chap010Introduction to Risk, Return, and the Opportunity Cost of Capital(财务管理,Matthew Will)

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商业银行管理彼得S.罗斯英文原书第8版英语试题库Chap010

Chapter 10The Investment Function in Banking and Financial-Services ManagementFill in the Blank Questions1. A(n) _________________________ is a security issued by the federal government which has lessthan one year to maturity when it is issued.Answer: Treasury bill2. Debt instruments issued by cities, states and other political entities and which are exempt fromfederal taxes are collectively known as _________________________ .Answer: municipal securities3. The investment maturity strategy which calls for the bank to have one half of its investmentportfolio in very short term assets and one half of its investment portfolio in long term assets isknown as the _________________________ .Answer: barbell strategy4. A(n) _________________________ is a security where the interest portion of the security is soldseparately from the principal portion of the security.Answer: stripped security5. _________________________ are the way the federal, state and local governments guarantee thesafety of their deposits with banks.Answer: Pledging requirements6. The most aggressive investment maturity strategy calls for the bank to continually shift thematurities of its securities in responses to changes in interest rates and is called the__________________.Answer: rate expectation strategy7. _________________________ is the risk that the bank will have to sell part of its investmentportfolio before their maturity for a capital loss.Answer: Liquidity risk8. _________________________ is the risk that the economy of the market area they service maytake a down turn in the future.Answer: Business risk9. __________________ is the risk that the company whose bonds the financial institution owns mayretire the entire issue of corporate bonds in advance of their maturity leaving the bank with the risk of earnings losses resulting from reinvesting the cash at lower interest rates.Answer: Call risk10. A security issued by the federal government with 1 to 10 years to maturity when it is issued is calleda(n) _________________________ .Answer: Treasury note11. A short term debt security issued by major corporations is known as __________________.Answer: commercial paper12. The investment maturity strategy which calls for the bank to have all of their investment assets invery short term maturities is called the _________________________.Answer: front-end-loaded policy13. A money market security which represents a bank's commitment to pay a stipulated amount ofmoney on a specific future date under specific conditions and which is often used in international trade is known as a(n) _________________________.Answer: bankers' acceptance14. A(n) _________________________ is an interest-bearing receipt for the deposit of funds in a bankfor a stipulated time period. Ones that are oriented towards business customers or institutions are known as jumbos.Answer: certificate of deposit15. _________________________ are any securities which reach maturity in under one year.Answer: Money market securities16. _________________________ are any securities whose original maturity exceeds one year.Answer: Capital market securities17. Securities sold by Fannie Mae, Freddie Mac and others are known as_________________________.Answer: federal agency securities18. Claims against the expected income and principal generated by a pool of similar-type loans areknown as _________________________.Answer: securitized assets19. The long term debt obligations of major corporations are known as ________________________.Answer: corporate bonds20. The investment maturity strategy which calls for the bank to have all of their investment assets invery long term maturities is known as the _________________________.Answer: back-end-loaded policy21. Financial Institutions may invest in municipal bonds issued by smaller local governments. Thesebonds are known as ____________ bonds.Answer: bank qualified22.Marketable notes and bonds sold by agencies owned by the government or sponsored by thegovernment are known as .Answer: government agency securities23. A security issued by the federal government with greater than 10 years to maturity when it is issuedis called a(n) .Answer: Treasury Bond24.are time deposits of fixed maturity issued by the world’s larges banksheadquartered in financial centers around the globe. The heart of this market is centered in London.Answer: Eurocurrency deposits25. are a type of municipal bond that are backed by the full faith andcredit of the issuing government.Answer: General obligation bonds26. are a type of municipal bond that are paid only from certainstipulated source of funds.Answer: Revenue bonds27. are closely related to CMOs and partition the cash flow from a poolof mortgage loans or mortgage backed securities into multiple maturity classes in order to reduce the cash-flow uncertainty of investors.Answer: Real Estate Mortgage Investment Conduits (REMICs)28. is the risk that loans will be terminated or paid off ahead of schedule.This is a particular problem with residential home mortgages and other consumer loans that are pooled and used as collateral in securitized assets.Answer: Prepayment risk29. A lending institution that sells lower-yielding securities at a loss in order to reduce current taxableincome while simultaneously purchasing higher-yielding new securities in order to boost futurereturns is doing a(n) .Answer: tax swap30.A(n) is a picture of how market interest rates differ across loans securitiesof varying times to maturity.Answer: yield curveTrue/False QuestionsT F 31. Investments in securities provide diversification for a bank's assets because most loans come from the local areas served by a bank's offices.Answer: TrueT F 32. Bank income from loans is fully taxable.Answer: TrueT F 33. Investment securities are expected to "dress up" a bank's balance sheet, according to the textbook.Answer: TrueT F 34. Investment securities are expected to help stabilize a financial institutions's income.Answer: TrueT F 35. A short-term IOU offered by major corporations that is of short maturity (most of these lOUs mature in 90 days or less) is known as a CMO.Answer: FalseT F 36. Prepayment risk on securitized assets generally increases when interest rates rise.Answer: FalseT F 37. Stripping a security eliminates prepayment risk.Answer: FalseT F 38. According to the textbook the dominant security held in U.S. bank investment portfolios is state and local government bonds.Answer: FalseT F 39. Interest income and capital gains from a bank's portfolio of investment securities is taxed in the United States as ordinary income.Answer: TrueT F 40. Eurocurrency deposits that some banks purchase as investments generally carry higher market yields than domestic time deposits issued by comparable-size U.S. banks.Answer: TrueT F 41. Bankers' acceptances are considered to be among the safest of all money market instruments.Answer: TrueT F 42. An eligible acceptance is one that can be used as collateral for borrowing from a Federal Reserve bank.Answer: TrueT F 43. When a bank irrevocably guarantees a commercial paper issue, the bank's credit rating substitutes for the borrower's credit rating.Answer: TrueT F 44. The principal risk banks face from investing in structured notes is credit (default) risk.Answer: FalseT F 45. The principal risk to a financial institution buying CMOs is market risk.Answer: FalseT F 46. Stripped mortgage-backed securities fully protect investors from having to reinvest their income at lower and lower interest rates.Answer: FalseT F 47. Stripped mortgage-backed securities make maturity matching of bank assets and liabilities easier to accomplish than do most other investment securities that banks buy.Answer: FalseT F 48. Lower interest rates increase the present value of all projected cash flows from a loan-backed security so that its market value could rise.Answer: TrueT F 49. Treasury bills are the long term debt obligations issued by the federal government.Answer: FalseT F 50. Commercial paper is the short term debt instrument issued by major banks.Answer: FalseT F 51. Treasury notes and bonds are issued by the federal government and are coupon instruments.Answer: TrueT F 52. Interest rate risk is the risk financial institutions face due to changes in market interest rates.Answer: TrueT F 53. One investment maturity strategy popular among smaller institutions is the ladder or spaced maturity policy. It is popular because it does not take much expertise to implement.Answer: TrueT F 54. One investment maturity strategy, called the front end loaded policy, requires that the bank put all of its investment portfolio in long term securities.Answer: FalseT F 55. Business risk is the risk that the bank will experience a cash shortage and will have to sell some of its investments securities.Answer: FalseT F 56. Inflation risk is the possibility that the purchasing power of interest income and repaid principal from a security or loan will be eroded by rising prices for goods and services.Answer: TrueT F 57. Call risk refers to the right of debt collectors to call in the loans in advance of maturity and get an early repayment.Answer: FalseT F 58. If interest rates fall, a callable bond at par has the potential for large increases in price.Answer: FalseT F 59. The yield to maturity is the discount rate that equates a security’s purchase price with the stream of income expected until it is sold to another investor.Answer: FalseMultiple Choice Questions60.An important investment security popular with banks that must by law mature within one year fromthe date of issue and which has a high degree of safety and marketability is the:A) Treasury billB) Treasury noteC) FNMA noteD) Bankers' acceptanceE) Eurodollar CDAnswer: A61.A bank's promise to pay the holder a designated amount of money on a designated future date and isoften used in international trade is known as a (or an):A) Promissory guaranteeB) Discount securityC) Bankers' acceptanceD) In the money optionE) Accretion noteAnswer: C62.Pools of mortgages put together either by a government agency or by a private investment bankingcorporation to raise more loanable funds for the issuer are known as a (or an):A) Accretion bondB) Participation certificateC) CMOD) Stripped securityE) Commercial paperAnswer: C63.Fluctuations in the timing of cash payments flowing from an underlying pool of securitized assetsis referred to as:A) Income riskB) Prepayment riskC) Liquidity riskD) Capital riskE) None of the aboveAnswer: B64.Principal roles that a financial institution's investment portfolio play include which of thefollowing?A) Income stabilityB) Geographic diversificationC) Hedging interest rate riskD) Backup liquidityE) All of the aboveAnswer: E65._____________ is the method by which banks can provide a safeguard for the deposits ofgovernmental units.A) HedgingB) CollateralizationC) PledgingD) SecuritizationE) Window dressingAnswer: C66.The most aggressive investment maturity strategy that calls for the bank to continually shift thematurities of its securities in response to changes in interest rates and other economic conditions is theA) Barbell strategyB) Rate expectations approachC) Front-end-loaded policyD) Ladder approachE) None of the aboveAnswer: B67.Which of the following statements is (are) correct regarding duration?A) In comparing two bonds with the same yield to maturity and the same maturity, a bond with ahigher coupon rate will have a longer duration.B) In comparing two loans with the same maturity and the same interest rate, a fully amortizedloan will have a shorter duration than a loan with a balloon payment.C) The duration will always be shorter than the maturity for all debt