【最新试题库含答案】投资学第9章习题及答案
投资学精要(博迪)(第五版)习题答案英文版chapter9&10
Essentials of Investments (BKM 5th Ed.)Answers to Suggested Problems – Lecture 7Bond Pricing Examples for Exam 3:Problem 9(a) in Chapter 9 provides an example of a bond price calculation (answer shown below). As additional examples, page 69 in your course packet provides several bond pricing problems for bonds with various maturity, yield, and coupon characteristics. The bond prices for these examples are as follows (note all bonds pay coupons semi-annually):8% coupon, 8% market yield, 10 years to maturity: B = $1,000.008% coupon, 10% market yield, 10 years to maturity: B = $875.388% coupon, 6% market yield, 10 years to maturity: B = $1,148.778% coupon, 8% market yield, 20 years to maturity: B = $1,000.008% coupon, 10% market yield, 20 years to maturity: B = $828.418% coupon, 6% market yield, 20 years to maturity: B = $1,231.156% coupon, 8% market yield, 10 years to maturity: B = $864.106% coupon, 10% market yield, 10 years to maturity: B = $750.766% coupon, 6% market yield, 10 years to maturity: B = $1000.00Chapter 9:4. Lower. Interest rates have fallen since the bond was issued. Thus, the bond is selling at apremium and the price will decrease (toward par value) as the bond approaches maturity.5. True. Under the Expectations Hypothesis, there are no risk premia built into bond prices.The only reason for an upward sloping yield curve is the expectation of increased short-term rates in the future.7. Uncertain. Liquidity premium will increase long-term yields, but lower inflationexpectations will reduce long-term yields compared to short-term rates. The net effect is uncertain.8. If the yield curve is upward sloping, you cannot conclude that investors expect short-terminterest rates to rise because the rising slope could either be due to expectations of future increases in rates or due to a liquidity premium.9. a) The bond pays $50 every 6 monthsCurrent price = $1052.42Assuming that market interest rates remain at 4% per half year:the price 6 months from now = $1044.52b) Rate of return = [1044.52 - 1052.42 + 50]/1052.42 = .04 or 4% per 6 months14. Zero 8% coupon 10% coupona) Current prices $463.19 $1,000 $1,134.20b) Price in 1 year $500.25 $1,000 $1,124.94change $37.06 $0.00 $-9.26PriceCouponincome $0.00 $80.00 $100.00$37.06 $80.00 $90.74incomeTotalRate of return 8.00% 8.00% 8.00%33. a) The forward rate, f, is the rate that makes rolling over one-year bonds equally attractiveas investing in the two-year maturity bond and holding until maturity:(1.08)(1 + f) = (1.09)2 which implies that f = 0.1001 or 10.01%b) According to the expectations hypothesis, the forward rate equals the expected shortrate next year, so the best guess would be 10.01%.c) According to the liquidity preference (liquidity premium) hypothesis, the forward rateexceeds the expected short-term rate for next year (by the amount of the liquiditypremium), so the best guess would be less than 10.01%.35. a. We obtain forward rates from the following table:Maturity(years)YTM Forward rate Price (for part c)($1000/1.10)1 10.0% $909.09[(1.112/1.10) – 1] $811.62 ($1000/1.112)12.01%2 11.0%[(1.123/1.112) – 1] $711.78 ($1000/1.123)14.03%3 12.0%b. We obtain next year’s prices and yields by discounting each zero’s face value at theforward rates