投资学精要 博迪 第八版 chapter3
INVESTMENTS 投资学 (博迪BODIE, KANE, MARCUS)Chap023 Futures, Swaps, and Risk Management共40页文档
2% of $30 million = $600,000
Each S&P500 index contract will change $6,250 for a 2.5% change in the index. (The contract multiplier is $250).
INVESTMENTS | BODIE, KANE, M2A3R-C1U9S
Hedge Ratio Example
Change in the portfolio value H=
Profit on one futures contract
= $600,000 $6,250
= 96 contracts short
INVESTMENTS | BODIE, KANE, M2A3R-C2U0S
• Results: – Cheaper and more flexible – Synthetic position; instead of holding or shorting all of the actual stocks in the index, you are long or short the index futures
Hedge Ratio in contracts Each contract is for 62,500 pounds or $6,250 per a $.10 change
$200,000 / $6,250 = 32 contracts
INVESTMENTS | BODIE, KANE, MA2R3C-U9S
• Futures price too low - long the future and short sell the underlying stocks
第8版投资学精要课后答案中文
收益%=价格变动的%×总投资/投资者初始股权=价格变动的%×1 . 3 3 3 例如，当股票价格从 8 0 上涨至 8 8 时，价格变动百分率为 1 0%，而投资者收益百分率是 1 . 3 3 3 倍， 即 1 3 . 3 3%： 收益的%= 1 0%×20 000 美元/15 000 美元= 1 3 . 3 3% b. 250 股股票价值为 2 5 0P。股权为 2 5 0P-5 000。你会在 ( 2 5 0P-5 000)/250P=0.25 或当 P= 2 6 . 6 7 美元时 收到追加保证金的通知。 c. 但是现在你借入的是 10 000 美元而不是 5 000 美元。因此，股权仅为 2 5 0P-10 000 美元。 你 会在 ( 2 5 0P-10 000)/250P=0.25 或当 P= 5 3 . 3 3 美元时 收到追加保证金的通知。账户上股权越少，你就越容易接到追加保证金的通知。 d. 保证金贷款加上累计利息在一年后为 5 000 美元×1.08=5 400 美元。因此，你的账户的股权 为 2 5 0P-5 400 美元。初始股权为 15 000 美元。因此，你在一年后的收益率情况如下： [(250×8 8 美元-5 400 美元)-15 000 美元]/15 000 美元=0.106 7，或 1 0 . 6 7%。 (ii) [(250×80 美元-5 400 美元)-15 000 美元]/15 000 美元=-0.026 7，或-2.67%。 (iii) [(250×7 2 美元-5 400 美元)-15 000 美元]/15 000 美元=-0 . 1 6 0，或-1 6 . 0%。 I n t e l 股票价格变化和投资者收益百分率的关系由下式给定： 收益的%=价格变动的%×(总投资/投资者的初始股权)-8%×(借得的资金/投资者的初始股权) 例如，当股票价格从 8 0 上涨到 8 8 时，价格变动的百分比为 1 0%，而投资者收益百分率的变动 为 1 0%×(20 000/15 000)-8%×(5 000/15 000)=10.67% e. 250 股股票价值为 2 5 0P。股权为 2 5 0P-5 400。你将会在 ( 2 5 0P-5 400)/250P=0.25 或当 P= 2 8 . 8 0 美元时 收到追加保证金的通知。 下载 2. 假设投资者卖出 Intel 公司的 250 股股票，每股作价 80 美元，给经济人 15000 美元开立卖空 账户。 a. 如果投资者的保证金账户的资金无利息，一年后的 Intel 股价变为（i）88 美元（ii）80 美元 （iii）72 美元，投资者的回报率是多少？假设 Intel 不支付红利。 -13.3% ; 0; 13.3%
Essentials_Of_Investments_8th_Ed_Bodie_投资学精要(第八版)课
Chapter 04Mutual Funds and Other Investment CompaniesMutual funds offer many benefits Some of those benefits include the ability to invest with small amounts of money diversification professional management low transaction costs tax benefits and reduce administrative functionsClose-end funds trade on the open market and are thus subject to market pricing Open-end funds are sold by the mutual fund and must reflect the NAV of the investmentsAnnual fees charged by a mutual fund to pay for marketing and distribution costsA unit investment trust is an unmanaged mutual fund Its portfolio is fixed and does not change due to asset trades as does a close-end fund Exchange-traded funds can be traded during the day just as the stocks they represent They are most tax effective in that they do not have as many distributions They also have much lower transaction costs They alsodo not require load charges management fees and minimum investment amounts Hedge funds have much less regulation since they are part of private partnerships and free from mist SEC regulation They permit investors to take on many risks unavailable to mutual funds Hedge funds however may require higher fees and provide less transparency to investors This offerssignificant counter party risk and hedge fund investors need to be more careful about the firm the invest withAn open-end fund will have higher fees since they are actively marketing and managing their investor base The fund is always looking for new investors A unit investment trust need not spend too much time on such matters since investors find each otherAsset allocation funds may dramatically vary the proportions allocated to each market in accord with the portfolio managers forecast of the relative performance of each sector Hence these funds are engaged in market timing and are not designed to be low-risk investment vehiclesa A unit investment trusts offer low costs and stable portfolios Since they do not change their portfolio the investor knows exactly what they own They are better suited to sophisticated investorsb Open-end mutual funds offer higher levels of service to investors The investors do not have any administrative burdens and their money is actively managed This is better suited for less knowledgeable investorsc Individual securities offer the most sophisticated investors ultimate flexibility They are able to save money since they are only charged the expenses they incur All decisions are under the control of the investorOpen-end funds must honor redemptions and receive deposits from investors This flow of money necessitates retaining cash Close-end fundsno longer take and receive money from investors As such they are free to be fully invested at all timesThe offering price includes a 6 front-end load or sales commission meaning that every dollar paid results in only 094 going toward purchase of shares ThereforeOffering price 1138NAV offering price 1 – load 1230 95 1169HWValue of stocks sold and replaced 15000000Turnover rate 0357 357NAV 3940Premium or discount –0086 -86The fund sells at an 86 discount from NAVRate of return 00880 880HWAssume a hypothetical investment of 100Loaded upa Year 1 100 x 106-0175 10425b Year 3 100 x 106-0175 3 11630c Year 10 100 x 106-0175 10 15162Economy funda Year 1 100 x 98 x 106-0025 10364b Year 3 100 x 98 x 106-0025 3 11590c Year 10 100 x 98 x 106-0025 10 17141NAVa 450000000 – 10000000 44000000 10 per shareb 440000000 – 10000000 43000000 10 per shareEmpirical research indicates that past performance of mutual funds is not highly predictive of future performance especially for better-performing funds While there may be some tendency for the fund to be an above ave。
博迪投资学Chap003章节
3 - 30
Table 3.4 I l l u s t r a t i o n of Buying Stock on Margin
• Spread: cost of trading with dealer – Bid: price dealer w i l l buy from you – Ask: price dealer w i l l s e l l t o you – Spread: ask - bid
• Combination: on some t ra d e s both are paid
futures
3 - 26
Stock Margin Trading
• Margin i s currently 50%; you can borrow up to 50% of the stock value – Set by the Fed
• Maintenance margin: minimum amount equity i n trading can be before additional funds must be put into the account
How Firms Issue Securities
• Primary – New issue – Key f a c t o r : i s s u e r receives the proceeds from the s a le
• Secondary – Existing owner s e l l s t o another party – Issuing firm doesn’t receive proceeds and i s not d irectly involved
Essentials Of Investments 8th Ed Bodie 投资学精要(第八版)课后习题答案Chap007
CHAPTER 07CAPITAL ASSET PRICING AND ARBITRAGE PRICINGTHEORY1. The required rate of return on a stock is related to the required rate of return on thestock market via beta. Assuming the beta of Google remains constant, the increase in the risk of the market will increase the required rate of return on the market, and thus increase the required rate of return on Google.2. An example of this scenario would be an investment in the SMB and HML. As of yet,there are no vehicles (index funds or ETFs) to directly invest in SMB and HML. While they may prove superior to the single index model, they are not yet practical, even for professional investors.3. The APT may exist without the CAPM, but not the other way. Thus, statement a ispossible, but not b. The reason being, that the APT accepts the principle of risk and return, which is central to CAPM, without making any assumptions regardingindividual investors and their portfolios. These assumptions are necessary to CAPM.4. E(r P ) = r f + β[E(r M ) – r f ]20% = 5% + β(15% – 5%) ⇒ β = 15/10 = 1.55. If the beta of the security doubles, then so will its risk premium. The current riskpremium for the stock is: (13% - 7%) = 6%, so the new risk premium would be 12%, and the new discount rate for the security would be: 12% + 7% = 19%If the stock pays a constant dividend in perpetuity, then we know from the original data that the dividend (D) must satisfy the equation for a perpetuity:Price = Dividend/Discount rate 40 = D/0.13 ⇒ D = 40 ⨯ 0.13 = $5.20 At the new discount rate of 19%, the stock would be worth: $5.20/0.19 = $27.37The increase in stock risk has lowered the value of the stock by 31.58%.6. The cash flows for the project comprise a 10-year annuity of $10 million per year plus anadditional payment in the tenth year of $10 million (so that the total payment in the tenth year is $20 million). The appropriate discount rate for the project is:r f + β[E(r M ) – r f ] = 9% + 1.7(19% – 9%) = 26% Using this discount rate:NPV = –20 + +∑=101t t26.1101026.110= –20 + [10 ⨯ Annuity factor (26%, 10 years)] + [10 ⨯ PV factor (26%, 10 years)] = 15.64The internal rate of return on the project is 49.55%. The highest value that beta can take before the hurdle rate exceeds the IRR is determined by:49.55% = 9% + β(19% – 9%) ⇒ β = 40.55/10 = 4.055 7. a. False. β = 0 implies E(r) = r f , not zero.b. False. Investors require a risk premium for bearing systematic (i.e., market orundiversifiable) risk.c. False. You should invest 0.75 of your portfolio in the market portfolio, and theremainder in T-bills. Then: βP = (0.75 ⨯ 1) + (0.25 ⨯ 0) = 0.758.a. The beta is the sensitivity of the stock's return to the market return. Call theaggressive stock A and the defensive stock D . Then beta is the change in the stock return per unit change in the market return. We compute each stock's beta by calculating the difference in its return across the two scenarios divided by the difference in market return.00.2205322A =--=β70.0205145.3D =--=βb. With the two scenarios equal likely, the expected rate of return is an average ofthe two possible outcomes: E(r A ) = 0.5 ⨯ (2% + 32%) = 17%E(r B ) = 0.5 ⨯ (3.5% + 14%) = 8.75%c. The SML is determined by the following: T-bill rate = 8% with a beta equal tozero, beta for the market is 1.0, and the expected rate of return for the market is:0.5 ⨯ (20% + 5%) = 12.5%See the following graph.812.5%S M LThe equation for the security market line is: E(r) = 8% + β(12.5% – 8%) d. The aggressive stock has a fair expected rate of return of:E(r A ) = 8% + 2.0(12.5% – 8%) = 17%The security analyst’s estimate of the expected rate of return is also 17%.Thus the alpha for the aggressive stock is zero. Similarly, the required return for the defensive stock is:E(r D ) = 8% + 0.7(12.5% – 8%) = 11.15%The security analyst’s estimate of the expected return for D is only 8.75%, and hence:αD = actual expected return – required return predicted by CAPM= 8.75% – 11.15% = –2.4%The points for each stock are plotted on the graph above.e. The hurdle rate is determined by the project beta (i.e., 0.7), not by the firm’sbeta. The correct discount rate is therefore 11.15%, the fair rate of return on stock D.9. Not possible. Portfolio A has a higher beta than Portfolio B, but the expected returnfor Portfolio A is lower.10. Possible. If the CAPM is valid, the expected rate of return compensates only forsystematic (market) risk as measured by beta, rather than the standard deviation, which includes nonsystematic risk. Thus, Portfolio A's lower expected rate of return can be paired with a higher standard deviation, as long as Portfolio A's beta is lower than that of Portfolio B.11. Not possible. The reward-to-variability ratio for Portfolio A is better than that of themarket, which is not possible according to the CAPM, since the CAPM predicts that the market portfolio is the most efficient portfolio. Using the numbers supplied:S A =5.0121016=- S M =33.0241018=-These figures imply that Portfolio A provides a better risk-reward tradeoff than the market portfolio.12. Not possible. Portfolio A clearly dominates the market portfolio. It has a lowerstandard deviation with a higher expected return.13. Not possible. Given these data, the SML is: E(r) = 10% + β(18% – 10%)A portfolio with beta of 1.5 should have an expected return of: E(r) = 10% + 1.5 ⨯ (18% – 10%) = 22%The expected return for Portfolio A is 16% so that Portfolio A plots below the SML (i.e., has an alpha of –6%), and hence is an overpriced portfolio. This is inconsistent with the CAPM.14. Not possible. The SML is the same as in Problem 12. Here, the required expectedreturn for Portfolio A is: 10% + (0.9 ⨯ 8%) = 17.2%This is still higher than 16%. Portfolio A is overpriced, with alpha equal to: –1.2%15. Possible. Portfolio A's ratio of risk premium to standard deviation is less attractivethan the market's. This situation is consistent with the CAPM. The market portfolio should provide the highest reward-to-variability ratio.16.a.b.As a first pass we note that large standard deviation of the beta estimates. None of the subperiod estimates deviate from the overall period estimate by more than two standard deviations. That is, the t-statistic of the deviation from the overall period is not significant for any of the subperiod beta estimates. Looking