武大经济学双学位投资学答案
投资学习题答案完整版机工版
习题（1章）1.根据你自身的情况,计算你自己的理想收益率与必要收益率。
这些收益率是有可能实现的吗?你觉得选择本章中讲到的哪些金融工具有可能帮助你实现这些收益率?参考解答：（1）理想收益率和必要收益率的计算请见Excel文件，可以在课堂上根据同学自身情况进行模拟计算或调整数值。
2.试讨论你对自己风险态度的认识,并询问一下你的家庭成员或者你身边的朋友的风险态度。
尝试对这些人(包括你自己)做一个风险排序。
参考解答：可以根据教材中第一章提供的专栏1-1进行打分，提供风险态度依据。
3.本章分析了积极配置资产类别并积极选择证券品种的投资者以及消极配置资产类别并消极选择证券品种的投资者,他们分别对应表1-9中的A组合和D组合。
试问选择B组合和C组合的投资者会怎样具体地选择资产配置方案和证券投资品种?参考解答：表1-9 资产类别配置与证券品种选择组合示意A组合是积极的资产类别配置与积极的证券品种选择,这一类组合的投资者通常根据对不同资产类别的预期收益率的判断而选择不同时机改变固定收益类和股权类资产的配置比重,并且根据对不同证券品种的预期收益率的判断而开展积极的证券交易。
D组合则是消极的资产类别配置与消极的证券品种选择,这一类组合的投资者将长期坚持其既定的在不同类别资产上的配置比重,并将长期持有具体资产类别的指数基金。
B组合根据对不同资产类别的预期收益率的判断而选择不同时机改变固定收益类和股权类资产的配置比重,但是对于具体资产品种的选择则倾向于消极持有。
C组合消极开展资产类别配置选择，但是在具体的资产品种选择上将根据对不同证券品种的预期收益率的判断而开展积极的证券交易。
4.从长期来看,投资的风险和回报是正相关的,为什么短期而言并不一定如此?参考解答：从长期来看,投资的风险和回报之间的正相关关系是金融市场在长期处于相对均衡状态时的结果，我们将在第七章和第八章进一步讨论背后的理论机制。
另一方面，由于金融资产的收益具有波动性，比如股票投资收益的波动性较高，有可能在某一个特定短期获得较高的收益，也有可能在某一个特点短期招致较大亏损，但是投资该股票承担的风险并没有发生大的变化，因此风险和回报之间的正相关关系在短期内未必成立。
投资学课后习题答案
第一章1. 答：交易机制指市场的交易规则和保证规则实施的技术以及规则和技术对定价机制的影响。
它的主要研究内容包括：从市场微观结构的角度去看，价格是在什么样的规则和程序中形成的，并分析交易机制对资产交易的过程和结果的影响。
2. 答：报价驱动机制与指令驱动机制的区别在于：①价格形成方式不同。
在采用做市商制度的市场上，证券的开盘价格和随后的交易价格是由做市商报出的，而指令驱动制度的开盘价与随后的交易价格都是竞价形成的。
前者从交易系统外部输入价格，后者的成交价格是在交易系统内部生成的。
②信息传递范围与速度不同。
采用做市商机制，投资者买卖指令首先报给做市商，做市商是唯一全面及时知晓买卖信息的交易商，成交量与成交价随后才会传递给整个市场。
在指令驱动机制中，买卖指令、成交量与成交价几乎同步传递给整个市场。
③交易量与价格维护机制不同。
在报价驱动机制中，做市商有义务维护交易量与交易价格。
而指令驱动机制则不存在交易量与交易价格的维护机制。
④处理大额买卖指令的能力不同。
做市商报价驱动机制能够有效处理大额买卖指令。
而在指令驱动机制中，大额买卖指令要等待交易对手的买卖盘，完成交易常常要等待较长时间。
其它交易机制还包括混合交易机制、特殊会员制度等。
3. 答：一般来说，做市商市场的流动性要高于竞价市场，即投资者在竞价市场所面临的执行风险要大于做市商市场。
但是，竞价市场的透明度要好于做市商市场，同时，做市商市场的平均交易成本要高于竞价市场。
竞价市场的优点：①透明度高。
在指令驱动制度中，买卖盘信息、成交量与成交价格信息等及时对整个市场发布，投资者几乎可以同步了解到交易信息。
透明度高，有利于投资者观察市场。
②信息传递速度快、范围广。
指令驱动制度几乎可以实现交易信息同步传递，整个市场可以同时分享交易信息，很难发生交易信息垄断。
③运行费用较低。
投资者买卖指令竞价成交，交易价格在系统内部生成，系统本身表现出自运行特征。
这种指令驱动系统，在处理大量小额交易指令方面，优越性较明显。
武汉大学证券投资学课后答案
第一章1、投资的特征有哪些①目的性。
现在支出价值的活动。
②时间性。
从支出到报酬经过一段时间，越长不确定性越大。
③目的在于（牺牲现在价值）获得（未来）报酬。
④风险性和不确定性。
2、试比较实物资产投资与金融资产投资的异同①实物资产投资是指直接拥有实物资本，包括土地、建筑物、知识、机器设备及人力资本。
金融资产投资是对实物资本的间接持有。
是脱离实际生产的第一步。
②实物资产投资包含实物和现实消费。
金融资产投资不在现时消费。
③实物资产投资决定提供产品和服务的能力，决定社会物质财富数量。
金融资产投资对实物资产所创造的利润和收入有要求权，能为个人带来财富，按比例分配给投资者。
同：①都是通过持有某种资产，获得该资产产生的与所承担的风险比例的收益的过程。
②目标都是为了获得收益。
③存在时间要素和投资价值不确定性。
3、为什么长期投资与短期投资是一个相对的概念？由可转让性和流动性决定。
通过出售行为缩短到合意的期限，使长期变为短期。
4、阐述投资与投机的区别和联系①行为看：投机者赚取高低差价，经常“赌一把”，风险高②持券时间：投机者频繁买卖；投资者长期持有，不理会短期涨跌③获利形式：投机者依靠买卖差价；投资者看重长期利息和股利④关注点：投机者关注价格波动；投资者一来基本分析证券内在价值5、试描述投资者持有各种金融资产要求权的性质债务类工具的要求权是固定的，持有者基于利率和证券面值来确定获得的收入流。
权益类证券的要求权是权益类证券持有者对公司支付债务类工具持有者以后的剩余收入的要求权。
混合类证券介于上述二者之间。
以上二种权利或多或少的都具备。
6、比较基本分析法和技术分析法在投资分析思路上的差异①前提：基本分析法的前提条件是内在价值等于预期收益流的现值。
再用内在价值与市场价格比较。
技术分析法是根据证券市场过去的统计资料来研究证券市场未来价格走势。
前提是历史会再现。
②股票价值影响因素：基本分析法是宏观面、行业面、公司面。
（三方面分析法）技术分析法只注重市场内部因素。
武大金融双学位投资银行学论述题
1、试述提升我国投行整体竞争力的基本思路。
答：1、加快兼并重组步伐，实现集团化经营。
增强投资银行竞争力的首要措施就是扩大规模，这可以通过自我积累逐步发展壮大，也可以通过并购来实现。
国外投行的发展壮大主要是通过大规模并购完成的。
我国一些实力较强的全国性证券公司可以通过兼并其他证券公司的途径降低经营成本，提高经营效率，增加资本实力，实现规模经营；也可以采取联合式重组，实现优势互补；还可进行增资扩股。
2、实行股份改造，健全法人治理结构。
进行制度创新，功能再造，通过实行股份制改造和上市，健全投行法人治理结构和转换经营机制。
健全投行法人治理结构是投行稳健发展的重要保证。
而建立有效的风险内控机制是健全法人治理结构的重要内容，也是投行健康发展的基础。
3、加速业务创新、产品创新、实行多元化经营。
（1）多层次资本市场体系的建立和完善将拓宽投行业务领域：创业板的推出、债券市场的稳步发展都将丰富交易品种；（2）产品创新将日益活跃：股票和债券相关新品种和衍生产品、储蓄替代型证券投资产品、资产证券化产品将成为创新重点；（3）新兴业务将成为新增长点：如企业并购、政府财务顾问、管理层收购的融资、资产证券化等。
此外，进一步拓宽证券公司融资渠道，加强人才培养、建立有效激励机制，逐步完善相关法律、实行公平竞争等都是增强我国投行竞争力必不可少的措施。
2、试述完善我国债券市场的基本思路。
答：现存问题：1、总体规模较小、结构不合理。
种类上，我国债券市场是以政府和金融机构债券为主体的市场。
持有者结构上，商业银行是最主要的债券投资者。
2、市场流动性差。
目前市场准入体制下，商业银行不能进入交易所市场，非金融机构也不能进入银行间市场，流动性差。
3、市场监管效率低，法律法规不健全。
监管目标模糊、政策自相矛盾。
4、企业债券利率低，比重过低作用小。
基本思路：1、扩大债券市场供给规模。
足够的规模是市场发挥其功能的基本前提，扩大债券市场规模是完善我国金融体系的需要。
投资学习题及其答案
《投资学》习题及答案题1- 4考察的是“均值-方差分析”1.（1） 股票K 和L 的预期收益分别是多少？ （2） 股票K 和L 的标准差分别是多少？ （3） 股票K 和L 的协方差是多少？ （4） 股票K 和L 的相关系数是多少？（5） 如果投资人在股票K 和L 上的投资分别是35%和65%，那么其投资组合的预期收益是多少？（6） 如果投资人在股票K 和L 上的投资分别是35%和65%，那么其投资组合的标准差是多少？源自博迪习题集P31 （1）r̅=∑r i p i n i=1E (r K )=0.1×10% +0.2×11% +0.4×12% +0.2×13% +0.1×14% =12% E (r L )=0.1×9% +0.2×8% +0.4×7% +0.2×6% +0.1×9% =7.4%（2）σi =[ ∑p i (r i −r̅)2n i=1 ]12⁄ σK =[0.1×(10%-12%)2 +0.2×(11%-12%)2 +0.4×(12%-12%)2 +0.2×(13%-12%)2 +0.1×(14%-12%)2 ]1/2 =1.0954%σL =[0.1×(9%-7.4%)2 +0.2×(8%-7.4%)2 +0.4×(7%-7.4%)2 +0.2×(6%-7.4%)2 +0.1×(9%-7.4%)2 ]1/2 =1.0198%（3）cov ij =∑p n (r i,n −r̅i )(rj,n −r̅j )m n=1 cov (r K ,r L )=0.1×(10%-12%)×(9%-7.4%)+0.2×(11%-12%)×(8%-7.4%)+0.4×(12%-12%)×(7%-7.4%)+0.2×(13%-12%)×(6%-7.4%)+0.1×(14%-12%)×(9%-7.4%)=-0.00004（4）ρij =σij σi σj ⁄ρK,L = -0.00004 / (0.010954×0.010198) = -0.3581 （5）E(R p )=R ̅p =∑w i n i r̅i E(R p )=0.35×12% +0.65×7.4% =9.01%（6）σp =[w A 2σA 2+w B 2σB 2+2w A w B σA,B ]1/2σp = [0.352×0.0109542 +0.652×0.0101982 +2×0.35×0.65×(-0.00004)]1/2 =0.6359% 由于负的协方差或相关系数，组合标准差比组合中任意一个证券的标准差都小。
完整word版投资学练习题及标准答案
、基本概念1、 资本资产定价模型的前提假设是什么？2、 什么是资本配置线？其斜率是多少？3、 存在无风险资产的情况下， n 种资产的组合的可行集是怎样的？（画图说明） ；什么是有效边界？风险厌恶的投资者如何选择最有效的资产组合？（画图说明） 4、 什么是分离定理？ 5、什么是市场组合？6、 什么是资本市场线？写出资本市场线的方程。
7、 什么是证券市场线？写出资本资产定价公式。
8 P 的含义二、单选1、根据 CAPM ，一个充分分散化的资产组合的收益率和哪个因素相关（ AA •市场风险B •非系统风险C .个别风险D •再投资风险 2、在资本资产定价模型中，风险的测度是通过（A •个别风险B •贝塔系数3、市场组合的贝塔系数为（ BA 、0B 、1C 、-14、无风险收益率和市场期望收益率分别是 0.06 和 0.12。
根据 CAPM 模型，贝塔值为 1.2 的证券 X 的期望收益率为（ D ）。
A . 0.06B . 0.144C . 0.12 美元D . 0.132 5、对于市场投资组合，下列哪种说法不正确（ D ） A .它包括所有证券 B •它在有效边界上C 市场投资组合中所有证券所占比重与它们的市值成正比D •它是资本市场线和无差异曲线的切点6、关于资本市场线，哪种说法不正确（ C ） A .资本市场线通过无风险利率和市场资产组合两个点 B •资本市场线是可达到的最好的市场配置线 C .资本市场线也叫证券市场线 D •资本市场线斜率总为正7、证券市场线是（ D ）。
A 、充分分散化的资产组合，描述期望收益与贝塔的关系作业 1资产组合理论＆ CAPM）。
B ）进行的。
C .收益的标准差D .收益的方差）。
D 、0.5B 、 也叫资本市场线C 、 与所有风险资产有效边界相切的线D 、 描述了单个证券（或任意组合）的期望收益与贝塔关系的线根据 CAPM 模型，进取型证券的贝塔系数（ D ） B 、等于0 C 、等于1 D 、大于19、 A 、 美国“ 911” 系统性风险 事件发生后引起的全球股市下跌的风险属于（ B 、非系统性风险C 、信用风险 A ） D 、流动性风险10 、下列说法正确的是（ C ） A 、 分散化投资使系统风险减少 B 、 分散化投资使因素风险减少 C 、 分散化投资使非系统风险减少 D 、 .分散化投资既降低风险又提高收益 11、现代投资组合理论的创始者是（ A ） A.哈里.马科威茨 B.威廉.夏普 C.斯蒂芬.罗斯 D.尤金.珐玛 12、反映投资者收益与风险偏好有曲线是（ D ） A.证券市场线方程 B.证券特征线方程 C.资本市场线方程 D.无差异曲线 13 、不知足且厌恶风险的投资者的偏好无差异曲线具有的特征是（ A. 无差异曲线向左上方倾斜B. 收益增加的速度快于风险增加的速度C. 无差异曲线之间可能相交D.无差异曲线位置与该曲线上的组合给投资者带来的满意程度无关 B ） 14、反映证券组合期望收益水平和单个因素风险水平之间均衡关系的模型是（ A.单因素模型 B.特征线模型C.资本市场线模型 D.套利定价模型 A ）三、多项选择题1、关于资本市场线，下列说法正确的是（ ABD ）。
投资学(第2版)课后答案
第1章综合训练答案要点1.1单项选择题1.A2.D3.A4.B5.B1.2多项选择题1.ABCD2.ABCD3.AB4.BD5.AC1.3思考题1.本杰明·弗兰克说：钱生钱，并且所生之钱会生出更多的钱。
这就是货币时间价值的本质。
货币的时间价值这个概念认为，当前拥有的货币比未来收到的同样金额的货币具有更大的价值，因当前拥有的货币可以进行投资。
即使有通货膨胀的影响，只要存在投资机会，货币的现值就一定大于它的未来价值。
货币的时间价值就是指当前所持有的一定量货币比未来获得的等量货币具有更高的价值。
从经济学的角度而言，当前的一单位货币与未来的一单位货币的购买力之所以不同，是因为要节省现在的一单位货币不消费而改在未来消费，则在未来消费时必须有大于一单位的货币可供消费，作为弥补延迟消费的贴水。
从量的规定性来看,货币的时间价值是没有风险和没有通货膨胀下的社会平均资金利润率. 在计量货币时间价值时,风险报酬和通货膨胀因素不应该包括在内。
所以货币的时间价值是指货币经过一定时间的投资和再投资所增加的价值，称为资金的时间价值。
货币的时间价值不产生于生产与制造领域，产生于社会资金的流通领域。
货币时间价值来源依据：①节欲论。
投资者进行投资就必须推迟消费，对投资者推迟消费的耐心应给以报酬，这种报酬的量应与推迟的时货币的时间价值间成正比。
②劳动价值论。
资金运动的全过程：G—W…P…W’—G’G’=G+∆G包含增值额在内的全部价值是形成于生产过程的，其中增值部分是工人创造的剩余价值。
时间价值的真正来源是工人创造的剩余价值。
货币时间价值产生原因分析：（1）货币时间价值是资源稀缺性的体现。
经济和社会的发展要消耗社会资源，现有的社会资源构成现存社会财富，利用这些社会资源创造出来的将来物质和文化产品构成了将来的社会财富，由于社会资源具有稀缺性特征，又能够带来更多社会产品，所以当前物品的效用要高于未来物品的效用。
在货币经济条件下，货币是商品的价值体现，当前的货币用于支配当前的商品，将来的货币用于支配将来的商品，所以当前货币的价值自然高于未来货币的价值。
双学位-金融工程习题及参考答案
1、交易商拥有1亿日元远期空头，远期汇率为0.008美元/日元。
如果合约到期时汇率分别为0.0074美元/日元和0.0090美元/日元，那么该交易商的盈亏如何？汇率=0.0074美元/日元时，盈利=1亿美元*(0.008-0.0074)= 6万美元汇率=0.0090美元/日元时，盈利=1亿美元*(0.008-0.0090)= -10万美元2、当前黄金价格为500美元/盎司，1年远期价格为700美元/盎司。
市场借贷年利率（连续复利）为10%，假设黄金的储藏成本为0，请问有无套利机会？如果存在套利机会，设计套利策略。
理论远期价格0.1*1500*500*1.105552.5F e ===美元/盎司，由于市场的远期价格大于理论远期价格，存在套利机会。
套利策略为期借款500美元，买入一盎司黄金现货，同时卖出一盎司远期黄金。
一年后进行交割黄金远期，得到700美元，偿还借款本息552.5美元，获利147.5美元。
3、每季度计一次复利的年利率为14%，请计算与之等价的每年计一次复利的年利率和连续复利年利率。
每年计一次复利的年利率=（1+0.14/4）4-1=14.75%连续复利年利率=4ln(1+0.14/4)=13.76%4、假设连续复利的零息票利率如下： 期限（年） 年利率（%）112.0 213.0 3 13.7 414.2 5 14.5请计算第2、3、4、5年的连续复利远期利率。
由()()()ss F L S L L r T t r T T r T t e e e ---= 得()()L L S S F L sr T t r T t r T T ---=- 因此，第二年的远期利率213.0%*212.0%*114.0%21F r -==- 第三年的远期利率313.7%*313.0%*215.1%32F r -==-第四年的远期利率414.2%*413.7%*315.7%43F r -==- 第五年的远期利率514.5%*514.2%*415.7%54F r -==- 5、假设连续复利的零息票利率分别为： 期限（月） 年利率（%）3 8.0 68.2 98.4 12 8.5 158.6 18 8.7请计算第2、3、4、5、6季度的连续复利远期利率。
武大 双学位 金融经济学考试 (2)
名词解释1、费雪分离定理在完善的资本市场，投资决策仅仅由市场利率决定，与个人主观偏见无关。
即投资决策和消费决策是分离的。
2、强独立性3、确定性等价财富风险溢价指风险厌恶者为了躲避风险而愿意放弃的投资收益，或让一个风险厌恶者参与一项博彩所必需获得的风险补偿。
它与个体的风险厌恶程度有关。
我们通常衡量风险溢价的方式，将其表示为个体进行投机活动获得的期望财富与个体不进行投机活动时所得到的确定性等量财富之间的差额。
公式：风险溢价=期望财富-确定性等价财富=U[E(W)]-E[U(W)]。
绝对风险厌恶系数相对风险厌恶系数一阶随机占优资产x随机占优另一个资产y，若在每一个状态下个体从资产x获得的收益多于资产y。
对所有具有连续递增的效用函数U而言，投资者对x的偏好胜过y，即EU(x)>=EU(y)。
二阶随机占优如果所有具有连续效用函数的风险厌恶投资者偏好x胜过y，即EU(x)>=EU(y)。
对所有风险厌恶投资者，x优于y意味着，在任何既定的财富水平下，y的累积概率分布的覆盖面积均大于x 的覆盖区间。
纯证券是指对某给定的状态发生时，纯证券的价值是1；在其它状态下，其价值是0完全市场可产生任何形式的收益，线性无关的证券个数与所有自然状态的数目相等。
两基金分离定律每位投资者所具有的最大效用投资组合是由无风险资产和一个风险资产组合合成的，后者由出发于无风险收益率并与投资者风险资产的有效集相切的直线所决定。
特征线表示的是证券均衡预期收益率（实际上，这是事前特征线）与实际预期收益率的关系。
如果通过对过去观察的数据得出实际收益率对市场均衡收益的回归分析而得到的拟合直线就是事后特征线。
有效市场假说中弱式、半强式、强式有效市场的概念①市场价格已充分反应出所有过去历史的证券价格信息，没有任何投资者可以基于历史的价格或者收益率的信息推测出交易规则，从而获得超额收益；②价格已充分所应出所有已公开的有关公司营运前景的信息，没有任何投资者可以通过任何公开可获得的信息建立交易规则而获得超常收益；③价格已充分地反应了所有关于公司营运的信息，没有任何投资者可以通过任何信息而获得超常收益，无论该信息是否为公开可获得信息；有限理性为抓住问题的本质而简化决策变量的条件下表现出来的理性行为。
武汉大学双学位投资银行学复习重点
名词解释：境外合格机构投资者（），在投资额度内可直接投资中国证券市场。
：合格境内机构投资者（），指在人民币资本项下不可兑换、资本市场未开放条件下，在一国境内设立，经该国有关部门批准，有控制地允许境内机构投资境外资本市场的股票、债券等有价证券投资业务的一项制度安排。
申请禁止期：证券发行公司的发行申请在备案后，要经过3周的观察、审核，然后才能完成注册。
目的是放慢上市速度、保证上市公司质量。
暂搁注册制度：符合条件的公司，可以为其今后两年内所有可预期的证券发行，预先到证券交易委员会（）办理被称为暂搁注册的手续，并自主决定证券发行的具体时机。
竞争性投标：通常由银行及证券经纪商等机构投资者参加，占每次拍卖人数的7580%，机构投资者一般都购买大数额的国库券，参加竞争性投标者要表明自己愿意接受的债券年收益率。
非竞争性投标：通常由小额投资者参加。
投标单上不需注明债券的收益率，只需注明认购额。
按投标的平均价格购买。
收益债券：收益债券（）是指规定无论利息的支付或是本金的偿还均只能自债券发行公司的所得或利润中拔出的公司债券。
债券的利息并不固定，发期有无利润和利润大小而定，如无利润则不付息。
高收益债券，即垃圾债券，是一种高风险、低评级的投机级债券。
资产证券化：指将缺乏流动性，但具有某种可预见未来现金流收入的资产或资产组合汇集起来，通过结构性重组，将其转变为可以在金融市场上出售和流通的证券，以此来融通资金的过程。
资产池：具有一定特定特征的资产组合。
过手证券：简单传递证券。
是住房抵押担保证券中最基本的形式，它代表对房屋抵押贷款组成的资产池的直接所有权。
过手证券的服务人从组成资产池的住房抵押贷款借款人处得到本金和利息的偿还后，定期地“过手”给证券的投资者。
优先债券/次级债券：优先债券的持有人在借贷机构清盘时，具有比其它债券持有人优先索偿之权利。
次级债是指偿还次序优于公司股本权益、但低于公司一般债务的一种债务形式。
债券债券：指只获利息类证券，指只获本金类证券。
《投资学》课后习题答案
《投资学》课后习题答案张元萍《投资学》课后习题答案第一章能力训练答案选择题思考题1．投资就是投资主体、投资目的、投资方式和行为内在联系的统一，这充分体现了投资必然与所有权相联系的本质特征。
也就是说，投资是要素投入权、资产所有权、收益占有权的统一。
这是因为：①反映投资与所有权联系的三权统一的本质特征，适用于商品市场经济的一切时空。
从时间上看，无论是商品经济发展的低级阶段还是高度发达的市场经济阶段，投资都无一例外地是要素投入权、资产所有权、收益占有权的统一；从空间上看，无论是在中国还是外国乃至全球范围，投资都无一例外地是这三权的高度统一。
②反映投资与所有权联系的三权统一的本质特征，适用于任何投资种类和形式。
尽管投资的类型多种多样，投资的形式千差万别，但它们都是投资的三权统一。
③反映投资与所有权联系的三权统一本质特征贯穿于投资运动的全过程。
投资的全过程是从投入要素形成资产开始到投入生产，生产出成果，最后凭借对资产的所有权获取收益。
这一全过程实际上都是投资三权统一的实现过程。
④反映投资与所有权联系的三权统一本质特征，是投资区别于其他经济活动的根本标志。
投资的这种本质特征决定着投资的目的和动机，规定着投资的发展方向，决定着投资的运动规律。
这些都使投资与其他经济活动区别开来，从而构成独立的经济范畴和研究领域。
2．金融投资在整个社会经济中的作用来看，金融投资的功能具有共性，主要有以下几个方面：（1）筹资与投资的功能。
这是金融投资最基本的功能。
筹资是金融商品服务筹资主体的功能，投资是金融商品服务投资主体的功能。
社会经济发展的最终决定力量是其物质技术基础，物质技术基础的不断扩大、提高必须依靠实业投资。
（2）分散化与多元化功能。
金融投资促进了投资权力和投资风险分散化，同时又创造了多元化的投资主体集合。
金融投资把投资权力扩大到了整个社会。
（３）自我发展功能。
金融投资具有一种促进自己不断创新和发展的内在机制。
（4）资源配置优化功能。
投资学-作业答案
投资学作业答案第一章为在满足明确的风险承受能力和适用的限制条件下，实现既定的回报率要求的策略是〔〕。
选项: c、投资政策一个经常被引用来解释完全融资养老基金投资于普通股票的原因的错误说法是〔〕。
选项: c、股票提供了防范通货膨胀的手段风险容忍水平对而言非常高的是〔〕。
选项:a、银行一种对投资者在资产投资方面的限制是〔〕。
选项:a、投资限制从经济学角度如何定义投资？〔〕选项:a、投资就是人们对当期消费的延迟行为。
从财务角度如何定义投资？〔〕选项: b、投资就是现金流的规划。
以下哪项是投资者要面对的问题？〔〕选项: e、以上均是投资管理的基石不包括以下哪项？〔〕选项: c、投资者的天分常见的财务、金融和经济数据库有哪些？〔〕选项: d、以上均是投资管理的过程的主要参与者有〔〕。
选项: d、以上均是以下哪项不是机构投资者？〔〕选项: e、个人投资管理的第一步是〔〕。
选项:a、确定投资目标投资管理的第三步是〔〕。
选项: c、选择投资组合策略投资管理的第五步是〔〕。
选项: e、投资绩效投资和投机的区别是〔〕。
选项: c、没有明显的界限第二章假设要成立一个专项奖学金，每年奖励10000元，年利率为5%，则现在需要〔〕运作资金。
选项: c、20万元一年以前，你在自己的储蓄账户中存入1000美元，收益率为7%，如果年通胀率为3%，你的近似实际收益率为〔〕？选项:a、4%某人拟在3年后获得10000元，假设年利率6%，他现在应该投入〔〕元。
