投资学精要英语(essenfial of investment )计算分析题
投资学精要（博迪）（第五版）习题答案英文版chapter5综述
Essentials of Investments (BKM 5th Ed.Answers to Selected Problems – Lecture 60 –300Purchase of three shares at $100 each. 1 –208Purchase of two shares at $110 less dividend income on three shares held. 2 110 Dividends on five shares plus sale of one share at price of $90 each. 3 396Dividends on four shares plus sale of four shares at price of $95 each. 396|||110 |Date: 1/1/96 1/1/97 1/1/98 1/1/99| || || || 208300The Dollar-weighted return can be determined by doing an internal rate of return (IRRcalculation. In other words, set the present value of the outflows equal to the presentvalue of the inflows (or the net present value to zero: %1661. 0001661. 01(396 1(110 1(208300321−=−=+++=++R R R3. b.5. We need to distinguish between timing and selection abilities. The intercept of the scatterdiagram is a measure of stock selection ability. If the manager tends to have a positive excess return even when the market’s performance is merely ‘neutral’ (i.e., has zero excess return, then we conclude that the manager has on average made good stock picks – stock selection must be the source of the positive excess returns.Timing ability is indicated by curvature in the plotted line. Lines that become steeper as you move to the right of the graph show good timing ability. An upward curvedrelationship indicates that the portfolio was more sensitive to market moves when the market was doing well and less sensitive to market moves when the market was doingpoorly -- this indicates good market timing skill. A downward curvature would indicate poor market timing skill.We can therefore classify performance ability for the four managers as follows:a. Bad Goodb. Good Goodc. Good Badd. Bad Bad9. The manager’s alpha is:10 - [6 + 0.5(14-6] = 010. a α(A = 24 - [12 + 1.0(21-12] = 3.0%α(B = 30 - [12 + 1.5(21-12] = 4.5%T(A = (24 - 12/1 = 12T(B = (30-12/1.5 = 12As an addition to a passive diversified portfolio, both A and B are candidates because they both have positive alphas.b (i The funds may have been trying to time the market. In that case, the SCL of the funds may be non-linear (curved.(ii One year’s worth of data is too small a sample to make clear conclusions.(iii The funds may have significantly different levels of diversification. If both have the same risk-adjusted return, the fund with the less diversified portfolio has a higher exposure to risk because of its higher firm-specific risk. Since the above measure adjusts only for systematic risk, it does not tell the entire story.11. a Indeed, the one year results were terrible, but one year is a short time period from whichto make clear conclusions. Also, the Board instructed the manager to give priority to long-term results.b The sample pension funds had a much larger share in equities compared to Alpine’s. Equities performed much better than bonds. Also, Alpine was told to hold down risk investing at most 25% in equities. Alpine should not be held responsible for an asset allocation policy dictated by the client.c Alpine’s alpha measures its risk-adjusted performance compared to the market’s:α = 13.3 - [7.5 + 0.9(13.8 - 7.5] = 0.13%, which is actually above zero!d Note that the last five years, especially the last one, have been bad for bonds – and Alpine was encouraged to hold bonds. Within this asset class, Alpine did much better than the index funds. Alpine’s performance within each asset class has been superior on a risk-adjusted basis. Its disappointing performance overall was due to a heavy asset allocation weighting toward bonds, which was the Board’s –not Alpine’s – choice.e A trustee may not care about the time-weighted return, but that return is moreindicative of the manager’s performance. After all, the manager has no control over the cash inflow of the fund.。
投资学精要(博迪)(第五版)习题答案英文版chapter9&10
Essentials of Investments (BKM 5th Ed.)Answers to Suggested Problems – Lecture 7Bond Pricing Examples for Exam 3:Problem 9(a) in Chapter 9 provides an example of a bond price calculation (answer shown below). As additional examples, page 69 in your course packet provides several bond pricing problems for bonds with various maturity, yield, and coupon characteristics. The bond prices for these examples are as follows (note all bonds pay coupons semi-annually):8% coupon, 8% market yield, 10 years to maturity: B = $1,000.008% coupon, 10% market yield, 10 years to maturity: B = $875.388% coupon, 6% market yield, 10 years to maturity: B = $1,148.778% coupon, 8% market yield, 20 years to maturity: B = $1,000.008% coupon, 10% market yield, 20 years to maturity: B = $828.418% coupon, 6% market yield, 20 years to maturity: B = $1,231.156% coupon, 8% market yield, 10 years to maturity: B = $864.106% coupon, 10% market yield, 10 years to maturity: B = $750.766% coupon, 6% market yield, 10 years to maturity: B = $1000.00Chapter 9:4. Lower. Interest rates have fallen since the bond was issued. Thus, the bond is selling at apremium and the price will decrease (toward par value) as the bond approaches maturity.5. True. Under the Expectations Hypothesis, there are no risk premia built into bond prices.The only reason for an upward sloping yield curve is the expectation of increased short-term rates in the future.7. Uncertain. Liquidity premium will increase long-term yields, but lower inflationexpectations will reduce long-term yields compared to short-term rates. The net effect is uncertain.8. If the yield curve is upward sloping, you cannot conclude that investors expect short-terminterest rates to rise because the rising slope could either be due to expectations of future increases in rates or due to a liquidity premium.9. a) The bond pays $50 every 6 monthsCurrent price = $1052.42Assuming that market interest rates remain at 4% per half year:the price 6 months from now = $1044.52b) Rate of return = [1044.52 - 1052.42 + 50]/1052.42 = .04 or 4% per 6 months14. Zero 8% coupon 10% coupona) Current prices $463.19 $1,000 $1,134.20b) Price in 1 year $500.25 $1,000 $1,124.94change $37.06 $0.00 $-9.26PriceCouponincome $0.00 $80.00 $100.00$37.06 $80.00 $90.74incomeTotalRate of return 8.00% 8.00% 8.00%33. a) The forward rate, f, is the rate that makes rolling over one-year bonds equally attractiveas investing in the two-year maturity bond and holding until maturity:(1.08)(1 + f) = (1.09)2 which implies that f = 0.1001 or 10.01%b) According to the expectations hypothesis, the forward rate equals the expected shortrate next year, so the best guess would be 10.01%.c) According to the liquidity preference (liquidity premium) hypothesis, the forward rateexceeds the expected short-term rate for next year (by the amount of the liquiditypremium), so the best guess would be less than 10.01%.35. a. We obtain forward rates from the following table:Maturity(years)YTM Forward rate Price (for part c)($1000/1.10)1 10.0% $909.09[(1.112/1.10) – 1] $811.62 ($1000/1.112)12.01%2 11.0%[(1.123/1.112) – 1] $711.78 ($1000/1.123)14.03%3 12.0%b. We obtain next year’s prices and yields by discounting each zero’s face value at theforward rates derived in part (a):Maturity(years)Price YTM1 $892.78 [ = 1000/1.1201] 12.01%2 $782.93 [ = 1000/(1.1201 x 1.1403)] 13.02%Note that this year’s upward sloping yield curve implies, according to theexpectations hypothesis, a shift upward in next year’s curve.c.Next year, the two-year zero will be a one-year zero, and it will therefore sell at: ($1000/1.1201) = $892.78Similarly, the current three-year zero will be a two-year zero, and it will sell for $782.93. Expected total rate of return:two-year bond: %00.101000.0162.811$78.892$==− three-year bond: %00.101000.0178.711$93.782$==−37. d) 2e) 3f) 2g) 4Chapter 10:1. ∆∆B B D y y =−⋅+1 -7.194 * (.005/1.10) = -.03272.If YTM=6%, Duration=2.833 years If YTM=10%, Duration=2.824 years6.a) Bond B has a higher yield since it is selling at a discount. Thus, the duration of bond B is lower (it is less sensitive to interest rate changes).b) Bond B has a lower yield and is callable before maturity. Thus, the duration of bond B is lower (it is less sensitive to interest rate changes).9.a) PV = 10,000/(1.08) + 10,000/((1.08)2) = $17,832.65Duration = (9259.26/17832.65)*1 + (8573.39/17832.65)*2 = 1.4808 yearsb) A zero-coupon bond with 1.4808 years to maturity (duration=1.4808) would immunize the obligation against interest rate risk.c) We need a bond position with a present value of $17,832.65. Thus, the face value of thebond position must be:$17,832.65*(1.08)1.4808 = $19,985.26If interest rates increase to 9%, the value of the bond would be:$19,985.26/((1.09)1.4808) = $17,590.92The tuition obligation would be:10,000/1.09 + 10,000/((1.09)2) = $17,591.11or a net position change of only $0.19.If interest rates decrease to 7%, the value of the bond would be:$19,985.26/((1.07)1.4808) = $18,079.99The tuition obligation would be:10,000/(1.07) + 10,000((1.07)2) = $18,080.18or a net position change of $0.19.**The slight differences result from the fact that duration is only a linear approximationof the true convex relationship between fixed-income values and interest rates.11. a) The duration of the perpetuity is 1.05/.05 = 21 years. Let w be the weight of the zero-coupon bond. Then we find w by solving:w × 5 + (1 – w) × 21 = 1021 – 16w = 10w = 11/16 or .6875Therefore, your portfolio would be 11/16 invested in the zero and 5/16 in theperpetuity.b) The zero-coupon bond now will have a duration of 4 years while the perpetuity willstill have a 21-year duration. To get a portfolio duration of 9 years, which is now theduration of the obligation, we again solve for w:w × 4 + (1 – w) × 21 = 921 – 17w = 9w = 12/17 or .7059So the proportion invested in the zero has to increase to 12/17 and the proportion in theperpetuity has to fall to 5/17.12. a) The duration of the perpetuity is 1.1/.1 = 11 years. The present value of the payments is$1 million/.10 = $10 million. Let w be the weight of the 5-year zero-coupon bond andtherefore (1 – w) will be the weight of the 20-year zero-coupon bond. Then we find wby solving:w × 5 + (1 – w) × 20 = 1120 – 15w = 11w = 9/15 = .60Therefore, 60% of the portfolio will be invested in the 5-year zero-coupon bond and 40%in the 20-year zero-coupon bond.Therefore, the market value of the 5-year zero must be×.60 = $6 million.$10millionSimilarly, the market value of the 20-year zero must be$10× .40 = $4 millionmillionb) Face value of the 5-year zero-coupon bond will be× (1.10)5 = $9.66 million.$6millionFace value of the 20-year zero-coupon bond will be$4 million × (1.10)20 = $26.91 million.18. a) 4b) 4c)42d)21. Note that we did not discuss swaps in detail. For that reason, I would not expect you to beable to answer this type of question on the exam. The question is meant to provide youwith a brief summary of some potential motivations for swaps.a) a. This swap would have been made if the investor anticipated a decline in long-terminterest rates and an increase in long-term bond prices. The deeper discount, lowercoupon 6 3/8% bond would provide more opportunity for capital gains, greater callprotection, and greater protection against declining reinvestment rates at a cost of only amodest drop in yield.b. This swap was probably done by an investor who believed the 24 basis point yield spreadbetween the two bonds was too narrow. The investor anticipated that, if the spreadwidened to a more normal level, either a capital gain would be experienced on theTreasury note or a capital loss would be avoided on the Phone bond, or both. Also, thisswap might have been done by an investor who anticipated a decline in interest rates, andwho also wanted to maintain high current coupon income and have the better callprotection of the Treasury note. The Treasury note would have unlimited potential forprice appreciation, in contrast to the Phone bond which would be restricted by its callprice. Furthermore, if intermediate-term interest rates were to rise, the price decline ofthe higher quality, higher coupon Treasury note would likely be “cushioned” and thereinvestment return from the higher coupons would likely be greater.c. This swap would have been made if the investor were bearish on the bond market. Thezero coupon note would be extremely vulnerable to an increase in interest rates since theyield to maturity, determined by the discount at the time of purchase, is locked in. This isin contrast to the floating rate note, for which interest is adjusted periodically to reflectcurrent returns on debt instruments. The funds received in interest income on the floatingrate notes could be used at a later time to purchase long-term bonds at more attractiveyields.d. These two bonds are similar in most respects other than quality and yield. An investorwho believed the yield spread between Government and Al bonds was too narrow wouldhave made the swap either to take a capital gain on the Government bond or to avoid acapital loss on the Al bond. The increase in call protection after the swap would not be afactor except under the most bullish interest rate scenarios. The swap does, however,extend maturity another 8 years and yield to maturity sacrifice is 169 basis points.e. The principal differences between these two bonds are the convertible feature of the Zmart bond and the yield and coupon advantage, and the longer maturity of the LuckyDucks debentures. The swap would have been made if the investor believed somecombination of the following: First, that the appreciation potential of the Z martconvertible, based primarily on the intrinsic value of Z mart common stock, was nolonger as attractive as it had been. Second, that the yields on long-term bonds were at acyclical high, causing bond portfolio managers who could take A2-risk bonds to reach forhigh yields and long maturities either to lock them in or take a capital gain when ratessubsequently declined. Third, while waiting for rates to decline, the investor will enjoyan increase in coupon income. Basically, the investor is swapping an equity-equivalentfor a long- term corporate bond.23. Choose the longer-duration bond to benefit from a rate decrease.a) The Aaa-rated bond will have the lower yield to maturity and the longer duration.b) The lower-coupon bond will have the longer duration and more de facto call protection.c) Choose the lower coupon bond for its longer duration.30. The price of the 7% bond in 5 years is:PVA(C=$70, N=25, r=8%) + PV($1000, N=25, r=8%) = $893.25You also get five $70 coupon payments four of which can be reinvested at 6% for a total of $394.59 in coupon income.HPR = ($893.25 - 867.42 + 394.59)/867.42 = 48.47%The price of the 6.5% bond in 5 years is:PVA(C=$65, N=15, r=7.5%) + PV($1000, N=15, r=7.5%) = $911.73You also get five $65 coupon payments four of which can be reinvested at 6% for a total of $366.41 in coupon income.HPR = ($911.73 - 879.50 + 366.41)/879.50 = 45.33%**The 7% bond has a higher 5-year holding period return.。
Essentials_Of_Investments_8th_Ed_Bodie_投资学精要(第八版)课后习题答案 Chapter 7
2 32 2.00 5 20
3.5 14 0.70 5 20
b. With the two scenarios equal likely, the expected rate of return is an average of the two possible outcomes: E(rA) = 0.5 (2% + 32%) = 17% E(rB) = 0.5 (3.5% + 14%) = 8.75% c. The SML is determined by the following: T-bill rate = 8% with a beta equal to zero, beta for the market is 1.0, and the expected rate of return for the market is: 0.5 (20% + 5%) = 12.5% See the following graph.