beyond the aforementioned observation, the differences can be attributed to different alpha values during the subperiods. The case of Toyota is most revealing: The alpha estimate for the first two years is positive and for the last two years negative (both large). Following a good performance in the "normal" years prior to the crisis, Toyota surprised investors with a negative performance, beyond what could be expected from the index. This suggests that a beta of around 0.5 is more reliable. The shift of the intercepts from positive to negative when the index moved to largely negative returns, explains why the line is steeper when estimated for the overall period. Draw a line in the positive quadrant for the index with a slope of 0.5 and positive intercept. Then draw a line with similar slope in the negative quadrant of the index with a negative intercept. You can see that a line that reconciles the observations for both quadrants will be steeper. The same logic explains part of the behavior of subperiod betas for Ford and GM.17. Since the stock's beta is equal to 1.0, its expected rate of return should be equal to thatof the market, that is, 18%. E(r) =01P P P D -+0.18 =100100P 91-+⇒ P 1 = $10918. If beta is zero, the cash flow should be discounted at the risk-free rate, 8%:PV = $1,000/0.08 = $12,500If, however, beta is actually equal to 1, the investment should yield 18%, and the price paid for the firm should be:PV = $1,000/0.18 = $5,555.56The difference ($6944.44) is the amount you will overpay if you erroneously assume that beta is zero rather than 1.ing the SML: 6% = 8% + β(18% – 8%) ⇒β = –2/10 = –0.220.r1 = 19%; r2 = 16%; β1 = 1.5; β2 = 1.0a.In order to determine which investor was a better selector of individual stockswe look at the abnormal return, which is the ex-post alpha; that is, the abnormalreturn is the difference between the actual return and that predicted by the SML.Without information about the parameters of this equation (i.e., the risk-free rateand the market rate of return) we cannot determine which investment adviser isthe better selector of individual stocks.b.If r f = 6% and r M = 14%, then (using alpha for the abnormal return):α1 = 19% – [6% + 1.5(14% – 6%)] = 19% – 18% = 1%α2 = 16% – [6% + 1.0(14% – 6%)] = 16% – 14% = 2%Here, the second investment adviser has the larger abnormal return and thusappears to be the better selector of individual stocks. By making betterpredictions, the second adviser appears to have tilted his portfolio toward under-priced stocks.c.If r f = 3% and r M = 15%, then:α1 =19% – [3% + 1.5(15% – 3%)] = 19% – 21% = –2%α2 = 16% – [3%+ 1.0(15% – 3%)] = 16% – 15% = 1%Here, not only does the second investment adviser appear to be a better stockselector, but the first adviser's selections appear valueless (or worse).21.a.Since the market portfolio, by definition, has a beta of 1.0, its expected rate ofreturn is 12%.b.β = 0 means the stock has no systematic risk. Hence, the portfolio's expectedrate of return is the risk-free rate, 4%.ing the SML, the fair rate of return for a stock with β= –0.5 is:E(r) = 4% + (–0.5)(12% – 4%) = 0.0%The expected rate of return, using the expected price and dividend for next year: E(r) = ($44/$40) – 1 = 0.10 = 10%Because the expected return exceeds the fair return, the stock must be under-priced.22.The data can be summarized as follows:ing the SML, the expected rate of return for any portfolio P is:E(r P) = r f + β[E(r M) – r f ]Substituting for portfolios A and B:E(r A) = 6% + 0.8 ⨯ (12% – 6%) = 10.8%E(r B) = 6% + 1.5 ⨯ (12% – 6%) = 15.0%Hence, Portfolio A is desirable and Portfolio B is not.b.The slope of the CAL supported by a portfolio P is given by:S =P fP σr)E(r-Computing this slope for each of the three alternative portfolios, we have:S (S&P 500) = 6/20S (A) = 5/10S (B) = 8/31Hence, portfolio A would be a good substitute for the S&P 500.23.Since the beta for Portfolio F is zero, the expected return for Portfolio F equals therisk-free rate.For Portfolio A, the ratio of risk premium to beta is: (10% - 4%)/1 = 6%The ratio for Portfolio E is higher: (9% - 4%)/(2/3) = 7.5%This implies that an arbitrage opportunity exists. For instance, you can create aPortfolio G with beta equal to 1.0 (the same as the beta for Portfolio A) by taking a long position in Portfolio E and a short position in Portfolio F (that is, borrowing at the risk-free rate and investing the proceeds in Portfolio E). For the beta of G to equal 1.0, theproportion (w) of funds invested in E must be: 3/2 = 1.5The expected return of G is then:E(r G) = [(-0.50) ⨯ 4%] + (1.5 ⨯ 9%) = 11.5%βG = 1.5 ⨯ (2/3) = 1.0Comparing Portfolio G to Portfolio A, G has the same beta and a higher expected return.Now, consider Portfolio H, which is a short position in Portfolio A with the proceedsinvested in Portfolio G:βH = 1βG + (-1)βA = (1 ⨯ 1) + [(-1) ⨯ 1] = 0E(r H) = (1 ⨯ r G) + [(-1) ⨯ r A] = (1 ⨯ 11.5%) + [(- 1) ⨯ 10%] = 1.5%The result is a zero investment portfolio (all proceeds from the short sale of Portfolio Aare invested in Portfolio G) with zero risk (because β = 0 and the portfolios are welldiversified), and a positive return of 1.5%. Portfolio H is an arbitrage portfolio.24.Substituting the portfolio returns and betas in the expected return-beta relationship, weobtain two equations in the unknowns, the risk-free rate (r f ) and the factor return (F):14.0% = r f + 1 ⨯ (F – r f )14.8% = r f + 1.1 ⨯ (F – r f )From the first equation we find that F = 14%. Substituting this value for F into the second equation, we get:14.8% = r f + 1.1 ⨯ (14% – r f ) ⇒ r f = 6%25.a.Shorting equal amounts of the 10 negative-alpha stocks and investing the proceedsequally in the 10 positive-alpha stocks eliminates the market exposure and creates azero-investment portfolio. Using equation 7.5, and denoting the market factor as R M,the expected dollar return is [noting that the expectation of residual risk (e) inequation 7.8 is zero]:$1,000,000 ⨯ [0.03 + (1.0 ⨯ R M)] – $1,000,000 ⨯ [(–0.03) + (1.0 ⨯ R M)]= $1,000,000 ⨯ 0.06 = $60,000The sensitivity of the payoff of this portfolio to the market factor is zero because theexposures of the positive alpha and negative alpha stocks cancel out. (Notice thatthe terms involving R M sum to zero.) Thus, the systematic component of total riskalso is zero. The variance of the analyst's profit is not zero, however, since thisportfolio is not well diversified.For n = 20 stocks (i.e., long 10 stocks and short 10 stocks) the investor will have a$100,000 position (either long or short) in each stock. Net market exposure is zero,but firm-specific risk has not been fully diversified. The variance of dollar returnsfrom the positions in the 20 firms is:20 ⨯ [(100,000 ⨯ 0.30)2] = 18,000,000,000The standard deviation of dollar returns is $134,164.b.If n = 50 stocks (i.e., 25 long and 25 short), $40,000 is placed in each position,and the variance of dollar returns is:50 ⨯ [(40,000 ⨯ 0.30)2] = 7,200,000,000The standard deviation of dollar returns is $84,853.Similarly, if n = 100 stocks (i.e., 50 long and 50 short), $20,000 is placed ineach position, and the variance of dollar returns is:100 ⨯ [(20,000 ⨯ 0.30)2] = 3,600,000,000The standard deviation of dollar returns is $60,000.Notice that when the number of stocks increases by a factor of 5 (from 20 to 100),standard deviation falls by a factor of 5= 2.236, from $134,164 to $60,000. 26.Any pattern of returns can be "explained" if we are free to choose an indefinitely largenumber of explanatory factors. If a theory of asset pricing is to have value, it mustexplain returns using a reasonably limited number of explanatory variables (i.e.,systematic factors).27.The APT factors must correlate with major sources of uncertainty, i.e., sources ofuncertainty that are of concern to many investors. Researchers should investigatefactors that correlate with uncertainty in consumption and investment opportunities.GDP, the inflation rate and interest rates are among the factors that can be expected to determine risk premiums. In particular, industrial production (IP) is a good indicator of changes in the business cycle. Thus, IP is a candidate for a factor that is highlycorrelated with uncertainties related to investment and consumption opportunities in the economy.28.The revised estimate of the expected rate of return of the stock would be the oldestimate plus the sum of the unexpected changes in the factors times the sensitivitycoefficients, as follows:Revised estimate = 14% + [(1 ⨯ 1) + (0.4 ⨯ 1)] = 15.4%29.Equation 7.11 applies here:E(r P) = r f + βP1[E(r1) - r f] + βP2[E(r2) – r f]We need to find the risk premium for these two factors:γ1 = [E(r1) - r f] andγ2 = [E(r2) - r f]To find these values, we solve the following two equations with two unknowns: 40% = 7% + 1.8γ1 + 2.1γ210% = 7% + 2.0γ1 + (-0.5)γ2The solutions are: γ1 = 4.47% and γ2 = 11.86%Thus, the expected return-beta relationship is:E(r P) = 7% + 4.47βP1 + 11.86βP230.The first two factors (the return on a broad-based index and the level of interest rates)are most promising with respect to the likely impa ct on Jennifer’s firm’s cost of capital.These are both macro factors (as opposed to firm-specific factors) that can not bediversified away; consequently, we would expect that there is a risk premiumassociated with these factors. On the other hand, the risk of changes in the price ofhogs, while important to some firms and industries, is likely to be diversifiable, andtherefore is not a promising factor in terms of its impact on the firm’s cost of capital.31.Since the risk free rate is not given, we assume a risk free rate of 0%. The APT required(i.e., equilibrium) rate of return on the stock based on Rf and the factor betas is:Required E(r) = 0 + (1 x 6) + (0.5 x 2) + (0.75 x 4) = 10%According to the equation for the return on the stock, the actually expected return onthe stock is 6 % (because the expected surprises on all factors are zero by definition).Because the actually expected return based on risk is less than the equilibrium return,we conclude that the stock is overpriced.CFA 1a, c and dCFA 2a.E(r X) = 5% + 0.8(14% – 5%) = 12.2%αX = 14% – 12.2% = 1.8%E(r Y) = 5% + 1.5(14% – 5%) = 18.5%αY = 17% – 18.5% = –1.5%b.(i)For an investor who wants to add this stock to a well-diversified equityportfolio, Kay should recommend Stock X because of its positivealpha, while Stock Y has a negative alpha. In graphical terms, StockX’s expected return/risk profile plots above the SML, while Stock Y’sprofile plots below the SML. Also, depending on the individual riskpreferences of Kay’s clients, Stock X’s lower beta may have abeneficial impact on overall portfolio risk.(ii)For an investor who wants to hold this stock as a single-stock portfolio,Kay should recommend Stock Y, because it has higher forecastedreturn and lower standard deviation than S tock X. Stock Y’s Sharperatio is:(0.17 – 0.05)/0.25 = 0.48Stock X’s Sharpe ratio is only:(0.14 – 0.05)/0.36 = 0.25The market index has an even more attractive Sharpe ratio:(0.14 – 0.05)/0.15 = 0.60However, given the choice between Stock X and Y, Y is superior.When a stock is held in isolation, standard deviation is the relevantrisk measure. For assets held in isolation, beta as a measure of risk isirrelevant. Although holding a single asset in isolation is not typicallya recommended investment strategy, some investors may hold what isessentially a single-asset portfolio (e.g., the stock of their employercompany). For such investors, the relevance of standard deviationversus beta is an important issue.CFA 3a.McKay should borrow funds and i nvest those funds proportionally in Murray’sexisting portfolio (i.e., buy more risky assets on margin). In addition toincreased expected return, the alternative portfolio on the capital market line(CML) will also have increased variability (risk), which is caused by the higherproportion of risky assets in the total portfolio.b.McKay should substitute low beta stocks for high beta stocks in order to reducethe overall beta of York’s portfolio. By reducing the overall portfolio beta,McKay will reduce the systematic risk of the portfolio and therefore theportfolio’s volatility relative to the market. The security market line (SML)suggests such action (moving down the SML), even though reducing beta mayresult in a slight loss of portfolio efficiency unless full diversification ismaintained. York’s primary objective, however, is not to maintain efficiencybut to reduce risk exposure; reducing portfolio beta meets that objective.Because York does not permit borrowing or lending, McKay cannot reduce riskby selling equities and using the proceeds to buy risk free assets (i.e., by lendingpart of the portfolio).CFA 4c.“Both the CAPM and APT require a mean-variance efficient market portfolio.”This statement is incorrect. The CAPM requires the mean-variance efficientportfolio, but APT does not.d.“The CAPM assumes that one specific factor explains security returns but APTdoes not.” This statement is c orrect.CFA 5aCFA 6dCFA 7d You need to know the risk-free rate.CFA 8d You need to know the risk-free rate.CFA 9Under the CAPM, the only risk that investors are compensated for bearing is the riskthat cannot be diversified away (i.e., systematic risk). Because systematic risk(measured by beta) is equal to 1.0 for each of the two portfolios, an investor wouldexpect the same rate of return from each portfolio. Moreover, since both portfolios are well diversified, it does not matter whether the specific risk of the individual securities is high or low. The firm-specific risk has been diversified away from both portfolios. CFA 10b r f = 8% and E(r M) = 16%E(r X) = r f + βX[E(r M) – r f] = 8% + 1.0(16% - 8%) = 16%E(r Y) = r f + βY[E(r M) – r f] = 8% + 0.25(16% - 8%) = 10%Therefore, there is an arbitrage opportunity.CFA 11cCFA 12dCFA 13cInvestors will take on as large a position as possible only if the mis-pricingopportunity is an arbitrage. Otherwise, considerations of risk anddiversification will limit the position they attempt to take in the mis-pricedsecurity.CFA 14d。