选项:a、8396你以20美元购买了一股股票，一年以后你收到了1美元的红利，并以29美元卖出。
你的持有期收益率是多少？〔〕选项: b、50%某人拟在3年后获得10000元，假设年利率6%，他现在每年应该投入〔〕元？〔PV〔6%，3〕〕选项:a、3741一种资产组合具有的预期收益率和的标准差，无风险利率是6%，投资者的效用函数为：U=E(r)-(A/2)σ2。
A的值是多少时使得风险资产与无风险资产对于投资者来讲没有区别？〔〕选项: d、8以下哪个表达是正确的？〔〕选项: e、上述各项均不准确股票的HPR(持有期回报率)等于〔〕。
投资学（第五版）全套习题参考解答242149
投资学（第五版）全套习题参考解答242149第一章1.我国和西方(经济学)对投资概念的界定有何异同?西方经济学认为，投资主要是以企业为主导的实物资本形成的过程，但主体也可以扩展至政府、非营利性组织和居民家庭，内容也可以扩展至人力资本和无形资本。
我国对投资概念的界定与我国经济发展进步密切相关，计划经济时代强调政府为主体的基本建设投资，改革开放后投资的概念逐渐转变和扩展至固定、流动资产投资和间接投资，实际上与西方的投资概念逐渐接轨。
2.直接投资与间接投资的区别和联系是什么?直接投资和间接投资的主要区别在于投资的运用方式不同，直接投资是将资金直接投入投资项目的建设或购置以形成固定资产和流动资产的投资，间接投资则是投资者通过购买有价证券等金融资产以获取一定预期收益的投资。
但是，直接投资和间接投资都属于投资的概念，间接投资可以转化成为直接投资，直接投资在很多时候也需要间接投资配合才能完成。
3.投资应具备哪些要素?这些要素在不同投资体制下所处的地位和内容有什么不同?投资的要素包括投资主体、投资客体、投资目的和投资方式：投资主体即投资者，是具有资金或资财来源和投资决策权的投资活动主体；投资客体即投资对象、目标或标的物；投资目的指投资者的意图及所要取得的效果；投资方式指投入资金运用的形式与方法。
不同的投资体制下各投资要素的地位和内容有所不同。
一般来说，相比于计划经济体制，在市场经济体制下投资主体由政府为主让位于企业投资为主，投资客体从基本的建设扩展到各种有形和无形资产，投资目的由发展再生产扩展到设备更新升级、获取财务收益、社会效益等内容，投资方式由政府无偿拨付为主扩展到市场化的直接和间接投资，各投资要素显现出多样化、市场化的特征。
4.简述投资风险的产生与防范。
投资风险是由投资自身的其他特点引起的。
投资具有复杂性和系统性，系统的复杂性和与外部的广泛联系是投资风险的主要根源。
投资的周期较长，资金投入具有连续性，人们事先难以预测到建设过程中可能发生的全部变化，周期越长，可能影响项目收益的因素就会出现越多，投资回收的风险也就越大。
产业经济学考试试卷及答案（武大孙智君）
产业经济学考试试卷及答案（武大孙智君）武汉大学双学位考试试卷产业经济学—By Amo一、名词解释（4*10）1.产业：产业作为产业经济学研究的对象，是指具有某类特性的企业的集合。
从产业组织的角度来讲，产业指生产同类或有密切替代关系的产品或服务的企业的集合；从产业关联的角度来讲，产业指具有使用相同的原材料、相同工艺技术或生产产品用途相同的企业的集合。
从产业结构的角度来讲，产业是具有相同的原材料、产品和生产过程的特征的企业集合。
2.产业关联：指经济活动中各产业间存在的以投入品和产出品为连接纽带的广泛、复杂、密切的技术经济联系。
3.直接消耗系数：价值型直接消耗系数，直接消耗系数又叫投入系数或技术系数，是指生产单位j产品时对i产品的直接消耗量。
4.感应度系数：为了比较各产业的感应度，尝尝把里昂惕夫逆矩阵中的每一行的合计与各行合计的平均值（社会平均敏感度）对比，这一得到的系数称之为感应度系数5.产业集中度：指产业内规模处于前几位的厂商的产值、销售额、资产或职工的累计数量占整个产业的比重。
6.掠夺性定价行为：掠夺性定价行为是指一家厂商为将对手排挤出市场和吓退企图进入该市场的潜在对手而降低价格，待对手退出市场后它再行提价。
7.贝恩指数：衡量行业垄断程度的一个指数。
8.主导产业：在区域经济增长中起组织和带动作用的产业。
9.中间投入率：直接消耗系数矩阵的列和。
10.产业结构高度化：遵循产业结构演进规律，提高创新，加速产业结构向高度化演进。
二、简答题（10*6）1．简述配第-克拉克定理及其应用。
配第-克拉克定理即劳动力专业规律，是研究经济发展中的产业结构演变规律的学说。
前提：克拉克对产业结构演变规律的探讨，是以若干国家产业结构在时间推移中发生的变化为依据的；克拉克在分析产业结构演变时，首先使用了劳动力这个指标，考察了伴随着经济的发展，劳动力在各次产业中的分布状况发生的变化，以反映伴随着经济发展产业结构的变化状况；克拉克产业结构的研究是以三次产业分类法，即将全部的经济活动分为第一次产业、第二次产业和第三次产业为基本框架的。
武汉大学双学位国际经济学复习重点
国际经济学作业题目和答案第二章1、关键术语比较优势：是指以各国生产成本和相对差异为基础进行国际专业化分工，并通过自由贸易获得利益的一种国际贸易理论。
在两个生产两种商品的情形下，其中一国在两种商品生产上均占绝对优势，另一国在两个商品的生产上出于绝对劣势，则优势国可以专门生产优势较大的那种商品，劣势国可以专门生产劣势较小的那种商品，通过专业化分工的国际交换，双方仍能从总获益。
派生需求：是指因某种需求的初始增加而引起的其他需求的增加，如对较低生产阶段（消费品生产阶段）的初始需求的增加，可引起对较高生产阶段（生产资料生产阶段）的派生需求增加。
再如，投资需求的初始增加，可引起一系列派生需求的增加（如收入增加带来消费品需求的增加等），最终引起国民经济总产出的成倍增加。
相对供给曲线：表示某一种商品的相对价格和市场相对供给量之间相互关系的曲线。
在国际贸易理论中，为了分析不同国家的比较优势，必须超越局限于一种商品的局部供求分析和局部均衡，同时对两个或两个以上的市场及其相互关系进行一般均衡分析。
相对供给曲线就是联系两个或两个以上市场供求状况的有效方法，产品A的价格和产品B的价格比值称为产品A对产品B的相对价格，市场对产品A的供给数量与市场对产品B的供给量之称为产品A对产品B的相对供给，联系相对价格和相对供给的曲线就是相对供给曲线，一般而言，相对供给是相对价格的增函数，相对供给曲线和相对需求曲线的交点决定了该产品的均衡相对价格。
非贸易品：是指不能进入国际贸易的商品和服务。
非贸易品不能进入国际贸易的原因是：不能运输或运输成本太高、或国际化专业分工不强、或各国出于战略需要而进行限制等，从而使国际流动存在种种困难。
非贸易品主要是服务和建筑业，如医疗、教育和住房等。
但也有许多例外，如银行和证券经纪人所提供的金融产品和服务通常是国家性的。
此外，如果一国对贸易管制过于严厉，毛贸易品也可以成为非贸易品，各国的非贸易品价格差异很大，由于它不能流动，其价格是又国内的供求状况决定的。
投资学课后答案解析APT
Chapter 10 Arbitrage Pricing Theory and Multifactor Models of Risk and ReturnMultiple Choice Questions1. ___________ a relationship between expected return and risk.A. APT stipulatesB. CAPM stipulatesC. Both CAPM and APT stipulateD. Neither CAPM nor APT stipulateE. No pricing model has found2. Consider the multifactor APT with two factors. Stock A has an expected return of 17.6%, a beta of 1.45 on factor 1 and a beta of .86 on factor 2. The risk premium on the factor 1 portfolio is3.2%. The risk-free rate of return is 5%. What is the risk-premium on factor 2 if no arbitrage opportunities exit?A. 9.26%B. 3%C. 4%D. 7.75%E. 9.75%3. In a multi-factor APT model, the coefficients on the macro factors are often called ______.A. systemic riskB. factor sensitivitiesC. idiosyncratic riskD. factor betasE. both factor sensitivities and factor betas4. In a multi-factor APT model, the coefficients on the macro factors are often called ______.A. systemic riskB. firm-specific riskC. idiosyncratic riskD. factor betasE. unique risk5. In a multi-factor APT model, the coefficients on the macro factors are often called ______.A. systemic riskB. firm-specific riskC. idiosyncratic riskD. factor loadingsE. unique risk6. Which pricing model provides no guidance concerning the determination of the risk premium on factor portfolios?A. The CAPMB. The multifactor APTC. Both the CAPM and the multifactor APTD. Neither the CAPM nor the multifactor APTE. No pricing model currently exists that provides guidance concerning the determination of the risk premium on any portfolio7. An arbitrage opportunity exists if an investor can construct a __________ investment portfolio that will yield a sure profit.A. small positiveB. small negativeC. zeroD. large positiveE. large negative8. The APT was developed in 1976 by ____________.A. LintnerB. Modigliani and MillerC. RossD. SharpeE. Fama9. A _________ portfolio is a well-diversified portfolio constructed to havea beta of 1 on one of the factors and a beta of 0 on any other factor.A. factorB. marketC. indexD. factor and marketE. factor, market, and index10. The exploitation of security mispricing in such a way that risk-free economic profits may be earned is called ___________.A. arbitrageB. capital asset pricingC. factoringD. fundamental analysisE. technical analysis11. In developing the APT, Ross assumed that uncertainty in asset returns wasa result ofA. a common macroeconomic factor.B. firm-specific factors.C. pricing error.D. neither common macroeconomic factors nor firm-specific factors.E. both common macroeconomic factors and firm-specific factors.12. The ____________ provides an unequivocal statement on the expected return-beta relationship for all assets, whereas the _____________ implies that this relationship holds for all but perhaps a small number of securities.A. APT; CAPMB. APT; OPMC. CAPM; APTD. CAPM; OPME. APT and OPM; CAPM13. Consider a single factor APT. Portfolio A has a beta of 1.0 and an expected return of 16%. Portfolio B has a beta of 0.8 and an expected return of 12%. The risk-free rate of return is 6%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio __________ and a long position in portfolio _______.A. A; AB. A; BC. B; AD. B; BE. A; the riskless asset14. Consider the single factor APT. Portfolio A has a beta of 0.2 and an expected return of 13%. Portfolio B has a beta of 0.4 and an expected return of 15%. The risk-free rate of return is 10%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio _________ and a long position in portfolio _________.A. A; AB. A; BC. B; AD. B; BE. No arbitrage opportunity exists.15. Consider the one-factor APT. The variance of returns on the factor portfolio is 6%. The beta of a well-diversified portfolio on the factor is 1.1. The variance of returns on the well-diversified portfolio is approximately __________.A. 3.6%B. 6.0%C. 7.3%D. 10.1%E. 8.6%16. Consider the one-factor APT. The standard deviation of returns on a well-diversified portfolio is 18%. The standard deviation on the factor portfolio is 16%. The beta of the well-diversified portfolio is approximately __________.A. 0.80B. 1.13C. 1.25D. 1.56E. 0.9317. Consider the single-factor APT. Stocks A and B have expected returns of 15% and 18%, respectively. The risk-free rate of return is 6%. Stock B has a beta of 1.0. If arbitrage opportunities are ruled out, stock A has a beta of __________.A. 0.67B. 1.00C. 1.30D. 1.69E. 0.7518. Consider the multifactor APT with two factors. Stock A has an expected return of 16.4%, a beta of 1.4 on factor 1 and a beta of .8 on factor 2. The risk premium on the factor 1 portfolio is 3%. The risk-free rate of return is 6%. What is the risk-premium on factor 2 if no arbitrage opportunities exit?A. 2%B. 3%C. 4%D. 7.75%E. 6.89%19. Consider the multifactor model APT with two factors. Portfolio A has a beta of 0.75 on factor 1 and a beta of 1.25 on factor 2. The risk premiums on the factor 1 and factor 2 portfolios are 1% and 7%, respectively. The risk-free rate of return is 7%. The expected return on portfolio A is __________ if no arbitrage opportunities exist.A. 13.5%B. 15.0%C. 16.5%D. 23.0%E. 18.7%20. Consider the multifactor APT with two factors. The risk premiums on the factor 1 and factor 2 portfolios are 5% and 6%, respectively. Stock A has a beta of 1.2 on factor 1, and a beta of 0.7 on factor 2. The expected return on stock A is 17%. If no arbitrage opportunities exist, the risk-free rate of return is ___________.A. 6.0%B. 6.5%C. 6.8%D. 7.4%E. 7.7%21. Consider a one-factor economy. Portfolio A has a beta of 1.0 on the factor and portfolio B has a beta of 2.0 on the factor. The expected returns on portfolios A and B are 11% and 17%, respectively. Assume that the risk-free rate is 6% and that arbitrage opportunities exist. Suppose you invested $100,000 in the risk-free asset, $100,000 in portfolio B, and sold short $200,000 of portfolio A. Your expected profit from this strategy would be ______________.A. −$1,000B. $0C. $1,000D. $2,000E. $1,60022. Consider the one-factor APT. Assume that two portfolios, A and B, are well diversified. The betas of portfolios A and B are 1.0 and 1.5, respectively. The expected returns on portfolios A and B are 19% and 24%, respectively. Assuming no arbitrage opportunities exist, the risk-free rate of return must be____________.A. 4.0%B. 9.0%C. 14.0%D. 16.5%E. 8.2%23. Consider the multifactor APT. The risk premiums on the factor 1 and factor 2 portfolios are 5% and 3%, respectively. The risk-free rate of return is 10%. Stock A has an expected return of 19% and a beta on factor 1 of 0.8. Stock A has a beta on factor 2 of ________.A. 1.33B. 1.50C. 1.67D. 2.00E. 1.7324. Consider the single factor APT. Portfolios A and B have expected returns of 14% and 18%, respectively. The risk-free rate of return is 7%. Portfolio A has a beta of 0.7. If arbitrage opportunities are ruled out, portfolio B must have a beta of __________.A. 0.45B. 1.00C. 1.10D. 1.22E. 1.33There are three stocks, A, B, and C. You can either invest in these stocks or short sell them. There are three possible states of nature for economic growth in the upcoming year; economic growth may be strong, moderate, or weak. The returns for the upcoming year on stocks A, B, and C for each of these states of nature are given below:25. If you invested in an equally weighted portfolio of stocks A and B, your portfolio return would be ___________ if economic growth were moderate.A. 3.0%B. 14.5%C. 15.5%D. 16.0%E. 17.0%26. If you invested in an equally weighted portfolio of stocks A and C, your portfolio return would be ____________ if economic growth was strong.A. 17.0%B. 22.5%C. 30.0%D. 30.5%E. 25.6%27. If you invested in an equally weighted portfolio of stocks B and C, your portfolio return would be _____________ if economic growth was weak.A. −2.5%B. 0.5%C. 3.0%D. 11.0%E. 9.0%28. If you wanted to take advantage of a risk-free arbitrage opportunity, you should take a short position in _________ and a long position in an equally weighted portfolio of _______.A. A; B and CB. B; A and CC. C; A and BD. A and B; CE. No arbitrage opportunity exists.Consider the multifactor APT. There are two independent economic factors, Fand1. The risk-free rate of return