instruments.D) All of the aboveE) B and CAnswer: B68.Which of the following is not one of the Capital Market instruments in which banks invest?A) U.S. Treasury notesB) Corporate notes and bondsC) U.S. Treasury bondsD) Municipal bondsE) Commercial paperAnswer: E69.Which of the following is true of Treasury bills?A)Interest on Treasury bills is exempt from state income taxes.B)Interest on Treasury bills is exempt from federal income taxes.C)Treasury bills pay a lower pretax yield than comparable corporate securities.D)All of the above are true.E) A and C onlyAnswer: E70.In recent years security dealers have assembled pools of federal agency securities whose principalinterest yield may be periodically reset based on what happens to a stated interest rate or may carry multiple coupon rates that are periodically adjusted; the foregoing describes a:A) Financial futures contractB) Revenue-anticipation noteC) Zero coupon instrumentD) Structured noteE) None of the aboveAnswer: D71.Banks are generally not allowed to invest in speculative grade bonds. What kind of risk is thisdesigned to limit?A) Liquidity riskB) Business riskC) Credit riskD) Tax exposureE) Interest rate riskAnswer: C72. A security where the interest payments and the principal payments are sold separately is called:A) A Treasury noteB) An accretionC) A structured noteD) A stripped securityE) None of the aboveAnswer: D73.Which of the following is true? Mortgage prepayment risk:A) Is higher on high interest rate mortgagesB) Is felt most dramatically when interest rates riseC) Is eliminated by the use of mortgage backed securitiesD) Is eliminated by the purchase of a stripped mortgage obligationE) All of the above are trueAnswer: A74. A bank replaces 5-year corporate bonds with a yield to maturity of 9.75 percent with 5-yearmunicipal bonds with a yield to maturity of 7 percent. This bank is in the 35 percent tax bracket and these bonds have the same default risk. What is the most likely reason this bank changed from the corporate to the municipal bonds?A) Liquidity riskB) Business riskC) Credit riskD) Tax exposureE) Interest rate riskAnswer: D75.Suppose a bank has found bank qualified municipal bonds which have a nominal gross rate ofreturn of 8 percent and that it can borrow funds needed for this purchase at a rate of 6.25 percent.This bond is in the 35 percent tax bracket. What is the net after-tax return on this bond?A) 5.20 percentB) 3.5 percentC) 1.75 percentD) 0 percentE) None of the aboveAnswer: B76.An investor can invest in either a tax-exempt security that pays 5% or a taxable corporate securityof comparable risk and maturity that pays 8%. At what marginal tax rate will the investor beindifferent between these two securities?A)25.0%B)32.5%C)37.5%D)57.5%E)62.5%Answer: C77.Which of the following would not be considered a bank qualified municipal security?A) A Columbia County general obligation bond to modernize the county fire department.B) A Bucks County general obligation bond to build a new sewer plant.C) A City of San Marcos general obligation bond to pay for street repairs.D) A City of Chicopee general obligation bond to pay for a new city jail.E) A Treasury bond to finance government debt.Answer: E78. A bond has three years to maturity and has a coupon rate of 15 percent. This bond is selling in themarket for $1072 and has a yield to maturity of 12%. What is the duration of this bond?A) 3 yearsB) 1 yearC) 1.92 yearsD) 2.45 yearsE) 2.64 yearsAnswer: E79. A bond has six years to maturity and has a coupon rate of 7.5 percent. Coupon payments are madeannually and this bond has a face value of $1000. This bond is selling in the market for $1127.What is the yield to maturity on this bond?A) 7.5 percentB) 5 percentC) 11.5 percentD) 2.5 percentE) None of the aboveAnswer: B80. A bond has eight years to maturity and a coupon rate of 6.5 percent. Coupon payments are madeannually and this bond has a face value of $1000. This bond is selling in the market for $862. What is the yield to maturity on this bond?A) 6.5 percentB) 10 percentC) 8.5 percentD) 9 percentE) None of the aboveAnswer: D81. A bond has eight years to maturity and a coupon rate of 6.5 percent. Coupon payments are madeannually and this bond has a face value of $1000. This bond is selling in the market for $862. If this bond is sold at the end of four years for $1046, what is the holding period return on this bond?A) 6.5 percentB) 12 percentC) 9 percentD) 6 percentE) None of the aboveAnswer: B82. A security which was created by the Treasury to protect against inflation risk is called a(n):A) CMOB) FNMAC) GNMAD) TIPSE) CDAnswer: D83. A financial institution that is concerned about the possibility that the purchasing power of both theinterest income and principal income will decline on a loan is concerned about which of thefollowing things?A) Business riskB) Liquidity riskC) Tax exposureD) Credit riskE) Inflation riskAnswer: E84. A bank that is concerned that the economic conditions of the market area they serve may take adownturn with falling demand for loans and higher bankruptcies in the areas is concerned about which of the following things?A) Business riskB) Liquidity riskC) Tax exposureD) Credit riskE) Inflation riskAnswer: A85.Which of the following is a characteristic of Treasury bills?A) They are coupon instrumentsB) They are the short term debt instruments issued by major corporationsC) They are discount securitiesD) They have more risk than other money market securitiesE) All of the above are characteristics of Treasury billsAnswer: C86.The investment maturity strategy which calls for the bank to put all of their investment assets intovery long term securities is called the:A) Front-end-loaded maturity policyB) Back-end-loaded maturity policyC) Ladder or spaced maturity policyD) Barbell investment portfolio strategyE) Rate expectation approachAnswer: B87. The Lancaster State Bank is thinking about purchasing a corporate bond that has a yield of 8.5%.This bank has a marginal tax rate of 25%. What is the after-tax yield on this bond?A) 11.33%B) 8.5%C) 6.375%D) 2.125%E) None of the aboveAnswer: C88.The Ferson National Bank is thinking about purchasing a municipal bond that has a yield of 5.5%.This bank has a marginal tax rate of 30%. What is the after-tax yield on this bond?A) 7.86%B) 5.5%C) 3.85%D) 1.65%E) None of the aboveAnswer: B89.The Stumbaugh State Bank is thinking about purchasing a corporate bond that has a yield of 9%.This bank has a marginal tax rate of 40%. What is the after-tax yield on this bond?A) 15%B) 9%C) 5.4%D) 3.6%E) None of the above90.The Price Perpetual Bank has purchased a bond that has a coupon rate of 5.5% and a face value of$1000. It has 11 years to maturity and is selling in the market for $887.52. The bond makes annual coupon payments. What is the yield to maturity on this bond?A) 7%B) 5.5%C) 11%D) 4.70%E) None of the aboveAnswer: A91.The Price Perpetual Bank has purchased a bond that has a coupon rate of 5.5% and a face value of$1000. It has 11 years to maturity and is selling in the market for $887.52. The bond makes annual coupon payments. The Price Perpetual Bank is planning on selling this bond at the end of 5 years for $1036.50. What is the holding period return on this bond?A) 5.5%B) 7%C) 11%D) 9%E) None of the aboveAnswer: D92.The Farmer National Bank has purchased a bond that has a coupon rate of 11.5% and a face valueof $1000. It has 16 years to maturity and is selling in the market for $1309.80. The bond makes annual coupon payments. What is the yield to maturity on this bond?A) 11.5%B) 16%C) 8%D) 12.21%E) None of the aboveAnswer: C93.The Farmer National Bank has purchased a bond that has a coupon rate of 11.5% and a face valueof $1000. It has 16 years to maturity and is selling in the market for $1309.80. The bond makes annual coupon payments. The Farmer National Bank plans on selling this bond at the end of 8 years for $1071. What is the holding period return on this bond?A) 7%B) 8%C) 11.5%D) 16%E) None of the aboveAnswer: A94.The Johnson National Bank has purchased a bond that has a coupon rate of 5.5% and a face value of$1000. It has 4 years to maturity and is selling in the market for $917. The bond makes annual coupon payments. What is the yield to maturity on this bond?A) 5.5%B) 4.0%C) 1.5%D) 8%E) None of the above95.The Johnson National Bank has purchased a bond that has a coupon rate of 5.5% and a face value of$1000. It has 4 years to maturity and is selling in the market for $917. The bond makes annual coupon payments. What is the duration of this bond?A) 3.38 yearsB) 3.68 yearsC) 4.00 yearsD) 5.50 yearsE) None of the aboveAnswer: B96.The Sheets Savings and Loan Association has purchased a bond that has a coupon rate of 7.5% anda face value of $1000. It has 5 years to maturity and is selling in the market for $1063. The bondmakes annual coupon payments. What is the duration of this bond?A) 7.50 yearsB) 5.00 yearsC) 4.65 yearsD) 4.37 yearsE) None of the aboveAnswer: D97.The Dillinger State Bank has purchased a bond from the Interstate Manufacturing Company thathas 15 years to maturity and has a coupon rate of 12.5%. Market interest rates have recentlydeclined to 8% and the Dillinger State Bank is worried that the Interstate Manufacturing Company will retire the bond and issue new ones with a lower coupon rate. What type of risk is the Dillinger State Bank worried about?A) Credit riskB) Interest-rate riskC) Business- riskD) Call riskE) Prepayment riskAnswer: E98.The Terrell State Bank is a small bank located in Guyman, Oklahoma. All of their loans areagriculture and small business loans in Guyman. They want to buy a municipal bond from the state of South Carolina. What type of risk are they likely trying to reduce with this purchase?A) Credit riskB) Interest-rate riskC) Business riskD) Call riskE) Prepayment riskAnswer: C99.The Caldwell National Bank has purchased a bond that pays a coupon rate of 10.5%. They are alittle concerned because they believe rates will decrease in the future and they will not be able to reinvest the coupon payments at the same rate. What type of risk are they concerned about?A) Credit riskB) Interest rate riskC) Business riskD) Call riskE) Prepayment riskAnswer: B100.Moody’s Investor Service has added the numbers 1, 2 and 3 to some of their ratings. What type of risk are these ratings attempting to measure?A) Credit riskB) Interest rate riskC) Business riskD) Call riskE) Prepayment riskAnswer: A101.The Roy State Bank has just purchase a portfolio of asset backed securities. What type of risk do these securities have that other securities do not have?A) Credit riskB) Interest rate riskC) Business riskD) Call riskE) Prepayment riskAnswer: E102.The Carey State Bank has purchased a bank-qualified municipal bond with a yield of 6%. This bank has had to borrow funds to make this purchase at a cost of 5.25%. This bank is in the 40% tax bracket. What is the net after-tax return on this bank-qualified municipal bond?A) 6.00%B) .75%C) 2.85%D) 2.43%E) None of the aboveAnswer: D103.The Wesson Wisconsin State Bank has purchased a bank-qualified municipal bond with a yield of7.5%. This bank had to borrow funds to make this purchase at a cost of 6%. This bank is in the 25%tax bracket. What is the net after-tax return on this bank-qualified municipal bond?A) 7.5%B) 2.7%C) 3.0%D) 1.5%E) None of the aboveAnswer: B104.The Goodknight Company has issued securities with 45 days to maturity. What type of security have they issued?A) Commercial PaperB) Banker’s AcceptanceC) Corporate BondD) Certificate of DepositE) Municipal BondAnswer: A105.The Dakota National Bank has purchased a security issued by the state of Tennessee that has 20 years to maturity. What type of security have they purchased?A) Commercial PaperB) Banker’s AcceptanceC) Corporate BondD) Certificate of DepositE) Municipal BondAnswer: E。