投资学精要 博迪 第八版 课后答案 Chapter2
CHAPTER 02 ASSET CLASSES AND FINANCIAL INSTRUMENTS mon stock is an ownership share in a publicly held corporation. Commonshareholders have voting rights and may receive dividends. Preferred stockrepresents nonvoting shares in a corporation, usually paying a fixed stream ofdividends. While corporate bonds are long-term debt by corporations, typically paying semi-annual coupons and returning the face value of the bond at maturity.2.While the DJIA has 30 large corporations in the index, it does not represent theoverall market nearly as well as the 500 stocks contained in The Wilshire index.The DJIA is simply too small.3.They are short term, very safe, and highly liquid. Also, their unit value almostnever changes.4.Treasury bills, certificates of d eposit, commercial paper, bankers’ acceptances,Eurodollars, repos, reserves, federal funds and brokers’ calls.5.American Depository Receipts, or ADRs, are certificates traded in U.S. marketsthat represent ownership in shares of a foreign company. Investors may alsopurchase shares of foreign companies on foreign exchanges. Lastly, investors may use international mutual funds to own shares indirectly.6.Because they produce coupons that are tax free.7.The fed funds rate is simply the rate of interest on very short-term loans amongfinancial institutions. The London Interbank Offer Rate (LIBOR) is the rate at which large banks in London are willing to lend money among themselves.8.General obligation bonds are backed by the local governments, while revenuebonds have proceeds attached to specific projects. A revenue bond has lessguarantees, therefore, it is riskier and will have a higher yield.9.Corporations may exclude 70% of dividends received from domestic corporationsin the computation of their taxable income.10.Limited liability means that the most shareholders can lose in event of the failureof the corporation is their original investment.11.Money market securities are referred to as “cash equivalents” because of theirgreat liquidity. The prices of money market securities are very stable, and they can be converted to cash (i.e., sold) on very short notice and with very lowtransaction costs.12.Taxable equivalent yield = .0675 / (1-.35) = .103813.a.The taxable bond. With a zero tax bracket, the after-tax yield for thetaxable bond is the same as the before-tax yield (5%), which is greaterthan the yield on the municipal bond.b.The taxable bond. The after-tax yield for the taxable bond is:0.05 x (1 – 0.10) = 4.5%c.You are indifferent. The after-tax yield for the taxable bond is:0.05 x (1 – 0.20) = 4.0%The after-tax yield is the same as that of the municipal bond.d.The municipal bond offers the higher after-tax yield for investors in taxbrackets above 20%.14.The after-tax yield on the corporate bonds is: [0.09 x (1 – 0.30)] = 0.0630 =6.30%. Therefore, the municipals must offer at least 6.30% yields.15.The equivalent taxable yield (r) is: r = rm/(1 – t)a. 4.00%b. 4.44%c. 5.00%d. 5.71%16.a.You would have to pay the asked price of:107:27 = 107.8438% of par = $1,074.438b.The coupon rate is 4.875%, implying coupon payments of $48.75 annuallyor, more precisely, $24.375 semiannually.c.Current yield = Annual coupon income/price =4.875/107.8438= 0.0452 = 4.52%17.a.The closing price today is $74.92, which is $1.82 below yesterday’s price.Therefore, yesterday’s closing price was: $74.92 + $1.82 = $76.74b.You could buy: $5,000/$74.92 = 66.74 sharesc.Your annual dividend income would be 1.90 % of $5,000, or $95.d.Earnings per share can be derived from the price-earnings (PE) ratio.Price/Earnings = 13 and Price = $74.92 so that Earnings = $74.92/13 =$5.763118.a.At t = 0, the value of the index is: (90 + 50 + 100)/3 = 80At t = 1, the value of the index is: (95 + 45 + 110)/3 = 83.3333The rate of return is: (83.3333/80) – 1 = 4.167%b.In the absence of a split, stock C would sell for 110, and the value of theindex would be: (95 + 45 + 110)/3 = 83.3333After the split, stock C sells at 55. Therefore, we need to set the divisor (d)such that:83.3333 = (95 + 45 + 55)/d…..d = 2.340c.The rate of return is zero. The index remains unchanged, as it should,since the return on each stock separately equals zero.19.a.Total market value at t = 0 is: (9,000 + 10,000 + 20,000) = 39,000Total market value at t = 1 is: (9,500 + 9,000 + 22,000) = 40,500Rate of return = (40,500/39,000) – 1 = 3.85%b.The return on each stock is as follows:R a = (95/90) – 1 = 0.0556R b = (45/50) – 1 = –0.10R c = (110/100) – 1 = 0.10The equally-weighted average is: [0.0556 + (-0.10) + 0.10]/3 =0.0185 = 1.85%20.The fund would require constant readjustment since every change in the price of astock would bring the fund asset allocation out of balance.21.It would increase by 19 points. (60 – 3) / 3 = 1922.Price3.4% x (87/360) = 0.8217% or a $ price of $10,000 x (1-.008217) = $9,917.83Equivalent Yield10,000 / 9,9917.83 = 1.0083 x 365/87 = 4.23%23.a.The higher coupon bondb.The call with the lower exercise pricec.The put on the lower priced stock24.a.The December maturity futures price is $5.116 per bushel. If the contractcloses at $5.25 per bushel in December, your profit / loss on each contract(for delivery of 5,000 bushels of corn) will be: ($5.25 - $5.116) x 5000 =$ 670 gain.b.There are 5114,099 contracts outstanding, representing 570,495,000bushels of corn.25.a.Yes. As long as the stock price at expiration exceeds the exercise price, itmakes sense to exercise the call.Gross profit is: $111 - $ 105 = $6Net profit = $6 – $ 22.40 = $16.40 lossRate of return = -16.40 / 22.40 = - .7321 or 73.21% lossb.Yes, exercise.Gross profit is: $111 - $ 100 = $11Net profit = $11 – $ 22.40 = $11.40 lossRate of return = -11.40 / 22.40 = 0.5089 or 50.89 % lossc. A put with exercise price $105 would expire worthless for any stock priceequal to or greater than $105. An investor in such a put would have a rateof return over the holding period of –100%.26.a.Long callb.Long putc.Short putd.Short call27.There is always a chance that the option will expire in the money. Investors willpay something for this chance of a positive payoff.28.Value of callInitial Cost Profitat expirationa. 0 4 -4b. 0 4 -4c. 0 4 -4d. 5 4 1e. 10 4 6Value of putInitial Cost Profitat expirationa. 10 6 4b. 5 6 -1c. 0 6 -6d. 0 6 -6e. 0 6 -629.The spread will widen. Deterioration of the economy increases credit risk, that is,the likelihood of default. Investors will demand a greater premium on debtsecurities subject to default risk.30.Eleven stocks have a 52 week high at least 150% above the 52 week low.Individual stocks are much more volatile than a group of stocks.31.The total before-tax income is $4. After the 70% exclusion, taxable income is:0.30 x $4 = $1.20Therefore:Taxes = 0.30 x $1.20 = $0.36After-tax income = $4 – $0.36 = $3.64After-tax rate of return = $3.64 / $40 = 9.10%32.A put option conveys the right to sell the underlying asset at the exercise price. Ashort position in a futures contract carries an obligation to sell the underlyingasset at the futures price.33.A call option conveys the right to buy the underlying asset at the exercise price.A long position in a futures contract carries an obligation to buy the underlyingasset at the futures price.CFA 1Answer: c。
博迪和莫顿：《金融学》：chpt3
Objective
1
Copyright © Prentice Hall Inc. 2000. Author: Nick Bagley, bdellaSoft, Inc.
Contrast Economic and Accounting Models <=> Value of Accounting Information
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GPC Income Statement for Year Ending 2xx1
Sales revenues Cost of goods sold *Gross margin Gen sell, & admin exp *Operating income Interest expense *Taxable income Income tax *Net income Allocation to divs *Chg retained earn 200.0 (110.0) 90.0 (30.0) 60.0 (21.0) 39.0 (15.6) 23.4 (10.0) 13.4
– Unlike the balance sheet and income statement, cash flow statements are independent of accounting methods
• The IRS uses accounting income to compute tax, so accounting rules have a second order effect on cash flows through taxes
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The Cash-Flow Statement
博迪投资学 第八章
INVESTMENTS | BODIE, KANE, MARCUS
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Alpha and Security Analysis
3. Establish the expected return of each security absent any contribution from security analysis.
E ( RP ) P E ( RM ) P wi i E ( RM ) wi i
i 1 i 1 2 2 n 1 n 1 2 2 2 2 2 P P M (eP ) M wi i wi (ei ) i 1 i 1 E ( RP ) SP 1 2 1 2 n 1 n 1
4. Use security analysis to develop private forecasts of the expected returns for each security.
INVESTMENTS | BODIE, KANE, MARCUS
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Single-Index Model Input List
CHAPTER 8
Index Models
INVESTMENTS | BODIE, KANE, MARCUS
McGraw-Hill/Irwin Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
8-2
Advantages of the Single Index Model
INVESTMENTS | BODIE, KANE, MARCUS
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Essentials_Of_Investments_8th_Ed_Bodie_投资学精要(第八版)课后习题答案 Chapter 18
Байду номын сангаас
CHAPTER 18 PORTFOLIO PERFORMANCE EVALUATION
1. a. Possibly. Alpha alone does not determine which portfolio has a larger Sharpe ratio. Sharpe measure is the primary factor, since it tells us the real return per unit of risk. We only invest if the Sharpe measure is higher. The standard deviation of an investment and its correlation with the benchmark are also important. Thus positive alpha is not a sufficient condition for a managed portfolio to offer a higher Sharpe measure than the passive benchmark. b. Yes. It is possible for a positive alpha to exist, but the Sharpe measure decline. Thus, we would experience inferior performance. 2. Maybe. Provided the addition of funds creates an efficient frontier with the existing investments, and assuming the Sharpe measure increases, the answer is yes. Otherwise, no. 3. The M-squared is an equivalent representation of the Sharpe measure, with the added difference of providing a risk-adjusted measure of performance that can be easily interpreted as a differential return relative to a benchmark. Thus, it provides the same information as the Sharpe measure. But in a different format. 4. Definitely, the FF model. Research shows that passive investments (e.g., a market index portfolio) will appear to have a zero alpha when evaluated using the multi-index model but not using the single-index one. The nonzero alpha appears even in the absence of superior performance. Thus, the single-index alpha can be misleading. 5. a. Portfolio A Portfolio B Market index Risk-free asset E(r) 11% 14% 12% 6% 10% 31% 20% 0% 0.8 1.5 1.0 0.0
Bodie投资学第8版第1章投资概论
➢ 积极投资(active management) ➢ 消极投资(passive management)
2020/8/30 青岛大学经济学院
张宗强
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1.6 金融市场的主体(players)
（1）家庭部门（the household sector）：既 是金融市场资金的主要供给者，又是投资 者。
资金的时间价值
不确定性（Uncertainty）——风险性
如果证券没有风险是否意味着没有收益？
收益性：增加投资者的财富来满足未来的消费
2020/8/30 青岛大学经济学院
张宗强
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1.1 投资与投资学
1.1.2 投资学（Investments） 研究投资行为及均衡定价的科学。
投资学是金融学(finance)的两大核心课程之一。 概念辨析：金融学与finance
金融资产（Financial assets）：实物资产的要求 权（ Claims on real assets ），定义实物资产在 投资者之间的配置。
➢ 金融资产的价值与其物质形态没有任何关系：股票可 能并不比印制股票的纸张更值钱。
➢ 整个社会财富的总量与金融资产数量无关，金融资产 不是社会财富的代表。
2020/8/30 青岛大学经济学院
张宗强
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1.1 投资与投资学
关于股市： 一个人在书店，对店员说：我想买本书，里面没 有凶杀，却暗含杀机，没有爱情，却爱恨难舍， 没有侦探，却时时警惕。你能给我介绍一本么？ “只有这个”，店员说：
“中国股市行情”。
2020/8/30 青岛大学经济学院
张宗强
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1.1 投资与投资学
2020/8/30 青岛大学经济学院
Essentials_Of_Investments_8th_Ed_Bodie_投资学精要(第八版)课后习题答案 Chapter 18
The alphas for the two portfolios are: A = 11% – [6% + 0.8(12% – 6%)] = 0.2% B = 14% – [6% + 1.5(12% – 6%)] = –1.0% Ideally, you would want to take a long position in Portfolio A and a short position in Portfolio B.
