves and that depositors will not withdraw any of these extra reserves. THE IMPACT OF INTEREST RATES ON THE MONEY SUPPLYHigh rates of interest may make keeping excess reserves costly, since unused funds represent loans not made and interest not earned. High rates of interest will also affect the public's demand for holding cash. If deposits pay competitive interest rates, customers will be more willing to hold such bank liabilities and less cash. Therefore, a higher rate of interest can actually spur growth of the money supply. More likely, however, it will deter borrowing and slow monetary growth.THE MONEY SUPPLY PROCESS IN AN OPEN ECONOMYIn the modern era, almost every country has an open economy. Foreign commercial and central banks hold dollar accounts in the United States. Their purchases and sales of these deposits can affect exchange rates of the dollar against their own currency. The Fed has responsibility for maintaining stability in exchange rates. A purchase of foreign exchange with dollars depreciates the dollar's value, but it also adds dollars to the accounts of foreign banks in this country, thus adding to the U.S. monetary base. Most central banks of large economies own or stand ready to own a large amount of each of the world's major currencies, which are considered international reserves. Sales of foreign exchange transactions have monetary base implication and hence consequences for the domestic money supply, emphasis is given to coordinating monetarypolicies among developed nations.ANSWERS TO QUESTIONS FOR CHAPTER 4(Questions are in bold print followed by answers.)1.What is the role of a central bank?The role of a central bank has several functions: risk assessment, risk reduction, oversight of payment systems, and crisis management. It can do this through monetary policies, and through the implementation of regulations.2.Why is it argued that a central bank should be independent of the government?Central banks should be independent of the short-term political interests and political influences generally in setting economic policies.3.Identify each participant and its role in the process by which the money supply changes and monetary policy is implemented.The Fed determines monetary policy and seeks to implement it through changes in reserves. It is up to the nation's banking system to act on changes in reserves thereby affecting deposits, which constitute the greater part of the M| definition of the money supply.4.Describe the structure of the board of governors of the Federal Reserve System.The Board of Governors of the Federal Reserve System consists of 7 members who are appointed to staggered 14-year terms. The Board reviews discount operations and sets legal reserve requirements. In addition, all 7 members of the Board serve on the Federal Open Market Committee (FOMC), which determines the direction and magnitude of open-market operations. Such operations constitute the key instrument for implementing monetary policy.5.a・ Explain what is meant by the statement "the United States has a fractional reserve banking system."b. How are these items related: total reserves, required reserves, and excess reserves?a. A fractional reserve system requires that a fraction or percent of a bank's reserve be placedeither in currency in vault or with the Federal Reserve System.b.Total reserves are the amounts that banks hold in cash or at the Fed. Required reserves areamounts required by the Fed to meet some specific or legal reserve ratio to deposits. Excess reserves are bank reserves in currency and at the Fed which are in excess of legal requirements.Since these amounts are non-interest bearing, banks are often willing to lend these surplus funds to deficit banks at the Fed funds rate.5.What is the required reserve ratio, and how has the 1980 Depository Institutions Deregulation and Monetary Control Act constrained the Fed's control over the ratio?The required reserve ratio is the fraction of deposits a bank must hold as reserves. The DIDMCA constrained the Fed's control over the ratio by letting Congress set ranges of reserves for demand and time deposits.6.In what two forms can a bank hold its required reserves?A bank can hold its reserves in the form of currency in vault or in deposit at the Fed.8.a.What is an open market purchase by the Fed?b.Which unit of the Fed decides on open market policy, and what unit implements thatpolicy?c.What is the immediate consequence of an open market purchase?a.An open market purchase by the Fed consists of the purchase of U.S. Treasury securities.b.The FOMC decides on open market policy and directs the Federal Reserve Bank of New Yorkto implement it through sales and purchases of these securities.c.The immediate consequence of an open market purchase is to supply the seller of the securitywith a check on the Federal Reserve System that he can deposit in his bank, therebyimmediately increasing the excess reserves and thus nation's money supply.7.Distinguish between an open market sale and a matched sale (which is the same as a matched sale-purchase transaction or a reverse repurchase agreement).A matched sale or reverse repo involves the sale of a Treasury security with an agreement to buy it back at a later date and at a higher price as the cost for borrowing the funds. This contrasts with an outright sale at some discounted or premium price.8.What is the discount rate, and to what type of action by a bank does it apply?The discount rate is the rate a bank pays to borrow a t the "discount window” of the Fed. Such borrowings are often undertaken to meet temporary liquidity needs. Bank needs are monitored and the Fed likes to state that borrowing from it is a "privilege and not a right.”IL Define the monetary base and M2The monetary base includes total bank reserves plus currency in the hands of the public. M2 = Mi (currency and demand deposits) + savings and time deposits.12.Describe the basic features of the money multiplier.The money multiplier is crucial to the concept of money creation and is analogous to the idea of the autonomous spending multiplier and formula for a perpetuity. It is the inverse of the required reserve ratio (1/rr). If the reserve ratio is .2 then the money supply will expand five times any increase in new deposits. The multiplier will be less if banks hold excess reserves or experience cash drains.13.Suppose the Fed were to inject $100 million of reserves into the banking system by an open market purchase of Treasury bills. If the required reserve ratio were 10%, what is the maximum increase in Mi that the new reserves would generate? Assume that banks make all the loans their reserves allow, that firms and individuals keep all their liquid assets in depository accounts, and no money is in the form of currency.The maximum increase in Mi will be $1 billion assuming no cash drains in the system, and banks are fully loaned up.14.Assume the situation from question 13, except now assume that banks hold a ratio of0.5% of excess reserves to deposits and the public keeps 20% of its liquid assets in the form of cash. Under these conditions, what is the money multiplier? Explain why this value of the multiplier is so much lower than the multiplier from question 13.Substitute the given values of currency ratio, required reserves ratio, and excess reserves ratio of 20%, 10% and 0.5% respectively into the formula given on page 94 of the textbook. Now we have a lower multiplier value of 3.9=1.20A 305. This is because public and banks do not deposit or lend, all they can.。
金融学基础——金融市场与金融中介
期权费 D 损失
执行价格 空头
17
Swaps
交易双方在有效期内以事先确定的名义本金 为依据，按一定间隔相互掉换约定现金流
合约签定时并不立即支付货币，且合约本身 不为任何一方提供新的资金，实际上双方相 互只支付差额
有利率掉期和货币掉期 相当于双方签定了一系列远期合约
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举例：利率互换
固定利率7%
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推导资本市场线(CML)
将资金投于无风险资产F和风险资产组合M 新组合的收益与风险
rp f rf mrm
p
2f
2 f
m2
2 m
2 f m
f m f ,m
联立方程组求解
rp
rf
rm rf
m
p
50资本市场线rprfrm rf
m
p
CML的经济学含义
51
资本资产定价模型(CAPM)
27
核心结论
对投资者而言，要实现证券交易公平与公正， 必须要求提高市场信息公开程度，从弱有效市 场向强有效市场发展
对市场运行来说，强有效市场上证券的预期收 益率可以预测，加大投机难度，从而限制市场 波动和市场风险的程度
28
2024/10/17
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纽约股票市场统计数据
From Robert J. Shiller. Irrational Exuberance
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三个基本金融原理
优化原理
每个个体（消费者）都优化消费计划以实现尽 可能大的效用
均衡原理
市场以竞争性均衡为交易的金融资产定价 “一价定律”(law of one price)
无套利原理
高风险高预期收益，低风险低预期收益
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金融基础书
金融基础书金融基础是指从事金融工作所需的基础知识。
这些基础知识包括金融市场、金融机构、金融产品、金融工具、金融分析和金融管理等方面的内容。
本文将讨论金融基础的相关参考内容，包括基础知识、学习资源和方法。
在金融基础知识方面，首先需要了解金融市场的分类和特点。
金融市场可以分为货币市场和资本市场，货币市场是短期资金融通的场所，资本市场是长期资金融通的场所。
了解金融市场的运作机制、参与主体和交易方式等是基础的知识。
另外，还需要了解金融机构的种类和职能，如商业银行、证券公司、保险公司和投资基金等，以及它们在金融体系中的地位和作用。
其次，金融产品和金融工具是金融市场的核心内容。
金融产品包括债券、股票、基金和衍生品等，金融工具包括货币、利率、汇率和期权等。
了解和熟悉不同金融产品和工具的特点、风险和收益分析方法，有助于深入理解金融市场的运作和投资决策的制定。
在金融分析方面，需要掌握财务分析、风险管理和投资决策的基本方法。
财务分析包括资产负债表、利润表和现金流量表的分析，用以评估企业的财务状况和经营业绩。
风险管理包括市场风险、信用风险和操作风险等方面的管理方法，用以降低金融交易的风险。
投资决策关系到资金配置和投资组合的构建，需要综合考虑风险和收益的平衡。
在金融管理方面，需要了解企业资本结构、融资渠道和财务管理的基本原理。
企业资本结构包括债务和股权的比例，对企业的融资和经营决策有重要影响。
融资渠道包括银行贷款、债券发行和股票融资等，不同融资渠道有不同的成本和适用条件。
财务管理涉及资金计划、投资决策和资本预算等方面，是企业经营活动的重要环节。
除了基础知识外，学习资源和方法也是金融基础学习的重要内容。
学习资源包括教科书、学术论文和相关报告等，通过阅读这些资料可以深入了解金融基础知识的理论和实践。
此外，还可以参加金融培训和专业认证课程，提升专业素养和实践能力。
学习方法包括自学、讨论和实践等，通过多种方式的学习可以加深对金融基础知识的理解和应用。
Fabozzi金融市场与金融机构基础课后答案
C H A P T E R6I N S U R A N C E C O M P A N I E STYPE OF INSURANCE COMPANIESInsurance companies sell insurance policies for a premium. They have two sources of income: underwriting income, and investment income.Life InsuranceThe life insurance company pays the beneficiary of the life insurance policy in the event of the death of the insured.Health InsuranceThe health insurance company pays the insured all or a portion of the medical treatment of the insured. Until the last decade, the major type of health insurance available was indemnity insurance. Due to the lack of constraints and incentives for cost savings, the medical service insured by indemnity insurance became very expensive. In response, various forms of managed health care have been developed. In general, these forms of managed health care put constraints on the choice of the provider by the insured and on the types of service provided by the provider.Property and Casualty InsuranceProperty and casualty (P&C) insurance companies insure the risk of damage to various types of property.Liability InsuranceThe risk insured against is litigation, or the risk of lawsuits against the insured due to actions by the insured or others. This is typically a third-party claim.Disability InsuranceDisability insurance insures against the inability of employed persons to earn an income. Typically, “own occ” disability insurance is written for professionals in white-collar occupations, and “any occ” for blue-collar workers. There are two types of policies regarding the sustainability of the policy. First, guaranteed renewable is a term where the issuer has to sustain the policy for a specified period of time, but can change the premium rates for the entire class. The other type is noncancellable and guaranteed renewable whereby the issuer has no right to make any changes in any policy during the specified period.Long-Term Care InsuranceLong-term care insurance provides coverage for custodial care for the aged who are no longer able to care for themselves.Structured SettlementsStructured settlements are fixed, guaranteed periodic payments over a long period of time, typically resulting from a settlement on a disability policy or other type of policy.Investment Oriented ProductsA guaranteed investment contract or guaranteed income contract (or simply GIC), is a pure investment product. In a GIC, a life insurance company agrees, for a single premium, to pay the principal amount and a predetermined annual crediting rate over the life of the investment, all of which is paid at the maturity date. A life insurance company agrees in return for a premium to pay the principal amount and a predetermined annual crediting rate over the life of the investment. Effectively, a GIC is a zero coupon bond issued by a life insurance company and as such exposes the investor to the same credit risk. Some GICs require a single premium payment (bullet), others provide windows wherein deposits are accepted over time at the same interest rate. GICs are popular contracts for pension funds, since interest rate risk assumed by insurance company. But investors still have to worry about the credit risk of the insurance company. AnnuityAn annuity is often described as a mutual fund in an insurance wrapper. The income and realized gains are not taxable if not withdrawn from the annuity product. Thus, the “inside buildup” of returns receives a favorable tax treatment. Annuities can be either fixed, or variable. For a single payment or premium the insurance company will provide fixed payments for the life of the policyholder. It can also provide a “lump sum” payment to the retiree after a number of years of accumulating and investing premium payments.Monoline Insurance CompaniesMonoline insurers guarantee the timely repayment of the bond principal and interest when a bond insurer defaults on these payments. The insured securities have traditionally been municipal bonds, but they now include structured finance bonds, CDOs, CLOs, and asset-backed bonds. Monoline insurers have been rated AAA and must have this high rating to be effective since they transfer their rating to the bond issue being insured.INSURANCE COMPANIES VERSUS TYPES OF PRODUCTSTraditionally, life and health products were coupled by an insurance company because of some of the similarities of the products. Property and casualty products were also provided by P&C companies. Companies that provide both types of insurances (life, health, property, casualty) are called multiline insurance companies. Investment products tend to be sold by life insurance companies.Recently, health insurance companies have separated from life insurance. This change has been due to mainly federal regulation of the health industry. Life insurance companies have focused on investment products. Also, disability insurance is now sold primarily by pure disability companies.FUNDAMENTALS OF INSURANCE INDUSTRYA fundamental aspect of the insurance industry results from the relationship between the revenues and costs. A company collects its premium income initially and invests these receipts in its portfolio. The payments on the insurance policy occur later and, depending on the type of insurance, in a perhaps very unpredictable manner. The payments are contingent on potential future events.An insurance policy is a binding contract for which the policyholder pays premium in exchange for the insurance company’s promise to pay specified amounts contingent on future events. The accepted policy is an asset for the owner and a liability for the insurance company.Life insurance and property and casualty insurance companies are financial intermediaries that, for a price, will make a payment if a certain event occurs. They function as risk bearers. The principal event that the life insurance company insures against is death: a life insurance company agrees to make either a lump sum payment to the beneficiary of the policy or make a series of payments. However, life insurance protection is not the only financial product sold by these companies. A major portion of the business of life insurance companies is now in the area of providing retirement benefits. The key distinction between