is 6%. The following information is available F2about two well-diversified portfolios:29. Assuming no arbitrage opportunities exist, the risk premium on the factor Fportfolio should be __________.1A. 3%B. 4%C. 5%D. 6%E. 2%30. Assuming no arbitrage opportunities exist, the risk premium on the factor Fportfolio should be ___________.2A. 3%B. 4%C. 5%D. 6%E. 2%31. A zero-investment portfolio with a positive expected return arises when _________.A. an investor has downside risk onlyB. the law of prices is not violatedC. the opportunity set is not tangent to the capital allocation lineD. a risk-free arbitrage opportunity existsE. a risk-free arbitrage opportunity does not exist32. An investor will take as large a position as possible when an equilibrium price relationship is violated. This is an example of _________.A. a dominance argumentB. the mean-variance efficiency frontierC. a risk-free arbitrageD. the capital asset pricing modelE. the SML33. The APT differs from the CAPM because the APT _________.A. places more emphasis on market riskB. minimizes the importance of diversificationC. recognizes multiple unsystematic risk factorsD. recognizes multiple systematic risk factorsE. places more emphasis on systematic risk34. The feature of the APT that offers the greatest potential advantage over the CAPM is the ______________.A. use of several factors instead of a single market index to explain the risk-return relationshipB. identification of anticipated changes in production, inflation, and term structure as key factors in explaining the risk-return relationshipC. superior measurement of the risk-free rate of return over historical time periodsD. variability of coefficients of sensitivity to the APT factors for a given asset over timeE. superior measurement of the risk-free rate of return over historical time periods and variability of coefficients of sensitivity to the APT factors for a given asset over time35. In terms of the risk/return relationship in the APTA. only factor risk commands a risk premium in market equilibrium.B. only systematic risk is related to expected returns.C. only nonsystematic risk is related to expected returns.D. only factor risk commands a risk premium in market equilibrium and only systematic risk is related to expected returns.E. only factor risk commands a risk premium in market equilibrium and only nonsystematic risk is related to expected returns.36. The following factors might affect stock returns:A. the business cycle.B. interest rate fluctuations.C. inflation rates.D. the business cycle, interest rate fluctuations, and inflation rates.E. the relationship between past FRED spreads.37. Advantage(s) of the APT is(are)A. that the model provides specific guidance concerning the determination of the risk premiums on the factor portfolios.B. that the model does not require a specific benchmark market portfolio.C. that risk need not be considered.D. that the model provides specific guidance concerning the determination of the risk premiums on the factor portfolios and that the model does not require a specific benchmark market portfolio.E. that the model does not require a specific benchmark market portfolio and that risk need not be considered.38. Portfolio A has expected return of 10% and standard deviation of 19%. Portfolio B has expected return of 12% and standard deviation of 17%. Rational investors willA. borrow at the risk free rate and buy A.B. sell A short and buy B.C. sell B short and buy A.D. borrow at the risk free rate and buy B.E. lend at the risk free rate and buy B.39. An important difference between CAPM and APT isA. CAPM depends on risk-return dominance; APT depends on a no arbitrage condition.B. CAPM assumes many small changes are required to bring the market back to equilibrium; APT assumes a few large changes are required to bring the market back to equilibrium.C. implications for prices derived from CAPM arguments are stronger than prices derived from APT arguments.D. CAPM depends on risk-return dominance; APT depends on a no arbitrage condition, CAPM assumes many small changes are required to bring the market back to equilibrium; APT assumes a few large changes are required to bring the market back to equilibrium, implications for prices derived from CAPM arguments are stronger than prices derived from APT arguments.E. CAPM depends on risk-return dominance; APT depends on a no arbitrage condition and assumes many small changes are required to bring the market back to equilibrium.40. A professional who searches for mispriced securities in specific areas such as merger-target stocks, rather than one who seeks strict (risk-free) arbitrage opportunities is engaged inA. pure arbitrage.B. risk arbitrage.C. option arbitrage.D. equilibrium arbitrage.E. covered interest arbitrage.41. In the context of the Arbitrage Pricing Theory, as a well-diversified portfolio becomes larger its nonsystematic risk approachesA. one.B. infinity.C. zero.D. negative one.E. None of these is correct.42. A well-diversified portfolio is defined asA. one that is diversified over a large enough number of securities that the nonsystematic variance is essentially zero.B. one that contains securities from at least three different industry sectors.C. a portfolio whose factor beta equals 1.0.D. a portfolio that is equally weighted.E. a portfolio that is equally weighted and contains securities from at least three different industry sectors.43. The APT requires a benchmark portfolioA. that is equal to the true market portfolio.B. that contains all securities in proportion to their market values.C. that need not be well-diversified.D. that is well-diversified and lies on the SML.E. that is unobservable.44. Imposing the no-arbitrage condition on a single-factor security market implies which of the following statements?I) the expected return-beta relationship is maintained for all but a small number of well-diversified portfolios.II) the expected return-beta relationship is maintained for all well-diversified portfolios.III) the expected return-beta relationship is maintained for all but a small number of individual securities.IV) the expected return-beta relationship is maintained for all individual securities.A. I and III are correct.B. I and IV are correct.C. II and III are correct.D. II and IV are correct.E. Only I is correct.45. Consider a well-diversified portfolio, A, in a two-factor economy. The risk-free rate is 6%, the risk premium on the first factor portfolio is 4% and the risk premium on the second factor portfolio is 3%. If portfolio A has a beta of 1.2 on the first factor and .8 on the second factor, what is its expected return?A. 7.0%B. 8.0%C. 9.2%D. 13.0%E. 13.2%46. The term "arbitrage" refers toA. buying low and selling high.B. short selling high and buying low.C. earning risk-free economic profits.D. negotiating for favorable brokerage fees.E. hedging your portfolio through the use of options.47. To take advantage of an arbitrage opportunity, an investor wouldI) construct a zero investment portfolio that will yield a sure profit.II) construct a zero beta investment portfolio that will yield a sure profit. III) make simultaneous trades in two markets without any net investment. IV) short sell the asset in the low-priced market and buy it in the high-priced market.A. I and IVB. I and IIIC. II and IIID. I, III, and IVE. II, III, and IV48. The factor F in the APT model representsA. firm-specific risk.B. the sensitivity of the firm to that factor.C. a factor that affects all security returns.D. the deviation from its expected value of a factor that affects all security returns.E. a random amount of return attributable to firm events.49. In the APT model, what is the nonsystematic standard deviation of an equally-weighted portfolio that has an average value of σ(e) equal to 25% andi50 securities?A. 12.5%B. 625%C. 0.5%D. 3.54%E. 14.59%50. In the APT model, what is the nonsystematic standard deviation of an equally-weighted portfolio that has an average value of σ(e) equal to 20% andi20 securities?A. 12.5%B. 625%C. 4.47%D. 3.54%E. 14.59%51. In the APT model, what is the nonsystematic standard deviation of an) equal to 20% and equally-weighted portfolio that has an average value of σ(ei40 securities?A. 12.5%B. 625%C. 0.5%D. 3.54%E. 3.16%52. In the APT model, what is the nonsystematic standard deviation of an) equal to 18% and equally-weighted portfolio that has an average value of (ei250 securities?A. 1.14%B. 625%C. 0.5%D. 3.54%E. 3.16%53. Which of the following is true about the security market line (SML) derived from the APT?A. The SML has a downward slope.B. The SML for the APT shows expected return in relation to portfolio standard deviation.C. The SML for the APT has an intercept equal to the expected return on the market portfolio.D. The benchmark portfolio for the SML may be any well-diversified portfolio.E. The SML is not relevant for the APT.54. Which of the following is false about the security market line (SML) derived from the APT?A. The SML has a downward slope.B. The SML for the APT shows expected return in relation to portfolio standard deviation.C. The SML for the APT has an intercept equal to the expected return on the market portfolio.D. The benchmark portfolio for the SML may be any well-diversified portfolio.E. The SML has a downward slope, the SML for the APT shows expected return in relation to portfolio standard deviation, and the SML for the APT has an intercept equal to the expected return on the market portfolio are all false.55. If arbitrage opportunities are to be ruled out, each well-diversified portfolio's expected excess return must beA. inversely proportional to the risk-free rate.B. inversely proportional to its standard deviation.C. proportional to its weight in the market portfolio.D. proportional to its standard deviation.E. proportional to its beta coefficient.56. Suppose you are working with two factor portfolios, Portfolio 1 and Portfolio 2. The portfolios have expected returns of 15% and 6%, respectively. Based on this information, what would be the expected return on well-diversified portfolio A, if A has a beta of 0.80 on the first factor and 0.50 on the second factor? The risk-free rate is 3%.A. 15.2%B. 14.1%C. 13.3%D. 10.7%E. 8.4%57. Which of the following is (are) true regarding the APT?I) The Security Market Line does not apply to the APT.II) More than one factor can be important in determining returns.III) Almost all individual securities satisfy the APT relationship.IV) It doesn't rely on the market portfolio that contains all assets.A. II, III, and IVB. II and IVC. II and IIID. I, II, and IVE. I, II, III, and IV58. In a factor model, the return on a stock in a particular period will be related toA. factor risk.B. non-factor risk.C. standard deviation of returns.D. both factor risk and non-factor risk.E. There is no relationship between factor risk, risk premiums, and returns.59. Which of the following factors did Chen, Roll and Ross not include in their multifactor model?A. Change in industrial productionB. Change in expected inflationC. Change in unanticipated inflationD. Excess return of long-term