derived in part (a):Maturity(years)Price YTM1 $892.78 [ = 1000/1.1201] 12.01%2 $782.93 [ = 1000/(1.1201 x 1.1403)] 13.02%Note that this year’s upward sloping yield curve implies, according to theexpectations hypothesis, a shift upward in next year’s curve.c.Next year, the two-year zero will be a one-year zero, and it will therefore sell at: ($1000/1.1201) = $892.78Similarly, the current three-year zero will be a two-year zero, and it will sell for $782.93. Expected total rate of return:two-year bond: %00.101000.0162.811$78.892$==− three-year bond: %00.101000.0178.711$93.782$==−37. d) 2e) 3f) 2g) 4Chapter 10:1. ∆∆B B D y y =−⋅+1 -7.194 * (.005/1.10) = -.03272.If YTM=6%, Duration=2.833 years If YTM=10%, Duration=2.824 years6.a) Bond B has a higher yield since it is selling at a discount. Thus, the duration of bond B is lower (it is less sensitive to interest rate changes).b) Bond B has a lower yield and is callable before maturity. Thus, the duration of bond B is lower (it is less sensitive to interest rate changes).9.a) PV = 10,000/(1.08) + 10,000/((1.08)2) = $17,832.65Duration = (9259.26/17832.65)*1 + (8573.39/17832.65)*2 = 1.4808 yearsb) A zero-coupon bond with 1.4808 years to maturity (duration=1.4808) would immunize the obligation against interest rate risk.c) We need a bond position with a present value of $17,832.65. Thus, the face value of thebond position must be:$17,832.65*(1.08)1.4808 = $19,985.26If interest rates increase to 9%, the value of the bond would be:$19,985.26/((1.09)1.4808) = $17,590.92The tuition obligation would be:10,000/1.09 + 10,000/((1.09)2) = $17,591.11or a net position change of only $0.19.If interest rates decrease to 7%, the value of the bond would be:$19,985.26/((1.07)1.4808) = $18,079.99The tuition obligation would be:10,000/(1.07) + 10,000((1.07)2) = $18,080.18or a net position change of $0.19.**The slight differences result from the fact that duration is only a linear approximationof the true convex relationship between fixed-income values and interest rates.11. a) The duration of the perpetuity is 1.05/.05 = 21 years. Let w be the weight of the zero-coupon bond. Then we find w by solving:w × 5 + (1 – w) × 21 = 1021 – 16w = 10w = 11/16 or .6875Therefore, your portfolio would be 11/16 invested in the zero and 5/16 in theperpetuity.b) The zero-coupon bond now will have a duration of 4 years while the perpetuity willstill have a 21-year duration. To get a portfolio duration of 9 years, which is now theduration of the obligation, we again solve for w:w × 4 + (1 – w) × 21 = 921 – 17w = 9w = 12/17 or .7059So the proportion invested in the zero has to increase to 12/17 and the proportion in theperpetuity has to fall to 5/17.12. a) The duration of the perpetuity is 1.1/.1 = 11 years. The present value of the payments is$1 million/.10 = $10 million. Let w be the weight of the 5-year zero-coupon bond andtherefore (1 – w) will be the weight of the 20-year zero-coupon bond. Then we find wby solving:w × 5 + (1 – w) × 20 = 1120 – 15w = 11w = 9/15 = .60Therefore, 60% of the portfolio will be invested in the 5-year zero-coupon bond and 40%in the 20-year zero-coupon bond.Therefore, the market value of the 5-year zero must be×.60 = $6 million.$10millionSimilarly, the market value of the 20-year zero must be$10× .40 = $4 millionmillionb) Face value of the 5-year zero-coupon bond will be× (1.10)5 = $9.66 million.