life insurance and property and casualty insurance (P&C) companies is the difficulty of projecting whether a policyholder will be paid off and how much the payment will be.REGULATIONS OF INSURANCE INDUSTRYRegulation is primarily at the state level as a result of 1945 federal statute (McCarran-Ferguson Act). Model laws and regulations are developed by National Association of Insurance Commissioners (NAIC). Insurance companies are also rated by the rating agencies.To assure financial stability, insurance companies must maintain reserves or surplus, which are the excess of assets over liabilities. State statutory surplus requirements are called statutory surplus, which is distinguished from generally accepted accounting principles (GAAP) surplus.STRUCTURE OF INSURANCE COMPANIESInsurance companies are really a composite of three companies. First there is the “home office” or actual insurance company. Second, there is the investment component, which invests the premium collected in the investment portfolio. This is the investment company. The third is the distribution component of the sales force. There are different typed of distribution forces. Finally there are also brokers who sell insurance products of many companies.Insurance companies are attracted by commercial bank customer contacts. As a result, commercial bank distribution of insurance company products has grown. This relationship is called bankassurance.FORMS OF INSURANCE COMPANIESThere are two forms of insurance companies: stock and mutual. A stock insurance company is similar in structure to any corporation or public company. Shares (of ownership) are owned by independent shareholders and are traded publicly. The shareholders care only about the performance of their shares that is the stock appreciation and the dividends. The insurance policies are simply the products or business of the company. In contrast, mutual insurance companies have no stock and no external owners. Their policyholders are also their owners. The owners, that is the policyholders, care primarily or even solely about the performance on their insurance policie s, notably the company’s ability to pay on the policy. Since theses payments may occur considerably into the future, the policyholders view may be long term.Finally a new form of insurance company, which is a hybrid between a pure mutual and a pure stock company has been approved by some states and implemented by some insurance companies in these states since their introduction in 1996. This form is called a mutual holding company (MHC).INDIVIDUAL VERSUS GROUP INSURANCEInsurance products can be sold on individual and group bases. Also, in the P&C business, insurers can sell personal lines and commercial lines of insurance products.TYPES OF LIFE INSURANCEThere are two fundamentally different types of life insurance: term (life) insurance and cash value life insurance.Term InsuranceTerm policies pay off only on death. Three are no investment benefits and so the premiums are substantially lower than those on whole life policies. Most group policies are term policies. “Term” implies that c overage is available only during the premium-paying term of the contract.Cash Value or Permanent Life InsuranceThere is a broad classification of life insurance, which is cash value, or permanent or investment type life insurance. A common type of cash value life insurance is whole life insurance. This cash value can be withdrawn and can also be borrowed against by the owner of the policy. If the owner wishes to let the policy lapse, he or she can withdraw the cash value. A major advantage of this type of policy is that the inside buildup is not subject to tax, i.e., is taxed as either income or capital gains. Neither is the beneficiary subject to income tax.Guaranteed cash value life insurance:This insurance provides a cash value based on a minimum dividend paid on the policy. Additionally, the policy can be either participating or nonparticipating. For a nonparticipating policy, the minimum dividend and the minimum cash value on the policy are the guaranteed amounts. For the participating policy, the dividend paid on the policy is based on the realized actuarial experience of the company and its investment portfolio.Variable life insurance: Contrary to the guaranteed or fixed cash value policies based on the general account portfolio of the insurance company, variable life insurance policies allow the policy owner to, within limits, allocate their premium payments to and among separate investment accounts maintained by the insurance company. Variable life insurance, which typically has common stock investment options, has grown quickly with the stock market rally of the 1990’s.Flexible premium policies—universal life insurance: The key element of universal life is the flexibility of the premium. The policy cash value is set up as the cash value fund to which the investment income is credited and from which the cost of term insurance for the insured is debited. This separation of the cash value from the pure insurance is called the unbundling of the traditional life insurance policy.Variable universal life insurance: Variable universal life insurance combines the features of variable life and universal life policies, i.e., the choice of separate account investment products and flexible premiums.Survivorship (Second to Die) InsuranceAn added dimension of the whole life policies is that two people are jointly insured and the policy pays the death benefit not when the first person dies, but when the second person dies. This is called survivorship insurance or second-to-die insurance.GENERAL ACCOUNT AND SEPARATE ACCOUNT PRODUCTSThe general account of an insurance company refers to the investment portfolio of the overall company. Insurance companies must support the guaranteed performance of their general account products to the extent of their solvency. These are called general account products.Other types of insurance products receive no guarantee from the insurance company’s general account, and their performance is not based on the performance of the insurer’s general account but solely on the performance of an account separate from the general account of the insurer. These products are called separate account products.PARTICIPATING POLICIESThe performance of some general account products is not affected by the performance of the general account portfolio. The policy performance may not participate in the investment performance of the insurer’s general account investment portfolio. Such a policy is nonparticipating policy. Other general insurance products participate in the performance of the company’s general account performance. Such a policy is called a participating policy. Both stock and mutual insurance companies write both general and separate account products, but most participating general account products are written in mutual companies.INSURANCE COMPANIES INVESTMENT STRATEGIESIn general the characteristics of insurance company investment portfolio should reflect their liabilities - the insurance products they underwrite. There are many differences among the various types of insurance policies. Among them are:▪The expected time at which the average payment will be made by the insurance company (Technically, the “duration” of the payments)▪The statistical or actuarial accuracy of estimates▪Other factorsThe key distinction between life insurance, property and casualty insurance companies lies in the difficulty of projecting whether or not a policyholder will be paid off and how much the payment will be. There are also differences in investment strategy between public (or stock) and mutual insurance companies of the same type. The major difference is that stock companies tend to have less common stock than mutual companies.Most insurance company assets consist of debt, both public and private. In fact, life insurers as a group are the largest holders of bonds. Since life insurers are effectively taxed at very low rates, there are no advantages to holding municipals. The reason for bond holdings are (1) to match maturities, since liabilities are often long-term and at a fixed rate, and (2) regulations require that bonds be booked at cost, while stocks must be written at market value.CHANGES IN THE INSURANCE INDUSTRYThere have been three major types of changes in the insurance industry in the last two decades: (1) deregulation of the financial system; (2) internationalization of the insurance industry; (3) demutulization.Deregulation of the Financial SystemIn 1933, Congress passed the Glass-Steagall Act, which separated commercial banking, investment banking, and insurance. This act resulted in the breakup of the House of Morgan into separate investment banking and commercial banking entities. . On November 12, 1999 the Gramm-Leach-Bliley Act (GLB), called the Financial Modernization Act of 1999, was signed into law. This act removed the 50 year old “anti-affiliation restrictions” among commercial banks, investments banks and insurance companies. The passage of this act has eliminated the barriers between insurance companies, commercial banks, and investment banks and various combinations of these types of companies will continue to evolve. Since then, however, Citigroup sold its insurance business (Travelers) to MetLife, and no other major combinations between banking and insurance have taken place.Internationalization of the Insurance IndustryGlobalization has occurred in many industries, including insurance industry. With respect to the U.S. globalization operates in two directions. First, U.S. insurance companies have both acquired and entered into agreements with international insurance companies and begun operations in other countries. Second, international insurance companies, mainly European, have become even more active in acquiring U.S. insurance and investment companies. The reasons are: (1) more rapid growth of the US financial business, (2) attractive demographics and income potential of the US market, and (3) less regulations.DemutualizationSince the mid-1990s, several insurance companies have changed from mutual to stock companies. Many industry observers believe that the recent demutualized insurance companies will either acquire other financial companies or will be acquired by other financial companies.EVOLUTION OF INSURANCE INVESTMENT AND RETIREMENT PRODUCTSEven prior to the Financial Modernization Act of 1999, there was an increasing overlap of insurance, investment and pension products and the distribution of those products. The passage of this Act has accelerated this convergence.Three decades ago there were three distinct types of products for individuals: insurance, savings/investment, and retirement. Retirement products include individual retirement accounts. During the last two decades, many products have been developed that fit into two or even three of these categories. Products that are hybrid of retirement and investment products are 401k and Roth 401k.401(k) Plans and Roth 401(k) Plans401(k) plans are plans provided by an employer whereby an employee may elect to contribute pretax dollars to a qualified tax-deferred retirement plan.IRAs and Roth IRAsWhile a 401(k) is an employer-sponsored retirement program, the most common types of IRAs are personal tax-deferred retirement plans. Individually sponsored IRAs include traditional IRA, Roth IRA, and rollover IRA. Employer-sponsored IRA included Simplified Employee Pension (SEP) plans, and Savings Incentives Matching Plan for Employees (SIMPLE).ANSWERS TO QUESTIONS FOR CHAPTER 6(Questions are in bold print followed by answers.)1.a.What are the major sources of revenue for an insurance company?b.How are its profits determined?a.An insurance company's revenue is generated from two sources: (1) premium income forpolicies written during the year; (2) investment income resulting from the investment of both the reserves established to pay off future claims and the P&C's surplus (asset less liabilities).b.Profit is determined by subtracting from the revenue for the year (as defined above inquestion 1a) each of the following items: (1) claim expenses: funds that must be added to reserves for new claims for policies written during the year; (2) claim adjustment expenses: funds that must be added to reserves because of underestimates of actuarially projected claims from previous years; (3) taxes; (4) administrative and marketing expenses associated with issuing policies. If annual premiums exceed the sum of (1), (2) and (4), the difference is said to be the underwriting profit. An underwriting loss results otherwise.2. Name the major types of insurance and investment oriented products sold by insurance companies.The major types of insurance products sold are: Life insurance, Health insurance, Property and casualty insurance, Liability insurance, Disability insurance, long-term care insurance, GIC and annuities.3.a.What is a GIC?b.Does a GIC carry a “guarantee” like a government obligation?a. A guaranteed investment contract (GIC) guarantees a fixed interest income compounded overthe life of the contract. It is like a zero-coupon bond issued by an insurance company, usually to pension funds. A GIC shifts the interest rate risk from a pension fund to the issuer.b.The guarantee is given only by the insurance company. There is no government bailout incase of insolvency of the issuer.4. What are some key differences between a mutual fund and an annuity?In a mutual fund, all income is taxable, and no guarantees are given in its performance. An annuity is an investment product often called a “mutual fund is in an insurance wrapper”. The wrapper is the guarantee by the insurance company. The company will pay the annuity holder.5. Why should a purchaser of life insurance be concerned about the credit rating of his or her insurance company?The credit rating of an insurance company is extremely important to the purchaser of the LIC product. The credit risk of insurance company has been prominent by the default of several major issues of GIC e.g. mutual Benefits and Executive Life in 1991.6.a.Does the SEC regulate all insurance companies?b.If not, who regulates them?a.No. The insurance industry is regulated by individual states and only the SEC regulates thoseinsurance companies whose stock is publicly traded.b.State laws and NAIC, a voluntary association of state insurance commissioners.7. Does the insurance industry have a self-regulatory group and, if so, what is its role?Model laws and regulations are developed by the National Association of Insurance Commissioners (NAIC), a voluntary association of the state insurance commissioners, for application on insurance companies in all states. An adoption of a model law or regulation by the NAIC is not, however, binding on any state. States typically use these as a model when writing their own laws and regulations.8. What is the statutory surplus and why is it an important measure for an insurance company?For an insurance company, surplus is simply total assets minus liabilities, or net worth. Due to state regulations the size of the surplus dictates the amount of common stock that an insurance company can hold and ultimately the amount of business it can write.9. What is bank assurance?