公司理财原版题库Chap010

Chapter 10Return and Risk: The Capital-Assets-Pricing Model Multiple Choice Questions1. When a security is added to a portfolio the appropriate return and risk contributions areA) the expected return of the asset and its standard deviation.B) the expected return and the variance.C) the expected return and the beta.D) the historical return and the beta.E) these both can not be measured.Answer: C Difficulty: Medium Page: 2552. When stocks with the same expected return are combined into a portfolioA) the expected return of the portfolio is less than the weighted average expected return of thestocks.B) the expected return of the portfolio is greater than the weighted average expected return of thestocks.C) the expected return of the portfolio is equal to the weighted average expected return of thestocks.D) there is no relationship between the expected return of the portfolio and the expected return ofthe stocks.E) None of the above.Answer: C Difficulty: Easy Page: 2613. Covariance measures the interrelationship between two securities in terms ofA) both expected return and direction of return movement.B) both size and direction of return movement.C) the standard deviation of returns.D) both expected return and size of return movements.E) the correlations of returns.Answer: B Difficulty: Medium Page: 258-259Use the following to answer questions 4-5:GenLabs has been a hot stock the last few years, but is risky. The expected returns for GenLabs are highly dependent on the state of the economy as follows:State of Economy Probability GenLabs ReturnsDepression .05 -50%Recession .10 -15Mild Slowdown .20 5Normal .30 15%Broad Expansion .20 25Strong Expansion .15 404. The expected return on GenLabs is:A) 3.3%B) 8.5%C) 12.5%D) 20.5%E) None of the above.Answer: C Difficulty: Medium Page: 256Rationale:E(r) = .05(-.5) + .10(-.15) + .2(.05) + .3(.15) + .2(.25) + .15(.40) = .125 = 12.5%5. The variance of GenLabs returns isA) .0207B) .0428C) .0643D) .0733E) None of the above.Answer: B Difficulty: Medium Page: 256-257Rationale:.05(-.50 - .125)2 + .1(-.15 - .125)2 + .2(.05 - .125)2 + .3(.15 - .125)2 + .2(.25 - .125)2 + .15(.40 - .125)2 = .04286. The standard deviation of GenLabs returns isA) .0845B) .2069C) .3065D) .3358E) None of the above.Answer: B Difficulty: Medium Page: 256-257Rationale:.05(-.50 - .125)2 + .1(-.15 - .125)2 + .2(.05 - .125)2 + .3(.15 - .125)2 + .2(.25 - .125)2 + .15(.40 - .125)2 = .0428(.0428) = .20697. The correlation between two stocksA) can take in positive values.B) can take on negative values.C) cannot be greater than 1.D) cannot be less than -1.E) All of the above.Answer: E Difficulty: Medium Page: 260-2618. If the correlation between two stocks is –1, the returnsA) generally move in the same direction.B) move perfectly opposite one another.C) are unrelated to one another as it is < 0.D) have standard deviations of equal size but opposite signs.E) None of the above.Answer: B Difficulty: Medium Page: 2609. Stock A has an expected return of 20%, and stock B has an expected return of 4%. However, therisk of stock A as measured by its variance is 3 times that of stock B. If the two stocks arecombined equally in a portfolio, what would be the portfolio's expected return?A) 4%B) 12%C) 20%D) Greater than 20%E) Need more information to answer.Answer: B Difficulty: Medium Page: 262Rationale:Rp = 20(.5) + 4(.5) = 12%Use the following to answer questions 10-14:Idaho Slopes (IS) and Dakota Steppes (DS) are both seasonal businesses. IS is a downhill skiing facility, while DS is a tour company that specializes in walking tours and camping. The equally likely returns on each company over the next year is expected to be:Economy Idaho Slopes Dakota SteppesStrong Downturn -10% 2%Mild Downturn - 4% 7%Slow Growth 4% 6%Moderate Growth 12% 4%Strong Growth 20% 4%10. The mean expected returns of Idaho Slopes and Dakota Steppes areA) 4.0%; 6.0%B) 4.4%; 4.6%C) 5.5%; 5.8%D) 10.0%; 6.0%E) None of the aboveAnswer: B Difficulty: Medium Page: 256Rationale:IS = (-10%-4%+4%+12%+20%)/5 = 4.4%DS = (2%+7%+6%+4%+4%)/5 = 4.6%11. The variances of Idaho Slopes and Dakota Steppes areA) .0145; .00038B) .011584; .000304C) .006454; .000154D) .0008068; .000193E) None of the aboveAnswer: B Difficulty: Hard Page: 256-257Rationale:2IS = .2 = 0.0115842DS = .2 = .00030412. The covariance between the Idaho Slopes and Dakota Steppes returns isA) .00187B) .00240C) .00028D) .000056E) None of the aboveAnswer: C Difficulty: Hard Page: 258-259Rationale:ISDS = = .0002813. If Idaho Slopes and Dakota Steppes are combined in a portfolio with 50% invested in each, theexpected return and risk would be?A) 4.5%; 0%B) 4.5%; 5.48%C) 5.0%; 0%D) 5.625%; 37.2%E) 8.0%; 8.2%Answer: B Difficulty: Hard Page: 261-262Rationale:Rp = .5(.044) + .5(.046) = .045 = 4.5%p = .5 = .05477 = 5.48%14. The correlation between stocks A and B is theA) covariance between A and B divided by the standard deviation of A times the standarddeviation of B.B) standard deviation A divided by the standard deviation of B.C) standard deviation of B divided by the covariance between A and B.D) variance of A plus the variance of B dividend by the covariance.E) None of the above.Answer: A Difficulty: Medium Page: 26015. A portfolio is entirely invested into Buzz's Bauxite Boring Equity, which is expected to return 16%,and Zum's Inc. bonds, which are expected to return 8%. Sixty percent of the funds are invested in Buzz's and the rest in Zum's. What is the expected return on the portfolio?A) 6.4%B) 9.6%C) 12.8%D) 24.2%E) Need additional information.Answer: C Difficulty: Medium Page: 262Rationale:R p = .60(R Buzz)+.40(R Zum) = .60(16%) + .40(8%) = 12.8%16. You have plotted the data for two securities over time on the same graph, ie., the month return ofeach security for the last 5 years. If the pattern of the movements of the two securities rose and fell as the other did, these two securities would haveA) no correlation at all.B) a weak negative correlation.C) a strong negative correlation.D) a strong positive correlation.E) one can not get any idea of the correlation from a graph.Answer: D Difficulty: Easy Page: 26017. If the covariance of stock 1 with stock 2 is -.0065, then what is the covariance of stock 2 with stock1?A) -.0065B) +.0065C) greater than +.0065D) less than -.0065E) Need additional information.Answer: A Difficulty: Medium Page: 258-25918. If you have a portfolio of two risky stocks which turns out to have no diversification benefit. Thereason you have no diversification is the returnsA) are too small.B) move perfectly opposite of one another.C) are too large to offset.D) move perfectly with one another.E) are completely unrelated to one another.Answer: D Difficulty: Easy Page: 26419. A portfolio will usually containA) one riskless asset.B) one risky asset.C) two or more assets.D) no assets.E) None of the above.Answer: C Difficulty: Easy Page: 26120. The variance of Stock A is .004, the variance of the market is .007 and the covariance between thetwo is .0026. What is the correlation coefficient?A) .9285B) .8542C) .5010D) .4913E) .3510Answer: D Difficulty: Medium Page: 260Rationale:Standard deviation of B = .06325, Standard deviation of the market = .08366CORR = COV/(SDA)(SDM) = .0026/(.06325)(.08366) = .491321. If the correlation between two stocks is +1, then a portfolio combining these two stocks will have avariance that isA) less than the weighted average of the two individual variances.B) greater than the weighted average of the two individual variances.C) equal to the weighted average of the two individual variances.D) less than or equal to average variance of the two weighted variances, depending on otherinformation.E) None of the above.Answer: C Difficulty: Medium Page: 26422. The opportunity set of portfolios isA) all possible return combinations of those securities.B) all possible risk combinations of those securities.C) all possible risk-return combinations of those securities.D) the best or highest risk-return combination.E) the lowest risk-return combination.Answer: C Difficulty: Medium Page: 26723. A portfolio has 50% of its funds invested in Security One and 50% of its funds invested in SecurityTwo. Security One has a standard deviation of 6. Security Two has a standard deviation of 12. The securities have a coefficient of correlation of .5. Which of the following values is closest toportfolio variance?A) .0027B) .0063C) .0095D) .0104E) One must have covariance to calculate expected value.Answer: B Difficulty: Medium Page: 262Rationale: Var. = .52(.06)2 + .52(.12)2 + 2(.5)(.5)(.5)(6)(12) = .0009 + .0036 + .0018 = .006324. A portfolio has 25% of its funds invested in Security C and 75% of its funds invested in Security D.Security C has an expected return of 8% and a standard deviation of 6. Security D has an expected return of 10% and a standard deviation of 10. The securities have a coefficient of correlation of .6.Which of the following values is closest to portfolio return and variance?A) .090; .0081B) .095; .001675C) .095; .0072D) .100; .00849E) Cannot calculate without the number of covariance terms.Answer: C Difficulty: Medium Page: 261-262Rationale:E(R) = .25(.08) + .75(.10) = .095 = 9.5%Variance = .252(.06)2 + .752(.10)2 + 2(.25)(.75)(.06)(.60)(.10) = .007225. When many assets are included in a portfolio or index the risk of the portfolio or index will beA) greater than the risk of the securities because the correlations are greater than 1.B) equal to the risk of the securities because the correlations are equal to 1.C) less than the risk of the securities because the correlations are usually less than 1.D) unaffected by the risk of securities because their correlations are less than 1.E) None of the above.Answer: C Difficulty: Medium Page: 26426. The efficient set of portfoliosA) contains the portfolio combinations with the highest return for a given level of risk.B) contains the portfolio combinations with the lowest risk for a given level of return.C) is the lowest overall risk portfolio.D) Both A and BE) Both A and C.Answer: D Difficulty: Medium Page: 26727. Diversification can effectively reduce risk. Once a portfolio is diversified the type of riskremaining isA) individual security risk.B) riskless security risk.C) risk related to the market portfolio.D) total standard deviations.E) None of the above.Answer: C Difficulty: Easy Page: 27428. For a highly diversified equally weighted portfolio with a large number of securities, the portfoliovariance isA) the average covariance.B) the average expected value.C) the average variance.D) the weighted average expected value.E) the weighted average variance.Answer: A Difficulty: Medium Page: 273-27429. A well-diversified portfolio has negligibleA) expected return.B) systematic risk.C) unsystematic risk.D) variance.E) Both C and D.Answer: C Difficulty: Easy Page: 27430. The CML is the pricing relationship betweenA) efficient portfolios and beta.B) the risk-free asset and standard deviation of the portfolio return.C) the optimal portfolio and the standard deviation of portfolio return.D) beta and the standard deviation of portfolio return.E) None of the above.Answer: C Difficulty: Medium Page: 27931. The SML is the equilibrium pricing relationship forA) efficient portfolios.B) single securities.C) inefficient