$6millionFace value of the 20-year zero-coupon bond will be$4 million × (1.10)20 = $26.91 million.18. a) 4b) 4c)42d)21. Note that we did not discuss swaps in detail. For that reason, I would not expect you to beable to answer this type of question on the exam. The question is meant to provide youwith a brief summary of some potential motivations for swaps.a) a. This swap would have been made if the investor anticipated a decline in long-terminterest rates and an increase in long-term bond prices. The deeper discount, lowercoupon 6 3/8% bond would provide more opportunity for capital gains, greater callprotection, and greater protection against declining reinvestment rates at a cost of only amodest drop in yield.b. This swap was probably done by an investor who believed the 24 basis point yield spreadbetween the two bonds was too narrow. The investor anticipated that, if the spreadwidened to a more normal level, either a capital gain would be experienced on theTreasury note or a capital loss would be avoided on the Phone bond, or both. Also, thisswap might have been done by an investor who anticipated a decline in interest rates, andwho also wanted to maintain high current coupon income and have the better callprotection of the Treasury note. The Treasury note would have unlimited potential forprice appreciation, in contrast to the Phone bond which would be restricted by its callprice. Furthermore, if intermediate-term interest rates were to rise, the price decline ofthe higher quality, higher coupon Treasury note would likely be “cushioned” and thereinvestment return from the higher coupons would likely be greater.c. This swap would have been made if the investor were bearish on the bond market. Thezero coupon note would be extremely vulnerable to an increase in interest rates since theyield to maturity, determined by the discount at the time of purchase, is locked in. This isin contrast to the floating rate note, for which interest is adjusted periodically to reflectcurrent returns on debt instruments. The funds received in interest income on the floatingrate notes could be used at a later time to purchase long-term bonds at more attractiveyields.d. These two bonds are similar in most respects other than quality and yield. An investorwho believed the yield spread between Government and Al bonds was too narrow wouldhave made the swap either to take a capital gain on the Government bond or to avoid acapital loss on the Al bond. The increase in call protection after the swap would not be afactor except under the most bullish interest rate scenarios. The swap does, however,extend maturity another 8 years and yield to maturity sacrifice is 169 basis points.e. The principal differences between these two bonds are the convertible feature of the Zmart bond and the yield and coupon advantage, and the longer maturity of the LuckyDucks debentures. The swap would have been made if the investor believed somecombination of the following: First, that the appreciation potential of the Z martconvertible, based primarily on the intrinsic value of Z mart common stock, was nolonger as attractive as it had been. Second, that the yields on long-term bonds were at acyclical high, causing bond