“Banc assurance” means combining the activities of banking and insurance companies. Several factors could explain the growing interest in banc assurance in certain regions: (1) deregulation and increased competition are forcing banking and insurance firms to seek new markets and products, (2) a growth in savings, and (3) an increased demand for insurance with investment features.10.a.What is meant by “demutualization”?b.What are the perceived advantages of demutualization?a.Demutualization refers to changing structure of insurance companies from being mutualcompanies stocks to ownership companies. This recent trend of demutualization in 1990’s is changing the landscape of insurance industry.b.The advantages of demutualization is more competition, transparency and pressure for betterperformance for the shareholders.11. Comment on the following quotation from Frank J. Jones, “An Overview of Institutional Fixed In come Strategies,” in Volume 1 of Professional Perspectives on Fixed Income Portfolio Management (Hoboken, NJ: John Wiley & Sons, 2000):An important impediment to the use of the total rate of return objective by stock life insurance companies is the role of equity analysts on Wall Street. . . . These equity analysts emphasize the stability of earnings and thereby prefer stable income to capital gains. Therefore, they consider only income and not capital gains, either realized or unrealized, in operating income—an important measure in their overall rating. While this practice of not considering capital gains may be appropriate for bonds, it certainly is inappropriate for common stock and provides a significant disincentive to life insurance companies for owning common stock in their portfolios. . . . this equity analyst practice does a disservice to policyholders of stock life insurance companies since their insurance companies end up having inferior asset allocations.The statement by Jones has elements of subjective judgment and has several dimensions. It begs the merit of stocks vs. mutual structure of ownership and the respective rates of returns for the shareholders. It may be true that equity analysts emphasize the stability of earnings at the cost of capital gains. But those capital gains are reflected in the current price of the stock. It is up to the shareholders to realize those gains. Thus, the total rate of return objective by stock life insurance companies is not a real impediment.12. What are term insurance, whole life insurance, variable life insurance, universal life insurance, and survivorship insurance?Term insurance is pure life. If the insured person dies while the policy is intact, the beneficiary receives the death benefit.Whole life insurance pays off a stated amount upon the death of the insured and accumulates a cash value that can be redeemed by the policyholder.Universal life pays a dividend that is tied to market interest rates. Essentially, the cash value of a universal life policy builds and is used to buy term insurance.Variable life insurance provides a death benefit that depends on the market value of the investment at the time of the insured’s death. The premiums are typically invested in common stock; hence such policies are referred to as equity-linked policies. While the death benefits are variable, there is a guaranteed minimum death benefit that the insurer agrees to pay regardless of the market value of the portfolio.Universal Life Insurance: the main element of the universal life insurance is the flexibility of premium for the policyholder. It separates term insurance from cash value element of the policy.13. Why are all participating policies written in an insurance company’s general account?All participating policies by the insurance company are written in the general account. The general account of an insurance company refers to the investment portfolio of the overall company. Such products “Written by the company itself” are said to have a “general acco unt guarantee” i.e. they are a liability of the insurance company. The rating agencies provide a credit rating based on products written by or guaranteed by the general account.14. Whose liabilities are harder to predict, life insurers or property and casualty insurers? Explain why.Property and casualty insurers P&Cs. Life insurance actuaries can predict death rates among various age groups based upon historical data. With P&Cs, the timing and amount of payoffs are almost random by nature. Past experience provides little predictive assistance. Homeowner claims are just as likely to arise in the first year of a policy or ten years later. Even then, the dollar amount of damage claims can be small or for the entire value of the policy.15. How does the Financial Modernization Act of 1999 affect the insurance industry?The Financial Modernization Act of 1999 will affect significantly the insurance industry in several ways. Even before this act, there was an increase overlap of insurance, investment, pension products and the distribution of products. The passage of this act has accelerated this convergence. This act has eliminated the barriers between insurance companies, commercial banks, and investment banks and various combinations will continue to evolve.。
金融市场与金融机构基础
金融市场与金融机构基础1. 引言金融市场和金融机构是现代金融体系的核心组成部分。
金融市场提供了资金的流动和资源配置的机制，而金融机构则承担着监管、风险管理和融资等职能。
本文将探讨金融市场和金融机构的基础概念、功能以及相互关系。
2. 金融市场基础2.1 金融市场的定义金融市场是指各种交易金融资产的场所和平台。
它可以分为货币市场和资本市场两大类。
货币市场是短期金融资产交易市场，资本市场则是长期金融资产交易市场。
2.2 金融市场的功能金融市场的主要功能包括资金募集、资源配置、风险管理和价格发现。
通过金融市场，企业和个人可以通过发行债券或股票等方式融资，资金会聚集到那些最需要的地方。
同时，金融市场也有助于管理和分散风险，降低市场参与者的风险敞口。
2.3 金融市场的主要类型金融市场可以按照交易对象的性质和期限划分为不同的类型，如股票市场、债券市场、外汇市场和期货市场等。
每种市场都有其独特的特点和功能。
3. 金融机构基础3.1 金融机构的定义金融机构是指各种从事金融业务的机构，包括商业银行、证券公司、保险公司、基金公司和信托公司等。
金融机构扮演着金融市场的参与者和中介角色。
3.2 金融机构的功能金融机构的功能主要包括资金的融入和再分配、风险的管理和监管、支付和结算等。
金融机构通过吸收存款和借款等方式获取资金，再将这些资金分配给那些需要融资的企业和个人。
此外，对于金融机构来说，风险管理也是一项重要职能，包括信用风险、市场风险和操作风险等。
3.3 金融市场与金融机构的关系金融市场和金融机构是相互依存的关系。
金融机构依赖于金融市场来获取资金，而金融市场也需要金融机构来进行交易和风险管理。
金融市场和金融机构共同构成了金融体系的基础，推动了经济的发展和资源的有效配置。
4. 金融市场与金融机构的发展与挑战4.1 金融市场的发展和挑战随着全球化程度的提高和金融创新的推动，金融市场发生了巨大变化。
新兴市场的崛起、数字金融的兴起以及金融科技的应用，都对传统金融市场带来了挑战和机遇。
哈佛金融学书单
哈佛金融学书单标题：哈佛金融学书单哈佛金融学书单是一份为金融学爱好者和学习者准备的书单，涵盖了广泛的金融学领域，旨在帮助读者深入了解金融市场和金融理论。
以下是一份精选的哈佛金融学书单，供大家参考。
1.《金融市场的随机过程》-Robert J.Elliott和Lakhdar Aggoun本书介绍了金融市场的随机过程理论及其应用，为读者提供了深入了解金融市场波动性和风险管理的基础知识。
2.《金融衍生品与风险管理》-Robert L.McDonald该书详细介绍了金融衍生品的基本概念、定价模型和风险管理策略，对金融工程领域的学习者和从业者都具有重要意义。
3.《金融市场分析与策略》-Frank J.Fabozzi这本书提供了分析和评估金融市场的方法和工具，包括技术分析、基本分析和定量分析等。
它帮助读者了解金融市场的运作和投资决策。
4.《金融学基础》-Eugene F.Brigham和Joel F.Houston该书是金融学入门的经典教材，介绍了金融学的基本概念、理论和实践。
它涵盖了投资、融资、资本市场和企业金融等重要内容。
5.《金融市场、机构与工具》-Frank J.Fabozzi和Franco Modigliani本书详细介绍了金融市场的运作机制、金融机构的角色和金融工具的特点。
它对于理解金融市场的结构和功能非常有帮助。
6.《金融风险管理》-Steve L.Allen该书系统地介绍了金融风险管理的各个方面，包括市场风险、信用风险、操作风险和战略风险等。
它为读者提供了有效管理金融风险的方法和工具。
7.《金融市场与机构》-Frederic S.Mishkin和Stanley G. Eakins这本书介绍了金融市场和金融机构的运作机制和关系，对理解金融系统的结构和功能非常有帮助。
8.《金融学》-Stephen A.Ross、Randolph W.Westerfield和Jeffrey Jaffe该书是金融学领域的经典教材，涵盖了投资、融资、资本市场和金融管理等重要内容，对金融学的学习者和从业者都具有重要价值。
金融市场与金融机构
第一章 导论一、金融市场的概念：是资金融通市场，是指资金供应者和资金需求者双方通过信用工具进行交易而融通资金的市场，广而言之，是实现货币借贷和资金融通、办理各种票据和有价证券交易活动的市场。
比较完善的金融市场定义是：金融市场是交易金融资产并确定金融资产价格的一种机制 。
二、金融市场的功能——有三个功能：（l）流动性；（2）信息；（3）风险分担三、金融市场的先天缺陷——5个因素：（1）负的外部性；（2）公共品；（3）信息不对称；（4）垄断；（5）经济周期。
这些缺陷意味着金融市场存在着系统性风险，有可能造成金融体系崩溃；而且知情少的一方往往会受到严重的侵害。
因此，健全和完善金融市场，维护金融安全尤为重要。
四、金融市场的分类按金融资产进入市场的时间来划分，金融市场可分为一级市场和二级市场；按期限分，金融市场可分为货币市场（1年以内）和资本市场（1年以上）；注意：货币市场与资本市场的区别。
（货币市场证券一般期限为0到一年不等，最长不能超过一年。
而资本市场证券期限长于一年，一般1年到30年的为中场期债券，股票也属于资本市场债券，其无固定到期日。
）按即时交割或远期交割划分，金融市场可分为现货市场、远期市场以及衍生工具市场；按组织结构划分，金融市场可分为拍卖市场、场外市场和中介市场；等等。
从全球视角看，金融市场又可以分为国内金融市场，国际金融市场和离岸金融市场。
五、金融机构的分类：分为存款性机构和非存款性机构六、做市商：做市商是重要的金融中介机构，它是金融工具买卖双方的联系人，安排和执行买卖双方的交易，在证券买卖中扮演关键角色。
做市商有助于帮助维持一个运行平稳并井然有序的金融市场。
第二章 货币市场一、货币市场的概念和货币市场的功能货币市场：是一个经营短期资金的市场。
货币市场可以调剂短期资金的盈缺，还可帮助流动性管理和负债管理。
货币市场的功能：1、是将个人、公司和政府部门（资金供给者）的短期闲置资金转移给那些需要利用短期资金的经济主体（资金需求者）。
(完整word版)金融市场与金融机构基础 Fabozzi Chapter10(word文档良心出品)
Foundations of Financial Markets and Institutions, 4e (Fabozzi/Modigliani/Jones)Chapter 10 The Level and Structure of Interest RatesMultiple Choice Questions1 The Theory of Interest Rates1) An interest rate is the price paid by a ________ to a ________ for the use of resources during some interval.A) borrower; debtorB) lender; creditorC) borrower; lenderD) lender; borrowerAnswer: CComment: An interest rate is the price paid by a borrower (or debtor) to a lender (or creditor) for the use of resources during some interval.Diff: 2Topic: 10.1 The Theory of Interest RatesObjective: 10.1 Fisher's classical approach to explaining the level of the interest rate2) By the ________, we mean the rate on a loan whose borrower will not default on any obligation.A) risk-free rateB) short termC) real rateD) long termAnswer: AComment: The interest rate that provides the anchor for other rates is the short-term rate:risk-free plus real rate. By short term, we mean the rate on a loan that has one year to maturity. (All other interest rates differ from this rate according to particular aspects of the loan, such as its maturity or risk of default, or because of the presence of inflation.) By the risk-free rate, we mean the rate on a loan whose borrower will not default on any obligation. By the real rate, we mean the rate that would prevail in the economy if the average prices for goods and services were expected to remain constant during the loan’s life.Diff: 1Topic: 10.1 The Theory of Interest RatesObjective: 10.4 the structure of Fisher's Law, which states that the nominal and observable interest rate is composed of two unobservable variables; the real rate of interest and the premium for expected inflation3) By the ________, we mean the rate that would prevail in the economy if the average prices for goods and services were expected to remain constant during the loan's life.A) risk-free rateB) short termC) real rateD) long termAnswer: CComment: The interest rate that provides the anchor for other rates is the short-term rate:risk-free plus real rate. By short term, we mean the rate on a loan that has one year to maturity. (All other interest rates differ from this rate according to particular aspects of the loan, such as its maturity or risk of default, or because of the presence of inflation.) By the risk-free rate, we mean the rate on a loan whose borrower will not default on any obligation. By the real rate, we mean the rate that would prevail in the economy if the average prices for goods and services were expected to remain constant during the loan’s life.Diff: 1Topic: 10.1 The Theory of Interest RatesObjective: 10.4 the structure of Fisher's Law, which states that the nominal and observable interest rate is composed of two unobservable variables; the real rate of interest and the premium for expected inflation4) By the ________, we mean the rate on a loan that has one year to maturity.A) risk-free rateB) short termC) real rateD) long termAnswer: BComment: The interest rate that provides the anchor for other rates is the short-term rate:risk-free plus real rate. By short term, we mean the rate on a loan that has one year to maturity. (All other interest rates differ from this rate according to particular aspects of the loan, such as its maturity or risk of default, or because of the presence of inflation.) By the risk-free rate, we mean the rate on a loan whose borrower will not default on any obligation. By the real rate, we mean the rate that would prevail in the economy if the average prices for goods and services were expected to remain constant during the loan’s life.Diff: 2Topic: 10.1 The Theory of Interest RatesObjective: 10.1 Fisher's classical approach to explaining the level of the interest rate5) Which of the below statements about consumptions and savings is FALSE?A) A chief influence on the saving decision is the individual's marginal rate of time preference, which is the willingness to trade some consumption now for more future consumption.B) Generally, higher current income means the person will save more, although people with the same income may have different time preferences.C) A variable affecting savings is the reward for saving, or the rate of interest on loans that savers make with their unconsumed income.D) The total savings (or the total supply of loans) available at any time is the sum of everybody's savings and a negative function of the interest rate.Answer: DComment: The total savings (or the total supply of loans) available at any time is the sum of everybody’s savings and a positive function of the interest rate.Diff: 2Topic: 10.1 The Theory of Interest RatesObjective: 10.2 the role in Fisher's theory of the saver's time preference and the borrowing firm's productivity of capital6) Which of the below statements about the rate of interest and cost of capital is FALSE?A) The maximum that a firm will invest depends on the rate of interest, which is the cost of loans; the firm will invest only as long as the marginal productivity of capital exceeds or equals the rate of interest.B) Firms will reject only projects whose gain is not less than their cost of financing.C) The firm's demand for borrowing is negatively related to the interest rate; if the rate is high, only limited borrowing and investment make sense.D) At a low rate of interest, more projects offer a profit, and the firm wants to borrow more; his negative relationship exists for each and all firms in the economy.Answer: BComment: The maximum that a firm will invest depends on the rate of interest, which is the cost of loans. The firm will invest only as long as the marginal productivity of capital exceeds or equals the rate of interest. In other words, firms will accept only projects whose gain is not less than their cost of financing. Thus, the firm’s demand for borrowing is negatively related to the interest rate. If the rate is high, only limited borrowing and investment make sense. At a low rate, more projects offer a profit, and the firm wants to borrow more. This negative relationship exists for each and all firms in the economy.Diff: 2Topic: 10.1 The Theory of Interest RatesObjective: 10.2 the role in Fisher's theory of the saver's time preference and the borrowing firm's productivity of capital7) The ________ rate of interest is determined by interaction of the supply and demand functions. As a cost of borrowing and a reward for lending, the rate must reach the point where total supply of savings ________ total demand for borrowing and investment.A) equilibrium; is greaterB) minimum; equalsC) equilibrium; equalsD) minimum; is greaterAnswer: CDiff: 2Topic: 10.1 The Theory of Interest RatesObjective: 10.3 the meaning of equilibrium and how changes in the demand and supply function affect the equilibrium level of the interest rate8) In the absence of inflation, the nominal rate ________ the real rate.A) equalsB) is greater thanC) is less thanD) greater than or equal toAnswer: ADiff: 1Topic: 10.1 The Theory of Interest RatesObjective: 10.3 the meaning of equilibrium and how changes in the demand and supply function affect the equilibrium level of the interest rate9) The relationship between inflation and interest rates is the well-known Fisher's Law, which can be expressed this way: (1 + i) = (1 + r) × (1 + i) where ________.A) r is the nominal rate.B) i is the real rate.C) p is the expected percentage change in the price level of goods and services over the loan's life.D) the nominal rate, p, reflects both the real rate and expected inflation.Answer: CComment: The relationship between inflation and interest rates is the well-known Fisher’s Law, which can be expressed this way: (1 + i) = (1 + r) × (1 + i) where i is the nominal rate, r is the real rate, and p is the expected percentage change in the price level of goods and services over the loan’s