government bonds over T-billsE. Neither the change in industrial production, change in expected inflation, change in unanticipated inflation, nor excess return of long-term government bonds over T-bills were included in their model.60. Which of the following factors did Chen, Roll and Ross include in their multifactor model?A. Change in industrial wasteB. Change in expected inflationC. Change in unanticipated inflationD. Change in expected inflation and Change in unanticipated inflationE. All of these factors were included in their model61. Which of the following factors were used by Fama and French in their multi-factor model?A. Return on the market index.B. Excess return of small stocks over large stocks.C. Excess return of high book-to-market stocks over low book-to-market stocks.D. All of these factors were included in their model.E. None of these factors were included in their model.62. Consider the single-factor APT. Stocks A and B have expected returns of 12% and 14%, respectively. The risk-free rate of return is 5%. Stock B has a beta of 1.2. If arbitrage opportunities are ruled out, stock A has a beta of __________.A. 0.67B. 0.93C. 1.30D. 1.69E. 1.2763. Consider the one-factor APT. The standard deviation of returns on a well-diversified portfolio is 19%. The standard deviation on the factor portfolio is 12%. The beta of the well-diversified portfolio is approximately __________.A. 1.58B. 1.13C. 1.25D. 0.76E. 1.4264. Black argues that past risk premiums on firm-characteristic variables, such as those described by Fama and French, are problematic because ________.A. they may result from data snoopingB. they are sources of systematic riskC. they can be explained by security characteristic linesD. they are more appropriate for a single-factor modelE. they are macroeconomic factors65. Multifactor models seek to improve the performance of the single-index model byA. modeling the systematic component of firm returns in greater detail.B. incorporating firm-specific components into the pricing model.C. allowing for multiple economic factors to have differential effects.D. modeling the systematic component of firm returns in greater detail, incorporating firm-specific components into the pricing model, and allowing for multiple economic factors to have differential effects.E. none of these statements are true.66. Multifactor models such as the one constructed by Chen, Roll, and Ross, can better describe assets' returns byA. expanding beyond one factor to represent sources of systematic risk.B. using variables that are easier to forecast ex ante.C. calculating beta coefficients by an alternative method.D. using only stocks with relatively stable returns.E. ignoring firm-specific risk.67. Consider the multifactor model APT with three factors. Portfolio A has a beta of 0.8 on factor 1, a beta of 1.1 on factor 2, and a beta of 1.25 on factor 3. The risk premiums on the factor 1, factor 2, and factor 3 are 3%, 5% and 2%, respectively. The risk-free rate of return is 3%. The expected return on portfolio A is __________ if no arbitrage opportunities exist.A. 13.5%B. 13.4%C. 16.5%D. 23.0%E. 11.6%68. Consider the multifactor APT. The risk premiums on the factor 1 and factor 2 portfolios are 6% and 4%, respectively. The risk-free rate of return is 4%. Stock A has an expected return of 16% and a beta on factor 1 of 1.3. Stock A has a beta on factor 2 of ________.A. 1.33B. 1.05C. 1.67D. 2.00E. .9569. Consider a well-diversified portfolio, A, in a two-factor economy. The risk-free rate is 5%, the risk premium on the first factor portfolio is 4% and the risk premium on the second factor portfolio is 6%. If portfolio A has a beta of 0.6 on the first factor and 1.8 on the second factor, what is its expected return?A. 7.0%B. 8.0%C. 18.2%D. 13.0%E. 13.2%70. Consider a single factor APT. Portfolio A has a beta of 2.0 and an expected return of 22%. Portfolio B has a beta of 1.5 and an expected return of 17%. The risk-free rate of return is 4%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio __________ and a long position in portfolio _______.A. A; AB. A; BC. B; AD. B; BE. A; the riskless asset71. Consider the single factor APT. Portfolio A has a beta of 0.5 and an expected return of 12%. Portfolio B has a beta of 0.4 and an expected return of 13%. The risk-free rate of return is 5%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio _________ and a long position in portfolio _________.A. A; AB. A; BC. B; AD. B; BE. No arbitrage opportunity exists.72. Consider the one-factor APT. The variance of returns on the factor portfolio is 9%. The beta of a well-diversified portfolio on the factor is 1.25. The variance of returns on the well-diversified portfolio is approximately__________.A. 3.6%B. 6.0%C. 7.3%D. 14.1%E. 9.7%73. Consider the one-factor APT. The variance of returns on the factor portfolio is 11%. The beta of a well-diversified portfolio on the factor is 1.45. The variance of returns on the well-diversified portfolio is approximately__________.A. 23.1%B. 6.0%C. 7.3%D. 14.1%E. 11.4%74. Consider the one-factor APT. The standard deviation of returns on a well-diversified portfolio is 22%. The standard deviation on the factor portfolio is 14%. The beta of the well-diversified portfolio is approximately __________.A. 0.80B. 1.13C. 1.25D. 1.57E. 67Short Answer Questions75. Discuss the advantages of arbitrage pricing theory (APT) over the capital asset pricing model (CAPM) relative to diversified portfolios.76. Discuss the advantages of the multifactor APT over the single factor APT and the CAPM. What is one shortcoming of the multifactor APT and how does this shortcoming compare to CAPM implications?77. Discuss arbitrage opportunities in the context of violations of the law of one price.78. Discuss the similarities and the differences between the CAPM and the APT with regard to the following factors: capital market equilibrium, assumptions about risk aversion, risk-return dominance, and the number of investors required to restore equilibrium.79. Security A has a beta of 1.0 and an expected return of 12%. Security B hasa beta of 0.75 and an expected return of 11%. The risk-free rate is 6%. Explain the arbitrage opportunity that exists; explain how an investor can take advantage of it. Give specific details about how to form the portfolio, what to buy and what to sell.80. Name three variables that Chen, Roll, and Ross used to measure the impact of macroeconomic factors on security returns. Briefly explain the reasoning behind their model.。
投资学课后答案解析APT
Chapter 10 Arbitrage Pricing Theory and Multifactor Models of Risk and ReturnMultiple Choice Questions1. ___________ a relationship between expected return and risk.A. APT stipulatesB. CAPM stipulatesC. Both CAPM and APT stipulateD. Neither CAPM nor APT stipulateE. No pricing model has found2. Consider the multifactor APT with two factors. Stock A has an expected return of 17.6%, a beta of 1.45 on factor 1 and a beta of .86 on factor 2. The risk premium on the factor 1 portfolio is3.2%. The risk-free rate of return is 5%. What is the risk-premium on factor 2 if no arbitrage opportunities exit?A. 9.26%B. 3%C. 4%D. 7.75%E. 9.75%3. In a multi-factor APT model, the coefficients on the macro factors are often called ______.A. systemic riskB. factor sensitivitiesC. idiosyncratic riskD. factor betasE. both factor sensitivities and factor betas4. In a multi-factor APT model, the coefficients on the macro factors are often called ______.A. systemic riskB. firm-specific riskC. idiosyncratic riskD. factor betasE. unique risk5. In a multi-factor APT model, the coefficients on the macro factors are often called ______.A. systemic riskB. firm-specific riskC. idiosyncratic riskD. factor loadingsE. unique risk6. Which pricing model provides no guidance concerning the determination of the risk premium on factor portfolios?A. The CAPMB. The multifactor APTC. Both the CAPM and the multifactor APTD. Neither the CAPM nor the multifactor APTE. No pricing model currently exists that provides guidance concerning the determination of the risk premium on any portfolio7. An arbitrage opportunity exists if an investor can construct a __________ investment portfolio that will yield a sure profit.A. small positiveB. small negativeC. zeroD. large positiveE. large negative8. The APT was developed in 1976 by ____________.A. LintnerB. Modigliani and MillerC. RossD. SharpeE. Fama9. A _________ portfolio is a well-diversified portfolio constructed to havea beta of 1 on one of the factors and a beta of 0 on any other factor.A. factorB. marketC. indexD. factor and marketE. factor, market, and index10. The exploitation of security mispricing in such a way that risk-free economic profits may be earned is called ___________.A. arbitrageB. capital asset pricingC. factoringD. fundamental analysisE. technical analysis11. In developing the APT, Ross assumed that uncertainty in asset returns wasa result ofA. a common macroeconomic factor.B. firm-specific factors.C. pricing error.D. neither common macroeconomic factors nor firm-specific factors.E. both common macroeconomic factors and firm-specific factors.12. The ____________ provides an unequivocal statement on the expected return-beta relationship for all assets, whereas the _____________ implies that this relationship holds for all but perhaps a small number of securities.A. APT; CAPMB. APT; OPMC. CAPM; APTD. CAPM; OPME. APT and OPM; CAPM13. Consider a single factor APT. Portfolio A has a beta of 1.0 and an expected return of 16%. Portfolio B has a beta of 0.8 and an expected return of 12%. The risk-free rate of return is 6%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio __________ and a long position in portfolio _______.A. A; AB. A; BC. B; AD. B; BE. A; the riskless asset14. Consider the single factor APT. Portfolio A has a beta of 0.2 and an expected return of 13%. Portfolio B has a beta of 0.4 and an expected return of 15%. The risk-free rate of return is 10%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio _________ and a long position in portfolio _________.A. A; AB. A; BC. B; AD. B; BE. No arbitrage opportunity exists.15. Consider the one-factor APT. The variance of returns on the factor portfolio is 6%. The beta of a well-diversified portfolio on the factor is 1.1. The variance of returns on the well-diversified portfolio is approximately __________.A. 3.6%B. 6.0%C. 7.3%D. 10.1%E. 8.6%16. Consider the one-factor APT. The standard deviation of returns on a well-diversified portfolio is 18%. The standard deviation on the factor portfolio is 16%. The beta of the well-diversified portfolio is approximately __________.A. 0.80B. 1.13C. 1.25D. 1.56E. 0.9317. Consider the single-factor APT. Stocks A and B have expected returns of 15% and 18%, respectively. The risk-free rate of return is 6%. Stock B has a beta of 1.0. If arbitrage opportunities are ruled out, stock A has a beta of __________.A. 0.67B. 1.00C. 1.30D. 1.69E. 0.7518. Consider the multifactor APT with two factors. Stock A has an expected return of 16.4%, a beta of 1.4 on factor 1 and a beta of .8 on factor 2. The risk premium on the factor 1 portfolio