P = (0.75 1) + (0.25 0) = 0.75
8. a. The beta is the sensitivity of the stock's return to the market return. Call the aggressive stock A and the defensive stock D. Then beta is the change in the stock return per unit change in the market return. We compute each stock's beta by calculating the difference in its return across the two scenarios divided by the difference in market return. A
投资学精要习题答案
投资学精要习题答案投资学精要习题答案投资学是研究资本市场和投资决策的学科，是金融学的重要分支之一。
在学习投资学过程中，习题是巩固知识和提高能力的重要途径。
下面是一些投资学精要习题的答案，希望对你的学习有所帮助。
一、基本概念题1. 什么是投资学？投资学是研究资本市场和投资决策的学科，通过分析投资者的行为和市场的运作，帮助投资者做出理性的投资决策。
2. 什么是资本市场？资本市场是指进行长期融资和证券交易的市场，包括股票市场和债券市场。
3. 什么是投资组合？投资组合是指将不同的资产按照一定比例组合在一起，以实现风险和收益的最优平衡。
4. 什么是投资回报率？投资回报率是指投资所获得的收益与投资成本之比，是衡量投资绩效的指标。
5. 什么是风险和收益？风险是指投资可能面临的损失或波动性，收益是指投资所能获得的回报。
二、计算题1. 计算投资回报率投资回报率=（投资收益-投资成本）/投资成本2. 计算资本资产定价模型（CAPM）的预期回报率预期回报率=无风险利率+β×（市场回报率-无风险利率）3. 计算夏普比率夏普比率=（投资组合回报率-无风险利率）/投资组合的波动性4. 计算投资组合的方差投资组合的方差=∑(Wi×σi)^2其中，Wi为资产i的权重，σi为资产i的标准差。
5. 计算投资组合的预期回报率预期回报率=∑(Wi×E(Ri))其中，Wi为资产i的权重，E(Ri)为资产i的预期回报率。
三、案例分析题1. 根据给定的资产预期回报率和标准差，构建一个投资组合，使得预期回报率最大，同时风险最小。
解：可以使用马科维茨投资组合理论来解决这个问题。
根据理论，投资者可以通过调整不同资产的权重来构建一个最佳的投资组合。
具体的计算方法可以使用线性规划等数学方法来求解。
2. 假设你有100万的投资资金，你打算将其分配到不同的资产上，如股票、债券、房地产等。
请给出一个合理的资产配置方案，并解释你的选择。
(完整word版)投资学investment_题库Chap016
Multiple Choice Questions1。
The duration of a bond is a function of the bond'sA) coupon rate.B）yield to maturity。
C）time to maturity.D) all of the above。
E）none of the above.Answer: D Difficulty: EasyRationale: Duration is calculated by discounting the bond's cash flows at thebond’s yield to maturity and, except for zero—coupon bonds, is always less than time to maturity.2. Ceteris paribus, the duration of a bond is positively correlated with the bond'sA）time to maturity。
B）coupon rate.C) yield to maturity.D) all of the above。
E）none of the above.Answer： A Difficulty： ModerateRationale: Duration is negatively correlated with coupon rate and yield tomaturity.3. Holding other factors constant, the interest—rate risk of a coupon bond is higherwhen the bond's:A）term—to—maturity is lower。
B) coupon rate is higher.C）yield to maturity is lower.D）current yield is higher。
Essentials Of Investments 8th Ed Bodie 投资学精要(第八版)课后习题答案Chap007
CHAPTER 07CAPITAL ASSET PRICING AND ARBITRAGE PRICINGTHEORY1. The required rate of return on a stock is related to the required rate of return on thestock market via beta. Assuming the beta of Google remains constant, the increase in the risk of the market will increase the required rate of return on the market, and thus increase the required rate of return on Google.2. An example of this scenario would be an investment in the SMB and HML. As of yet,there are no vehicles (index funds or ETFs) to directly invest in SMB and HML. While they may prove superior to the single index model, they are not yet practical, even for professional investors.3. The APT may exist without the CAPM, but not the other way. Thus, statement a ispossible, but not b. The reason being, that the APT accepts the principle of risk and return, which is central to CAPM, without making any assumptions regardingindividual investors and their portfolios. These assumptions are necessary to CAPM.4. E(r P ) = r f + β[E(r M ) – r f ]20% = 5% + β(15% – 5%) ⇒ β = 15/10 = 1.55. If the beta of the security doubles, then so will its risk premium. The current riskpremium for the stock is: (13% - 7%) = 6%, so the new risk premium would be 12%, and the new discount rate for the security would be: 12% + 7% = 19%If the stock pays a constant dividend in perpetuity, then we know from the original data that the dividend (D) must satisfy the equation for a perpetuity:Price = Dividend/Discount rate 40 = D/0.13 ⇒ D = 40 ⨯ 0.13 = $5.20 At the new discount rate of 19%, the stock would be worth: $5.20/0.19 = $27.37The increase in stock risk has lowered the value of the stock by 31.58%.6. The cash flows for the project comprise a 10-year annuity of $10 million per year plus anadditional payment in the tenth year of $10 million (so that the total payment in the tenth year is $20 million). The appropriate discount rate for the project is:r f + β[E(r M ) – r f ] = 9% + 1.7(19% – 9%) = 26% Using this discount rate:NPV = –20 + +∑=101t t26.1101026.110= –20 + [10 ⨯ Annuity factor (26%, 10 years)] + [10 ⨯ PV factor (26%, 10 years)] = 15.64The internal rate of return on the project is 49.55%. The highest value that beta can take before the hurdle rate exceeds the IRR is determined by:49.55% = 9% + β(19% – 9%) ⇒ β = 40.55/10 = 4.055 7. a. False. β = 0 implies E(r) = r f , not zero.b. False. Investors require a risk premium for bearing systematic (i.e., market orundiversifiable) risk.c. False. You should invest 0.75 of your portfolio in the market portfolio, and theremainder in T-bills. Then: βP = (0.75 ⨯ 1) + (0.25 ⨯ 0) = 0.758.a. The beta is the sensitivity of the stock's return to the market return. Call theaggressive stock A and the defensive stock D . Then beta is the change in the stock return per unit change in the market return. We compute each stock's beta by calculating the difference in its return across the two scenarios divided by the difference in market return.00.2205322A =--=β70.0205145.3D =--=βb. With the two scenarios equal likely, the expected rate of return is an average ofthe two possible outcomes: E(r A ) = 0.5 ⨯ (2% + 32%) = 17%E(r B ) = 0.5 ⨯ (3.5% + 14%) = 8.75%c. The SML is determined by the following: T-bill rate = 8% with a beta equal tozero, beta for the market is 1.0, and the expected rate of return for the market is:0.5 ⨯ (20% + 5%) = 12.5%See the following graph.812.5%S M LThe equation for the security market line is: E(r) = 8% + β(12.5% – 8%) d. The aggressive stock has a fair expected rate of return of:E(r A ) = 8% + 2.0(12.5% – 8%) = 17%The security analyst’s estimate of the expected rate of return is also 17%.Thus the alpha for the aggressive stock is zero. Similarly, the required return for the defensive stock is:E(r D ) = 8% + 0.7(12.5% – 8%) = 11.15%The security analyst’s estimate of the expected return for D is only 8.75%, and hence:αD = actual expected return – required return predicted by CAPM= 8.75% – 11.15% = –2.4%The points for each stock are plotted on the graph above.e. The hurdle rate is determined by the project beta (i.e., 0.7), not by the firm’sbeta. The correct discount rate is therefore 11.15%, the fair rate of return on stock D.9. Not possible. Portfolio A has a higher beta than Portfolio B, but the expected returnfor Portfolio A is lower.10. Possible. If the CAPM is valid, the expected rate of return compensates only forsystematic (market) risk as measured by beta, rather than the standard deviation, which includes nonsystematic risk. Thus, Portfolio A's lower expected rate of return can be paired with a higher standard deviation, as long as Portfolio A's beta is lower than that of Portfolio B.11. Not possible. The reward-to-variability ratio for Portfolio A is better than that of themarket, which is not possible according to the CAPM, since the CAPM predicts that the market portfolio is the most efficient portfolio. Using the numbers supplied:S A =5.0121016=- S M =33.0241018=-These figures imply that Portfolio A provides a better risk-reward tradeoff than the market portfolio.12. Not possible. Portfolio A clearly dominates the market portfolio. It has a lowerstandard deviation with a higher expected return.13. Not possible. Given these data, the SML is: E(r) = 10% + β(18% – 10%)A portfolio with beta of 1.5 should have an expected return of: E(r) = 10% + 1.5 ⨯ (18% – 10%) = 22%The expected return for Portfolio A is 16% so that Portfolio A plots below the SML (i.e., has an alpha of –6%), and hence is an overpriced portfolio. This is inconsistent with the CAPM.14. Not possible. The SML is the same as in Problem 12. Here, the required expectedreturn for Portfolio A is: 10% + (0.9 ⨯ 8%) = 17.2%This is still higher than 16%. Portfolio A is overpriced, with alpha equal to: –1.2%15. Possible. Portfolio A's ratio of risk premium to standard deviation is less attractivethan the market's. This situation is consistent with the CAPM. The market portfolio should provide the highest reward-to-variability ratio.16.a.b.As a first pass we note that large standard deviation of the beta estimates. None of the subperiod estimates deviate from the overall period estimate by more than two standard deviations. That is, the t-statistic of the deviation from the overall period is not significant for any of the subperiod beta estimates. Looking beyond the aforementioned observation, the differences can be attributed to different alpha values during the subperiods. The case of Toyota is most revealing: The alpha estimate for the first two years is positive and for the last two years negative (both large). Following a good performance in the "normal" years prior to the crisis, Toyota surprised investors with a negative performance, beyond what could be expected from the index. This suggests that a beta of around 0.5 is more reliable. The shift of the intercepts from positive to negative when the index moved to largely negative returns, explains why the line is steeper when estimated for the overall period. Draw a line in the positive quadrant for the index with a slope of 0.5 and positive intercept. Then draw a line with similar slope in the negative quadrant of the index with a negative intercept. You can see that a line that reconciles the observations for both quadrants will be steeper. The same logic explains part of the behavior of subperiod betas for Ford and GM.17. Since the stock's beta is equal to 1.0, its expected rate of return should be equal to thatof the market, that is, 18%. E(r) =01P P P D -+0.18 =100100P 91-+⇒ P 1 = $10918. If beta is zero, the cash flow should be discounted at the risk-free rate, 8%:PV = $1,000/0.08 = $12,500If, however, beta is actually equal to 1, the investment should yield 18%, and the price paid for the firm should be:PV = $1,000/0.18 = $5,555.56The difference ($6944.44) is the amount you will overpay if you erroneously assume that beta is zero rather than 1.ing the SML: 6% = 8% + β(18% – 8%) ⇒β = –2/10 = –0.220.r1 = 19%; r2 = 16%; β1 = 1.5; β2 = 1.0a.In order to determine which investor was a better selector of individual stockswe look at the abnormal return, which is the ex-post alpha; that is, the abnormalreturn is the difference between the actual return and that predicted by the SML.Without information about the parameters of this equation (i.e., the risk-free rateand the market rate of return) we cannot determine which investment adviser isthe better selector of individual stocks.b.If r f = 6% and r M = 14%, then (using alpha for the abnormal return):α1 = 19% – [6% + 1.5(14% – 6%)] = 19% – 18% = 1%α2 = 16% – [6% + 1.0(14% – 6%)] = 16% – 14% = 2%Here, the second investment adviser has the larger abnormal return and thusappears to be the better selector of individual stocks. By making betterpredictions, the second adviser appears to have tilted his portfolio toward under-priced stocks.c.If r f = 3% and r M = 15%, then:α1 =19% – [3% + 1.5(15% – 3%)] = 19% – 21% = –2%α2 = 16% – [3%+ 1.0(15% – 3%)] = 16% – 15% = 1%Here, not only does the second investment adviser appear to be a better stockselector, but the first adviser's selections appear valueless (or worse).21.a.Since the market portfolio, by definition, has a beta of 1.0, its expected rate ofreturn is 12%.b.β = 0 means the stock has no systematic risk. Hence, the portfolio's expectedrate of return is the risk-free rate, 4%.ing the SML, the fair rate of return for a stock with β= –0.5 is:E(r) = 4% + (–0.5)(12% – 4%) = 0.0%The expected rate of return, using the expected price and dividend for next year: E(r) = ($44/$40) – 1 = 0.10 = 10%Because the expected return exceeds the fair return, the stock must be under-priced.22.The data can be summarized as follows:ing the SML, the expected rate of return for any portfolio P is:E(r P) = r f + β[E(r M) – r f ]Substituting for portfolios A and B:E(r A) = 6% + 0.8 ⨯ (12% – 6%) = 10.8%E(r B) = 6% + 1.5 ⨯ (12% – 6%) = 15.0%Hence, Portfolio A is desirable and Portfolio B is not.b.The slope of the CAL supported by a portfolio P is given by:S =P fP σr)E(r-Computing this slope for each of the three alternative portfolios, we have:S (S&P 500) = 6/20S (A) = 5/10S (B) = 8/31Hence, portfolio A would be a good substitute for the S&P 500.23.Since the beta for Portfolio F is zero, the expected return for Portfolio F equals therisk-free rate.For Portfolio A, the ratio of risk premium to beta is: (10% - 4%)/1 = 6%The ratio for Portfolio E is higher: (9% - 4%)/(2/3) = 7.5%This implies that an arbitrage opportunity exists. For instance, you can create aPortfolio G with beta equal to 1.0 (the same as the beta for Portfolio A) by taking a long position in Portfolio E and a short position in Portfolio F (that is, borrowing at the risk-free rate and investing the proceeds in Portfolio E). For the beta of G to equal 1.0, theproportion (w) of funds invested in E must be: 3/2 = 1.5The expected return of G is then:E(r G) = [(-0.50) ⨯ 4%] + (1.5 ⨯ 9%) = 11.5%βG = 1.5 ⨯ (2/3) = 1.0Comparing Portfolio G to Portfolio A, G has the same beta and a higher expected return.Now, consider Portfolio H, which is a short position in Portfolio A with the proceedsinvested in Portfolio G:βH = 1βG + (-1)βA = (1 ⨯ 1) + [(-1) ⨯ 1] = 0E(r H) = (1 ⨯ r G) + [(-1) ⨯ r A] = (1 ⨯ 11.5%) + [(- 1) ⨯ 10%] = 1.5%The result is a zero investment portfolio (all proceeds from the short sale of Portfolio Aare invested in Portfolio G) with zero risk (because β = 0 and the portfolios are welldiversified), and a positive return of 1.5%. Portfolio H is an arbitrage portfolio.24.Substituting the portfolio returns and betas in the expected return-beta relationship, weobtain two equations in the unknowns, the risk-free rate (r f ) and the factor return (F):14.0% = r f + 1 ⨯ (F – r f )14.8% = r f + 1.1 ⨯ (F – r f )From the first equation we find that F = 14%. Substituting this value for F into the second equation, we get:14.8% = r f + 1.1 ⨯ (14% – r f ) ⇒ r f = 6%25.a.Shorting equal amounts of the 10 negative-alpha stocks and investing the proceedsequally in the 10 positive-alpha stocks eliminates the market exposure and creates azero-investment portfolio. Using equation 7.5, and denoting the market factor as R M,the expected dollar return is [noting that the expectation of residual risk (e) inequation 7.8 is zero]:$1,000,000 ⨯ [0.03 + (1.0 ⨯ R M)] – $1,000,000 ⨯ [(–0.03) + (1.0 ⨯ R M)]= $1,000,000 ⨯ 0.06 = $60,000The sensitivity of the payoff of this portfolio to the market factor is zero because theexposures of the positive alpha and negative alpha stocks cancel out. (Notice thatthe terms involving R M sum to zero.) Thus, the systematic component of total riskalso is zero. The variance of the analyst's profit is not zero, however, since thisportfolio is not well diversified.For n = 20 stocks (i.e., long 10 stocks and short 10 stocks) the investor will have a$100,000 position (either long or short) in each stock. Net market exposure is zero,but firm-specific risk has not been fully diversified. The variance of dollar returnsfrom the positions in the 20 firms is:20 ⨯ [(100,000 ⨯ 0.30)2] = 18,000,000,000The standard deviation of dollar returns is $134,164.b.If n = 50 stocks (i.e., 25 long and 25 short), $40,000 is placed in each position,and the variance of dollar returns is:50 ⨯ [(40,000 ⨯ 0.30)2] = 7,200,000,000The standard deviation of dollar returns is $84,853.Similarly, if n = 100 stocks (i.e., 50 long and 50 short), $20,000 is placed ineach position, and the variance of dollar returns is:100 ⨯ [(20,000 ⨯ 0.30)2] = 3,600,000,000The standard deviation of dollar returns is $60,000.Notice that when the number of stocks increases by a factor of 5 (from 20 to 100),standard deviation falls by a factor of 5= 2.236, from $134,164 to $60,000. 