life. This equation shows that the nominal rate, i, reflects both the real rate and expected inflation.Diff: 2Topic: 10.1 The Theory of Interest RatesObjective: 10.4 the structure of Fisher's Law, which states that the nominal and observable interest rate is composed of two unobservable variables; the real rate of interest and the premium for expected inflation10) Which of the below IS considered by Fisher's theory.A) Fisher's theory takes into account the power of the government (in concert with depository institutions) to create money.B) Fisher's theory considers the government's often large demand for borrowed funds, which is frequently immune to the level of the interest rateC) Fisher's theory takes into account the possibility that individuals and firms might invest in cash balances.D) Fisher's theory considers an interest rate on loans that embodies no premium for default risk because borrowing firms are assumed to meet all obligations.Answer: DComment: Fisher’s theory is a general one and obviously neglects certain practical matters, such as the power of the government (in concert with depository institutions) to create money and the government’s often la rge demand for borrowed funds, which is frequently immune to the level of the interest rate. Also, Fisher’s theory does not consider the possibility that individuals and firms might invest in cash balances. Expanding Fisher’s theory to encompass these situations produces the loanable funds theory of interest rates.Diff: 2Topic: 10.1 The Theory of Interest RatesObjective: 10.4 the structure of Fisher's Law, which states that the nominal and observable interest rate is composed of two unobservable variables; the real rate of interest and the premium for expected inflation11) The loanable funds theory of interest rates proposes that the general level of interest rates is determined by the complex interaction of two forces. Which of the below is ONE of these forces?A) One force is that the total demand for funds by firms, governments, and households (or individuals) is negatively related to the interest rate including the government's demand.B) One force affecting the level of the interest rate is the total supply of funds by firms, governments, banks, and individuals with rising rates causing banks to be less eager to extend more loans.C) One force is that the total demand for funds by firms, governments, and households (or individuals) is positively related to the interest rate except the government's demand.D) One force affecting the level of the interest rate is the total supply of funds by firms, governments, banks, and individuals with rising rates causing firms and individuals to save and lend more.Answer: DComment: The loanable funds theory of interest rates proposes that the general level of interest rates is determined by the complex interaction of two forces. The first is the total demand for funds by firms, governments, and households (or individuals), which carry out a variety of economic activities with those funds. This demand is negatively related to the interest rate (except for the government’s demand, which may frequently not depend on the level of the interest rate). The second force affecting the level of the interest rate is the total supply of funds by firms, governments, banks, and individuals. Supply is positively related to the level of interest rates, if all other economic factors remain the same. With rising rates, firms and individuals save and lend more, and banks are more eager to extend more loans. (A rising interest rate probably does not significantly affect the government’s supply of savings.)Diff: 3Topic: 10.1 The Theory of Interest RatesObjective: 10.5 the loanable funds theory, which is an expansion of Fisher's theory12) The ________, originally developed by John Maynard Keynes,analyzes the equilibrium level of the interest rate through the interaction of the supply of money and the public's aggregate demand for holding money.A) loanable funds theory of interest ratesB) expectation theory of interest ratesC) liquidity preference theoryD) Fisher theoryAnswer: CDiff: 2Topic: 10.1 The Theory of Interest RatesObjective: 10.6 the meaning of liquidity preference in Keynes's theory of the determination of interest rates13) The public (consisting of individuals and firms) holds money for several reasons. Which of the below is three of these?A) Difficulty of translations, precaution against expected events, and speculation about possible rises in the interest rate.B) Ease of transactions, precaution against unexpected events, and speculation about possible rises in the interest rate.C) Ease of unexpected events, precaution against transactions, and speculation about possible rises in the interest rate.D) Speculation about transactions, fear against unexpected events, and precaution about possible rises in the interest rate.Answer: BDiff: 2Topic: 10.1 The Theory of Interest RatesObjective: 10.6 the meaning of liquidity preference in Keynes's theory of the determination of interest rates14) The ________ represents the initial reaction of the interest rate to a change in the money supply.A) Income effectB) Price expectation effectC) Liquidity effectD) Interest rate effectAnswer: CDiff: 2Topic: 10.1 The Theory of Interest RatesObjective: 10.7 how an increase in the money supply can affect the level of the interest rate through an impact on liquidity, income, and price expectations15) Which of the below statements is FALSE?A) Although an increase in the money supply is an economically expansionary policy, the resultant increase in income depends substantially on the amount of slack in the economy at the time of the Fed's action.B) In Fisher's terms, the interest rate reflects the interaction of the savers' marginal rate of time preference and borrowers' marginal productivity of capital.C) Changes in the money supply can affect the level of interest rates through the liquidity effect, the income effect, and the price expectations effect; their relative magnitudes depend upon the level of economic activity at the time of the change in the money supply.D) Because the price level (and expectations regarding its changes) affects the money demand function, the liquidity effect is an increase in the interest rate.Answer: DComment: Because the price level (and expectations regarding its changes) affects the money demand function, the price expectations effect is an increase in the interest rate.Diff: 2Topic: 10.1 The Theory of Interest RatesObjective: 10.7 how an increase in the money supply can affect the level of the interest rate through an impact on liquidity, income, and price expectations2 The Determinants of the Structure of Interest Rates1) A ________ is an instrument in which the issuer (debtor/borrower) promises to repay to the lender/investor the amount borrowed plus interest over some specified period of time.A) bondB) common stockC) preferred stockD) T-billAnswer: ADiff: 1Topic: 10.2 The Determinants of the Structure of Interest RatesObjective: 10.8 the features of a bond issue2) The ________ should reflect the coupon interest that will be earned plus either (1) any capital gain that will be realized from holding the bond to maturity, or (2) any capital loss that will be realized from holding the bond to maturity.A) yield on a bond investmentB) dividend yield on a bond investmentC) bid-ask spreadD) yield on a stock investmentAnswer: ADiff: 1Topic: 10.2 The Determinants of the Structure of Interest RatesObjective: 10.8 the features of a bond issue3) The ________ the market price, the higher the yield to maturity.A) higherB) less riskyC) more safeD) lowerAnswer: DDiff: 1Topic: 10.2 The Determinants of the Structure of Interest RatesObjective: 10.8 the features of a bond issue4) The ________ of a bond is the amount that the issuer agrees to repay the bondholder at the maturity date.A) principal value (or simply principal)B) face valueC) redemption valueD) All of theseAnswer: DComment: The principal value (or simply principal) of a bond is the amount that the issuer agrees to repay the bondholder at the maturity date. This amount is also referred to as the par value, maturity value, redemption value, or face value.Diff: 2Topic: 10.2 The Determinants of the Structure of Interest RatesObjective: 10.8 the features of a bond issue5) The yield to maturity is determined by a trial-and-error process. The first step in this trial and error process is ________.A) Compute the present value of each cash flow using the best guess interest rate.B) Total the present value of the cash flows using the best guess interest rate.C) Select an interest rate.D) Compare the total present value using the best guess interest rate with the market price of the bond.Answer: CComment: The yield to maturity is determined by a trial-and-error process. Even the algorithm in a calculator or computer program, which computes the yield to maturity (or internal rate of return) in an apparently direct way, uses a trial-and-error process. The steps in that process are as follows:Step 1: Select an interest rate.Step 2: Compute the present value of each cash flow using the interest rate selected in Step 1. Step 3: Total the present value of the cash flows found in Step 2.Step 4: Compare the total present value found in Step 3 with the market price of the bond and, if the total present value of the cash flows found in Step 3 is• equal to the market price, then the interest rate used in Step 1 is the yield to maturity;• greater than the market price, then the interest rate is not the yield to maturity. Therefore, go back to Step 1 and use a higher interest rate;• less than the market price, then the interest rate is not the yield to maturity. Therefore, go back to Step 1 and use a lower interest rate.Diff: 2Topic: 10.2 The Determinants of the Structure of Interest RatesObjective: 10.9 how the yield to maturity of a bond is calculated6) There are several interesting points about the relationship among the coupon rate, market price, and yield to maturity. Which of the below is NOT one of these.A) If the market price is equal to the par value, then the yield to maturity is equal to the coupon rate.B) If the market price is less than the par value, then the yield to maturity is greater than the coupon rate.C) If the market price is greater than the par value, then the yield to maturity is greater than the coupon rate.D) If the market price is greater than the par value, then the yield to maturity is less than the coupon rate.Answer: CComment: There are several interesting points about the relationship among the coupon rate, market price, and yield to maturity as summarized below.1. If the market price is equal to the par value, then the yield to maturity is equal to the coupon rate;2. If the market price is less than the par value, then the yield to maturity is greater than the coupon rate, and;3. If the market price is greater than the par value, then the yield to maturity is less than the coupon rate.Diff: 2Topic: 10.2 The Determinants of the Structure of Interest RatesObjective: 10.9 how the yield to maturity of a bond is calculated7) Consider an 20-year bond with a coupon rate of 8% and a par value of $1,000. The cash flow for this bond is ________ every six months for the first 39 semi-annual periods and then________ for the last (or 40th) six-month period.A) $1,040; $40B) $40; $1,040C) $80; $1,080D) $80; $1,000Answer: BComment: Consider an 20-year bond with a coupon rate of 8% and a par value of $1,000. The cash flow for this bond is $40 every six months for the first 39 semi-annual periods and then $1,040 for the last (or 40th) six-month period.Diff: 2Topic: 10.2 The Determinants of the Structure of Interest RatesObjective: 10.8 the features of a bond issue8) The difference between the yield on any two bond issues is called a ________.A) yield differenceB) difference spreadC) coupon rate spreadD) yield spreadAnswer: DDiff: 2Topic: 10.2 The Determinants of the Structure of Interest RatesObjective: 10.13 what factors affect the yield spread between two bonds9) Treasury securities are used to develop the benchmark interest rates. There are two categories of U.S. Treasury securities: ________.A) discount and coupon securities.B) discount and coupon stocks.C) interest rate and coupon securities.D) discount and compound securities.Answer: ADiff: 2Topic: 10.2 The Determinants of the Structure of Interest RatesObjective: 10.1 Fisher's classical approach to explaining the level of the interest rate10) The most recently auctioned Treasury issues for each maturity are referred to as ________.A) off-the-run issues or current coupon issues.B) minimum interest rate or base interest rateC) on-the- run or current coupon issues.D) benchmark interest rate or minimum interest rate.Answer: CComment: The most recently auctioned Treasury issues for each maturity are referred to as on-the- run or current coupon issues. Issues auctioned prior to the current coupon issues are typically referred to as off-the- run issues; they are not as liquid as on-the-run issues, and, therefore, offer a higher yield than the corresponding on-the-run Treasury issue. The minimum interest rate or base interest rate that investors will demand for investing in a non-Treasury security is the yield offered on a comparable maturity on-the-run Treasury security. The base interest rate is also referred to as the benchmark interest rate.Diff: 2Topic: 10.2 The Determinants of the Structure of Interest RatesObjective: 10.10 why historically the yields on securities issued by the U.S. Department of the Treasury have been used as the benchmark interest rates throughout the world11) Market participants talk of interest rates on non-Treasury securities as ________ to a particular on-the-run Treasury security (or a spread to any particular benchmark interest rate selected). This spread reflects the additional risks the investor faces by acquiring a security thatis not issued by the U.S. government and, therefore, can be called a ________.A) "trading at a premium"; risk premiumB) "trading at a spread"; risk premiumC) "trading at a premium"; risk spreadD) "trading at a discount"; discount premiumAnswer: BComment: Market participants talk of interest rates on non-Treasury securities as “trading at a spread” to a particular on-the-run Treasury security (or a spread to any particular benchmark interest rate selected). For example, if the yield on a 10-year non-Treasury security on May 20, 2008, is 4.78%, then the spread is 100 basis points over the 3.78% Treasury yield. This spread reflects the additional risks the investor faces by acquiring a security that is not issued by the U.S. government and, therefore, can be called a risk premium.Diff: 2Topic: 10.2 The Determinants of the Structure of Interest RatesObjective: 10.13 what factors affect the yield spread between two bonds12) The factors that affect the spread include ________.A) the type of issuer and the expected liquidity of the issueB) the provisions that grant either the issuer or the investor the obligation to do something and the taxability of the interest received by the issuerC) the investor's perceived creditworthiness and the term or maturity of the investor's horizon.D) All of theseAnswer: AComment: The factors that affect the spread are (1) the type of issuer, (2) the issuer’s perceived creditworthiness, (3) the term or maturity of the instrument, (4) provisions that grant either the issuer or the investor the option to do