博迪投资学第九版英文答案
投资学(博迪)答案
(ii)价格不变，净价值不变。
收益百分比= 0。
(iii)净价值下跌至7 2美元×2 5 0-5 000美元=13 000美元。
收益百分比=2 000美元/15 000美元=-0.133 3=-1 3 . 3 3%
股票价格的百分比变化和投资者收益百分比关系由下式给定：
第五章利率史与风险溢价
1.根据表5-1，分析以下情况对真实利率的影响？
a.企业对其产品的未来需求日趋悲观，并决定减少其资本支出。
b.居民因为其未来社会福利保险的不确定性增加而倾向于更多地储蓄。
c.联邦储蓄委员会从公开市场上购买美国国债以增加货币供给。
a.如果企业降低资本支出，它们就很可能会减少对资金的需求。这将使得图5 - 1中的需求曲线向左上方移动，从而降低均衡实际利率。
a. Lanni公司向银行贷款。它共获得50000美元的现金，并且签发了一张票据保证3年内还款。
b. Lanni公司使用这笔现金和它自有的20000美元为其一新的财务计划软件开发提供融资。
c. Lanni公司将此软件产品卖给微软公司（Microsoft）,微软以它的品牌供应给公众，Lanni公司获得微软的股票1500股作为报酬。
10.67%; -2.67%; -16%
e.假设一年后，Intel股票价格降至多少时，投资者将受到追缴保证金的通知？p=28.8
购买成本是8 0美元×250=20 000美元。你从经纪人处借得5 000美元，并从自有资金中取出
15 000美元进行投资。你的保证金账户初始净价值为15 000美元。
a. (i)净价值增加了2 000美元，从15 000美元增加到：8 8美元×2 5 0-5 000美元=17 000美元。
博迪投资学第九版 Investment Chap015 习题答案
CHAPTER 15: THE TERM STRUCTURE OF INTEREST RATES PROBLEM SETS.1. In general, the forward rate can be viewed as the sum of the market‟s expectation ofthe future short rate plus a potential risk (or …liquidity‟) premium. According to the expectations theory of the term structure of interest rates, the liquidity premium is zero so that the forward rate is equal to the market‟s expectation of the future short rate. Therefore, the market‟s expectation of future short rates (i.e., forward rates) can be derived from the yield curve, and there is no risk premium for longermaturities.The liquidity preference theory, on the other hand, specifies that the liquiditypremium is positive so that the forward rate is greater than the market‟s expectation of the future short rate. This could result in an upward sloping term structure even if the market does not anticipate an increase in interest rates. The liquiditypreference theory is based on the assumption that the financial markets aredominated by short-term investors who demand a premium in order to be induced to invest in long maturity securities.2. True. Under the expectations hypothesis, there are no risk premia built into bondprices. The only reason for long-term yields to exceed short-term yields is anexpectation of higher short-term rates in the future.3. Uncertain. Expectations of lower inflation will usually lead to lower nominalinterest rates. Nevertheless, if the liquidity premium is sufficiently great, long-term yields may exceed short-term yields despite expectations of falling short rates.4. The liquidity theory holds that investors demand a premium to compensate them forinterest rate exposure and the premium increases with maturity. Add this premium to a flat curve and the result is an upward sloping yield curve.5. The pure expectations theory, also referred to as the unbiased expectations theory,purports that forward rates are solely a function of expected future spot rates.Under the pure expectations theory, a yield curve that is upward (downward)sloping, means that short-term rates are expected to rise (fall). A flat yield curveimplies that the market expects short-term rates to remain constant.6. The yield curve slopes upward because short-term rates are lower than long-term rates. Since market rates are determined by supply and demand, it follows thatinvestors (demand side) expect rates to be higher in the future than in the near-term. 7. Maturity Price YTM Forward Rate1 $943.40 6.00%2 $898.47 5.50% (1.0552/1.06) – 1 = 5.0% 3 $847.62 5.67% (1.05673/1.0552) – 1 = 6.0% 4$792.166.00%(1.064/1.05673) – 1 = 7.0%8.The expected price path of the 4-year zero coupon bond is shown below. (Note that we discount the face value by the appropriate sequence of forward rates implied by this year‟s yield curve.) Beginning of YearExpected PriceExpected Rate of Return 1 $792.16($839.69/$792.16) – 1 = 6.00% 2 69.839$07.106.105.1000,1$=⨯⨯($881.68/$839.69) – 1 = 5.00% 3 68.881$07.106.1000,1$=⨯($934.58/$881.68) – 1 = 6.00%458.934$07.1000,1$= ($1,000.00/$934.58) – 1 = 7.00% 9.If expectations theory holds, then the forward rate equals the short rate, and the one year interest rate three years from now would be43(1.07)1.08518.51%(1.065)-==10. a.A 3-year zero coupon bond with face value $100 will sell today at a yield of 6% and a price of:$100/1.063 =$83.96Next year, the bond will have a two-year maturity, and therefore a yield of 6% (from next year‟s forecasted yield curve). The price will be $89.00, resulting in a holding period return of 6%.b. The forward rates based on today‟s yield curve are as follows: Year Forward Rate2 (1.052/1.04) – 1 = 6.01% 3(1.063/1.052) – 1 = 8.03%Using the forward rates, the forecast for the yield curve next year is: Maturity YTM 1 6.01% 2 (1.0601 × 1.0803)1/2 – 1 = 7.02%The market forecast is for a higher YTM on 2–year bonds than your forecast. Thus, the market predicts a lower price and higher rate of return.11. a. 86.101$08.1109$07.19$P 2=+=b.The yield to maturity is the solution for y in the following equation:86.101$)y 1(109$y 19$2=+++ [Using a financial calculator, enter n = 2; FV = 100; PMT = 9; PV = –101.86; Compute i] YTM = 7.958%c.The forward rate for next year, derived from the zero-coupon yield curve, is the solution for f 2 in the following equation:0901.107.1)08.1(f 122==+ ⇒ f 2 = 0.0901 = 9.01%.Therefore, using an expected rate for next year of r 2 = 9.01%, we find that the forecast bond price is:99.99$0901.1109$P ==d.If the liquidity premium is 1% then the forecast interest rate is:E(r 2) = f 2 – liquidity premium = 9.01% – 1.00% = 8.01% The forecast of the bond price is:92.100$0801.1109$=12. a.The current bond price is:($85 × 0.94340) + ($85 × 0.87352) + ($1,085 × 0.81637) = $1,040.20 This price implies a yield to maturity of 6.97%, as shown by the following: [$85 × Annuity factor (6.97%, 3)] + [$1,000 × PV factor (6.97%, 3)] = $1,040.17b.If one year from now y = 8%, then the bond price will be:[$85 × Annuity factor (8%, 2)] + [$1,000 × PV factor (8%, 2)] = $1,008.92 The holding period rate of return is:[$85 + ($1,008.92 – $1,040.20)]/$1,040.20 = 0.0516 = 5.16%13. Year Forward Rate PV of $1 received at period end 1 5% $1/1.05 = $0.95242 7% $1/(1.05⨯1.07) = $0.890138%$1/(1.05⨯1.07⨯1.08) = $0.8241a. Price = ($60 × 0.9524) + ($60 × 0.8901) + ($1,060 × 0.8241) = $984.14b.To find the yield to maturity, solve for y in the following equation: $984.10 = [$60 × Annuity factor (y, 3)] + [$1,000 × PV factor (y, 3)] This can be solved using a financial calculator to show that y = 6.60%c.Period Payment received at end of period:Will grow by a factor of: To a future value of: 1 $60.00 1.07 ⨯ 1.08 $69.34 2 $60.00 1.08 $64.80 3 $1,060.00 1.00 $1,060.00$1,194.14$984.10 ⨯ (1 + y realized )3 = $1,194.141 + y realized = 0666.110.984$14.194,1$3/1=⎪⎭⎫⎝⎛ ⇒ y realized = 6.66%d.Next year, the price of the bond will be:[$60 × Annuity factor (7%, 2)] + [$1,000 × PV factor (7%, 2)] = $981.92 Therefore, there will be a capital loss equal to: $984.10 – $981.92 = $2.18 The holding period return is:%88.50588.010.984$)18.2$(60$==-+14. a.The return on the one-year zero-coupon bond will be 6.1%. The price of the 4-year zero today is:$1,000/1.0644 = $780.25Next year, i f the yield curve is unchanged, today‟s 4-year zero coupon bond will have a 3-year maturity, a YTM of 6.3%, and therefore the price will be:$1,000/1.0633 = $832.53The resulting one-year rate of return will be: 6.70%Therefore, in this case, the longer-term bond is expected to provide the higher return because its YTM is expected to decline during the holding period. b.If you believe in the expectations hypothesis, you would not expect that the yield curve next year will be the same as today‟s curve. The u pward slope in today's curve would be evidence that expected short rates are rising and that the yield curve will shift upward, reducing the holding period return on the four-year bond. Under the expectations hypothesis, all bonds have equal expected holding period returns. Therefore, you would predict that the HPR for the 4-year bond would be 6.1%, the same as for the 1-year bond.15. The price of the coupon bond, based on its yield to maturity, is:[$120 × Annuity factor (5.8%, 2)] + [$1,000 × PV factor (5.8%, 2)] = $1,113.99 If the coupons were stripped and sold separately as zeros, then, based on the yield to maturity of zeros with maturities of one and two years, respectively, the coupon payments could be sold separately for:08.111,1$06.1120,1$05.1120$2=+ The arbitrage strategy is to buy zeros with face values of $120 and $1,120, and respective maturities of one year and two years, and simultaneously sell the coupon bond. The profit equals $2.91 on each bond.16. a.The one-year zero-coupon bond has a yield to maturity of 6%, as shown below:1y 1100$34.94$+=⇒y 1 = 0.06000 = 6.000% The yield on the two-year zero is 8.472%, as shown below:22)y 1(100$99.84$+=⇒y 2 = 0.08472 = 8.472% The price of the coupon bond is:51.106$)08472.1(112$06.112$2=+Therefore: yield to maturity for the coupon bond = 8.333%[On a financial calculator, enter: n = 2; PV = –106.51; FV = 100; PMT = 12]b. %00.111100.0106.1)08472.1(1y 1)y 1(f 21222==-=-++=c.Expected price 90.100$11.1112$==(Note that next year, the coupon bond will have one payment left.) Expected holding period return =%00.60600.051.106$)51.106$90.100($12$==-+This holding period return is the same as the return on the one-year zero.d.If there is a liquidity premium, then: E(r 2) < f 2 E(Price) =90.100$)r (E 1112$2>+E(HPR) > 6%17. a.We obtain forward rates from the following table: Maturity YTM Forward Rate Price (for parts c, d) 1 year 10%$1,000/1.10 = $909.09 2 years 11% (1.112/1.10) – 1 = 12.01% $1,000/1.112 = $811.62 3 years 12% (1.123/1.112) – 1 = 14.03%$1,000/1.123 = $711.78b.We obtain next year‟s prices and yields by discounting each zero‟s face value at the forward rates for next year that we derived in part (a): Maturity PriceYTM1 year $1,000/1.1201 = $892.78 12.01%2 years$1,000/(1.1201 × 1.1403) = $782.9313.02%Note that this year‟s upward sloping yield curve implies, according t o the expectations hypothesis, a shift upward in next year‟s curve.c.Next year, the 2-year zero will be a 1-year zero, and will therefore sell at a price of: $1,000/1.1201 = $892.78Similarly, the current 3-year zero will be a 2-year zero and will sell for: $782.93 Expected total rate of return:2-year bond: %00.1011000.1162.811$78.892$=-=-3-year bond:%00.1011000.1178.711$93.782$=-=-d.The current price of the bond should equal the value of each payment times the present value of $1 to be received at the “maturity” of th at payment. The present value schedule can be taken directly from the prices of zero-coupon bonds calculated above.Current price = ($120 × 0.90909) + ($120 × 0.81162) + ($1,120 × 0.71178)= $109.0908 + $97.3944 + $797.1936 = $1,003.68Similarly, the expected prices of zeros one year from now can be used to calculate the expected bond value at that time:Expected price 1 year from now = ($120 × 0.89278) + ($1,120 × 0.78293)= $107.1336 + $876.8816 = $984.02Total expected rate of return =%00.101000.068.003,1$)68.003,1$02.984($120$==-+18. a.Maturity (years) Price YTM Forward rate 1 $925.93 8.00% 2 $853.39 8.25% 8.50% 3 $782.92 8.50% 9.00% 4 $715.00 8.75% 9.50% 5$650.009.00%10.00%b.For each 3-year zero issued today, use the proceeds to buy:$782.92/$715.00 = 1.095 four-year zerosYour cash flows are thus as follows:Time Cash Flow0 $ 03 -$1,000 The 3-year zero issued at time 0 matures;the issuer pays out $1,000 face value4 +$1,095 The 4-year zeros purchased at time 0 mature;receive face valueThis is a synthetic one-year loan originating at time 3. The rate on thesynthetic loan is 0.095 = 9.5%, precisely the forward rate for year 4.c. For each 4-year zero issued today, use the proceeds to buy:$715.00/$650.00 = 1.100 five-year zerosYour cash flows are thus as follows:Time Cash Flow0 $ 04 -$1,000 The 4-year zero issued at time 0 matures;the issuer pays out $1,000 face value5 +$1,100 The 5-year zeros purchased at time 0 mature;receive face valueThis is a synthetic one-year loan originating at time 4. The rate on thesynthetic loan is 0.100 = 10.0%, precisely the forward rate for year 5.19. a. For each three-year zero you buy today, issue:$782.92/$650.00 = 1.2045 five-year zerosThe time-0 cash flow equals zero.b. Your cash flows are thus as follows:Time Cash Flow0 $ 03 +$1,000.00 The 3-year zero purchased at time 0 matures;receive $1,000 face value5 -$1,204.50 The 5-year zeros issued at time 0 mature;issuer pays face valueThis is a synthetic two-year loan originating at time 3.c.The effective two-year interest rate on the forward loan is:$1,204.50/$1,000 1 = 0.2045 = 20.45%d.The one-year forward rates for years 4 and 5 are 9.5% and 10%, respectively. Notice that:1.095 × 1.10 = 1.2045 =1 + (two-year forward rate on the 3-year ahead forward loan)The 5-year YTM is 9.0%. The 3-year YTM is 8.5%. Therefore, another way to derive the 2-year forward rate for a loan starting at time 3 is:%46.202046.01085.109.11)y 1()y 1()2(f 3533553==-=-++= [Note: slight discrepancies here from rounding errors in YTM calculations]CFA PROBLEMS1. Expectations hypothesis: The yields on long-term bonds are geometric averages ofpresent and expected future short rates. An upward sloping curve is explained by expected future short rates being higher than the current short rate. A downward-sloping yield curve implies expected future short rates are lower than the current short rate. Thus bonds of different maturities have different yields if expectations of future short rates are different from the current short rate.Liquidity preference hypothesis: Yields on long-term bonds are greater than the expected return from rolling-over short-term bonds in order to compensate investors in long-term bonds for bearing interest rate risk. Thus bonds of different maturities can have different yields even if expected future short rates are all equal to the current short rate. An upward sloping yield curve can be consistent even with expectations of falling short rates if liquidity premiums are high enough. If,however, the yield curve is downward sloping and liquidity premiums are assumed to be positive, then we can conclude that future short rates are expected to be lower than the current short rate. 2. d. 3.a.(1+y 4 )4 = (1+ y 3 )3 (1 + f 4 ) (1.055)4 = (1.05)3 (1 + f 4 )1.2388 = 1.1576 (1 + f 4 ) ⇒ f 4 = 0.0701 = 7.01%b.The conditions would be those that underlie the expectations theory of the term structure: risk neutral market participants who are willing to substitute among maturities solely on the basis of yield differentials. This behavior would rule out liquidity or term premia relating to risk.c.Under the expectations hypothesis, lower implied forward rates wouldindicate lower expected future spot rates for the corresponding period. Since the lower expected future rates embodied in the term structure are nominal rates, either lower expected future real rates or lower expected future inflation rates would be consistent with the specified change in the observed (implied) forward rate.4.The given rates are annual rates, but each period is a half-year. Therefore, the per period spot rates are 2.5% on one-year bonds and 2% on six-month bonds. The semiannual forward rate is obtained by solving for f in the following equation:030.102.1025.1f 12==+This means that the forward rate is 0.030 = 3.0% semiannually, or 6.0% annually. 5.The present value of each bond‟s payments can be derived by discounting each cash flow by the appropriate rate from the spot interest rate (i.e., the pure yield) curve:Bond A: 53.98$11.1110$08.110$05.110$PV 32=++= Bond B:36.88$11.1106$08.16$05.16$PV 32=++=Bond A sells for $0.13 (i.e., 0.13% of par value) less than the present value of itsstripped payments. Bond B sells for $0.02 less than the present value of its stripped payments. Bond A is more attractively priced. 6. a.Based on the pure expectations theory, VanHusen‟s conclusion is incorrect. According to this theory, the expected return over any time horizon would be the same, regardless of the maturity strategy employed.b. According to the liquidity preference theory, the shape of the yield curveimplies that short-term interest rates are expected to rise in the future. Thistheory asserts that forward rates reflect expectations about future interest ratesplus a liquidity premium that increases with maturity. Given the shape of theyield curve and the liquidity premium data provided, the yield curve would stillbe positively sloped (at least through maturity of eight years) after subtractingthe respective liquidity premiums:2.90% – 0.55% = 2.35%3.50% – 0.55% = 2.95%3.80% – 0.65% = 3.15%4.00% – 0.75% = 3.25%4.15% – 0.90% = 3.25%4.30% – 1.10% = 3.20%4.45% – 1.20% = 3.25%4.60% – 1.50% = 3.10%4.70% – 1.60% = 3.10%7. The coupon bonds can be viewed as portfolios of stripped zeros: each coupon canstand alone as an independent zero-coupon bond. Therefore, yields on couponbonds reflect yields on payments with dates corresponding to each coupon. When the yield curve is upward sloping, coupon bonds have lower yields than zeroswith the same maturity because the yields to maturity on coupon bonds reflect the yields on the earlier interim coupon payments.8. The following table shows the expected short-term interest rate based on theprojections of Federal Reserve rate cuts, the term premium (which increases at arate of 0.10% per 12 months), the forward rate (which is the sum of the expectedrate and term premium), and the YTM, which is the geometric average of theforward rates.Time Expectedshort rateTermpremiumForwardrate (annual)Forward rate(semi-annual)YTM(semi-annual)0 5.00% 0.00% 5.00% 2.500% 2.500% 6 months 4.50 0.05 4.55 2.275 2.387 12 months 4.00 0.10 4.10 2.050 2.275 18 months 4.00 0.15 4.15 2.075 2.225 24 months 4.00 0.20 4.20 2.100 2.200 30 months 5.00 0.25 5.25 2.625 2.271 36 months 5.00 0.30 5.30 2.650 2.334 This analysis is predicated on the liquidity preference theory of the term structure, which asserts that the forward rate in any period is the sum of the expected short rate plus the liquidity premium.9. a. Five-year Spot Rate:5544332211)y 1(070,1$)y 1(70$)y 1(70$)y 1(70$)y 1(70$000,1$+++++++++= 55432)y 1(070,1$)0716.1(70$)0605.1(70$)0521.1(70$)05.1(70$000,1$+++++= 55)y 1(070,1$08.53$69.58$24.63$67.66$000,1$+++++= 55)y 1(070,1$32.758$+= 32.758$070,1$)y 1(55=+⇒%13.71411.1y 55=-= Five-year Forward Rate:%01.710701.11)0716.1()0713.1(45=-=-b. The yield to maturity is the single discount rate that equates the present valueof a series of cash flows to a current price. It is the internal rate of return. The short rate for a given interval is the interest rate for that interval available at different points in time.The spot rate for a given period is the yield to maturity on a zero-coupon bond that matures at the end of the period. A spot rate is the discount rate for each period. Spot rates are used to discount each cash flow of a coupon bond in order to calculate a current price. Spot rates are the rates appropriate fordiscounting future cash flows of different maturities.A forward rate is the implicit rate that links any two spot rates. Forward rates are directly related to spot rates, and therefore to yield to maturity. Some would argue (as in the expectations hypothesis) that forward rates are the market expectations of future interest rates. A forward rate represents abreak-even rate that links two spot rates. It is important to note that forward rates link spot rates, not yields to maturity.Yield to maturity is not unique for any particular maturity. In other words, two bonds with the same maturity but different coupon rates may havedifferent yields to maturity. In contrast, spot rates and forward rates for each date are unique.c.The 4-year spot rate is 7.16%. Therefore, 7.16% is the theoretical yield to maturity for the zero-coupon U.S. Treasury note. The price of the zero-coupon note discounted at 7.16% is the present value of $1,000 to be received in 4 years. Using annual compounding: 35.758$)0716.1(000,1$PV 4==10. a.The two-year implied annually compounded forward rate for a deferred loan beginning in 3 years is calculated as follows: %07.60607.0111.109.11)y 1()y 1()2(f 2/1352/133553==-⎥⎦⎤⎢⎣⎡=-⎥⎦⎤⎢⎣⎡++=b. Assuming a par value of $1,000, the bond price is calculated as follows: 10.987$)09.1(090,1$)10.1(90$)11.1(90$)12.1(90$)13.1(90$)y 1(090,1$)y 1(90$)y 1(90$)y 1(90$)y 1(90$P 543215544332211=++++=+++++++++=。
博迪的投资学第二章练习题(英)