is 3%. The risk-free rate of return is 6%. What is the risk-premium on factor 2 if no arbitrage opportunities exit?A. 2%B. 3%C. 4%D. 7.75%E. 6.89%19. Consider the multifactor model APT with two factors. Portfolio A has a beta of 0.75 on factor 1 and a beta of 1.25 on factor 2. The risk premiums on the factor 1 and factor 2 portfolios are 1% and 7%, respectively. The risk-free rate of return is 7%. The expected return on portfolio A is __________ if no arbitrage opportunities exist.A. 13.5%B. 15.0%C. 16.5%D. 23.0%E. 18.7%20. Consider the multifactor APT with two factors. The risk premiums on the factor 1 and factor 2 portfolios are 5% and 6%, respectively. Stock A has a beta of 1.2 on factor 1, and a beta of 0.7 on factor 2. The expected return on stock A is 17%. If no arbitrage opportunities exist, the risk-free rate of return is ___________.A. 6.0%B. 6.5%C. 6.8%D. 7.4%E. 7.7%21. Consider a one-factor economy. Portfolio A has a beta of 1.0 on the factor and portfolio B has a beta of 2.0 on the factor. The expected returns on portfolios A and B are 11% and 17%, respectively. Assume that the risk-free rate is 6% and that arbitrage opportunities exist. Suppose you invested $100,000 in the risk-free asset, $100,000 in portfolio B, and sold short $200,000 of portfolio A. Your expected profit from this strategy would be ______________.A. −$1,000B. $0C. $1,000D. $2,000E. $1,60022. Consider the one-factor APT. Assume that two portfolios, A and B, are well diversified. The betas of portfolios A and B are 1.0 and 1.5, respectively. The expected returns on portfolios A and B are 19% and 24%, respectively. Assuming no arbitrage opportunities exist, the risk-free rate of return must be____________.A. 4.0%B. 9.0%C. 14.0%D. 16.5%E. 8.2%23. Consider the multifactor APT. The risk premiums on the factor 1 and factor 2 portfolios are 5% and 3%, respectively. The risk-free rate of return is 10%. Stock A has an expected return of 19% and a beta on factor 1 of 0.8. Stock A has a beta on factor 2 of ________.A. 1.33B. 1.50C. 1.67D. 2.00E. 1.7324. Consider the single factor APT. Portfolios A and B have expected returns of 14% and 18%, respectively. The risk-free rate of return is 7%. Portfolio A has a beta of 0.7. If arbitrage opportunities are ruled out, portfolio B must have a beta of __________.A. 0.45B. 1.00C. 1.10D. 1.22E. 1.33There are three stocks, A, B, and C. You can either invest in these stocks or short sell them. There are three possible states of nature for economic growth in the upcoming year; economic growth may be strong, moderate, or weak. The returns for the upcoming year on stocks A, B, and C for each of these states of nature are given below:25. If you invested in an equally weighted portfolio of stocks A and B, your portfolio return would be ___________ if economic growth were moderate.A. 3.0%B. 14.5%C. 15.5%D. 16.0%E. 17.0%26. If you invested in an equally weighted portfolio of stocks A and C, your portfolio return would be ____________ if economic growth was strong.A. 17.0%B. 22.5%C. 30.0%D. 30.5%E. 25.6%27. If you invested in an equally weighted portfolio of stocks B and C, your portfolio return would be _____________ if economic growth was weak.A. −2.5%B. 0.5%C. 3.0%D. 11.0%E. 9.0%28. If you wanted to take advantage of a risk-free arbitrage opportunity, you should take a short position in _________ and a long position in an equally weighted portfolio of _______.A. A; B and CB. B; A and CC. C; A and BD. A and B; CE. No arbitrage opportunity exists.Consider the multifactor APT. There are two independent economic factors, Fand1. The risk-free rate of return is 6%. The following information is available F2about two well-diversified portfolios:29. Assuming no arbitrage opportunities exist, the risk premium on the factor Fportfolio should be __________.1A. 3%B. 4%C. 5%D. 6%E. 2%30. Assuming no arbitrage opportunities exist, the risk premium on the factor Fportfolio should be ___________.2A. 3%B. 4%C. 5%D. 6%E. 2%31. A zero-investment portfolio with a positive expected return arises when _________.A. an investor has downside risk onlyB. the law of prices is not violatedC. the opportunity set is not tangent to the capital allocation lineD. a risk-free arbitrage opportunity existsE. a risk-free arbitrage opportunity does not exist32. An investor will take as large a position as possible when an equilibrium price relationship is violated. This is an example of _________.A. a dominance argumentB. the mean-variance efficiency frontierC. a risk-free arbitrageD. the capital asset pricing modelE. the SML33. The APT differs from the CAPM because the APT _________.A. places more emphasis on market riskB. minimizes the importance of diversificationC. recognizes multiple unsystematic risk factorsD. recognizes multiple systematic risk factorsE. places more emphasis on systematic risk34. The feature of the APT that offers the greatest potential advantage over the CAPM is the ______________.A. use of several factors instead of a single market index to explain the risk-return relationshipB. identification of anticipated changes in production, inflation, and term structure as key factors in explaining the risk-return relationshipC. superior measurement of the risk-free rate of return over historical time periodsD. variability of coefficients of sensitivity to the APT factors for a given asset over timeE. superior measurement of the risk-free rate of return over historical time periods and variability of coefficients of sensitivity to the APT factors for a given asset over time35. In terms of the risk/return relationship in the APTA. only factor risk commands a risk premium in market equilibrium.B. only systematic risk is related to expected returns.C. only nonsystematic risk is related to expected returns.D. only factor risk commands a risk premium in market equilibrium and only systematic risk is related to expected returns.E. only factor risk commands a risk premium in market equilibrium and only nonsystematic risk is related to expected returns.36. The following factors might affect stock returns:A. the business cycle.B. interest rate fluctuations.C. inflation rates.D. the business cycle, interest rate fluctuations, and inflation rates.E. the relationship between past FRED spreads.37. Advantage(s) of the APT is(are)A. that the model provides specific guidance concerning the determination of the risk premiums on the factor portfolios.B. that the model does not require a specific benchmark market portfolio.C. that risk need not be considered.D. that the model provides specific guidance concerning the determination of the risk premiums on the factor portfolios and that the model does not require a specific benchmark market portfolio.E. that the model does not require a specific benchmark market portfolio and that risk need not be considered.38. Portfolio A has expected return of 10% and standard deviation of 19%. Portfolio B has expected return of 12% and standard deviation of 17%. Rational investors willA. borrow at the risk free rate and buy A.B. sell A short and buy B.C. sell B short and buy A.D. borrow at the risk free rate and buy B.E. lend at the risk free rate and buy B.39. An important difference between CAPM and APT isA. CAPM depends on risk-return dominance; APT depends on a no arbitrage condition.B. CAPM assumes many small changes are required to bring the market back to equilibrium; APT assumes a few large changes are required to bring the market back to equilibrium.C. implications for prices derived from CAPM arguments are stronger than prices derived from APT arguments.D. CAPM depends on risk-return dominance; APT depends on a no arbitrage condition, CAPM assumes many small changes are required to bring the market back to equilibrium; APT assumes a few large changes are required to bring the market back to equilibrium, implications for prices derived from CAPM arguments are stronger than prices derived from APT arguments.E. CAPM depends on risk-return dominance; APT depends on a no arbitrage condition and assumes many small changes are required to bring the market back to equilibrium.40. A professional who searches for mispriced securities in specific areas such as merger-target stocks, rather than one who seeks strict (risk-free) arbitrage opportunities is engaged inA. pure arbitrage.B. risk arbitrage.C. option arbitrage.D. equilibrium arbitrage.E. covered interest arbitrage.41. In the context of the Arbitrage Pricing Theory, as a well-diversified portfolio becomes larger its nonsystematic risk approachesA. one.B. infinity.C. zero.D. negative one.E. None of these is correct.42. A well-diversified portfolio is defined asA. one that is diversified over a large enough number of securities that the nonsystematic variance is essentially zero.B. one that contains securities from at least three different industry sectors.C. a portfolio whose factor beta equals 1.0.D. a portfolio that is equally weighted.E. a portfolio that is equally weighted and contains securities from at least three different industry sectors.43. The APT requires a benchmark portfolioA. that is equal to the true market portfolio.B. that contains all securities in proportion to their market values.C. that need not be well-diversified.D. that is well-diversified and lies on the SML.E. that is unobservable.44. Imposing the no-arbitrage condition on a single-factor security market implies which of the following statements?I) the expected return-beta relationship is maintained for all but a small number of well-diversified portfolios.II) the expected return-beta relationship is maintained for all well-diversified portfolios.III) the expected return-beta relationship is maintained for all but a small number of individual securities.IV) the expected return-beta relationship is maintained for all individual securities.A. I and III are correct.B. I and IV are correct.C. II and III are correct.D. II and IV are correct.E. Only I is correct.45. Consider a well-diversified portfolio, A, in a two-factor economy. The risk-free rate is 6%, the risk premium on the first factor portfolio is 4% and the risk premium on the second factor portfolio is 3%. If portfolio A has a beta of 1.2 on the first factor and .8 on the second factor, what is its expected return?A. 7.0%B. 8.0%C. 9.2%D. 13.0%E. 13.2%46. The term "arbitrage" refers toA. buying low and selling high.B. short selling high and buying low.C. earning risk-free economic profits.D. negotiating for favorable brokerage fees.E. hedging your portfolio through the use of options.47. To take advantage of an arbitrage opportunity, an investor wouldI) construct a zero investment portfolio that will yield a sure profit.II) construct a zero beta investment portfolio that will yield a sure profit. III) make simultaneous trades in two markets without any net investment. IV) short sell the asset in the low-priced market and buy it in the high-priced market.A. I and IVB. I and IIIC. II and IIID. I, III, and IVE. II, III, and IV48. The factor F in the APT model representsA. firm-specific risk.B. the sensitivity of the firm to that factor.C. a factor that affects all security returns.D. the