26.Any pattern of returns can be "explained" if we are free to choose an indefinitely largenumber of explanatory factors. If a theory of asset pricing is to have value, it mustexplain returns using a reasonably limited number of explanatory variables (i.e.,systematic factors).27.The APT factors must correlate with major sources of uncertainty, i.e., sources ofuncertainty that are of concern to many investors. Researchers should investigatefactors that correlate with uncertainty in consumption and investment opportunities.GDP, the inflation rate and interest rates are among the factors that can be expected to determine risk premiums. In particular, industrial production (IP) is a good indicator of changes in the business cycle. Thus, IP is a candidate for a factor that is highlycorrelated with uncertainties related to investment and consumption opportunities in the economy.28.The revised estimate of the expected rate of return of the stock would be the oldestimate plus the sum of the unexpected changes in the factors times the sensitivitycoefficients, as follows:Revised estimate = 14% + [(1 ⨯ 1) + (0.4 ⨯ 1)] = 15.4%29.Equation 7.11 applies here:E(r P) = r f + βP1[E(r1) - r f] + βP2[E(r2) – r f]We need to find the risk premium for these two factors:γ1 = [E(r1) - r f] andγ2 = [E(r2) - r f]To find these values, we solve the following two equations with two unknowns: 40% = 7% + 1.8γ1 + 2.1γ210% = 7% + 2.0γ1 + (-0.5)γ2The solutions are: γ1 = 4.47% and γ2 = 11.86%Thus, the expected return-beta relationship is:E(r P) = 7% + 4.47βP1 + 11.86βP230.The first two factors (the return on a broad-based index and the level of interest rates)are most promising with respect to the likely impa ct on Jennifer’s firm’s cost of capital.These are both macro factors (as opposed to firm-specific factors) that can not bediversified away; consequently, we would expect that there is a risk premiumassociated with these factors. On the other hand, the risk of changes in the price ofhogs, while important to some firms and industries, is likely to be diversifiable, andtherefore is not a promising factor in terms of its impact on the firm’s cost of capital.31.Since the risk free rate is not given, we assume a risk free rate of 0%. The APT required(i.e., equilibrium) rate of return on the stock based on Rf and the factor betas is:Required E(r) = 0 + (1 x 6) + (0.5 x 2) + (0.75 x 4) = 10%According to the equation for the return on the stock, the actually expected return onthe stock is 6 % (because the expected surprises on all factors are zero by definition).Because the actually expected return based on risk is less than the equilibrium return,we conclude that the stock is overpriced.CFA 1a, c and dCFA 2a.E(r X) = 5% + 0.8(14% – 5%) = 12.2%αX = 14% – 12.2% = 1.8%E(r Y) = 5% + 1.5(14% – 5%) = 18.5%αY = 17% – 18.5% = –1.5%b.(i)For an investor who wants to add this stock to a well-diversified equityportfolio, Kay should recommend Stock X because of its positivealpha, while Stock Y has a negative alpha. In graphical terms, StockX’s expected return/risk profile plots above the SML, while Stock Y’sprofile plots below the SML. Also, depending on the individual riskpreferences of Kay’s clients, Stock X’s lower beta may have abeneficial impact on overall portfolio risk.(ii)For an investor who wants to hold this stock as a single-stock portfolio,Kay should recommend Stock Y, because it has higher forecastedreturn and lower standard deviation than S tock X. Stock Y’s Sharperatio is:(0.17 – 0.05)/0.25 = 0.48Stock X’s Sharpe ratio is only:(0.14 – 0.05)/0.36 = 0.25The market index has an even more attractive Sharpe ratio:(0.14 – 0.05)/0.15 = 0.60However, given the choice between Stock X and Y, Y is superior.When a stock is held in isolation, standard deviation is the relevantrisk measure. For assets held in isolation, beta as a measure of risk isirrelevant. Although holding a single asset in isolation is not typicallya recommended investment strategy, some investors may hold what isessentially a single-asset portfolio (e.g., the stock of their employercompany). For such investors, the relevance of standard deviationversus beta is an important issue.CFA 3a.McKay should borrow funds and i nvest those funds proportionally in Murray’sexisting portfolio (i.e., buy more risky assets on margin). In addition toincreased expected return, the alternative portfolio on the capital market line(CML) will also have increased variability (risk), which is caused by the higherproportion of risky assets in the total portfolio.b.McKay should substitute low beta stocks for high beta stocks in order to reducethe overall beta of York’s portfolio. By reducing the overall portfolio beta,McKay will reduce the systematic risk of the portfolio and therefore theportfolio’s volatility relative to the market. The security market line (SML)suggests such action (moving down the SML), even though reducing beta mayresult in a slight loss of portfolio efficiency unless full diversification ismaintained. York’s primary objective, however, is not to maintain efficiencybut to reduce risk exposure; reducing portfolio beta meets that objective.Because York does not permit borrowing or lending, McKay cannot reduce riskby selling equities and using the proceeds to buy risk free assets (i.e., by lendingpart of the portfolio).CFA 4c.“Both the CAPM and APT require a mean-variance efficient market portfolio.”This statement is incorrect. The CAPM requires the mean-variance efficientportfolio, but APT does not.d.“The CAPM assumes that one specific factor explains security returns but APTdoes not.” This statement is c orrect.CFA 5aCFA 6dCFA 7d You need to know the risk-free rate.CFA 8d You need to know the risk-free rate.CFA 9Under the CAPM, the only risk that investors are compensated for bearing is the riskthat cannot be diversified away (i.e., systematic risk). Because systematic risk(measured by beta) is equal to 1.0 for each of the two portfolios, an investor wouldexpect the same rate of return from each portfolio. Moreover, since both portfolios are well diversified, it does not matter whether the specific risk of the individual securities is high or low. The firm-specific risk has been diversified away from both portfolios. CFA 10b r f = 8% and E(r M) = 16%E(r X) = r f + βX[E(r M) – r f] = 8% + 1.0(16% - 8%) = 16%E(r Y) = r f + βY[E(r M) – r f] = 8% + 0.25(16% - 8%) = 10%Therefore, there is an arbitrage opportunity.CFA 11cCFA 12dCFA 13cInvestors will take on as large a position as possible only if the mis-pricingopportunity is an arbitrage. Otherwise, considerations of risk anddiversification will limit the position they attempt to take in the mis-pricedsecurity.CFA 14d。
投资学精要（博迪）（第五版）习题答案英文版chapter7
投资学精要（博迪）（第五版）习题答案英文版chapter7Essentials of Investments (BKM 5th Ed.)Answers to Selected Problems – Lecture 4Note: The solutions to Example 6.4 and the concept checks are provided in the text.Chapter 6:23. In the regression of the excess return of Stock ABC on the market, the square of thecorrelation coefficient is 0.296, which indicates that 29.6% of the variance of the excesss return of ABC is explained by the market (systematic risk).Chapter 7:3. E(R p) = R f + βp[E(R M) - R f]0.20 = 0.05 + β(0.15 - 0.05)β = 0.15/0.10 = 1.5β=0 implies E(R)=R f, not zero.6. a) False:b) False: Investors of a diversified portfolio require a risk premium for systematic risk. Only thesystematic portion of total risk is compensated.c) False: 75% of the portfolio should be in the market and 25% in T-bills.βp=(0.75 * 1) + (0.25 * 0) = 0.758. Not possible. Portfolio A has a higher beta than B, but a lower expected return.9. Possible. If the CAPM is valid, the expected rate of return compensates only for market risk (beta),rather than for nonsystematic risk. Part of A’s risk may be nonsystematic.10. Not possible. If the CAPM is valid, the market portfolio is the most efficient and a higher reward-to-variability ratio than any other security. In other words, the CML must be better than the CAL for any other security. Here, the slope of the CAL for A is 0.5 while the slope of the CML is 0.33.11. Not possible. Portfolio A clearly dominates the market portfolio with a lower standard deviationand a higher expected return. The CML must be better than the CAL for security A.12. Not possible. Security A has an expected return of 22% based on CAPM and an actual return of16%. Security A is below the SML and is therefore overpriced. It is also clear that security A has a higher beta than the market, but a lower return which is not consistent with CAPM.13. Not possible. Security A has an expected return of 17.2% and an actual return of 16%. Security A isbelow the SML and is therefore overpriced.14. Possible. Portfolio A has a lower expected return and lower standard deviation than the market andthus plots below the CML.17. Using the SML: 6 = 8 + β(18 – 8)β = –2/10 = –.221. The expected return of portfolio F equals the risk-free rate since its beta equals 0. Portfolio A’sratio of risk premium to beta is: (10-4)/1 = 6.0%. You can think of this as the slope of the pricing line for Security A. Portfolio E’s ratio of risk premium to beta is: (9-4)/(2/3) = 7.5%, suggesting that Portfolio E is not on the same pricing line as security A. In other words, there is an arbitrage opportunity here.For example, if you created a new portfolio by investing 1/3in the risk-free security and 2/3 insecurity A, you would have a portfolio with a beta of 2/3 and an expected return equal to (1/3)*4% + (2/3)*10% = 8%. Since this new portfolio has the same beta as security E (2/3) but a lowerexpected return (8% vs. 9%) there is clearly an arbitrage opportunity.26. The APT factors must correlate with major sources of uncertainty in the economy. These factorswould correlate with unexpected changes in consumption and investment opportunities. DNP, the rate of inflation, and interest rates are candidates for factors that can be expected to determine risk premia. Industrial production varies with the business cycle, and thus is a candidate for a factor that is correlated with uncertainties related to investment opportunities in the economy.27. A revised estimate of the rate of return on this stock would be the old estimate plus the sum of the expected changes in the factors multiplied by the sensitivity coefficients to each factor:revised R i = 14% + 1.0(1%) + 0.4(1%) = 15.4%28. E(R P) = r f + βP1[E(R1) - R f] + βP2[E(R2) - R f]Use each security’s sensitivity to the factors to solve for the risk premia on the factors:Portfolio A: 40% = 7% + 1.8γ1 + 2.1γ2Portfolio B: 10% = 7% + 2.0γ1 + (-0.5)γ2Solving these two equations simultaneously gives γ1 = 4.47 and γ2 = 11.88.This gives the following expected return beta relationship for the economy:E(R P) = 0.07 + 4.47βP1 + 11.88βP230. d. From the CAPM, the fair expected return = 8% + 1.25 (15% - 8%) = 16.75%Actually expected return = 17%α = 17% - 16.75% = 0.25%31. d. The risk-free rate34. d. You need to know the risk-free rate. For example, if we assume a risk-free rate of 4%, then the alphaof security R is 2.0% and it lies above the SML. If we assume a risk-free rate of 8%, then the alpha ofsecurity R is zero and it lies on the SML.40. d.。
投资学精要(博迪)(第五版)习题答案英文版chapter3
Essentials of Investments (BKM 5th Ed.)Answers to Selected Problems – Lecture 2Chapter 3:1. a) In addition to the explicit fees of $70,000, FBN appears to have paid an implicit pricein underpricing of the IPO. The underpricing is $3/share or $300,000 total, implyingtotal costs of $370,000.b) No. The underwriters do not capture the part of the costs corresponding to theunderpricing. The underpricing may be a rational marketing strategy. Without it, theunderwriters would need to spend more resources to place the issue with the public.They would then need to charge higher explicit fees to the issuing firm. The issuingfirm may be just as well off paying the implicit issuance cost represented by theunderpricing.2. Potential losses are unlimited due to the fact that, theoretically, there is no limit on the priceincrease of a stock.The stop-buy order limits the losses from the short position. If the stop-buy order can be filled at $128, the maximum possible loss is $8 per share. One should keep in mind, however, that while the stop-buy order is triggered when the stock price hits $128, the order may not be filled at exactly $128.6. a) The market buy order is filled at $50.25 (the best limit-sell order) due to pricepriority.b) The next market buy order would be filled at $51.50 since this is the next best price.c) You should increase your position. There is considerable buying pressure just below $50,meaning that downside risk is limited. In contrast, limit sell orders are sparse,meaning that a moderate buy order could result in a substantial price increase.7. a) Buy 200 shares of Telecom at $50/share = $10,000.Sell 200 shares of Telecom at $50*(1.1) = $11,000.Pay interest of $5,000 * .08 = $400.Your Holding Period Return (HPR) = ($11,000 - 10,000 - 400)/$5,000 = 12%b) Ignoring the interest payment,Margin = (Value of Securities - Loan)/Value of Securities0.30 = (200*P - $5,000)/200*P or P = $35.719. Cost of purchase is $40 x 500 = $20,000. You borrow $5000 from your broker, and invest $15,000of your own funds. Your margin account starts out with a net worth of $15,000.a. (i) Net worth rises by $2,000 from $15,000 to $44 × 500 – $5,000 = $17,000.Percentage gain = $2,000/$15,000 = .133 = 13.3%(ii) With unchanged price, net worth remains unchanged.Percentage gain = zero(iii) Net worth falls to $36 × 500 – $5,000 = $13,000.Percentage gain = –$2,000/$15,000 = –.133 = –13.3%The relationship between the percentage change in the price of the stock and the investor’s percentage gain is given by:% gain = % change in price × Total investment investor's initial equity = % change in price × 1.33For example, when the stock price rises from 40 to 44, the percentage change in price is 10%, while the percentage gain for the investor is 1.33 times as large, 13.3%:% gain = 10% × $20,000$15,000 = 13.3%b. The value of the 500 shares is 500P. Equity is 500P – 5000. You will receive a margin call when500P-5000500P = .25 or when P = $13.33.c. The value of the 500 shares is 500P. But now you have borrowed $10,000 instead of $5,000. Therefore, equity is only 500P – $10,000. You will receive a margin call when500P-10,000500P = .25 or when P = $26.67.With less equity in the account, you are far more vulnerable to a margin call.d. The margin loan with accumulated interest after one year is $5,000 x 1.08 = $5,400. Therefore, equity in your account is 500P – $5,400. Initial equity was $15,000. Therefore, your rate of return after one year is as follows:(i) (500 × $44 – $5400) – $15,00015,000= .1067, or 10.67%.(ii) (500 × $40 – $5400) – $15,00015,000= –.0267, or –2.67%.(iii) (500 × $36 – $5400) – $15,00015,000= –.160, or –16.0%.The relationship between the percentage change in the price of Intel and investor’s percentage return is given by:% gain = % change in price x Total investment investor's initial equity – 8% x Funds borrowed Initial net worthFor example, when the stock price rises from 40 to 44, the percentage change in price is 10%, while the percentage gain for the investor is10% × 20,00015,000 – 8% × 500015,000 = 10.67%e. The value of the 500 shares is 500P. Equity is 500P – 5,400. You will receive a margin call when500P – 5400500P= .25 or when P = $14.4010. a)The gain or loss on the short position is –500 x ∆P. Invested funds are $15,000.Therefore the rate of return = (-500 x ∆P)/15,000. The returns in each of the threescenarios are:(i) (-500 x 4)/15000 = -13.3%(ii) (-500 x 0)/15000 = 0%(iii) (-500 x (–4))/15000 = 13.3%b)Total assets in the margin account are $20,000 (from the sale of stock) plus $15,000(the initial margin) = $35,000. Liabilities are 500P (the price of buying back theshares). A margin call will be issued when:(20,000 + 15,000 – 500P)/500P = 0.25 or P=$56c)With a $1 dividend, the short position must also pay $1 per share or $500 ($1 x 500)on the borrowed shares. The rate of return will be (-500 x ∆P – 500)/15,000.(i) [(-500 x 4) – 500]/15000 = -16.7%(ii) [(-500 x 0) – 500]/15000 = -3.33%(iii) [(-500 x (–4)) – 500]/15000 = 10.0%Liabilities are now (500P + 500). A margin call will be issued when:(20,000 + 15,000 – 500P - 500)/500P = 0.25 or P=$55.2013. a)55 ½ b)55 ¼ c)The trade will not be executed since the price on the limit sell order is higher than the quotedbid price (and the quoted ask price). d) In a purely dealer market, the trade will not be executed since the price on the limit buy orderis lower than the quoted ask price and all buy orders must be executed against the dealer’s ask quote.However, even on the Nasdaq market, customer limit orders now get priority over dealerquotes when they offer a better price than the quotes. In addition, the order could besubmitted to an ECN where it would set the inside quote. As a result, the Nasdaq dealermarket is looking more and more like an exchange market (see 14(b) below). Since this limitbuy order is offering to pay a higher price than the dealer (whose bid quote is 55¼), the limitorder would be executed against the next incoming market sell order.14. a) There can be price improvement for the two market orders. Brokers for each of themarket orders (i.e., the buy and the sell orders) can agree to do a trade inside thequoted spread. For example, they can trade at $55 3/8, thus improving the price forboth customers by $1/8 relative to the quoted bid and ask prices. The buyer gets thestock for $1/8 less than the quoted ask price and the seller receives $1/8 more for thestock than the quoted bid price.b) Whereas the limit buy order at $55 3/8 would not be executed in a purely dealer market(since the ask price is $55 ½), it could be executed in an exchange market. A brokerfor another customer with an order to sell at the market price would view the limitbuy order as the best bid price. The two brokers could agree to the trade and bring itto the specialist who would then execute the trade.19. d) Your order will be triggered at a price of $55. However, when the stock price dropsbelow your stop-loss price of $55, your stop-loss order immediately becomes amarket order and is executed at the prevailing market price. Thus, you could get $55per share, but you could also get a little bit more or a little bit less.。
Essentials_Of_Investments_8th_Ed_Bodie_投资学精要(第八版)课后习题答案 Chapter 18
The alphas for the two portfolios are: A = 11% – [6% + 0.8(12% – 6%)] = 0.2% B = 14% – [6% + 1.5(12% – 6%)] = –1.0% Ideally, you would want to take a long position in Portfolio A and a short position in Portfolio B.