portfolio managers who could take A2-risk bonds to reach forhigh yields and long maturities either to lock them in or take a capital gain when ratessubsequently declined. Third, while waiting for rates to decline, the investor will enjoyan increase in coupon income. Basically, the investor is swapping an equity-equivalentfor a long- term corporate bond.23. Choose the longer-duration bond to benefit from a rate decrease.a) The Aaa-rated bond will have the lower yield to maturity and the longer duration.b) The lower-coupon bond will have the longer duration and more de facto call protection.c) Choose the lower coupon bond for its longer duration.30. The price of the 7% bond in 5 years is:PVA(C=$70, N=25, r=8%) + PV($1000, N=25, r=8%) = $893.25You also get five $70 coupon payments four of which can be reinvested at 6% for a total of $394.59 in coupon income.HPR = ($893.25 - 867.42 + 394.59)/867.42 = 48.47%The price of the 6.5% bond in 5 years is:PVA(C=$65, N=15, r=7.5%) + PV($1000, N=15, r=7.5%) = $911.73You also get five $65 coupon payments four of which can be reinvested at 6% for a total of $366.41 in coupon income.HPR = ($911.73 - 879.50 + 366.41)/879.50 = 45.33%**The 7% bond has a higher 5-year holding period return.。
投资学习题答案完整版机工版
习题（1章）1.根据你自身的情况,计算你自己的理想收益率与必要收益率。
这些收益率是有可能实现的吗?你觉得选择本章中讲到的哪些金融工具有可能帮助你实现这些收益率?参考解答：（1）理想收益率和必要收益率的计算请见Excel文件，可以在课堂上根据同学自身情况进行模拟计算或调整数值。
2.试讨论你对自己风险态度的认识,并询问一下你的家庭成员或者你身边的朋友的风险态度。
尝试对这些人(包括你自己)做一个风险排序。
参考解答：可以根据教材中第一章提供的专栏1-1进行打分，提供风险态度依据。
3.本章分析了积极配置资产类别并积极选择证券品种的投资者以及消极配置资产类别并消极选择证券品种的投资者,他们分别对应表1-9中的A组合和D组合。
试问选择B组合和C组合的投资者会怎样具体地选择资产配置方案和证券投资品种?参考解答：表1-9 资产类别配置与证券品种选择组合示意A组合是积极的资产类别配置与积极的证券品种选择,这一类组合的投资者通常根据对不同资产类别的预期收益率的判断而选择不同时机改变固定收益类和股权类资产的配置比重,并且根据对不同证券品种的预期收益率的判断而开展积极的证券交易。
D组合则是消极的资产类别配置与消极的证券品种选择,这一类组合的投资者将长期坚持其既定的在不同类别资产上的配置比重,并将长期持有具体资产类别的指数基金。
B组合根据对不同资产类别的预期收益率的判断而选择不同时机改变固定收益类和股权类资产的配置比重,但是对于具体资产品种的选择则倾向于消极持有。
C组合消极开展资产类别配置选择，但是在具体的资产品种选择上将根据对不同证券品种的预期收益率的判断而开展积极的证券交易。
4.从长期来看,投资的风险和回报是正相关的,为什么短期而言并不一定如此?参考解答：从长期来看,投资的风险和回报之间的正相关关系是金融市场在长期处于相对均衡状态时的结果，我们将在第七章和第八章进一步讨论背后的理论机制。
另一方面，由于金融资产的收益具有波动性，比如股票投资收益的波动性较高，有可能在某一个特定短期获得较高的收益，也有可能在某一个特点短期招致较大亏损，但是投资该股票承担的风险并没有发生大的变化，因此风险和回报之间的正相关关系在短期内未必成立。
金德环《投资学》课后习题答案
金德环《投资学》课后习题答案习题答案第一章习题答案第二章习题答案练习题1:答案:(1),公司股票的预期收益率与标准差为:Er,，，,，，,0.570.350.2206，，，，，，，，A1/2222，， ,0.5760.3560.22068.72,,，,,，,,，，，，，，A，，(2),公司和,公司股票的收益之间的协方差为:Covrr,0.5762510.50.3561010.5,,,，,,,，，，，，，，，，，AB ，,,,,,0.22062510.590.5，，，，(3),公司和,公司股票的收益之间的相关系数为:Covrr,，，,90.5AB ,,,,,0.55AB，8.7218.90,,AB练习题2:答案:如果,,,的投资投资于,公司，余下,,,投资于,公司的股票，这样得出的资产组合的概率分布如下:钢生产正常年份钢生产异常年份股市为牛市股市为熊市概率 0.5 0.3 0.2 资产组合收益率(,) ,, ,., -2.5 得出资产组合均值和标准差为:Er=0.516+0.32.5+0.2-2.5=8.25，，，，，，，，，，组合1/22222，， ,=0.516-8.25+0.32.5-8.25+0.2-2.5-8.25+0.2-2.5-8.25=7.94，，，，，，，，组合，，1/22222,=0.518.9+0.58.72+20.50.5-90.5=7.94，，，，，，，，，，，，，,,组合，，练习题3:答案:尽管黄金投资独立看来似有股市控制，黄金仍然可以在一个分散化的资产组合中起作用。
因为黄金与股市收益的相关性很小，股票投资者可以通过将其部分资金投资于黄金来分散其资产组合的风险。
练习题4:答案:通过计算两个项目的变异系数来进行比较:0.075 CV==1.88A0.040.09 CV==0.9B0.1考虑到相对离散程度，投资项目B更有利。
练习题5:答案:R(1)回归方程解释能力到底如何的一种测度方法式看的总方差中可被方程解释的方差所it2,占的比例。
证券投资学习题第9章 证券投资组合
第九章证券投资组合一、名词解释1.马柯维茨有效组合：在构造证券资产组合时，投资者谋求在既定风险水平下具有最高预期收益的证券组合，满足这一要求的组合称为有效组合，也称马柯维茨有效组合.2.市场组合：指由风险证券构成，并且其成员证券的投资比例与整个市场上风险证券的相对市值比例一致的证券组合。
3.β系数：指证券的收益率和市场组合收益率的协方差，再除以市场组合收益率的方差，即单个证券风险与整个市场风险的比值。