21.Which of the following is not a money market instrument?A. Treasury billB. Commercial paperC. Preferred stockD. Banker's acceptance2.Thirteen week T-bill auctions are conducted ____.A. dailyB. weeklyC. monthlyD. quarterly3.When computing the bank discount yield you would use ____ days in the year.A. 260B. 360C. 365D. 3664. A dollar denominated deposit at a London bank is called _____.A. eurodollarsB. LIBORC. fed fundsD. banker's acceptance5.Money market securities are sometimes referred to as "cash equivalent" because _____.A. they are safe and marketableB. they are not liquidC. they are high riskD. they are low denomination6.The most actively traded money market security isA. Treasury billsB. Bankers' AcceptancesC. Certificates of DepositD. Common stock7.______ voting of common stock gives minority shareholders the most representation on the board ofdirectors.A. MajorityB. CumulativeC. RightsD. Proxy8.An investor in a T-bill earns interest by _________.A. receiving interest payments every 90 daysB. receiving dividend payments every 30 daysC. converting the T-bill at maturity into a higher valued T-noteD. buying the bill at a discount from the face value received at maturity9.______ would not be included in the EAFE index.A. AustraliaB. CanadaC. FranceD. Japan10._____ is considered to be an emerging market country.A. FranceB. NorwayC. BrazilD. Canada11.Which one of the following is a true statement?A. Dividends on preferred stocks are tax-deductible to individual investors but not to corporate investorsB. Common dividends cannot be paid if preferred dividends are in arrears on cumulative preferred stockC. Preferred stockholders have voting powerD. Investors can sue managers for nonpayment of preferred dividends12.The bid price of a treasury bill is _________.A. the price at which the dealer in treasury bills is willing to sell the billB. the price at which the dealer in treasury bills is willing to buy the billC. greater than the ask price of the treasury bill expressed in dollar termsD. the price at which the investor can buy the treasury bill13.The German stock market is measured by which market index?A. FTSEB. Dow Jones 30C. DAXD. Nikkei14.Deposits of commercial banks at the Federal Reserve are called _____.A. bankers acceptancesB. federal fundsC. repurchase agreementsD. time deposits15.Which of the following is not a true statement regarding municipal bonds?A. A municipal bond is a debt obligation issued by state or local governments.B. A municipal bond is a debt obligation issued by the Federal Government.C. The interest income from a municipal bond is exempt from federal income taxation.D. The interest income from a municipal bond is exempt from state and local taxation in the issuing state.16.Which of the following is not a characteristic of a money market instrument?A. LiquidityB. MarketabilityC. Low riskD. Maturity greater than one year17.An individual who goes short in a futures positionA. commits to delivering the underlying commodity at contract maturityB. commits to purchasing the underlying commodity at contract maturityC. has the right to deliver the underlying commodity at contract maturityD. has the right to purchase the underlying commodity at contract maturity18.Which of the following is not a nickname for an agency associated with the mortgage markets?A. Fannie MaeB. Freddie MacC. Sallie MaeD. Ginnie Maemercial paper is a short-term security issued by __________ to raise funds.A. the Federal ReserveB. commercial banksC. large well-known companiesD. the New York Stock Exchange20.The maximum maturity on commercial paper isA. 270 daysB. 180 daysC. 90 daysD. 30 days21.Which one of the following is a true statement regarding the Dow Jones Industrial Average?A. It is a value-weighted average of 30 large industrial stocksB. It is a price-weighted average of 30 large industrial stocksC. It is a price-weighted average of 100 large stocks traded on the New York Stock ExchangeD. It is a value-weighted average of all stocks traded on the New York Stock Exchange22.Treasury bills are financial instruments issued by __________ to raise funds.A. commercial banksB. the Federal GovernmentC. large corporationsD. state and city governments23.Which of the following are true statements about T-bills?I. T-bills typically sell in denominations of $10,000II. Income earned on T-bills is exempt from all Federal taxesIII. Income earned on T-bills is exempt from state and local taxesA. I onlyB. I and II onlyC. I and III onlyD. I, II and III24. A bond that has no collateral is called _________.A. a callable bondB. a debentureC. a junk bondD. a mortgage25. A __________ gives its holder the right to sell an asset for a specified exercise price on or before aspecified expiration date.A. call optionB. futures contractC. put optionD. interest rate swap26. A T-bill quote sheet has 90 day T-bill quotes with a 4.92 bid and a 4.86 ask. If the bill has a $10,000 facevalue an investor could buy this bill forA. $10,000.00B. $9,878.50C. $9,877.00D. $9,880.1627.Which one of the following is a true statement regarding corporate bonds?A. A corporate callable bond gives its holder the right to exchange it for a specified number of thecompany's common sharesB. A corporate debenture is a secured bondC. A corporate convertible bond gives its holder the right to exchange it for a specified number of thecompany's common sharesD. Holders of corporate bonds have voting rights in the company28.The yield on tax-exempt bonds is ______.A. usually less than 50% of the yield on taxable bondsB. normally about 90% of the yield on taxable bondsC. greater than the yield on taxable bondsD. less than the yield on taxable bonds29.__________ is not a money market instrument.A. A certificate of depositB. A treasury billC. A treasury bondD. Commercial paper30.An investor buys a T-bill at a bank discount quote of 4.80 with 150 days to maturity. The investor's actualannual rate of return on this investment was _____.A. 4.80%B. 4.97%C. 5.47%D. 5.74%31.The U.K. stock index is the _________.A. DAXB. FTSEC. GSED. TSE32. A __________ gives its holder the right to buy an asset for a specified exercise price on or before aspecified expiration date.A. call optionB. futures contractC. put optionD. interest rate swap33.Which one of the following provides the best example of securitization?A. convertible bondB. call optionC. mortgage pass-through securityD. preferred stock34.Which of the following indices are market-value weighted?I. The NYSE CompositeII. The S&P 500III. The Wilshire 5000A. I and II onlyB. II and III onlyC. I and III onlyD. I, II and III35.The interest rate charged by large banks in London to lend money among themselves is called _________.A. the prime rateB. the discount rateC. the federal funds rateD. LIBOR36. A firm that has large securities holdings that wishes to raise money for a short length of time may be able tofind the cheapest financing from which of the following?A. Reverse repurchase agreementB. Banker's acceptanceC. Commercial paperD. Repurchase agreement37.Currently the Dow Jones Industrial Average is computed by _________.A. adding the prices of 30 large "blue-chip" stocks and dividing by 30B. calculating the total market value of the 30 firms in the index and dividing by 30C. measuring the current total market value of the 30 stocks in the index relative to the total value on theprevious dayD. a dding the prices of 30 large "blue-chip" stocks and dividing by a divisor adjusted for stock splits andlarge stock dividends38.An investor purchases one municipal and one corporate bond that pay rates of return of 5.00% and 6.40%respectively. If the investor is in the 15% tax bracket, his after tax rates of return on the municipal and corporate bonds would be respectivelyA. 5.00% and 6.40%B. 5.00% and 5.44%C. 4.25% and 6.40%D. 5.75% and 5.44%39.If a treasury note has a bid price of $996.25, the quoted bid price in the Wall Street Journal would be_________.A. 99:25B. 99:63C. 99:20D. 99:0840.TIPS are ______.A. Treasury bonds that pay a variable rate of interestB. U.K. bonds that protect investors from default riskC. securities that trade on the Toronto stock indexD. Treasury bonds that protect investors from inflation41.The price quotations of treasury bonds in the Wall Street Journal show a bid price of 102:12 and an askprice of 102:14. If you sold the bond you expect to receive _________.A. $1,024.75B. $1,024.38C. $1,023.75D. $1,022.5042.The Dow Jones Industrial Average is _________.A. a price weighted averageB. a value weight and averageC. an equally weighted averageD. an unweighted average43.Investors will earn higher rates of returns on TIPS than equivalent default risk standard bonds if_______________.A. inflation is lower than anticipated over the investment periodB. inflation is higher than anticipated over the investment periodC. the U.S. dollar increases in value against the euroD. the spread between commercial paper and Treasury securities remains low44.Preferred stock is like long-term debt in that ___________.A. it gives the holder voting power regarding the firm's managementB. it promises to pay to its holder a fixed stream of income each yearC. the preferred dividend is a tax-deductible expense for the firmD. in the event of bankruptcy preferred stock has equal status with debt45.Which of the following does not approximate the performance of a buy and hold portfolio strategy?A. An equally weighted indexB. A price weighted indexC. A value weighted indexD. Weights are not a factor in this situation46.In calculating the Dow Jones Industrial Average, the adjustment for a stock split occurs _________.A. automaticallyB. by adjusting the divisorC. by adjusting the numeratorD. by adjusting the market value weights47.If the market prices of the 30 stocks in the Dow Jones Industrial Average all change by the same dollaramount on a given day, assuming there are no stock splits which stock will have the greatest impact on the average?A. The one with the highest priceB. The one with the lowest priceC. All 30 stocks will have the same impactD. The answer cannot be determined by the information given48. A bond issued by the State of Alabama is priced to yield 6.25%. If you are in the 28% tax bracket this bondwould provide you with an equivalent taxable yield of _________.A. 4.50%B. 7.25%C. 8.68%D. none of the above49.The purchase of a futures contract gives the buyer _________.A. the right to buy an item at a specified priceB. the right to sell an item at a specified priceC. the obligation to buy an item at a specified priceD. the obligation to sell an item at a specified price50.Ownership of a put option entitles the owner to the __________ to ___________ a specific stock, on orbefore a specific date, at a specific price.A. right, buyB. right, sellC. obligation, buyD. obligation, sell51.An investor in a 28% tax bracket is trying to decide whether to invest in a municipal bond or a corporatebond. She looks up municipal bond yields (r m) but wishes to calculate the taxable equivalent yield r. The formula she should use is given by ______.A. r = r m * (1 - 28%)B. r = r m/(1 - 72%)C. r = r m * (1 - 72%)D. r = r m/(1 - 28%)52.June call and put options on King Books Inc are available with exercise prices of $30, $35 and $40. Amongthe different exercise prices, the call option with the _____ exercise price and the put option with the _____ exercise price will have the greatest value.A. $40; $30B. $30; $40C. $35; $35D. $40; $4053.Ownership of a call option entitles the owner to the __________ to __________ a specific stock, on orbefore a specific date, at a specific price.A. right, buyB. right, sellC. obligation, buyD. obligation, sell54.The ________ the ratio of municipal bond yields to corporate bond yields the _________ the cutoff taxbracket where more individuals will prefer to hold municipal debt.A. higher; lowerB. lower; lowerC. lower; higherD. higher; higher55.Which of the following types of bonds are excluded from most bond indices?A. Corporate bondsB. Junk bondsC. Municipal bondsD. None of the above56.The Hang Seng index reflects market performance on which of the following major stock markets?A. JapanB. SingaporeC. TaiwanD. Hong Kong57.The Standard and Poors 500 is a(n) __________ weighted index.A. equallyB. priceC. valueD. share58. A firm that fails to pay dividends on its preferred stock is said to be _________.A. insolventB. in arrearsC. insufferableD. delinquentrge well-known companies often issue their own short term unsecured debt notes directly to the public,rather than borrowing from banks, their notes are called _________.A. certificates of depositB. repurchase agreementsC. banker's acceptancesD. commercial paper60.Which of the following is most like a short-term collateralized loan?A. Certificate of depositB. Repurchase agreementC. Banker's acceptanceD. Commercial paper61.Eurodollars are _________.A. dollar denominated deposits at any foreign bank or foreign branch of an American bankB. dollar denominated bonds issued by firms outside their home marketC. currency issued by Euro Disney and traded in FranceD. dollars that wind up in banks as a result of money laundering activities62.Which of the following is used to back international sales of goods and services?A. Certificate of depositB. Banker's acceptanceC. Eurodollar depositsD. Commercial paper63.Treasury notes have initial maturities between ________ years.A. 2 and 4B. 5 and 10C. 10 and 30D. 1 and 1064.Which of the following are not characteristic of common stock ownership?A. Residual claimantB. Unlimited liabilityC. Voting rightsD. Limited life of the security65.If you thought prices of stock would be rising over the next few months you may wish to__________________ on the stock.A. purchase a call optionB. purchase a put optionC. sell a futures contractD. place a short sale order66. A typical bond price quote includes all but which one of the following?A. Daily high price for the bondB. Closing bond priceC. Yield to maturityD. Dividend yield67.What are business firms most likely to use derivative securities for?A. HedgingB. SpeculatingC. Doing calculus problemsD. Market making68.What would you expect to have happened to the spread between yields on commercial paper and Treasurybills immediately after September 11, 2001?A. No change, as both yields will remain the same.B. Increase, the spread usually increases in response to a crisis.C. Decrease, the spread usually decreases in response to a crisis.D. No change, as both yields will move in the same direction.69. A stock quote indicates a stock price of $60 and a dividend yield of 3%. The latest quarterly dividendreceived by stock investors must have been ______ per share.A. $0.55B. $1.80C. $0.45D. $1.2570.Three stocks have share prices of $12, $75, and $30 with total market values of $400 million, $350 millionand $150 million respectively. If you were to construct a price-weighted index of the three stocks what would be the index value?A. 300B. 39C. 43D. 3071.Which of the following is not considered a money market investment?A. Bankers acceptancesB. EurodollarC. Repurchase agreementD. Treasury note72.The Federal Reserve Board of Governors directly controls which of the following interest rates?A. Bankers acceptancesB. Brokers callC. Federal fundsD. LIBOR73.You decide to purchase an equal number of shares of stocks of firms to create a portfolio. If you wishedto construct an index to track your portfolio performance your best match for your portfolio would be to construct a/an ______.A. value weighted indexB. equal weighted indexC. price weighted indexD. bond price index74.In a ___________ index changes in the value of the stock with the greatest market value will move theindex value the most everything else equal.A. value weighted indexB. equal weighted indexC. price weighted indexD. bond price index75. A corporation in a 34% tax bracket invests in the preferred stock of another company and earns a 6% pre-tax rate of return. An individual investor in a 15% tax bracket invests in the same preferred stock and earns the same pre-tax return. The after tax return to the corporation is _______ and the after tax return to the individual investor is _______.A. 3.96%; 5.1%B. 5.39%; 5.1%C. 6.00%; 6.00%D. 3.96%; 6.00%76.All but which one of the following indices is value weighted?A. Nasdaq CompositeB. S&P 500C. Wilshire 5000D. DJIA77.What is the tax exempt equivalent yield on a 9% bond yield given a marginal tax rate of 28%?A. 6.48%B. 7.25%C. 8.02%D. 9.00%78. A tax free municipal bond provides a yield of 3.2%. What is the equivalent taxable yield on the bond givena 35% tax bracket?A. 3.20%B. 3.68%C. 4.92%D. 5.00%79.An index computed from a simple average of returns is a/an _____.A. equal weighted indexB. value weighted indexC. price weighted indexD. share weighted index80. A tax free municipal bond provides a yield of 2.34%. What is the equivalent taxable yield on the bondgiven a 28% tax bracket?A. 2.34%B. 2.68%C. 3.25%D. 4.92%81.The Chompers Index is a price weighted stock index based on the 3 largest fast food chains. The stockprices for the three stocks are $54, $23, and $44. What is the price weighted index value of the Chompers Index?A. 23.43B. 35.36C. 40.33D. 49.5882.The Hydro Index is a price weighted stock index based on the 5 largest boat manufacturers in the nation.The stock prices for the five stocks are $10, $20, $80, $50 and $40. The price of the last stock was just split2 for 1 and the stock price was halved from $40 to $20. What is the new divisor for a price weighted index?A. 5.00B. 4.85C. 4.50D. 4.7583. A benchmark index has three stocks priced at $23, $43, and $56. The number of outstanding shares foreach is 350,000 shares, 405,000 shares, and 553,000 shares, respectively. If the market value weighted index was 970 yesterday and the prices changed to $23, $41, and $58, what is the new index value?A. 960B. 970C. 975D. 98584. A benchmark market value index is comprised of three stocks. Yesterday the three stocks were pricedat $12, $20, and $60. The number of outstanding shares for each is 600,000 shares, 500,000 shares, and 200,000 shares, respectively. If the stock prices changed to $16, $18, and $62 today respectively, what is the one day rate of return on the index?A. 5.78%B. 4.35%C. 6.16%D. 7.42%85.Which of the following mortgage scenarios will benefit the homeowner the most?A. Adjustable rate mortgage when interest rate increases.B. Fixed rate mortgage when interest rates falls.C. Fixed rare mortgage when interest rate rises.D. None of the above, as banker's interest will always be protected.2 Key1.Which of the following is not a money market instrument?A. Treasury billB. Commercial paperC.Preferred stockD. Banker's acceptanceBodie - Chapter 02 #1Difficulty: Easy2.Thirteen week T-bill auctions are conducted ____.A. dailyB. weeklyC. monthlyD. quarterlyBodie - Chapter 02 #2Difficulty: Easy3.When computing the bank discount yield you would use ____ days in the year.A. 260B. 360C. 365D. 366Bodie - Chapter 02 #3Difficulty: Medium4. A dollar denominated deposit at a London bank is called _____.A. eurodollarsB. LIBORC. fed fundsD. banker's acceptanceBodie - Chapter 02 #4Difficulty: Easy5.Money market securities are sometimes referred to as "cash equivalent" because _____.A. they are safe and marketableB. they are not liquidC. they are high riskD. they are low denominationBodie - Chapter 02 #5Difficulty: Easy6.The most actively traded money market security isA. Treasury billsB. Bankers' AcceptancesC. Certificates of DepositD. Common stockBodie - Chapter 02 #6Difficulty: Medium 7.______ voting of common stock gives minority shareholders the most representation on the board ofdirectors.A. MajorityB.CumulativeC. RightsD. ProxyBodie - Chapter 02 #7Difficulty: Medium8.An investor in a T-bill earns interest by _________.A. receiving interest payments every 90 daysB. receiving dividend payments every 30 daysC. converting the T-bill at maturity into a higher valued T-noteD.buying the bill at a discount from the face value received at maturityBodie - Chapter 02 #8Difficulty: Easy9.______ would not be included in the EAFE index.A. AustraliaB. CanadaC. FranceD. JapanBodie - Chapter 02 #9Difficulty: Hard10._____ is considered to be an emerging market country.A. FranceB. NorwayC. BrazilD. CanadaBodie - Chapter 02 #10Difficulty: Medium11.Which one of the following is a true statement?A.D ividends on preferred stocks are tax-deductible to individual investors but not to corporateinvestorsB. Common dividends cannot be paid if preferred dividends are in arrears on cumulative preferred stockC. Preferred stockholders have voting powerD. Investors can sue managers for nonpayment of preferred dividendsBodie - Chapter 02 #11Difficulty: Medium12.The bid price of a treasury bill is _________.A. the price at which the dealer in treasury bills is willing to sell the billB.the price at which the dealer in treasury bills is willing to buy the billC. greater than the ask price of the treasury bill expressed in dollar termsD. the price at which the investor can buy the treasury billBodie - Chapter 02 #12Difficulty: Easy13.The German stock market is measured by which market index?A. FTSEB. Dow Jones 30C. DAXD. NikkeiBodie - Chapter 02 #13Difficulty: Easy14.Deposits of commercial banks at the Federal Reserve are called _____.A. bankers acceptancesB. federal fundsC. repurchase agreementsD. time depositsBodie - Chapter 02 #14Difficulty: Easy15.Which of the following is not a true statement regarding municipal bonds?A. A municipal bond is a debt obligation issued by state or local governments.B. A municipal bond is a debt obligation issued by the Federal Government.C. The interest income from a municipal bond is exempt from federal income taxation.D.T he interest income from a municipal bond is exempt from state and local taxation in the issuingstate.Bodie - Chapter 02 #15Difficulty: Easy16.Which of the following is not a characteristic of a money market instrument?A. LiquidityB. MarketabilityC. Low riskD. Maturity greater than one yearBodie - Chapter 02 #16Difficulty: Easy17.An individual who goes short in a futures positionA. commits to delivering the underlying commodity at contract maturityB. commits to purchasing the underlying commodity at contract maturityC. has the right to deliver the underlying commodity at contract maturityD. has the right to purchase the underlying commodity at contract maturityBodie - Chapter 02 #17Difficulty: Easy18.Which of the following is not a nickname for an agency associated with the mortgage markets?A. Fannie MaeB. Freddie MacC. Sallie MaeD. Ginnie MaeBodie - Chapter 02 #18Difficulty: Easymercial paper is a short-term security issued by __________ to raise funds.A. the Federal ReserveB. commercial banksC. large well-known companiesD. the New York Stock ExchangeBodie - Chapter 02 #19Difficulty: Easy20.The maximum maturity on commercial paper isA. 270 daysB. 180 daysC. 90 daysD. 30 daysBodie - Chapter 02 #20Difficulty: Medium21.Which one of the following is a true statement regarding the Dow Jones Industrial Average?A. It is a value-weighted average of 30 large industrial stocksB. It is a price-weighted average of 30 large industrial stocksC. It is a price-weighted average of 100 large stocks traded on the New York Stock ExchangeD. It is a value-weighted average of all stocks traded on the New York Stock ExchangeBodie - Chapter 02 #21Difficulty: Easy22.Treasury bills are financial instruments issued by __________ to raise funds.A. commercial banksB. the Federal GovernmentC. large corporationsD. state and city governmentsBodie - Chapter 02 #22Difficulty: Easy23.Which of the following are true statements about T-bills?I. T-bills typically sell in denominations of $10,000II. Income earned on T-bills is exempt from all Federal taxesIII. Income earned on T-bills is exempt from state and local taxesA. I onlyB. I and II onlyC. I and III onlyD. I, II and IIIBodie - Chapter 02 #23Difficulty: Medium24. A bond that has no collateral is called _________.A. a callable bondB.a debentureC. a junk bondD. a mortgageBodie - Chapter 02 #24Difficulty: Easy 25. A __________ gives its holder the right to sell an asset for a specified exercise price on or before aspecified expiration date.A. call optionB. futures contractC.put optionD. interest rate swapBodie - Chapter 02 #25Difficulty: Easy 26. A T-bill quote sheet has 90 day T-bill quotes with a 4.92 bid and a 4.86 ask. If the bill has a $10,000face value an investor could buy this bill forA. $10,000.00B. $9,878.50C. $9,877.00D. $9,880.16Bodie - Chapter 02 #26Difficulty: Hard27.Which one of the following is a true statement regarding corporate bonds?A.A corporate callable bond gives its holder the right to exchange it for a specified number of thecompany's common sharesB. A corporate debenture is a secured bondC.A corporate convertible bond gives its holder the right to exchange it for a specified number of thecompany's common sharesD. Holders of corporate bonds have voting rights in the companyBodie - Chapter 02 #27Difficulty: Medium28.The yield on tax-exempt bonds is ______.A. usually less than 50% of the yield on taxable bondsB. normally about 90% of the yield on taxable bondsC. greater than the yield on taxable bondsD. less than the yield on taxable bondsBodie - Chapter 02 #28Difficulty: Easy29.__________ is not a money market instrument.A. A certificate of depositB. A treasury billC. A treasury bondD. Commercial paperBodie - Chapter 02 #29Difficulty: Easy 30.An investor buys a T-bill at a bank discount quote of 4.80 with 150 days to maturity. The investor'sactual annual rate of return on this investment was _____.A. 4.80%B. 4.97%C. 5.47%D. 5.74%Bodie - Chapter 02 #30Difficulty: Hard31.The U.K. stock index is the _________.A.DAXB. FTSEC. GSED. TSEBodie - Chapter 02 #31Difficulty: Easy。