11 6 0.5 10
14 6 0.26 31
Therefore, using the Sharpe criterion, Portfolio A is preferred. 6. We first distinguish between timing ability and selection ability. The intercept of the scatter diagram is a measure of stock selection ability. If the manager tends to have a positive excess return even when the market’s performance is merely “neutral” (i.e., the market has zero excess return) then we conclude that the manager has, on average, made good stock picks. In other words, stock selection must be the source of the positive excess returns. Timing ability is indicated by the curvature of the plotted line. Lines that become steeper as you move to the right of the graph show good timing ability. The steeper slope shows that the manager maintained higher portfolio sensitivity to market swings (i.e., a higher beta) in periods when the market performed well. This ability to choose more market-sensitive securities in anticipation of market upturns is the essence of good timing. In contrast, a declining slope as you move to the right indicates that the portfolio was more sensitive to the market when the market performed poorly, and less sensitive to the market when the market performed well. This indicates poor timing. We can therefore classify performance ability for the four managers as follows: A B C D 7. a. Actual: (0.70 2.0%) + (0.20 1.0%) + (0.10 0.5%) = 1.65% Bogey: (0.60 2.5%) + (0.30 1.2%) + (0.10 0.5%) = 1.91% Underperformance = 1.91% – 1.65% = 0.26% Selection Ability Bad Good Good Bad Timing Ability Good Good Bad Bad
Essentials Of Investments 8th Ed Bodie 投资学精要(第八版)课后习题答案chap04
CHAPTER 04 MUTUAL FUNDS AND OTHER INVESTMENT COMPANIES 1.Mutual funds offer many benefits. Some of those benefits include the ability to investwith small amounts of money, diversification, professional management, lowtransaction costs, tax benefits, and reduce administrative functions.2.Close-end funds trade on the open market and are thus subject to market pricing. Open-end funds, are sold by the mutual fund and must reflect the NAV of the investments.3.Annual fees charged by a mutual fund to pay for marketing and distribution costs.4. A unit investment trust is an unmanaged mutual fund. Its portfolio is fixed and does notchange due to asset trades, as does a close-end fund. .5.Exchange-traded funds can be traded during the day, just as the stocks they represent.They are most tax effective, in that they do not have as many distributions. They also have much lower transaction costs. They also do not require load charges, management fees, and minimum investment amounts.6.Hedge funds have much less regulation since they are part of private partnerships andfree from mist SEC regulation. They permit investors to take on many risks unavailable to mutual funds. Hedge funds, however, may require higher fees and provide lesstransparency to investors. This offers significant counter party risk and hedge fundinvestors need to be more careful about the firm the invest with.7.An open-end fund will have higher fees since they are actively marketing and managingtheir investor base. The fund is always looking for new investors. A unit investment trust need not spend too much time on such matters since investors find each other.8.Asset allocation funds may dramatically vary the proportions allocated to each marketin accord with the portfolio manager’s forecast of the r elative performance of eachsector. Hence, these funds are engaged in market timing and are not designed to be low-risk investment vehicles.9.a. A unit investment trusts offer low costs and stable portfolios. Since they do notchange their portfolio, the investor knows exactly what they own. They are better suited to sophisticated investors.b. Open-end mutual funds offer higher levels of service to investors. The investors donot have any administrative burdens and their money is actively managed. This is better suited for less knowledgeable investors.c. Individual securities offer the most sophisticated investors ultimate flexibility. Theyare able to save money since they are only charged the expenses they incur. Alldecisions are under the control of the investor.10. Open-end funds must honor redemptions and receive deposits from investors. This flowof money necessitates retaining cash. Close-end funds no longer take and receivemoney from investors. As such, they are free to be fully invested at all times.11. The offering price includes a 6% front-end load, or sales commission, meaning thatevery dollar paid results in only $0.94 going toward purchase of shares. Therefore: Offering price =06.0170.10$load 1NAV -=-= = $11.3812. NAV = offering price ⨯ (1 – load) = $12.30 ⨯ 0.95 = $11.6913. HW14. Value of stocks sold and replaced = $15,000,000Turnover rate = 000,000,42$000,000,15$= 0.357 = 35.7%15.a. NAV =million5million 3$million 200$-= $39.40b. Premium (or discount) = NAV NAV ice Pr - = 40.39$40.39$36$-= –0.086 = -8.6% The fund sells at an 8.6% discount from NAV16. Rate of return = NAV year of Start ons Distributi )NAV (+∆ = 50.12$50.1$40.0$+-= 0.0880 = 8.80%17.HW18.Assume a hypothetical investment of $100.Loaded upa. Year 1 = 100 x (1+.06-.0175) = 104.25b. Year 3 = 100 x (1+.06-.0175)^3 = 116.30c. Year 10 = 100 x (1+.06-.0175)^10 = 151.62Economy funda. Year 1 = 100 x .98 x (1+.06-.0025) = 103.64b. Year 3 = 100 x .98 x (1+.06-.0025) ^ 3 = 115.90c. Year 10 = 100 x .98 x (1+.06-.0025) ^ 10 = 171.4119.NAVa. (450,000,000 – 10,000,000) / 44,000,000 = $10 per shareb. (440,000,000 – 10,000,000) / 43,000,000 = $10 per share20.a.Empirical research indicates that past performance of mutual funds is not highlypredictive of future performance, especially for better-performing funds. Whilethere may be some tendency for the fund to be an above average performer nextyear, it is unlikely to once again be a top 10% performer.b.On the other hand, the evidence is more suggestive of a tendency for poorperformance to persist. This tendency is probably related to fund costs andturnover rates. Thus if the fund is among the poorest performers, investorswould be concerned that the poor performance will persist.21. Start of year NAV = $20Dividends per share = $0.20End of year NAV is based on the 8% price gain, less the 1% 12b-1 fee:End of year NAV = $20 ⨯ 1.08 ⨯ (1 – 0.01) = $21.384 Rate of return =20$20.0$20$384.21$+-= 0.0792 = 7.92%22. The excess of purchases over sales must be due to new inflows into the fund. Therefore,$400 million of stock previously held by the fund was replaced by new holdings. So turnover is: $400/$2,200 = 0.182 = 18.2%23. Fees paid to investment managers were: 0.007 ⨯ $2.2 billion = $15.4 millionSince the total expense ratio was 1.1% and the management fee was 0.7%, we conclude that 0.4% must be for other expenses. Therefore, other administrative expenses were: 0.004 ⨯ $2.2 billion = $8.8 million24. As an initial approximation, your return equals the return on the shares minus the totalof the expense ratio and purchase costs: 12% - 1.2% - 4% = 6.8%But the precise return is less than this because the 4% load is paid up front, not at the end of the year.To purchase the shares, you would have had to invest: $20,000/(1 - 0.04) = $20,833The shares increase in value from $20,000 to: $20,000 ⨯ (1.12 - 0.012) = $22,160 The rate of return is: ($22,160 - $20,833)/$20,833 = 6.37%25. Suppose you have $1000 to invest. The initial investment in Class A shares is $940 netof the front-end load. After 4 years, your portfolio will be worth:$940 ⨯ (1.10)4 = $1,376.25Class B shares allow you to invest the full $1,000, but your investmentperformance net of 12b-1 fees will be only 9.5%, and you will pay a 1% back-endload fee if you sell after 4 years. Your portfolio value after 4 years will be:$1,000 ⨯ (1.095)4 = $1,437.66After paying the back-end load fee, your portfolio value will be:$1,437.66 ⨯ 0.99 = $1,423.28Class B shares are the better choice if your horizon is 4 years. With a 15-year horizon, the Class A shares will be worth:$940 ⨯ (1.10)15 = $3,926.61For the Class B shares, there is no back-end load in this case since the horizon is greater than 5 years. Therefore, the value of the Class B shares will be:$1,000 ⨯ (1.095)15 = $3,901.32At this longer horizon, Class B shares are no longer the better choice. The effect of Class B's 0.5% 12b-1 fees cumulates over time and finally overwhelms the 6% load charged to Class A investors.26. For the bond fund, the fraction of portfolio income given up to fees is:%0.4%6.0= 0.150 = 15.0%For the equity fund, the fraction of investment earnings given up to fees is:%0.12%6.0= 0.050 = 5.0%Fees are a much higher fraction of expected earnings for the bond fund, and therefore may be a more important factor in selecting the bond fund. This may help to explain why unmanaged unit investment trusts are concentrated inthe fixed income market. The advantages of unit investment trusts are low turnover and low trading costs and management fees. This is a more important concern to bond-market investors.27.a. After two years, each dollar invested in a fund with a 4% load and a portfolioreturn equal to r will grow to:$0.96 ⨯ (1 + r – 0.005)2Each dollar invested in the bank CD will grow to:$1 ⨯ (1.06)2If the mutual fund is to be the better investment, then the portfolio return, r,must satisfy:0.96 ⨯ (1 + r – 0.005)2 > (1.06)20.96 ⨯ (1 + r – 0.005)2 > 1.1236(1 + r – 0.005)2 > 1.1704 1 + r – 0.005 > 1.08191 + r > 1.0869Therefore, r > 0.0869 = 8.69%b.If you invest for six years, then the portfolio return must satisfy:0.96 ⨯ (1 + r – 0.005)6 > (1.06)6 = 1.4185(1 + r – 0.005)6 > 1.47761 + r – 0.005 > 1.06721 + r > 1.0722r > 7.22%The cutoff rate of return is lower for the six year investment because the "fixedcost" (i.e., the one-time front-end load) is spread out over a greater number ofyears.c.With a 12b-1 fee instead of a front-end load, the portfolio must earn a rate ofreturn (r) that satisfies:1 + r – 0.005 – 0.0075 > 1.06In this case, r must exceed 7.25% regardless of the investment horizon.28.The turnover rate is 50%. This means that, on average, 50% of the portfolio is sold andreplaced with other securities each year. Trading costs on the sell orders are 0.4%; and the buy orders to replace those securities entail another 0.4% in trading costs. Total trading costs will reduce portfolio returns by: 2 ⨯ 0.4% ⨯ 0.50 = 0.4%29.Suppose that finishing in the top half of all portfolio managers is purely luck, and thatthe probability of doing so in any year is exactly ½. Then the probability that anyparticular manager would finish in the top half of the sample five years in a row is (½)5 = 1/32. We would then expect to find that [350 ⨯ (1/32)] = 11 managers finish in the top half for each of the five consecutive years. This is precisely what we found. Thus, we should not conclude that the consistent performance after five years is proof of skill.We would expect to find eleven managers exhibiting precisely this level of"consistency" even if performance is due solely to luck.。
投资学精要1
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investment companies :Firms managing funds for investors. investment bankers: Firms bankers: specializing in the sale of new securities to the public, typically by underwriting承 underwriting承 销the issue.
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沪深300 沪深300
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Players in the Financial Markets
Business Firms – net borrowers Households – net savers Governments – can be both borrowers and savers Financial intermediaries: connect intermediaries: borrowers and lenders
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Key Trends Financial Engineering financial engineering :The process of creating and designing securities with custom-tailored custom量身定做 characteristics. bundling: bundling: Creation of new securities either by combining primitive and derivative securities into one composite hybrid混合 hybrid混合 unbundling : separating returns on an asset into classes.
投资学精要(博迪)(第五版)习题答案英文版chapter2,4,5
Net asset value =
4,000,000
= 10.49
8. a. Start of year price = $12.00 × 1.02 = $12.24
End of year price = $12.10 × 0.93 = $11.25
Although NAV increased, the price of the fund fell by $0.99.
Distributions + ∆(Price) $1.50 – $0.99 Rate of return = Start of year price = $12.24 = .042 = 4.2%
b. An investor holding the same portfolio as the manager would have earned a rate of return based on the increase in the NAV of the portfolio:
$1000 × (1.095)4 = $1,437.66,
which after paying the exit fee will leave you with: $1,437.66 × .99 = 1423.28.
Class B is better if your horizon is 4 years.