something, (5) the taxability of the interest received by investors, and (6) the expected liquidity of the issue.Diff: 2Topic: 10.2 The Determinants of the Structure of Interest RatesObjective: 10.13 what factors affect the yield spread between two bonds13) Within the corporate market sector, issuers are classified as ________.A) (1) utilities, (2) industrials, (3) finance, and (4) banks.B) (1) high-risk, (2) medium-risk, (3) low-risk, and (4) no-risk.C) (1) foreign, (2) domestic, (3) European, and (4) Asian.D) (1) intramarket, (2) extramarket, (3) ultramarket, and (4) intermarket.Answer: AComment: Within the corporate market sector, issuers are classified as follows: (1) utilities, (2) industrials, (3) finance, and (4) banks.Diff: 2Topic: 10.2 The Determinants of the Structure of Interest RatesObjective: 10.12 the different types of bonds14) The highest-grade bonds are designated by Moody's by the symbol ________.A) BaB) AC) AaD) AaaAnswer: DComment: In all systems, the term high grade means low credit risk, or conversely, high probability of future payments. The highest-grade bonds are designated by Moody’s by the symbol Aaa, and by S&P and Fitch by the symbol AAA. The next highest grade is denoted by the symbol Aa (Moody’s) or AA (S&P and Fitch); for the third grade, all rating systems use A. The next three grades are Baa or BBB, Ba or BB, and B, respectively. There are also C grades. Moody’s uses 1, 2, or 3 to provi de a narrower credit quality breakdown within each class, andS&P and Fitch use plus and minus signs for the same purpose.Diff: 1Topic: 10.2 The Determinants of the Structure of Interest RatesObjective: 10.12 the different types of bonds15) Which of the below statements is FALSE?A) The spread between Treasury securities and non-Treasury securities that are identical in all respects except for credit quality is referred to as a credit spread.B) The spread between any two maturity sectors of the market is called a maturity spread or yield curve spread.C) An option that is included in a bond issue is referred to as a prepayment option.D) The most common type of option in a bond issue is a call provision.Answer: CComment: It is not uncommon for a bond issue to include a provision that gives either the bondholder and/or the issuer an option to take some action against the other party. An option that is included in a bond issue is referred to as an embedded option.Diff: 2Topic: 10.2 The Determinants of the Structure of Interest RatesObjective: 10.12 the different types of bondsTrue/False Questions1 The Theory of Interest Rates1) The liquidity preference theory is Keynes's view that the rate of interest is set in the market for money balances.Answer: TRUEDiff: 1Topic: 10.1 The Theory of Interest RatesObjective: 10.6 the meaning of liquidity preference in Keynes's theory of the determination of interest rates2) Interest is the price paid for the permanent use of resources, and the amount of a loan is its principal.Answer: FALSEComment: Interest is the price paid for the temporary use of resources, and the amount of a loan is its principal.Diff: 1Topic: 10.1 The Theory of Interest RatesObjective: 10.7 how an increase in the money supply can affect the level of the interest rate through an impact on liquidity, income, and price expectations3) In Fisher's terms, the interest rate reflects the interaction of the savers' marginal productivity of capital and borrowers' marginal rate of time preference.Answer: FALSEComment: In Fisher’s terms, the interest rate reflects the interaction of the savers’ marginal rate of time preference and borrowers’ marginal productivity of capital.Diff: 1Topic: 10.1 The Theory of Interest RatesObjective: 10.2 the role in Fisher's theory of the saver's time preference and the borrowing firm's productivity of capital4) The loanable funds theory is an extension of Fisher's theory and proposes that the equilibrium rate of interest reflects the demand and supply of funds, which depend on savers' willingness to save, borrowers' expectations regarding the profitability of investing, and the government's action regarding money supply.Answer: TRUEDiff: 1Topic: 10.1 The Theory of Interest RatesObjective: 10.5 the loanable funds theory, which is an expansion of Fisher's theory2 The Determinants of the Structure of Interest Rates1) Convertible bonds are securities issued by state and local governments and by their creations, such as "authorities" and special districts.Answer: FALSEComment: Municipal bonds are securities issued by state and local governments and by their creations, such as “authorities” and special districts.Diff: 1Topic: 10.2 The Determinants of the Structure of Interest RatesObjective: 10.11 the reason why the yields on U.S. Treasury securities are no longer as popular as benchmark interest rates and what alternative benchmarks are being considered by market participants。
金融市场与金融机构基础 Fabozzi Chapter10(精品WORD文档)
Foundations of Financial Markets and Institutions, 4e (Fabozzi/Modigliani/Jones)Chapter 10 The Level and Structure of Interest RatesMultiple Choice Questions1 The Theory of Interest Rates1) An interest rate is the price paid by a ________ to a ________ for the use of resources during some interval.A) borrower; debtorB) lender; creditorC) borrower; lenderD) lender; borrowerAnswer: CComment: An interest rate is the price paid by a borrower (or debtor) to a lender (or creditor) for the use of resources during some interval.Diff: 2Topic: 10.1 The Theory of Interest RatesObjective: 10.1 Fisher's classical approach to explaining the level of the interest rate2) By the ________, we mean the rate on a loan whose borrower will not default on any obligation.A) risk-free rateB) short termC) real rateD) long termAnswer: AComment: The interest rate that provides the anchor for other rates is the short-term rate:risk-free plus real rate. By short term, we mean the rate on a loan that has one year to maturity. (All other interest rates differ from this rate according to particular aspects of the loan, such as its maturity or risk of default, or because of the presence of inflation.) By the risk-free rate, we mean the rate on a loan whose borrower will not default on any obligation. By the real rate, we mean the rate that would prevail in the economy if the average prices for goods and services were expected to remain constant during the loan’s life.Diff: 1Topic: 10.1 The Theory of Interest RatesObjective: 10.4 the structure of Fisher's Law, which states that the nominal and observable interest rate is composed of two unobservable variables; the real rate of interest and the premium for expected inflation3) By the ________, we mean the rate that would prevail in the economy if the average prices for goods and services were expected to remain constant during the loan's life.A) risk-free rateB) short termC) real rateD) long termAnswer: CComment: The interest rate that provides the anchor for other rates is the short-term rate:risk-free plus real rate. By short term, we mean the rate on a loan that has one year to maturity. (All other interest rates differ from this rate according to particular aspects of the loan, such as its maturity or risk of default, or because of the presence of inflation.) By the risk-free rate, we mean the rate on a loan whose borrower will not default on any obligation. By the real rate, we mean the rate that would prevail in the economy if the average prices for goods and services were expected to remain constant during the loan’s life.Diff: 1Topic: 10.1 The Theory of Interest RatesObjective: 10.4 the structure of Fisher's Law, which states that the nominal and observable interest rate is composed of two unobservable variables; the real rate of interest and the premium for expected inflation4) By the ________, we mean the rate on a loan that has one year to maturity.A) risk-free rateB) short termC) real rateD) long termAnswer: BComment: The interest rate that provides the anchor for other rates is the short-term rate:risk-free plus real rate. By short term, we mean the rate on a loan that has one year to maturity. (All other interest rates differ from this rate according to particular aspects of the loan, such as its maturity or risk of default, or because of the presence of inflation.) By the risk-free rate, we mean the rate on a loan whose borrower will not default on any obligation. By the real rate, we mean the rate that would prevail in the economy if the average prices for goods and services were expected to remain constant during the loan’s life.Diff: 2Topic: 10.1 The Theory of Interest RatesObjective: 10.1 Fisher's classical approach to explaining the level of the interest rate5) Which of the below statements about consumptions and savings is FALSE?A) A chief influence on the saving decision is the individual's marginal rate of time preference, which is the willingness to trade some consumption now for more future consumption.B) Generally, higher current income means the person will save more, although people with the same income may have different time preferences.C) A variable affecting savings is the reward for saving, or the rate of interest on loans that savers make with their unconsumed income.D) The total savings (or the total supply of loans) available at any time is the sum of everybody's savings and a negative function of the interest rate.Answer: DComment: The total savings (or the total supply of loans) available at any time is the sum of everybody’s savings and a positive function of the interest rate.Diff: 2Topic: 10.1 The Theory of Interest RatesObjective: 10.2 the role in Fisher's theory of the saver's time preference and the borrowing firm's productivity of capital6) Which of the below statements about the rate of interest and cost of capital is FALSE?A) The maximum that a firm will invest depends on the rate of interest, which is the cost of loans; the firm will invest only as long as the marginal productivity of capital exceeds or equals the rate of interest.B) Firms will reject only projects whose gain is not less than their cost of financing.C) The firm's demand for borrowing is negatively related to the interest rate; if the rate is high, only limited borrowing and investment make sense.D) At a low rate of interest, more projects offer a profit, and the firm wants to borrow more; his negative relationship exists for each and all firms in the economy.Answer: BComment: The maximum that a firm will invest depends on the rate of interest, which is the cost of loans. The firm will invest only as long as the marginal productivity of capital exceeds or equals the rate of interest. In other words, firms will accept only projects whose gain is not less than their cost of financing. Thus, the firm’s demand for borrowing is negatively related to the interest rate. If the rate is high, only limited borrowing and investment make sense. At a low rate, more projects offer a profit, and the firm wants to borrow more. This negative relationship exists for each and all firms in the economy.Diff: 2Topic: 10.1 The Theory of Interest RatesObjective: 10.2 the role in Fisher's theory of the saver's time preference and the borrowing firm's productivity of capital7) The ________ rate of interest is determined by interaction of the supply and demand functions. As a cost of borrowing and a reward for lending, the rate must reach the point where total supply of savings ________ total demand for borrowing and investment.A) equilibrium; is greaterB) minimum; equalsC) equilibrium; equalsD) minimum; is greaterAnswer: CDiff: 2Topic: 10.1 The Theory of Interest RatesObjective: 10.3 the meaning of equilibrium and how changes in the demand and supply function affect the equilibrium level of the interest rate8) In the absence of inflation, the nominal rate ________ the real rate.A) equalsB) is greater thanC) is less thanD) greater than or equal toAnswer: ADiff: 1Topic: 10.1 The Theory of Interest RatesObjective: 10.3 the meaning of equilibrium and how changes in the demand and supply function affect the equilibrium level of the interest rate9) The relationship between inflation and interest rates is the well-known Fisher's Law, which can be expressed this way: (1 + i) = (1 + r) × (1 + i) where ________.A) r is the nominal rate.B) i is the real rate.C) p is the expected percentage change in the price level of goods and services over the loan's life.D) the nominal rate, p, reflects both the real rate and expected inflation.Answer: CComment: The relationship between inflation and interest rates is the well-known Fisher’s Law, which can be expressed this way: (1 + i) = (1 + r) × (1 + i) where i is the nominal rate, r is the real rate, and p is the expected percentage change in the price level of goods and services over the loan’s life. This equation shows that the nominal rate, i, reflects both the real rate and expected inflation.Diff: 2Topic: 10.1 The Theory of Interest RatesObjective: 10.4 the structure of Fisher's Law, which states that the nominal and observable interest rate is composed of two unobservable variables; the real rate of interest and the premium for expected inflation10) Which of the below IS considered by Fisher's theory.A) Fisher's theory takes into account the power of the government (in concert with depository institutions) to create money.B) Fisher's theory considers the government's often large demand for borrowed funds, which is frequently immune to the level of the interest rateC) Fisher's theory takes into account the possibility that individuals and firms might invest in cash balances.D) Fisher's theory considers an interest rate on loans that embodies no premium for default risk because borrowing firms are assumed to meet all obligations.Answer: DComment: Fisher’s theory is a general one and obviously neglects certain practical matters, such as the power of the government (in concert with depository institutions) to create money and the government’s often la rge demand for borrowed funds, which is frequently immune to the level of the interest rate. Also, Fisher’s theory does not consider the possibility that individuals and firms might invest in cash balances. Expanding Fisher’s theory to encompass these situations produces the loanable funds theory of interest rates.Diff: 2Topic: 10.1 The Theory of Interest RatesObjective: 10.4 the structure of Fisher's Law, which states that the nominal and observable interest rate is composed of two unobservable variables; the real rate of interest and the premium for expected inflation11) The loanable funds theory of interest rates proposes that the general level of interest rates is determined by the complex interaction of two forces. Which of the below is ONE of these forces?A) One force is that the total demand for funds by firms, governments, and households (or individuals) is negatively related to the interest rate including the government's demand.B) One force affecting the level of the interest rate is the total supply of funds by firms, governments, banks, and individuals with rising rates causing banks to be less eager to extend more loans.C) One force is that the total demand for funds by firms, governments, and households (or individuals) is positively related to the interest rate except the government's demand.D) One force affecting the level of the interest rate is the total supply of funds by firms, governments, banks, and individuals with rising rates causing firms and individuals to save and lend more.Answer: DComment: The loanable funds theory