portfolios.D) All of the above.E) None of the above.Answer: D Difficulty: Easy Page: 285-28632. A typical investor is assumed to beA) a fair gambler.B) a gambler.C) a single security holder.D) risk averse.E) risk neutral.Answer: D Difficulty: Medium Page: 27533. You've owned a share of stock for 6 years. It returned 5% in 3 of those years and -5% in the other3. What was the variance?A) 0B) .0015C) .0030D) .0150E) .0400Answer: C Difficulty: Medium Page: 256-257Rationale:VAR= {(5-0)2 + (5-0)2 +(5-0)2 + (5-0)2 +(5-0)2 + (5-0)2/5 - 3034. The total number of variance and covariance terms in portfolio is N2. How many of these would be(including non-unique) covariance's?A) NB) N2C) N2 - ND) N2 - N/2E) None of the above.Answer: C Difficulty: Medium Page: 27235. Total risk can be divided intoA) standard deviation and variance.B) standard deviation and covariance.C) portfolio risk and beta.D) systematic risk and unsystematic risk.E) portfolio risk and covariance.Answer: D Difficulty: Easy Page: 27436. Beta measuresA) the ability to diversify risk.B) how an asset covaries with the market.C) the actual return on an asset.D) the standard of the assets' returns.E) All of the above.Answer: B Difficulty: Medium Page: 28337. The dominant portfolio with the lowest possible risk measures isA) the efficient frontier.B) the minimum variance portfolio.C) the upper tail of the efficient set.D) the tangency portfolio.E) None of the above.Answer: B Difficulty: Medium Page: 26638. The measure of beta associates most closely withA) idiosyncratic risk.B) risk-free return.C) systematic risk.D) unexpected risk.E) unsystematic risk.Answer: C Difficulty: Easy Page: 26939. An efficient set of portfolios isA) the complete opportunity set.B) the portion of the opportunity set below the minimum variance portfolio.C) only the minimum variance portfolio.D) the dominant portion of the opportunity set.E) only the maximum return portfolio.Answer: D Difficulty: Medium Page: 27040. A stock with a beta of zero would be expected to have a rate of return equal toA) the risk-free rate.B) the market rate.C) the prime rate.D) the average AAA bond.E) None of the above.Answer: A Difficulty: Medium Page: 28541. The combination of the efficient set of portfolios with a riskless lending and borrowing rate resultsinA) the capital market line which shows that all investors will only invest in the riskless asset.B) the capital market line which shows that all investors will invest in a combination of theriskless asset and the tangency portfolio.C) the security market line which shows that all investors will invest in the riskless asset only.D) the security market line which shows that all investors will invest in a combination of theriskless asset and the tangency portfolio.E) None of the above.Answer: B Difficulty: Medium Page: 27842. According to the CAPMA) the expected return on a security is negatively and non-linearly related to the security's beta.B) the expected return on a security is negatively and linearly related to the security's beta.C) the expected return on a security is positively and linearly related to the security's variance.D) the expected return on a security is positively and non-linearly related to the security's beta.E) the expected return on a security is positively and linearly related to the security's beta.Answer: E Difficulty: Easy Page: 28243. The diversification effect of a portfolio of two stocksA) increases as the correlation between the stocks declines.B) increases as the correlation between the stocks rises.C) decreases as the correlation between the stocks rises.D) Both A and C.E) None of the above.Answer: A Difficulty: Medium Page: 26644. The elements along the diagonal of the Variance / Covariance matrix areA) covariances.B) security weights.C) security selections.D) variances.E) None of the above.Answer: D Difficulty: Medium Page: 27245. The elements in the off-diagonal positions of the Variance / Covariance matrix areA) covariances.B) security selections.C) variances.D) security weights.E) None of the above.Answer: A Difficulty: Medium Page: 27246. The separation principle states that an investor willA) choose any efficient portfolio and invest some amount in the riskless asset to generate theexpected return.B) choose an efficient portfolio based on individual risk tolerance or utility.C) never choose to invest in the riskless asset because the expected return on the riskless asset islower over time.D) invest only in the riskless asset and tangency portfolio choosing the weights based onindividual risk tolerance.E) All of the above.Answer: D Difficulty: Medium47. The beta of a security is calculated byA) dividing the covariance of the security with the market by the variance of the market.B) dividing the correlation of the security with the market by the variance of the market.C) dividing the variance of the market by the covariance of the security with the market.D) dividing the variance of the market by the correlation of the security with the market.E) None of the above.Answer: A Difficulty: Medium Page: 28348. If investors possess homogeneous expectations over all assets in the market portfolio, when risklesslending and borrowing is allowed, the market portfolio is defined toA) be the same portfolio of risky assets chosen by all investors.B) have the securities weighted by their market value proportions.C) be a diversified portfolio.D) All of the above.E) None of the above.Answer: D Difficulty: Medium Page: 28049. A portfolio contains two assets. The first asset comprises 40% of the portfolio and has a beta of 1.2.The other asset has a beta of 1.5. The portfolio beta isA) 1.35B) 1.38C) 1.42D) 1.50E) 1.55Answer: B Difficulty: Medium Page: 287Rationale:βp = .4(1.2)+.6(1.5)=1.3850. A portfolio contains four assets. Asset 1 has a beta of .8 and comprises 30% of the portfolio. Asset2 has a beta of 1.1 and comprises 30% of the portfolio. Asset3 has a beta of 1.5 and comprises 20%of the portfolio. Asset 4 has a beta of 1.6 and comprises the remaining 20% of the portfolio. If the riskless rate is expected to be 3% and the market risk premium is 6%, what is the beta of theportfolio?A) 0.80B) 1.10C) 1.19D) 1.25E) 1.40Answer: C Difficulty: Hard Page: 287Rationale:βp = .3(.8)+.3(1.1)+.2(1.5)+.2(1.6)=1.1951. The characteristic line is graphically depicted asA) the plot of the relationship between beta and expected return.B) the plot of the returns of the security against the beta.C) the plot of the security returns against the market index returns.D) the plot of the beta against the market index returns.E) None of the above.Answer: C Difficulty: Medium Page: 281-28252. Recent research by Fama and French calls into questions the CAPM because they findA) average security returns are negatively related to the firm P/E and M/B ratios.B) P/E and M/B are only two of several factors explaining average returns.C) a weak relationship between average returns and beta for 1941 to 1990 and no relationshipfrom 1963 to 1990.D) Both A and C.E) Both B and C.Answer: D Difficulty: Hard Page: 29553. Further study to evaluate the Fama-French results and the CAPM are needed becauseA) P/E and M/B may be two of a large set of factors which were found due to hindsight bias.B) A positive relationship is found over the period 1927 to 1990 indicating more than 50 years ofdata are necessary for proper CAPM testing.C) Annual data based estimates of beta show positive relationships to average returns, whilemonthly betas do not.D) All of the above.E) None of the above.Answer: D Difficulty: Hard Page: 295-296Essay Questions54. Given the following data:Year Returns – Ink, Inc. Returns – S & P 500 1 10% 15% 2 0% -2% 3 -5% -2% 4 15 10% 5 5% 0%Calculate the covariance between Ink and the S&P 500.Difficulty: Hard Page: 258-259 Answer:R I IRR I - IR R SP SP R R SP –SP R.10 .05 .05 .15 .042.108 .00 .05 -.05 -.02 .042 -.062 -.05 .05 -.10 -.02 .042 -.062 .15 .05 .10 .10 .042 .058 .05.05.00 .00 .0421-.042(R I - I R ) x (R SP –SP R ).05 x.108 .0054 -.05 x -.062 .0031 -.10 x -.062 .0062 .10 x .058 .00580 x -.402.0205/5=.004155. A portfolio is made up of 75% of stock 1, and 25% of stock 2. Stock 1 has a variance of .08, andstock 2 has a variance of .035. The covariance between the stocks is -.001. Calculate both the variance and the standard deviation of the portfolio. Difficulty: Medium Page: 262 Answer: σ² = (.75)²(.08) + (.25)²(.035) + 2(.25)(.75)(-.001) = .0468 σ = .216356. Illustrate and explain the impact of adding securities to a portfolio assuming the securities are ofaverage correlation with each other. Difficulty: Medium Page: 274Answer:As N increases, portfolio risk decreases. As N gets large, portfolio risk approaches the market risk.For details please refer to the text Figure 10.7 page 274.57. Given the following information on 3 stocks:Stock A Stock B Stock C T-Bills Market PortExp. Return .19 .15 .09 .07 .18Variance .0200 .1196 .0205 .0000 .0064Covariance withMkt Portfolio .007 .0045 .0013 .0000 .0064Using the CAPM, calculate the expected return for Stock's A, B, and C. Which stocks would you recommend purchasing?Difficulty: Hard Page: 285-287Answer:B A = .0070/.0064 = 1.094; ra = .07 + (.18-.07)1.094 = .1903B B = .0045/.0064 = 0.703; rb = .07 + (.18-.07)0.703 = .1473B C = .0013/.0064 = 0.203; rc = .07 + (.18-.07)0.203 = .0.923Indifferent on A as .1903 = .19.Would buy B as .15 > .1473.Would not buy C as .09 < .0923.58. Returns for the IC Company and for the S&P 500 Index over the previous 4-year period are givenbelow:Year IC Co. S & P 5001 30% 17%2 0% 20%3 -8% 7%4 0% 5%What are the average returns on IC and on the S&P 500 index? If you had invested $1.00 in IC, how much would you have had after 4 years? What is the correlation between the returns on IC and the S&P?Difficulty: Medium Page: 259Answer:Average return is 22/4 = 5.5% for IC and 49/4 = 12.25% for the S&P.After 4 years $1.00 in IC grows to $1.00(1.30)(.92) = 1.196 = $1.20.For n=4σIC = 14.52, σSP = 6.38, σIC,SP = 46.125, determining ( r IC,SP ) =0.498For n-1 = 3σIC = 16.76 σSP = 7.37 σIC,SP = 61.50 determining (r IC,SP ) =. 49859. Draw and explain the relationship between the opportunity set for a two asset portfolio when thecorrelation is: [Choose from -1, -.5, 0, +.5, and +1] Difficulty: Hard Page: 267-268 Answer: ∙ Opportunity set is made up of a portfolio of two asset combinations with weights from (0,100) to (100,0). ∙ Upper point--maximum return portfolio, 100% in highest return sec. ∙ Inflection point--minimum variance portfolio ∙ See diagram, pg. 267MRPStd. DeviationRpOpportunity SetBetween the MVP (Minimum Variance Portfolio) andthe MRP (Maximum Return Portfolio) is the efficient set of portfolios.60. The diagram below represents an opportunity set for a two asset combination. Indicate the correctefficient set with labels; explain why it is so. Difficulty: Hard Page: 267-268 Answer: ∙ Efficient set is portion of opportunity set that dominates. ∙ Provides maximum return for given risk or converse.MRPStd. DeviationRpOpportunity SetA is on the efficient frontier with the best return to risk combination. Portfolioson the frontier dominate all other portfolios. A dominates both B and C. B has a higher standard deviation for the same return while C has a lower return for the same standard deviation.ABCXX。