博迪投资学第九版英文答案(供参考)
CHAPTER 1: THE INVESTMENT ENVIRONMENT PROBLEM SETS1.Ultimately, it is true that real assets determine the material well being of aneconomy. Nevertheless, individuals can benefit when financial engineering creates new products that allow them to manage their portfolios of financial assets moreefficiently. Because bundling and unbundling creates financial products with newproperties and sensitivities to various sources of risk, it allows investors to hedgeparticular sources of risk more efficiently.2.Securitization requires access to a large number of potential investors. To attractthese investors, the capital market needs:1. a safe system of business laws and low probability of confiscatorytaxation/regulation;2. a well-developed investment banking industry;3. a well-developed system of brokerage and financial transactions, and;4.well-developed media, particularly financial reporting.These characteristics are found in (indeed make for) a well-developed financialmarket.3.Securitization leads to disintermediation; that is, securitization provides a means formarket participants to bypass intermediaries. For example, mortgage-backedsecurities channel funds to the housing market without requiring that banks or thrift institutions make loans from their own portfolios. As securitization progresses,financial intermediaries must increase other activities such as providing short-term liquidity to consumers and small business, and financial services.4.Financial assets make it easy for large firms to raise the capital needed to financetheir investments in real assets. If Ford, for example, could not issue stocks orbonds to the general public, it would have a far more difficult time raising capital.Contraction of the supply of financial assets would make financing more difficult,thereby increasing the cost of capital. A higher cost of capital results in lessinvestment and lower real growth.5.Even if the firm does not need to issue stock in any particular year, the stock marketis still important to the financial manager. The stock price provides importantinformation about how the market values the firm's investment projects. Forexample, if the stock price rises considerably, managers might conclude that themarket believes the firm's future prospects are bright. This might be a useful signal to the firm to proceed with an investment such as an expansion of the firm'sbusiness.In addition, shares that can be traded in the secondary market are more attractive to initial investors since they know that they will be able to sell their shares. This inturn makes investors more willing to buy shares in a primary offering, and thusimproves the terms on which firms can raise money in the equity market.6. a. No. The increase in price did not add to the productive capacity of the economy.b.Yes, the value of the equity held in these assets has increased.c.Future homeowners as a whole are worse off, since mortgage liabilities have alsoincreased. In addition, this housing price bubble will eventually burst and societyas a whole (and most likely taxpayers) will endure the damage.7. a. The bank loan is a financial liability for Lanni. (Lanni's IOU is the bank'sfinancial asset.) The cash Lanni receives is a financial asset. The new financialasset created is Lanni's promissory note (that is, Lanni’s IOU to the bank).nni transfers financial assets (cash) to the software developers. In return,Lanni gets a real asset, the completed software. No financial assets are created ordestroyed; cash is simply transferred from one party to another.nni gives the real asset (the software) to Microsoft in exchange for a financialasset, 1,500 shares of Microsoft stock. If Microsoft issues new shares in order topay Lanni, then this would represent the creation of new financial assets.nni exchanges one financial asset (1,500 shares of stock) for another($120,000). Lanni gives a financial asset ($50,000 cash) to the bank and getsback another financial asset (its IOU). The loan is "destroyed" in the transaction,since it is retired when paid off and no longer exists.8. a.Assets Shareholders’ equityLiabilities & Computers 30,000 Shareholders’ equity 50,000Total $100,000 Total $100,000 Ratio of real assets to total assets = $30,000/$100,000 = 0.30b.Assets Shareholders’ equity Liabilities & Software product* $ 70,000 Bank loan $ 50,000 Computers 30,000Shareholders’ equity 50,000Total $100,000 Total $100,000 *Valued at costRatio of real assets to total assets = $100,000/$100,000 = 1.0c.Assets Shareholders’ equity Liabilities & Microsoft shares $120,000 Bank loan $ 50,000 Computers 30,000Shareholders’ equity 100,000Total $150,000 Total $150,000 Ratio of real assets to total assets = $30,000/$150,000 = 0.20Conclusion: when the firm starts up and raises working capital, it is characterized bya low ratio of real assets to total assets. When it is in full production, it has a highratio of real assets to total assets. When the project "shuts down" and the firm sells it off for cash, financial assets once again replace real assets.9.For commercial banks, the ratio is: $140.1/$11,895.1 = 0.0118 For non-financialfirms, the ratio is: $12,538/$26,572 = 0.4719 The difference should be expectedprimarily because the bulk of the business of financial institutions is to make loans;which are financial assets for financial institutions.10. a. Primary-market transactionb.Derivative assetsc.Investors who wish to hold gold without the complication and cost of physicalstorage.11. a. A fixed salary means that compensation is (at least in the short run) independentof the firm's success. This salary structure does not tie the manager’s immediatecompensation to the success of the firm. However, the manager might view this asthe safest compensation structure and therefore value it more highly.b.A salary that is paid in the form of stock in the firm means that the managerearns the most when the shareholders’ wealth is maximized. Five years ofvesting helps align the interests of the employee with the long-term performanceof the firm. This structure is therefore most likely to align the interests ofmanagers and shareholders. If stock compensation is overdone, however, themanager might view it as overly risky since the manager’s career is alreadylinked to the firm, and this undiversified exposure would be exacerbated with alarge stock position in the firm.c. A profit-linked salary creates great incentives for managers to contribute to thefirm’s success. However, a manager whose salary is tied to short-term profitswill be risk seeking, especially if these short-term profits determine salary or ifthe compensation structure does not bear the full cost of the project’s risks.Shareholders, in contrast, bear the losses as well as the gains on the project, andmight be less willing to assume that risk.12.Even if an individual shareholder could monitor and improve managers’performance, and thereby increase the value of the firm, the payoff would be small,since the ownership share in a large corporation would be very small. For example,if you own $10,000 of Ford stock and can increase the value of the firm by 5%, avery ambitious goal, you benefit by only: 0.05 × $10,000 = $500In contrast, a bank that has a multimillion-dollar loan outstanding to the firm has a big stake in making sure that the firm can repay the loan. It is clearly worthwhile for the bank to spend considerable resources to monitor the firm.13.Mutual funds accept funds from small investors and invest, on behalf of theseinvestors, in the national and international securities markets.Pension funds accept funds and then invest, on behalf of current and future retirees,thereby channeling funds from one sector of the economy to another.Venture capital firms pool the funds of private investors and invest in start-up firms.Banks accept deposits from customers and loan those funds to businesses, or use the funds to buy securities of large corporations.14.Treasury bills serve a purpose for investors who prefer a low-risk investment. Thelower average rate of return compared to stocks is the price investors pay forpredictability of investment performance and portfolio value.15.With a “top-down” investing style, you focus on asset allocation or the broadcomposition of the entire portfolio, which is the major determinant of overallperformance. Moreover, top-down management is the natural way to establish aportfolio with a level of risk consistent with your risk tolerance. The disadvantageof an exclusive emphasis on top-down issues is that you may forfeit the potentialhigh returns that could result from identifying and concentrating in undervaluedsecurities or sectors of the market.With a “bottom-up” investing style, you try to benefit from identifying undervalued securities. The disadvantage is that you tend to overlook the overall composition of your portfolio, which may result in a non-diversified portfolio or a portfolio with arisk level inconsistent with your level of risk tolerance. In addition, this techniquetends to require more active management, thus generating more transaction costs.Finally, your analysis may be incorrect, in which case you will have fruitlesslyexpended effort and money attempting to beat a simple buy-and-hold strategy.16.You should be skeptical. If the author actually knows how to achieve such returns,one must question why the author would then be so ready to sell the secret to others.Financial markets are very competitive; one of the implications of this fact is thatriches do not come easily. High expected returns require bearing some risk, andobvious bargains are few and far between. Odds are that the only one getting richfrom the book is its author.17.Financial assets provide for a means to acquire real assets as well as an expansionof these real assets. Financial assets provide a measure of liquidity to real assetsand allow for investors to more effectively reduce risk through diversification. 18.Allowing traders to share in the profits increases the traders’ willingness to assumerisk. Traders will share in the upside potential directly but only in the downsideindirectly (poor performance = potential job loss). Shareholders, by contrast, areaffected directly by both the upside and downside potential of risk.19.Answers may vary, however, students should touch on the following: increasedtransparency, regulations to promote capital adequacy by increasing the frequencyof gain or loss settlement, incentives to discourage excessive risk taking, and thepromotion of more accurate and unbiased risk assessment.CHAPTER 2: ASSET CLASSES AND FINANCIALINSTRUMENTSPROBLEM SETS1.Preferred stock is like long-term debt in that it typically promises a fixedpayment each year. In this way, it is a perpetuity. Preferred stock is also likelong-term debt in that it does not give the holder voting rights in the firm.Preferred stock is like equity in that the firm is under no contractual obligation to make the preferred stock dividend payments. Failure to make payments does not set off corporate bankruptcy. With respect to the priority of claims to the assetsof the firm in the event of corporate bankruptcy, preferred stock has a higherpriority than common equity but a lower priority than bonds.2.Money market securities are called “cash equivalents” because of their greatliquidity. The prices of money market securities are very stable, and they canbe converted to cash (i.e., sold) on very short notice and with very lowtransaction costs.3.(a) A repurchase agreement is an agreement whereby the seller of a securityagrees to “repurchase” it from the buyer on an agreed upon date at an agreedupon price. Repos are typically used by securities dealers as a means forobtaining funds to purchase securities.4.The spread will widen. Deterioration of the economy increases credit risk,that is, the likelihood of default. Investors will demand a greater premium ondebt securities subject to default risk.high-income investor would be more inclined to pick tax-exempt securities.7. a. You would have to pay the asked price of:86:14 = 86.43750% of par = $864.375b.The coupon rate is 3.5% implying coupon payments of $35.00 annuallyor, more precisely, $17.50 semiannually.c.Current yield = Annual coupon income/price= $35.00/$864.375 = 0.0405 = 4.05%8.P = $10,000/1.02 = $9,803.929.The total before-tax income is $4. After the 70% exclusion for preferred stockdividends, the taxable income is: 0.30 × $4 = $1.20Therefore, taxes are: 0.30 × $1.20 = $0.36After-tax income is: $4.00 – $0.36 = $3.64Rate of return is: $3.64/$40.00 = 9.10%10. a. You could buy: $5,000/$67.32 = 74.27 sharesb.Your annual dividend income would be: 74.27 × $1.52 = $112.89c.The price-to-earnings ratio is 11 and the price is $67.32. Therefore:$67.32/Earnings per share = 11 ⇒ Earnings per share = $6.12d.General Dynamics closed today at $67.32, which was $0.47 higher thanyesterday’s price. Yesterday’s closing price was: $66.8511. a. 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 = 83.333The rate of return is: (83.333/80) − 1 = 4.17%b.In the absence of a split, Stock C would sell for 110, so the value of theindex would be: 250/3 = 83.333After the split, Stock C sells for 55. Therefore, we need to find thedivisor (d) such that: 83.333 = (95 + 45 + 55)/d ⇒ d = 2.340c.The return is zero. The index remains unchanged because the return foreach stock separately equals zero.12. a. 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.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%13.The after-tax yield on the corporate bonds is: 0.09 × (1 – 0.30) = 0.0630 = 6.30%Therefore, municipals must offer at least 6.30% yields.14.Equation (2.2) shows that the equivalent taxable yield is: r = r m /(1 – t)a. 4.00%b. 4.44%c. 5.00%d. 5.71%15.In an equally-weighted index fund, each stock is given equal weight regardless ofits market capitalization. Smaller cap stocks will have the same weight as largercap stocks. The challenges are as follows:•Given equal weights placed to smaller cap and larger cap,equalweighted indices (EWI) will tend to be more volatile than theirmarket-capitalization counterparts;•It follows that EWIs are not good reflectors of the broad marketwhich they represent; EWIs underplay the economic importance oflarger companies;•Turnover rates will tend to be higher, as an EWI must be rebalancedback to its original target. By design, many of the transactionswould be among the smaller, less-liquid stocks.16. a. The higher coupon bond.b.The call with the lower exercise price.c.The put on the lower priced stock.17. a. You bought the contract when the futures price was $3.835 (see Figure2.10). The contract closes at a price of $3.875, which is $0.04 more than theoriginal futures price. The contract multiplier is 5000. Therefore, the gainwill be: $0.04 × 5000 = $200.00b.Open interest is 177,561 contracts.18. a. Since the stock price exceeds the exercise price, you exercise the call.The payoff on the option will be: $21.75 − $21 = $0.75The cost was originally $0.64, so the profit is: $0.75 − $0.64 = $0.11b.If the call has an exercise price of $22, you would not exercise for anystock price of $22 or less. The loss on the call would be the initial cost:$0.30c.Since the stock price is less than the exercise price, you will exercise theput.The payoff on the option will be: $22 − $21.75 = $0.25The option originally cost $1.63 so the profit is: $0.25 − $1.63 = −$1.38 19.There is always a possibility that the option will be in-the-money at some timeprior to expiration. Investors will pay something for this possibility of a positivepayoff.20.Value of call at expiration Initial Cost Profita.0 4 -4b.0 4 -4c.0 4 -4d. 5 4 1e.10 4 6Value of put at expiration Initial Cost Profita.10 6 4b. 5 6 -1c.0 6 -6d.0 6 -6e.0 6 -621. A put option conveys the right to sell the underlying asset at the exercise price.A short position in a futures contract carries an obligation to sell the underlyingasset at the futures price.22. A call option conveys the right to buy the underlying asset at the exercise price.A long position in a futures contract carries an obligation to buy the underlyingasset at the futures price.CFA PROBLEMS1.(d)2.The equivalent taxable yield is: 6.75%/(1 − 0.34) = 10.23%3.(a) Writing a call entails unlimited potential losses as the stock price rises.4. a. The taxable bond. With a zero tax bracket, the after-tax yield for thetaxable bond is the same as the before-tax yield (5%), which is greater than the yield on the municipal bond.b. The taxable bond. The after-tax yield for the taxable bond is:0.05× (1 – 0.10) = 4.5%c. You are indifferent. The after-tax yield for the taxable bond is:0.05 × (1 – 0.20) = 4.0%The after-tax yield is the same as that of the municipal bond.d. The municipal bond offers the higher after-tax yield for investors in taxbrackets above 20%.5.If the after-tax yields are equal, then: 0.056 = 0.08 × (1 – t) This implies that t =0.30 =30%.CHAPTER 3: HOW SECURITIES ARE TRADEDPROBLEM SETS1.Answers to this problem will vary.2.The dealer sets the bid and asked price. Spreads should be higher on inactivelytraded stocks and lower on actively traded stocks.3. a. In principle, potential losses are unbounded, growing directly with increases inthe price of IBM.b.If the stop-buy order can be filled at $128, the maximum possible loss pershare is $8, or $800 total. If the price of IBM shares goes above $128, then thestop-buy order would be executed, limiting the losses from the short sale.4.(a) A market order is an order to execute the trade immediately at the best possibleprice. The emphasis in a market order is the speed of execution (the reduction ofexecution uncertainty). The disadvantage of a market order is that the price it will be executed at is not known ahead of time; it thus has price uncertainty.5.