Chapter 4:
2. The offer price includes a 6% front-end load, or sales commission, meaning that every dollar paid results in only $.94 going toward purchase of shares. Therefore,
精要-考试小抄投资分析计算题(本)小抄用打印版.doc
投资分析计算题:1．某地区甲商品的销售与该地区人口数有关，1988到2000年的相关数据如下表，若该地区2001年人口数可达到56.9万人，问届时甲商品的销售量将达到多少（概率95%）？此题是时间序列，可以运用简单线性回归建立回归方程，对未来进行预测，并估计置信区间。
第一步利用最小二乘法原理估计一元线性回归方程的回归参数，得=－28.897，=0.7795建立的回归模型第二步运用上述建立的回归方程，代入2001年人口数X 56.9万人，求解2001年的点预测值15.46万件。
第三步利用的区间预测，设置显著性水平，运用公式计算置信区间，得到区间预测值12.3万件~18.6万件。
2．某厂商拟投资某项目生产A产品，根据市场调查和预测知，该厂商面临的需求曲线，总成本函数为，试确定该项目的保本规模、盈利规模和最佳规模。
解题思路利用销售收入与产品成本的关系，构建利润函数，运用求极值的方法计算项目的保本规模等值。
第一步利用销售收入函数和生产总成本函数，构造利润函数销售收入函数：，即解得。
所以，该项目生产A产品的保本规模为300台和700台。
盈利规模为300台～700台。
第三步求最佳生产规模令解得又由于＜0所以，该项目生产A 产品的最佳规模为500台。
1．某企业拟向银行借款2000万元，5年后一次还清。
甲银行贷款年利率9%，按年计息；乙银行贷款年利率8%，按月计息。
问：企业向哪家银行贷款较为经济？解题思路本题的关键是比较甲、乙两家银行的贷款利率谁高谁低。
由于甲银行的贷款实际利率为9%，而乙银行的贷款实际利率为：所以甲银行的贷款利率高于乙银行，该企业向乙银行贷款更经济。
2.如果某人想从明年开始的10年中，每年年末从银行提取1000元，若按8%年利率计复利，此人现在必须存入银行多少钱？解题思路本题是一个已知年金A求现值P的资金等值换算问题。
已知A=1000，t=10年，i=8%，此人现在必须存入银行的钱数为()()6710710.6100010%,8,/1000,,/====XAPXt iAPAP(元)2．某人每年年初存入银行1000元钱，连续8年，若银行按8%年利率计复利，此人第8年年末可从银行提取多少钱？解题思路本题是一个已知年金A求终值F的资金等值换算问题，但不能直接用年金终值公式计算，因年金A发生在各年年初，而终值F发生在年末。
投资练习题(含答案)
1、The efficient frontier of risky assets isA)the portion of the investment opportunity set that lies above the global minimum variance portfolio.B)the portion of the investment opportunity set that represents the highest standard deviations.C)the portion of the investment opportunity set which includes the portfolios with the lowest standard deviation.D)the set of portfolios that have zero standard deviation.E)both A and B are true.2、The Capital Allocation Line provided by a risk-free security and N risky securities is ______A) the line that connects the risk-free rate and the global minimum-variance portfolio of the risky securities.B) the line that connects the risk-free rate and the portfolio of the risky securities that has the highest expected return on the efficient frontier.C) the line tangent to the efficient frontier of risky securities drawn from the risk-free rate.D) the horizontal line drawn from the risk-free rate.E) none of the above.3、Consider an investment opportunity set formed with two securities that are perfectly negatively correlated. The global minimum variance portfolio has a standard deviation that is always_____A) greater than zero.B) equal to zero.C) equal to the sum of the securities' standard deviations.D) equal to -1.E) none of the above.4、Which of the following statements is (are) true regarding the variance of a portfolio of two risky securities?A) The higher the coefficient of correlation between securities, the greater the reduction in the portfolio variance.B) There is a linear relationship between the securities' coefficient of correlation and the portfolio variance.C) The degree to which the portfolio variance is reduced depends on the degree of correlation between securities.D) A and B.E) A and C.5、Efficient portfolios of N risky securities are portfolios thatA) are formed with the securities that have the highest rates of return regardless of their standard deviations.B) have the highest rates of return for a given level of risk.C) are selected from those securities with the lowest standard deviations regardless of their returns.D) have the highest risk and rates of return and the highest standard deviations.E) have the lowest standard deviations and the lowest rates of return.6、As diversification increases, the total variance of a portfolio approaches ____________.A) 0 B) 1 C) the variance of the market portfolioD) infinity E) none of the above7、The index model was first suggested by ____________.A) Graham B) Markowitz C) Miller D) SharpeE) none of the above8、.A single-index model uses __________ as a proxy for the systematic risk factor.A) a market index, such as the S&P 500B) the current account deficitC) the growth rate in GNPD) the unemployment rateE) none of the above9、According to the index model, covariances among security pairs areA) due to the influence of a single common factor represented by the market index returnB) extremely difficult to calculateC) related to industry-specific eventsD) usually positiveE) A and D10、In a factor model, the return on a stock in a particular period will be related to _________.A) firm-specific events B) macroeconomic events C) the error termD) both A and B E) neither A nor B11、Which of the following statement(s) is (are) true regarding the selection of a portfolio from those that lie on the Capital Allocation Line?A) Less risk-averse investors will invest more in the risk-free security and less in the optimal risky portfolio than more risk-averse investors.B) More risk-averse investors will invest less in the optimal risky portfolio and more in the risk-free security than less risk-averse investors.C) Investors choose the portfolio that maximizes their expected utility.D) A and C.E) B and C.12、An investor who wishes to form a portfolio that lies to the right of the optimal risky portfolio on the Capital Allocation Line must:A) lend some of her money at the risk-free rate and invest the remainder in the optimal risky portfolio.B) borrow some money at the risk-free rate and invest in the optimal risky portfolio.C) invest only in risky securities.D) such a portfolio cannot be formed.E) B and C13、Portfolio theory as described by Markowitz is most concerned with:A) the elimination of systematic risk.B) the effect of diversification on portfolio risk.C) the identification of unsystematic risk.D) active portfolio management to enhance returns.E) none of the above.14、The measure of risk in a Markowitz efficient frontier is:A) specific risk.B) standard deviation of returns.C) reinvestment risk.D) beta.E) none of the above.15、A statistic that measures how the returns of two risky assets move together is:A) variance. B) standard deviation. C) covariance. D) correlation.E) C and D.16、Rosenberg and Guy found that __________ helped to predict a firm's beta.A) the firm's financial characteristicsB) the firm's industry groupC) firm sizeD) both A and BE) A, B and C all helped to predict betas.17、If a firm's beta was calculated as 0.6 in a regression equation, Merrill Lynch would state the adjusted beta at a numberA) less than 0.6 but greater than zero.B) between 0.6 and 1.0.C) between 1.0 and 1.6.D) greater than 1.6.E) zero or less.18、The beta of Exxon stock has been estimated as 1.2 by Merrill Lynch using regression analysis on a sample of historical returns. The Merrill Lynch adjusted beta of Exxon stock would be ___________.A) 1.20 B) 1.32 C) 1.13 D) 1.0 E) none of the above19、Consider the single-index model. The alpha of a stock is 0%. The return on the market index is 16%. The risk-free rate of return is 5%. The stock earns a return that exceeds the risk-free rate by 11% and there are no firm-specific events affecting the stock performance. Theβ of the stock is _______.A) 0.67 B) 0.75 C) 1.0 D) 1.33 E) 1.5020、Suppose you forecast that the market index will earn a return of 15% in the coming year. Treasury bills are yielding 6%. The unadjusted β of Mobil stock is 1.30. A reasonable forecast of the return on Mobil stock for the coming year is _________ if you use Merrill Lynch adjusted betas.A) 15.0% B) 15.5% C) 16.0% D) 16.8% E) none of the above21、The unsystematic risk of a specific securityA) is likely to be higher in an increasing market.B) results from factors unique to the firm.C) depends on market volatility.D) cannot be diversified away.E) none of the above.22、Which statement about portfolio diversification is correct?A) Proper diversification can reduce or eliminate systematic risk.B) The risk-reducing benefits of diversification do not occur meaningfully until at least 50-60 individual securities have been purchased.C) Because diversification reduces a portfolio's total risk, it necessarily reduces the portfolio's expected return.D) Typically, as more securities are added to a portfolio, total risk would be expected to decrease at a decreasing rate.E) None of the above statements is correct.23、Given an optimal risky portfolio with expected return of 12% and standard deviation of 23% and a risk free rate of 3%, what is the slope of the best feasible CAL?A) 0.64 B) 0.39 C) 0.08 D) 0.35 E) 0.3624、Given an optimal risky portfolio with expected return of 13% and standard deviation of 26% and a risk free rate of 5%, what is the slope of the best feasible CAL?A) 0.60 B) 0.14 C) 0.08 D) 0.36 E) 0.3125、The individual investor's optimal portfolio is designated by:A) The point of tangency with the indifference curve and the capital allocation line.B) The point of highest reward to variability ratio in the opportunity set.C) The point of tangency with the opportunity set and the capital allocation line.D) The point of the highest reward to variability ratio in the indifference curve.E) None of the above.26、The single-index modelA) greatly reduces the number of required calculations, relative to those required by the Markowitz model.B) enhances the understanding of systematic versus nonsystematic risk.C) greatly increases the number of required calculations, relative to those required by the Markowitz model.D) A and B. E) B and C.27、The Security Characteristic Line (SCL)A) plots the excess return on a security as a function of the excess return on the market.B) allows one to estimate the beta of the security.C) allows one to estimate the alpha of the security.D) all of the above. E) none of the above.28、The expected impact of unanticipated macroeconomic events on a security's return during the period isA) included in the security's expected return. B) zero.C) equal to the risk free rate. D) proportional to the firm's beta. E) infinite.29、Covariances between security returns tend to beA) positive because of SEC regulations.B) positive because of Exchange regulations.C) positive because of economic forces that affect many firms.D) negative because of SEC regulationsE) negative because of economic forces that affect many firms.30、One “cost” of the single-index model is that itA) is virtually impossible to apply.B) prohibits specialization of efforts within the security analysis industry.C) requires forecasts of the money supply.D) is legally prohibited by the SEC.E) allows for only two kinds of risk -- macro risk and micro risk.投资组合习题一、单项选择题1、下列不属于投资的战略动机的是（）。
英文版罗斯公司理财习题答案
CHAPTER 8MAKING CAPITAL INVESTMENT DECISIONSAnswers to Concepts Review and Critical Thinking Questions1. In this context, an opportunity cost refers to the value of anasset or other input that will be used in a project. The relevant cost is what the asset or input is actually worth today, not, for example, what it cost to acquire.2. a.Yes, the reduction in the sales of the company’s otherproducts, referred to as erosion, and should be treated as an incremental cash flow. These lost sales are included because they are a cost (a revenue reduction) that the firm must bear if it chooses to produce the new product.b. Yes, expenditures on plant and equipment should be treatedas incremental cash flows. These are costs of the new product line. However, if these expenditures have already occurred, they are sunk costs and are not included as incremental cash flows.c. No, the research and development costs should not be treatedas incremental cash flows. The costs of research and development undertaken on the product during the past 3 years are sunk costs and should not be included in the evaluation of the project. Decisions made and costs incurred in the past cannot be changed. They should not affect the decision to accept or reject the project.d. Yes, the annual depreciation expense should be treated as anincremental cash flow. Depreciation expense must be taken into account when calculating the cash flows related to a given project. While depreciation is not a cash expense that directly affects c ash flow, it decreases a firm’s netincome and hence, lowers its tax bill for the year. Because of this depreciation tax shield, the firm has more cash on hand at the end of the year than it would have had without expensing depreciation.e.No, dividend payments should not be treated as incrementalcash flows. A firm’s decision to pay or not pay dividends is independent of the decision to accept or reject any given investment project. For this reason, it is not an incremental cash flow to a given project. Dividend policy is discussed in more detail in later chapters.f.Yes, the resale value of plant and equipment at the end of aproject’s life should be treated as an incremental cashflow. The price at which the firm sells the equipment is a cash inflow, and any difference between the book value ofthe equipment and its sale price will create gains or losses that result in either a tax credit or liability.g.Yes, salary and medical costs for production employees hiredfor a project should be treated as incremental cash flows.The salaries of all personnel connected to the project must be included as costs of that project.3.I tem I is a relevant cost because the opportunity to sell theland is lost if the new golf club is produced. Item II is also relevant because the firm must take into account the erosion of sales of existing products when a new product is introduced. If the firm produces the new club, the earnings from the existing clubs will decrease, effectively creating a cost that must be included in the decision. Item III is not relevant because the costs of Research and Development are sunk costs. Decisions made in the past cannot be changed. They are not relevant to the production of the new clubs.4. For tax purposes, a firm would choose MACRS because it providesfor larger depreciation deductions earlier. These larger deductions reduce taxes, but have no other cash consequences.Notice that the choice between MACRS and straight-line is purely a time value issue; the total depreciation is the same;only the timing differs.5.It’s probably only a mild over-simplification. Currentliabilities will all be paid, presumably. The cash portion of current assets will be retrieved. Some receivables won’t be collected, and some inventory will not be sold, of course.Counterbalancing these losses is the fact that inventory sold above cost (and not replaced at the end of the project’s life) acts to increase working capital. These effects tend to offset one another.6.Management’s discretion to set the firm’s capital structureis applicable at the firm level. Since any one particular project could be financed entirely with equity, another project could be financed with debt, and the firm’s overall capital structure remains unchanged, financing costs are not relevant in the analysis of a project’s incremental cash flows according to the stand-alone principle.7. The EAC approach is appropriate when comparing mutuallyexclusive projects with different lives that will be replaced when they wear out. This type of analysis is necessary so that the projects have a common life span over which they can be compared; in effect, each project is assumed to exist over an infinite horizon of N-year repeating projects. Assuming that this type of analysis is valid implies that the project cash flows remain the same forever, thus ignoring the possible effects of, among other things: (1) inflation, (2) changing economic conditions, (3) the increasing unreliability of cash flow estimates that occur far into the future, and (4) the possible effects of future technology improvement that could alter the project cash flows.8. Depreciation is a non-cash expense, but it is tax-deductible onthe income statement. Thus depreciation causes taxes paid, an actual cash outflow, to be reduced by an amount equal to the depreciation tax shield, t c D. A reduction in taxes that would otherwise be paid is the same thing as a cash inflow, so the effects of the depreciation tax shield must be added in to get the total incremental aftertax cash flows.9. There are two particularly important considerations. The firstis erosion. Will the “essentialized”book simply displace copies of the existing book that would have otherwise been sold?This is of special concern given the lower price. The second consideration is competition. Will other publishers step in and produce such a product? If so, then any erosion is much less relevant. A particular concern to book publishers (and producers of a variety of other product types) is that the publisher only makes money