Week 8 Risk and return

Example: Standard deviation of returns using historical time series of returns
• Next, compute the variance and then take its square root to determine the standard deviation:
FINC2011 CORPORATE FINANCE 1 Semester 2 2014
Lecture 8
Introduction to Risk and Return
BUSINESS SCHOOL
Introduction to Risk and Return
The Value of an Investment of $1 in 1900 Nominal returns
• Alternatively, one may undertake the calculation as follows:
• Summing the squared differences in the last row, we get 0.5. Finally, dividing by (10-1=9) i.e. 0.5/9 = 0.056 gives us the sample variance of annual returns in the index. • The standard deviation is therefore:
rm
rm1 rm 2 rm( n 1) rmn n
1 n rmt n t 1
where
rmi = observed return on asset m during interval i (%) n = number of observations

07 Introduction to Risk, Return, and the Opportunity Cost of Capital

in first asset
fraction of portfolio
in second asset
)( )(
x x
rate of return on first asset
rate of return
on second asset
) )
McGraw Hill/Irwin
Copyright © 2003 by The McGraw-Hill Companies, Inc. All rights reserved
13 12 11 10 9 8 7 6 5 4 3 2 1 0
13
13 12 13 11 3
10 to 20 20 to 30 30 to 40 40 to 50
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-50 to -40
1
-40 to -30
2
-30 to -20
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-20 to -10 -10 to 0 0 to 10
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50 to 60
(1) (2) (3)
Percent Rate of Return Deviation from Mean Squared Deviation + 40 + 30 900 + 10 0 0 + 10 - 20 0 - 30 0 900
Variance = average of squared deviations = 1800 / 4 = 450 Standard deviation = square of root variance = 450 = 21.2%
Principles of Corporate Finance
Seventh Edition
Chapter 7