(a) The advantage of an Electronic Crossing Network (ECN) is that it can executelarge block orders without affecting the public quote. Since this security is illiquid, large block orders are less likely to occur and thus it would not likely trade through an ECN.Electronic Limit-Order Markets (ELOM) transact securities with high tradingvolume. This illiquid security is unlikely to be traded on an ELOM.6. a. The stock is purchased for: 300 × $40 = $12,000The amount borrowed is $4,000. Therefore, the investor put up equity, ormargin, of $8,000.b.If the share price falls to $30, then the value of the stock falls to $9,000. Bythe end of the year, the amount of the loan owed to the broker grows to: $4,000× 1.08 = $4,320Therefore, the remaining margin in the investor’s account is: $9,000− $4,320 = $4,680The percentage margin is now: $4,680/$9,000 = 0.52 = 52% Therefore,the investor will not receive a margin call.c.The rate of return on the investment over the year is:(Ending equity in the account − Initial equity)/Initial equity= ($4,680 − $8,000)/$8,000 = −0.415 = −41.5%7. a. The initial margin was: 0.50 × 1,000 × $40 = $20,000As a result of the increase in the stock price Old Economy Traders loses:$10 × 1,000 = $10,000Therefore, margin decreases by $10,000. Moreover, Old Economy Tradersmust pay the dividend of $2 per share to the lender of the shares, so that themargin in the account decreases by an additional $2,000. Therefore, theremaining margin is:$20,000 – $10,000 – $2,000 = $8,000b.The percentage margin is: $8,000/$50,000 = 0.16 = 16% So there will be amargin call.c.The equity in the account decreased from $20,000 to $8,000 in one year, for arate of return of: (−$12,000/$20,000) = −0.60 = −60%8. a. The buy order will be filled at the best limit-sell order price: $50.25b.The next market buy order will be filled at the next-best limit-sell order price:$51.50c.You would want to increase your inventory. There is considerable buyingdemand at prices just below $50, indicating that downside risk is limited. Incontrast, limit sell orders are sparse, indicating that a moderate buy order couldresult in a substantial price increase.9. a. You buy 200 shares of Telecom for $10,000. These shares increase in value by10%, or $1,000. You pay interest of: 0.08 × $5,000 = $400The rate of return will be: $1,000 −$400 = 0.1212%=$5,000b.The value of the 200 shares is 200P. Equity is (200P – $5,000). You willreceive a margin call when:= 0.30 ⇒ when P = $35.71 or lower10. a. Initial margin is 50% of $5,000 or $2,500.b.Total assets are $7,500 ($5,000 from the sale of the stock and $2,500 put up formargin). Liabilities are 100P. Therefore, equity is ($7,500 – 100P). A margincall will be issued when:$7,500 −100P = 0.30⇒ when P = $57.69 or higher100P11.The total cost of the purchase is: $40 × 500 = $20,000You borrow $5,000 from your broker, and invest $15,000 of your own funds. Your margin account starts out with equity of $15,000.a. (i) Equity increases to: ($44 × 500) – $5,000 = $17,000Percentage gain = $2,000/$15,000 = 0.1333 = 13.33% (ii)With price unchanged, equity is unchanged.Percentage gain = zero(iii) Equity falls to ($36 × 500) – $5,000 = $13,000Percentage gain = (–$2,000/$15,000) = –0.1333 = –13.33%The relationship between the percentage return and the percentage change inthe price of the stock is given by:Total investment= % change in % return = % change in price ×price × 1.333Investor's initial equityFor example, when the stock price rises from $40 to $44, the percentage changein price is 10%, while the percentage gain for the investor is:% return = 10% ×$20,000 = 13.33% $15,000b.The value of the 500 shares is 500P. Equity is (500P – $5,000). You willreceive a margin call when:= 0.25 ⇒ when P = $13.33 or lowerc.The value of the 500 shares is 500P. But now you have borrowed $10,000instead of $5,000. Therefore, equity is (500P – $10,000). You will receive amargin call when:= 0.25 ⇒ when P = $26.67 or lowerWith less equity in the account, you are far more vulnerable to a margin call.d.By the end of the year, the amount of the loan owed to the broker grows to:$5,000 × 1.08 = $5,400The equity in your account is (500P – $5,400). Initial equity was $15,000.Therefore, your rate of return after one year is as follows:(i) = 0.1067 = 10.67%(ii) = –0.0267 = –2.67%(iii) = –0.1600 = –16.00%The relationship between the percentage return and the percentage change inthe price of Intel is given by:% return = % change in price× Investor'Total investments initial equity−8%× Investor'Fundss borrowedinitial equityFor example, when the stock price rises from $40 to $44, the percentage changein price is 10%, while the percentage gain for the investor is:10%× $20,000−8%× $5,000 =10.67%$15,000$15,000e.The value of the 500 shares is 500P. Equity is (500P – $5,400). You willreceive a margin call when:= 0.25 ⇒ when P = $14.40 or lower12. a. The gain or loss on the short position is: (–500 × ΔP) Invested funds = $15,000Therefore: rate of return = (–500 × ΔP)/15,000The rate of return in each of the three scenarios is:(i)rate of return = (–500 × $4)/$15,000 = –0.1333 = –13.33%(ii)rate of return = (–500 × $0)/$15,000 = 0%(iii)rate of return = [–500 × (–$4)]/$15,000 = +0.1333 = +13.33%b.Total assets in the margin account equal:$20,000 (from the sale of the stock) + $15,000 (the initial margin) = $35,000Liabilities are 500P. You will receive a margin call when:$35,000 −500P = 0.25⇒ when P = $56 or higher500Pc.With a $1 dividend, the short position must now pay on the borrowed shares:($1/share × 500 shares) = $500. Rate of return is now:[(–500 × ΔP) – 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 callwill be issued when:= 0.25 ⇒ when P = $55.20 or higher13.The broker is instructed to attempt to sell your Marriott stock as soon as the Marriottstock trades at a bid price of $20 or less. Here, the broker will attempt to execute,but may not be able to sell at $20, since the bid price is now $19.95. The price atwhich you sell may be more or less than $20 because the stop-loss becomes a market order to sell at current market prices.14. a. $55.50b.$55.25c.The trade will not be executed because the bid price is lower than the pricespecified in the limit sell order.d.The trade will not be executed because the asked price is greater than the pricespecified in the limit buy order.15. a. In an exchange market, there can be price improvement in the two market orders.Brokers for each of the market orders (i.e., the buy order and the sell order) can agree to execute a trade inside the quoted spread. For example, they can trade at $55.37, thus improving the price for both customers by $0.12 or $0.13 relative to the quoted bid and asked prices. The buyer gets the stock for $0.13 less than the quoted asked price, and the seller receives $0.12 more for the stock than the quoted bid price.b.Whereas the limit order to buy at $55.37 would not be executed in a dealermarket (since the asked price is $55.50), it could be executed in an exchangemarket. A broker for another customer with an order to sell at market wouldview the limit buy order as the best bid price; the two brokers could agree tothe trade and bring it to the specialist, who would then execute the trade.16. a. You will not receive a margin call. You borrowed $20,000 and with another$20,000 of your own equity you bought 1,000 shares of Disney at $40 per share. At $35 per share, the market value of the stock is $35,000, your equity is $15,000, and the percentage margin is: $15,000/$35,000 = 42.9% Your percentage margin exceeds the required maintenance margin.b.You will receive a margin call when:= 0.35 ⇒ when P = $30.77 or lower17.The proceeds from the short sale (net of commission) were: ($21 × 100) – $50 =$2,050 A dividend payment of $200 was withdrawn from the account.Covering the short sale at $15 per share costs (with commission): $1,500 + $50 =$1,550。
博迪《投资学》(第9版)课后习题-资本资产定价模型(圣才出品)
第9章 资本资产定价模型一、习题1．如果()()1814P f M E r r E r =%, =6%, =%，那么该资产组合的β值等于多少？答：()()P f P M f E r r E r r β⎡⎤=+⨯−⎣⎦0.18＝0.06＋p β×（0.14－0.06）解得p β＝0.12/0.08＝1.5。
2．某证券的市场价格是50美元，期望收益率是14%，无风险利率为6%，市场风险溢价为8.5%。
如果该证券与市场投资组合的相关系数加倍（其他保持不变），该证券的市场价格是多少？假设该股票永远支付固定数额的股利。
答：如果该证券与市场投资组合的相关系数加倍（其他所有变量如方差保持不变），那么β和风险溢价也将加倍。
当前风险溢价为：14%－6%＝8%。
因此新的风险溢价将变为16%，新的证券贴现率将变为：16%＋6%＝22%。
如果股票支付某一水平的永久红利，那么，从原始的数据中可以知道，红利必须满足永续年金的现值公式：价格＝股利／贴现率即：50＝D/0.14，解得，D ＝50×0.14＝7（美元）。
在新的贴现率22%的情况下，股票价格为：7/0.22＝31.82（美元）。
股票风险的增加使它的价值降低了36.36%。
3．下列选项是否正确？并给出解释。
a ．β为零的股票提供的期望收益率为零。
b ．资本资产定价模型认为投资者对持有高波动性证券要求更高的收益率。
c ．你可以通过将75%的资金投资于短期国债，其余的资金投资于市场投资组合的方式来构建一个β为0.75的资产组合。
答：a ．错误。
β＝0意味着E （r ）＝r f ，不等于零。
b ．错误。
只有承担了较高的系统风险（不可分散的风险或市场风险），投资者才要求较高期望收益；如果高风险债券的β较小，即使总风险较大，投资者要求的收益率也不会太高。
c ．错误。
投资组合应当是75%的市场组合和25%的短期国债，此时β为：()()0.7510.2500.75p β=⨯+⨯=4．下表给出两个公司的数据。
博迪《投资学》(第9版)课后习题-资产类别与金融工具(圣才出品)
第2章资产类别与金融工具一、习题1．优先股与长期债务的相似点是什么？其与权益的相似点又是什么？答：优先股像长期债务一样，它承诺向持有者每年支付固定的收益。
从这个角度讲，优先股类似于无限期的债券，即永久债券。
优先股另一个与长期债务相似的特点是：它没有赋予其持有者参与公司决策的权利。
优先股是一种权益投资，公司保留向优先股股东支付股利的自主权，支付股利并不是公司的合同义务。
若无法支付，公司并不会破产。
而在公司破产的情况下，优先股对公司资产的求偿权优先于普通股，但位于债券之后。
2．为什么有时把货币市场证券称为“现金等价物”？答：货币市场证券被称为“现金等价物”，是因为它们具有很大的流动性。
货币市场证券的价格都非常稳定，它们可以在极短的时间内变现（即卖出），并且具有非常低的交易成本。
3．下面哪一项对回购协议的描述是正确的？a．出售证券时承诺将在特定的日期按确定的价格回购这些证券。
b．出售证券时承诺将在不确定的日期按确定的价格回购这些证券。
c．购买证券时承诺将在特定的日期购买更多的同种证券。
答：a项正确。
回购协议是证券的卖方同意在约定时间以约定价格向买方“回购”该证券的协议。
这通常是证券交易商获取资金购买证券的手段。
4．如果发生严重的经济衰退，你预期商业票据的收益率与短期国库券的收益率之差将如何变化？答：它们的收益率之差将会扩大。
经济的恶化会增加信贷风险，即增加违约的可能性。
因此，对于具有较高违约风险的债务证券，投资者将要求更高的溢价。
5．普通股、优先股以及公司债券之间的主要区别是什么？答：普通股、优先股以及公司债券之间的主要区别如下表所示：6．为什么与低税率等级的投资者相比，高税率等级的投资者更倾向于投资市政债券？答：市政债券的利息是免税的。
当面临更高的边际税率时，高收入的投资者更倾向于投资免税的证券。
7．回顾教材图2-3，观察将于2039年2月到期的长期国债：a．购买这样一张证券你需要支付多少钱？b．它的利率是多少？c．该国债当前的收益率是多少？答：a．需要支付的价格为：86:14＝面值×86.43750%＝864.375（美元）。
博迪投资学第九版-Investment-Chap013-习题答案
CHAPTER 13: EMPIRICAL EVIDENCE ON SECURITY RETURNS PROBLEM SETS1. Even if the single-factor CCAPM (with a consumption-trackingportfolio used as the index) performs better than the CAPM, it is still quite possible that the consumption portfolio does notcapture the size and growth characteristics captured by the SMB(i.e., small minus big capitalization) and HML (i.e., high minuslow book-to-market ratio) factors of the Fama-French three-factor model. Therefore, it is expected that the Fama-French model with consumption provides a better explanation of returns than does the model with consumption alone.2. Wealth and consumption should be positively correlated and,therefore, market volatility and consumption volatility should also be positively correlated. Periods of high market volatility might coincide with periods of high consumption volatility. The‘conventional’ CAPM focuses on the covariance of security returns with returns for the market portfolio (which in turn tracksaggregate wealth) while the consumption-based CAPM focuses on the covariance of security returns with returns for a portfolio thattracks consumption growth. However, to the extent that wealth and consumption are correlated, both versions of the CAPM mightrepresent patterns in actual returns reasonably well.To see this formally, suppose that the CAPM and the consumption-based model are approximately true. According to the conventional CAPM, the market price of risk equals expected excess market return divided by the variance of that excess return. According to theconsumption-beta model, the price of risk equals expected excessmarket return divided by the covariance of R M with g, where g is the rate of consumption growth. This covariance equals the correlation of R M with g times the product of the standard deviations of thevariables. Combining the two models, the correlation between R M andg equals the standard deviation of R M divided by the standarddeviation of g. Accordingly, if the correlation between R M and g is relatively stable, then an increase in market volatility will beaccompanied by an increase in the volatility of consumption growth.Note: For the following problems, the focus is on the estimation procedure. To keep the exercise feasible, the sample was limited to returns on nine stocks plus a market index and a second factor over a period of 12 years. The data were generated to conform to a two-factor CAPM so that actual rates of return equal CAPMexpectations plus random noise, and the true intercept of the SCL is zero for all stocks. The exercise will provide a feel for the pitfalls of verifying social-science models. However, due to the small size of the sample, results are not always consistent withthe findings of other studies as reported in the chapter.3. Using the regression feature of Excel with the data presented inthe text, the first-pass (SCL) estimation results are:Stock:A B C D E F G H I R Square0.060.060.060.370.170.590.060.670.70ObservationBeta-0.470.590.42 1.380.90 1.780.66 1.91 2.08t-Alpha0.73-0.04-0.06-0.410.05-0.450.33-0.270.64t-Beta-0.810.780.78 2.42 1.42 3.830.78 4.51 4.814. The hypotheses for the second-pass regression for the SML are:•The intercept is zero; and,•The slope is equal to the average return on the index portfolio.5. The second-pass data from first-pass (SCL) estimates are:AverageBetaExcessReturnA 5.18-0.47B 4.190.59C 2.750.42D 6.15 1.38E8.050.90F9.90 1.78G11.320.66H13.11 1.91I22.83 2.08M8.12S The second-pass regression yields:Regression StatisticsMultiple R 0.7074R Square0.5004Adjusted RSquare0.4291Standard Error 4.6234 Observations9Coefficients StandardErrortStatisticfor β=0tStatisticforIntercept 3.92 2.54 1.54Slope 5.21 1.97 2.65-1.486. As we saw in the chapter, the intercept is too high (3.92% per yearinstead of 0) and the slope is too flat (5.21% instead of apredicted value equal to the sample-average risk premium: r M r f =8.12%). The intercept is not significantly greater than zero (thet-statistic is less than 2) and the slope is not significantlydifferent from its theoretical value (the t-statistic for thishypothesis is 1.48). This lack of statistical significance isprobably due to the small size of the sample.7. Arranging the securities in three portfolios based on betas fromthe SCL estimates, the first pass input data are:Year ABC DEG FHI115.0525.8656.692-16.76-29.74-50.85319.67-5.688.984-15.83-2.5835.41547.1837.70-3.256-2.2653.8675.447-18.6715.3212.508-6.3536.3332.1297.8514.0850.421021.4112.6652.1411-2.53-50.71-66.1212-0.30-4.99-20.10 Average 4.048.5115.28Std.Dev.19.3029.4743.96(continued on next page)The first-pass (SCL) estimates are:ABC DEG FHIR Square0.040.480.82Observation121212Alpha 2.580.54-0.34Beta0.180.98 1.92t-Alpha0.420.08-0.06t-Beta0.62 3.02 6.83Grouping into portfolios has improved the SCL estimates as is evident from the higher R-square for Portfolio DEG and Portfolio FHI. This means that the beta (slope) is measured with greater precision, reducing the error-in-measurement problem at the expense of leaving fewer observations for the second pass.The inputs for the second pass regression are:AverageExcessReturnBetaABC 4.040.18DEH8.510.98FGI15.28 1.92M8.12The second-pass estimates are:RegressionMultiple R0.9975R Square0.9949Adjusted RSquare0.9899Standard Error0.5693Observations3Coefficients StandardErrortStatisticfor β =0tStatisticfor βIntercept 2.620.58 4.55Slope 6.470.4614.03-3.58Despite the decrease in the intercept and the increase in slope, the intercept is now significantly positive, and the slope is significantly less than the hypothesized value by more than three times the standard error.8. Roll’s critique suggests that the problem b egins with the marketindex, which is not the theoretical portfolio against which thesecond pass regression should hold. Hence, even if therelationship is valid with respect to the true (unknown) index, we may not find it. As a result, the second pass relationship may be meaningless.9.Except for Stock I, which realized an extremely positive surprise, the CML shows that the index dominates all other securities, and the three portfolios dominate all individual stocks. The power of diversification is evident despite the very small sample size.10. The first-pass (SCL) regression results are summarized below:A B C D E F G H IR-Square0.070.360.110.440.240.840.120.680.71Observatio121212121212121212 nsIntercept9.19-1.89-1.00-4.480.17-3.47 5.32-2.64 5.66Beta M-0.470.580.41 1.390.89 1.790.65 1.91 2.08Beta F-0.35 2.330.67-1.05 1.03-1.95 1.150.430.48 t-Intercept0.71-0.13-0.08-0.370.01-0.520.29-0.280.59t-Beta M-0.770.870.75 2.46 1.40 5.800.75 4.35 4.65 t-Beta F-0.34 2.060.71-1.080.94-3.690.770.570.6311. The hypotheses for the second-pass regression for the two-factorSML are:•The intercept is zero;•The market-index slope coefficient equals the market-index average return; and,•The factor slope coefficient equals the average return on thefactor.(Note that the first two hypotheses are the same as those for the single factor model.)12. The inputs for the second pass regression are:AverageExcessReturnBeta M Beta FA 5.18-0.47-0.35B 4.190.58 2.33C 2.750.410.67D 6.15 1.39-1.05E8.050.89 1.03F9.90 1.79-1.95G11.320.65 1.15H13.11 1.910.43I22.83 2.080.48M8.12F0.60The second-pass regression yields:Regression StatisticsMultiple R0.7234R Square0.5233Adjusted RSquare0.3644Standard Error 4.8786Observations9Coefficients StandardErrortStatisticfor β =0tStatisticfor βtStatisticfor βIntercept 3.35 2.88 1.16Beta M 5.53 2.16 2.56-1.20Beta F0.80 1.420.560.14These results are slightly better than those for the single factor test; that is, the intercept is smaller and the slope on M is slightly greater. We cannot expect a great improvement since the factor we added does not appear to carry a large risk premium (average excess return is less than 1%), and its effect on mean returns is therefore small. The data do not reject the second factor because the slope is close to the average excess return and the difference is less than one standard error. However, with this sample size, the power of this test is extremely low.13. When we use the actual factor, we implicitly assume that investorscan perfectly replicate it, that is, they can invest in a portfolio that is perfectly correlated with the factor. When this is notpossible, one cannot expect the CAPM equation (the second passregression) to hold. Investors can use a replicating portfolio (aproxy for the factor) that maximizes the correlation with thefactor. The CAPM equation is then expected to hold with respect to the proxy portfolio.Using the bordered covariance matrix of the nine stocks and theExcel Solver we produce a proxy portfolio for factor F, denoted PF.To preserve the scale, we include constraints that require the nine weights to be in the range of [-1,1] and that the mean equal thefactor mean of 0.60%. The resultant weights for the proxy andperiod returns are:Proxy Portfolio for Factor F(PF)Weightson Universe YearPF HoldingPeriodReturnsA-0.141-33.51B 1.00262.78C0.9539.87D-0.354-153.56E0.165200.76F-1.006-36.62G0.137-74.34H0.198-10.84I0.06928.111059.5111-59.151214.22Average0.60This proxy (PF) has an R-square with the actual factor of 0.80.We next perform the first pass regressions for the two factor model using PF instead of P:A B C D E F G H I R-square0.080.550.200.430.330.880.160.710.72 Observations121212121212121212Intercept9.28-2.53-1.35-4.45-0.23-3.20 4.99-2.92 5.54 Beta M-0.500.800.49 1.32 1.00 1.640.76 1.97 2.12 Beta PF-0.060.420.16-0.130.21-0.290.210.110.08 t- 0.72-0.21-0.12-0.36-0.02-0.550.27-0.330.58 t-Beta M-0.83 1.430.94 2.29 1.66 6.000.90 4.67 4.77t-Beta PF-0.44 3.16 1.25-0.97 1.47-4.52 1.03 1.130.78Note that the betas of the nine stocks on M and the proxy (PF) are different from those in the first pass when we use the actual proxy.The first-pass regression for the two-factor model with the proxy yields:AverageExcessReturnBeta M Beta PFA 5.18-0.50-0.06B 4.190.800.42C 2.750.490.16D 6.15 1.32-0.13E8.05 1.000.21F9.90 1.64-0.29G11.320.760.21H13.11 1.970.11I22.83 2.120.08M8.12PF0.6The second-pass regression yields:Regression StatisticsMultiple R0.71R Square0.51Adjusted RSquare0.35Standard Error 4.95Observations9Coefficien ts StandardErrortStatisticfor β =0tStatisticfor βtStatisticfor βIntercept 3.50 2.99 1.17Beta M 5.39 2.18 2.48-1.25Beta PF0.268.360.03-0.04We can see that the results are similar to, but slightly inferior to, those with the actual factor, since the intercept is larger and the slope coefficient smaller. Note also that we use here an in-sample test rather than tests with future returns, which is more forgiving than an out-of-sample test.14. We assume that the value of your labor is incorporated in thecalculation of the rate of return for your business. It wouldlikely make sense to commission a valuation of your business atleast once each year. The resultant sequence of figures forpercentage change in the value of the business (including net cash withdrawals from the business in the calculations) will allow you to derive a reasonable estimate of the correlation between the rate of return for your business and returns for other assets. Youwould then search for industries having the lowest correlationswith your portfolio, and identify exchange traded funds (ETFs) for these industries. Your asset allocation would then be comprised of your business, a market portfolio ETF, and the low-correlation(hedge) industry ETFs. Assess the standard deviation of such aportfolio with reasonable proportions of the portfolio invested in the market and in the hedge industries. Now determine where youwant to be on the resultant CAL. If you wish to hold a less risky overall portfolio and to mix it with the risk-free asset, reducethe portfolio weights for the market and for the hedge industries in an efficient way.CFA PROBLEMS1. (i) Betas are estimated with respect to market indexes that areproxies for the true market portfolio, which is inherentlyunobservable.(ii) Empirical tests of the CAPM show that average returns are not related to beta in the manner predicted by the theory. Theempirical SML is flatter than the theoretical one.(iii) Multi-factor models of security returns show that beta, which is a one-dimensional measure of risk, may not capture the true risk of the stock of portfolio.2. a. The basic procedure in portfolio evaluation is to compare thereturns on a managed portfolio to the return expected on anunmanaged portfolio having the same risk, using the SML. Thatis, expected return is calculated from:E(r P ) = r f + βP [E(r M ) – r f ]where r f is the risk-free rate, E(r M ) is the expected return for the unmanaged portfolio (or the market portfolio), and βP is the beta coefficient (or systematic risk) of the managed portfolio. The performance benchmark then is the unmanaged portfolio. The typical proxy for this unmanaged portfolio is an aggregate stock market index such as the S&P 500.b. The benchmark error might occur when the unmanaged portfolioused in the evaluation process is not “optimized.” That is, market indices, such as the S&P 500, chosen as benchmarks are not on the manager’s ex ante mean/variance efficient frontier.c. Your graph should show an efficient frontier obtained fromactual returns, and a different one that represents (unobserved) ex-ante expectations. The CML and SML generated from actualreturns do not conform to the CAPM predictions, while thehypothesized lines do conform to the CAPM.d. The answer to this question depends on one’s prior beliefs.Given a consistent track record, an agnostic observer mightconclude that the data support the claim of superiority. Otherobservers might start with a strong prior that, since so manymanagers are attempting to beat a passive portfolio, a smallnumber are bound to produce seemingly convincing track records.e. The question is really whether the CAPM is at all testable.The problem is that even a slight inefficiency in the benchmarkportfolio may completely invalidate any test of the expectedreturn-beta relationship. It appears from Roll’s argumentthat the best guide to the question of the validity of the CAPMis the difficulty of beating a passive strategy.3. The effect of an incorrectly specified market proxy is that thebeta of Black’s portfolio is likely to be underestimated (i.e., too low) rel ative to the beta calculated based on the “true”market portfolio. This is because the Dow Jones Industrial Average (DJIA) and other market proxies are likely to have lessdiversification and therefore a higher variance of returns than the “true” market p ortfolio as specified by the capital asset pricing model. Consequently, beta computed using an overstated variance will be underestimated. This result is clear from the following formula:2Proxy Mark et Proxy Mark et Portfolio Portfolio )r ,r (Cov σ=βAn incorrectly specified market proxy is likely to produce a slope for the security market line (i.e., the market risk premium) that is underestimated relative to the “true” market portfolio. This results from the fact that the “true” market portfolio is likely to be more efficient (plotting on a higher return point for thesame risk) than the DJIA and similarly misspecified market proxies.Consequently, the proxy-based SML would offer less expected return per unit of risk..。