11 6 0.5 10
14 6 0.26 31
Therefore, using the Sharpe criterion, Portfolio A is preferred. 6. We first distinguish between timing ability and selection ability. The intercept of the scatter diagram is a measure of stock selection ability. If the manager tends to have a positive excess return even when the market’s performance is merely “neutral” (i.e., the market has zero excess return) then we conclude that the manager has, on average, made good stock picks. In other words, stock selection must be the source of the positive excess returns. Timing ability is indicated by the curvature of the plotted line. Lines that become steeper as you move to the right of the graph show good timing ability. The steeper slope shows that the manager maintained higher portfolio sensitivity to market swings (i.e., a higher beta) in periods when the market performed well. This ability to choose more market-sensitive securities in anticipation of market upturns is the essence of good timing. In contrast, a declining slope as you move to the right indicates that the portfolio was more sensitive to the market when the market performed poorly, and less sensitive to the market when the market performed well. This indicates poor timing. We can therefore classify performance ability for the four managers as follows: A B C D 7. a. Actual: (0.70 2.0%) + (0.20 1.0%) + (0.10 0.5%) = 1.65% Bogey: (0.60 2.5%) + (0.30 1.2%) + (0.10 0.5%) = 1.91% Underperformance = 1.91% – 1.65% = 0.26% Selection Ability Bad Good Good Bad Timing Ability Good Good Bad Bad
Essentials Of Investments 8th Ed Bodie 投资学精要(第八版)课后习题答案chap04
CHAPTER 04 MUTUAL FUNDS AND OTHER INVESTMENT COMPANIES 1.Mutual funds offer many benefits. Some of those benefits include the ability to investwith small amounts of money, diversification, professional management, lowtransaction costs, tax benefits, and reduce administrative functions.2.Close-end funds trade on the open market and are thus subject to market pricing. Open-end funds, are sold by the mutual fund and must reflect the NAV of the investments.3.Annual fees charged by a mutual fund to pay for marketing and distribution costs.4. A unit investment trust is an unmanaged mutual fund. Its portfolio is fixed and does notchange due to asset trades, as does a close-end fund. .5.Exchange-traded funds can be traded during the day, just as the stocks they represent.They are most tax effective, in that they do not have as many distributions. They also have much lower transaction costs. They also do not require load charges, management fees, and minimum investment amounts.6.Hedge funds have much less regulation since they are part of private partnerships andfree from mist SEC regulation. They permit investors to take on many risks unavailable to mutual funds. Hedge funds, however, may require higher fees and provide lesstransparency to investors. This offers significant counter party risk and hedge fundinvestors need to be more careful about the firm the invest with.7.An open-end fund will have higher fees since they are actively marketing and managingtheir investor base. The fund is always looking for new investors. A unit investment trust need not spend too much time on such matters since investors find each other.8.Asset allocation funds may dramatically vary the proportions allocated to each marketin accord with the portfolio manager’s forecast of the r elative performance of eachsector. Hence, these funds are engaged in market timing and are not designed to be low-risk investment vehicles.9.a. A unit investment trusts offer low costs and stable portfolios. Since they do notchange their portfolio, the investor knows exactly what they own. They are better suited to sophisticated investors.b. Open-end mutual funds offer higher levels of service to investors. The investors donot have any administrative burdens and their money is actively managed. This is better suited for less knowledgeable investors.c. Individual securities offer the most sophisticated investors ultimate flexibility. Theyare able to save money since they are only charged the expenses they incur. Alldecisions are under the control of the investor.10. Open-end funds must honor redemptions and receive deposits from investors. This flowof money necessitates retaining cash. Close-end funds no longer take and receivemoney from investors. As such, they are free to be fully invested at all times.11. The offering price includes a 6% front-end load, or sales commission, meaning thatevery dollar paid results in only $0.94 going toward purchase of shares. Therefore: Offering price =06.0170.10$load 1NAV -=-= = $11.3812. NAV = offering price ⨯ (1 – load) = $12.30 ⨯ 0.95 = $11.6913. HW14. Value of stocks sold and replaced = $15,000,000Turnover rate = 000,000,42$000,000,15$= 0.357 = 35.7%15.a. NAV =million5million 3$million 200$-= $39.40b. Premium (or discount) = NAV NAV ice Pr - = 40.39$40.39$36$-= –0.086 = -8.6% The fund sells at an 8.6% discount from NAV16. Rate of return = NAV year of Start ons Distributi )NAV (+∆ = 50.12$50.1$40.0$+-= 0.0880 = 8.80%17.HW18.Assume a hypothetical investment of $100.Loaded upa. Year 1 = 100 x (1+.06-.0175) = 104.25b. Year 3 = 100 x (1+.06-.0175)^3 = 116.30c. Year 10 = 100 x (1+.06-.0175)^10 = 151.62Economy funda. Year 1 = 100 x .98 x (1+.06-.0025) = 103.64b. Year 3 = 100 x .98 x (1+.06-.0025) ^ 3 = 115.90c. Year 10 = 100 x .98 x (1+.06-.0025) ^ 10 = 171.4119.NAVa. (450,000,000 – 10,000,000) / 44,000,000 = $10 per shareb. (440,000,000 – 10,000,000) / 43,000,000 = $10 per share20.a.Empirical research indicates that past performance of mutual funds is not highlypredictive of future performance, especially for better-performing funds. Whilethere may be some tendency for the fund to be an above average performer nextyear, it is unlikely to once again be a top 10% performer.b.On the other hand, the evidence is more suggestive of a tendency for poorperformance to persist. This tendency is probably related to fund costs andturnover rates. Thus if the fund is among the poorest performers, investorswould be concerned that the poor performance will persist.21. Start of year NAV = $20Dividends per share = $0.20End of year NAV is based on the 8% price gain, less the 1% 12b-1 fee:End of year NAV = $20 ⨯ 1.08 ⨯ (1 – 0.01) = $21.384 Rate of return =20$20.0$20$384.21$+-= 0.0792 = 7.92%22. The excess of purchases over sales must be due to new inflows into the fund. Therefore,$400 million of stock previously held by the fund was replaced by new holdings. So turnover is: $400/$2,200 = 0.182 = 18.2%23. Fees paid to investment managers were: 0.007 ⨯ $2.2 billion = $15.4 millionSince the total expense ratio was 1.1% and the management fee was 0.7%, we conclude that 0.4% must be for other expenses. Therefore, other administrative expenses were: 0.004 ⨯ $2.2 billion = $8.8 million24. As an initial approximation, your return equals the return on the shares minus the totalof the expense ratio and purchase costs: 12% - 1.2% - 4% = 6.8%But the precise return is less than this because the 4% load is paid up front, not at the end of the year.To purchase the shares, you would have had to invest: $20,000/(1 - 0.04) = $20,833The shares increase in value from $20,000 to: $20,000 ⨯ (1.12 - 0.012) = $22,160 The rate of return is: ($22,160 - $20,833)/$20,833 = 6.37%25. Suppose you have $1000 to invest. The initial investment in Class A shares is $940 netof the front-end load. After 4 years, your portfolio will be worth:$940 ⨯ (1.10)4 = $1,376.25Class B shares allow you to invest the full $1,000, but your investmentperformance net of 12b-1 fees will be only 9.5%, and you will pay a 1% back-endload fee if you sell after 4 years. Your portfolio value after 4 years will be:$1,000 ⨯ (1.095)4 = $1,437.66After paying the back-end load fee, your portfolio value will be:$1,437.66 ⨯ 0.99 = $1,423.28Class B shares are the better choice if your horizon is 4 years. With a 15-year horizon, the Class A shares will be worth:$940 ⨯ (1.10)15 = $3,926.61For the Class B shares, there is no back-end load in this case since the horizon is greater than 5 years. Therefore, the value of the Class B shares will be:$1,000 ⨯ (1.095)15 = $3,901.32At this longer horizon, Class B shares are no longer the better choice. The effect of Class B's 0.5% 12b-1 fees cumulates over time and finally overwhelms the 6% load charged to Class A investors.26. For the bond fund, the fraction of portfolio income given up to fees is:%0.4%6.0= 0.150 = 15.0%For the equity fund, the fraction of investment earnings given up to fees is:%0.12%6.0= 0.050 = 5.0%Fees are a much higher fraction of expected earnings for the bond fund, and therefore may be a more important factor in selecting the bond fund. This may help to explain why unmanaged unit investment trusts are concentrated inthe fixed income market. The advantages of unit investment trusts are low turnover and low trading costs and management fees. This is a more important concern to bond-market investors.27.a. After two years, each dollar invested in a fund with a 4% load and a portfolioreturn equal to r will grow to:$0.96 ⨯ (1 + r – 0.005)2Each dollar invested in the bank CD will grow to:$1 ⨯ (1.06)2If the mutual fund is to be the better investment, then the portfolio return, r,must satisfy:0.96 ⨯ (1 + r – 0.005)2 > (1.06)20.96 ⨯ (1 + r – 0.005)2 > 1.1236(1 + r – 0.005)2 > 1.1704 1 + r – 0.005 > 1.08191 + r > 1.0869Therefore, r > 0.0869 = 8.69%b.If you invest for six years, then the portfolio return must satisfy:0.96 ⨯ (1 + r – 0.005)6 > (1.06)6 = 1.4185(1 + r – 0.005)6 > 1.47761 + r – 0.005 > 1.06721 + r > 1.0722r > 7.22%The cutoff rate of return is lower for the six year investment because the "fixedcost" (i.e., the one-time front-end load) is spread out over a greater number ofyears.c.With a 12b-1 fee instead of a front-end load, the portfolio must earn a rate ofreturn (r) that satisfies:1 + r – 0.005 – 0.0075 > 1.06In this case, r must exceed 7.25% regardless of the investment horizon.28.The turnover rate is 50%. This means that, on average, 50% of the portfolio is sold andreplaced with other securities each year. Trading costs on the sell orders are 0.4%; and the buy orders to replace those securities entail another 0.4% in trading costs. Total trading costs will reduce portfolio returns by: 2 ⨯ 0.4% ⨯ 0.50 = 0.4%29.Suppose that finishing in the top half of all portfolio managers is purely luck, and thatthe probability of doing so in any year is exactly ½. Then the probability that anyparticular manager would finish in the top half of the sample five years in a row is (½)5 = 1/32. We would then expect to find that [350 ⨯ (1/32)] = 11 managers finish in the top half for each of the five consecutive years. This is precisely what we found. Thus, we should not conclude that the consistent performance after five years is proof of skill.We would expect to find eleven managers exhibiting precisely this level of"consistency" even if performance is due solely to luck.。
Investments 8ed Bodie 投资学 第八版 博迪 习题答案
Investments 8ed Bodie 投资学第八版博迪习题答案CHAPTER 1 THE INVESTMENT ENVIRONMENTPROBLEM SETS1 Ultimately it is true that real assets determine the material well being of an economy Nevertheless individuals can benefit when financial engineering creates new products that allow them to manage their portfolios of financial assets more efficiently Because bundling and unbundling creates financial products with new properties and sensitivities to various sources of risk it allows investors to hedge particular sources of risk more efficientlySecuritization requires access to a large number of potential investors To attract these investors the capital market needsa safe system of business laws and low probability of confiscatory taxationregulationa well-developed investment banking industrya well-developed system of brokerage and financialtransactions andwell-developed media particularly financial reportingThese characteristics are found in indeed make for a well-developed financial market3 Securitization leads to disintermediation that is securitization provides a means for market participants to bypass intermediaries For example mortgage-backed securities channel funds to the housing market without requiring that banks or thrift institutions make loans from their own portfolios As securitization progresses financial intermediaries must increase other activities such as providing short-term liquidity to consumers and small business and financial services4 Financial assets make it easy for large firms to raise the capital needed to finance their investments in real assets If General Motors for example could not issue stocks or bonds to the general public it would have a far more difficult time raising capital Contraction of the supply of financial assets would make financing more difficult thereby increasing the cost of capital A higher cost of capital results in less investment and lower real growth5 Even if the firm does not need to issue stock in any particular year the stock market is still important to the financial manager The stock price provides important information about how the market values the firms investment projects For example if the stock price rises considerably managers might conclude that the market believes the firms future prospects are bright This might be a useful signal to the firm to proceed with an investment such as an expansion of the firms businessIn addition the fact that shares can be traded in the secondary market makes the shares more attractive to investors since investors know that when they wish to they will be able to sell their shares This in turn makes investors more willing to buy shares in a primary offering and thus improves the terms on which firms can raise money in the equity market6 a Cash is a financial asset because it is the liability of the federal governmentb No The cash does not directly add to the productive capacity of the economyc Yesd Society as a whole is worse off since taxpayers as a group will make up for the liability7 a The bank loan is a financial liability for Lanni Lannis IOU is the banks financial asset The cash Lanni receives is a financial asset The new financial asset created is Lannis promissory note that is Lannis IOU to the bankb Lanni transfers financial assets cash to the software developers In return Lanni gets a real asset the completed software No financial assets are created or destroyed cash is simply transferred from one party to anotherc Lanni gives the real asset the software to Microsoft in exchange for a financial asset 1500 shares of Microsoft stock If Microsoft issues new shares in order to pay Lanni then this would represent the creation of new financial assetsd Lanni exchanges one financial asset 1500 shares of stock for another 120000 Lanni gives a financial asset 50000 cash to the bank and gets back another financial asset its IOU The loan is "destroyed" in the transaction since itis retired when paid off and no longer exists8 aAssets LiabilitiesShareholders equity Cash 70000 Bank loan50000 Computers 30000 Shareholders equity 50000 Total 100000 Total 100000 Ratio of real assets to total assets 30000100000 030bAssets LiabilitiesShareholders equity Software product 70000Bank loan 50000 Computers 30000Shareholders equity 50000 Total 100000Total 100000 Valued at costRatio of real assets to total assets 100000100000 10 cAssets LiabilitiesShareholders equity Microsoft shares 120000Bank loan 50000 Computers 30000Shareholders equity 100000 Total 150000Total 150000 Ratio of real assets to total assets 30000150000 020Conclusion when the firm starts up and raises working capital it is characterized by a low ratio of real assets tototal assets When it is in full production it has a high ratio of real assets to total assets When the project "shuts down" and the firm sells it off for cash financial assets once again replace real assets9 For commercial banks the ratio is 1075104109 0010For non-financial firms the ratio is 1329525164 0528 The difference should be expected primarily because the bulk of the business of financial institutions is to make loans which are financial assets for financial institutions10 a Primary-market transactionb Derivative assetsc Investors who wish to hold gold without the complication and cost of physical storage11 a A fixed salary means that compensation is at least in the short run independent of the firms success This salary structure does not tie the managers immediate compensation to the success of the firm However the manager might view this as the safest compensation structure and therefore value it more highlyb A salary that is paid in the form of stock in the firm means that the manager earns the most when the shareholders wealth is imized This structure is therefore most likely to align the interests of managers and shareholders If stock compensation is overdone however the manager might view it as overly risky since the managers career is already linked to the firm and this undiversified exposure would be exacerbated with a large stock position in the firmc Call options on shares of the firm create great incentives for managers to contribute to the firms success In some cases however stock options can lead to other agency problems For example a manager with numerous call options might be tempted to take on a very risky investment project reasoning that if the project succeeds the payoff will be huge while if it fails the losses are limited to the lost value of the options Shareholders in contrast bear the losses as wellas the gains on the project and might be less willing to assume that risk12 Even if an individual shareholder could monitor and improve managers performance and thereby