deviation from its expected value of a factor that affects all security returns.E. a random amount of return attributable to firm events.49. In the APT model, what is the nonsystematic standard deviation of an equally-weighted portfolio that has an average value of σ(e) equal to 25% andi50 securities?A. 12.5%B. 625%C. 0.5%D. 3.54%E. 14.59%50. In the APT model, what is the nonsystematic standard deviation of an equally-weighted portfolio that has an average value of σ(e) equal to 20% andi20 securities?A. 12.5%B. 625%C. 4.47%D. 3.54%E. 14.59%51. In the APT model, what is the nonsystematic standard deviation of an) equal to 20% and equally-weighted portfolio that has an average value of σ(ei40 securities?A. 12.5%B. 625%C. 0.5%D. 3.54%E. 3.16%52. In the APT model, what is the nonsystematic standard deviation of an) equal to 18% and equally-weighted portfolio that has an average value of (ei250 securities?A. 1.14%B. 625%C. 0.5%D. 3.54%E. 3.16%53. Which of the following is true about the security market line (SML) derived from the APT?A. The SML has a downward slope.B. The SML for the APT shows expected return in relation to portfolio standard deviation.C. The SML for the APT has an intercept equal to the expected return on the market portfolio.D. The benchmark portfolio for the SML may be any well-diversified portfolio.E. The SML is not relevant for the APT.54. Which of the following is false about the security market line (SML) derived from the APT?A. The SML has a downward slope.B. The SML for the APT shows expected return in relation to portfolio standard deviation.C. The SML for the APT has an intercept equal to the expected return on the market portfolio.D. The benchmark portfolio for the SML may be any well-diversified portfolio.E. The SML has a downward slope, the SML for the APT shows expected return in relation to portfolio standard deviation, and the SML for the APT has an intercept equal to the expected return on the market portfolio are all false.55. If arbitrage opportunities are to be ruled out, each well-diversified portfolio's expected excess return must beA. inversely proportional to the risk-free rate.B. inversely proportional to its standard deviation.C. proportional to its weight in the market portfolio.D. proportional to its standard deviation.E. proportional to its beta coefficient.56. Suppose you are working with two factor portfolios, Portfolio 1 and Portfolio 2. The portfolios have expected returns of 15% and 6%, respectively. Based on this information, what would be the expected return on well-diversified portfolio A, if A has a beta of 0.80 on the first factor and 0.50 on the second factor? The risk-free rate is 3%.A. 15.2%B. 14.1%C. 13.3%D. 10.7%E. 8.4%57. Which of the following is (are) true regarding the APT?I) The Security Market Line does not apply to the APT.II) More than one factor can be important in determining returns.III) Almost all individual securities satisfy the APT relationship.IV) It doesn't rely on the market portfolio that contains all assets.A. II, III, and IVB. II and IVC. II and IIID. I, II, and IVE. I, II, III, and IV58. In a factor model, the return on a stock in a particular period will be related toA. factor risk.B. non-factor risk.C. standard deviation of returns.D. both factor risk and non-factor risk.E. There is no relationship between factor risk, risk premiums, and returns.59. Which of the following factors did Chen, Roll and Ross not include in their multifactor model?A. Change in industrial productionB. Change in expected inflationC. Change in unanticipated inflationD. Excess return of long-term government bonds over T-billsE. Neither the change in industrial production, change in expected inflation, change in unanticipated inflation, nor excess return of long-term government bonds over T-bills were included in their model.60. Which of the following factors did Chen, Roll and Ross include in their multifactor model?A. Change in industrial wasteB. Change in expected inflationC. Change in unanticipated inflationD. Change in expected inflation and Change in unanticipated inflationE. All of these factors were included in their model61. Which of the following factors were used by Fama and French in their multi-factor model?A. Return on the market index.B. Excess return of small stocks over large stocks.C. Excess return of high book-to-market stocks over low book-to-market stocks.D. All of these factors were included in their model.E. None of these factors were included in their model.62. Consider the single-factor APT. Stocks A and B have expected returns of 12% and 14%, respectively. The risk-free rate of return is 5%. Stock B has a beta of 1.2. If arbitrage opportunities are ruled out, stock A has a beta of __________.A. 0.67B. 0.93C. 1.30D. 1.69E. 1.2763. Consider the one-factor APT. The standard deviation of returns on a well-diversified portfolio is 19%. The standard deviation on the factor portfolio is 12%. The beta of the well-diversified portfolio is approximately __________.A. 1.58B. 1.13C. 1.25D. 0.76E. 1.4264. Black argues that past risk premiums on firm-characteristic variables, such as those described by Fama and French, are problematic because ________.A. they may result from data snoopingB. they are sources of systematic riskC. they can be explained by security characteristic linesD. they are more appropriate for a single-factor modelE. they are macroeconomic factors65. Multifactor models seek to improve the performance of the single-index model byA. modeling the systematic component of firm returns in greater detail.B. incorporating firm-specific components into the pricing model.C. allowing for multiple economic factors to have differential effects.D. modeling the systematic component of firm returns in greater detail, incorporating firm-specific components into the pricing model, and allowing for multiple economic factors to have differential effects.E. none of these statements are true.66. Multifactor models such as the one constructed by Chen, Roll, and Ross, can better describe assets' returns byA. expanding beyond one factor to represent sources of systematic risk.B. using variables that are easier to forecast ex ante.C. calculating beta coefficients by an alternative method.D. using only stocks with relatively stable returns.E. ignoring firm-specific risk.67. Consider the multifactor model APT with three factors. Portfolio A has a beta of 0.8 on factor 1, a beta of 1.1 on factor 2, and a beta of 1.25 on factor 3. The risk premiums on the factor 1, factor 2, and factor 3 are 3%, 5% and 2%, respectively. The risk-free rate of return is 3%. The expected return on portfolio A is __________ if no arbitrage opportunities exist.A. 13.5%B. 13.4%C. 16.5%D. 23.0%E. 11.6%68. Consider the multifactor APT. The risk premiums on the factor 1 and factor 2 portfolios are 6% and 4%, respectively. The risk-free rate of return is 4%. Stock A has an expected return of 16% and a beta on factor 1 of 1.3. Stock A has a beta on factor 2 of ________.A. 1.33B. 1.05C. 1.67D. 2.00E. .9569. Consider a well-diversified portfolio, A, in a two-factor economy. The risk-free rate is 5%, the risk premium on the first factor portfolio is 4% and the risk premium on the second factor portfolio is 6%. If portfolio A has a beta of 0.6 on the first factor and 1.8 on the second factor, what is its expected return?A. 7.0%B. 8.0%C. 18.2%D. 13.0%E. 13.2%70. Consider a single factor APT. Portfolio A has a beta of 2.0 and an expected return of 22%. Portfolio B has a beta of 1.5 and an expected return of 17%. The risk-free rate of return is 4%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio __________ and a long position in portfolio _______.A. A; AB. A; BC. B; AD. B; BE. A; the riskless asset71. Consider the single factor APT. Portfolio A has a beta of 0.5 and an expected return of 12%. Portfolio B has a beta of 0.4 and an expected return of 13%. The risk-free rate of return is 5%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio _________ and a long position in portfolio _________.A. A; AB. A; BC. B; AD. B; BE. No arbitrage opportunity exists.72. Consider the one-factor APT. The variance of returns on the factor portfolio is 9%. The beta of a well-diversified portfolio on the factor is 1.25. The variance of returns on the well-diversified portfolio is approximately__________.A. 3.6%B. 6.0%C. 7.3%D. 14.1%E. 9.7%73. Consider the one-factor APT. The variance of returns on the factor portfolio is 11%. The beta of a well-diversified portfolio on the factor is 1.45. The variance of returns on the well-diversified portfolio is approximately__________.A. 23.1%B. 6.0%C. 7.3%D. 14.1%E. 11.4%74. Consider the one-factor APT. The standard deviation of returns on a well-diversified portfolio is 22%. The standard deviation on the factor portfolio is 14%. The beta of the well-diversified portfolio is approximately __________.A. 0.80B. 1.13C. 1.25D. 1.57E. 67Short Answer Questions75. Discuss the advantages of arbitrage pricing theory (APT) over the capital asset pricing model (CAPM) relative to diversified portfolios.76. Discuss the advantages of the multifactor APT over the single factor APT and the CAPM. What is one shortcoming of the multifactor APT and how does this shortcoming compare to CAPM implications?77. Discuss arbitrage opportunities in the context of violations of the law of one price.78. Discuss the similarities and the differences between the CAPM and the APT with regard to the following factors: capital market equilibrium, assumptions about risk aversion, risk-return dominance, and the number of investors required to restore equilibrium.79. Security A has a beta of 1.0 and an expected return of 12%. Security B hasa beta of 0.75 and an expected return of 11%. The risk-free rate is 6%. Explain the arbitrage opportunity that exists; explain how an investor can take advantage of it. Give specific details about how to form the portfolio, what to buy and what to sell.80. Name three variables that Chen, Roll, and Ross used to measure the impact of macroeconomic factors on security returns. Briefly explain the reasoning behind their model.。
投资学课后题及答案