博迪《投资学》(第9版)课后习题-最优风险资产组合(圣才出品)
第7章最优风险资产组合一、习题1．以下哪些因素反映了单纯市场风险？a．短期利率上升b．公司仓库失火c．保险成本增加d．首席执行官死亡e．劳动力成本上升答：ae。
2．当增加房地产到一个股票、债券和货币的资产组合中，房地产收益的哪些因素影响组合风险？a．标准差b．期望收益c．和其他资产的相关性答：ac。
房地产被添加到组合中后，在投资组合中有四个资产类别：股票、债券、现金和房地产。
现在投资组合的方差包括房地产收益的方差项和房地产收益与其他三个资产类别之间的协方差项。
因此，房地产收益的方差（或标准差）和房地产收益与其他资产类别收益之间的相关性影响着投资组合的风险。
（注意房地产收益和现金收益之间的相关性很有可能为零。
）3．以下关于最小方差组合的陈述哪些是正确的？ a ．它的方差小于其他证券或组合 b ．它的期望收益比无风险利率低 c ．它可能是最优风险组合 d ．它包含所有证券 答：a 。
4．用以下数据回答习题4～10：一个养老金经理考虑3个共同基金。
第一个是股票基金，第二个是长期政府和公司债基金，第三个是短期国债货币基金，收益率为8%。
风险组合的概率分布如表7-1所示。
表7-1基金的收益率之间的相关系数为0.1。
两种风险基金的最小方差投资组合的投资比例是多少？这种投资组合收益率的期望值与标准差各是多少？答：机会集的参数为：E （r S ）＝20%，E （r B ）＝12%，σS ＝30%，σB ＝15%，ρ＝0.10。
根据标准差和相关系数，可以推出协方差矩阵（注意()ov ,S B S B C r r ρσσ=⨯⨯）：债券 股票 债券 225 45 股票45900最小方差组合可由下列公式推出：w Min（S）＝()()()222,225459002252452,B S BS B S BCov r rCov r rσσσ−−=+−⨯+−＝0.1739w Min（B）＝1－0.1739＝0.8261最小方差组合的均值和标准差为：E（r Min）＝（0.1739×0.20）＋（0.8261×0.12）＝0.1339＝13.39%σMin＝()122222w w2w w ov,S S B B S B S BC r rσσ/⎡⎤++⎣⎦＝[（0.17392×900）＋（0.82612×225）＋（2×0.1739×0.8261×45）]1/2＝13.92%5．制表并画出这两种风险基金的投资可行集，股票基金的投资比率从0～100%按照20%的幅度增长。
投资学第九版课后答案,博迪投资学第九版课后答案
投资学第九版课后答案,博迪投资学第九版课后答案CHAPTER1:THEINVESTMENTENVIRONMENTPROBLEMSETS1.Ultimately,itistruethatrealassetsdeterminethematerialwellbeingofaneconomy.Nevertheless,inpidualscanbenefitwhenfinancialengineeringcreatesnewproductsthatallowt hemtomanagetheirportfoliosoffinancialassetsmoreefficiently.Becausebundlingandunbundlingcreat esfinancialproductswithnewpropertiesandsensitivitiestovarioussourcesofrisk,itallowsinvestorstohe dgeparticularsourcesofriskmoreefficiently.2.Securitizationrequiresaccesstoalargenumberofpotentialinvestors.Toattracttheseinvestors,thecapitalmarketneeds:1.asafesystemofbusinesslawsandlowprobabilityofconfiscatorytaxation/regulation;2.awell-developedinvestmentbankingindustry;3.awell-developedsystemofbrokerageandfinancialtransactions,and;4.well-developedmedia,particularlyfinancialreporting.Thesecharacteristicsarefoundin(indeedmakefor)awell-developedfinancialmarket.3.Securitizationleadstodisintermediation;thatis,securitizationprovidesameansformarketparticipantstobypassintermediaries.Forexample,mortgage-backedsecuritieschannelfundstothehousingmarketwithoutrequiringthatbanksorthriftinstitutionsmakeloansfromtheirownportfolios. Assecuritizationprogresses,financialintermediariesmustincreaseotheractivitiessuchasprovidingshort-termliquiditytoconsumersandsmallbusiness,andfinancialservices.Financialassetsmakeiteasyforlargefirmstoraisethecapitalneededtofinancetheirinvestmentsinrealasse ts.IfFord,forexample,couldnotissuestocksorbondstothegeneralpublic,itwouldhaveafarmoredifficultt imeraisingcapital.Contractionofthesupplyoffinancialassetswouldmakefinancingmoredifficult,there byincreasingthecostofcapital.Ahighercostofcapitalresultsinlessinvestmentandlowerrealgrowth.4. 1-15.Evenifthefirmdoesnotneedtoissuestockinanyparticularyear,thestockmarketisstillimportanttothefinancialmanager.Thestockpriceprovidesimportantinformationabouthowthemarketvaluesthefirmsinvestmentprojects.Forexample,ifthestockpricerises considerably,managersmightconcludethatthemarketbelievesthefirmsfutureprospectsarebright.Thismightbeausefulsignaltothefirmtoproceedwithaninves tmentsuchasanexpansionofthefirmsbusiness.Inaddition,sharesthatcanbetradedinthesecondarymarke taremoreattractivetoinitialinvestorssincetheyknowthattheywillbeabletoselltheirshares.Thisinturnma kesinvestorsmorewillingtobuysharesinaprimaryoffering,andthusimprovesthetermsonwhichfirmsca nraisemoneyintheequitymarket.6.a.No.Theincreaseinpricedidnotaddtotheproductivecapacityoftheeconomy.b.Yes,thevalueoftheequit yheldintheseassetshasincreased.c.Futurehomeownersasawholeareworseoff,sincemortgageliabilitieshavealsoincreased.Inaddition,thishousingpricebubblewilleventuallyburstandsocietyasawhole(andmostlikelytaxpayers)willendurethedamage.7.a.ThebankloanisafinancialliabilityforLanni.(LannisIOUisthebanksfinancialasset.)ThecashLannirec eivesisafinancialasset.ThenewfinancialassetcreatedisLannispromissorynote(thatis,Lanni’sIOUtothebank).nnitransfersfinancialassets(cash)tothesoftwaredevelopers.Inreturn,Lannigetsarealasset,thecompletedsoftware.Nofinancialassetsarecreatedordestroyed;cashissimplytra nsferredfromonepartytoanother.nnigivestherealasset(thesoftware)toMicrosoftinexchangeforafinancialasset,1,500sharesofMicr osoftstock.IfMicrosoftissuesnewsharesinordertopayLanni,thenthiswouldrepresentthecreationofnew financialassets.nniexchangesonefinancialasset(1,500sharesofstock)foranother($120,000).Lannigivesafinancialasset($50,000cash)tothebankandgetsbackanotherfinancialasset(itsIOU).Theloanisdestroyedinthetransaction,sinceitisretiredwhenpaidoffandnolongerexists.1-28.a.LiabilitiesShareholders’equityCash$70,000Bankloan$50,000computersShareholders’equityTotal$100,000Total$100,000Ratioofrealassetstototalassets=$30,000/$100,000=0.30Assetsb.AssetsSoftwareproduct*computersTotal*ValuedatcostRatioofrealassetstototalassets=$100,000/$100,000=1.0c.AssetsMicrosoftsharescomputersTotalLiabilitiesShareholders’equity$120,000Bankloan$50,000Shareholders’equity$150,000Total$150,000LiabilitiesShareholders’equity$70,000Bankloan$50,000Shareholders’equity$100,000Total$100,000Ratioofrealassetstototalassets=$30,000/$150,000=0.20Conclusion:whenthefirmstartsupandraisesworkingcapital,itischaracterizedbyalowratioofrealassetst ototalassets.Whenitisinfullproduction,ithasahighratioofrealassetstototalassets.Whentheprojectshuts downandthefirmsellsitoffforcash,financialassetsonceagainreplacerealassets.9.Forcommercialbanks,theratiois:$140.1/$11,895.1=0.0118Fornon-financialfirms,theratiois:$12,538/$26,572=0.4719Thedifferenceshouldbeexpectedprimarilybecausethebulkofthebusinessoffinancialinstitutionsistomakeloans;whicharefinancialassetsforfinancialinstitutions.10.a.Primary-markettransactionb.Derivativeassetsc.Investorswhowishtoholdgoldwithoutthecomplicationandcostofphysicalstorage.1-311.a.Afixedsalarymeansthatcompensationis(atleastintheshortrun)independentofthefirmssuccess.Thissalarystructuredoesnottiethemanager’simmediatecompensationtothesuccessofthefirm.However,themanagermightviewthisasthesafestcom pensationstructureandthereforevalueitmorehighly.b.Asalarythatispaidintheformofstockinthefirmmeansthatthemanagerearnsthemostwhenthesharehol ders’wealthismaximized.Fiveyearsofvestinghelpsaligntheinterestsoftheemployeewiththelong-termperformanceofthefirm.Thisstructureisthereforemostlikelytoaligntheinterestsofmanagersandshareholders. Ifstockcompensationisoverdone,however,themanagermightviewitasoverlyriskysincethemanager’scareerisalreadylinkedtothefirm,andthisunpersifiedexposurewouldbeexacerbatedwithalargestockpo sitioninthefirm.c.Aprofit-linkedsalarycreatesgreatincentivesformanagerstocontributetothefirm’ssuccess.However,amanagerwhosesalaryistiedtoshort-termprofitswillberiskseeking,especiallyifthe seshort-termprofitsdeterminesalaryorifthecompensationstructuredoesnotbearthefullcostoftheproject’srisks.Shareholders,incontrast,bearthelossesaswellasthegainsontheproject,andmightbelesswillingtoassumethatrisk.12.Evenifaninpidualshareholdercouldmonitorandimprovemanagers’performance,andtherebyincreasethevalueofthefirm,thepayoffwouldbesmall,sincetheownershipshareinalargecorporationwouldbeverysmall.Forexample,ifyouown$10,000ofFordstocka ndcanincreasethevalueofthefirmby5%,averyambitiousgoal,youbenefitbyonly:0.05×$10,000=$500Incontrast,abankthathasamultimillion-dollarloanoutstandingtothefirmhasabigstakeinmakingsuretha tthefirmcanrepaytheloan.Itisclearlyworthwhileforthebanktospendconsiderableresourcestomonitort hefirm.13.Mutualfundsacceptfundsfromsmallinvestorsandinvest,onbehalfoftheseinvestors,inthenationalandinternationalsecuritiesmarkets.Pensionfundsacceptfundsandtheninvest,onbehalfofcurrentandfutureretirees,therebychannelingfund sfromonesectoroftheeconomytoanother.Venturecapitalfirmspoolthefundsofprivateinvestorsandinvestinstart-upfirms.Banksacceptdepositsfr omcustomersandloanthosefundstobusinesses,orusethefundstobuysecuritiesoflargecorporations.Treasurybillsserveapurposeforinvestorswhopreferalow-riskinvestment.Theloweraveragerateofreturncomparedtostocksisthepriceinvestorspayforpredictabilityofinvestmentperformanceandportfoliovalue.14.1-415.Witha“top-down”investingstyle,youfocusonassetallocationorthebroadcompositionoftheentireportfolio,whichisthemajordeterminantofoverallperformance.Moreover,top-downmanagementisthenaturalwaytoestablishaportfoliowithalevelofriskconsistentwithyourrisktoler ance.Thedisadvantageofanexclusiveemphasisontop-downissuesisthatyoumayforfeitthepotentialhig hreturnsthatcouldresultfromidentifyingandconcentratinginundervaluedsecuritiesorsectorsofthemar ket.Witha“bottom-up”investingstyle,youtrytobenefitfromidentifyingundervaluedsecurities.Thedisadva ntageisthatyoutendtooverlooktheoverallcompositionofyourportfolio,whichmayresultinanon-persifi edportfoliooraportfoliowitharisklevelinconsistentwithyourlevelofrisktolerance.Inaddition,thistechn iquetendstorequiremoreactivemanagement,thusgeneratingmoretransactioncosts.Finally,youranalysi smaybeincorrect,inwhichcaseyouwillhavefruitlesslyexpendedeffortandmoneyattemptingtobeatasimplebuy-and-holdstrategy.Youshouldbeskeptical.Iftheauthoractuallyknowshowtoachievesuchreturns,onemustquestionwhythe authorwouldthenbesoreadytosellthesecrettoothers.Financialmarketsareverycompetitive;oneoftheim plicationsofthisfactisthatrichesdonotcomeeasily.Highexpectedreturnsrequirebearingsomerisk,ando bviousbargainsarefewandfarbetween.Oddsarethattheonlyonegettingrichfromthebookisitsauthor.16.。
博迪投资学第九版InvestmentChap015习题答案
博迪投资学第九版InvestmentChap015习题答案CHAPTER 15: THE TERM STRUCTURE OF INTEREST RATES PROBLEM SETS.1. In general, the forward rate can be viewed as the sum of the market?s expectation ofthe future short rate plus a potential risk (or …liquidity?) premium. According to the expectations theory of the term structure of interest rates, the liquidity premium is zero so that the forward rate is equal to the market?s expectation of the future short rate. Therefore, the market?s expectation of future short rates (i.e., forward rates) can be derived from the yield curve, and there is no risk premium for longermaturities.The liquidity preference theory, on the other hand, specifies that the liquiditypremium is positive so that the forward rate is greater than the market?s expectation of the future short rate. This could result in an upward sloping term structure even if the market does not anticipate an increase in interest rates. The liquidity preference theory is based on the assumption that the financial markets aredominated by short-term investors who demand a premium in order to be induced to invest in long maturity securities.2. True. Under the expectations hypothesis, there are no risk premia built into bondprices. The only reason for long-term yields to exceed short-term yields is anexpectation of higher short-term rates in the future.3. Uncertain. Expectations of lower inflation will usually leadto lower nominalinterest rates. Nevertheless, if the liquidity premium is sufficiently great, long-term yields may exceed short-term yields despite expectations of falling short rates.4. The liquidity theory holds that investors demand a premium to compensate them forinterest rate exposure and the premium increases with maturity. Add this premium to a flat curve and the result is an upward sloping yield curve.5. The pure expectations theory, also referred to as the unbiased expectations theory,purports that forward rates are solely a function of expected future spot rates.Under the pure expectations theory, a yield curve that is upward (downward)sloping, means that short-term rates are expected to rise (fall). A flat yield curveimplies that the market expects short-term rates to remain constant.6. The yield curve slopes upward because short-term rates are lower than long-term rates. Since market rates are determined by supply and demand, it follows thatinvestors (demand side) expect rates to be higher in the future than in the near-term. 7. Maturity Price YTM Forward Rate1 $943.40 6.00%2 $898.47 5.50% (1.0552/1.06) – 1 = 5.0% 3 $847.62 5.67% (1.05673/1.0552) – 1 = 6.0% 4$792.166.00%(1.064/1.05673) – 1 = 7.0%8.The expected price path of the 4-year zero coupon bond is shown below. (Note that we discount the face value by the appropriate sequence of forward rates implied by this year?s yield curve.) Beginning of YearExpected PriceExpected Rate of Return 1 $792.16($839.69/$792.16) – 1 = 6.00% 2 69.839$07.106.105.1000,1$=??($881.68/$839.69) – 1 = 5.00% 3 68.881$07.106.1000,1$=?($934.58/$881.68) – 1 = 6.00%458.934$07.1000,1$= ($1,000.00/$934.58) – 1 = 7.00% 9.If expectations theory holds, then the forward rate equals the short rate, and the one year interest rate three years from now would be43(1.07)1.08518.51%(1.065)-==10. a.A 3-year zero coupon bond with face value $100 will sell today at a yield of 6% and a price of:$100/1.063 =$83.96Next year, the bond will have a two-year maturity, and therefore a yield of 6% (from next year?s forecasted yield curve). The price will be $89.00, resulting in a holding period return of 6%.b. The forward rates based on today?s yield curve are as follows: Year Forward Rate2 (1.052/1.04) – 1 = 6.01% 3(1.063/1.052) – 1 = 8.03%Using the forward rates, the forecast for the yield curve next year is: Maturity YTM 1 6.01% 2 (1.0601 × 1.0803)1/2 – 1 = 7.02% The market forecast is for a higher YTM on 2–year bonds than your forecast. Thus, the market predicts a lower price and higher rate of return.11. a. 86.101$08.1109$07.19$P 2=+=b.The yield to maturity is the solution for y in the following equation:86.101$)y 1(109$y 19$2=+++ [Using a financial calculator, enter n = 2; FV = 100; PMT = 9; PV = –101.86; Compute i] YTM = 7.958%c.The forward rate for next year, derived from the zero-coupon yield curve, is the solution for f 2 in the following equation: 0901.107.1)08.1(f 122==+ ? f 2 = 0.0901 = 9.01%.Therefore, using an expected rate for next year of r 2 = 9.01%,we find that the forecast bond price is:99.99$0901.1109$P ==d.If the liquidity premium is 1% then the forecast interest rate is:E(r 2) = f 2 – liquidity premium = 9.01% – 1.00% = 8.01% The forecast of the bond price is:92.100$0801.1109$=12. a.The current bond price is:($85 × 0.94340) + ($85 × 0.87352) + ($1,085 × 0.81637) = $1,040.20 This price implies a yield to maturity of 6.97%, as shown by the following: [$85 × Annuity factor (6.97%, 3)] + [$1,000 × PV factor (6.97%, 3)] = $1,040.17b.If one year from now y = 8%, then the bond price will be:[$85 × Annuity factor (8%, 2)] + [$1,000 × PV factor (8%, 2)] = $1,008.92 The holding period rate of return is:[$85 + ($1,008.92 – $1,040.20)]/$1,040.20 = 0.0516 = 5.16%13. Year Forward Rate PV of $1 received at period end 1 5% $1/1.05 = $0.95242 7% $1/(1.05?1.07) = $0.890138%$1/(1.05?1.07?1.08) = $0.8241a. Price = ($60 × 0.9524) + ($60 × 0.8901) + ($1,060 × 0.8241)= $984.14b.To find the yield to maturity, solve for y in the following equation: $984.10 = [$60 × Annuity factor (y, 3)] + [$1,000 × PV factor (y, 3)] This can be solved using a financial calculator to show that y = 6.60%c.Period Payment received at end of period:Will grow by a factor of: To a future value of: 1 $60.00 1.07 ?1.08 $69.34 2 $60.00 1.08 $64.80 3 $1,060.00 1.00 $1,060.00$1,194.14$984.10 ? (1 + y realized )3 = $1,194.141 + y realized = 0666.110.984$14.194,1$3/1=?y realized = 6.66%d.Next year, the price of the bond will be:[$60 × Annuity factor (7%, 2)] + [$1,000 × PV factor (7%, 2)] = $981.92 Therefore, there will be a capital loss equal to: $984.10 – $981.92 = $2.18 The holding period return is:%88.50588.010.984$)18.2$(60$==-+14. a.The return on the one-year zero-coupon bond will be 6.1%. The price of the 4-year zero today is:$1,000/1.0644 = $780.25Next year, i f the yield curve is unchanged, today?s 4-yearzero coupon bond will have a 3-year maturity, a YTM of 6.3%, and therefore the price will be:$1,000/1.0633 = $832.53The resulting one-year rate of return will be: 6.70%Therefore, in this case, the longer-term bond is expected to provide the higher return because its YTM is expected to decline during the holding period. b.If you believe in the expectations hypothesis, you would not expect that the yield curve next year will be the same as today?s curve. The u pward slope in today's curve would be evidence that expected short rates are rising and that the yield curve will shift upward, reducing the holding period return on the four-year bond. Under the expectations hypothesis, all bonds have equal expected holding period returns. Therefore, you would predict that the HPR for the 4-year bond would be 6.1%, the same as for the 1-year bond.15. The price of the coupon bond, based on its yield to maturity, is:[$120 × Annuity factor (5.8%, 2)] + [$1,000 × PV factor (5.8%, 2)] = $1,113.99 If the coupons were stripped and sold separately as zeros, then, based on the yield to maturity of zeros with maturities of one and two years, respectively, the coupon payments could be sold separately for:08.111,1$06.1120,1$05.1120$2=+ The arbitrage strategy is to buy zeros with face values of $120 and $1,120, and respective maturities of one year and two years, and simultaneously sell the coupon bond. The profit equals $2.91 on each bond.16. a.The one-year zero-coupon bond has a yield to maturity of 6%, as shown below:1y 1100$34.94$+=y 1 = 0.06000 = 6.000% The yield on the two-year zero is 8.472%, as shown below:22)y 1(100$99.84$+=y 2 = 0.08472 = 8.472% The price of the coupon bond is:51.106$)08472.1(112$06.112$2=+Therefore: yield to maturity for the coupon bond = 8.333% [On a financial calculator, enter: n = 2; PV = –106.51; FV = 100; PMT = 12]b. %00.111100.0106.1)08472.1(1y 1)y 1(f 21222==-=-++=c.Expected price 90.100$11.1112$==(Note that next year, the coupon bond will have one payment left.) Expected holding period return =%00.60600.051.106$)51.106$90.100($12$==-+This holding period return is the same as the return on the one-year zero.d.If there is a liquidity premium, then: E(r 2) < f 2 E(Price) =90.100$)r (E 1112$2>+E(HPR) > 6%17. a.We obtain forward rates from the following table: Maturity YTM Forward Rate Price (for parts c, d) 1 year 10%$1,000/1.10 = $909.09 2 years 11% (1.112/1.10) – 1 = 12.01% $1,000/1.112 = $811.62 3 years 12% (1.123/1.112) – 1 = 14.03% $1,000/1.123 = $711.78b.We obtain next year?s prices and yields by discounting each zero?s face value at the forward rates for next year that we derived in part (a): Maturity PriceYTM1 year $1,000/1.1201 = $892.78 12.01%2 years$1,000/(1.1201 × 1.1403) = $782.9313.02%Note that this year?s upward sloping yield curve implies, according t o the expectations hypothesis, a shift upward in next year?s curve.c.Next year, the 2-year zero will be a 1-year zero, and will therefore sell at a price of: $1,000/1.1201 = $892.78Similarly, the current 3-year zero will