increase the value of the firm the payoff would be small since the ownership share in a large corporation would be very small For example if you own 10000 of GM stock and can increase the value of the firm by 5 a very ambitious goal you benefit by only 005 10000 500 In contrast a bank that has a multimillion-dollar loan outstanding to the firm has a big stake in making sure that the firm can repay the loan It is clearly worthwhile for the bank to spend considerable resources to monitor the firm13 Mutual funds accept funds from small investors and invest on behalf of these investors in the national and international securities marketsPension funds accept funds and then invest on behalf of current and future retirees thereby channeling funds from one sector of the economy to anotherVenture capital firms pool the funds of private investors and invest in start-up firmsBanks accept deposits from customers and loan those funds to businesses or use the funds to buy securities of largecorporations14 Treasury bills serve a purpose for investors who prefer a low-risk investment The lower average rate of return compared to stocks is the price investors pay for predictability of investment performance and portfolio value15 With a top-down investing style you focus on asset allocation or the broad composition of the entire portfolio which is the major determinant of overall performance Moreover top-down management is the natural way to establish a portfolio with a level of risk consistent with your risk tolerance The disadvantage of an exclusive emphasis on top-down issues is that you may forfeit the potential high returns that could result from identifying and concentrating in undervalued securities or sectors of the market With a bottom-up investing style you try to benefit from identifying undervalued securities The disadvantage is that you tend to overlook the overall composition of your portfolio which may result in a non-diversified portfolio or a portfolio with a risk level inconsistent with your level of risk tolerance In addition this technique tends to require more active management thus generating more transaction costs Finally your analysis may be incorrect in which case you will have fruitlessly expended effort and money attempting to beat a simple buy-and-hold strategy16 You should be skeptical If the author actually knows how to achieve such returns one must question why the author would then be so ready to sell the secret to others Financialmarkets are very competitive one of the implications of this fact is that riches do not come easily High expected returns require bearing some risk and obvious bargains are few and far between Odds are that the only one getting rich from the book is its author17 a The SEC website defines the difference between saving and investing in terms of the investment alternatives or the financial assets the individual chooses to acquire According to the SEC website saving is the process of acquiring a safe financial asset and investing is the process of acquiring risky financial assetsb The economists definition of savings is the difference between income and consumption Investing is the process of allocating ones savings among available assets both real assets and financial assets The SEC definitions actually represent according the economists definition two kinds of investment alternatives18 As is the case for the SEC definitions see Problem 17 the SIA defines saving and investing as acquisition of alternative kinds of financial assets According to the SIA saving is the process of acquiring safe assets generally from a bank while investing is the acquisition of other financialassets such as stocks and bonds On the other hand the definitions in the chapter indicate that saving means spending less than ones income Investing is the process of allocating ones savings among financial assets including savings account deposits and money market accounts saving according to the SIA other financial assets such as stocks and bonds investing according to the SIA as well as real assetsCHAPTER 2 ASSET CLASSES ANDFINANCIAL INSTRUMENTSPROBLEM SETS1 Preferred stock is like long-term debt in that it typically promises a fixed payment each year In this way it is a perpetuity Preferred stock is also like long-term debt in that it does not give the holder voting rights in the firm Preferred stock is like equity in that the firm is under no contractual obligation to make the preferred stock dividend payments Failure to make payments does not set off corporate bankruptcy With respect to the priority of claims to the assets of the firm in the event of corporate bankruptcy preferred stock has a higher priority than common equity but a lower priority than bonds2 Money market securities are called cash equivalentsbecause of their great liquidity The prices of money market securities are very stable and they can be converted to cash ie sold on very short notice and with very low transaction costs3 The spread will widen Deterioration of the economy increases credit risk that is the likelihood of default Investors will demand a greater premium on debt securities subject to default risk4 On the day we tried this experiment 36 of the 50 stocks met this criterion leading us to conclude that returns on stock investments can be quite volatile5 a You would have to pay the asked price of11831 11896875 of par 11896875b The coupon rate is 11750 implying coupon payments of 11750 annually or more precisely 5875 semiannually Current yield Annual coupon incomeprice1175011896875 00988 9886 P 10000102 9803927 The total before-tax income is 4 After the 70 exclusion for preferred stock dividends the taxable income is 030 4 120Therefore taxes are 030 120 036After-tax income is 400 – 036 364Rate of return is 3644000 9108 a General Dynamics closed today at 7459 which was 017 higher than yesterdays price Yesterdays closing price was 7442b You could buy 50007459 6703 sharesc Your annual dividend income would be 6703 092 6167d The price-to-earnings ratio is 16 and the price is 7459 Therefore7459Earnings per share 16 Earnings per share 4669 a At t 0 the value of the index is 90 50 100 3 80At t 1 the value of the index is 95 45 110 3 83333 The rate of return is 8333380 1 417In the absence of a split Stock C would sell for 110 so the value of the index would be 2503 83333After the split Stock C sells for 55 Therefore we need to find the divisor d such that83333 95 45 55 d d 2340c The return is zero The index remains unchanged becausethe return for each stock separately equals zero10 a Total market value at t 0 is 9000 10000 20000 39000Total market value at t 1 is 9500 9000 22000 40500Rate of return 4050039000 – 1 385The return on each stock is as followsrA 9590 – 1 00556rB 4550 – 1 –010rC 110100 – 1 010The equally-weighted average is[00556 -010 010]3 00185 18511 The after-tax yield on the corporate bonds is 009 1– 030 00630 630Therefore municipals must offer at least 630 yields12 Equation 22 shows that the equivalent taxable yield is r rm 1 – ta 400b 444c 500d 57113 a The higher coupon bondb The call with the lower exercise pricec The put on the lower priced stock14 a You bought the contract when the futures price was 142750 see Figure 212 The contract closes at a price of 1300 which is 12750 less than the original futures price The contract multiplier is 250 Therefore the loss will be12750 250 31875b Open interest is 601655 contracts15 a Since the stock price exceeds the exercise price you will exercise the callThe payoff on the option will be 42 40 2The option originally cost 214 so the profit is 200 214014Rate of return 014214 00654 654b If the call has an exercise price of 4250 you would not exercise for any stock price of 4250 or less The loss on the call would be the initial cost 072c Since the stock price is less than the exercise price you will exercise the putThe payoff on the option will be 4250 4200 050The option originally cost 183 so the profit is 050 183 133Rate of return 133183 07268 726816 There is always a possibility that the option will be in-the-money at some time prior to expiration Investors will pay something for this possibility of a positive payoff17Value of call at expiration Initial Cost Profita 0 4 -4b 0 4 -4 c0 4 -4 d 5 4 1 e 10 46Value of put at expiration Initial Cost Profita 10 6 4b 5 6 -1c 06 -6 d 0 6 -6 e 0 6-618 A put option conveys the right to sell the underlying asset at the exercise price A short position in a futures contract carries an obligation to sell the underlying asset at the futures price19 A call option conveys the right to buy the underlying asset at the exercise price A long position in a futures contract carries an obligation to buy the underlying asset at the futures priceCFA PROBLEMSd2 The equivalent taxable yield is 675 1 034 10233 a Writing a call entails unlimited potential losses as the stock price rises4 a The taxable bond With a zero tax bracket the after-tax yield for the taxable bond is the same as the before-tax yield5 which is greater than the yield on the municipal bondThe taxable bond The after-tax yield for the taxable bond is005 1 – 010 45You are indifferent The after-tax yield for the taxable bond is005 1 – 020 40The after-tax yield is the same as that of the municipal bondd The municipal bond offers the higher after-tax yield for investors in tax brackets above 20If the after-tax yields are equal then 0056 008 1 –tThis implies that t 030 30CHAPTER 3 HOW SECURITIES ARE TRADEDPROBLEM SETSAnswers to this problem will vary2 The SuperDot system expedites the flow of orders from exchange members to the specialists It allows members to send computerized orders directly to the floor of the exchange whichallows the nearly simultaneous sale of each stock in a large portfolio This capability is necessary for program trading3 The dealer sets the bid and asked price Spreads should be higher on inactively traded stocks and lower on actively traded stocks4 a In principle potential losses are unbounded growing directly with increases in the price of IBMb If the stop-buy order can be filled at 128 the imum possible loss per share is 8 If the price of IBM shares goes above 128 then the stop-buy order would be executed limiting the losses from the short sale5 a The stock is purchased for 300 40 12000The amount borrowed is 4000 Therefore the investor put up equity or margin of 8000If the share price falls to 30 then the value of the stock falls to 9000 By the end of the year the amount of the loan owed to the broker grows to4000 108 4320Therefore the remaining margin in the investors account is 9000 4320 4680The percentage margin is now 46809000 052 52Therefore the investor will not receive a margin callThe rate of return on the investment over the year isEnding equity in the account Initial equity Initial equity4680 8000 8000 0415 4156 a The initial margin was 050 1000 40 20000As a result of the increase in the stock price Old Economy Traders loses10 1000 10000Therefore margin decreases by 10000 Moreover Old Economy Traders must pay the dividend of 2 per share to the lender of the shares so that the margin in the account decreases by an additional 2000 Therefore the remaining margin is 20000 – 10000 – 2000 8000b The percentage margin is 800050000 016 16So there will be a margin callc The equity in the account decreased from 20000 to 8000 in one year for a rate of return of 1200020000 060 607 Much of what the specialist does eg crossing orders and maintaining the limit order book can be accomplished by a computerized system In fact some exchanges use an automated system for night trading A more difficult issue to resolve is whether the more discretionary activities of specialists involving trading for their own accounts eg maintaining an orderly market can be replicated by a computer system8 a The buy order will be filled at the best limit-sell order price 5025b The next market buy order will be filled at the next-best limit-sell order price 5150c You would want to increase your inventory There is considerable buying demand at prices just below 50 indicating that downside risk is limited In contrast limit sell orders are sparse indicating that a moderate buy order could result in a substantial price increase9 a You buy 200 shares of Telecom for 10000 These shares increase in value by 10 or 1000 You pay interest of 008 5000 400The rate of return will be012 12b The value of the 200 shares is 200P Equity is 200P –5000 You will receive a margin call when030 when P 3571 or lower10 a Initial margin is 50 of 5000 or 2500b Total assets are 7500 5000 from the sale of the stock and 2500 put up for margin Liabilities are 100P Therefore equity is 7500 – 100P A margin call will be issued when 030 when P 5769 or higher11 The total cost of the purchase is 40 500 20000You borrow 5000 from your broker and invest 15000 of your own funds Your margin account starts out with equity of 15000a i Equity increases to 44 500 – 5000 17000Percentage gain 200015000 01333 1333ii With price unchanged equity is unchangedPercentage gain zeroiii Equity falls to 36 500 – 5000 13000Percentage gain –200015000 –01333 –1333The relationship between the percentage return and the percentage change in the price of the stock is given by return change in price change in price 1333 For example when the stock price rises from 40 to 44 the percentage change in price is 10 while the percentage gain forthe investor isreturn 10 1333b The value of the 500 shares is 500P Equity is 500P –5000 You will receive a margin call when025 when P 1333 or lowerc The value of the 500 shares is 500P But now you have borrowed 10000 instead of 5000 Therefore equity is 500P –10000 You will receive a margin call when025 when P 2667With less equity in the account you are far more vulnerable to a margin callBy the end of the year the amount of the loan owed to the broker grows to5000 108 5400The equity in your account is 500P –5400 Initial equity was 15000 Therefore your rate of return after one year is as followsi 01067 1067ii –00267 –267–01600 –1600The relationship between the percentage return and the percentage change in the price of Intel is given by returnFor example when the stock price rises from 40 to 44 the percentage change in price is 10 while the percentage gain for the investor is1067e The value of the 500 shares is 500P Equity is 500P –5400 You will receive a margin call when025 when P 1440 or lower12 a The gain or loss on the short position is –500 PInvested funds 15000Therefore rate of return –500 P 15000The rate of return in each of the three scenarios isi rate of return –500 15000 –01333 –1333ii rate of return –500 15000 0iii rate of return [–500 –4 ]15000 01333 1333b Total assets in the margin account equal20000 from the sale of the stock 15000 the initial margin 35000Liabilities are 500P You will receive a margin call when 025 when P 56 or higherWith a 1 dividend the short position must now pay on the borrowed shares 1share 500 shares 500 Rate of return is now[ –500 P – 500]15000i rate of return [ –500 4 –500]15000 –01667 –1667ii rate of return [ –500 0 –500]15000 –00333 –333iii rate of return [ –500 –4 – 500]15000 01000 1000Total assets are 35000 and liabilities are 500P 500 A margin call will be issued when025 when P 5520 or higher13 The broker is instructed to attempt to sell your Marriott stock as soon as the Marriott stock trades at a bid price of 38 or less Here the broker will attempt to execute but may not be able to sell at 38 since the bid price is now 3795 The price at which you sell may be more or less than 38 because the stop-loss becomes a market order to sell at current market prices14 a 5550b 5525c The trade will not be executed because the bid price is lower than the price specified in the limit sell orderd The trade will not be executed because the asked price is greater than the price specified in the limit buy order15 a In an exchange market there can be price improvement in the two market orders Brokers for each of the market orders ie the buy order and the sell order can agree to execute a trade inside the quoted spread For example they can trade at 5537 thus improving the price for both customers by 012 or 013 relative to the quoted bid and asked prices The buyer gets the stock for 013 less than the quoted asked price and the seller receives 012 more for the stock than the quoted bid priceb Whereas the limit order to buy at 5537 would not be executed in a dealer market since the asked price is 5550 it could be executed in an exchange market A broker for another customer with an order to sell at market would view the limit buy order as the best bid price the two brokers could agree to the trade and bring it to the specialist who would then execute the trade16 a You will not receive a margin call You borrowed 20000 and with another 20000 of your own equity you bought 1000 shares of Disney at 40 per share At 35 per share the market value of the stock is 35000 your equity is 15000 and the percentage margin is 1500035000 429Your percentage margin exceeds the required maintenance marginYou will receive a margin call when035 when P 3077 or lowerThe proceeds from the short sale net of commission were14 100 – 50 1350A dividend payment of 200 was withdrawn from the account Covering the short sale at 9 per share cost you including commission 900 50 950Therefore the value of your account is equal to the net profit on the transaction1350 – 200 – 950 200Note that your profit 200 equals 100 shares profit per share of 2 Your net proceeds per share was14 selling price of stock–9 repurchase price of stock–2 dividend per share–1 2 trades 050 commission per share2CFA PROBLEMS1 a In addition to the explicit fees of 70000 FBN appears to have paid an implicit price in underpricing of the IPO The underpricing is 3 per share or a total of 300000 implying total costs of 370000b No The underwriters do not capture the part of the costs corresponding to the underpricing The underpricing may be arational marketing strategy Without it the underwriters would need to spend more resources in order to place the issue with the public The underwriters would then need to charge higher explicit fees to the issuing firm The issuing firm may be just as well off paying the implicit issuance cost represented by the underpricing2 d The broker will sell at current market price after the first transaction at 55 or less3 dCHAPTER 4 MUTUAL FUNDS ANDOTHER INVESTMENT COMPANIESPROBLEM SETS1 The unit investment trust should have lower operating expenses Because the investment trust portfolio is fixed once the trust is established it does not have to pay portfolio managers to constantly monitor and rebalance the portfolio as perceived needs or opportunities change Because the portfolio is fixed the unit investment trust also incurs virtually no trading costs2 a Unit investment trusts diversification from large-scale investing lower transaction costs associated with large-scale trading low management fees predictable portfoliocomposition guaranteed low portfolio turnover rateb Open-end mutual funds diversification from large-scale investing lower transaction costs associated with large-scale trading professional management that may be able to take advantage of buy or sell opportunities as they arise record keepingc Individual stocks and bonds No management fee realization of capital gains or losses can be coordinated with investors personal tax situations portfolio can be designed to investors specific risk profile3 Open-end funds are obligated to redeem investors shares at net asset value and thus must keep cash or cash-equivalent securities on hand in order to meet potential redemptions Closed-end funds do not need the cash reserves because there are no redemptions for closed-end funds Investors in closed-end funds sell their shares when they wish to cash out4 Balanced funds keep relatively stable proportions of funds invested in each asset class They are meant as convenient instruments to provide participation in a range of asset classes Life-cycle funds are balanced funds whose asset mix generally depends on the age of the investor Aggressive life-cycle funds with larger investments in equities are。