Chapter 1 The Investment Environment 1.What is a real asset?Real assets are used to produce goods and services. Real assets consist of land, labor, and buildings. These generate income to the economy and determine both the material wealth and productive capacity of the economy. Additionally, real assets appear on only one side of the balance sheet.2.What is a financial asset?Financial assets are claims on real assets and income from them. Financial assets consist of stocks and bonds. These contribute indirectly to the productive capacity of the economy. Additionally, financial assets appear on both sides of the balance sheet.3.What is consumption timing and why is it important? Consumption timing allows flexibility between earnings and spending. Therefore, when we are younger and we can consume more than we earn by borrowing money to by homes and automobiles. As we age, we can invest to so that we can retire someday and live off of our prior earnings. Financial assets4.What is allocation of risk and why is it important?Allocation of risk is creating assets with various degrees of risk. This enables firms to raise capital and also gives investors a choice of assets with various risk levels from which to choose5.What is separation of ownership and why is it important?The separation of ownership and management is important. Unlike a sole proprietorship where the owners are the managers, owners of corporations are stockholders. Stockholders elect the broad of directors that hires the management team. The objective that all owners can agree to is for management to maximize the value of the firm (share price).6.What are the three sectors of the economy and what is theirprimary need?A. Firms are typically net borrowers as they seek to expand the firm and require resources to take on valuable projects.B. Households are typically net savers as they seek to use consumption timing to plan for longer-term financial requirements such as educating their children and investing for retirement. As such, they are interested in risk and after tax returns of investments.C. Governments are typically net borrowers but their needs depend on the current relationship between tax receipts and expenditures7.List and explain four important functions that financialintermediates perform.Financial intermediaries connect borrowers and lenders. Financial intermediaries are able to sell their own securities and invest in the liabilities of other firms. As such they can:A. pool resources to spread management costs over an larger base which reduces costs to an individual investor.B. diversify investments by being able to invest in more securities.C. develop expertise through the increased volume of business that they do.D. achieve economies of scale by being spread research costs over the pool.]8.What is securitization and why is it important?Securitization allows borrowers to enter capital markets directly. Loans are arranged into pass-through securities (such as mortgage pool) and investors can invest in securities backed by those pools9.List and briefly explain five ways an investor can globallydiversityA primary market transaction is where securities are initially issued. Thus, the issuing firm receives the money and delivers the securities. The secondary market is where existing securities are traded. Thus, the firm that originally issued the securities receives no proceeds from the transaction. The individual selling the securities receives the money and delivers the securities while the individual buying the securities delivers the money 10.The four types of markets where trading takes place are listedbelow.A. Direct search markets. In direct search markets buyers and sellers must find each other. These markets are characterized by sporadic trading and low-priced non-standard goods such as refrigerator or sofas.B. Brokered markets. In markets that have active trading, brokers find it profitable to offer search services to buyers and seller. One example of this is real estate.C. Dealer market. In dealer markets, the dealers specialize by buying and selling for their own account. Dealers profit from the difference between their buying price and selling price (bid-ask spread). The OTC market is a dealer market.D. Auction market. In an auction market, such as the NYSE, all tradersconverge in one place to buy or sell an asset. Auction markets require heavy trading to make them efficient.11.The five ways for investors to globally diversify portfolio arelisted and discussed below.A.Investors can purchase American Depository Receipts (ADR=s) whichare a certificate that is denominated in dollars and represents a claim ona bundle of stock.B.Investors can purchase directly purchase foreign securities offered forsale in dollars.C.Investors can purchase international mutual funds that invest ininternational securities.D.Investors can purchase derivatives on foreign securities.E.Investors can purchase World Equity Benchmark Shares (WEBS) whichuse the same structure as an ADR but allow an investor to tradeportfolios of foreign stocks in a selected country.Chapter 2 Financial Instruments1.The price quotations of Treasury bonds in the Wall Street Journalshow an ask price of 101:12 and a bid price of 101:07.A. As a buyer of the bond what is the dollar price you expect to pay?B. As a seller of the bond what is the dollar price you expect to receive?A. You would pay the ask price of the dealer, 10112/32 or 101.375% of$10,000, or $10,137.50.B. You would receive the bid price of the dealer, 1017/32 or 101.21875% of$10,000, or $10,121.875.2.An investor is considering the purchase of either a municipal or acorporate bond that pay before tax rates of return of 6.92% and9.67%, respectively. If the investor is in the 25% marginal taxbracket, his or her after tax rates of return on the municipal and corporate bonds would be_________ and _________,respectively.Corporate bonds are taxable, therefore the after tax return would ber c=0.0967(1-0.25) =0.0725 or 7.25%. Since municipal bonds are free of federal tax the after tax return is equal to the before tax rate of return r m=0.0692(1-0) =6.92%.3. A 6.25% 25-year municipal bond is currently priced to yield8.7%. For a taxpayer in the 25% marginal tax bracket, this bondwould offer an equivalent taxable yield of __________.The equivalent taxable yield is the yield divided by the quantity one minus the tax rate or r m/ (1-t). Therefore, 0.087/0.75=11.6%.4.If three stocks comprise an index and the returns on the threestocks during a given period were 17%, -13%, and 6%, whatwould be the geometric return of the index?To compute a geometric average, add one to each of the returns and multiply each of the terms to find the geometric sum. To find the geometric average, the geometric sum is raised to 1/n and then one is subtracted. Therefore, the geometric mean is [(1.17) (0.87) (1.06)]1/3-1=2.566%.5.In order for you to be indifferent between the after tax returns ona corporate bond paying 8.15% and a tax-exempt municipalbond paying 6.32%, what would you tax bracket need to be? For you to be indifferent, the after tax returns would need to be equal. Since only the corporate bond is taxed, r c(1-t)= r m. Therefore,0.0632=0.0815(1-t), (1-t) =0.77546, and t=0.2245 or 22.45%.6. A $1,000 face value bond pays annual coupon payments of $65and is currently priced at $967. The current yield of the bond is __________.The current yield is annual interest divided by the current price ($65/$967) = 6.72%.pare the after tax return to a corporation that buys a share ofpreferred stock at the beginning of the year for $65, receives a dividend of $4.50 during the year, and sells the stock at the end of the year for $65. The corporation is in the 30% tax bracket.Answer the questions below based on the information given in the following table.Stock Price Number of shares outstandingStock A $35 2,000Stock B $82 4,500Stock C $21 1,600The total before tax income is the $4.50 dividend. Since the firm can exclude 70% of the dividend from tax, the firm must pay tax on 30% of the dividend, or ($4.50×0.30) =$1.35. Since the firm is in the 30% tax bracket the taxliability is $1.35×0.30=0.405. Therefore, the firm nets (after tax)$4.50-0.41=4.09. Since the firm experienced no capital gain (or loss), the after tax return is $4.09/$65 = 0.06292 or 6.29%.8.The price-weighted index constructed with the three stocks is__________.A price weighted index is constructed by adding the prices of the securities and dividing by the number of securities in the index ($35 + $82 + $21)/3 = $46.9.The value-weighted index constructed with the three stocksusing a divisor of 1,000 is __________.A value-weighted index is computed by first computing the market value of each stock (price time the number of shares outstanding). Once each market value is computed, add the market values together and divide by the divisor. In this case it is [($35×2,000) + ($82×4,500) +($21×1,600)]/1,000 = 472.60.10.Assume that the return on stocks A, B, and C (above) during theyear were 18%, -6%, and 30%, respectively.A.The return of the price-weighted index would be__________.B.The return of the value-weighted index would be__________.C.The arithmetic return of the equally weighted index wouldbe__________.A. To compute the return of the price-weighted index you need to find the new prices of the stocks and then compute the average as follows:Stock A = [$35×(1.18)] = $41.30Stock A = [$82×(0.94)] = $77.08Stock A = [$21×(1.30)] = $27.30Average = (41.30 + 77.08 +27.30)/3 = $48.56.The change in the index value (return) is (48.56 - 46)/46 = 5.565%.B. To compute the return of the value-weighted index you need to use the new prices to find the new value of the index. The return will be the change in the value of the index. In this case the new value is [($41.30×2,000) + ($77.08×4,500) + ($27.30×1,600)]/1,000 = 473.14. The old value is [($35×2,000) + ($82×4,500) + ($21×1,600)]/1,000 = 472.60. Therefore, the return is (473.14 – 472.60)/472.60 = 0.11%.C. The return of an equally weighted index is the sum of the return of eachsecurity in the index divided by the number of securities or [18% + (-6%) + 30%]/3 = 14%.Chapter 3 Security Markets1.Assume you purchased 400 shares of IBM common stock onmargin at $85 per share from your broker. If the initial margin is 60%, how much did you borrow from the broker?If you bought 400 shares@ $85/share, the cost is 400*$85=$34,000. Of this you invested $34,000*0.6=20,400 and borrowed$34,000*(1-0.6)=$13,600.2.You sold short 350 shares of common stock at $42 per share. Theinitial margin is 60%. Your initial investment was___________.If you sold short 350 share@ $42/share the proceeds are350*$42=$14,700. With a margin of 60% you must invest$14,700*0.6=$8,820.3.You purchased 1,000 shares of Cisco common stock on margin at$18 per share. Assume the initial margin is 50% and themaintenance margin is 30%. Below what stock price level would you get a margin call? Assume the stock pays no dividend; ignore interest on margin.If you purchased 1,000 shares@ $18/share the cost is$18*1,000=$18,000. Of this you must invest 50% and can borrow 50%.Therefore, the loan amount is $18,000*0.5=$9,000. Margin=[1,000P-$9,000]/1,000P.Therefore, 0.30 = (1,00P-$9,000)/1,000P; 300P=1,000P-$9,000;-700P=-$9,000; P=$12.864.You purchased 600 shares of common stock on margin at $27 pershare. Assume the initial margin is 50% and the stock pays nodividend. What would the maintenance margin be if a margin call is made at a stock price of $22? Ignore interest on margin.If you purchased 600 shares@ $27/share the cost is $27*600=$16,200.Therefore, you invest 50% and borrowed the other 50% of the amount.The loan amount is 16,200*0.5=%8,100.Margin = [600*$22-$8,100]/ 600*$22; Margin = 0.386 or 38.6%.5.You purchased 200 shares of common stock on margin at $35 pershare. Assume the initial margin is 50% and the stock pays no dividend. What would your rate of return be if you sell the stock at price of $45.50 per share? Ignore interest on margin.The initial investment is 200*$35*0.50=$3,500. The change in value of the stock is ($45.50-$35)*200 = $2,100. Therefore, the