Raymond MHP版雇员培训与开发(英文版·第6版)习题答案IMChap010

CHAPTER 10SOCIAL RESPONSIBILITY: LEGAL ISSUES, MANAGING DIVERSITY, AND CAREER CHALLENGESThis chapter focuses on how training contributes to a company’s social responsibility through partnerships with unions, community colleges, and other educational institutions. Also, socially responsible companies take steps to manage diversity and help employees work effectively in different cultures, as well as preparing employees to cope with career challenges like balancing work-life, coping with career breaks, recycling their careers, dealing with job loss, and preparing for retirement.The chapter highlights some current issues in the training and development arena. This is an important body of information for the student taking an overview course in training and development. First the chapter covers sector partnerships, school-to-work programs, and joint union-management programs. It also includes legal issues, where it is critical to know the major pieces of legislation, including the Civil Rights Act (1964, 1991), the Age Discrimination in Employment Act (ADEA), and the Americans with Disabilities Act (ADA), and the major requirements they define for employers. Further, the categories of legally dangerous situations, e.g., an employee being injured during a training activity, are described. Next, the chapter addresses the management of a diverse workforce and the characteristics of successful diversity initiatives. This is invaluable information in today’s global culture. Thereafter, cross-cultural preparation is addressed, bringing to light the various types of expatriates; dimensions of cultural differences; steps in the preparation, including the predeparture phase, the on-site phase, and the repatriation phase. The chapter also talks about work-life balance practices, dual career path system, and finally concludes with early retirement programs.Objectives1. Discuss the role of training partnerships in developing skills and contributing to localcommunities.2. Discuss the potential legal issues that relate to training.3. Develop a program for effectively managing diversity.4. Design a program for preparing for cross-cultural assignments.5. Discuss the importance of career paths and dual career paths for employees andcompanies.6. Develop policies to help employees achieve work-life balance.7. Describe how companies are helping veterans develop skills and get employment.8. Explain the value of phase retirement programs for older employees.I. IntroductionA. Training and development should help companies achieve their business goals,resulting in profits and positive returns to stockholders.B. Companies have a social responsibility to help improve the communities wherethey are located by protecting the environment, supporting cultural activities, and helping to reduce poverty and unemployment.C. Social responsibility also means that companies need to comply with laws andregulations, but perhaps more importantly, take actions and create conditions tohelp all employees grow, develop, and contribute to company goals, regardless of their background and career issues they are facing.Training PartnershipsA. Sector partnerships refer to government agencies, industry trade groups that helpidentify the skills that local employers require and work with community colleges, universities, and other educational institutions to provide qualified employees.Sector partnerships can focus on jobs that require more than a high schooldiploma but less than a four-year college degree, and some provide skills that are needed for professional employees such as engineers.B. The School-to-Work Opportunities Act is designed to assist the states in buildingschool-to-work systems that prepare students for high-skill, high-wage jobs orfuture education. The act encourages partnerships between educationalinstitutions, employers, and labor unions.C. The Workforce Investment Act of 1998 created a comprehensive workforceinvestment system. The reformed system is intended to be customer-focused, help Americans manage their careers through information and high-quality services,and help U.S. companies find skilled workers. The cornerstone of the system isOne-Stop service delivery, which unifies numerous training, education, andemployment programs into a single, customer friendly system in each community.Lifelong LearningA Lifelong Learning Account (LiLA) refers to an account for adult education intowhich both the employee and the company contribute and the employee keeps—even if he or she leaves the company. The money in the LiLA can be used to pay for arange of educational expenses, including tuition, books, fees, supplies, and non-job-specific certification courses.Joint Union-Management ProgramsJoint union-management training programs provide a wide range of services designed to help employees learn skills that are directly related to their jobs and also develop skills that are “portable”—that is, valuable to employers in other companies orindustries.II. Legal Issues and Managing a Diverse Workforce at Home and Abroad Legal IssuesA. Employers may be required to provide certain types of training or a certainnumber of hours of training for employees in certain industries.B. Many states require that employers be responsible for paying employees theirsalary and/or paying them a financial settlement for injuries received during anyemployment-related activity, including training.C. The company is liable for injuries or damages resulting from actions of poorly,incorrectly or incompletely trained employees, even when training is conductedby an external vendor. Training content and methods should be thoroughlydocumented.D. Information placed in employees’ files regarding training performance must beaccurate; employees should be informed when their training performance datawill be used for any purpose or discussed with anyone.E. Copyrights protect the expression of an idea, but not the ideas the materialcontains. They prohibit the creation of a product based on others’ original workand from copying, broadcasting or publishing the product without permission.F. The use of videos, manuals, handouts or any copyrighted material in trainingwithout the owner’s permission is illegal.G. Title VII of the Civil Rights Act (1964) makes it illegal to make employmentdecisions on the bases of race, color, religion, gender or national origin.H. The Age Discrimination in Employment Act (ADEA) prohibits discriminationagainst individuals over the age of 40.I. The Equal Employment Opportunity Commission (EEOC) enforces both the CivilRights Act and the ADEA.J. Still, the US Department of Labor has found that training required for promotion has not been as accessible to women and minorities.K. Opportunities for practice, feedback, etc., should be equal for all employees; and trainers should avoid offensive jokes, remarks, etc.L. All state Insurance has been the focus of several religious discrimination lawsuits brought by insurance agents. Some agents charged that the principles emphasized in training programs were based on Scientology were offensive and counter totheir religious beliefs.M. Notes taken during a diversity training program at a supermarket chain were used as evidence of discrimination.N. The Americans with Disabilities Act (ADA) of 1990 prohibits discrimination on the basis of disability in employment practices, such as hiring, firing,compensation, and training.1. The ADA defines a disability as a physical or mental impairment thatsubstantially limits one or more major life activities, a record of having animpairment, or being regarded as having such an impairment.2. The ADA requires employers to make reasonable accommodation in facilitiesto allow the disabled worker to perform effectively, unless thataccommodation would cause undue hardship on the company. Undue hardshipmeans excessive expense or loss of production, assessed by looking atpercentage of profits.3. The ADA is intentionally vague in its definitions of disabilities, reasonableaccommodation, and undue hardship to allow for full coverage of allimpairments and situations and for case by case interpretation.O. Companies can often deduct the cost of training provided to employees as a business expense.P. Employees may be able to deduct work related educational expenses as itemized deductions on their income taxes. To be deductible, the expenses must be fortraining only.Q. Managing diversity and inclusion involves creating an environment that allows all employees to contribute to organizational goals and experience personal growth.This environment includes access to jobs, as well as fair and positive treatment of all employees. The goals of diversity training are:1. To eliminate values, stereotypes, and managerial practice that inhibitemployees’ personal development; and therefore2. To allow employees to contribute to organizational goals regardless of theirrace, sexual orientation, gender, family status, religious orientation, or culturalbackground.Melting the Glass CeilingA major development issue facing companies today is how to get women andminorities into upper-level management positions—how to break the glass ceiling.The glass ceiling refers to a barrier to advancement to higher-level jobs in thecompany that adversely affects women and minorities.III. C ross-Cultural PreparationAn expatriate works in a country other than his or her country of origin. Cross-cultural preparation educates employees (expatriates) and their families who are to be sent to a foreign country. To successfully conduct business in the global marketplace, employees must understand the business practices and the cultural norms of different countries.Steps In Cross-Cultural PreparationA. To be effective in overseas assignments, expatriates need to be:1. competent in their area of expertise.2. able to communicate effectively both verbally and nonverbally in the hostcountry.3. flexible, tolerant of ambiguity, emotionally stable, outgoing and agreeable,and sensitive to cultural differences.4. motivated for success, able to enjoy the challenges of a different culture, andwilling to learn about the host country’s culture, language and customs.5. supported by their families.B. The key to a successful foreign assignment is a combination of training and careermanagement for the employee and family. Cross-cultural preparation involves three phases: predeparture, on-site, and repatriation (preparing to return home). C. Predeparture phase is the preparatory period before the expatriate leaves theStates. It is critical that expatriates and their families receive training in the host country’s language and an orientation on the host country’s culture and customs.Information regarding housing, schools, recreation, shopping, and healthcare in the host country needs to be provided.1. Cross-cultural training methods used range from presentational methods, suchas lecture, to experiential exercises.2. The rigor of cross-cultural training needed depends on the degree ofdifference between the United States and host country’s cultures (i.e., culturalnovelty); the amount of interaction with host country citizens and nationals(i.e., interaction); and the familiarity of the job tasks and work environment(i.e., job novelty). High levels of novelty call for experiential training methods.D. The on-site phase, when the expatriate and family are in the host country, shouldinvolve continued orientation to the host country through formal training ormentoring.E. The repatriation phase is the time during which the expatriate prepares to return tothe parent company and country.1. To prepare to reenter the United States, expatriates and their families shouldbe brought up to speed on current national issues, politics, and news stories.2. Employees may have to adjust to a lower standard of living upon their returnto the U.S.3. Virtual Expatriates have an assignment to manage an operation abroadwithout being permanently located in that country.Career Challenges Facing a Multigenerational WorkforceA. Employees’ careers involve four stages: exploration, establishment, maintenance,and decline.1. In the exploration stage, employees attempt to identify the type of work thatinterests them. They consider their interests, values, and work preferences and begin pursuing the type of education and training they need.2. Establishment involves finding employment, making an independentcontribution, achieving more responsibility and financial success, andestablishing a suitable lifestyle.3. In the maintenance stage, individuals are concerned with keeping their skillsup to date and being perceived as someone who is still contributing to thecompany.4. The last stage, disengagement, involves individuals preparing to phase out ofwork and retire.B. It is important to recognize that there are likely generational differences in whatemployees want in their career. As a result, to attract, motivate, and retain atalented multigenerational workforce companies need to understand and manage career challenges and help employees deal with career issues.Work-Life BalanceA. The Family and Medical Leave Act (FLMA) is a federal law that provides up totwelve weeks of unpaid leave in a one-year period for parents with new infants or newly adopted children.B. Telecommuting refers to a work arrangement that gives employees flexibility inboth work location and hours.C. Compressed workweek refers to a work schedule that allows employees to workfewer days but with longer hours, for example, four days, ten hours each day.D. Flextime refers to giving employees the option of choosing when to work duringthe workday, workweek, or work year.E. Job sharing refers to having two employees divide the hours, the responsibilities,and the benefits of a full-time job.IV. Career Paths and Dual Career PathsA career path is a sequence of job positions involving similar types of work and skillsthat employees move through in the company. Career paths help companies offer career options to their employees that help them make job choices that best fit their life situations.Dual Career PathA. A dual-career-path system enables employees to remain in a technical or salescareer path or move into a management career path. Figure 10.3 on page 448shows a dual-career-path system.B. Effective dual-career paths have several characteristics:1. Salary, status, and incentives for technical employees compare favorably withthose of managers.2. Individual contributors’ base salaries may be lower than that of managers, butthey are given opportunities to increase their total compensation throughbonuses (e.g., for patents and developing new products).3. The individual contributor career path is not used to satisfy poor performerswho have no managerial potential. The career path is for employees withoutstanding technical skills.4. Individual contributors are given the opportunity to choose their career path. V. Career RecyclingA. Recycling involves changing one’s major work activity after having beenestablished in a specific field. Recycling is accompanied by a re-exploration ofvalues, skills, interests, and potential employment opportunities.B. Recycling is not just limited to older employees who are nearing retirement.Many companies that face a serious shortage of qualified employees aredeveloping retraining programs in hopes of filling labor shortages with employees from other fields.C. Companies are using these training programs to help recycle employees into newjobs and careers.D. It is also not uncommon for employees who are considering recycling to conductinformational interviews with managers or other employees who hold jobs infunctional areas that they believe may be congruent with their interests andabilities, to gather information about the skills, job demands, and benefits of their jobs.Job HoppingA. Job hopping refers to employees changing jobs, usually between companies,every two to three years. Job hopping is prevalent today, especially among GenXers and millennials, as more employees view themselves as “free agents” whomust actively manage their own careers.B. For companies, job hopping results in a loss of talent and productivity that resultsfrom turnover, retraining, and recruitment costs. Also, job hopping makes itdifficult to create and sustain a culture that supports relationships betweenemployees or continuity in employee-customer relationships.C. Job hopping does provide companies with the opportunity to hire employees whohave a variety of experiences in different companies, which can allow thecompany to understand and implement best practices.D. Hiring employees who j ob hop may increase company’s flexibility andadaptability because these employees are capable of quickly learning differentjobs. Also, employees who job hop likely do not need or have high expectationsfor job security, making it easier for the company to downsize if necessary.E. For employees, in addition to better pay and growth opportunities, job hoppingcan provide opportunities to work in a variety of industries, in different-sizedcompanies, and to gain new skills, experiences, and personal contacts.F. The downside of job hopping for employees is that they may not be staying in anyone job long enough to complete important projects, develop personal networks,or gain relevant experiences. This may hurt their opportunity to obtain attractivejob and career opportunities in the future.G. Companies are unlikely to eliminate job hopping. However, companies canreduce job hopping and attract and retain talented employees by creatingconditions for employee engagement, providing employees with growthopportunities, and offering incentives and rewards for good performance.VI. Coping with Career BreaksBoth men and women face major problems in trying to return to work after taking several months or years off for family-related or other reasons. The UniformedServices Employment and Reemployment Act covers deployed employees’ rights, such as guaranteeing jobs when they return except under certain circumstances.VII. Coping with Job LossA. Companies seek alternative ways to reduce head count (the number of employees)and lower labor costs. These alternatives may include asking employees to workfewer hours, offering early retirement plans, delaying wage increases, anddeciding not to fill position openings created by turnover and retirements.B. To prepare employees for layoffs and reduce their potential negative effects,companies need to provide outplacement services. Outplacement services shouldinclude:1. Advance warning and an explanation for the layoff2. Psychological, financial, and career counseling3. Assessment of skills and interests4. Job seeking services, such as résumé-writing assistance and interview training5. Job banks where job leads are posted and where out-of-town newspapers,phones, and books regarding different occupations and geographic areas areavailable6. Electronic delivery of job openings, self-directed career management guides,and values and interest inventoriesVIII. Meeting the Needs of Older WorkersA. Older employees are as productive and customer-savvy as younger employees,and they have valuable experience.B. Companies can take several actions to meet the needs of older employees.1. First, flexibility in scheduling allows older employees to take care of sickspouses, go back to school, travel, or work fewer hours.2. Companies need to ensure that older employees receive the training that theyneed to avoid obsolescence and to be prepared to use new technology.3. Third, older employees need resources and referral help that address long-term health care and elder care.4. Fourth, assessment and counseling are necessary to help older employeesrecycle to new jobs or careers, or transition to less secure positions whoseresponsibilities are not as clearly defined.5. Fifth, it is important to recognize that as older em ployees’ physical and mentalabilities decline, they can rely on experience and motivation to avoid poorperformance.6. Finally, companies need to ensure that employees do not hold inappropriatestereotypes about older employees.Preretirement SocializationA. Preretirement socialization is the process of helping employees prepare to exitfrom work.These programs typically address the following topics:1. Psychological aspects of retirement, such as developing personal interests andactivities2. Housing, including a consideration of transportation, living costs, andproximity to medical care3. Health during retirement, including nutrition and exercise4. Financial planning, insurance, and investments5. Health care plans6. Estate planning7. The collection of benefits from company pension plans and Social SecurityB. Preretirement socialization or retirement planning can help employees avoidbeing forced to return to work because of poor financial planning.C. Many companies are also using phased retirement and alternative workarrangements such as rehiring retired employees to help employees make thetransition into retirement while at the same time continuing to use their talents. D. Phased retirement involves employees transitioning from full-time employment tofull-time retirement by working part time.E. Formal preretirement socialization programs are primarily for employees who areconsidering retirement, but financial planning, estate planning, and purchasing insurance need to be done much earlier in their careers to ensure that employees will have the financial resources necessary to live comfortably during retirement. RetirementA Retirement involves leaving a job and a work role and making a transition intolife without work.B. For some employees, retirement involves making a transition out of their currentjob and company, seeking full- or part-time employment elsewhere, or recycling into another career.C. The aging workforce and the use of early retirement programs to shrinkcompanies’ wor kforces have three implications:1. First, companies must meet the needs of older employees.2. Second, companies must take steps to prepare employees for retirement.3. Third, companies must be careful that early retirement programs do notunfairly discriminate against older employees.Early Retirement ProgramsA. Early retirement programs offer employees financial benefits to leave thecompany. These programs are usually part of the company’s strategy to reduce labor costs without having to lay off employees.B. To avoid costly litigation, companies need to make sure that their early retirementprograms contain the following features:1. The program is part of the employee benefit plan.2. The company can justify age-related distinctions for eligibility for earlyretirement.3. Employees are allowed to choose early retirement voluntarily.Chapter SummaryThis chapter is filled with valuable information about various issues that currently surround the training and development function. Legal issues were addressed, as were the preparation of expatriates for overseas assignments and the management of a diverse workforce. School-to-work initiatives were also described, as were training the hard-core unemployed, and overcoming the glass ceiling. Joint union-management training initiatives were discussed, along with cross-culture preparation, and dual career path system. Finally, areas such as planned retirement, and meeting the needs of older workers were addressed. This variety of issues helps the student to see the many factors that come into play for the training function. A basic understanding of these issues is essential. Discussion Questions1. What is a sector partnership? Why is it important? Provide an example of a sectorpartnership.Answer: Sector partnerships refer to government agencies, industry trade groups that help identify the skills that local employers require and work with communitycolleges, universities, and other educational institutions to provide qualifiedemployees. Sector partnerships can focus on jobs that require more than a high school diploma but less than a four-year college degree, and some provide skills that are needed for professional employees such as engineers. Through such partnerships, workforce skill needs can be met faster than if individual employers worked alone.For example, the federal government gave Maine $14 million to establish apartnership designed to provide the workforce skills needed for boat building. The Michigan Energy, Labor, and Economic Growth Department created the Michigan Academy for Green Mobility Alliance to start developing the workforce skills needed in the electric vehicle industry. (p. 422)2. What are some of the potential legal issues that a trainer should consider whileplanning an adventure learning program?Answer: The trainer would need to consider the potential risks of injury, as the trainer would be liable for any injuries that take place during training. Also, the trainer will need to ensure that employees with disability are offered an alternative program for developing the learned capabilities emphasized in the adventure learning program. (p.430)3. Explain the relationship between “managing diversity and inclusion” and “diversitytraining.” Which is most effective? Why?Answer: Diversity can be considered any dimension that differentiates a person from another. Inclusion refers to creating an environment in which employees share a sense of belonging, mutual respect, and commitment from others so they can perform theirbest work. Diversity training refers to learning efforts that are designed to change employee attitudes about diversity and/or develop skills needed to work with adiverse workforce.Managing diversity and inclusion involves creating an environment that allows all employees to contribute to organizational goals and experience personal growth. This environment includes access to jobs, as well as fair and positive treatment of allemployees. The company must develop employees who are comfortable working with people from a wide variety of ethnic, racial, and religious backgrounds.Managing diversity may require changing the company culture. It includes thecompany’s standards and norms about how employees are treated, competitiveness, results orientation, innovation, and risk taking. The value placed on diversity isgrounded in the company culture.Managing diversity and inclusion can provide companies with a competativeadvantage in several different ways. It helps a company develop a reputation as a favorable employer, which attracts talent, women and minority employees. Women and minority employees will feel valued and free to contribute their insights, which can help develop new products and improve marketing efforts focused on specific consumer segments such as Hispanics. (p. 432-433)4. How would you prepare a team of three managers to go to Warsaw, Poland, tooversee the operations of a recently acquired financial services firm? They will be leaving in one month, and the assignment lasts two years.Answer: To prepare employees for cross-cultural assignments, companies need to provide cross-cultural preparation. To succeed overseas, expatriates (employees on foreign assignments) need to be:•Competent in their areas of expertise•Able to communicate verbally and nonverbally in the host country•Flexible, tolerant of ambiguity, and sensitive to cultural differences•Motivated to succeed, able to enjoy the challenge of working in other countries, and willing to learn about the host country’s culture, language, and customs •Supported by their familiesCross-cultural preparation involves three phases: predeparture, on-site, andrepatriation (preparing to return home). Before departure, employees need to receive language training and training focused on the new country’s cult ure and customs.Expatriates and their families need information about housing, schools, recreation, shopping, and health care facilities in the areas where they will live.Expatriates also must discuss with their managers how the foreign assignment fits into their career plans and what types of positions they can expect upon their return.On-site training involves continued orientation to the host country and its customs and cultures through formal programs or through a mentoring relationship.Expatriates and their families may be paired with an employee from the host country,。