北京大学金融专业考研(博迪)《投资学》辅导讲义3教程
北京大学金融专业考研（博迪）《投资学》辅导讲义3第十二章1、行为金融对投资者作出什么假设？信息处理偏差与行为偏差有哪些？行为金融的基本假设:人是非理性或有限理性，市场是非有效的,理性决策的偏离信息处理偏差::1、预测错误:过于依赖近期经验2、保守主义偏差与忽视样本规模和代表性偏差保守主义偏差：对最近出现的事件反应太慢。
忽视样本规模和代表性偏差：投资者基于小样本过快地推出一种模式，并推断出未来的趋势。
投资者认为小样本与大样本有相同的概率分布。
3、锚定效应:指当人们需要对某个事件做定量估测时，会将某些特定数值（基点）作为起始值，起始值像锚一样制约着估测值。
在做决策的时候，会不自觉地给予锚定值过多的重视。
4、过度自信：投资者总是高估自己的信念与预测的准确性，并高估自己的能力。
行为偏差：1、框架依赖偏差：人们对事物的认识和判断存在对背景的倚赖，依赖事物表现的形式，投资者的判断与决定在很大程度上取决于问题所表现出来的特殊的框架，从而导致认知偏差。
2、心理账户：消费者在决策时根据不同的决策任务形成相应的心理账户，心理账户是人们在心理上对结果（尤其是经济结果）的分类记账、编码、估价和预算等过程。
3、损失厌恶与后悔规避：损失厌恶：投资者受到损失导致的情绪波动。
后悔厌恶：不依惯例进行决策并出现不利结果时会后悔。
4、前景理论：效用取决于财富水平的变化量。
（处置效应：即投资者趋于过长时间地持有正在损失的股票，而过快地卖掉正在盈利的股票，即“出赢保亏”。
过度交易：过度交易的表现：换手率高，男性比女性交易频率高。
羊群行为：人们经常受到其他投资者影响，跟从大众的思想或行为，或过度依赖舆论，而不考虑私人信息，简单的模仿他人行为，也被称为“从众效应”。
）2、套利限制的原因并举例说明如果理性套利者能够充分利用行为投资者的失误，那么行为偏差并不会对股票定价产生影响。
基本面风险:市场非理性维持的时间可能超过你的承受底线，无论是资金、业绩排名或者心理执行成本:交易成本、卖空限制影响套利效果模型风险:错误的模型，而实际上的股票价格可能是正确的例子：连体双婴公司，股权拆分上市，封闭式基金折价第十四章1、全价=净价+应计利息全价（full price）：从上一付息日起到到期日的价值；净价（clean price）：从交割日起到到期日的价值。
Essentials Of Investments 8th Ed Bodie 投资学精要(第八版)课后习题答案Chap007
CHAPTER 07CAPITAL ASSET PRICING AND ARBITRAGE PRICINGTHEORY1. The required rate of return on a stock is related to the required rate of return on thestock market via beta. Assuming the beta of Google remains constant, the increase in the risk of the market will increase the required rate of return on the market, and thus increase the required rate of return on Google.2. An example of this scenario would be an investment in the SMB and HML. As of yet,there are no vehicles (index funds or ETFs) to directly invest in SMB and HML. While they may prove superior to the single index model, they are not yet practical, even for professional investors.3. The APT may exist without the CAPM, but not the other way. Thus, statement a ispossible, but not b. The reason being, that the APT accepts the principle of risk and return, which is central to CAPM, without making any assumptions regardingindividual investors and their portfolios. These assumptions are necessary to CAPM.4. E(r P ) = r f + β[E(r M ) – r f ]20% = 5% + β(15% – 5%) ⇒ β = 15/10 = 1.55. If the beta of the security doubles, then so will its risk premium. The current riskpremium for the stock is: (13% - 7%) = 6%, so the new risk premium would be 12%, and the new discount rate for the security would be: 12% + 7% = 19%If the stock pays a constant dividend in perpetuity, then we know from the original data that the dividend (D) must satisfy the equation for a perpetuity:Price = Dividend/Discount rate 40 = D/0.13 ⇒ D = 40 ⨯ 0.13 = $5.20 At the new discount rate of 19%, the stock would be worth: $5.20/0.19 = $27.37The increase in stock risk has lowered the value of the stock by 31.58%.6. The cash flows for the project comprise a 10-year annuity of $10 million per year plus anadditional payment in the tenth year of $10 million (so that the total payment in the tenth year is $20 million). The appropriate discount rate for the project is:r f + β[E(r M ) – r f ] = 9% + 1.7(19% – 9%) = 26% Using this discount rate:NPV = –20 + +∑=101t t26.1101026.110= –20 + [10 ⨯ Annuity factor (26%, 10 years)] + [10 ⨯ PV factor (26%, 10 years)] = 15.64The internal rate of return on the project is 49.55%. The highest value that beta can take before the hurdle rate exceeds the IRR is determined by:49.55% = 9% + β(19% – 9%) ⇒ β = 40.55/10 = 4.055 7. a. False. β = 0 implies E(r) = r f , not zero.b. False. Investors require a risk premium for bearing systematic (i.e., market orundiversifiable) risk.c. False. You should invest 0.75 of your portfolio in the market portfolio, and theremainder in T-bills. Then: βP = (0.75 ⨯ 1) + (0.25 ⨯ 0) = 0.758.a. The beta is the sensitivity of the stock's return to the market return. Call theaggressive stock A and the defensive stock D . Then beta is the change in the stock return per unit change in the market return. We compute each stock's beta by calculating the difference in its return across the two scenarios divided by the difference in market return.00.2205322A =--=β70.0205145.3D =--=βb. With the two scenarios equal likely, the expected rate of return is an average ofthe two possible outcomes: E(r A ) = 0.5 ⨯ (2% + 32%) = 17%E(r B ) = 0.5 ⨯ (3.5% + 14%) = 8.75%c. The SML is determined by the following: T-bill rate = 8% with a beta equal tozero, beta for the market is 1.0, and the expected rate of return for the market is:0.5 ⨯ (20% + 5%) = 12.5%See the following graph.812.5%S M LThe equation for the security market line is: E(r) = 8% + β(12.5% – 8%) d. The aggressive stock has a fair expected rate of return of:E(r A ) = 8% + 2.0(12.5% – 8%) = 17%The security analyst’s estimate of the expected rate of return is also 17%.Thus the alpha for the aggressive stock is zero. Similarly, the required return for the defensive stock is:E(r D ) = 8% + 0.7(12.5% – 8%) = 11.15%The security analyst’s estimate of the expected return for D is only 8.75%, and hence:αD = actual expected return – required return predicted by CAPM= 8.75% – 11.15% = –2.4%The points for each stock are plotted on the graph above.e. The hurdle rate is determined by the project beta (i.e., 0.7), not by the firm’sbeta. The correct discount rate is therefore 11.15%, the fair rate of return on stock D.9. Not possible. Portfolio A has a higher beta than Portfolio B, but the expected returnfor Portfolio A is lower.10. Possible. If the CAPM is valid, the expected rate of return compensates only forsystematic (market) risk as measured by beta, rather than the standard deviation, which includes nonsystematic risk. Thus, Portfolio A's lower expected rate of return can be paired with a higher standard deviation, as long as Portfolio A's beta is lower than that of Portfolio B.11. Not possible. The reward-to-variability ratio for Portfolio A is better than that of themarket, which is not possible according to the CAPM, since the CAPM predicts that the market portfolio is the most efficient portfolio. Using the numbers supplied:S A =5.0121016=- S M =33.0241018=-These figures imply that Portfolio A provides a better risk-reward tradeoff than the market portfolio.12. Not possible. Portfolio A clearly dominates the market portfolio. It has a lowerstandard deviation with a higher expected return.13. Not possible. Given these data, the SML is: E(r) = 10% + β(18% – 10%)A portfolio with beta of 1.5 should have an expected return of: E(r) = 10% + 1.5 ⨯ (18% – 10%) = 22%The expected return for Portfolio A is 16% so that Portfolio A plots below the SML (i.e., has an alpha of –6%), and hence is an overpriced portfolio. This is inconsistent with the CAPM.14. Not possible. The SML is the same as in Problem 12. Here, the required expectedreturn for Portfolio A is: 10% + (0.9 ⨯ 8%) = 17.2%This is still higher than 16%. Portfolio A is overpriced, with alpha equal to: –1.2%15. Possible. Portfolio A's ratio of risk premium to standard deviation is less attractivethan the market's. This situation is consistent with the CAPM. The market portfolio should provide the highest reward-to-variability ratio.16.a.b.As a first pass we note that large standard deviation of the beta estimates. None of the subperiod estimates deviate from the overall period estimate by more than two standard deviations. That is, the t-statistic of the deviation from the overall period is not significant for any of the subperiod beta estimates. Looking beyond the aforementioned observation, the differences can be attributed to different alpha values during the subperiods. The case of Toyota is most revealing: The alpha estimate for the first two years is positive and for the last two years negative (both large). Following a good performance in the "normal" years prior to the crisis, Toyota surprised investors with a negative performance, beyond what could be expected from the index. This suggests that a beta of around 0.5 is more reliable. The shift of the intercepts from positive to negative when the index moved to largely negative returns, explains why the line is steeper when estimated for the overall period. Draw a line in the positive quadrant for the index with a slope of 0.5 and positive intercept. Then draw a line with similar slope in the negative quadrant of the index with a negative intercept. You can see that a line that reconciles the observations for both quadrants will be steeper. The same logic explains part of the behavior of subperiod betas for Ford and GM.17. Since the stock's beta is equal to 1.0, its expected rate of return should be equal to thatof the market, that is, 18%. E(r) =01P P P D -+0.18 =100100P 91-+⇒ P 1 = $10918. If beta is zero, the cash flow should be discounted at the risk-free rate, 8%:PV = $1,000/0.08 = $12,500If, however, beta is actually equal to 1, the investment should yield 18%, and the price paid for the firm should be:PV = $1,000/0.18 = $5,555.56The difference ($6944.44) is the amount you will overpay if you erroneously assume that beta is zero rather than 1.ing the SML: 6% = 8% + β(18% – 8%) ⇒β = –2/10 = –0.220.r1 = 19%; r2 = 16%; β1 = 1.5; β2 = 1.0a.In order to determine which investor was a better selector of individual stockswe look at the abnormal return, which is the ex-post alpha; that is, the abnormalreturn is the difference between the actual return and that predicted by the SML.Without information about the parameters of this equation (i.e., the risk-free rateand the market rate of return) we cannot determine which investment adviser isthe better selector of individual stocks.b.If r f = 6% and r M = 14%, then (using alpha for the abnormal return):α1 = 19% – [6% + 1.5(14% – 6%)] = 19% – 18% = 1%α2 = 16% – [6% + 1.0(14% – 6%)] = 16% – 14% = 2%Here, the second investment adviser has the larger abnormal return and thusappears to be the better selector of individual stocks. By making betterpredictions, the second adviser appears to have tilted his portfolio toward under-priced stocks.c.If r f = 3% and r M = 15%, then:α1 =19% – [3% + 1.5(15% – 3%)] = 19% – 21% = –2%α2 = 16% – [3%+ 1.0(15% – 3%)] = 16% – 15% = 1%Here, not only does the second investment adviser appear to be a better stockselector, but the first adviser's selections appear valueless (or worse).21.a.Since the market portfolio, by definition, has a beta of 1.0, its expected rate ofreturn is 12%.b.β = 0 means the stock has no systematic risk. Hence, the portfolio's expectedrate of return is the risk-free rate, 4%.ing the SML, the fair rate of return for a stock with β= –0.5 is:E(r) = 4% + (–0.5)(12% – 4%) = 0.0%The expected rate of return, using the expected price and dividend for next year: E(r) = ($44/$40) – 1 = 0.10 = 10%Because the expected return exceeds the fair return, the stock must be under-priced.22.The data can be summarized as follows:ing the SML, the expected rate of return for any portfolio P is:E(r P) = r f + β[E(r M) – r f ]Substituting for portfolios A and B:E(r A) = 6% + 0.8 ⨯ (12% – 6%) = 10.8%E(r B) = 6% + 1.5 ⨯ (12% – 6%) = 15.0%Hence, Portfolio A is desirable and Portfolio B is not.b.The slope of the CAL supported by a portfolio P is given by:S =P fP σr)E(r-Computing this slope for each of the three alternative portfolios, we have:S (S&P 500) = 6/20S (A) = 5/10S (B) = 8/31Hence, portfolio A would be a good substitute for the S&P 500.23.Since the beta for Portfolio F is zero, the expected return for Portfolio F equals therisk-free rate.For Portfolio A, the ratio of risk premium to beta is: (10% - 4%)/1 = 6%The ratio for Portfolio E is higher: (9% - 4%)/(2/3) = 7.5%This implies that an arbitrage opportunity exists. For instance, you can create aPortfolio G with beta equal to 1.0 (the same as the beta for Portfolio A) by taking a long position in Portfolio E and a short position in Portfolio F (that is, borrowing at the risk-free rate and investing the proceeds in Portfolio E). For the beta of G to equal 1.0, theproportion (w) of funds invested in E must be: 3/2 = 1.5The expected return of G is then:E(r G) = [(-0.50) ⨯ 4%] + (1.5 ⨯ 9%) = 11.5%βG = 1.5 ⨯ (2/3) = 1.0Comparing Portfolio G to Portfolio A, G has the same beta and a higher expected return.Now, consider Portfolio H, which is a short position in Portfolio A with the proceedsinvested in Portfolio G:βH = 1βG + (-1)βA = (1 ⨯ 1) + [(-1) ⨯ 1] = 0E(r H) = (1 ⨯ r G) + [(-1) ⨯ r A] = (1 ⨯ 11.5%) + [(- 1) ⨯ 10%] = 1.5%The result is a zero investment portfolio (all proceeds from the short sale of Portfolio Aare invested in Portfolio G) with zero risk (because β = 0 and the portfolios are welldiversified), and a positive return of 1.5%. Portfolio H is an arbitrage portfolio.24.Substituting the portfolio returns and betas in the expected return-beta relationship, weobtain two equations in the unknowns, the risk-free rate (r f ) and the factor return (F):14.0% = r f + 1 ⨯ (F – r f )14.8% = r f + 1.1 ⨯ (F – r f )From the first equation we find that F = 14%. Substituting this value for F into the second equation, we get:14.8% = r f + 1.1 ⨯ (14% – r f ) ⇒ r f = 6%25.a.Shorting equal amounts of the 10 negative-alpha stocks and investing the proceedsequally in the 10 positive-alpha stocks eliminates the market exposure and creates azero-investment portfolio. Using equation 7.5, and denoting the market factor as R M,the expected dollar return is [noting that the expectation of residual risk (e) inequation 7.8 is zero]:$1,000,000 ⨯ [0.03 + (1.0 ⨯ R M)] – $1,000,000 ⨯ [(–0.03) + (1.0 ⨯ R M)]= $1,000,000 ⨯ 0.06 = $60,000The sensitivity of the payoff of this portfolio to the market factor is zero because theexposures of the positive alpha and negative alpha stocks cancel out. (Notice thatthe terms involving R M sum to zero.) Thus, the systematic component of total riskalso is zero. The variance of the analyst's profit is not zero, however, since thisportfolio is not well diversified.For n = 20 stocks (i.e., long 10 stocks and short 10 stocks) the investor will have a$100,000 position (either long or short) in each stock. Net market exposure is zero,but firm-specific risk has not been fully diversified. The variance of dollar returnsfrom the positions in the 20 firms is:20 ⨯ [(100,000 ⨯ 0.30)2] = 18,000,000,000The standard deviation of dollar returns is $134,164.b.If n = 50 stocks (i.e., 25 long and 25 short), $40,000 is placed in each position,and the variance of dollar returns is:50 ⨯ [(40,000 ⨯ 0.30)2] = 7,200,000,000The standard deviation of dollar returns is $84,853.Similarly, if n = 100 stocks (i.e., 50 long and 50 short), $20,000 is placed ineach position, and the variance of dollar returns is:100 ⨯ [(20,000 ⨯ 0.30)2] = 3,600,000,000The standard deviation of dollar returns is $60,000.Notice that when the number of stocks increases by a factor of 5 (from 20 to 100),standard deviation falls by a factor of 5= 2.236, from $134,164 to $60,000. 