be a 2-year zero and will sell for: $782.93 Expected total rate of return:2-year bond: %00.1011000.1162.811$78.892$=-=-3-year bond:%00.1011000.1178.711$93.782$=-=-d.The current price of the bond should equal the value of each payment times the present value of $1 to be received at the “maturity” of th at payment. The present value schedule can be taken directly from the prices of zero-coupon bonds calculated above.Current price = ($120 × 0.90909) + ($120 × 0.81162) + ($1,120 × 0.71178)= $109.0908 + $97.3944 + $797.1936 = $1,003.68Similarly, the expected prices of zeros one year from now can be used to calculate the expected bond value at that time: Expected price 1 year from now = ($120 × 0.89278) + ($1,120 × 0.78293)= $107.1336 + $876.8816 = $984.02Total expected rate of return =%00.101000.068.003,1$)68.003,1$02.984($120$==-+18. a.Maturity (years) Price YTM Forward rate 1 $925.93 8.00% 2 $853.39 8.25% 8.50% 3 $782.92 8.50% 9.00% 4 $715.00 8.75%$650.009.00%10.00%b.For each 3-year zero issued today, use the proceeds to buy:$782.92/$715.00 = 1.095 four-year zerosYour cash flows are thus as follows:Time Cash Flow0 $ 03 -$1,000 The 3-year zero issued at time 0 matures;the issuer pays out $1,000 face value4 +$1,095 The 4-year zeros purchased at time 0 mature;receive face valueThis is a synthetic one-year loan originating at time 3. The rate on thesynthetic loan is 0.095 = 9.5%, precisely the forward rate for year 4.c. For each 4-year zero issued today, use the proceeds to buy:$715.00/$650.00 = 1.100 five-year zerosYour cash flows are thus as follows:Time Cash Flow0 $ 04 -$1,000 The 4-year zero issued at time 0 matures;the issuer pays out $1,000 face value5 +$1,100 The 5-year zeros purchased at time 0 mature;receive face valueThis is a synthetic one-year loan originating at time 4. The rate on thesynthetic loan is 0.100 = 10.0%, precisely the forward rate for19. a. For each three-year zero you buy today, issue:$782.92/$650.00 = 1.2045 five-year zerosThe time-0 cash flow equals zero.b. Your cash flows are thus as follows:Time Cash Flow0 $ 03 +$1,000.00 The 3-year zero purchased at time 0 matures;receive $1,000 face value5 -$1,204.50 The 5-year zeros issued at time 0 mature;issuer pays face valueThis is a synthetic two-year loan originating at time 3.c.The effective two-year interest rate on the forward loan is:$1,204.50/$1,000 1 = 0.2045 = 20.45%d.The one-year forward rates for years 4 and 5 are 9.5% and 10%, respectively. Notice that:1.095 × 1.10 = 1.2045 =1 + (two-year forward rate on the 3-year ahead forward loan)The 5-year YTM is 9.0%. The 3-year YTM is 8.5%. Therefore, another way to derive the 2-year forward rate for a loan starting at time 3 is:%46.202046.01085.109.11)y 1()y 1()2(f 3533553==-=-++= [Note: slight discrepancies here from rounding errors in YTM calculations]CFA PROBLEMS1. Expectations hypothesis: The yields on long-term bonds are geometric averages ofpresent and expected future short rates. An upward sloping curve is explained by expected future short rates being higher than the current short rate. A downward-sloping yield curve implies expected future short rates are lower than the current short rate. Thus bonds of different maturities have different yields if expectations of future short rates are different from the current short rate.Liquidity preference hypothesis: Yields on long-term bonds are greater than the expected return from rolling-over short-term bonds in order to compensate investors in long-term bonds for bearing interest rate risk. Thus bonds of different maturities can have different yields even if expected future short rates are all equal to the current short rate. An upward sloping yield curve can be consistent even with expectations of falling short rates if liquidity premiums are high enough. If,however, the yield curve is downward sloping and liquidity premiums are assumed to be positive, then we can conclude that future short rates are expected to be lower than the current short rate. 2. d. 3.a.(1+y 4 )4 = (1+ y 3 )3 (1 + f 4 ) (1.055)4 = (1.05)3 (1 + f 4 )1.2388 = 1.1576 (1 + f 4 ) ? f 4 = 0.0701 = 7.01%b.The conditions would be those that underlie the expectations theory of the term structure: risk neutral market participants who are willing to substitute among maturities solely on the basis of yield differentials. This behavior would rule out liquidity or term premia relating to risk.c.Under the expectations hypothesis, lower implied forwardrates wouldindicate lower expected future spot rates for the corresponding period. Since the lower expected future rates embodied in the term structure are nominal rates, either lower expected future real rates or lower expected future inflation rates would be consistent with the specified change in the observed (implied) forward rate.4.The given rates are annual rates, but each period is a half-year. Therefore, the per period spot rates are 2.5% on one-year bonds and 2% on six-month bonds. The semiannual forward rate is obtained by solving for f in the following equation: 030.102.1025.1f 12==+This means that the forward rate is 0.030 = 3.0% semiannually, or 6.0% annually. 5.The present value of each bond?s payments can be derived by discounting each cash flow by the appropriate rate from the spot interest rate (i.e., the pure yield) curve:Bond A: 53.98$11.1110$08.110$05.110$PV 32=++= Bond B:36.88$11.1106$08.16$05.16$PV 32=++=Bond A sells for $0.13 (i.e., 0.13% of par value) less than the present value of itsstripped payments. Bond B sells for $0.02 less than thepresent value of its stripped payments. Bond A is more attractively priced. 6. a.Based on the pure expectations theory, VanHusen?s conclusion is incorrect. According to this theory, the expected return over any time horizon would be the same, regardless of the maturity strategy employed.b. According to the liquidity preference theory, the shape of the yield curveimplies that short-term interest rates are expected to rise in the future. Thistheory asserts that forward rates reflect expectations about future interest ratesplus a liquidity premium that increases with maturity. Given the shape of theyield curve and the liquidity premium data provided, the yield curve would stillbe positively sloped (at least through maturity of eight years) after subtractingthe respective liquidity premiums:2.90% – 0.55% = 2.35%3.50% – 0.55% = 2.95%3.80% – 0.65% = 3.15%4.00% – 0.75% = 3.25%4.15% – 0.90% = 3.25%4.30% – 1.10% = 3.20%4.45% – 1.20% = 3.25%4.60% – 1.50% = 3.10%4.70% – 1.60% = 3.10%7. The coupon bonds can be viewed as portfolios of stripped zeros: each coupon canstand alone as an independent zero-coupon bond. Therefore, yields on couponbonds reflect yields on payments with dates corresponding to each coupon. When the yield curve is upward sloping, coupon bonds have lower yields than zeroswith the same maturity because the yields to maturity on coupon bonds reflect the yields on the earlier interim coupon payments.8. The following table shows the expected short-term interest rate based on theprojections of Federal Reserve rate cuts, the term premium (which increases at arate of 0.10% per 12 months), the forward rate (which is the sum of the expectedrate and term premium), and the YTM, which is the geometric average of theforward rates.Time Expectedshort rateTermpremiumForwardrate (annual)Forward rate(semi-annual)YTM(semi-annual)0 5.00% 0.00% 5.00% 2.500% 2.500% 6 months 4.50 0.05 4.55 2.275 2.387 12 months 4.00 0.10 4.10 2.050 2.275 18 months 4.00 0.15 4.15 2.075 2.225 24 months 4.00 0.20 4.20 2.100 2.200 30months 5.00 0.25 5.25 2.625 2.271 36 months 5.00 0.30 5.30 2.650 2.334 This analysis is predicated on the liquidity preference theory of the term structure, which asserts that the forward rate in any period is the sum of the expected short rate plus the liquidity premium.9. a. Five-year Spot Rate:5544332211)y 1(070,1$)y 1(70$)y 1(70$)y 1(70$)y 1(70$000,1$+++++++++=55432)y 1(070,1$)0716.1(70$)0605.1(70$)0521.1(70$)05.1(70$000,1$+++++=55)y 1(070,1$08.53$69.58$24.63$67.66$000,1$+++++=55)y 1(070,1$32.758$+=32.758$070,1$)y 1(55=+?%13.71411.1y 55=-=Five-year Forward Rate:%01.710701.11)0716.1()0713.1(45=-=-b.The yield to maturity is the single discount rate that equates the present value of a series of cash flows to a current price. It is the internal rate of return. The short rate for a given interval is the interest rate for that interval available at different points in time.The spot rate for a given period is the yield to maturity on a zero-coupon bond that matures at the end of the period. A spot rate is the discount rate for each period. Spot rates are used to discount each cash flow of a coupon bond in order to calculate a current price. Spot rates are the rates appropriate for discounting future cash flows of different maturities.A forward rate is the implicit rate that links any two spot rates. Forward rates are directly related to spot rates, and therefore to yield to maturity. Some would argue (as in the expectations hypothesis) that forward rates are the market expectations of future interest rates. A forward rate represents a break-even rate that links two spot rates. It is important to note that forward rates link spot rates, not yields to maturity.Yield to maturity is not unique for any particular maturity. In other words, two bonds with the same maturity but different coupon rates may havedifferent yields to maturity. In contrast, spot rates and forward rates for each date are unique.c.The 4-year spot rate is 7.16%. Therefore, 7.16% is the theoretical yield to maturity for the zero-coupon U.S. Treasury note. The price of the zero-coupon note discounted at 7.16% is the present value of $1,000 to be received in 4 years. Using annual compounding:35.758$)0716.1(000,1$PV 4==10. a.The two-year implied annually compounded forward rate for a deferred loan beginning in 3 years is calculated as follows:%07.60607.0111.109.11)y 1()y 1()2(f 2/1352/133553==-?=-?++=b.Assuming a par value of $1,000, the bond price is calculated as follows:10.987$)09.1(090,1$)10.1(90$)11.1(90$)12.1(90$)13.1(90$)y 1(090,1$)y 1(90$)y 1(90$)y 1(90$)y 1(90$P 543215544332211=++++=+++++++++=。
博迪《投资学》(第9版)课后习题-指数模型(圣才出品)
第8章指数模型一、习题1．获得有效分散化组合，指数模型相对于马科维茨模型的优缺点？答：相比马科维茨模型，指数模型的优点是大量地减少了所需的估计数。
此外，马科维茨模型所需要的大量的估计数，这可能会导致在实施过程时出现大量的估计错误。
指数模型的缺点来自模型的收益残差不相关的假设。
如果使用的指数忽略了一个重要的风险因素，那么这种假设便是不正确的。
2．管理组合时从单纯跟踪指数到积极管理转变的优缺点是什么？答：从单纯跟踪指数到积极管理组合的转变是基于减少额外管理费用的确定性和有优异表现的可能性的权衡。
3．公司特定风险达到什么样的程度会影响积极型投资者持有指数组合的意愿？答：由w o和w*的计算公式可得出：在其他条件不变的情况下，包含在资产组合中候选资产的剩余方差越大，w 0越小。
此外，忽略β，当w 0减小时，w*也减小。
因此，其他条件不变，资产的剩余方差越大，它在最优风险资产组合中的头寸就越小。
换句话说，企业特定风险的增加降低了一个积极的投资者愿意放弃持有指数组合的程度。
4．我们为什么称α为非市场收益溢价？为何对于积极投资经理高α值的股票更有吸引力？其他参数不变，组合成分股的α值上升，组合的夏普比率如何变化？答：总风险溢价等于：α＋（β×市场风险溢价）。
α被称为“非市场”收益溢价，因为它是收益溢价中独立于市场表现的一部分。
夏普比率表明，具有较高α的证券更吸引人。
α是夏普比率的分子，是一个固定的数，不会受到夏普比率的分母即收益的标准差影响。
因此在α增加时，夏普比率同比增长。
由于投资组合的α是证券α的组合加权平均，则在其他所有参数不变的前提下，一种证券的α值增加将会导致资产组合的夏普比率同比增加。
5．一个投资组合管理组织分析了60只股票并用这60只股票构造了均值—方差有效组合：a ．要构造最优组合，需要估计多少期望收益率、方差、协方差？b ．如果可以合理假设股票市场的收益结构与单指数模型非常相似，则估计量为多少？ 答：a ．要构造最优投资组合，需要： n ＝60个均值估计值； n ＝60个方差估计值；2/2n n −（）＝1770个协方差估计值。
博迪投资学答案chap009-7thed
博迪投资学答案chap009-7thed9-2CHAPTER 9: THE CAPITAL ASSET PRICING MODEL1. c.2. d. From CAPM, the fair expected return = 8 + 1.25(15 - 8) = 16.75%Actually expected return = 17%α = 17 - 16.75 = 0.25%3. Since the stock’s beta is equal to 1.2, its expected rate of return is:6 + [1.2 ⨯ (16 – 6)] = 18%011P P P D )r (E -+= 53$P 5050P 618.011=⇒+=-4. The series of $1,000 payments is a perpetuity. If beta is 0.5, the cash flowshould be discounted at the rate:6 + [0.5 ⨯ (16 – 6)] = 11%PV = $1,000/0.11 = $9,090.91If, however, beta is equal to 1, then the investment should yield 16%, and the price paid for the firm should be:PV = $1,000/0.16 = $6,250The difference, $2,840.91, is the amount you will overpay if you erroneouslyassume that beta is 0.5 rather than 1.5. Using the SML: 4 = 6 + β(16 – 6) ⇒ β = –2/10 = –0.26. a.7.E(r P ) = r f + β P [E(r M ) – r f ]18 = 6 + β P (14 – 6) ⇒ β P = 12/8 = 1.59-38.a. False. β = 0 implies E(r) = r f , not zero.b. False. Investors require a risk premium only for bearing systematic(undiversifiable or market) risk. Total volatility includes diversifiablerisk.c. False. Your portfolio should be invested 75% in the market portfolioand 25% in T-bills. Then:βP = (0.75 ⨯ 1) + (0.25 ⨯ 0) = 0.759. Not possible. Portfolio A has a higher beta than Portfolio B, but the expectedreturn for Portfolio A is lower than the expected return for Portfolio B. Thus, these two portfolios cannot exist in equilibrium.10. Possible. If the CAPM is valid, the expected rate of return compensates onlyfor systematic (market) risk, represented by beta, rather than for the standard deviation, which includes nonsystematic risk. Thus, Portfolio A’s lower rate of return can be paired with a higher standard deviation, as long as A’s bet a is less than B’s.11. Not possible. The reward-to-variability ratio for Portfolio A is better than thatof the market. This scenario is impossible according to the CAPM because the CAPM predicts that the market is the most efficient portfolio. Using the numbers supplied:5.0121016S A =-= 33.0241018S M =-= Portfolio A provides a better risk-reward tradeoff than the market portfolio.12. Not possible. Portfolio A clearly dominates the market portfolio. Portfolio Ahas both a lower standard deviation and a higher expected return.13. Not possible. The SML for this scenario is: E(r) = 10 + β(18 – 10)Portfolios with beta equal to 1.5 have an expected return equal to:E(r) = 10 + [1.5 ⨯ (18 – 10)] = 22%The expected return for Portfolio A is 16%; that is, Portfolio A plots belowthe SML ( A = –6%), and hence, is an overpriced portfolio. This is inconsistent with the CAPM.9-414. Not possible. The SML is the same as in Problem 13. Here, Portfolio A’srequired return is: 10 + (0.9 ⨯8) = 17.2%This is greater than 16%. Portfolio A is overpriced with a negative alpha:α A = –1.2%15. Possible. The CML is the same as in Problem 11. Portfolio A plots below theCML, as any asset is expected to. This scenario is not inconsistent with theCAPM.16. If the security’s correlation coefficient with the market portfolio doubles (withall other variables such as variances unchanged), then beta, and therefore the risk premium, will also double. The current risk premium is: 14 – 6 = 8%The new risk premium would be 16%, and the new discount rate for thesecurity would be: 16 + 6 = 22%If the stock pays a constant perpetual dividend, then we know from the original data that the dividend (D) must satisfy the equation for the present value of a perpetuity:Price = Dividend/Discount rate50 = D/0.14 ⇒ D = 50 ⨯ 0.14 = $7.00At the new discount rate of 22%, the stock would be worth: $7/0.22 = $31.82 The increase in stock risk has lowered its value by 36.36%.17. d.18. a. Since the market portfolio, by definition, has a beta of 1, its expected rateof return is 12%.b.β = 0 means no systematic risk. Hence, the stock’s expected rate of return inmarket equilibrium is the risk-free rate, 5%.ing the SML, the fair expected rate of return for a stock with β = –0.5 is:E(r) = 5 + [(–0.5)(12 – 5)] = 1.5%The actually expected rate of return, using the expected price and dividendfor next year is:E(r) = [($41 + $1)/40] – 1 = 0.10 = 10%Because the actually expected return exceeds the fair return, the stock isunderpriced.9-519. a. E(r P) = r f + β P [E(r M ) – r f ] = 5% + 0.8 (15% − 5%) = 13%α = 14% - 13% = 1%You should invest in this fund because alpha is positive.b. The passive portfolio with the same beta as the fund should be invested80% in the market-index portfolio and 20% in the money market account.For this portfolio:E(r P) = (0.8 × 15%) + (0.2 × 5%) = 13%14% − 13% = 1% = α20. d. [You need to know the risk-free rate]21. d. [You need to know the risk-free rate]22. a.Expected Return AlphaStock X 5% + 0.8(14% - 5%) =12.2% 14.0% - 12.2% = 1.8%Stock Y 5% + 1.5(14% - 5%) =18.5%17.0% - 18.5% = -1.5%b.i. Kay should recommend Stock X because of its positive alpha, compared toStock Y, which has a negative alpha. In graphical terms, the expectedreturn/risk profile for Stock X plots above the security market line (SML), while the profile for Stock Y plots below the SML. Also, depending onthe individual risk preferences of Kay’s clients, the lower beta for Stock X may have a beneficial effect on overall portfolio risk.ii. Kay should recommend Stock Y because it has higher forecasted return and lower standard deviation than Stock X. The respective Sharpe ratios for Stocks X and Y and the market index are:Stock X: (14% - 5%)/36% = 0.25Stock Y: (17% - 5%)/25% = 0.48Market index: (14% - 5%)/15% = 0.60The market index has an even more attractive Sharpe ratio than either of the individual stocks, but, given the choice between Stock X and Stock Y, Stock Y is the superior alternative.When a stock is held as a single stock portfolio, standard deviation is therelevant risk measure. For such a portfolio, beta as a risk measure isirrelevant. Although holding a single asset is not a typically recommended investment strategy, some investors may hold what is essentially asingle-asset portfolio when they hold the stock of their employer company.For such investors, the relevance of standard deviation versus beta is an9-6important issue.9-79-823. The appropriate discount rate for the project is:r f + β[E(r M ) – r f ] = 8 + [1.8 ⨯ (16 – 8)] = 22.4% Using this discount rate:∑=+-=101t t 1.224150400NPV = −400 pesos + [150 pesos × Annuity factor (22.4%, 10 years) = 180.92 pesos The internal rate of return (IRR) for the project is 35.73%. Recall from your introductory finance class that NPV is positive if IRR > discount rate (or,equivalently, hurdle rate). The highest value that beta can take before the hurdle rate exceeds the IRR is determined by:35.73 = 8 + β(16 – 8) ⇒ β = 27.73/8 = 3.4724. a. McKay should borrow funds and invest those funds proportionately inMurray’s existing portfolio (i.e., buy more risky assets on margin). Inaddition to increased expected return, the alternative portfolio on thecapital market line will also have increased risk, which is caused by thehigher proportion of risky assets in the total portfolio.b. McKay should substitute low beta stocks for high beta stocks in order toreduce the overall beta of York’s portfolio. By reducing the overallportfolio beta, McKay will reduce the systematic risk of the portfolio, andtherefore reduce its volatility relative to the market. The security marketline (SML) suggests such action (i.e., moving down the SML), even thoughreducing beta may result in a slight loss of portfolio efficiency unless fulldiversification is maintained. York’s primary objective, however, is notto maintain efficiency, but to reduce risk exposure; reducing portfolio betameets that objective. Because York does not want to engage in borrowingor lending, McKay cannot reduce risk by selling equities and using theproceeds to buy risk-free assets (i.e., lending part of the portfolio). 25. d.26. r 1 = 19%; r 2 = 16%; β1 = 1.5; β2 = 1a. To determine which investor was a better selector of individual stocks welook at abnormal return, which is the ex-post alpha; that is, the abnormalreturn is the difference between the actual return and that predicted bythe SML. Without information about the parameters of this equation(risk-free rate and market rate of return) we cannot determine whichinvestor was more accurate.9-9b. If r f = 6% and r M = 14%, then (using the notation alpha for the abnormalreturn):α 1 = 19 – [6 + 1.5(14 – 6)] = 19 – 18 = 1%α 2 = 16 – [6 + 1(14 – 6)] =16 – 14 = 2%Here, the second investor has the larger abnormal return and thusappears to be the superior stock selector. By making better predictions,the second investor appears to have tilted his portfolio towardunderpriced stocks.c. If r f = 3% and r M = 15%, then:α 1 =19 – [3 + 1.5(15 – 3)] = 19 – 21 = –2%α 2 = 16 – [3+ 1(15 – 3)] = 16 – 15 = 1%Here, not only does the second investor appear to be the superior stockselector, but the first investor’s predictions appear valueless (or worse).27. In the zero-beta CAPM the zero-beta portfolio replaces the risk-free rate, andthus:E(r) = 8 + 0.6(17 – 8) = 13.4%28. a. Call the aggressive stock A and the defensive stock D. Beta is thesensitivity of the stock’s return to the market return, i.e., the change in thestock return per unit change in the market return. Therefore, wecompute each stock’s beta by calculating the difference in its return across the two scenarios divided by the difference in the market return:00.2255382A =---=β 30.0255126D =--=βb. With the two scenarios equally likely, the expected return is an average ofthe two possible outcomes:E(r A ) = 0.5 ⨯ (–2 + 38) = 18%E(r D ) = 0.5 ⨯ (6 + 12) = 9%c. The SML is determined by the market expected return of [0.5(25 + 5)] =15%, with a beta of 1, and the T-bill return of 6% with a beta of zero. Seethe following graph.The equation for the security market line is:E(r) = 6 + β(15 – 6)d.Based on its risk, the aggressive stock has a required expected return of:E(r A ) = 6 + 2.0(15 – 6) = 24%The analyst’s forecast of expected return is only 18%. Thus the stock’s alpha is:α A = actually expected return – required return (given risk)= 18% – 24% = –6%Similarly, the required return for the defensive stock is:E(r D) = 6 + 0.3(15 – 6) = 8.7%The analyst’s forecast of expected return for D is 9%, and hence, the stock has a positive alpha:α D = actually expected return – required return (given risk)= 9 – 8.7 = +0.3%The points for each stock plot on the graph as indicated above.e. The hurd le rate is determined by the project beta (0.3), not the firm’s beta.The correct discount rate is 8.7%, the fair rate of return for stock D.9-1029. a. Agree; Regan’s conclusion is correct. By definition, the market portfolio lieson the capital market line (CML). Under the assumptions of capital markettheory, all portfolios on the CML dominate, in a risk-return sense, portfoliosthat lie on the Markowitz efficient frontier because, given that leverage isallowed, the CML creates a portfolio possibility line that is higher than allpoints on the efficient frontier except for the market portfolio, which isRainbow’s portfolio. Because Eagle’s portfolio lies on the Markowitzefficient frontier at a point other than the market portfolio, Rainbow’sportfoli o dominates Eagle’s portfolio.b. Unsystematic risk is the unique risk of individual stocks in a portfolio that isdiversified away by holding a well-diversified portfolio. Total risk iscomposed of systematic (market) risk and unsystematic (firm-specific) risk.Disagree; Wilson’s remark is incorrect. Because both portfolios lie on theMarkowitz efficient frontier, neither Eagle nor Rainbow has any unsystematicrisk. Therefore, unsystematic risk does not explain the different expectedreturns. The determining factor is that Rainbow lies on the (straight) line(the CML) connecting the risk-free asset and the market portfolio (Rainbow),at the point of tangency to the Markowitz efficient frontier having the highestreturn per unit of risk. Wilson’s remar k is also countered by the fact that,since unsystematic risk can be eliminated by diversification, the expectedreturn for bearing unsystematic is zero. This is a result of the fact thatwell-diversified investors bid up the price of every asset to the point whereonly systematic risk earns a positive return (unsystematic risk earns noreturn).30. E(r) = r f+ β × [E(r M) − r f]Fuhrman Labs: E(r) = 5 + 1.5 × [11.5 − 5.0] = 14.75%Garten Testing: E(r) = 5 + 0.8 × [11.5 − 5.0] = 10.20%If the forecast rate of return is less than (greater than) the required rate ofreturn, then the security is overvalued (undervalued).Fuhrman Labs: Forecast return –Required return = 13.25% − 14.75% =−1.50%Garten Testing: Forecast return –Required return = 11.25% − 10.20% =1.05%Therefore, Fuhrman Labs is overvalued and Garten Testing is undervalued.31. Under the CAPM, the only risk that investors are compensated for bearing isthe risk that cannot be diversified away (systematic risk). Because systematicrisk (measured by beta) is equal to 1.0 for both portfolios, an investor wouldexpect the same rate of return from both portfolios A and B. Moreover, sinceboth portfolios are well diversified, it doesn’t matter if the specific risk of the individual securities is high or low. The firm-specific risk has been diversified away for both portfolios.。