Β=1说明该证券系统风险与市场组合风险一致；β>1说明该证券系统风险大于市场组合风险；β<1说明该证券系统风险小于市场组合风险；β=0、5说明该证券系统风险只有整个市场组合风险的一半；β=2说明该证券系统风险是整个市场组合风险的两倍；β=0说明没有系统性风险4.最优组合：最优证券组合的选择应同时符合以下条件：①最优组合应位于有效边界上，只有在有效边界上的组合才是有效组合。
②最优组合又应同时位于投资者的无差异曲线上，而且应位于左上方的无差异曲线上。
③无差异曲线与有效边界的切点是投资者对证券组合的最优选择，而且是唯一的选择。
5. 无风险借贷：存在一种无风险资产，任何投资者可以不受限制地以无风险利率进行借入和贷出二、单选题1.某人投资了三种股票，这三种股票的方差一协方差矩阵如下表，矩阵第（i, j）位置上的元素为股票i与j的协方差，已知此人投资这三种股票的比例分别为0．3，0．3，0．4，则该股票投资组合的风险是（C）。
A．8．1 B．5．1 C．6．1 D．9．22.假设某股票组合含N种股票，它们各自的非系统风险是互不相关的，且投资于每种股票的资金数相等。
则当N变得很大时，投资组合的非系统风险和总风险的变化分别是（ B ）。
A．不变，降低B．降低，降低C．增高，增高D．降低，增高3.X股票的β系数为1.7，Y股票的β系数为0.8，现在股市处于牛市，请问你想短期获得较大的收益，则应该选哪种股票? (A )A、XB、YC、X和Y的某种组合D、无法确定4.某人投资四种股票，投资状况见下表，则其所投资的股票组合的年预期收益率为( B )。
投资学题库及答案
《投资学》（第四版）练习题第1章投资概述习题一、单项选择题1、下列行为不属于投资的是（）。
CA. 购买汽车作为出租车使用B. 农民购买化肥C. 购买商品房自己居住D. 政府出资修筑高速公路2、投资的收益和风险往往（）。
AA. 同方向变化B. 反方向变化C. 先同方向变化，后反方向变化D. 先反方向变化，后同方向变化二、判断题1、资本可以有各种表现形态，但必须有价值。
（）√2、证券投资是以实物投资为基础的，是实物投资活动的延伸。
（）√3、从银行贷款从事房地产投机的人不是投资主体。
（）×三、多项选择题1、以下是投资主体必备条件的有（）ABDA．拥有一定量的货币资金 B．对其拥有的货币资金具有支配权C．必须能控制其所投资企业的经营决策 D．能够承担投资的风险2、下列属于真实资本有（）ABCA．机器设备 B．房地产 C．黄金 D．股票3、下列属于直接投资的有（）ABA．企业设立新工厂 B．某公司收购另一家公司60%的股权C．居民个人购买1000股某公司股票 D．发放长期贷款而不参与被贷款企业的经营活动四、简答题1、直接投资与间接投资第2章市场经济与投资决定习题一、单项选择题1、市场经济制度与计划经济制度的最大区别在于（）。
BA. 两种经济制度所属社会制度不一样B. 两种经济制度的基础性资源配置方式不一样C. 两种经济制度的生产方式不一样D. 两种经济制度的生产资料所有制不一样2、市场经济配置资源的主要手段是（）。
DA. 分配机制B. 再分配机制C. 生产机制D. 价格机制二、判断题1、在市场经济体制下，自利性是经济活动主体从事经济活动的内在动力。
（）√2、产权不明晰或产权缺乏严格的法律保护是造成市场失灵的重要原因之一。
（）×3、按现代产权理论，完整意义上的产权主要是指对一种物品或资源的支配使用权、自由转让权以及剩余产品的收益权。
（）×四、简答题1、市场失灵、缺陷第3章证券投资概述习题一、单项选择题1、在下列证券中，投资风险最低的是（）AA、国库券B、金融债券C、国际机构债券D、公司债券2、中国某公司在美国发行的以欧元为面值货币的债券称之为（）BA．外国债券 B．欧洲债券 C．武士债券 D．扬基债券3、中央银行在证券市场市场买卖证券的目的是（）DA、赚取利润B、控制股份C、分散风险D、宏观调控4、资本证券主要包括（）。
投资学题库及答案
《投资学》（第四版）练习题第1章投资概述习题一、单项选择题1、下列行为不属于投资的是（）。
CA. 购买汽车作为出租车使用B. 农民购买化肥C. 购买商品房自己居住D. 政府出资修筑高速公路2、投资的收益和风险往往（）。
AA. 同方向变化B. 反方向变化C. 先同方向变化，后反方向变化D. 先反方向变化，后同方向变化二、判断题1、资本可以有各种表现形态，但必须有价值。
（）√2、证券投资是以实物投资为基础的，是实物投资活动的延伸。
（）√3、从银行贷款从事房地产投机的人不是投资主体。
（）×三、多项选择题1、以下是投资主体必备条件的有（）ABDA．拥有一定量的货币资金 B．对其拥有的货币资金具有支配权C．必须能控制其所投资企业的经营决策 D．能够承担投资的风险2、下列属于真实资本有（）ABCA．机器设备 B．房地产 C．黄金 D．股票3、下列属于直接投资的有（）ABA．企业设立新工厂 B．某公司收购另一家公司60%的股权C．居民个人购买1000股某公司股票 D．发放长期贷款而不参与被贷款企业的经营活动四、简答题1、直接投资与间接投资第2章市场经济与投资决定习题一、单项选择题1、市场经济制度与计划经济制度的最大区别在于（）。
BA. 两种经济制度所属社会制度不一样B. 两种经济制度的基础性资源配置方式不一样C. 两种经济制度的生产方式不一样D. 两种经济制度的生产资料所有制不一样2、市场经济配置资源的主要手段是（）。
DA. 分配机制B. 再分配机制C. 生产机制D. 价格机制二、判断题1、在市场经济体制下，自利性是经济活动主体从事经济活动的内在动力。
（）√2、产权不明晰或产权缺乏严格的法律保护是造成市场失灵的重要原因之一。
（）×3、按现代产权理论，完整意义上的产权主要是指对一种物品或资源的支配使用权、自由转让权以及剩余产品的收益权。
（）×四、简答题1、市场失灵、缺陷第3章证券投资概述习题一、单项选择题1、在下列证券中，投资风险最低的是（）AA、国库券B、金融债券C、国际机构债券D、公司债券2、中国某公司在美国发行的以欧元为面值货币的债券称之为（）BA．外国债券 B．欧洲债券 C．武士债券 D．扬基债券3、中央银行在证券市场市场买卖证券的目的是（）DA、赚取利润B、控制股份C、分散风险D、宏观调控4、资本证券主要包括（）。
博迪《投资学》(第10版)章节题库-第九章至第十章【圣才出品】
第三部分资本市场均衡第9章资本资产定价模型一、选择题1．如果一个股票的价值是高估的，则它应位于（）。
A．证券市场线的上方B．证券市场线的下方C．证券市场线上D．在纵轴上【答案】B【解析】证券市场线（SML）如图9-1所示，它主要用来说明投资组合报酬率与系统风险程度β系数之间的关系。
图9-1被高估的证券预期收益率低于市场收益率，因此位于证券市场线下方。
2．无风险利率和市场预期收益率分别是3.5%和10.5%。
根据资本资产定价模型，一只β值是1.63的证券的预期收益是（）。
A．10.12%B．14.91%C．16.56%D．18.79%【答案】B【解析】根据资本资产定价模型：E（r i）＝r f＋β[E（r M）－r f]＝3.5%＋1.63×（10.5%－3.5%）＝14.91%。
3．资本资产定价模型给出了精确预测（）的方法。
A．有效投资组合B．单一资产与风险资产组合期望收益率C．不同风险收益偏好下最优风险投资组合D．资产风险及其期望收益率之间的关系【答案】D【解析】根据资本资产定价模型，每一证券的期望收益率应等于无风险利率加上该证券由β系数测定的风险溢价。
4．假定一只股票定价合理，预期收益是15%，市场预期收益是10.5%，无风险利率是3.5%，这只股票的β值是（）。
A．1.36B．1.52C．1.64D．1.75【答案】C【解析】既然α值假定为零，证券的收益就等于CAPM设定的收益。
因此，将已知的数值代入CAPM，即15%＝[3.5%＋（10.5%－3.5%）β]，解得：β＝1.64。