26.Any pattern of returns can be "explained" if we are free to choose an indefinitely largenumber of explanatory factors. If a theory of asset pricing is to have value, it mustexplain returns using a reasonably limited number of explanatory variables (i.e.,systematic factors).27.The APT factors must correlate with major sources of uncertainty, i.e., sources ofuncertainty that are of concern to many investors. Researchers should investigatefactors that correlate with uncertainty in consumption and investment opportunities.GDP, the inflation rate and interest rates are among the factors that can be expected to determine risk premiums. In particular, industrial production (IP) is a good indicator of changes in the business cycle. Thus, IP is a candidate for a factor that is highlycorrelated with uncertainties related to investment and consumption opportunities in the economy.28.The revised estimate of the expected rate of return of the stock would be the oldestimate plus the sum of the unexpected changes in the factors times the sensitivitycoefficients, as follows:Revised estimate = 14% + [(1 ⨯ 1) + (0.4 ⨯ 1)] = 15.4%29.Equation 7.11 applies here:E(r P) = r f + βP1[E(r1) - r f] + βP2[E(r2) – r f]We need to find the risk premium for these two factors:γ1 = [E(r1) - r f] andγ2 = [E(r2) - r f]To find these values, we solve the following two equations with two unknowns: 40% = 7% + 1.8γ1 + 2.1γ210% = 7% + 2.0γ1 + (-0.5)γ2The solutions are: γ1 = 4.47% and γ2 = 11.86%Thus, the expected return-beta relationship is:E(r P) = 7% + 4.47βP1 + 11.86βP230.The first two factors (the return on a broad-based index and the level of interest rates)are most promising with respect to the likely impa ct on Jennifer’s firm’s cost of capital.These are both macro factors (as opposed to firm-specific factors) that can not bediversified away; consequently, we would expect that there is a risk premiumassociated with these factors. On the other hand, the risk of changes in the price ofhogs, while important to some firms and industries, is likely to be diversifiable, andtherefore is not a promising factor in terms of its impact on the firm’s cost of capital.31.Since the risk free rate is not given, we assume a risk free rate of 0%. The APT required(i.e., equilibrium) rate of return on the stock based on Rf and the factor betas is:Required E(r) = 0 + (1 x 6) + (0.5 x 2) + (0.75 x 4) = 10%According to the equation for the return on the stock, the actually expected return onthe stock is 6 % (because the expected surprises on all factors are zero by definition).Because the actually expected return based on risk is less than the equilibrium return,we conclude that the stock is overpriced.CFA 1a, c and dCFA 2a.E(r X) = 5% + 0.8(14% – 5%) = 12.2%αX = 14% – 12.2% = 1.8%E(r Y) = 5% + 1.5(14% – 5%) = 18.5%αY = 17% – 18.5% = –1.5%b.(i)For an investor who wants to add this stock to a well-diversified equityportfolio, Kay should recommend Stock X because of its positivealpha, while Stock Y has a negative alpha. In graphical terms, StockX’s expected return/risk profile plots above the SML, while Stock Y’sprofile plots below the SML. Also, depending on the individual riskpreferences of Kay’s clients, Stock X’s lower beta may have abeneficial impact on overall portfolio risk.(ii)For an investor who wants to hold this stock as a single-stock portfolio,Kay should recommend Stock Y, because it has higher forecastedreturn and lower standard deviation than S tock X. Stock Y’s Sharperatio is:(0.17 – 0.05)/0.25 = 0.48Stock X’s Sharpe ratio is only:(0.14 – 0.05)/0.36 = 0.25The market index has an even more attractive Sharpe ratio:(0.14 – 0.05)/0.15 = 0.60However, given the choice between Stock X and Y, Y is superior.When a stock is held in isolation, standard deviation is the relevantrisk measure. For assets held in isolation, beta as a measure of risk isirrelevant. Although holding a single asset in isolation is not typicallya recommended investment strategy, some investors may hold what isessentially a single-asset portfolio (e.g., the stock of their employercompany). For such investors, the relevance of standard deviationversus beta is an important issue.CFA 3a.McKay should borrow funds and i nvest those funds proportionally in Murray’sexisting portfolio (i.e., buy more risky assets on margin). In addition toincreased expected return, the alternative portfolio on the capital market line(CML) will also have increased variability (risk), which is caused by the higherproportion of risky assets in the total portfolio.b.McKay should substitute low beta stocks for high beta stocks in order to reducethe overall beta of York’s portfolio. By reducing the overall portfolio beta,McKay will reduce the systematic risk of the portfolio and therefore theportfolio’s volatility relative to the market. The security market line (SML)suggests such action (moving down the SML), even though reducing beta mayresult in a slight loss of portfolio efficiency unless full diversification ismaintained. York’s primary objective, however, is not to maintain efficiencybut to reduce risk exposure; reducing portfolio beta meets that objective.Because York does not permit borrowing or lending, McKay cannot reduce riskby selling equities and using the proceeds to buy risk free assets (i.e., by lendingpart of the portfolio).CFA 4c.“Both the CAPM and APT require a mean-variance efficient market portfolio.”This statement is incorrect. The CAPM requires the mean-variance efficientportfolio, but APT does not.d.“The CAPM assumes that one specific factor explains security returns but APTdoes not.” This statement is c orrect.CFA 5aCFA 6dCFA 7d You need to know the risk-free rate.CFA 8d You need to know the risk-free rate.CFA 9Under the CAPM, the only risk that investors are compensated for bearing is the riskthat cannot be diversified away (i.e., systematic risk). Because systematic risk(measured by beta) is equal to 1.0 for each of the two portfolios, an investor wouldexpect the same rate of return from each portfolio. Moreover, since both portfolios are well diversified, it does not matter whether the specific risk of the individual securities is high or low. The firm-specific risk has been diversified away from both portfolios. CFA 10b r f = 8% and E(r M) = 16%E(r X) = r f + βX[E(r M) – r f] = 8% + 1.0(16% - 8%) = 16%E(r Y) = r f + βY[E(r M) – r f] = 8% + 0.25(16% - 8%) = 10%Therefore, there is an arbitrage opportunity.CFA 11cCFA 12dCFA 13cInvestors will take on as large a position as possible only if the mis-pricingopportunity is an arbitrage. Otherwise, considerations of risk anddiversification will limit the position they attempt to take in the mis-pricedsecurity.CFA 14d。
博迪 投资学第八版 英文笔记CHAPTER2
2 - 12
Municipal Bonds
• Issued by s t a t e and l o c a l governments • Types • General obligation bonds • Revenue bonds • I n d u s t r i a l revenue bonds • Maturities – range up t o 30 years
60
•
Percentage change in index2--25
Standard &P o o r ’ s Indexes
• Broadly based index of 500 firms • Market-value-weighted index • Index funds • Exchange Traded Funds (ETFs)
2 - 28
Foreign and International Stock Market Indexes
• Nikkei (Japan) • FTSE ( F i n a n c i a l Times of London) • Dax (Germany) • MSCI (Morgan Stanley Capital
2-8
The Bond Market
• Treasury Notes and Bonds • I n f l a t i o n - Protected Treasury Bonds • Federal Agency Debt • I n t e r n a t i o n a l Bonds • Municipal Bonds • Corporate Bonds • Mortgages and Mortgage-Backed
投资学 第八版 英文答案 CHAPTER 3 HOW SECURITIES ARE TRADED
CHAPTER 3: HOW SECURITIES ARE TRADEDPROBLEM SETS1. Answers to this problem will vary.2. The SuperDot system expedites the flow of orders from exchange members to the specialists. It allows members to send computerized orders directly to the floor of the exchange, which allows the nearly simultaneous sale of each stock in a large portfolio. This capability is necessary for program trading.3. The dealer sets the bid and asked price. Spreads should be higher on inactively traded stocks and lower on actively traded stocks.4. a. In principle, potential losses are unbounded, growing directly with increases in the price of IBM.b. If the stop-buy order can be filled at $128, the maximum possible loss per share is $8. If the price of IBM shares goes above $128, then the stop-buy order would be executed, limiting the losses from the short sale.5. a. The stock is purchased for: 300 ⨯ $40 = $12,000The amount borrowed is $4,000. Therefore, the investor put up equity, or margin, of $8,000.If the share price falls to $30, then the value of the stock falls to$9,000. By the end of the year, the amount of the loan owed to the broker grows to:$4,000 ⨯ 1.08 = $4,320Therefore, the remaining margin in the investor’s account is:$9,000 - $4,320 = $4,680The percentage margin is now: $4,680/$9,000 = 0.52 = 52%Therefore, the investor will not receive a margin call.The rate of return on the investment over the year is:(Ending equity in the account - Initial equity)/Initial equity= ($4,680 - $8,000)/$8,000 = -0.415 = -41.5%6. a. The initial margin was: 0.50 ⨯ 1,000 ⨯ $40 = $20,000As a result of the increase in the stock price Old Economy Traders loses: $10 ⨯ 1,000 = $10,000Therefore, margin decreases by $10,000. Moreover, Old Economy Traders must pay the dividend of $2 per share to the lender of the shares, so that the margin in the account decreases by an additional $2,000. Therefore, the remaining margin is:$20,000 – $10,000 – $2,000 = $8,000b. The percentage margin is: $8,000/$50,000 = 0.16 = 16%So there will be a margin call.c. The equity in the account decreased from $20,000 to $8,000 in one year, for a rate of return of: (-$12,000/$20,000) = -0.60 = -60%7. Much of what the specialist does (e.g., crossing orders and maintaining the limit order book) can be accomplished by a computerized system. In fact, some exchanges use an automated system for night trading.A more difficult issue to resolve is whether the more discretionary activities of specialists involving trading for their own accounts (e.g., maintaining an orderly market) can be replicated by a computer system.8. a. The buy order will be filled at the best limit-sell order price: $50.25b. The next market buy order will be filled at the next-best limit-sell order price: $51.50c. You would want to increase your inventory. There is considerable buying demand at prices just below $50, indicating that downside risk is limited. In contrast, limit sell orders are sparse, indicating that a moderate buy order could result in a substantial price increase.9. a. You buy 200 shares of Telecom for $10,000. These sharesincrease in value by 10%, or $1,000. You pay interest of: 0.08 ⨯ $5,000 = $400The rate of return will be:000,5$400$000,1$-= 0.12 = 12%b. The value of the 200 shares is 200P. Equity is (200P – $5,000). You will receive a margin call when:P200000,5$P 200-= 0.30 ⇒ when P = $35.71 or lower10. a. Initial margin is 50% of $5,000 or $2,500.b. Total assets are $7,500 ($5,000 from the sale of the stock and $2,500 put up for margin). Liabilities are 100P. Therefore, equity is ($7,500 – 100P). A margin call will be issued when:P100P 100500,7$-= 0.30 ⇒ when P = $57.69 or higher11. The total cost of the purchase is: $40 ⨯ 500 = $20,000You borrow $5,000 from your broker, and invest $15,000 of your own funds. Your margin account starts out with equity of $15,000.a. (i) Equity increases to: ($44 ⨯ 500) – $5,000 = $17,000Percentage gain = $2,000/$15,000 = 0.1333 = 13.33%(ii) With price unchanged, equity is unchanged.Percentage gain = zero(iii) Equity falls to ($36 ⨯ 500) – $5,000 = $13,000Percentage gain = (–$2,000/$15,000) = –0.1333 = –13.33%The relationship between the percentage return and the percentage change in the price of the stock is given by:% return = % change in price ⨯ equityinitial s Investor'investment T otal = % change in price ⨯ 1.333For example, when the stock price rises from $40 to $44, the percentage change in price is 10%, while the percentage gain for the investor is:% return = 10% ⨯ 000,15$000,20$= 13.33%b. The value of the 500 shares is 500P. Equity is (500P – $5,000). You will receive a margin call when:P500000,5$P 500-= 0.25 ⇒ when P = $13.33 or lowerc. The value of the 500 shares is 500P. But now you have borrowed$10,000 instead of $5,000. Therefore, equity is (500P – $10,000). You will receive a margin call when:P500000,10$P 500-= 0.25 ⇒ when P = $26.67 With less equity in the account, you are far more vulnerable to a margin call.By the end of the year, the amount of the loan owed to the broker grows to: $5,000 ⨯ 1.08 = $5,400The equity in your account is (500P – $5,400). Initial equity was $15,000. Therefore, your rate of return after one year is as follows: (i) 000,15$000,15$400,5$)44$500(--⨯= 0.1067 = 10.67% (ii) 000,15$000,15$400,5$)40$500(--⨯= –0.0267 = –2.67% 000,15$000,15$400,5$)36$500(--⨯= –0.1600 = –16.00% The relationship between the percentage return and the percentage change in the price of Intel is given by: % return = ⎪⎪⎭⎫ ⎝⎛⨯equity initial s Investor'investment Total price in change %⎪⎪⎭⎫ ⎝⎛⨯-equity initial s Investor'borrowed Funds %8 For example, when the stock price rises from $40 to $44, the percentage change in price is 10%, while the percentage gain for the investor is:⎪⎭⎫ ⎝⎛⨯000,15$000,20$%10⎪⎭⎫ ⎝⎛⨯-000,15$000,5$%8=10.67%e. The value of the 500 shares is 500P. Equity is (500P – $5,400). You will receive a margin call when:P500400,5$P 500-= 0.25 ⇒ when P = $14.40 or lower12. a. The gain or loss on the short position is: (–500 ⨯ P) Invested funds = $15,000Therefore: rate of return = (–500 ⨯ P)/15,000The rate of return in each of the three scenarios is:(i) rate of return = (–500 ⨯ $ )/$15,000 = –0.1333 = –13.33%(ii) rate of return = (–500 ⨯ $)/$15,000 = 0%(iii) rate of return = [–500 ⨯ (–$4)]/$15,000 = +0.1333 = +13.33%b. Total assets in the margin account equal:$20,000 (from the sale of the stock) + $15,000 (the initial margin) = $35,000Liabilities are 500P. You will receive a margin call when:P 500P500000,35$-= 0.25 ⇒ when P = $56 or higherWith a $1 dividend, the short position must now pay on the borrowed shares: ($1/share ⨯ 500 shares) = $500. Rate of return is now:[(–500 ⨯ P) – 500]/15,000(i) rate of return = [(–500 ⨯ $4) – $500]/$15,000 = –0.1667 = –16.67% (ii) rate of return = [(–500 ⨯ $0) – $500]/$15,000 = –0.0333 = –3.33% (iii) rate of return = [(–500) ⨯ (–$4) – $500]/$15,000 = +0.1000 =+10.00%Total assets are $35,000, and liabilities are (500P + 500). A margin call will be issued when:P 500500 P500000,35--= 0.25 ⇒ when P = $55.20 or higher13. The broker is instructed to attempt to sell your Marriott stock as soon as the Marriott stock trades at a bid price of $38 or less. Here, the broker will attempt to execute, but may not be able to sell at $38, since the bid price is now $37.95. The price at which you sell may be more or less than $38 because the stop-loss becomes a market order to sell at current market prices.14. a. $55.50b. $55.25c. The trade will not be executed because the bid price is lower than the price specified in the limit sell order.d. The trade will not be executed because the asked price is greater than the price specified in the limit buy order.15. a. In an exchange market, there can be price improvement in the two market orders. Brokers for each of the market orders (i.e., the buyorder and the sell order) can agree to execute a trade inside the quoted spread. For example, they can trade at $55.37, thus improving the price for both customers by $0.12 or $0.13 relative to the quoted bid and asked prices. The buyer gets the stock for $0.13 less than the quoted asked price, and the seller receives $0.12 more for the stock than the quoted bid price.b. Whereas the limit order to buy at $55.37 would not be executed in a dealer market (since the asked price is $55.50), it could be executed in an exchange market. A broker for another customer with an order to sell at market would view the limit buy order as the best bid price; the twobrokers could agree to the trade and bring it to the specialist, who would then execute the trade.16. a. You will not receive a margin call. You borrowed $20,000 andwith another $20,000 of your own equity you bought 1,000 shares of Disneyat $40 per share. At $35 per share, the market value of the stock is$35,000, your equity is $15,000, and the percentage margin is:$15,000/$35,000 = 42.9%Your percentage margin exceeds the required maintenance margin.You will receive a margin call when:P 000 ,1000 ,20$P000,1-= 0.35 ⇒ when P = $30.77 or lowerThe proceeds from the short sale (net of commission) were: ($14 ⨯ 100) –$50 = $1,350A dividend payment of $200 was withdrawn from the account. Covering the short sale at $9 per share cost you (including commission): $900 + $50 = $950Therefore, the value of your account is equal to the net profit on the transaction:$1350 – $200 – $950 = $200Note that your profit ($200) equals (100 shares ⨯ profit per share of $2). Your net proceeds per share was:$14 selling price of stock–$9 repurchase price of stock–$2 dividend per share–$1 2 trades ⨯ $0.50 commission per share$2CFA PROBLEMS1. a. In addition to the explicit fees of $70,000, FBN appears to have paid an implicit price in underpricing of the IPO. The underpricing is $3 per share, or a total of $300,000, implying total costs of $370,000.b. No. The underwriters do not capture the part of the costs corresponding to the underpricing. The underpricing may be a rational marketing strategy. Without it, the underwriters would need to spend more resources in order to place the issue with the public. The underwriters would then need to charge higher explicit fees to the issuing firm. The issuing firm may be just as well off paying the implicit issuance cost represented by the underpricing.2. (d) The broker will sell, at current market price, after the first transaction at $55 or less.3. (d)。
博迪投资学英文课件 (3)
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Figure 12.1 Prospect Theory
INVESTMENTS | BODIE, KANE, MARCUS
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Limits to Arbitrage
• Behavioral biases would not matter if rational arbitrageurs could fully exploit the mistakes of behavioral investors.