of interest rates proposes that the general level of interest rates is determined by the complex interaction of two forces. The first is the total demand for funds by firms, governments, and households (or individuals), which carry out a variety of economic activities with those funds. This demand is negatively related to the interest rate (except for the government’s demand, which may frequently not depend on the level of the interest rate). The second force affecting the level of the interest rate is the total supply of funds by firms, governments, banks, and individuals. Supply is positively related to the level of interest rates, if all other economic factors remain the same. With rising rates, firms and individuals save and lend more, and banks are more eager to extend more loans. (A rising interest rate probably does not significantly affect the government’s supply of savings.)Diff: 3Topic: 10.1 The Theory of Interest RatesObjective: 10.5 the loanable funds theory, which is an expansion of Fisher's theory12) The ________, originally developed by John Maynard Keynes,analyzes the equilibrium level of the interest rate through the interaction of the supply of money and the public's aggregate demand for holding money.A) loanable funds theory of interest ratesB) expectation theory of interest ratesC) liquidity preference theoryD) Fisher theoryAnswer: CDiff: 2Topic: 10.1 The Theory of Interest RatesObjective: 10.6 the meaning of liquidity preference in Keynes's theory of the determination of interest rates13) The public (consisting of individuals and firms) holds money for several reasons. Which of the below is three of these?A) Difficulty of translations, precaution against expected events, and speculation about possible rises in the interest rate.B) Ease of transactions, precaution against unexpected events, and speculation about possible rises in the interest rate.C) Ease of unexpected events, precaution against transactions, and speculation about possible rises in the interest rate.D) Speculation about transactions, fear against unexpected events, and precaution about possible rises in the interest rate.Answer: BDiff: 2Topic: 10.1 The Theory of Interest RatesObjective: 10.6 the meaning of liquidity preference in Keynes's theory of the determination of interest rates14) The ________ represents the initial reaction of the interest rate to a change in the money supply.A) Income effectB) Price expectation effectC) Liquidity effectD) Interest rate effectAnswer: CDiff: 2Topic: 10.1 The Theory of Interest RatesObjective: 10.7 how an increase in the money supply can affect the level of the interest rate through an impact on liquidity, income, and price expectations15) Which of the below statements is FALSE?A) Although an increase in the money supply is an economically expansionary policy, the resultant increase in income depends substantially on the amount of slack in the economy at the time of the Fed's action.B) In Fisher's terms, the interest rate reflects the interaction of the savers' marginal rate of time preference and borrowers' marginal productivity of capital.C) Changes in the money supply can affect the level of interest rates through the liquidity effect, the income effect, and the price expectations effect; their relative magnitudes depend upon the level of economic activity at the time of the change in the money supply.D) Because the price level (and expectations regarding its changes) affects the money demand function, the liquidity effect is an increase in the interest rate.Answer: DComment: Because the price level (and expectations regarding its changes) affects the money demand function, the price expectations effect is an increase in the interest rate.Diff: 2Topic: 10.1 The Theory of Interest RatesObjective: 10.7 how an increase in the money supply can affect the level of the interest rate through an impact on liquidity, income, and price expectations2 The Determinants of the Structure of Interest Rates1) A ________ is an instrument in which the issuer (debtor/borrower) promises to repay to the lender/investor the amount borrowed plus interest over some specified period of time.A) bondB) common stockC) preferred stockD) T-billAnswer: ADiff: 1Topic: 10.2 The Determinants of the Structure of Interest RatesObjective: 10.8 the features of a bond issue2) The ________ should reflect the coupon interest that will be earned plus either (1) any capital gain that will be realized from holding the bond to maturity, or (2) any capital loss that will be realized from holding the bond to maturity.A) yield on a bond investmentB) dividend yield on a bond investmentC) bid-ask spreadD) yield on a stock investmentAnswer: ADiff: 1Topic: 10.2 The Determinants of the Structure of Interest RatesObjective: 10.8 the features of a bond issue3) The ________ the market price, the higher the yield to maturity.A) higherB) less riskyC) more safeD) lowerAnswer: DDiff: 1Topic: 10.2 The Determinants of the Structure of Interest RatesObjective: 10.8 the features of a bond issue4) The ________ of a bond is the amount that the issuer agrees to repay the bondholder at the maturity date.A) principal value (or simply principal)B) face valueC) redemption valueD) All of theseAnswer: DComment: The principal value (or simply principal) of a bond is the amount that the issuer agrees to repay the bondholder at the maturity date. This amount is also referred to as the par value, maturity value, redemption value, or face value.Diff: 2Topic: 10.2 The Determinants of the Structure of Interest RatesObjective: 10.8 the features of a bond issue5) The yield to maturity is determined by a trial-and-error process. The first step in this trial and error process is ________.A) Compute the present value of each cash flow using the best guess interest rate.B) Total the present value of the cash flows using the best guess interest rate.C) Select an interest rate.D) Compare the total present value using the best guess interest rate with the market price of the bond.Answer: CComment: The yield to maturity is determined by a trial-and-error process. Even the algorithm in a calculator or computer program, which computes the yield to maturity (or internal rate of return) in an apparently direct way, uses a trial-and-error process. The steps in that process are as follows:Step 1: Select an interest rate.Step 2: Compute the present value of each cash flow using the interest rate selected in Step 1. Step 3: Total the present value of the cash flows found in Step 2.Step 4: Compare the total present value found in Step 3 with the market price of the bond and, if the total present value of the cash flows found in Step 3 is• equal to the market price, then the interest rate used in Step 1 is the yield to maturity;• greater than the market price, then the interest rate is not the yield to maturity. Therefore, go back to Step 1 and use a higher interest rate;• less than the market price, then the interest rate is not the yield to maturity. Therefore, go back to Step 1 and use a lower interest rate.Diff: 2Topic: 10.2 The Determinants of the Structure of Interest RatesObjective: 10.9 how the yield to maturity of a bond is calculated6) There are several interesting points about the relationship among the coupon rate, market price, and yield to maturity. Which of the below is NOT one of these.A) If the market price is equal to the par value, then the yield to maturity is equal to the coupon rate.B) If the market price is less than the par value, then the yield to maturity is greater than the coupon rate.C) If the market price is greater than the par value, then the yield to maturity is greater than the coupon rate.D) If the market price is greater than the par value, then the yield to maturity is less than the coupon rate.Answer: CComment: There are several interesting points about the relationship among the coupon rate, market price, and yield to maturity as summarized below.1. If the market price is equal to the par value, then the yield to maturity is equal to the coupon rate;2. If the market price is less than the par value, then the yield to maturity is greater than the coupon rate, and;3. If the market price is greater than the par value, then the yield to maturity is less than the coupon rate.Diff: 2Topic: 10.2 The Determinants of the Structure of Interest RatesObjective: 10.9 how the yield to maturity of a bond is calculated7) Consider an 20-year bond with a coupon rate of 8% and a par value of $1,000. The cash flow for this bond is ________ every six months for the first 39 semi-annual periods and then________ for the last (or 40th) six-month period.A) $1,040; $40B) $40; $1,040C) $80; $1,080D) $80; $1,000Answer: BComment: Consider an 20-year bond with a coupon rate of 8% and a par value of $1,000. The cash flow for this bond is $40 every six months for the first 39 semi-annual periods and then $1,040 for the last (or 40th) six-month period.Diff: 2Topic: 10.2 The Determinants of the Structure of Interest RatesObjective: 10.8 the features of a bond issue8) The difference between the yield on any two bond issues is called a ________.A) yield differenceB) difference spreadC) coupon rate spreadD) yield spreadAnswer: DDiff: 2Topic: 10.2 The Determinants of the Structure of Interest RatesObjective: 10.13 what factors affect the yield spread between two bonds9) Treasury securities are used to develop the benchmark interest rates. There are two categories of U.S. Treasury securities: ________.A) discount and coupon securities.B) discount and coupon stocks.C) interest rate and coupon securities.D) discount and compound securities.Answer: ADiff: 2Topic: 10.2 The Determinants of the Structure of Interest RatesObjective: 10.1 Fisher's classical approach to explaining the level of the interest rate10) The most recently auctioned Treasury issues for each maturity are referred to as ________.A) off-the-run issues or current coupon issues.B) minimum interest rate or base interest rateC) on-the- run or current coupon issues.D) benchmark interest rate or minimum interest rate.Answer: CComment: The most recently auctioned Treasury issues for each maturity are referred to as on-the- run or current coupon issues. Issues auctioned prior to the current coupon issues are typically referred to as off-the- run issues; they are not as liquid as on-the-run issues, and, therefore, offer a higher yield than the corresponding on-the-run Treasury issue. The minimum interest rate or base interest rate that investors will demand for investing in a non-Treasury security is the yield offered on a comparable maturity on-the-run Treasury security. The base interest rate is also referred to as the benchmark interest rate.Diff: 2Topic: 10.2 The Determinants of the Structure of Interest RatesObjective: 10.10 why historically the yields on securities issued by the U.S. Department of the Treasury have been used as the benchmark interest rates throughout the world11) Market participants talk of interest rates on non-Treasury securities as ________ to a particular on-the-run Treasury security (or a spread to any particular benchmark interest rate selected). This spread reflects the additional risks the investor faces by acquiring a security thatis not issued by the U.S. government and, therefore, can be called a ________.A) "trading at a premium"; risk premiumB) "trading at a spread"; risk premiumC) "trading at a premium"; risk spreadD) "trading at a discount"; discount premiumAnswer: BComment: Market participants talk of interest rates on non-Treasury securities as “trading at a spread” to a particular on-the-run Treasury security (or a spread to any particular benchmark interest rate selected). For example, if the yield on a 10-year non-Treasury security on May 20, 2008, is 4.78%, then the spread is 100 basis points over the 3.78% Treasury yield. This spread reflects the additional risks the investor faces by acquiring a security that is not issued by the U.S. government and, therefore, can be called a risk premium.Diff: 2Topic: 10.2 The Determinants of the Structure of Interest RatesObjective: 10.13 what factors affect the yield spread between two bonds12) The factors that affect the spread include ________.A) the type of issuer and the expected liquidity of the issueB) the provisions that grant either the issuer or the investor the obligation to do something and the taxability of the interest received by the issuerC) the investor's perceived creditworthiness and the term or maturity of the investor's horizon.D) All of theseAnswer: AComment: The factors that affect the spread are (1) the type of issuer, (2) the issuer’s perceived creditworthiness, (3) the term or maturity of the instrument, (4) provisions that grant either the issuer or the investor the option to do something, (5) the taxability of the interest received by investors, and (6) the expected liquidity of the issue.Diff: 2Topic: 10.2 The Determinants of the Structure of Interest RatesObjective: 10.13 what factors affect the yield spread between two bonds13) Within the corporate market sector, issuers are classified as ________.A) (1) utilities, (2) industrials, (3) finance, and (4) banks.B) (1) high-risk, (2) medium-risk, (3) low-risk, and (4) no-risk.C) (1) foreign, (2) domestic, (3) European, and (4) Asian.D) (1) intramarket, (2) extramarket, (3) ultramarket, and (4) intermarket.Answer: AComment: Within the corporate market sector, issuers are classified as follows: (1) utilities, (2) industrials, (3) finance, and (4) banks.Diff: 2Topic: 10.2 The Determinants of the Structure of Interest RatesObjective: 10.12 the different types of bonds14) The highest-grade bonds are designated by Moody's by the symbol ________.A) BaB) AC) AaD) AaaAnswer: DComment: In all systems, the term high grade means low credit risk, or conversely, high probability of future payments. The highest-grade bonds are designated by Moody’s by the symbol Aaa, and by S&P and Fitch by the symbol AAA. The next highest grade is denoted by the symbol Aa (Moody’s) or AA (S&P and Fitch); for the third grade, all rating systems use A. The next three grades are Baa or BBB, Ba or BB, and B, respectively. There are also C grades. Moody’s uses 1, 2, or 3 to provi de a narrower credit quality breakdown within each class, andS&P and Fitch use plus and minus signs for the same purpose.Diff: 1Topic: 10.2 The Determinants of the Structure of Interest RatesObjective: 10.12 the different types of bonds15) Which of the below statements is FALSE?A) The spread between Treasury securities and non-Treasury securities that are identical in all respects except for credit quality is referred to as a credit spread.B) The spread between any two maturity sectors of the market is called a maturity spread or yield curve spread.C) An option that is included in a bond issue is referred to as a prepayment option.D) The most common type of option in a bond issue is a call provision.Answer: CComment: It is not uncommon for a bond issue to include a provision that gives either the bondholder and/or the issuer an option to take some action against the other party. An option that is included in a bond issue is referred to as an embedded option.Diff: 2Topic: 10.2 The Determinants of the Structure of Interest RatesObjective: 10.12 the different types of bondsTrue/False Questions1 The Theory of Interest Rates1) The liquidity preference theory is Keynes's view that the rate of interest is set in the market for money balances.Answer: TRUEDiff: 1Topic: 10.1 The Theory of Interest RatesObjective: 10.6 the meaning of liquidity preference in Keynes's theory of the determination of interest rates2) Interest is the price paid for the permanent use of resources, and the amount of a loan is its principal.Answer: FALSEComment: Interest is the price paid for the temporary use of resources, and the amount of a loan is its principal.Diff: 1Topic: 10.1 The Theory of Interest RatesObjective: 10.7 how an increase in the money supply can affect the level of the interest rate through an impact on liquidity, income, and price expectations3) In Fisher's terms, the interest rate reflects the interaction of the savers' marginal productivity of capital and borrowers' marginal rate of time preference.Answer: FALSEComment: In Fisher’s terms, the interest rate reflects the interaction of the savers’ marginal rate of time preference and borrowers’ marginal productivity of capital.Diff: 1Topic: 10.1 The Theory of Interest RatesObjective: 10.2 the role in Fisher's theory of the saver's time preference and the borrowing firm's productivity of capital4) The loanable funds theory is an extension of Fisher's theory and proposes that the equilibrium rate of interest reflects the demand and supply of funds, which depend on savers' willingness to save, borrowers' expectations regarding the profitability of investing, and the government's action regarding money supply.Answer: TRUEDiff: 1Topic: 10.1 The Theory of Interest RatesObjective: 10.5 the loanable funds theory, which is an expansion of Fisher's theory2 The Determinants of the Structure of Interest Rates1) Convertible bonds are securities issued by state and local governments and by their creations, such as "authorities" and special districts.Answer: FALSEComment: Municipal bonds are securities issued by state and local governments and by their creations, such as “authorities” and special districts.Diff: 1Topic: 10.2 The Determinants of the Structure of Interest RatesObjective: 10.11 the reason why the yields on U.S. Treasury securities are no longer as popular as benchmark interest rates and what alternative benchmarks are being considered by market participants。