5．根据CAPM模型，市场期望收益率和无风险收益率分别是0.12和0.06，β值为1.2的证券A的期望收益率是（）。
A．0.068B．0.12C．0.132D．0.142【答案】C【解析】根据资本资产定价模型，E（r i）＝r f＋[E（r M）－r f]βi＝0.06＋（0.12－0.06）×1.2＝0.132。
威廉夏普投资学课后习题答案解析第九章
1. There are ten key assumptions underlying the CAPM:1. Investors evaluate portfolios by analyzing expected returns and standarddeviations over a one-period time horizon.2. Everything else equal, investors prefer portfolios with greater expectedreturns.3. Everything else equal, investors prefer portfolios with lower standarddeviations.4. Assets are infinitely divisible.5. Investors may borrow or lend at a single riskfree interest rate.6. Taxes and transaction costs are immaterial.7. All investors have the same one-period time horizon.8. All investors borrow and lend at the same riskfree rate.9. All investors have immediate and costless access to all relevant information.10. Investors possess homogeneous expectations regarding the expected returnsand risks of securities.3. The separation theorem states that an investor's optimal risky portfolio can bedetermined without reference to the investor's risk-return preferences.Assuming that every investor has the same expectations regarding expected returns and risks for available securities, and assuming that everyone faces the same riskfree rate, then the efficient set must be the same for all investors. This implies that every investor will hold the same risky portfolio. (That risky portfolio is represented by the point of tangency between a ray emanating from the riskfree asset and extending into risk-return space and tangent to the curved Markowitz efficient set.) The only difference in portfolios held by investors will be with respect to the amount of riskfree lending or borrowing undertaken, which will depend on the investors' individual risk-return preferences.6. If investors wish to hold more units of a security than are available, then they willbid up the price of the security, thereby reducing its expected return. The lower expected return will cause investors to reduce their desired holdings of the security.Conversely, if investors wish to hold fewer units of a security than are available, then they will bid down the security's price, thereby increasing its expected return.The higher expected return will cause investors to wish to hold more units of the security.This process will drive the price of the security toward its equilibrium value at which point the number of units investors wish to hold will equal the number of units outstanding. This equilibrating process will produce market clearing prices for all securities. Further, the riskfree rate will move to a level where the total amount of money borrowed will equal the supply of money available for lending.7. Investor does not require any adjustments by an investor in the market portfolio.Every security in the market portfolio is represented in proportion to its marketvalue relative to the market value of all securities. The market value of a secu rity is the units of the security outstanding times the market price of the security. Thus as relative prices of securities change, their relative market values and therefore their proportions of the market portfolio change concomitantly. No adjustment is required on the part of the investor.10. The equation of the Capital