• Technical analysis attempts to exploit recurring and predictable patterns in stock prices.
– Prices adjust gradually to a new equilibrium. – Market values and intrinsic values converge
INVESTMENTS | BODIE, KANE, MARCUS
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Bubbles and Behavioral Economics
• Bubbles are easier to spot after they end.
– Dot-com bubble – Housing bubble
INVESTMENTS | BODIE, KANE, MARCUS
INVESTMENTS | BODIE, KANE, MARCUS
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Behavioral Biases
2. Mental Accounting: • Investors may segregate accounts or monies and take risks with their gains that they would not take with their principal.
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CHAPTER 03SECURITIES MARKETS 1.An IPO is the first time a formerly privately owned company sells stock to thegeneral public. A seasoned issue is the issuance of stock by a company that has already undergone an IPO.2.The effective price paid or received for a stock includes items such as bid-askspread, brokerage fees, commissions, and taxes (when applicable). These reduce the amount received by a seller and increase the cost incurred by a seller.3.The primary market is the market for new issues of securities, while the secondarymarket is the market for already-existing securities. Corporations sell stock in the primary market, while investors purchase stock from other investors in thesecondary market.4.One source of the specialist’s income is frequent trading at the bid and ask prices,with the spread as a trading profit. Since the specialist also takes a position insecurities and maintains the ultimate diary of buys and sells, the trader has the ability to profit by trading on information not available to others.5.When a firm as a willing buyer of securities and wishes to avoid the extensivetime and cost associated with preparing a public issue, they may issues sharesprivately.6. A stop order is a trade is not to be executed unless stock hits a price limit. Thestop-loss is used to limit losses when prices are falling. An order specifying aprice at which an investor is willing to buy or sell a security is a limit order, whilea market order directs the broker to buy or sell at whatever price is available in themarket.7.Block orders are the buying and selling or large quantities of stock, usually byinstitutional investors. The advent of electronic trading now permits trades to be broken into smaller units, thus avoiding the negative impact on prices usuallyexperience by block trades.8.Underwriters purchase securities from the issuing company and resell them. Aprospectus is a description of the firm and the security it is issuing.9.Margin is a type of leverage that allows investors to post only a portion of thevalue of the security they purchase. As such, when the price of the security rises or falls, the gain or loss represents a much higher percentage, relative to the actual money invested.10.a.In principle, potential losses are unbounded, growing directly withincreases in the price of IBM.b.If the stop-buy order can be filled at $128, the maximum possible loss pershare is $8. If the price of IBM shares go above $128, then the stop-buyorder would be executed, limiting the losses from the short sale.11.Answers to this problem will vary.12.a.In addition to the explicit fees of $60,000, DRK appears to have paid animplicit price in underpricing of the IPO. The underpricing is $4 per share,or a total of $400,000, implying total costs of $460,000.b.No. The underwriters do not capture the part of the costs corresponding tothe underpricing. The underpricing may be a rational marketing strategy.Without it, the underwriters would need to spend more resources in orderto place the issue with the public. The underwriters would then need tocharge higher explicit fees to the issuing firm. The issuing firm may bejust as well off paying the implicit issuance cost represented by theunderpricing.13.a.The stock is purchased for: 300 x $40 = $12,000The amount borrowed is $4,000. Therefore, the investor put upequity, or margin, of $8,000.b.If the share price falls to $30, then the value of the stock falls to $9,000.By the end of the year, the amount of the loan owed to the broker grows to: $4,000 x 1.08 = $4,320Therefore, the remaining margin in the investor’s account is:$9,000 - $4,320 = $4,680The percentage margin is now: $4,680/$9,000 = 0.52 = 52%Therefore, the investor will not receive a margin call.c.The rate of return on the investment over the year is:(Ending equity in the account - Initial equity)/Initial equity= ($4,680 - $8,000)/$8,000 = - 0.415=-41.5%14.a. The initial margin was: 0.50 x 1,000 x $40 = $20,000As a result of the increase in the stock price Old Economy Tradersloses:$10 x 1,000 = $10,000Therefore, margin decreases by $10,000. Moreover, Old EconomyTraders must pay the dividend of $2 per share to the lender of theshares, so that the margin in the account decreases by an additional$2,000. Therefore, the remaining margin is:$20,000 – $10,000 – $2,000 = $8,000b. The percentage margin is: $8,000/$50,000 = 0.16 = 16%So there will be a margin call.c. The equity in the account decreased from $20,000 to $8,000 in one year,for a rate of return of: (-$12,000/$20,000) = - 0.60 = - 60%15.a. The buy order will be filled at the best limit-sell order price: $50.25b. The next market buy order will be filled at the next-best limit-sell orderprice: $51.50c. You would want to increase your inventory. There is considerable buyingdemand at prices just below $50, indicating that downside risk is limited.In contrast, limit sell orders are sparse, indicating that a moderate buyorder could result in a substantial price increase.16.a. You buy 200 shares of Telecom for $10,000. These shares increase invalue by 10%, or $1,000. You pay interest of: 0.08 x 5,000 = $400The rate of return will be: 000,5$400$000,1$- = 0.12 = 12%b. The value of the 200 shares is 200P. Equity is (200P – $5,000). You willreceive a margin call when:P200000,5$P 200-= 0.30 when P = $35.71 or lower17.a.Initial margin is 50% of $5,000 or $2,500.b.Total assets are $7,500 ($5,000 from the sale of the stock and $2,500 putup for margin). Liabilities are 100P. Therefore, net worth is ($7,500 –100P). A margin call will be issued when:P 100P100500,7$= 0.30 when P = $57.69 or higher18.The broker is instructed to attempt to sell your Marriott stock as soon as theMarriott stock trades at a bid price of $20 or less. Here, the broker will attempt to execute, but may not be able to sell at $20, since the bid price is now $19.95. The price at which you sell may be more or less than $20 because the stop-lossbecomes a market order to sell at current market prices.19.a.55.50b.55.25c.The trade will not be executed because the bid price is lower than the pricespecified in the limit sell order.d.The trade will not be executed because the asked price is greater than theprice specified in the limit buy order.20.a.In an exchange market, there can be price improvement in the two marketorders. Brokers for each of the market orders (i.e., the buy and the sell orders)can agree to execute a trade inside the quoted spread. For example, they cantrade at $55.37, thus improving the price for both customers by $0.12 or$0.13 relative to the quoted bid and asked prices. The buyer gets the stockfor $0.13 less than the quoted asked price, and the seller receives $0.12 morefor the stock than the quoted bid price.b.Whereas the limit order to buy at $55.37 would not be executed in a dealermarket (since the asked price is $55.50), it could be executed in an exchangemarket. A broker for another customer with an order to sell at market wouldview the limit buy order as the best bid price; the two brokers could agree tothe trade and bring it to the specialist, who would then execute the trade.21.a.You will not receive a margin call. You borrowed $20,000 and withanother $20,000 of your own equity you bought 1,000 shares of Disney at$40 per share. At $35 per share, the market value of the stock is $35,000,your equity is $15,000, and the percentage margin is: $15,000/$35,000 =42.9%. Your percentage margin exceeds the required maintenance margin.b.You will receive a margin call when:P 000 ,1000 ,20$P000,1= 0.35 when P = $30.77 or lower22.The proceeds from the short sale (net of commission) were: ($21 x 100) – $50 =$2,050A dividend payment of $300 was withdrawn from the account. Covering theshort sale at $15 per share cost you (including commission): $1500 + $50 = $1550Therefore, the value of your account is equal to the net profit on the transaction: $2050 – $300 – $1550 = $200Note that your profit ($200) equals (100 shares x profit per share of $2). Your net proceeds per share was:$21 selling price of stock–$ 15 repurchase price of stock–$ 3 dividend per share–$ 1 2 trades x $0.50 commission per share$ 223.The total cost of the purchase is: $40 x 500 = $20,000You borrow $5,000 from your broker, and invest $15,000 of your own funds.Your margin account starts out with net worth of $15,000.a.(i)Net worth increases to: ($44 x 500) – $5,000 = $17,000Percentage gain = $2,000/$15,000 = 0.1333 = 13.33%(ii)With price unchanged, net worth is unchanged.Percentage gain = zero(iii)Net worth falls to ($36 x 500) – $5,000 = $13,000Percentage gain = (–$2,000/$15,000) = –0.1333 = –13.33%The relationship between the percentage return and the percentage change in the price of the stock is given by:% return = % change in price x equityinitial s Investor'investment T otal = % change in price x 1.333For example, when the stock price rises from $40 to $44, the percentage change in price is 10%, while the percentage gain for the investor is:% return = 10% x 000,15$000,20$ = 13.33%b. The value of the 500 shares is 500P. Equity is (500P – $5,000). You willreceive a margin call when:P 500000,5$P 500- = 0.25 when P = $13.33 or lowerc. The value of the 500 shares is 500P. But now you have borrowed $10,000instead of $5,000. Therefore, equity is (500P – $10,000). You willreceive a margin call when:P500000,10$P 500- = 0.25 when P = $26.67With less equity in the account, you are far more vulnerable to a margincall.d. By the end of the year, the amount of the loan owed to the broker grows to:$5,000 x 1.08 = $5,400The equity in your account is (500P – $5,400). Initial equity was $15,000. Therefore, your rate of return after one year is as follows:(i) 000,15$000,15$400,5$)44$500(--⨯= 0.1067 = 10.67% (ii) 000,15$000,15$400,5$)40$500(--⨯= –0.0267 = –2.67% (iii) 000,15$000,15$400,5$)36$500(--⨯= –0.1600 = –16.00%The relationship between the percentage return and the percentage change in the price of Intel is given by:% return = ⎪⎪⎭⎫ ⎝⎛⨯equity initial s Investor'investment Total price in change % ⎪⎪⎭⎫ ⎝⎛⨯-equity initial s Investor'borrowed Funds %8For example, when the stock price rises from $40 to $44, the percentage change in price is 10%, while the percentage gain for the investor is:⎪⎭⎫ ⎝⎛⨯000,15$000,20$%10⎪⎭⎫ ⎝⎛⨯-000,15$000,5$%8=10.67%e. The value of the 500 shares is 500P. Equity is (500P – $5,400). You willreceive a margin call when:P500400,5$P 500- = 0.25 when P = $14.40 or lower24.a. The gain or loss on the short position is: (–500 ⨯ ∆P)Invested funds = $15,000Therefore: rate of return = (–500 ⨯ ∆P)/15,000The rate of return in each of the three scenarios is:(i) rate of return = (–500 ⨯ $4)/$15,000 = –0.1333 = –13.33%(ii) rate of return = (–500 ⨯ $0)/$15,000 = 0%(iii) rate of return = [–500 ⨯ (–$4)]/$15,000 = +0.1333 = +13.33%Total assets in the margin account are $20,000 (from the sale of the stock) + $15,000 (the initial margin) = $35,000. Liabilities are 500P. A margin call will be issued when:P500P 500000,35$- = 0.25 when P = $56 or higherb. With a $1 dividend, the short position must now pay on the borrowedshares: ($1/share ⨯ 500 shares) = $500. Rate of return is now:[(–500 ⨯ ∆P) – 500]/15,000(i)rate of return =[(–500 ⨯ $4) – $500]/$15,000 = –0.1667 = –16.67% (ii)rate of return = [(–500 ⨯ $0) – $500]/$15,000 = –0.0333 = –3.33% (iii)rate of return = [(–500) ⨯ (–$4) – $500]/$15,000 = +0.1000 = +10.00%Total assets are $35,000, and liabilities are (500P + 500). A margin call will be issued when:P 500500 P500000,35--= 0.25 when P = $55.20 or higherCFA 1Answer: d - The broker will sell, at current market price, after the first transaction at $55 or less.CFA 2Answer: bCFA 3Answer: d。