河南大学15年金融市场与金融机构基础
•
联邦储备体系管理着所有存款机构的存款规模以影响通
货膨胀和经济中真实部门的经济活动水平。联邦储备体系
主要通过控制美元的储备水平以及银行体系中存款规模、
法定准备金率、再贴现率来实现这种控制。
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政府——市场监管
• （一）政府监管的原因 • 由于市场失灵（无形的手）、外部性、逆向选择等问题，
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• 这个故事告诫我们，什么时候都不要忘记自己 是干什么的，不要忘记人生的目的是什么，更 不要忘记人生的意义何在。千万不要忙昏了头， 而忘记了自己的初衷。
• 那些为成功而成功的人就是这样一些忘记人生 目的的人。他们不是一天一天把日子过好，而 是一双眼睛死死盯着某个遥远而虚幻的目标， 用日复一日的忙碌和沉重刻意去实践。
• 在大学校园，我们只不过是换了一个环境生活， 那么，请问大家是否还记得第一次踏入这个校 园的初衷？读大学究竟读什么？
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本节课程安排
• 第一章内容回顾，穿插学习第二章（≦2h） • 课间休息（20‘） • 求职面试技巧相关的短片 （40‘） • 通俗的口语表达→规范的概念提取
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资产
会计角度
• 资产：是指企业过去的交易或者事项形成的由企业拥有或有 控制的、预期会给企业带来经济利益的资源。
• 是企业、自然人、国家拥有或者控制的能以货币来计量收支 的经济资源，包括各种收入、债权和其他。 • 资产=负债+所有者权益
公司、机构和个人拥有的任何具有商业或交换价值的东西。
目的：稳定市场、控制风险 • （二）金融市场风险的定义 • 金融市场风险是指基础金融变量（如利率、汇率、股价）
的变动而使金融资产或负债的市场价值发生变化的可能性。 • （三）金融市场风险的特征 • 金融市场风险具有不确定性、普遍性、扩散性和突发性
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Foundations of Financial Markets and Institutions, 4e (Fabozzi/Modigliani/Jones) Chapter 13 Primary Markets and the Underwriting of SecuritiesMultiple Choice Questions1 The Traditional Process for Issuing New Securities1) The ________ involves the distribution to investors of newly issued securities by central governments, its agencies, municipal governments, and corporationsA) OTC marketB) secondary marketC) primary marketD) stock marketAnswer: CDiff: 1Topic: 13.1 The Traditional Process for Issuing New SecuritiesObjective: 13.1 the role investment bankers play in the distribution of newly issued securities 2) The participants in the marketplace that work with issuers to distribute newly issued securities are called investment bankers. Investment banking is performed by two groups: ________.A) commercial banks and securities houses.B) hometown banks and securities houses.C) commercial banks and bank houses.D) savings & loans and bank houses.Answer: ADiff: 2Topic: 13.1 The Traditional Process for Issuing New SecuritiesObjective: 13.1 the role investment bankers play in the distribution of newly issued securities 3) The traditional process in the United States for issuing new securities involves investment bankers performing up to three functions. Which of the below is NOT one of these functions?A) One function is advising the issuer on the terms and the timing of the offering.B) One function is selling the securities to the issuer.C) One function is distributing the issue to the public.D) One function is buying the securities from the issuer.Answer: BComment: The traditional process in the United States for issuing new securities involves investment bankers performing one or more of the following three functions:(1) advising the issuer on the terms and the timing of the offering,(2) buying the securities from the issuer, and(3) distributing the issue to the public.Diff: 1Topic: 13.1 The Traditional Process for Issuing New SecuritiesObjective: 13.1 the role investment bankers play in the distribution of newly issued securities4) An investment banker may merely act as an advisor and/or distributor of the new security. The function of buying the securities from the issuer is called ________.A) advising.B) distributing.C) purchasing.D) underwriting.Answer: DDiff: 2Topic: 13.1 The Traditional Process for Issuing New SecuritiesObjective: 13.1 the role investment bankers play in the distribution of newly issued securities 5) An ________ is a common stock offering issued by companies that have NOT previously issued common stock to the public.A) initial private issuance (IPI)B) seasoned equity offering (SEO)C) initial public offering (IPO)D) seasoned offering (SO)Answer: CDiff: 1Topic: 13.1 The Traditional Process for Issuing New SecuritiesObjective: 13.1 the role investment bankers play in the distribution of newly issued securities6) Which of the below statements is FALSE?A) A secondary common stock offering is an offering of common stock that had been issued in the past by the corporation.B) For a secondary offering, the range for the gross spread as a percentage of the amount raised is between 3% and 6%.C) For traditional bond offerings, the gross spread as a percentage of the principal is around 100 basis points.D) The typical underwritten transaction involves so much risk of capital loss that a single investment banking firm undertaking it alone would be exposed to the danger of losing a significant portion of its capital.Answer: CComment: For traditional bond offerings, the gross spread as a percentage of the principal is around 50 basis points.Diff: 2Topic: 13.1 The Traditional Process for Issuing New SecuritiesObjective: 13.2 the risk associated with the underwriting of a security2 Regulation of the Primary Market1) Underwriting activities are regulated by the ________.A) Initial Public Offerings Market (IPOM).B) Securities and Exchange Commission (SEC).C) Investment Banking Industry (IBI).D) Federal Bureau of Investigation (FBI).Answer: ADiff: 1Topic: 13.2 Regulation of the Primary MarketObjective: 13.4 how the SEC regulates the distribution of newly issued securities2) The type of information contained in the registration statement includes ________.A) the nature of the business of the issuer and key provisions or features of the security.B) the nature of the investment risks associated with the security and the background of management.C) the nature of the business of the issuer and the background of management.D) All of theseAnswer: DComment: The type of information contained in the registration statement is the nature of the business of the issuer, key provisions or features of the security, the nature of the investment risks associated with the security, and the background of management.Diff: 2Topic: 13.2 Regulation of the Primary MarketObjective: 13.5 what a registration statement is3) The registration is actually divided into two parts. Part I is the ________. It is this part that is typically distributed to the public as an offering of the securities. Part II contains ________, which is not distributed to the public as part of the offering but is available from the SEC upon request.A) registration; additional informationB) prospectus; supplemental informationC) supplemental information; registrationD) beginning information; prospectusAnswer: BDiff: 2Topic: 13.2 Regulation of the Primary MarketObjective: 13.5 what a registration statement is4) The Securities Act of 1933 ________.A) does not provide for penalties in the form of fines and/or imprisonment if the information provided is inaccurate or material information is omitted.B) governs the issuance of securities.C) provides that investors who purchase the security are entitled to sue the issuer but not the underwriter to recover damages if they incur a loss as a result of the misleading information. D) provides that financial statements must be included after the registration statement. Answer: BComment: The Securities Act of 1933 governs the issuance of securities. The act requires that a registration statement be filed with the SEC by the issuer of a security. Financial statements must be included in the registration statement, and they must be certified by an independent public accountant. The act provides for penalties in the form of fines and/or imprisonment if the information provided is inaccurate or material information is omitted. Moreover, investors who purchase the security are entitled to sue the issuer to recover damages if they incur a loss as a result of the misleading information. The underwriter may also be sued if it can be demonstrated that the underwriter did not conduct a reasonable investigation of the information reported by the issuer. One of the most important duties of an underwriter is to perform due diligence.Diff: 2Topic: 13.2 Regulation of the Primary MarketObjective: 13.4 how the SEC regulates the distribution of newly issued securities5) Which of the below statements is TRUE?A) The filing of a registration statement with the SEC means that the security can be offered to the public.B) When the SEC declares the registration statement is "effective," it means that an amendment to the registration statement can be filed.C) The registration statement must be reviewed and approved by the SEC's Division of Corporate Finance before a public offering can be made.D) The approval of the SEC means that the securities have investment merit or are properly priced or that the information is accurate.Answer: CComment: The filing of a registration statement with the SEC does not mean that the security can be offered to the public. The registration statement must be reviewed and approved by the SEC’s Division of Corporate Finance before a public offering can be made. Typically, the staff of this division will find a problem with the registration statement. The staff then sends a "letter of comments" or "deficiency letter" to the issuer explaining the problem it has encountered. The issuer must remedy any problem by filing an amendment to the registration statement. If the staff is satisfied, the SEC will issue an order declaring that the registration statement is "effective," and the underwriter can solicit sales. The approval of the SEC, however, does not mean that the securities have investment merit or are properly priced or that the information is accurate. It merely means that the appropriate information appears to have been disclosed. Diff: 3Topic: 13.2 Regulation of the Primary MarketObjective: 13.5 what a registration statement is6) A red herring is ________.A) a period of waiting for SEC approval.B) an amended prospectus.C) a preliminary prospectus.D) a prospectus printed fully in red ink.Answer: CComment: During the waiting period, the SEC does allow the underwriters to distribute a preliminary prospectus. Because the prospectus has not become effective, its cover page states this in red ink and, as a result, the preliminary prospectus is commonly called a red herring. Diff: 2Topic: 13.2 Regulation of the Primary MarketObjective: 13.4 how the SEC regulates the distribution of newly issued securities3 Variations in the Underwriting Process1) Not all deals are underwritten using the traditional syndicate process. For example, variations in the United States, the Euromarkets, and foreign markets include ________.A) the auction process and rights offering for the underwriting of bonds.B) the bought deal of the Eurostock market.C) a rights offering for underwriting common stock.D) All of theseAnswer: CComment: Not all deals are underwritten using the traditional syndicate process we have described. Variations in the United States, the Euromarkets, and foreign markets include the bought deal for the underwriting of bonds, the auction process for both stocks and bonds, and a rights offering for underwriting common stock.Diff: 2Topic: 13.3 Variations in the Underwriting ProcessObjective: 13.3 the different types of underwriting arrangements2) The mechanics of a bought deal are that ________.A) the lead manager or a group of managers offers a potential issuer of debt securities a firm bid to purchase an undetermined amount of the securities with an interest (coupon) rate and maturity to be announced later.B) the issuer is given a month or more to accept or reject the bid.C) if the bid is rejected, the underwriting firm has bought the deal.D) the underwriter can sell the securities to other investment banking firms for distribution to their clients and/or distribute the securities to its clients.Answer: DComment: The mechanics of a bought deal are as follows. The lead manager or a group of managers offers a potential issuer of debt securities a firm bid to purchase a specified amount of the securities with a certain interest (coupon) rate and maturity. The issuer is given a day or so (maybe even only a few hours) to accept or reject the bid. If the bid is accepted, the underwriting firm has bought the deal. It can, in turn, sell the securities to other investment banking firms for distribution to their clients and/or distribute the securities to its clients. Typically, the underwriting firm that buys the deal will have presold most of the issue to its institutional clients.Diff: 2Topic: 13.3 Variations in the Underwriting ProcessObjective: 13.7 what is a bought deal underwriting for a bond issue, and why it is used3) A consequence of ________ is that underwriting firms need to expand their capital so that they can commit greater amounts of funds to such deals.A) accepting auction dealsB) rejecting bought dealsC) accepting bought dealsD) rejecting auction dealsAnswer: CDiff: 2Topic: 13.3 Variations in the Underwriting ProcessObjective: 13.5 what a registration statement is4) A variation for underwriting securities is the auction process. In this method, ________.A) the issuer announces the terms of the issue, and interested parties submit bids for part of the issue.B) the auction form is mandated for certain securities of regulated public utilities but not for municipal debt obligations.C) the issuer announces the terms of the issue, and interested parties submit bids for the entire issue.D) mandated for many municipal debt obligations but not for certain securities of regulated public utilities.Answer: CComment: A variation for underwriting securities is the auction process. In this method, the issuer