博迪投资学答案chap010-7thed
10-1CHAPTER 10: ARBITRAGE PRICING THEORY AND MULTIFACTOR MODELS OF RISK AND RETURN1 a. )e (22M 22σ+σβ=σ88125)208.0(2222A =+⨯=σ 50010)200.1(2222B =+⨯=σ97620)202.1(2222C =+⨯=σb. If there are an infinite number of assets with identical characteristics, then awell-diversified portfolio of each type will have only systematic risk since the non-systematic risk will approach zero with large n. The mean will equal that of the individual (identical) stocks.c.There is no arbitrage opportunity because the well-diversified portfolios allplot on the security market line (SML). Because they are fairly priced, there is no arbitrage.2. The expected return for Portfolio F equals the risk-free rate since its beta equals 0.For Portfolio A, the ratio of risk premium to beta is: (12 - 6)/1.2 = 5For Portfolio E, the ratio is lower at: (8 – 6)/0.6 = 3.33This implies that an arbitrage opportunity exists. For instance, you can create a Portfolio G with beta equal to 0.6 (the same as E’s) by combining Portfolio A and Portfolio F in equal weights. The expected return and beta for Portfolio G are then:E(r G ) = (0.5 ⨯ 12%) + (0.5 ⨯ 6%) = 9%βG = (0.5 ⨯ 1.2) + (0.5 ⨯ 0) = 0.6Comparing Portfolio G to Portfolio E, G has the same beta and higher return. Therefore, an arbitrage opportunity exists by buying Portfolio G and selling an equal amount of Portfolio E. The profit for this arbitrage will be:r G – r E =[9% + (0.6 ⨯ F)] - [8% + (0.6 ⨯ F)] = 1%That is, 1% of the funds (long or short) in each portfolio.3. Substituting the portfolio returns and betas in the expected return-beta relationship,we obtain two equations with two unknowns, the risk-free rate (r f ) and the factorrisk premium (RP):12 = r f + (1.2 ⨯ RP)9 = r f + (0.8 ⨯ RP)Solving these equations, we obtain:r f = 3% and RP = 7.5%4. Equation 10.9 applies here:E(r p ) = r f + βP1 [E(r1 ) - r f ] + βP2 [E(r2 ) – r f ]We need to find the risk premium (RP) for each of the two factors:RP1 = [E(r1 ) - r f ] and RP2 = [E(r2 ) - r f ]In order to do so, we solve the following system of two equations with two unknowns:31 = 6 + (1.5 ⨯ RP1 ) + (2.0 ⨯ RP2 )27 = 6 + (2.2 ⨯ RP1 ) + [(–0.2) ⨯ RP2 ]The solution to this set of equations is:RP1 = 10% and RP2 = 5%Thus, the expected return-beta relationship is:E(r P ) = 6% + (βP1⨯ 10%) + (βP2⨯ 5%)5. a. A long position in a portfolio (P) comprised of Portfolios A and B will offeran expected return-beta tradeoff lying on a straight line between points A andB. Therefore, we can choose weights such that βP = βC but with expectedreturn higher than that of Portfolio C. Hence, combining P with a shortposition in C will create an arbitrage portfolio with zero investment, zero beta,and positive rate of return.b. The argument in part (a) leads to the proposition that the coefficient of β2must be zero in order to preclude arbitrage opportunities.6. The revised estimate of the expected rate of return on the stock would be the oldestimate plus the sum of the products of the unexpected change in each factor times the respective sensitivity coefficient:revised estimate = 12% + [(1 ⨯ 2%) + (0.5 ⨯ 3%)] = 15.5%10-27. a. Shorting an equally-weighted portfolio of the ten negative-alpha stocks andinvesting the proceeds in an equally-weighted portfolio of the ten positive-alpha stocks eliminates the market exposure and creates a zero-investmentportfolio. Denoting the systematic market factor as R M , the expected dollarreturn is (noting that the expectation of non-systematic risk, e, is zero):$1,000,000 ⨯ [0.02 + (1.0 ⨯ R M )] - $1,000,000 ⨯ [(–0.02) + (1.0 ⨯ R M )]= $1,000,000 ⨯ 0.04 = $40,000The sensitivity of the payoff of this portfolio to the market factor is zerobecause the exposures of the positive alpha and negative alpha stocks cancelout. (Notice that the terms involving R M sum to zero.) Thus, the systematiccomponent of tota l risk is also zero. The variance of the analyst’s profit is notzero, however, since this portfolio is not well diversified.For n = 20 stocks (i.e., long 10 stocks and short 10 stocks) the investor willhave a $100,000 position (either long or short) in each stock. Net marketexposure is zero, but firm-specific risk has not been fully diversified. Thevariance of dollar returns from the positions in the 20 stocks is:20 ⨯ [(100,000 ⨯ 0.30)2 ] = 18,000,000,000The standard deviation of dollar returns is $134,164.b. If n = 50 stocks (25 stocks long and 25 stocks short), the investor will have a$40,000 position in each stock, 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 (50 stocks long and 50 stocks short), the investorwill have a $20,000 position in each stock, 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 (i.e., from 20to 100), standard deviation decreases by a factor of 5= 2.23607 (from$134,164 to $60,000).8. a. This statement is incorrect. The CAPM requires a mean-variance efficientmarket portfolio, but APT does not.b.This statement is incorrect. The CAPM assumes normally distributed securityreturns, but APT does not.c. This statement is correct.10-39. b. Since Portfolio X has β = 1.0, then X is the market portfolio and E(R M) =16%.Using E(R M ) = 16% and r f = 8%, the expected return for portfolio Y is notconsistent.10. a. E(r) = 6 + (1.2 ⨯ 6) + (0.5 ⨯ 8) + (0.3 ⨯ 3) = 18.1%b.Surprises in the macroeconomic factors will result in surprises in the return ofthe stock:Unexpected return from macro factors =[1.2(4 – 5)] + [0.5(6 – 3)] + [0.3(0 – 2)] = –0.3%E(r) =18.1% − 0.3% = 17.8%11. d.12. 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 goodindicator of changes in the business cycle. Thus, IP is a candidate for a factor that is highly correlated with uncertainties that have to do with investment andconsumption opportunities in the economy.13. The first two factors seem promising with respect to the likely impact on the firm’scost of capital. Both are macro factors that would elicit hedging demands acrossbroad sectors of investors. The third factor, while important to Pork Products, is apoor choice for a multifactor SML because the price of hogs is of minor importance to most investors and is therefore highly unlikely to be a priced risk factor. Betterchoices would focus on variables that investors in aggregate might find moreimportant to their welfare. Examples include: inflation uncertainty, short-terminterest-rate risk, energy price risk, or exchange rate risk. The important point here is that, in specifying a multifactor SML, we not confuse risk factors that are important toa particular investor with factors that are important to investors in general; only thelatter are likely to command a risk premium in the capital markets.14. c. Investors will take on as large a position as possible only if the mispricingopportunity is an arbitrage. Otherwise, considerations of risk anddiversification will limit the position they attempt to take in the mispricedsecurity.10-415. d.16. d.17. The APT required (i.e., equilibrium) rate of return on the stock based on r f and thefactor betas is:required E(r) = 6 + (1 ⨯ 6) + (0.5 ⨯ 2) + (0.75 ⨯ 4) = 16%According to the equation for the return on the stock, the actually expected return on the stock is 15% (because the expected surprises on all factors are zero bydefinition). Because the actually expected return based on risk is less than theequilibrium return, we conclude that the stock is overpriced.18. Any pattern of returns can be “explained” if we are free to choose an indefinitelylarge number of explanatory factors. If a theory of asset pricing is to have value, it must explain returns using a reasonably limited number of explanatory variables(i.e., systematic factors).19. d.20. c.10-5。
HullOFOD9eSolutionsCh01第九版期权期货及其他衍生品课后答案
CHAPTER 1IntroductionPractice QuestionsProblem 1.1.What is the difference between a long forward position and a short forward position?When a trader enters into a long forward contract, she is agreeing to buy the underlying asset for a certain price at a certain time in the future. When a trader enters into a short forward contract, she is agreeing to sell the underlying asset for a certain price at a certain time in the future.Problem 1.2.Explain carefully the difference between hedging, speculation, and arbitrage.A trader is hedging when she has an exposure to the price of an asset and takes a position in a derivative to offset the exposure. In a speculation the trader has no exposure to offset. She is betting on the future movements in the price of the asset. Arbitrage involves taking a position in two or more different markets to lock in a profit.Problem 1.3.What is the difference between entering into a long forward contract when the forward price is $50 and taking a long position in a call option with a strike price of $50?In the first case the trader is obligated to buy the asset for $50. (The trader does not have a choice.) In the second case the trader has an option to buy the asset for $50. (The trader does not have to exercise the option.)Problem 1.4.Explain carefully the difference between selling a call option and buying a put option.Selling a call option involves giving someone else the right to buy an asset from you. It gives you a payoff ofmax(0)min(0)T T S K K S --,=-, Buying a put option involves buying an option from someone else. It gives a payoff of max(0)T K S -,In both cases the potential payoff is T K S -. When you write a call option, the payoff is negative or zero. (This is because the counterparty chooses whether to exercise.) When you buy a put option, the payoff is zero or positive. (This is because you choose whether to exercise.)Problem 1.5.An investor enters into a short forward contract to sell 100,000 British pounds for US dollars at an exchange rate of 1.5000 US dollars per pound. How much does the investor gain or lose if the exchange rate at the end of the contract is (a) 1.4900 and (b) 1.5200?(a)The investor is obligated to sell pounds for 1.5000 when they are worth 1.4900. Thegain is (1.5000−1.4900) ×100,000 = $1,000.(b)The investor is obligated to sell pounds for 1.5000 when they are worth 1.5200. Theloss is (1.5200−1.5000)×100,000 = $2,000Problem 1.6.A trader enters into a short cotton futures contract when the futures price is 50 cents per pound. The contract is for the delivery of 50,000 pounds. How much does the trader gain or lose if the cotton price at the end of the contract is (a) 48.20 cents per pound; (b) 51.30 cents per pound?(a)The trader sells for 50 cents per pound something that is worth 48.20 cents per pound.Gain ($05000$04820)50000$900=.-.⨯,=.(b)The trader sells for 50 cents per pound something that is worth 51.30 cents per pound.Loss ($05130$05000)50000$650=.-.⨯,=.Problem 1.7.Suppose that you write a put contract with a strike price of $40 and an expiration date in three months. The current stock price is $41 and the contract is on 100 shares. What have you committed yourself to? How much could you gain or lose?You have sold a put option. You have agreed to buy 100 shares for $40 per share if the party on the other side of the contract chooses to exercise the right to sell for this price. The option will be exercised only when the price of stock is below $40. Suppose, for example, that the option is exercised when the price is $30. You have to buy at $40 shares that are worth $30; you lose $10 per share, or $1,000 in total. If the option is exercised when the price is $20, you lose $20 per share, or $2,000 in total. The worst that can happen is that the price of the stock declines to almost zero during the three-month period. This highly unlikely event would cost you $4,000. In return for the possible future losses, you receive the price of the option from the purchaser.Problem 1.8.What is the difference between the over-the-counter market and the exchange-traded market? What are the bid and offer quotes of a market maker in the over-the-counter market?The over-the-counter market is a telephone- and computer-linked network of financial institutions, fund managers, and corporate treasurers where two participants can enter into any mutually acceptable contract. An exchange-traded market is a market organized by an exchange where the contracts that can be traded have been defined by the exchange. When a market maker quotes a bid and an offer, the bid is the price at which the market maker is prepared to buy and the offer is the price at which the market maker is prepared to sell.Problem 1.9.You would like to speculate on a rise in the price of a certain stock. The current stock price is $29, and a three-month call with a strike of $30 costs $2.90. You have $5,800 to invest.Identify two alternative strategies, one involving an investment in the stock and the other involving investment in the option. What are the potential gains and losses from each?One strategy would be to buy 200 shares. Another would be to buy 2,000 options. If the share price does well the second strategy will give rise to greater gains. For example, if the share price goes up to $40 you gain [2000($40$30)]$5800$14200,⨯--,=,from the second strategy and only 200($40$29)$2200⨯-=,from the first strategy. However, if the share price does badly, the second strategy gives greater losses. For example, if the share price goes down to $25, the first strategy leads to a loss of 200($29$25)$800⨯-=,whereas the second strategy leads to a loss of the whole $5,800 investment. This example shows that options contain built in leverage.Problem 1.10.Suppose you own 5,000 shares that are worth $25 each. How can put options be used to provide you with insurance against a decline in the value of your holding over the next four months?You could buy 50 put option contracts (each on 100 shares) with a strike price of $25 and an expiration date in four months. If at the end of four months the stock price proves to be less than $25, you can exercise the options and sell the shares for $25 each.Problem 1.11.When first issued, a stock provides funds for a company. Is the same true of anexchange-traded stock option? Discuss.An exchange-traded stock option provides no funds for the company. It is a security sold by one investor to another. The company is not involved. By contrast, a stock when it is first issued is sold by the company to investors and does provide funds for the company.Problem 1.12.Explain why a futures contract can be used for either speculation or hedging.If an investor has an exposure to the price of an asset, he or she can hedge with futures contracts. If the investor will gain when the price decreases and lose when the price increases, a long futures position will hedge the risk. If the investor will lose when the price decreases and gain when the price increases, a short futures position will hedge the risk. Thus either a long or a short futures position can be entered into for hedging purposes.If the investor has no exposure to the price of the underlying asset, entering into a futures contract is speculation. If the investor takes a long position, he or she gains when the asset’s price increases and loses when it decreases. If the investor takes a short position, he or she loses when the asset’s price increases and gains when it decreases.Problem 1.13.Suppose that a March call option to buy a share for $50 costs $2.50 and is held until March. Under what circumstances will the holder of the option make a profit? Under what circumstances will the option be exercised? Draw a diagram showing how the profit on a long position in the option depends on the stock price at the maturity of the option.The holder of the option will gain if the price of the stock is above $52.50 in March. (This ignores the time value of money.) The option will be exercised if the price of the stock isabove $50.00 in March. The profit as a function of the stock price is shown in Figure S1.1.Figure S1.1:Profit from long position in Problem 1.13Problem 1.14.Suppose that a June put option to sell a share for $60 costs $4 and is held until June. Under what circumstances will the seller of the option (i.e., the party with a short position) make a profit? Under what circumstances will the option be exercised? Draw a diagram showing how the profit from a short position in the option depends on the stock price at the maturity of the option.The seller of the option will lose money if the price of the stock is below $56.00 in June. (This ignores the time value of money.) The option will be exercised if the price of the stock is below $60.00 in June. The profit as a function of the stock price is shown in Figure S1.2.Figure S1.2:Profit from short position in Problem 1.14Problem 1.15.It is May and a trader writes a September call option with a strike price of $20. The stock price is $18, and the option price is $2. Describe the investor’s cash flo ws if the option is held until September and the stock price is $25 at this time.The trader has an inflow of $2 in May and an outflow of $5 in September. The $2 is the cash received from the sale of the option. The $5 is the result of the option being exercised. The investor has to buy the stock for $25 in September and sell it to the purchaser of the optionfor $20.Problem 1.16.A trader writes a December put option with a strike price of $30. The price of the option is $4. Under what circumstances does the trader make a gain?The trader makes a gain if the price of the stock is above $26 at the time of exercise. (This ignores the time value of money.)Problem 1.17.A company knows that it is due to receive a certain amount of a foreign currency in four months. What type of option contract is appropriate for hedging?A long position in a four-month put option can provide insurance against the exchange rate falling below the strike price. It ensures that the foreign currency can be sold for at least the strike price.Problem 1.18.A US company expects to have to pay 1 million Canadian dollars in six months. Explain how the exchange rate risk can be hedged using (a) a forward contract and (b) an option.The company could enter into a long forward contract to buy 1 million Canadian dollars in six months. This would have the effect of locking in an exchange rate equal to the current forward exchange rate. Alternatively the company could buy a call option giving it the right (but not the obligation) to purchase 1 million Canadian dollars at a certain exchange rate in six months. This would provide insurance against a strong Canadian dollar in six months while still allowing the company to benefit from a weak Canadian dollar at that time. Problem 1.19.A trader enters into a short forward contract on 100 million yen. The forward exchange rate is $0.0090 per yen. How much does the trader gain or lose if the exchange rate at the end of the contract is (a) $0.0084 per yen; (b) $0.0101 per yen?a)The trader sells 100 million yen for $0.0090 per yen when the exchange rate is $0.0084⨯.millions of dollars or $60,000.per yen. The gain is 10000006b)The trader sells 100 million yen for $0.0090 per yen when the exchange rate is $0.0101⨯.millions of dollars or $110,000.per yen. The loss is 10000011Problem 1.20.The CME Group offers a futures contract on long-term Treasury bonds. Characterize the investors likely to use this contract.Most investors will use the contract because they want to do one of the following: a) Hedge an exposure to long-term interest rates.b) Speculate on the future direction of long-term interest rates.c) Arbitrage between the spot and futures markets for Treasury bonds.This contract is discussed in Chapter 6.Problem 1.21.