管理会计讲义chap010

Activity Variances
Larry’s Flexible Budget Compared with the Planning Budget
McGraw-Hill/Irwin
Slide 21
Activity Variances
Larry’s Flexible Budget Compared with the Planning Budget
McGraw-Hill/Irwin
Slide 18
Activity Variances
Planning budget revenues and expenses
Flexible budget revenues and expenses
The differences between the budget amounts are called activity variances.
Let’s look at Larry’s Lawn Service.
McGraw-Hill/Irwin
Slide 4
Deficiencies of the Strvice provides lawn care in a planned community where all lawns are approximately the same size. At the end of May, Larry prepared his June budget based on mowing 500 lawns. Since all of the lawns are similar in size, Larry felt that the number of lawns mowed in a month would be the best way to measure overall activity for his business.

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。

2019年-LECTURE10RISK, RETURN, AND CAPITAL BUDGETING-PPT精选文档

When the market was up 1%, Turbo average % change was +0.8%
When the market was down 1%, Turbo average % change was -0.8%
The average change of 1.6 % (-0.8 to 0.8) divided by the 2% (-1.0 to 1.0) change in the market produces a beta of 0.8.
Irwin/McGraw-Hill
©The McGraw-Hill Companies, Inc.,2001
10- 3
Measuring Market Risk
Market Portfolio - Portfolio of all assets in the economy. In practice a broad stock market index, such as the S&P Composite, is used to represent the market.
©The McGraw-Hill Companies, Inc.,201091
10- 2
Topics Covered
Measuring Beta Portfolio Betas CAPM and Expected Return Security Market Line Capital Budgeting and Project Risk
10- 17
Derivation of CAPM
Homogeneous Expectation--->One Market Efficienf Frontier:Capital market Line (CML)

风险与收益英语作文

风险与收益英语作文Risk and Return。

Risk and return are two important concepts in the world of finance. They are closely related and play a vital role in investment decisions. In this essay, we will discuss the meaning of risk and return, their relationship, and how to manage them effectively.Risk refers to the possibility of losing money or not achieving the expected return on investment. It is an inherent part of any investment, and every investor must take it into account when making investment decisions. There are different types of risks, such as market risk, credit risk, liquidity risk, and operational risk. Market risk is the risk of losing money due to changes in market conditions, such as interest rates, inflation, or economic growth. Credit risk is the risk of default by the borrower, while liquidity risk is the risk of not being able to sell an asset quickly enough to meet financial obligations.Operational risk is the risk of losses due to internal or external events, such as fraud, errors, or natural disasters.Return refers to the profit or gain that an investor earns on an investment. It is the compensation for taking on risk. The higher the risk, the higher the expected return, and vice versa. There are different types of returns, such as capital gains, dividends, and interest. Capital gains are the profits earned from selling an asset at a higher price than its purchase price. Dividends are the payments made by a company to its shareholders out of its profits, while interest is the income earned from lending money.The relationship between risk and return is often described as a trade-off. Investors must decide how much risk they are willing to take on in exchange for the potential return. A high-risk investment may offer a higher return, but it also has a higher probability of losing money. A low-risk investment may offer a lower return, but it also has a lower probability of losing money. Therefore,investors must balance their risk and return objectives to achieve their investment goals.To manage risk effectively, investors can use various strategies, such as diversification, asset allocation, and risk management techniques. Diversification means investing in a variety of assets to reduce the risk of losses. Asset allocation means dividing investments among different asset classes, such as stocks, bonds, and real estate, to balance risk and return. Risk management techniques involve using financial instruments, such as derivatives, to hedge against losses.In conclusion, risk and return are two essential concepts in finance that investors must understand to make informed investment decisions. They are closely related, and investors must balance their risk and return objectives to achieve their investment goals. By using effective risk management strategies, investors can reduce their risk exposure and increase their chances of achieving their desired returns.。