Market Line (CML) is:r p = r f + [(r M - r f )/ M ]* pIn this case, the market portfolio is composed of two securities, A and B . Thu s the expected return of the market portfolio is:r M = (X A ⨯ r A ) + (X B ⨯ r B )= (.40 ⨯ 10%) + (.60 ⨯ 15%)= 13.0%The standard deviation of the market portfolio is:[]2/122222B A AB B A B B A A M X X X X σσρσσσ++== {[(.40)² ⨯ (20)²] + [(.60)² ⨯ (28)²]+ [2 ⨯ (.40) ⨯ (.60) ⨯ (.30) ⨯ (20) ⨯ (28)]}½= [64 + 282.2 + 80.6]½ = 20.7%Therefore the equation for the CML is:r p = 5.0% + [(13.0% - 5.0%)/20.7%] ⨯ p= 5.0% + .39p12. The standard deviation of the market portfolio can be shown to equal the squareroot of the weighted average of the covariances of all its component securities with it. In the case of the this four security portfolio: M = [.20 ⨯ 242 + .30 ⨯ 360 + .20 ⨯ 155 + .30 ⨯ 210]½= (250.4)½ = 15.8%14. According to the CAPM, all investors will hold the market portfolio combinedwith riskfree borrowing or lending. Therefore all investors will be concerned with the risk (or standard deviation) of the market portfolio. The standard deviation of the market portfolio can be shown to be a function of the covariances with it of each of the securities that make up the market portfolio. Therefore th e contribution that each security makes to the market portfolio's risk will be directly related to its covariance with the market portfolio. Risk averse investors will demand higher returns from securities exhibiting higher covariances with the market portfolio.15. With respect to risk, the investor ultimately is concerned with the standarddeviation of his or her portfolio. Therefore, in evaluating a well-diversified portfolio, the relevant measure of risk is standard deviation. However, the contribution of an individual security to a portfolio's standard deviation is not the standard deviation of the security. That is, a portfolio's standard deviation is n ot simply the weighted average of the standard deviations of the component securities. The appropriate measure of a security's risk is the contribution that it makes to the standard deviation of a well-diversified portfolio. That contribution is reflected in the security's covariance with the portfolio.18. Oil is incorrect. The CAPM implies that it is possible for a security to have apositive standard deviation and an expected return less than the riskfree rate. Th e CAPM relationship specifies that:r p = r f + (r M - r f ) iM Thus a security with a negative covariance with the market portfolio would havean expected return less than the riskfree rate. In practice, however, few, if any , securities have a negative covariances with surrogates for the market portfolio.19. The beta of a security is calculated as:βσσi iM M =2Therefore:βA ==292151302.βB ==180150802. βC ==225151002.20. The beta of a portfolio is given by:ββp i i i n X ==∑1In Kitty's case:ßp = (.30 ⨯ .90) + (.10 ⨯ 1.30) + (.60 ⨯ 1.05)= 1.0322. a.b. r i = r f + (r M - r f )βi= 6% + (10% - 6%)ßi= 6% + (4%)ßi c. r A = 6% + (4%)(.85)= 9.4% r B= 6% + (4%)(1.20) = 10.8%24. A security that plots above the SML would be considered an attractive investment.The expected return offered by such a security is greater than that required given its risk. Investors should wish to add such a security to their portfolios.26. Market (or