return =$2,000/$3,500 = 60%.6.Assume you sell short 100 shares of common stock at $30 pershare, with initial margin at 50% and the stock pays no dividend.What would your rate of return if you repurchase the stock at $37/share? The stock paid no dividends during the period, and you did not remove any money from the account before making the offsetting transaction.The profit on the stock is = ($30-$37)*100 = -$700. The initialinvestment is $100*0.30*0.5=1,500. Therefore, the return is-$700/$1,500 = -46.67%.7.You sold short 200 shares of common stock at $30 per share. Theinitial margin at 50%. At what stock price would you receive a margin call if the maintenance margin is 35%.The amount in your account is 200*$50*1.5 = $15,000 and you owe 200 shares of stock. Therefore your net equity is $15,000-200P.Margin = net equity/amount you owe or 0.35 = ($15,000 -200P)/200P.Rearranging, $70 = $15,000 – 200P; 270P=$15,000; P = $55.55.8.Assume you sold short 100 shares of common stock at $25 pershare. The initial margin at 50%. What would be themaintenance margin if a margin call is made at a stock price of $30?The amount your account is $25*100*1.5 = $3,750 and you owe 100 shares of stock. Therefore your net equity is $3,750-100P.Margin = net equity/amount you owe or 0.35 = ($3,750-100*$30)/100*$30=25%..Rearranging, $70 = $15,000 – 200P; 270P=$15,000; P = $55.55.9.You want to purchase AMAT stock at $42 from your broker usingas little of your own money as possible. If initial margin is 50% and you have $2,700 to invest, how many shares can you buy?The margin is 50% or = 0.5 = ($42Q - $2,700)/$42Q. Therefore, $21Q = $42Q - $2,700.Rearranging, -$21Q = -$2,700; Q = 128.54. Since you can only buy whole shares, you can buy 128 shares. Alternatively, you can buy[$2,700*2]/$42 = 128. 57 shares.10.You buy 150 shares of Citicorp for $25 per share and depositinitial margin of 50%. The next day Citicorp's price drop to $20 per share. What is your actual margin?The actual margin (AT) is AM = [150*$20-0.5*150*25]/[150*$20] =0.375 or 37.5%.Chapter 4 Mutual Funds and Other Investment Companies1. A mutual fund had NAV per share of $14.25 on January 1, 2003.On December 31 of the same year the fund's NAV was $14.87.Income distributions were $0.59 and the fund had capital gain distributions of $1.36. Without considering taxes andtransactions costs, what rate of return did an investor receive on the fund last year?The return is calculated by finding the change in value of the investment divided by the price. The change in value is the capital gain (whether realized or not) plus the sum of all distributions. Therefore,Return= ($14.87 -14.25 + 0.59 + 1.36)/ $14.25 = 18.04%.2. A mutual fund had NAV per share of $16.25 on January 1, 2003.On December 31 of the same year the fund's rate of return was14.2%. Income distributions were $1.02 and the fund had capitalgain distributions of $0.63. Without considering taxes andtransactions costs, what ending NAV would you calculate?The return is equals the capital gain plus the all distributions divided by the investment. Therefore, 0.142 = (P - $16.25 + 1.02 + 0.63)/$16.25;P = $16.9075.3. A mutual fund had year-end assets of $316,000,000 andliabilities of $42,000,000. If the fund's NVA was $28.64, how many shares must have been held in the fund?The number of shares equals the assets minus the liabilities divided by the NAV. Therefore, ($316,000,000 - $42,000,000)/$28.64 =9,567,039.106 shares.4. A mutual fund had year-end assets of $750,000,000 andliabilities of $8,000,000. There were 40,750,000 shares in the fund at year end. What was the mutual fund's Net Asset Value?NAV equals assets minus liabilities divided by the number of shares.Therefore, ($750,000,000 – 8,000,000)/40,750,000 = $18.21.5. A mutual fund had average daily assets of $1.8 billion on 2003.The fund sold $625 million worth of stock and purchased $900 million worth of stock during the year. The fund's turnover ratio is ___________.Turnover is the value of securities sold divided by the average assets of the fund. Therefore, 625,000,000/1,800,000,000 = 34.7%.6.You purchased shares of a mutual fund at a price of $18 per shareat the beginning of the year and paid a front-end load of 5.75%.If the securities in which the fund invested increased in value by 12% during the year, and the fund's expense ratio was 0.75%, your return of you sold the fund at the end of the year would be _______.Since the fund has a front-end load, only (1-load) (or 0.9425) times NAV(18) is actually invested and growing. The money invested will grow at12% minus the 0.75% fees (or 11.25%). Therefore, [($18)(0.9425)(1.12-0.075) - $18]/$18 = 4.85% return.7.Apex fund has a NAV of 16.12 and a front load of 5.62%. What isthe offer price?The offer price equals NAV divided by one minus load. Therefore, $16.12 / (1 – 0.0562) = $17.08.8.Exponential growth fund has an offer price of 14.77 and a load of6%. What is the NAV?The offer price times on minus load equals NAV. Therefore, NAV equals $14.77 (0.94) = $13.889. A fund owns only three stocks with prices and quantities shownbelow. The fund has 50,000 shares outstanding. If the fund has $47,000 in liabilities, its NAV is________.Stock Price Number of shares outstandingStock A $35 2,000Stock B $82 4,500Stock C $21 1,600The value of assets is [($35?2,000) + ($82?4,500) + ($21?1.600)] = $472,600. Since NAV is asset minus liabilities divided by the number of shares outstanding, NAV = ($472,600 - $47,000)/50,000 = $8.5110.You have decided to invest $10,000 in the Pinnacle fund. Overthe long haul, the Pinnacle fund is expected to earn a return of10.25% on the portfolio (gross of fees). However, Pinnacle fundoffers several classes of funds. Therefore, you can choose to paya front load of 5% and escape 12-b1 fees or you can avoid theload fee by paying 12-b1 fees of 0.75%. If you investmenthorizon is 16 years, which should you choose?Since both strategies have a claim on the same portfolio of securities, you need to compute you expected terminal wealth under each strategy.The terminal wealth in the no-load fund would be the initial investment ($10,000) times one plus the net rate of return (return minus 12-b1 fee) or 1.095 raised to the N number of years (16). Therefore, 10,00(1.095)16 = $42,719.48.The terminal wealth in the front-end load fund would be the initialinvestment in the portfolio ($10,000) (1-load) times on plus the rate of return or 1.1025 raised to the N number of years (16). Therefore,9,500(1.1025)16= $45,266.94.In this case, you would be better off with the load-end fund.———大猫。
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一、以房养老政策1、意义：住房养老模式的提出在经济发达地域的农村,在城乡结合部的城郊地区的农村,是完全具备一切有利条件的。
因为,随着城市化进程的加快,这些地域将很快成为城市的边缘地带,其土地价值、房价都会有极大的增长。
另外,在这些地方,商品经济意识和观念已很盛行,住房养老模式提出的阻力也较小。
①能有效解决我国部分地区的农民养老问题；②有利于计划生育基本国策的顺利实施；③养老保障与售房、购房结合,可极大地丰富房地产和保险交易市场；2、在中国受挫原因及解决建议⑴受挫原因：①传统观念的束缚；②我国房价走势及房地产评估问题；③“以房养老”模式做法复杂，让金融机构望而止步。
⑵解决建议：①加强对“以房养老”模式的宣传力度②合理控制房价走势，规范房地产市场③降低金融机构开展“以房养老”业务的风险④制定相关法律法规、完善配套措施，加强政府扶持力度⑤加强信用体系建设。
二、利息放开、贷款利息下限松动对投资的影响㈠⑴贷款利率下限放开的中期效应：急需存款利率市场化①公司治理结构存疑，低利率导致利益输送②银行对中小企业依然强势，国进民退现象更为明显③贷款利差缩小，债券市场增速恐放慢。
⑵对银行理财产品和信托产品的影响①银行理财产品：短期影响小，中期影响债券类产品。
②集合信托产品：基建信托将受影响。
㈡对国内银行：①净利差收窄，商业银行盈利能力下滑②业务结构加快调整，风险管理承压③盈利模式转变，金融创新能力面临挑战三、主板和创业板的比较共同点：①都需要同样遵守《公司法》和《证券法》，只是在发行、上市及监管的具体法律规则上有所区别。
②主板和中小企业板的发行条件实际是一样的，只不过中小企业板的企业规模小一点，在深圳证交所上市，而主板是在上海证交所上市。
因此，广义的主板市场也包括中小板。
不同点：一、企业类型不同①创业板市场是给处于成长型的、创业期的、科技含量比较高的中小企业提供一个利用资本市场发展壮大的平台②主板在拟上市企业的所属行业及类型方面没有任何限制，任何企业只要符合规定的标准都可以申请上市。
二、企业规模不同主板市场规模最大，中小板次之，而创业板更小。
创业板的特点是企业规模小，筹资额也小。
三、上市条件不同1、盈利要求不同2、股本要求不同3、资产要求不同4、主营业务要求不同5、对董事及管理层要求不同。
6、对实际控制人的要求不同7、募集资金运用不同四、上市报审环节不同——是否需要征求有关政府部门意见五、发审委组成人员不同六、对保荐人的持续督导要求不同七、信息披露要求不同八、退市制度不同九、投资者准入制度不同十、法律依据不同四、创业板存在的问题问题：1、关于创业板问题：创业板“三高”问题值得重视，创业板发行上市在制度上并没有创新，目前创业板家族股“一股独大”。
2、关于创业板公司问题：中国的创业板主要的风险在于两个方面：市场风险和公司风险。
而且，随着上市企业的增多，公司风险将成为创业板的主要风险。
3、关于创业板制度问题：①制度漏洞问题②退市制度问题。
4、关于创业板监管与保荐等问题。
对策：①加强监管，完善创业板监管机制②创新制度，加强创业板退市机制③广纳贤言，化解创业板各种难题④坚定信心，推进创业板建设发展五、中国创业板和美国纳斯达克的比较纳斯达克成功的原因：①交易市场结构本身。
②宏观方面，机构产品的充足③纳斯达克三十几年来一直没有停顿，它不断提出新的产品和服务。
六、K线有哪几种？K线分为几个部分？每部分的含义⑴K线种类：根据K线的计算周期，将其分为日K线，周K线，月K线，分钟K线。
K线下的具体种类分类：光头光脚K线；带上影线的K线；带下影线的K线；带上下影线的K线；其他类型的K线；⑵几个部分：K线由开盘价、收盘价、最高价、最低价四个价位组成。
开盘价低于收盘价称为阳线，反之叫阴线。
中间的矩形称为实体，实体以上细线叫上影线，实体以下细线叫下影线。
七、均线的种类、含义、作用⑴含义：均线即平行线。
是以道·琼斯的“平均成本概念”为理论基础，采用统计学中"移动平均"的原理，将一段时期内的股票价格平均值连成曲线，用来显示股价的历史波动情况，进而反映股价指数未来发展趋势的技术分析方法。
⑵种类：移动平均的种类很多，但总的来说，可分为短期、中期、长期三种。
①短期移动平均线：主要是5日（周线，起伏大）和10日（常用）的。
②中期移动平均线：首先是月线，采样为24、25或26日。
该线能让使用者了解股价一个月的平均变动成本，对于中期投资而言，有效性较高，尤其在股市尚未十分明朗前，能预先显示股价未来变动方向。
其次是30日移动平均线，取意仍是以月为基础，不过由于以30日为样，计算较前者简便，最后是季线，采样为72、73日或75日。
由于其波动幅度较短期线移动平均线平滑且有轨迹可寻，较长期移动平均线又敏感度高，因而优点明显。
③长期移动平均线：首先为半年线，采样146或150日，由于沪市上市公司一年分两次公布其财务报表，公司董、监事与某些消息灵通人士常可先取得这方面的第一手资料，进行炒作，投资者可借此获坐轿之利，不过由于沪市投机性浓厚，投资者注重短线差价利润，因而效果也打了点折扣。
200日移动平均线，但在国内运用不甚普遍。
年线，取样255日左右，是超级大户、炒手们操作股票时参考的依据。
⑶作用：①移动平均线是一个统计学指标，用于预测变化趋势。
②在证券市场中可以预测股票市场和股票价格变化趋势。
③5日、10日均线预测短期变化趋势，30日60日均线主要预测中期变化趋势（参考价值非常大），120天和250天预测长期变化趋势，250均线有较年线，常常被作为牛市和熊市的分界线。
④K线5日10日30日60日120日250日均线依次从上到下排列成为多头排列，也被称为多头行情。
反之亦反。
⑤均线系统的分析，是技术分析的基础。
八、市盈率与市净率市盈率就是股票的市价与股票的每股税后收益（或称每股税后利润）的比率。
市净率=股票市价/每股净资产。
九、股东权益与资产负债率⑴股东权益股东权益又称净资产，是指公司总资产中扣除债务所余下的部分，是一个很重要的财务指标，反映了公司的自有资本。
当总资产小于负债金额，公司就陷入了资不抵债的境地，这时，公司的股东权益便消失殆尽。
相反，股东权益金额越大，这家公司的实力就越雄厚。
股东权益包括以下五个部分：①股本，即按照面值计算的股本金。
②资本公积，包括股票发行溢价、法定财产重估增值、接受捐赠资产价值。
③是盈余公积，又分为法定盈余公积和任意盈余公积。
前者按公司税后利润的10%强制提取，目的是为了应付经营风险。
当法定盈余公积累计额已达注册资本的50%时可不再提取。
④是法定公益金，按税后利润的5%-10%提取，用于公司福利设施支出。
⑤是未分配利润，指公司留待以后年度分配的利润或待分配利润。
净资产的多少是由股份公司经营状况决定的,股份公司的经营业绩越好,其资产增值越快,股票净值就越高,因此股东所拥有的权益也越多。
股东权益比率是股东权益总额与资产总额的比率。
计算公式：股东权益总额/资产总额×100%；或者[股东权益比率＝股东权益总额/（负债总额＋股东权益总额）×100%]。
该项指标反映所有者提供的资本在总资产中的比重，反映企业基本财务结构是否稳定。
⑵资产负债率资产负债率是全部负债总额除以全部资产总额的百分比，也就是负债总额与资产总额的比例关系，也称之为债务比率。
计算公式：资产负债率=（负债总额÷资产总额）×100%公式中的负债总额指企业的全部负债，不仅包括长期负债，而且包括流动负债。
公式中的资产总额指企业的全部资产总额，包括流动资产、固定资产、长期投资、无形资产和递延资产等。
资产负债率是衡量企业负债水平及风险程度的重要标志。
一般认为，资产负债率的适宜水平是40-60%。
对于经营风险比较高的企业，为减少财务风险应选择比较低的资产负债率；对于经营风险低的企业，为增加股东收益应选择比较高的资产负债率。
在分析资产负债率时，可以从以下几个方面进行：1、从债权人的角度看，资产负债率越低越好。
资产负债率低，债权人提供的资金与企业资本总额相比，所占比例低，企业不能偿债的可能性小，企业的风险主要由股东承担，这对债权人来讲，是十分有利的。
2、从股东的角度看，他们希望保持较高的资产负债率水平。
站在股东的立场上，可以得出结论：在全部资本利润率高于借款利息率时，负债比例越高越好。
3、从经营者的角度看，他们最关心的是在充分利用借入资本给企业带来好处的同时，尽可能降低财务风险⑴布林线是专业投资者和一些老股民经常使用的技术指标之一.此指标属于路径指标，股价通常在上限和下限的区间之内波动.动态钱龙的布林线由3根线组成，即下限为支撑线，上限为阻力线，还有一条中线为中界线.静态钱龙的布林线由4根组成.最上面的一条线是趋势阻力线，称为BOLB1，用白色实线表示；最下面一根线是趋势的支撑线，称为BOLB4，用紫色实线表示；BOLB1之下设有BOLB2，有黄色虚线表示；紧靠BOLB4之上的另一条线称为BOLB3，有浅蓝色实线表示.在4根线构成上限，下限，次上限，次下限，股价通常在这个带状区间内上下波动，这条带状区的宽窄随着股价波动幅度的大小而变化，股价涨跌幅度加大时，带头区会变宽，涨跌幅度缩小时，带状区会变窄.布林线的宽度可以随着股价的变化而自动调整位置.由于这种变异使布林线具备灵活和顺应趋势的特征，它既具备了通道的性质，又克服了通道宽度不能变化的弱点.⑵布林线具备以下几大功能：1、布比线可以指示支撑和压力位置；2，布林线可以显示超买，超卖；3，布林线可以指示趋势；4，布林线具备通道作用⑶在常态范围内，布林线使用的技术和方法常态范围通常是股价运行在一定宽度的带状范围内，它的特征是股价没有极度大涨大跌，处在一种相对平衡的状态之中，此时使用布林线的方法非常简单。
1当股价穿越上限压力线（动态上限压力线，静态最上压力线BOLB1）时，卖点信号；2当股价穿越下限支撑丝（动态下限支撑线，静态最下支撑线BOLB4）时，买点信号；3当股价由下向上穿越中界限（静态从BOLB4穿越BOLB3）时，为加码信号；4当股价由上向下穿越中界线（静态由BOLB1穿越BOLB2）时，为卖出信号.⑷在单边上升行情布林线的使用方法在一个强势市场中，股价连续上升，通常股价会运行在BOLB1和BOLB2之间，当股价连续上升较长时间，股价上穿BOLB1，次日又下穿BOLB1且进一步打破BOLB2，带动BOLB1曲线，出现由上升转平的明显拐点，此时为卖出信号。
⑸缩口的意义：①股价经过数波下跌后，随后常会转为较长时间的窄幅整理，这时我们发现布林线的上限和下限空间极小，愈来愈窄，愈来愈近.盘中显示股价的最高价和最低价差价极小，短线没有获利空间，经常是连手续费都挣不出来,盘中交易不活跃，成交量稀少，投资者要密切注意此种缩口情况，因为一轮大行情可能正在酝酿中，一旦成交量增大，股价上升，布林线开口扩大，上升行情宣告开始。