Chap005风险与收益-PPT精选文档

1 EA 1 R r T f

1 T
INVESTMENTS | BODIE, KANE, MARCUS
5-11
Equation 5.8 APR
• APR: annualizing using simple interest • 简单年化率
1 EAR 1 APR
5-2
Interest Rate Determinants 利率水平的决定因素
• Supply供给
– Houseபைடு நூலகம்olds家庭
• Demand需求 – Businesses企业 • Government’s Net Supply and/or Demand政府净供给或需求
– Federal Reserve Actions美联储行为
• As the inflation rate increases, investors will demand higher nominal rates of return 通胀上升时投资者要求更高的名义利率 • If E(i) denotes current expectations of inflation, then we get the Fisher Equation: 费雪方程式
5-8
Rates of Return for Different Holding Periods比较不同持有期利率
Zero Coupon Bond, Par = $100, T=maturity, P=price, rf(T)=total risk free return
100 rf (T ) 1 P(T )
5-7
R ( 1 ti ) ( r i ) ( 1 ti ) rti ( 1 ) t

Risktext1

风险表现
（1）总资产账面价值不断翻番，而生产经营全面下滑，2000 年走向破产猴王集团公司主要经济指标单位：万元、万元/人
项目总资产净资产销售收入工业总产值 1992年 21934 19591 19354 16397 1993年 131790 42274 58948 40544 1994年 172141 81498 90248 55535 1995年 250425 101963 100085 43703 1996年 295193 116394 108161 37886 1997年 362902 132451 130178 31005 1998年 382961 122052 80766 31032 1999年 341419 71775 35359 25900
（8）政府推波助澜，企业行使了政府职能。正确行使和发挥政府在企业投资中的作用是一个至关重要的问题。一方面企业应成为项目投资的主体；另一方面，又要充分肯定政府的企业投资中的提供信息和引导的作用。在猴王集团公司实施购并投资中，政府起了推波助澜的作用，如购并宜昌市柴油机厂、宜昌市半导体厂、宜昌卫生材料厂等均是政府行为。同时企业为了追求政绩，主动为政府排忧解难，行使了政府职能，这样不仅不能救活困难企业，也把猴王一起拖入了水中。
利润
人均利润
819
0.25
6315
1.22
11317
1.73
4316
0.53
3902
0.44
827
0.096
804
0.086
-18035
负
（2）资产结构不尽合理，流动性差，财务风险巨大。从1999 年猴王集团公司资产负债情况表可以算出，公司资产负债率为 79%，流动比率为0.68，速动比率为0.59，资产的流动性极差，存在巨大的财务风险。

Introduction to Risk

Risk regarding the possibility of loss can be especially problematic If a loss is certain to occur

It may be planned for in advance and treated as a definite, known expense

No possibility of gain is presentedonly the potential for loss
Speculative risk exists when there is uncertainty about an event that can produce either a profit or a loss The distinction between pure and speculative risk is important because organizations often distinguish between these types of risks in their planning efforts.
The distinction is best developed in the finance literature on pricing of marketable securities.
11 Shanghai Institute of Foreign Trade
Diversifiable versus Non-diversifiable Risk
The risk that remains in a welldiversified portfolio cannot be reduced through further diversification.

第1章风险导论

– It is essentially the psychological uncertainty that arises from an individual’s mental attitude or state of mind
• Objective risk differs from subjective risk in the sense that it is more precisely observable and therefore measurable
7
Subjective vs Objective Risk
• Subjective risk refers to the mental state of an individual who experiences doubt or worry as to the outcome of a given event
12
Degree of Risk
• Amount of objective risk present in a situation • Relative variation of actual from expected losses • Range of variability around the expected losses
• Financial risk
– Include credit risk, foreign exchange risk, commodity risk, and interest rate risk – These risks must be identified and assessed in order for the firm to achieve its business goals

chap01风险管理概述

对潜在的和客观存在的各种风险进行系统地、连续地识别和归类，并分析产生风险事故的原因的过程。主列表
➢物质环境 ➢社会环境 ➢政治环境 ➢法律环境
➢操作环境 ➢经济环境 ➢认知环境
识别风险暴露 ➢ 实物资产暴露 ➢ 金融资产暴露 ➢ 法律责任风险暴露 ➢ 人力资本风险暴露
第一章风险管理概述
一、不确定性和风险二、风险的分类三、风险管理过程四、风险管理技术
22
2.1 客观风险和主观风险
风险是一个客观概念。客观风险：实际损失与预期损失之间的相对差异主观风险：精神和心理状态引起的不确定性，体现在
不同的风险态度上（喜好、中性、厌恶）。如：一米距离、轻仓重仓
23
15
1.2 风险的三要素
实例：下雨路滑
车祸
行人被撞伤！
16
天雨路滑、车速快 = 风险因素
车祸
= 风险事故
行人、其他车辆 = 风险损失载体
某栋建造于1970年的居民住宅楼，其结构大多采用木结构。内部居住密集，通道狭窄；居民用于烧煮的能源多为灌装液化气或煤炉；墙内电线已经多年未更换。某日，改房屋突然着火，后经过调查，发现是由于电线老化发生短路，进而引发灾。请分析本案例中的风险的三个构成要素：风险因素、风险事故、风险损失载体。
非系统风险
单个股票价格同上市公司的经营业绩和重大事件密切相关。公司的经营管理、财务状况、市场销售、重大投资等因素的变化都会影响公司的股价走势。这种风险主要影响某一种证券，与市场的其他证券没有直接联系，投资者可以通过分散投资的方法，来抵消该种风险。
1．它是由共同因素引起的。经济方面的如利率、现行汇率、通货膨胀、宏观经济政策与货币政策、能源危机、经济周期循环等。政治方面的如政权更迭、战争冲突等。社会方面的如体制变革、所有制改造等。 2．它对市场上所有的股票持有者都有影响，只不过有些股票比另一些股票的敏感程度高一些而已。如基础性行业、原材料行业等，其股票的系统风险就可能更高。 3．它无法通过分散投资来加以消除。由于系统风险是个别企业或行业所不能控制的，是社会、经济政治大系统内的一些因素所造成的，它影响着绝大多数企业的运营，所以股民无论如何选择投资组合都无济于事。对于一个股市来说，发生系统风险是经常性的。如 1993年3月，沪深股市分别从历史的最高点1558点、358点开始下跌，一直跌到1994年7月末的330 多点和94点，股票的市值下降了70%以上，这种下跌就是发生了系统风险。

lecture 01 an introdution to risk and risk management

保险学（Introductory Insurance ）张燃第一讲风险与风险管理概述Introductory InsuranceRan Zhang1Introductory InsuranceRan Zhang2Outline• 1 风险的定义 • 2 处理风险的可行方法 • 3 风险管理的一般程序 • 4 保险的本质和功能 • 5 可保风险的条件无时无处不在的风险• 我们每天生活在一个充满“风险”世界： • 丢失财物 • 身体健康 • 失业 • ……Introductory InsuranceRan Zhang3Introductory InsuranceRan Zhang4无时无处不在的风险• 911事件 • 雪灾：完全没有对付冰雪的经验、办法和工具！ • 次贷危机（金融危机？经济危机？）： • • 新的市场，新的情况，大家都在摸索中国下一步的情况会怎样？谁也不知道！第一节、风险的定义一、风险：一般是指某种事件发生的不确定性。

特定含义：是指某种损失发生的不确定性。

是难以预料的事故和灾难。

二、风险的构成要素风险因素、风险事故和损失 1．风险因素。

风险因素是指促使某一特定损失发生或增加其发生的可能性或扩大其损失程度的原因。

它是风险事故发生的潜在原因，是造成损失的内在或间接原因5 6• 地震：可否预测？天气预报的准确性？Introductory InsuranceRan ZhangIntroductory InsuranceRan Zhang1（1）实质风险因素。

实质风险因素是指有形的、并能直接影响事物物理功能的因素，即是指某一标的本身所具有的足以引起或增加损失机会和加重损失程度的客观原因和条件。

（2）道德风险因素。

道德风险因素是与人的品德修养有关的无形的因素，即是指由于个人不诚实、不正直或不轨企图，故意促使风险事故发生，以致引起社会财富损毁和人身伤亡的原因或条件。

公司金融课件Chap010

dollar return Percentage Return = beginning market value dividend + change in market value = beginning market value = dividend yield + capital gains yield
Chapter 10
Risk and Return Lessons from Market History
McGraw-Hill/Irwin
Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
10.1 10.2 10.3 10.4
10-16
Arithmetic average – return earned in an average period over multiple periods Geometric average – average compound return per period over multiple periods The geometric average will be less than the arithmetic average unless all the returns are equal
10-5
Suppose you bought 100 shares of Wal-Mart (WMT) one year ago today at $50. Over the last year, you received $100 in dividends ($1 per share × 100 shares). At the end of the year, the stock sells for $60. How did you do? Quite well. You invested $50 × 100 = $5,000. At the end of the year, you have stock worth $6,000 and cash dividends of $100. Your dollar gain was $1,100 = $100 + ($6,000 – $5,000). Your percentage return for the year is:

Introduction to Risk, Return, and the Historical R

^ 2
1 n
n s1
rsr_2
INVESTMENTS | BODIE, KANE, MARCUS
Geometric Variance and Standard Deviation Formulas
• When eliminating the bias, Variance and Standard Deviation become:
INVESTMENTS | BODIE, KANE, MARCUS
Skew and Kurtosis
rRi
r Ri 1 i
INVESTMENTS | BODIE, KANE, MARCUS
INVESTMENTS | BODIE, KANE, MARCUS
INVESTMENTS | BODIE, KANE, MARCUS
Equilibrium Nominal Rate of Interest
Bills and Inflation, 1926-2009
• Moderate inflation can offset most of the nominal gains on low-risk investments.
• A dollar invested in T-bills from1926–2009 grew to $20.52, but with a real value of only $1.69.
Rates of Return for Different Holding Periods
Байду номын сангаас
Zero Coupon Bond, Par = $100, T=maturity, P=price, rf(T)=total risk free return