from the sale of new books. Thus, it is important to examine whether the new book would displace sales of used books (good from the publisher’s perspective) or new books (not good). The concern arises any time there is an active market for used product.10.D efinitely. The damage to Porsche’s reputation is definitely afactor the company needed to consider. If the reputation was damaged, the company would have lost sales of its existing car lines.11.O ne company may be able to produce at lower incremental cost ormarket better. Also, of course, one of the two may have made a mistake!12.P orsche would recognize that the outsized profits would dwindleas more products come to market and competition becomes more intense.Solutions to Questions and ProblemsNOTE: All end-of-chapter problems were solved using a spreadsheet. Many problems require multiple steps. Due to space and readability constraints, when these intermediate steps are included in this solutions manual, rounding may appear to have occurred. However, the final answer for each problem is found without rounding during any step in the problem.Basic1. Using the tax shield approach to calculating OCF, we get:OCF = (Sales – Costs)(1 – t C) + t C DepreciationOCF = [($5 × 2,000 –($2 × 2,000)](1 –0.35) +0.35($10,000/5)OCF = $4,600So, the NPV of the project is:NPV = –$10,000 + $4,600(PVIFA17%,5)NPV = $4,7172. We will use the bottom-up approach to calculate the operatingcash flow for each year. We also must be sure to include the net working capital cash flows each year. So, the total cash flow each year will be:Year 1 Year 2 Year 3 Year 4 Sales Rs.7,000 Rs.7,000 Rs.7,000 Rs.7,000Costs 2,000 2,000 2,000 2,000Depreciation 2,500 2,500 2,500 2,500EBT Rs.2,500 Rs.2,500 Rs.2,500 Rs.2,500Tax 850 850 850 850Net income Rs.1,650 Rs.1,650 Rs.1,650 Rs.1,650OCF 0 Rs.4,150 Rs.4,150 Rs.4,150 Rs.4,150Capital spending –Rs.10,000 0 0 0 0NWC –200 –250 –300 –200 950 Incremental cashflow –Rs.10,200 Rs.3,900 Rs.3,850 Rs.3,950 Rs.5,100The NPV for the project is:NPV = –Rs.10,200 + Rs.3,900 / 1.10 + Rs.3,850 / 1.102+ Rs.3,950 / 1.103 + Rs.5,100 / 1.104NPV = Rs.2,978.333. U sing the tax shield approach to calculating OCF, we get:OCF = (Sales – Costs)(1 – t C) + t C DepreciationOCF = (R2,400,000 – 960,000)(1 – 0.30) + 0.30(R2,700,000/3) OCF = R1,278,000So, the NPV of the project is:NPV = –R2,700,000 + R1,278,000(PVIFA15%,3)NPV = R217,961.704.T he cash outflow at the beginning of the project will increasebecause of the spending on NWC. At the end of the project, the company will recover the NWC, so it will be a cash inflow. The sale of the equipment will result in a cash inflow, but we also must account for the taxes which will be paid on this sale. So, the cash flows for each year of the project will be:Year Cash Flow0 – R3,000,000 = –R2.7M – 300K1 1,278,0002 1,278,0003 1,725,000 = R1,278,000 + 300,000 + 210,000 + (0 – 210,000)(.30)And the NPV of the project is:NPV = –R3,000,000 + R1,278,000(PVIFA15%,2) + (R1,725,000 / 1.153) NPV = R211,871.465. First we will calculate the annual depreciation for theequipment necessary for the project. The depreciation amount each year will be:Year 1 depreciation = R2.7M(0.3330) = R899,100Year 2 depreciation = R2.7M(0.4440) = R1,198,800Year 3 depreciation = R2.7M(0.1480) = R399,600So, the book value of the equipment at the end of three years, which will be the initial investment minus the accumulated depreciation, is:Book value in 3 years = R2.7M –(R899,100 + 1,198,800 + 399,600)Book value in 3 years = R202,500The asset is sold at a gain to book value, so this gain is taxable.Aftertax salvage value = R202,500 + (R202,500 – 210,000)(0.30) Aftertax salvage value = R207,750To calculate the OCF, we will use the tax shield approach, so the cash flow each year is:OCF = (Sales – Costs)(1 – t C) + t C DepreciationYear Cash Flow0 – R3,000,000 = –R2.7M – 300K1 1,277,730.00 = (R1,440,000)(.70) + 0.30(R899,100)2 1,367,640.00 = (R1,440,000)(.70) + 0.30(R1,198,800)3 1,635,630.00 = (R1,440,000)(.70) + 0.30(R399,600) + R207,750 + 300,000Remember to include the NWC cost in Year 0, and the recovery of the NWC at the end of the project. The NPV of the project with these assumptions is:NPV = – R3.0M + (R1,277,730/1.15) + (R1,367,640/1.152) +(R1,635,630/1.153)NPV = R220,655.206. First, we will calculate the annual depreciation of the newequipment. It will be:Annual depreciation charge = €925,000/5Annual depreciation charge = €185,000The aftertax salvage value of the equipment is:Aftertax salvage value = €90,000(1 – 0.35)Aftertax salvage value = €58,500Using the tax shield approach, the OCF is:OCF = €360,000(1 – 0.35) + 0.35(€185,000)OCF = €298,750Now we can find the project IRR. There is an unusual feature that is a part of this project. Accepting this project means that we will reduce NWC. This reduction in NWC is a cash inflow at Year 0. This reduction in NWC implies that when the project ends, we will have to increase NWC. So, at the end of theproject, we will have a cash outflow to restore the NWC to its level before the project. We also must include the aftertax salvage value at the end of the project. The IRR of the project is:NPV = 0 = –€925,000 + 125,000 + €298,750(PVIFA IRR%,5) + [(€58,500 – 125,000) / (1+IRR)5]IRR = 23.85%7. First, we will calculate the annual depreciation of the newequipment. It will be:Annual depreciation = £390,000/5Annual depreciation = £78,000Now, we calculate the aftertax salvage value. The aftertax salvage value is the market price minus (or plus) the taxes on the sale of the equipment, so:Aftertax salvage value = MV + (BV – MV)t cVery often, the book value of the equipment is zero as it is in this case. If the book value is zero, the equation for the aftertax salvage value becomes:Aftertax salvage value = MV + (0 – MV)t cAftertax salvage value = MV(1 – t c)We will use this equation to find the aftertax salvage value since we know the book value is zero. So, the aftertax salvage value is:Aftertax salvage value = £60,000(1 – 0.34)Aftertax salvage value = £39,600Using the tax shield approach, we find the OCF for the project is:OCF = £120,000(1 – 0.34) + 0.34(£78,000)OCF = £105,720Now we can find the project NPV. Notice that we include the NWC in the initial cash outlay. The recovery of the NWC occurs in Year 5, along with the aftertax salvage value.NPV = –£390,000 –28,000 + £105,720(PVIFA10%,5) + [(£39,600 + 28,000) / 1.15]NPV = £24,736.268. To find the BV at the end of four years, we need to find theaccumulated depreciation for the first four years. We could calculate a table with the depreciation each year, but an easier way is to add the MACRS depreciation amounts for each of the first four years and multiply this percentage times the cost of the asset. We can then subtract this from the asset cost. Doing so, we get:BV4 = $9,300,000 – 9,300,000(0.2000 + 0.3200 + 0.1920 + 0.1150) BV4 = $1,608,900The asset is sold at a gain to book value, so this gain is taxable.Aftertax salvage value = $2,100,000 + ($1,608,900 –2,100,000)(.40)Aftertax salvage value = $1,903,5609. We will begin by calculating the initial cash outlay, that is,the cash flow at Time 0. To undertake the project, we will have to purchase the equipment and increase net working capital. So, the cash outlay today for the project will be:Equipment –€2,000,000NWC –100,000Total –€2,100,000Using the bottom-up approach to calculating the operating cash flow, we find the operating cash flow each year will be:Sales €1,200,000Costs 300,000Depreciation 500,000EBT €400,000Tax 140,000Net income €260,000The operating cash flow is:OCF = Net income + DepreciationOCF = €260,000 + 500,000OCF = €760,000To find the NPV of the project, we add the present value of the project cash flows. We must be sure to add back the net working capital at the end of the project life, since we are assuming the net working capital will be recovered. So, the project NPV is:NPV = –€2,100,000 + €760,000(PVIFA14%,4) + €100,000 / 1.144NPV = €173,629.3810.W e will need the aftertax salvage value of the equipment tocompute the EAC. Even though the equipment for each product hasa different initial cost, both have the same salvage value. Theaftertax salvage value for both is:Both cases: aftertax salvage value = $20,000(1 –0.35) = $13,000To calculate the EAC, we first need the OCF and NPV of each option. The OCF and NPV for Techron I is:OCF = – $34,000(1 – 0.35) + 0.35($210,000/3) = $2,400NPV = –$210,000 + $2,400(PVIFA14%,3) + ($13,000/1.143) = –$195,653.45EAC = –$195,653.45 / (PVIFA14%,3) = –$84,274.10And the OCF and NPV for Techron II is:OCF = – $23,000(1 – 0.35) + 0.35($320,000/5) = $7,450NPV = –$320,000 + $7,450(PVIFA14%,5) + ($13,000/1.145) = –$287,671.75EAC = –$287,671.75 / (PVIFA14%,5) = –$83,794.05The two milling machines have unequal lives, so they can only be compared by expressing both on an equivalent annual basis, which is what the EAC method does. Thus, you prefer the Techron II because it has the lower (less negative) annual cost.Intermediate11.F irst, we will calculate the depreciation each year, which willbe:D1 = ¥480,000(0.2000) = ¥96,000D2 = ¥480,000(0.3200) = ¥153,600D3 = ¥480,000(0.1920) = ¥92,160D4 = ¥480,000(0.1150) = ¥55,200The book value of the equipment at the end of the project is:BV4= ¥480,000 –(¥96,000 + 153,600 + 92,160 + 55,200) = ¥83,040The asset is sold at a loss to book value, so this creates a tax refund.After-tax salvage value = ¥70,000 + (¥83,040 – 70,000)(0.35) = ¥74,564.00So, the OCF for each year will be:OCF1 = ¥160,000(1 – 0.35) + 0.35(¥96,000) = ¥137,600.00OCF2 = ¥160,000(1 – 0.35) + 0.35(¥153,600) = ¥157,760.00OCF3 = ¥160,000(1 – 0.35) + 0.35(¥92,160) = ¥136,256.00OCF4 = ¥160,000(1 – 0.35) + 0.35(¥55,200) = ¥123,320.00Now we have all the necessary information to calculate the project NPV. We need to be careful with the NWC in this project.Notice the project requires ¥20,000 of NWC at the beginning, and ¥3,000 more in NWC each successive year. We will subtract the ¥20,000 from the initial cash flow, and subtract ¥3,000 each year from the OCF to account for this spending. In Year 4, we will add back the total spent on NWC, which is ¥29,000. The ¥3,000 spent on NWC capital during Year 4 is irrelevant. Why?Well, during this year the project required an additional ¥3,000, but we would get the money back immediately. So, thenet cash flow for additional NWC would be zero. With all this, the equation for the NPV of the project is:NPV = –¥480,000 –20,000 + (¥137,600 –3,000)/1.14 + (¥157,760 – 3,000)/1.142+ (¥136,256 –3,000)/1.143+ (¥123,320 + 29,000 + 74,564)/1.144NPV = –¥38,569.4812.I f we are trying to decide between two projects that will notbe replaced when they wear out, the proper capital budgeting method to use is NPV. Both projects only have costs associated with them, not sales, so we will use these to calculate the NPV of each project. Using the tax shield approach to calculate the OCF, the NPV of System A is:OCF A = –元120,000(1 – 0.34) + 0.34(元430,000/4)OCF A = –元42,650NPV A = –元430,000 –元42,650(PVIFA20%,4)NPV A = –元540,409.53And the NPV of System B is:OCF B = –元80,000(1 – 0.34) + 0.34(元540,000/6)OCF B = –元22,200NPV B = –元540,000 –元22,200(PVIFA20%,6)NPV B = –元613,826.32If the system will not be replaced when it wears out, then System A should be chosen, because it has the more positive NPV.13.If the equipment will be replaced at the end of its useful life,the correct capital budgeting technique is EAC. Using the NPVs we calculated in the previous problem, the EAC for each system is:EAC A = –元540,409.53 / (PVIFA20%,4)EAC A = –元208,754.32EAC B = –元613,826.32 / (PVIFA20%,6)EAC B = –元184,581.10If the conveyor belt system will be continually replaced, we should choose System B since it has the more positive NPV.14.S ince we need to calculate the EAC for each machine, sales areirrelevant. EAC only uses the costs of operating the equipment, not the sales. Using the bottom up approach, or net income plus depreciation, method to calculate OCF, we get:Machine A Machine BVariable costs –₪3,150,000 –₪2,700,000Fixed costs –150,000 –100,000Depreciation –350,000 –500,000EBT –₪3,650,000 –₪3,300,000Tax 1,277,500 1,155,000Net income –₪2,372,500 –₪2,145,000+ Depreciation 350,000 500,000OCF –₪2,022,500 –₪1,645,000The NPV and EAC for Machine A is:NPV A = –₪2,100,000 –₪2,022,500(PVIFA10%,6) NPV A = –₪10,908,514.76EAC A = –₪10,908,514.76 / (PVIFA10%,6)EAC A = –₪2,504,675.50And the NPV and EAC for Machine B is:NPV B = –₪4,500,000 – 1,645,000(PVIFA10%,9)NPV B = –₪13,973,594.18EAC B = –₪13,973,594.18 / (PVIFA10%,9)EAC B = –₪2,426,382.43You should choose Machine B since it has a more positive EAC.15.W hen we are dealing with nominal cash flows, we must be carefulto discount cash flows at the nominal interest rate, and we must discount real cash flows using the real interest rate.Project A’s cash flows are in real terms, so we need to find the real interest rate. Using the Fisher equation, the real interest rate is:1 + R = (1 + r)(1 + h)1.15 = (1 + r)(1 + .04)r = .1058 or 10.58%So, the NPV of Project A’s real cash flows, discounting at the real interest rate, is:NPV = –฿40,000 + ฿20,000 / 1.1058 + ฿15,000 / 1.10582 + ฿15,000 / 1.10583NPV = ฿1,448.88Project B’s cash flow are in nominal terms, so the NPV discount at the nominal interest rate is:NPV = –฿50,000 + ฿10,000 / 1.15 + ฿20,000 / 1.152+ ฿40,000 /1.153NPV = ฿119.17We should accept Project A if the projects are mutually exclusive since it has the highest NPV.16.T o determine the value of a firm, we can simply find thepre sent value of the firm’s future cash flows. No depreciation is given, so we can assume depreciation is zero. Using the tax shield approach, we can find the present value of the aftertax revenues, and the present value of the aftertax costs. The required return, growth rates, price, and costs are all given in real terms. Subtracting the costs from the revenues will give us the value of the firm’s cash flows. We must calculate the present value of each separately since each is growing at a different rate. First, we will find the present value of the revenues. The revenues in year 1 will be the number of bottles sold, times the price per bottle, or:Aftertax revenue in year 1 in real terms = (2,000,000 ×$1.50)(1 – 0.34)Aftertax revenue in year 1 in real terms = $1,650,000Revenues will grow at six percent per year in real terms forever. Apply the growing perpetuity formula, we find the present value of the revenues is:PV of revenues = C1 / (R–g)PV of revenues = $1,650,000 / (0.10 – 0.06)PV of revenues = $41,250,000The real aftertax costs in year 1 will be:Aftertax costs in year 1 in real terms = (2,000,000 ×$0.65)(1 – 0.34)Aftertax costs in year 1 in real terms = $858,000Costs will grow at five percent per year in real terms forever.Applying the growing perpetuity formula, we find the present value of the costs is:PV of costs = C1 / (R–g)PV of costs = $858,000 / (0.10 – 0.05)PV of costs = $17,160,000Now we can find the value of the firm, which is:Value of the firm = PV of revenues – PV of costsValue of the firm = $41,250,000 – 17,160,000Value of the firm = $24,090,00017.To calculate the nominal cash flows, we simple increase eachitem in the income statement by the inflation rate, except for depreciation. Depreciation is a nominal cash flow, so it does not need to be adjusted for inflation in nominal cash flow analysis. Since the resale value is given in nominal terms as of the end of year 5, it does not need to be adjusted for inflation. Also, no inflation adjustment is needed for either the depreciation charge or the recovery of net working capital since these items are already expressed in nominal terms. Note that an increase in required net working capital is a negative cash flow whereas a decrease in required net working capital isa positive cash flow. The nominal aftertax salvage value is:Market price $30,000Tax on sale –10,200Aftertax salvage value $19,800Remember, to calculate the taxes paid (or tax credit) on the salvage value, we take the book value minus the market value, times the tax rate, which, in this case, would be:Taxes on salvage value = (BV – MV)t CTaxes on salvage value = ($0 – 30,000)(.34)Taxes on salvage value = –$10,200Now we can find the nominal cash flows each year using the income statement. Doing so, we find:Year 0 Year 1 Year 2 Year 3 Year 4 Year 5 Sales $200,000 $206,000 $212,180 $218,545 $225,102Expenses 50,000 51,500 53,045 54,636 56,275Depreciation 50,000 50,000 50,000 50,000 50,000EBT $100,000 $104,500 $109,135 $113,909 $118,826Tax 34,000 35,530 37,106 38,729 40,401Net income $66,000 $68,970 $72,029 $75,180 $78,425OCF $116,000 $118,970 $122,029 $125,180 $128,425Capital spending –$250,000 $19,800NWC –10,000 10,000Total cash flow –$260,000 $116,000 $118,970 $122,029 $125,180 $158,22518.T he present value of the company is the present value of thefuture cash flows generated by the company. Here we have real cash flows, a real interest rate, and a real growth rate. The cash flows are a growing perpetuity, with a negative growth rate. Using the growing perpetuity equation, the present value of the cash flows are:PV = C1 / (R–g)PV = $120,000 / [.11 – (–.07)]PV = $666,666.6719.T o find the EAC, we first need to calculate the NPV of theincremental cash flows. We will begin with the aftertax salvage value, which is:Taxes on salvage value = (BV – MV)t CTaxes on salvage value = (€0 – 10,000)(.34)Taxes on salvage value = –€3,400Market price €10,000Tax on sale –3,400Aftertax salvage value €6,600Now we can find the operating cash flows. Using the tax shield approach, the operating cash flow each year will be:OCF = –€5,000(1 – 0.34) + 0.34(€45,000/3)OCF = €1,800So, the NPV of the cost of the decision to buy is:NPV = –€45,000 + €1,800(PVIFA12%,3) + (€6,600/1.123)NPV = –€35,987.95In order to calculate the equivalent annual cost, set the NPV of the equipment equal to an annuity with the same economic life. Since the project has an economic life of three years and is discounted at 12 percent, set the NPV equal to a three-year annuity, discounted at 12 percent.EAC = –€35,987.95 / (PVIFA12%,3)EAC = –€14,979.8020.W e will find the EAC of the EVF first. There are no taxes sincethe university is tax-exempt, so the maintenance costs are the operating cash flows. The NPV of the decision to buy one EVF is:NPV = –₩8,000 –₩2,000(PVIFA14%,4)NPV = –₩13,827.42In order to calculate the equivalent annual cost, set the NPV of the equipment equal to an annuity with the same economic life. Since the project has an economic life of four years and is discounted at 14 percent, set the NPV equal to a three-year annuity, discounted at 14 percent. So, the EAC per unit is:EAC = –₩13,827.42 / (PVIFA14%,4)EAC = –₩4,745.64Since the university must buy 10 of the word processors, the total EAC of the decision to buy the EVF word processor is:Total EAC = 10(–₩4,745.64)Total EAC = –₩47,456.38Note, we could have found the total EAC for this decision by multiplying the initial cost by the number of word processors needed, and multiplying the annual maintenance cost of each by the same number. We would have arrived at the same EAC.We can find the EAC of the AEH word processors using the same method, but we need to include the salvage value as well. Thereare no taxes on the salvage value since the university is tax-exempt, so the NPV of buying one AEH will be:NPV = –₩5,000 –₩2,500(PVIFA14%,3) + (₩500/1.143)NPV = –₩10,466.59So, the EAC per machine is:EAC = –₩10,466.59 / (PVIFA14%,3)EAC = –₩4,508.29Since the university must buy 11 of the word processors, the total EAC of the decision to buy the AEH word processor is:Total EAC = 11(–₩4,508.29)Total EAC = –₩49,591.21The university should buy the EVF word processors since the EAC is lower. Notice that the EAC of the AEH is lower on a per machine basis, but because the university needs more of these word processors, the total EAC is higher.21.W e will calculate the aftertax salvage value first. Theaftertax salvage value of the equipment will be:Taxes on salvage value = (BV – MV)t CTaxes on salvage value = (₫0 – 100,000)(.34)Taxes on salvage value = –₫34,000Market price ₫100,000Tax on sale –34,000Aftertax salvage value ₫66,000Next, we will calculate the initial cash outlay, that is, the cash flow at Time 0. To undertake the project, we will have to purchase the equipment. The new project will decrease the net working capital, so this is a cash inflow at the beginning of the project. So, the cash outlay today for the project will be:Equipment –₫500,000NWC 100,000Total –₫400,000Now we can calculate the operating cash flow each year for the project. Using the bottom up approach, the operating cash flow will be:Saved salaries ₫120,000Depreciation 100,000EBT ₫20,000。
投资学精要英语(essenfial of investment )计算分析题
1. Consider the three stocks in the following table. P represents prices at time t ,and Q represents shares outstanding at time t. STOCK C splits two-for-one in the last period.a.calculate the rate of return on a price-weighted index of the three stocks for the firstperiod(t=0 to t=1).答案：At t = 0, the value of the index is: (90 + 50 + 100)/3 = 80At t = 1, the value of the index is: (95 + 45 + 110)/3 = 83.3333The rate of return is: (83.3333/80) – 1 = 4.167%b.What must happen to the divisor for the price-weight index in year 2?答案：In the absence of a split, stock C would sell for 110, and the value of the index would be: (95 + 45 + 110)/3 = 83.3333After the split, stock C sells at 55. Therefore, we need to set the divisor (d) such that:83.3333 = (95 + 45 + 55)/d…..d = 2.340c.Calculate the rate of return of the price-weighted index for the second period (t=1 tot=2).答案：The rate of return is zero. The index remains unchanged, as it should, since the return on each stock separately equals zero.2. using the data in the precious problem, calculate the first period rates of return on the following indexes of the three stocks:a. a market value-weight index.答案：Total market value at t = 0 is: (9,000 + 10,000 + 20,000) = 39,000Total market value at t = 1 is: (9,500 + 9,000 + 22,000) = 40,500Rate of return = (40,500/39,000) – 1 = 3.85%b. an equally weighted index.答案：The return on each stock is as follows:R a = (95/90) – 1 = 0.0556R b = (45/50) – 1 = –0.10 R c = (110/100) – 1 = 0.10The equally-weighted average is: [0.0556 + (-0.10) + 0.10]/3 = 0.0185 = 1.85%3. suppose you short sell 100 shares of IBM, now selling at $120 per share.a. what is your maximum possible loss?答案：In principle, potential losses are unbounded, growing directly with increases in the price of IBM.b. what happens to the maximum loss if you simultaneously place a stop-buy order at $128.答案：If the stop-buy order can be filled at $128, the maximum possible loss per share is $8. If the price of IBM shares go above $128, then the stop-buy order would be executed, limiting the losses from the short sale.4. DRK, inc., has just sold 100,000 shares in an initial public offering. The underwriter’s explicit fees were $60,000. the offering price for the shares was $40, but immediately upone issue, the share price jumped to $44.a. what is your best guess as to the total cost to DRK of the equity issue?答案：In addition to the explicit fees of $60,000, DRK appears to have paid an implicit price inunderpricing of the IPO. The underpricing is $4 per share, or a total of $400,000, implying total costs of $460,000.b. is the entire cost of the underwriting a source of profit to the underwriters?答案：No. The underwriters do not capture the part of the costs corresponding to theunderpricing. The underpricing may be a rational marketing strategy. Without it, the underwriters would need to spend more resources in order to place the issue with the public. The underwriters would then need to charge higher explicit fees to the issuing firm. The issuing firm may be just as well off paying the implicit issuance cost represented by the underpricing.5. suppose that Intel currently is selling at $40 per share. You buy 500 sharesusing $15000 of your own money, borrowing the remainder of the purchase from your broker. The rate on the margin loan is 8%.a. what is the percentage increase in the net worth of your brokerage account if the price ofIntel immediately changes to :(i)$44; (ii)$40; (iii)$36? What is the relationship between your percentage return and the percentage change in the price of Intel?答案：(i) Net worth increases to: ($44 x 500) – $5,000 = $17,000Percentage gain = $2,000/$15,000 = 0.1333 = 13.33%(ii) With price unchanged, net worth is unchanged. Percentage gain = zero.(iii) Net worth falls to ($36 x 500) – $5,000 = $13,000 Percentage gain =(–$2,000/$15,000) = –0.1333 = –13.33%The relationship between the percentage return and the percentage change in the price of the stock is given by: % return = % change in price x equityinitial s Investor'investment Total = % change in price x 1.333 For example, when the stock price rises from $40 to $44, the percentage change in price is 10%, while the percentage gain for the investor is: % return = 10% x 000,15$000,20$ = 13.33% b. If the maintenance margin is 25%, how low can Intel ’ s price fall before you get amargin call?答案： The value of the 500 shares is 500P. Equity is (500P – $5,000). You will receive a margin call when:P500000,5$P 500 = 0.25 when P = $13.33 or lower c. How would your answer to (b)change if you had financed the initial purchase with only$10,000 of your own money?答案：The value of the 500 shares is 500P. But now you have borrowed $10,000 instead of$5,000. Therefore, equity is (500P – $10,000). You will receive a margin callwhen:P500000,10$P 500- = 0.25 when P = $26.67 With less equity in the account, you are far more vulnerable to a margin call.d. What is the rate of return on your margined position (assuming again that you invest$15,000 of your own money) if Intel is selling after on year at : (i) $44.; (ii) $40; (iii) $36? What is the relationship between your percentage return and the percentage change in the price of Intel? Assume that Intel pays no dividends.答案： By the end of the year, the amount of the loan owed to the broker grows to:$5,000 x1.08 = $5,400The equity in your account is (500P – $5,400). Initial equity was $15,000. Therefore, your rate of return after one year is as follows:（i ）000,15$000,15$400,5$)44$500(--⨯= 0.1067 = 10.67% (ii) 000,15$000,15$400,5$)40$500(--⨯= –0.0267 = –2.67% (iii)000,15$000,15$400,5$)36$500(--⨯= –0.1600 = –16.00% The relationship between the percentage return and the percentage change in the price of Intel is given by:% return = ⎪⎪⎭⎫ ⎝⎛⨯equity initial s Investor'investment Total price in change %⎪⎪⎭⎫ ⎝⎛⨯-equity initial s Investor'borrowed Funds %8 For example, when the stock price rises from $40 to $44, the percentage change in price is 10%, while the percentage gain for the investor is:⎪⎭⎫ ⎝⎛⨯000,15$000,20$%10⎪⎭⎫ ⎝⎛⨯-000,15$000,5$%8=10.67% e. Continue to assume that a year has passed. How low can Intel ’s price fall before you geta margin call?答案：The value of the 500 shares is 500P. Equity is (500P – $5,400). You will receive a margin call when:P500400,5$P 500- = 0.25 when P = $14.40 or lower . 6. suppose that you sell short 500 shares of intel , currently selling for $40 pershare, and give your broker $ 15,000 to establish your margin account. a. if you earn no interest on the funds in your margin account , what will be your rate ofreturn after one year if Intel stock is selling at: (i) $44.; (ii) $40; (iii) $36? Assume that Intel pays no dividends.答案：The gain or loss on the short position is: (–500 P)Invested funds = $15,000Therefore: rate of return = (–500 P)/15,000The rate of return in each of the three scenarios is:(i) rate of return = (–500 $)/$15,000 = –0.1333 = –13.33%(ii) rate of return = (–500$)/$15,000 = 0%(iii) rate of return = [–500 (–$4)]/$15,000 = +0.1333 = +13.33%Total assets in the margin account are $20,000 (from the sale of the stock) + $15,000 (the initial margin) = $35,000. Liabilities are 500P. A margin call will be issued when:= 0.25 when P = $56 or higherb.If the maintenance margin is 25%, how high can Intel’s price rise before you get amargin call?答案：With a $1 dividend, the short position must now pay on the borrowed shares: ($1/share 500 shares) = $500. Rate of return is now:[(–500P) – 500]/15,000(i) rate of return =[(–500 $4) – $500]/$15,000 = –0.1667 = –16.67%(ii) rate of return = [(–500 $0) – $500]/$15,000 = –0.0333 = –3.33%(iii) rate of return = [(–500) (–$4) – $500]/$15,000 = +0.1000 = +10.00%Total assets are $35,000, and liabilities are (500P + 500). A margin call will be issued when: = 0.25 when P = $55.20 or higher7.waht are some differences between hedge funds and mutual funds?答案：Hedge funds have much less regulation since they are part of private partnerships and free from mist SEC regulation. They permit investors to take on many risks unavailable to mutual funds. Hedge funds, however, may require higher fees and provide less transparency to investors. This offers significant counter party risk and hedge fund investors need to be more careful about the firm the invest with.8.city street fund has a portfolio of $ 450 million , and liabilities of $ 10 millon.a.if there are 44 million shares outstanding, what is net asset value?答案：(450,000,000 – 10,000,000) / 44,000,000 = $10 per shareb.If a large investor redeems 1 million shares, what happens to the portfolio value, toshares outstanding, and to NA V?答案：(440,000,000 – 10,000,000) / 43,000,000 = $10 per share9. a. Impressive fund had excellent investment performance last year, with portfolio returns that placed it in the top 10% of all funds with the same investment policy. Do you expect it to be a top performer next year? Why or why not?答案：Empirical research indicates that past performance of mutual funds is not highly predictive of future performance, especially for better-performing funds. While theremay be some tendency for the fund to be an above average performer next year, it isunlikely to once again be a top 10% performer.b. Suppose instead that the fund was among the poorest performers in its comparison group. Would you be more or less likely to believe its relative performance will persist into the following year? Why ?答案：On the other hand, the evidence is more suggestive of a tendency for poor performance to persist. This tendency is probably related to fund costs and turnover rates. Thusif the fund is among the poorest performers, investors would be concerned that thepoor performance will persist.10. Unlike other investors, you believe the Fed is going to dramatically loosenmonetary policy. What would be your recommendations about investments in the following industries ? a. gold mining b. construction答案：a. Gold Mining. Gold is traditionally viewed as a hedge against inflation.Expansionary monetary policy may lead to increased inflation, and could thusenhance the value of gold mining stocks.b. Construction. Expansionary monetary policy will lead to lower interest rates whichought to stimulate housing demand. The construction industry should benefit. 11. here are four industries and four forecasts for the macroeconomy. Choosethe industry that you would expect to perform best in each scenario.Industries: housing construction , health care , gold mining,, steel production.Economic Forecasts: Deep recession: Falling inflation, falling interest rates, falling GDP. Superheated economy: Rapidly rising GDP, increasing inflation and interest rates.Healthy expansion: Rising GDP, mild inflation, low unemployment. Stagflation: Falling GDP, high inflation.答案：Deep recession Health care (non-cyclical)Superheated economy Steel production (cyclical)Healthy expansion Housing construction (cyclical, but interest rate sensitive) Stagflation Gold mining (counter cyclical)最后那两个大题的大表格什么的我就不打了，这个答案直接复制上来了，那么明显的大表格一下就能知道哪道题了哈！第十二章课后CFA Problems中的2。
投资学精要(博迪)(第五版)习题答案英文版chapter8