“Options and futures are zero -sum games.” What do you think is meant by this statement?The statement means that the gain (loss) to the party with the short position is equal to the loss (gain) to the party with the long position. In aggregate, the net gain to all parties is zero.Problem 1.22.Describe the profit from the following portfolio: a long forward contract on an asset and a long European put option on the asset with the same maturity as the forward contract and a strike price that is equal to the forward price of the asset at the time the portfolio is set up.The terminal value of the long forward contract is:0T S F -where T S is the price of the asset at maturity and 0F is the delivery price, which is the same as the forward price of the asset at the time the portfolio is set up). The terminal value of the put option is:0max (0)T F S -,The terminal value of the portfolio is therefore00max (0)T T S F F S -+-,0max (0]T S F =,-This is the same as the terminal value of a European call option with the same maturity as the forward contract and a strike price equal to 0F . This result is illustrated in the Figure S1.3. The profit equals the terminal value of the call option less the amount paid for the put option. (It does not cost anything to enter into the forward contract.Figure S1.3: Profit from portfolio in Problem 1.22Problem 1.23.In the 1980s, Bankers Trust developed index currency option notes (ICONs). These are bonds in which the amount received by the holder at maturity varies with a foreign exchange rate. One example was its trade with the Long Term Credit Bank of Japan. The ICON specified that if the yen –U.S. dollar exchange rate,T S , is greater than 169 yen per dollar at maturity(in 1995), the holder of the bond receives $1,000. If it is less than 169 yen per dollar, the amount received by the holder of the bond is 1691000max 010001T S ⎡⎤⎛⎫,-,,-⎢⎥ ⎪⎝⎭⎣⎦ When the exchange rate is below 84.5, nothing is received by the holder at maturity. Show that this ICON is a combination of a regular bond and two options.Suppose that the yen exchange rate (yen per dollar) at maturity of the ICON is T S . The payofffrom the ICON is1000if 169169100010001if 8451690if 845T T T T S S S S ,>⎛⎫,-,-.≤≤ ⎪⎝⎭<.When 845169T S .≤≤ the payoff can be written 1690002000TS ,,-The payoff from an ICON is the payoff from:(a) A regular bond(b) A short position in call options to buy 169,000 yen with an exercise price of 1/169 (c) A long position in call options to buy 169,000 yen with an exercise price of 1/84.5 This is demonstrated by the following table, which shows the terminal value of the various components of the positionProblem 1.24.On July 1, 2011, a company enters into a forward contract to buy 10 million Japanese yen on January 1, 2012. On September 1, 2011, it enters into a forward contract to sell 10 million Japanese yen on January 1, 2012. Describe the payoff from this strategy.Suppose that the forward price for the contract entered into on July 1, 2011 is 1F and thatthe forward price for the contract entered into on September 1, 2011 is 2F with both 1F and 2F being measured as dollars per yen. If the value of one Japanese yen (measured in USdollars) is T S on January 1, 2012, then the value of the first contract (in millions of dollars)at that time is110()T S F -while the value of the second contract at that time is:210()T F S -The total payoff from the two contracts is therefore122110()10()10()T T S F F S F F -+-=-Thus if the forward price for delivery on January 1, 2012 increased between July 1, 2011 and September 1, 2011 the company will make a profit. (Note that the yen/USD exchange rate is usually expressed as the number of yen per USD not as the number of USD per yen)Problem 1.25.Suppose that USD-sterling spot and forward exchange rates are as follows :What opportunities are open to an arbitrageur in the following situations?(a) A 180-day European call option to buy £1 for $1.52 costs 2 cents.(b) A 90-day European put option to sell £1 for $1.59 costs 2 cents.Note that there is a typo in the problem in the book. 1.42 and 1.49 should be 1.52 and 1.59 in the last two lines of the problem s(a) The arbitrageur buys a 180-day call option and takes a short position in a 180-day forward contract. If T S is the terminal spot rate, the profit from the call option is 02.0)0,52.1max(--T SThe profit from the short forward contract isT S -5518.1The profit from the strategy is thereforeT T S S -+--5518.102.0)0,52.1max(orT T S S -+-5318.1)0,52.1max(This is1.5318−S T when S T <1.520.0118 when S T >1.52This shows that the profit is always positive. The time value of money has been ignored in these calculations. However, when it is taken into account the strategy is still likely to be profitable in all circumstances. (We would require an extremely high interest rate for $0.0118 interest to be required on an outlay of $0.02 over a 180-day period.)(b) The trader buys 90-day put options and takes a long position in a 90 day forwardcontract. If T S is the terminal spot rate, the profit from the put option is02.0)0,59.1max(--T SThe profit from the long forward contract isS T −1.5556The profit from this strategy is therefore5556.102.0)0,59.1max(-+--T T S Sor5756.1)0,59.1max(-+-T T S SThis isS T −1.5756 when S T >1.590.0144 when S T <1.59The profit is therefore always positive. Again, the time value of money has been ignored but is unlikely to affect the overall profitability of the strategy. (We would require interest rates to be extremely high for $0.0144 interest to be required on an outlay of $0.02 over a 90-day period.)Problem 1.26.A trader buys a call option with a strike price of $30 for $3. Does the trader ever exercise the option and lose money on the trade. Explain.If the stock price is between $30 and $33 at option maturity the trader will exercise the option, but lose money on the trade. Consider the situation where the stock price is $31. If the trader exercises, she loses $2 on the trade. If she does not exercise she loses $3 on the trade. It is clearly better to exercise than not exercise.Problem 1.27.A trader sells a put option with a strike price of $40 for $5. What is the trader's maximum gain and maximum loss? How does your answer change if it is a call option?The trader’s maximum gain from the put option is $5. The maximum loss is $35,corresponding to the situation where the option is exercised and the price of the underlying asset is zero. If the option were a call, the trader’s maxim um gain would still be $5, but there would be no bound to the loss as there is in theory no limit to how high the asset price could rise.Problem 1.28.``Buying a put option on a stock when the stock is owned is a form of insurance.'' Explain this statement.If the stock price declines below the strike price of the put option, the stock can be sold for the strike price.Further QuestionsProblem 1.29.On May 8, 2013, as indicated in Table 1.2, the spot offer price of Google stock is $871.37 and the offer price of a call option with a strike price of $880 and a maturity date ofSeptember is $41.60. A trader is considering two alternatives: buy 100 shares of the stock and buy 100 September call options. For each alternative, what is (a) the upfront cost, (b)the total gain if the stock price in September is $950, and (c) the total loss if the stockprice in September is $800. Assume that the option is not exercised before September andif stock is purchased it is sold in September.a)The upfront cost for the stock alternative is $87,137. The upfront cost for the optionalternative is $4,160.b)The gain from the stock alternative is $95,000−$87,137=$7,863. The total gain fromthe option alternative is ($950-$880)×100−$4,160=$2,840.c)The loss from the stock alternative is $87,137−$80,000=$7,137. The loss from theoption alternative is $4,160.Problem 1.30.What is arbitrage? Explain the arbitrage opportunity when the price of a dually listed mining company stock is $50 (USD) on the New York Stock Exchange and $52 (CAD) on the Toronto Stock Exchange. Assume that the exchange rate is such that 1 USD equals 1.01 CAD. Explain what is likely to happen to prices as traders take advantage of this opportunity. Arbitrage involves carrying out two or more different trades to lock in a profit. In this case, traders can buy shares on the NYSE and sell them on the TSX to lock in a USD profit of52/1.01−50=1.485 per share. As they do this the NYSE price will rise and the TSX price will fall so that the arbitrage opportunity disappearsProblem 1.31 (Excel file)Trader A enters into a forward contract to buy an asset for $1000 in one year. Trader B buys a call option to buy the asset for $1000 in one year. The cost of the option is $100. What is the difference between the positions of the traders? Show the profit as a function of the price of the asset in one year for the two traders.Trader A makes a profit of S T 1000 and Trader B makes a profit of max (S T 1000, 0) –100 where S T is the price of the asset in one year. Trader A does better if S T is above $900 as indicated in Figure S1.4.Figure S1.4: Profit to Trader A and Trader B in Problem 1.31Problem 1.32.In March, a US investor instructs a broker to sell one July put option contract on a stock. The stock price is $42 and the strike price is $40. The option price is $3. Explain what the investor has agreed to. Under what circumstances will the trade prove to be profitable? What are the risks?The investor has agreed to buy 100 shares of the stock for $40 in July (or earlier) if the party on the other side of the transaction chooses to sell. The trade will prove profitable if the option is not exercised or if the stock price is above $37 at the time of exercise. The risk to the investor is that the stock price plunges to a low level. For example, if the stock price drops to $1 by July , the investor loses $3,600. This is because the put options are exercised and $40 is paid for 100 shares when the value per share is $1. This leads to a loss of $3,900 which is only a little offset by the premium of $300 received for the options.Problem 1.33.A US company knows it will have to pay 3 million euros in three months. The current exchange rate is 1.3500 dollars per euro. Discuss how forward and options contracts can be used by the company to hedge its exposure.The company could enter into a forward contract obligating it to buy 3 million euros in three months for a fixed price (the forward price). The forward price will be close to but not exactly the same as the current spot price of 1.3500. An alternative would be to buy a call option giving the company the right but not the obligation to buy 3 million euros for a particular exchange rate (the strike price) in three months. The use of a forward contract locks in, at no cost, the exchange rate that will apply in three months. The use of a call option provides, at a cost, insurance against the exchange rate being higher than the strike price. Problem 1.34. (Excel file)A stock price is $29. An investor buys one call option contract on the stock with a strike price of $30 and sells a call option contract on the stock with a strike price of $32.50. The market prices of the options are $2.75 and $1.50, respectively. The options have the same maturity date. Describe the investor's position.This is known as a bull spread (see Chapter 12). The profit is shown in Figure S1.5.Figure S1.5: Profit in Problem 1.34Problem 1.35.The price of gold is currently $1,400 per ounce. The forward price for delivery in one year is $1,500. An arbitrageur can borrow money at 4% per annum. What should the arbitrageur do? Assume that the cost of storing gold is zero and that gold provides no income.The arbitrageur should borrow money to buy a certain number of ounces of gold today and short forward contracts on the same number of ounces of gold for delivery in one year. This means that gold is purchased for $1,400 per ounce and sold for $1,500 per ounce. Interest on the borrowed funds will be 0.04×$1400 or $56 per ounce. A profit of $44 per ounce will therefore be made.Problem 1.36.The current price of a stock is $94, and three-month call options with a strike price of $95 currently sell for $4.70. An investor who feels that the price of the stock will increase istrying to decide between buying 100 shares and buying 2,000 call options (20 contracts). Both strategies involve an investment of $9,400. What advice would you give? How high does the stock price have to rise for the option strategy to be more profitable?The investment in call options entails higher risks but can lead to higher returns. If the stock price stays at $94, an investor who buys call options loses $9,400 whereas an investor who buys shares neither gains nor loses anything. If the stock price rises to $120, the investor who buys call options gains⨯--=,$2000(12095)940040600An investor who buys shares gains$⨯-=,100(12094)2600The strategies are equally profitable if the stock price rises to a level, S, where⨯-=--100(94)2000(95)9400S SorS=100The option strategy is therefore more profitable if the stock price rises above $100.Problem 1.37.On May 8, 2013, an investor owns 100 Google shares. As indicated in Table 1.3, the share price is about $871 and a December put option with a strike price $820 costs $37.50. The investor is comparing two alternatives to limit downside risk. The first involves buying one December put option contract with a strike price of $820. The second involves instructing a broker to sell the 100 shares as so on as Google’s price reaches $820. Discuss the advantages and disadvantages of the two strategies.The second alternative involves what is known as a stop or stop-loss order. It costs nothing and ensures that $82,000, or close to $82,000, is realized for the holding in the event the stock price ever falls to $820. The put option costs $3,750 and guarantees that the holding can be sold for $8,200 any time up to December. If the stock price falls marginally below $820 and then rises the option will not be exercised, but the stop-loss order will lead to the holding being liquidated. There are some circumstances where the put option alternative leads to a better outcome and some circumstances where the stop-loss order leads to a better outcome.If the stock price ends up below $820, the stop-loss order alternative leads to a better outcome because the cost of the option is avoided. If the stock price falls to $800 in November and then rises to $850 by December, the put option alternative leads to a betteroutcome. The investor is paying $3,750 for the chance to benefit from this second type of outcome.Problem 1.38.A bond issued by Standard Oil some time ago worked as follows. The holder received no interest. At the bond’s maturity the company promised to pay $1,000 plus an additionalamount based on the price of oil at that time. The additional amount was equal to the product of 170 and the excess (if any) of the price of a barrel of oil at maturity over $25. The maximum additional amount paid was $2,550 (which corresponds to a price of $40 per barrel). Show that the bond is a combination of a regular bond, a long position in call options on oil with a strike price of $25, and a short position in call options on oil with a strike price of $40.Suppose T S is the price of oil at the bond’s maturity. In addition to $1000 the Standard Oilbond pays:$250$40$25170(25)$402550T T T T S S S S <:>>:->:,This is the payoff from 170 call options on oil with a strike price of 25 less the payoff from 170 call options on oil with a strike price of 40. The bond is therefore equivalent to a regular bond plus a long position in 170 call options on oil with a strike price of $25 plus a short position in 170 call options on oil with a strike price of $40. The investor has what is termed a bull spread on oil. This is discussed in Chapter 12.Problem 1.39.Suppose that in the situation of Table 1.1 a cor porate treasurer said: “I will have £1 million to sell in six months. If the exchange rate is less than 1.52, I want you to give me 1.52. If it is greater than 1.58 I will accept 1.58. If the exchange rate is between 1.52 and 1.58, I will sell the sterling for the exchange rate.” How could you use options to satisfy the treasurer?You sell the treasurer a put option on GBP with a strike price of 1.52 and buy from the treasurer a call option on GBP with a strike price of 1.58. Both options are on one million pounds and have a maturity of six months. This is known as a range forward contract and is discussed in Chapter 17.Problem 1.40.Describe how foreign currency options can be used for hedging in the situation considered in Section 1.7 so that (a) ImportCo is guaranteed that its exchange rate will be less than 1.5700, and (b) ExportCo is guaranteed that its exchange rate will be at least 1.5300. Use DerivaGem to calculate the cost of setting up the hedge in each case assuming that the exchange rate volatility is 12%, interest rates in the United States are 5% and interest rates in Britain are 5.7%. Assume that the current exchange rate is the average of the bid and offer in Table 1.1.ImportCo should buy three-month call options on $10 million with a strike price of 1.5700. ExportCo should buy three-month put options on $10 million with a strike price of 1.5300. In this case the spot foreign exchange rate is 1.5543 (the average of the bid and offer quotes in。
博迪《投资学》（第9版）课后习题-风险与收益入门及历史回顾（圣才出品）
博迪《投资学》（第9版）课后习题-风险与收益⼊门及历史回顾（圣才出品）第5章风险与收益⼊门及历史回顾⼀、习题1．费雪⽅程式说明实际利率约等于名义利率与通货膨胀率的差。
假设通货膨胀率从3%涨到5%，是否意味着实际利率的下降呢？答：费雪⽅程式是指名义利率等于均衡时的实际利率加上预期通货膨胀率。
因此，如果通货膨胀率从3%涨到5%，实际利率不变，名义利率将上升2%。
另外，与预期通货膨胀率的上升相伴的可能还有实际利率的上升。
如果名义利率不变⽽通货膨胀率上升，则意味着实际利率下降。
2．假设有⼀组数据集使你可以计算美国股票的历史收益率，并可追溯到1880年。
那么这些数据对于预测未来⼀年的股票收益率有哪些优缺点？答：如果假设股票历史收益率的分布保持稳定，则样本周期越长（即样本越⼤），预期收益率越精确。
这是因为当样本容量增⼤时标准差下降了。
然⽽，如果假设收益率分布的均值随时间⽽变化且⽆法⼈为地控制，那么预期收益率必须基于更近的历史周期来估计。
在⼀系列数据中，需要决定回溯到多久以前来选取样本。
本题如果选⽤从1880年到现在的所有数据可能不太精确。
3．你有两个2年期投资可以选择：①投资于有正风险溢价的风险资产，这两年的收益分布不变且不相关，②投资该风险资产⼀年，第⼆年投资⽆风脸资产。
以下陈述哪些是正确的？a．第⼀种投资2年的风险溢价和第⼆种投资相同b ．两种投资两年收益的标准差相同c ．第⼀种投资年化标准差更低d ．第⼀种投资的夏普⽐率更⾼e ．对风险厌恶的投资者来说第⼀种投资更有吸引⼒答：c 项和e 项正确。
解释如下：c 项：令σ＝风险投资的标准差（年），1σ＝第⼀种投资2年中的标准差（年），可得σσ?=21。
因此，第⼀种投资的年化标准差为：σσσ<=221。
e 项：第⼀种投资更吸引风险厌恶程度低的投资者。
第⼀种投资（将会导致⼀系列的两个同分布但不相关的风险投资）⽐第⼆种投资（风险投资后跟着⼀个⽆风险投资）风险更⼤。
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CHAPTER 1: THE INVESTMENT ENVIRONMENT
PROBLELeabharlann SETS1. Ultimately, it is true that real assets determine the material well being of an economy. Nevertheless, individuals can benefit when financial engineering creates new products that allow them to manage their portfolios of financial assets more efficiently. Because bundling and unbundling creates financial products with new properties and sensitivities to various sources of risk, it allows investors to hedge particular sources of risk more efficiently.
5. Even if the firm does not need to issue stock in any particular year, the stock market is still important to the financial manager. The stock price provides important information about how the market values the firm's investment projects. For example, if the stock price rises considerably, managers might conclude that the market believes the firm's future prospects are bright. This might be a useful signal to the firm to proceed with an investment such as an expansion of the firm's business.
In addition, shares that can be traded in the secondary market are more attractive to initial investors since they know that they will be able to sell their shares. This in turn makes investors more willing to buy shares in a primary offering, and thus improves the terms on which firms can raise money in the equity market.
4. Financial assets make it easy for large firms to raise the capital needed to finance their investments in real assets. If Ford, for example, could not issue stocks or bonds to the general public, it would have a far more difficult time raising capital. Contraction of the supply of financial assets would make financing more difficult, thereby increasing the cost of capital. A higher cost of capital results in less investment and lower real growth.
These characteristics are found in (indeed make for) a well-developed financial market.
3. Securitization leads to disintermediation; that is, securitization provides a means for market participants to bypass intermediaries. For example, mortgage-backed securities channel funds to the housing market without requiring that banks or thrift institutions make loans from their own portfolios. As securitization progresses, financial intermediaries must increase other activities such as providing short-term liquidity to consumers and small business, and financial services.