announces the terms of the issue, and interested parties submit bids for the entire issue. The auction form is mandated for certain securities of regulated public utilities and for many municipal debt obligations. It is more commonly referred to as a competitive bidding underwriting.Diff: 2Topic: 13.3 Variations in the Underwriting ProcessObjective: 13.3 the different types of underwriting arrangements5) In a variant of the auction process, a security is allocated to bidders from the highest bid price (________) to the lower ones (________) until the entire issue is allocated.A) (highest yield in the case of a bond); (higher yield in the case of a bond)B) (lowest yield in the case of a bond); (higher yield in the case of a bond)C) (lowest yield in the case of a bond); (lower yield in the case of a bond)D) (highest yield in the case of a bond); (lower yield in the case of a bond)Answer: BComment: The security is then allocated to bidders from the highest bid price (lowest yield in the case of a bond) to the lower ones (higher yield in the case of a bond) until the entire issue is allocated.Diff: 3Topic: 13.3 Variations in the Underwriting ProcessObjective: 13.3 the different types of underwriting arrangements6) Suppose that an issuer is offering $600 million of a bond issue, and nine bidders submit theA) The first five bidders (A, B, C, D, and E) will be allocated the amount for which they bid because they submitted the lowest-yield bids. In total, they will receive $595 million of the $600 million to be issued.B) After allocating $420 million to the highest three bidders, then $180 million can be allocated to the next two highest bidders.C) The lowest bidders will receive an amount proportionate to the amount for which they bid.D) After allocating $595 million to the highest bidders, then $5 million can be allocated to the next lowest bidders.Answer: BComment: If we allocate $420 million to the highest three bidders, then $180 million cannot be allocated to the next two highest bidders because they only have bid for $175 million.Diff: 2Topic: 13.3 Variations in the Underwriting ProcessObjective: 13.8 what a competitive bidding underwriting is7) When all bidders buy the amount allocated to them, then the auction is referred to ________.A) as a multiple-price auction or a Dutch auction.B) as a single-price auction or a German auction.C) as a single-price auction or a Dutch auction.D) as a multiple-price auction or a German auction.Answer: CDiff: 2Topic: 13.3 Variations in the Underwriting ProcessObjective: 13.8 what a competitive bidding underwriting is8) Which of the below statements is FALSE?A) The value of a right can be found by calculating the difference between the price of a share before the rights offering and the price of a share after the rights offering.B) The difference between the price before the rights offering and after the rights offering expressed as a percentage of the original price is called the concentration effect of the rights issue.C) Value of a right = Share price rights on - Share price ex rightsD) Value of a right = Price before rights offering - Price after rights offeringAnswer: BComment: The difference between the price before the rights offering and after the rights offering expressed as a percentage of the original price is called the dilution effect of the rights issue.Diff: 3Topic: 13.3 Variations in the Underwriting ProcessObjective: 13.9 what a rights offering for the sale of common stock is9) Which of the below statements is FALSE?A) Using an auction allows corporate issuers to place newly issued debt obligations directly with institutional investors rather than follow the indirect path of using an underwriting firm.B) By dealing with just a few institutional investors, investment bankers argue, issuers cannot be sure of obtaining funds at the lowest cost.C) A preemptive right grants existing shareholders the right to buy some proportion of the new shares issued at a price below market value.D) For the shares sold via a preemptive rights offering, the underwriting services of an investment banker are needed.Answer: DComment: For the shares sold via a preemptive rights offering, the underwriting services of an investment banker are not needed.Diff: 2Topic: 13.3 Variations in the Underwriting ProcessObjective: 13.8 what a competitive bidding underwriting is4 Private Placement of Securities1) In addition to underwriting securities for distribution to the public, securities may be placed with a limited number of institutional investors such as ________.A) insurance companies.B) investment companies.C) pension funds.D) All of theseAnswer: DDiff: 2Topic: 13.4 Private Placement of SecuritiesObjective: 13.10 the advantages and disadvantages from an issuer's perspective of a private placement2) ________ are the major investors in private placements.A) Life insurance companies .B) Credit Unions.C) Pension funds.D) Auto insurance companies.Answer: ADiff: 2Topic: 13.4 Private Placement of SecuritiesObjective: 13.10 the advantages and disadvantages from an issuer's perspective of a private placement3) The Securities Act of 1933 does not provide specific guidelines to identify what is a________.A) private security.B) public placement.C) public offering.D) private offering.Answer: DDiff: 2Topic: 13.4 Private Placement of SecuritiesObjective: 13.10 the advantages and disadvantages from an issuer's perspective of a private placement4) In 1982, the SEC adopted Regulation D,which ________.A) exempts securities sold only within a state.B) states that if the offering is for $1 million or less, the securities need not be registeredC) sets forth the guidelines that determine if an issue is qualified for exemption from registration.D) exempts from registration "transactions by an issuer not involving any public offering." Answer: CComment: Public and private offerings of securities differ in terms of the regulatory requirements that the issuer must satisfy. The Securities Act of 1933 and the Securities Exchange Act of 1934 require that all securities offered to the general public must be registered with the SEC, unless there is a specific exemption. The Securities Acts allow three exemptions from federal registration. First, intrastate offerings–that is, securities sold only within a state–are exempt. Second, there is a small- offering exemption (Regulation A). Specifically, if the offering is for $1 million or less, the securities need not be registered. Finally, Section 4(2) of the 1933 act exempts from registration "transactions by an issuer not involving any public offering." At the same time, the 1933 act does NOT provide specific guidelines to identify what is a private offering or placement. In 1982, the SEC adopted Regulation D, which sets forth the guidelines that determine if an issue is qualified for exemption from registration.Diff: 2Topic: 13.4 Private Placement of SecuritiesObjective: 13.10 the advantages and disadvantages from an issuer's perspective of a private placement5) Investment banking firms assist in the private placement of securities by ________.A) working with the issuer and potential investors on the design and pricing of the security.B) lining up the investors but not designing or pricing the issue.C) designing the issue but not lining up the investors or pricing the issue.D) participating in the transaction on a fixed efforts underwriting arrangementAnswer: AComment: Investment banking firms assist in the private placement of securities in several ways. They work with the issuer and potential investors on the design and pricing of the security. Often, it has been in the private placement market that investment bankers first design new security structures. Field testing of many of the innovative securities that we describe in this book occurred in the private placement market. The investment bankers may be involved with lining up the investors as well as designing the issue. Or, if the issuer has already identified the investors, the investment banker may serve only in an advisory capacity. An investment banker can also participate in the transaction on a best efforts underwriting arrangement.Diff: 2Topic: 13.4 Private Placement of SecuritiesObjective: 13.10 the advantages and disadvantages from an issuer's perspective of a private placement6) In April 1990, the SEC Rule 144A became effective and ________.A) eliminated the five-year holding period by permitting large institutions to trade securities acquired in a private placement among themselves by registering these securities with the SEC.B) eliminated the two-year holding period by disallowing large institutions to trade securities acquired in a private placement among themselves without having to register these securities with the SEC.C) eliminated the two-year holding period by permitting large institutions to trade securities acquired in a private placement among themselves without having to register these securities with the SEC.D) added the two-year holding period by permitting small institutions to trade securities acquired in a public placement among themselves without having to register these securities with the SEC. Answer: CComment: eliminated the two-year holding period by permitting large institutions to trade securities acquired in a private placement among themselves without having to register these securities with the SEC.Diff: 2Topic: 13.4 Private Placement of SecuritiesObjective: 13.11 the reason for Rule 144A and its potential impact on the private placement market7) In regards to Rule 144a, which of the below statements is FALSE?A) Rule 144A encouraged non-U.S. corporations to issue securities in the U.S. private placement market by relaxing the requirement to hold the securities for two years.B) Rule 144A encourages non-U.S. corporations to issue securities in the U.S. private placement market by relaxing the requirement to furnish necessary disclosure set forth by U.S. securities laws.C) Rule 144A improved liquidity, reducing the cost of raising funds.D) Rule 144A improved the liquidity of securities acquired by all institutional investors in a private placement.Answer: DComment: Rule 144A encourages non-U.S. corporations to issue securities in the U.S. private placement market for two reasons. First, it will attract new large institutional investors into the market that were unwilling previously to buy private placements because of the requirement to hold the securities for two years. Such an increase in the number of institutional investors may encourage non-U.S. entities to issue securities. Second, foreign entities were unwilling to raise funds in the United States prior to establishment of Rule 144A because they had to register their securities and furnish the necessary disclosure set forth by U.S. securities laws. Private placement requires less disclosure. Rule 144A also improves liquidity, reducing the cost of raising funds. SEC Rule 144A improves the liquidity of securities acquired by certain institutional investors in a private placement.Diff: 3Topic: 13.4 Private Placement of SecuritiesObjective: 13.11 the reason for Rule 144A and its potential impact on the private placement marketTrue/False Questions1 The Traditional Process for Issuing New Securities1) Because of the low risks associated with the underwriting of securities, an underwriting syndicate and a selling group are rarely formed.Answer: FALSEComment: Because of the risks associated with the underwriting of securities, an underwriting syndicate and a selling group are typically formed.Diff: 1Topic: 13.1 The Traditional Process for Issuing New SecuritiesObjective: 13.2 the risk associated with the underwriting of a security2) The gross spread earned by the underwriter depends on numerous factors.Answer: TRUEDiff: 1Topic: 13.1 The Traditional Process for Issuing New SecuritiesObjective: 13.1 the role investment bankers play in the distribution of newly issued securities3) Depending on the type of underwriting agreement, the underwriting function may expose the investment banking firm to the risk of selling the securities to the public at a price greater than the price paid to the issuer.Answer: FALSEComment: Depending on the type of underwriting agreement, the underwriting function may expose the investment banking firm to the risk of selling the securities to the public at a price less than the price paid to the issuer.Diff: 1Topic: 13.1 The Traditional Process for Issuing New SecuritiesObjective: 13.1 the role investment bankers play in the distribution of newly issued securities 2 Regulation of the Primary Market1) Rule 415 permits certain issuers to file a single registration document indicating that they intend to sell a certain amount of a certain class of securities at one or more times within the next two years.Answer: TRUEDiff: 1Topic: 13.2 Regulation of the Primary MarketObjective: 13.4 how the SEC regulates the distribution of newly issued securities2) Rule 415 is popularly referred to as the closet registration rule because the securities can be viewed as sitting in the "closet," and can be taken out of the closet and sold to the public without obtaining additional SEC approval.Answer: FALSEComment: Rule 415 is popularly referred to as the shelf registration rule because the securities can be viewed as sitting on a “shelf,” and can be taken off that shelf and sold to the public without obtaining additional SEC approval.Diff: 1Topic: 13.2 Regulation of the Primary MarketObjective: 13.6 the impact of the SEC Rule 415 (shelf registration)3) The time interval between the initial filing of the registration statement and the time the registration statement becomes effective is referred to as the waiting period.Answer: TRUEDiff: 1Topic: 13.2 Regulation of the Primary MarketObjective: 13.4 how the SEC regulates the distribution of newly issued securities3 Variations in the Underwriting Process1) A corporation can offer existing shareholders new shares in a preemptive rights offering, and using a standby underwriting arrangement, the corporation can have an investment banking firm agree to distribute any shares not subscribed to.Answer: TRUEDiff: 1Topic: 13.3 Variations in the Underwriting ProcessObjective: 13.3 the different types of underwriting arrangements2) An offering of a new security cannot be made by means of an auction process.Answer: FALSEComment: An offering of a new security can be made by means of an auction process.Diff: 1Topic: 13.3 Variations in the Underwriting ProcessObjective: 13.8 what a competitive bidding underwriting is3) A rights offering ensures that current shareholders may maintain their proportionate equity interest in the corporation.Answer: TRUEDiff: 1Topic: 13.3 Variations in the Underwriting ProcessObjective: 13.9 what a rights offering for the sale of common stock is4 Private Placement of Securities1) Investment bankers will typically work with issuers in the design of a security for a private placement and line up the potential investors.Answer: TRUEDiff: 1Topic: 13.4 Private Placement of SecuritiesObjective: 13.10 the advantages and disadvantages from an issuer's perspective of a private placement2) Congress specifies the conditions that must be satisfied to qualify for a private placement. Answer: FALSEComment: The SEC specifies the conditions that must be satisfied to qualify for a private placement.Diff: 1Topic: 13.4 Private Placement of SecuritiesObjective: 13.10 the advantages and disadvantages from an issuer's perspective of a private placement。