Essentials of Investments (BKM 5th Ed.)Answers to Selected Problems – Lecture 5Chapter 8:2. Zero. If not, one could use returns from one period to predict returns in later periods andmake abnormal profits.3. c. “The January Effect” implies that one can predict January prices based on past Januaryprices. This is a predictable pattern in returns which should not occur if weak-form EMH is valid.4. c. This is a classic filter rule which should not be profitable in an efficient market.7. c. The P/E ratio is public information and should not predict abnormal security returns.8. No. This empirical tendency does not provide investors with a tool to earn abnormalreturns - in other words, it does not suggest that investors are failing to use all availableinformation. You could not use this information to choose undervalued stocks today. This phenomenon actually reflects the fact that stock splits usually occur because the firm has performed well in the past.9. No. This empirical tendency does not provide investors a tool to earn abnormal returns --in other words, it does not suggest that investors are failing to use all available information.You could not use this phenomenon to choose undervalued stocks today. The phenomenon instead reflects the fact that stock splits occur as a response to good performance (positive abnormal returns) which drives up the stock price above a desired "trading range" andleads managers to split the stock. After the fact, the stocks that happen to have performed the best will be split candidates, but this does not imply that you can identify the bestperformers early enough to earn abnormal returns.14. Buy. The firm is in your view not as bad as everyone else believes it to be. Therefore, youview the firm as undervalued by the market. You are less pessimistic about the firm’sprospects than the beliefs built into the stock price.16. a) The grandson is referring to (i) the small-firm effect (which can also be described as theJanuary effect) and (ii) the weekend anomaly.b) 1 - Building a portfolio of only small firms results in increased risk, as the portfolio isdiversified.less2 - Because the anomaly has existed in the past is not a predictor that the anomaly willexist in the future.3 - After the results of these studies became publicly known, investorsmay bid up the prices of these securities to reflect the now-known opportunity.17. a. Consistent. Half of managers should beat the market based on pure luck in any year.b. Inconsistent. This would be the basis of an "easy money" rule: simply invest with lastyear's best managers.c. Consistent. Predictable volatility does not convey a means to earn abnormal returns.d. Inconsistent. The abnormal performance ought to occur in January when earnings areannounced.e. Inconsistent. Reversals offer a means to earn easy money: just buy last week's losers.21. If one could expect the effects to continue in the future, the firm might wish to add moresmall firms and more firms with low P/E ratios to their portfolio. However, in doing so, the firm must be certain that it is not taking on more risk and achieving less diversificationthan desired. That is, small firms are more risky than larger firms; also, there is someindication that low P/E ratio firms sell for lower prices because these firms are more risky.In addition, by investing heavily in small firms, a portfolio manager is investing heavily in similar type firms and thus decreasing diversification (and increasing risk).22. The firm might not want to adopt this new strategy for the following reasons: (1) thediversification of the portfolio would likely decrease resulting in more risk in the portfolio - in other words, the risk-adjusted performance may not be higher, (2) investmentconstraints written into the statement of investment policy might make it necessary toobtain permission from the fund owners to implement such a strategy, (3) these effects may not continue in the future now that they are widely known.。
Essentials_Of_Investments_8th_Ed_Bodie_投资学精要(第八版)课后习题答案 Chapter 18
Байду номын сангаас
CHAPTER 18 PORTFOLIO PERFORMANCE EVALUATION
1. a. Possibly. Alpha alone does not determine which portfolio has a larger Sharpe ratio. Sharpe measure is the primary factor, since it tells us the real return per unit of risk. We only invest if the Sharpe measure is higher. The standard deviation of an investment and its correlation with the benchmark are also important. Thus positive alpha is not a sufficient condition for a managed portfolio to offer a higher Sharpe measure than the passive benchmark. b. Yes. It is possible for a positive alpha to exist, but the Sharpe measure decline. Thus, we would experience inferior performance. 2. Maybe. Provided the addition of funds creates an efficient frontier with the existing investments, and assuming the Sharpe measure increases, the answer is yes. Otherwise, no. 3. The M-squared is an equivalent representation of the Sharpe measure, with the added difference of providing a risk-adjusted measure of performance that can be easily interpreted as a differential return relative to a benchmark. Thus, it provides the same information as the Sharpe measure. But in a different format. 4. Definitely, the FF model. Research shows that passive investments (e.g., a market index portfolio) will appear to have a zero alpha when evaluated using the multi-index model but not using the single-index one. The nonzero alpha appears even in the absence of superior performance. Thus, the single-index alpha can be misleading. 5. a. Portfolio A Portfolio B Market index Risk-free asset E(r) 11% 14% 12% 6% 10% 31% 20% 0% 0.8 1.5 1.0 0.0
投资学精要答案1
第一投资环境1.7 债券发行是拆开的，这样有的投资者只能获得利息，有的投资者只能获得本金，这叫做----分类定价，是允许投资者有多种选择的金融工程中的一种。
2.代理问题是发生在管理层和股东之间的潜在的冲突，而其他问题只发生在公司的管理层内部。
3.货币市场基金是一场金融革命，它部分是来源于规避-----的需要。
Q条款限制银行可以付给储户的利息总量，货币市场基金不在Q条款的限制范围之内，所以可以支付更高一些的利息。
尽管Q条款已经不存在了，但货币市场基金仍然流行4.金融中介把借款人和贷款人联系到一起5.投资银行的一个重要的角色就是担任中间人，它帮助公司在市场上安排新股发行6.金融资产只能间接影响国家的生产能力，因为这些资产允许个人投资到公司和政府。
这就会促使公司和政府提高生产能力7.通过设立抵押过手证券销售抵押投资组合是_ 的一个例子，证券化8.场外市场由自己拥有证券的交易商将买主和卖主聚集到一起，通过价差来获利。
交易商市场需要筹资的公司付一定的费用雇一家保9.险公司来将保险公司的商誉置于自己的商誉之后，这种情况叫做。
(信用增益10.管理层通常控制着董事会或持有相当比例的股票。
使管理层保持警觉的最好的方法是表现不佳的公司将被收购的威胁11.欧洲美元的特征是。
( E )a. 存在外国银行中的美元b. 不受Q条款约束的美元c. 存在可以免除准备金要求的银行的美元12.直接搜索市场是专项货物的偶发性市场。
经纪人市场包括批量交易和初级市场交易，它对个体交易者来说是较难进入的。
大多数的个体证券交易发生在拍卖市场或者是交易商市场问答题1. 详细讨论代理问题。
( M )2. 讨论各种类型的证券市场。
区分资产的首次出售和后续出售，区分不同市场的中间人。
( M )3. 区分公司和个人的资产负债表上的不动产和金融资产。
( M )1. 管理者是股东的代理人，应该代表股东的利益并使股东的财富(即股票价值)最大化。
当他们为自己的利益采取行动而损害股东的利益时就产生了冲突(代理冲突)。
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1. Consider the three stocks in the following table. P represents prices at time t ,and Q represents shares outstanding at time t. STOCK C splits two-for-one in the last period.a.calculate the rate of return on a price-weighted index of the three stocks for the firstperiod(t=0 to t=1).答案：At t = 0, the value of the index is: (90 + 50 + 100)/3 = 80At t = 1, the value of the index is: (95 + 45 + 110)/3 = 83.3333The rate of return is: (83.3333/80) – 1 = 4.167%b.What must happen to the divisor for the price-weight index in year 2?答案：In the absence of a split, stock C would sell for 110, and the value of the index would be: (95 + 45 + 110)/3 = 83.3333After the split, stock C sells at 55. Therefore, we need to set the divisor (d) such that:83.3333 = (95 + 45 + 55)/d…..d = 2.340c.Calculate the rate of return of the price-weighted index for the second period (t=1 tot=2).答案：The rate of return is zero. The index remains unchanged, as it should, since the return on each stock separately equals zero.2. using the data in the precious problem, calculate the first period rates of return on the following indexes of the three stocks:a. a market value-weight index.答案：Total market value at t = 0 is: (9,000 + 10,000 + 20,000) = 39,000Total market value at t = 1 is: (9,500 + 9,000 + 22,000) = 40,500Rate of return = (40,500/39,000) – 1 = 3.85%b. an equally weighted index.答案：The return on each stock is as follows:R a = (95/90) – 1 = 0.0556R b = (45/50) – 1 = –0.10 R c = (110/100) – 1 = 0.10The equally-weighted average is: [0.0556 + (-0.10) + 0.10]/3 = 0.0185 = 1.85%3. suppose you short sell 100 shares of IBM, now selling at $120 per share.a. what is your maximum possible loss?答案：In principle, potential losses are unbounded, growing directly with increases in the price of IBM.b. what happens to the maximum loss if you simultaneously place a stop-buy order at $128.答案：If the stop-buy order can be filled at $128, the maximum possible loss per share is $8. If the price of IBM shares go above $128, then the stop-buy order would be executed, limiting the losses from the short sale.4. DRK, inc., has just sold 100,000 shares in an initial public offering. The underwriter’s explicit fees were $60,000. the offering price for the shares was $40, but immediately upone issue, the share price jumped to $44.a. what is your best guess as to the total cost to DRK of the equity issue?答案：In addition to the explicit fees of $60,000, DRK appears to have paid an implicit price inunderpricing of the IPO. The underpricing is $4 per share, or a total of $400,000, implying total costs of $460,000.b. is the entire cost of the underwriting a source of profit to the underwriters?答案：No. The underwriters do not capture the part of the costs corresponding to theunderpricing. The underpricing may be a rational marketing strategy. Without it, the underwriters would need to spend more resources in order to place the issue with the public. The underwriters would then need to charge higher explicit fees to the issuing firm. The issuing firm may be just as well off paying the implicit issuance cost represented by the underpricing.5. suppose that Intel currently is selling at $40 per share. You buy 500 sharesusing $15000 of your own money, borrowing the remainder of the purchase from your broker. The rate on the margin loan is 8%.a. what is the percentage increase in the net worth of your brokerage account if the price ofIntel immediately changes to :(i)$44; (ii)$40; (iii)$36? What is the relationship between your percentage return and the percentage change in the price of Intel?答案：(i) Net worth increases to: ($44 x 500) – $5,000 = $17,000Percentage gain = $2,000/$15,000 = 0.1333 = 13.33%(ii) With price unchanged, net worth is unchanged. Percentage gain = zero.(iii) Net worth falls to ($36 x 500) – $5,000 = $13,000 Percentage gain =(–$2,000/$15,000) = –0.1333 = –13.33%The relationship between the percentage return and the percentage change in the price of the stock is given by: % return = % change in price x equityinitial s Investor'investment Total = % change in price x 1.333 For example, when the stock price rises from $40 to $44, the percentage change in price is 10%, while the percentage gain for the investor is: % return = 10% x 000,15$000,20$ = 13.33% b. If the maintenance margin is 25%, how low can Intel ’ s price fall before you get amargin call?答案： The value of the 500 shares is 500P. Equity is (500P – $5,000). You will receive a margin call when:P500000,5$P 500 = 0.25 when P = $13.33 or lower c. How would your answer to (b)change if you had financed the initial purchase with only$10,000 of your own money?答案：The value of the 500 shares is 500P. But now you have borrowed $10,000 instead of$5,000. Therefore, equity is (500P – $10,000). You will receive a margin callwhen:P500000,10$P 500- = 0.25 when P = $26.67 With less equity in the account, you are far more vulnerable to a margin call.d. What is the rate of return on your margined position (assuming again that you invest$15,000 of your own money) if Intel is selling after on year at : (i) $44.; (ii) $40; (iii) $36? What is the relationship between your percentage return and the percentage change in the price of Intel? Assume that Intel pays no dividends.答案： By the end of the year, the amount of the loan owed to the broker grows to:$5,000 x1.08 = $5,400The equity in your account is (500P – $5,400). Initial equity was $15,000. Therefore, your rate of return after one year is as follows:（i ）000,15$000,15$400,5$)44$500(--⨯= 0.1067 = 10.67% (ii) 000,15$000,15$400,5$)40$500(--⨯= –0.0267 = –2.67% (iii)000,15$000,15$400,5$)36$500(--⨯= –0.1600 = –16.00% The relationship between the percentage return and the percentage change in the price of Intel is given by:% return = ⎪⎪⎭⎫ ⎝⎛⨯equity initial s Investor'investment Total price in change %⎪⎪⎭⎫ ⎝⎛⨯-equity initial s Investor'borrowed Funds %8 For example, when the stock price rises from $40 to $44, the percentage change in price is 10%, while the percentage gain for the investor is:⎪⎭⎫ ⎝⎛⨯000,15$000,20$%10⎪⎭⎫ ⎝⎛⨯-000,15$000,5$%8=10.67% e. Continue to assume that a year has passed. How low can Intel ’s price fall before you geta margin call?答案：The value of the 500 shares is 500P. Equity is (500P – $5,400). You will receive a margin call when:P500400,5$P 500- = 0.25 when P = $14.40 or lower . 6. suppose that you sell short 500 shares of intel , currently selling for $40 pershare, and give your broker $ 15,000 to establish your margin account. a. if you earn no interest on the funds in your margin account , what will be your rate ofreturn after one year if Intel stock is selling at: (i) $44.; (ii) $40; (iii) $36? Assume that Intel pays no dividends.答案：The gain or loss on the short position is: (–500 P)Invested funds = $15,000Therefore: rate of return = (–500 P)/15,000The rate of return in each of the three scenarios is:(i) rate of return = (–500 $)/$15,000 = –0.1333 = –13.33%(ii) rate of return = (–500$)/$15,000 = 0%(iii) rate of return = [–500 (–$4)]/$15,000 = +0.1333 = +13.33%Total assets in the margin account are $20,000 (from the sale of the stock) + $15,000 (the initial margin) = $35,000. Liabilities are 500P. A margin call will be issued when:= 0.25 when P = $56 or higherb.If the maintenance margin is 25%, how high can Intel’s price rise before you get amargin call?答案：With a $1 dividend, the short position must now pay on the borrowed shares: ($1/share 500 shares) = $500. Rate of return is now:[(–500P) – 500]/15,000(i) rate of return =[(–500 $4) – $500]/$15,000 = –0.1667 = –16.67%(ii) rate of return = [(–500 $0) – $500]/$15,000 = –0.0333 = –3.33%(iii) rate of return = [(–500) (–$4) – $500]/$15,000 = +0.1000 = +10.00%Total assets are $35,000, and liabilities are (500P + 500). A margin call will be issued when: = 0.25 when P = $55.20 or higher7.waht are some differences between hedge funds and mutual funds?答案：Hedge funds have much less regulation since they are part of private partnerships and free from mist SEC regulation. They permit investors to take on many risks unavailable to mutual funds. Hedge funds, however, may require higher fees and provide less transparency to investors. This offers significant counter party risk and hedge fund investors need to be more careful about the firm the invest with.8.city street fund has a portfolio of $ 450 million , and liabilities of $ 10 millon.a.if there are 44 million shares outstanding, what is net asset value?答案：(450,000,000 – 10,000,000) / 44,000,000 = $10 per shareb.If a large investor redeems 1 million shares, what happens to the portfolio value, toshares outstanding, and to NA V?答案：(440,000,000 – 10,000,000) / 43,000,000 = $10 per share9. a. Impressive fund had excellent investment performance last year, with portfolio returns that placed it in the top 10% of all funds with the same investment policy. Do you expect it to be a top performer next year? Why or why not?答案：Empirical research indicates that past performance of mutual funds is not highly predictive of future performance, especially for better-performing funds. While theremay be some tendency for the fund to be an above average performer next year, it isunlikely to once again be a top 10% performer.b. Suppose instead that the fund was among the poorest performers in its comparison group. Would you be more or less likely to believe its relative performance will persist into the following year? Why ?答案：On the other hand, the evidence is more suggestive of a tendency for poor performance to persist. This tendency is probably related to fund costs and turnover rates. Thusif the fund is among the poorest performers, investors would be concerned that thepoor performance will persist.10. Unlike other investors, you believe the Fed is going to dramatically loosenmonetary policy. What would be your recommendations about investments in the following industries ? a. gold mining b. construction答案：a. Gold Mining. Gold is traditionally viewed as a hedge against inflation.Expansionary monetary policy may lead to increased inflation, and could thusenhance the value of gold mining stocks.b. Construction. Expansionary monetary policy will lead to lower interest rates whichought to stimulate housing demand. The construction industry should benefit. 11. here are four industries and four forecasts for the macroeconomy. Choosethe industry that you would expect to perform best in each scenario.Industries: housing construction , health care , gold mining,, steel production.Economic Forecasts: Deep recession: Falling inflation, falling interest rates, falling GDP. Superheated economy: Rapidly rising GDP, increasing inflation and interest rates.Healthy expansion: Rising GDP, mild inflation, low unemployment. Stagflation: Falling GDP, high inflation.答案：Deep recession Health care (non-cyclical)Superheated economy Steel production (cyclical)Healthy expansion Housing construction (cyclical, but interest rate sensitive) Stagflation Gold mining (counter cyclical)最后那两个大题的大表格什么的我就不打了，这个答案直接复制上来了，那么明显的大表格一下就能知道哪道题了哈！第十二章课后CFA Problems中的2。