systematic) risk is the portion of a security's total risk that is related tomovements in the market portfolio and hence to the beta of the security. By definition, because the market portfolio is perfectly diversified, market risk in a portfolio cannot be reduced through diversification.Nonmarket (or unique or unsystematic) risk is the portion of a security's total riskthat is not related to moves in the market portfolio. Rather, it is related to even ts specific to the security. As a result, unique risk in a portfolio can be reduced through diversification.28. Two relationships are necessary to identify the missing data in the table:(1) r i = r f + (r M - r f )βi61218240.000.50 1.00 1.50 2.00E x p e c t e d R e t u r n (%)BetaR f =(2) ()2222i M p i εσσβσ+= Using these equations, consider security D first: 7.0 = r f + (r M - r f ) ⨯ 0 r f = 7.0% Next consider security B : 19.0 = 7.0 + (r M - 7.0) ⨯ 1.5 r M = 15.0% Next consider security C : 15.0 = 7.0 + (15.0 - 7.0) ßC ßC = 1.0 Further: (12)² = (1.0)² ⨯ σM 2 + 0 σM 2 = 12% Next consider security A : r A = 7.0 + (15.0 - 7.0)(.8) r A = 13.4% Further: A = [(.8)² ⨯ (12)² + 81]½= 13.2% Returning to security B : B = [(1.5)² ⨯ (12)² + 36]½ = 19.0% Finally, consider security E : 16.6 = 7.0 + (15.0 - 7.0) ßE ßE = 1.2 Further: (15)² = (1.2)² ⨯ (12)² + 2i εσ 2i εσ = 17.6。
投资学第9章习题及答案
本章习题1．简述利率敏感性的六个特征。
2．简述久期的法则。
3．凸性和价格波动之间有着怎样的关系？4．简述可赎回债券与不可赎回债券的凸性之间的区别。
5．简述负债管理策略中免疫策略的局限性。
6．简述积极的债券投资组合管理中互换策略的主要类型。
7．一种收益率为10%的9年期债券，久期为7.194年。
如果市场收益率改变50个基点，则债券价格变化的百分比是多少？8．某种半年付息的债券，其利率为8%，收益率为8%，期限为15年，麦考利久期为10年。
（1）利用上述信息，计算修正久期。
（2）解释为什么修正久期是计算债券利率敏感性的较好方法。
（3）确定修正久期变动的方向，如果：a．息票率为4%，而不是8%b．到期期限为7年而不是15年。
（4）说明在给定利率变化的情况下，修正久期与凸性是怎样用来估计债券价格变动的？第九章本章习题答案1. 在市场利率中，债券价格的敏感性变化对投资者而言显然十分重要。
为了了解利率风险的决定因素，可以参见图9-1。
该图表示四种债券价格相对于到期收益变化的变化百分比，它们有不同的息票率、初始到期收益率以及到期时间。
这四种债券的情况表明，当收益增加时，债券价格下降；价格曲线是凸的，这意味着收益下降对价格的影响远远大于等规模的收益增加。
通过观察，可以得出以下两个特征：（1）债券价格与收益呈反比，即：当收益升高时，债券价格下降；当收益上升时，债券价格上升。
（2）债券的到期收益升高会导致其价格变化幅度小于等规模的收益下降。
比较债券A和B的利率敏感性，除到期时间外，其他情况均基本相同。
图9-1表明债券B比债券A期限更长，对利率更敏感。
这体现出其另一特征：（3）长期债券价格对利率变化的敏感性比短期债券更高。
这不足为奇，例如，如果利率上涨，则当前贴现率较高，债券的价值下降。
由于利率适用于更多种类的远期现金流，则较高的贴现率的影响会更大。
值得注意的是，当债券B的期限是债券A的期限的6倍的时候，它的利率敏感性低于6倍。
投资学第9章习题及答案
投资学第9章习题及答案第10章5、因为投资组合F的β=0，所以其预期收益等于无风险利率对于投资组合A，风险溢价与β的比率为（12-6）/1.2=5 对于投资组合E，风险溢价与β的比率为（8-6）/0.6=3.33对比表明，这里有套现机会存在。
例如，我们能创建一个投资组合G，其包含投资组合A和投资组合F，并且两者有相等的权重，使它满足β等于0.6；这样投资组合F的期望收益和β为：E(rG ) = (0.5 × 12%) + (0.5 × 6%) = 9%βG = (0.5 × 1.2) + (0.5 × 0%) = 0.6对比投资组合G和投资组合E，投资组合G跟E具有相同的β值，但具有更高的期望收益。
因此通过买入投资组合G，并卖出相同数量投资组合E资产就可以实现套现机会。
这种套现利润：rG – rE =[9% + (0.6 × F)] ? [8% + (0.6 × F)] = 1%6、设无风险利率为rf，风险溢价因素RP，则：12% = rf + (1.2 × RP)9% = rf + (0.8 × RP)解之得： rf=3%，RP=7.5%7、a、由题目知，买进100万美元等权重的正α值的股票并同时卖出100万美元的等权重的负α值的股票；假定市场风险为0；则预期收益为：$1,000,000*0.02-$1,000,000*(-0.02)=$40,000b、对于分析师分析的20只股票，每只股票持有时都分别为$100,000，市场风险为0，公司持有的收益标准差为30%，所以20只股票的方差为20 × [($100,000 × 0.30)* ($100,000 × 0.30)] =$18,000,000,000故标准差为$134,164a、如果分析师分析的是50只股票，那么每只股票持有时都分别为$40,000，计算收益方差：50 × [(40,000 × 0.30)* (40,000 × 0.30)] =7,200,000,000故标准差为$84,853；由于总投入资金不变，α值不变，故其期望收益也不变，为$40,0008、2a、?2??2?2M??(e)2?A?(0.82?202)?252?881222?2B?(1.0?20)?10?5002?C?(1.22?202)?202?976b、如果资产种类很多，并且具有相同的收益特征，每一个种类的充分分散投资组合将存在唯一的系统风险，因为非系统性风险随着n 的无穷大会趋近于0，因此充分分散的投资组合的超额收益方差的均值为：2 ?A?256?C2?576C、市场中不存在套现机会第11章9、答案：C。
博迪《投资学》(第9版)课后习题-资本资产定价模型(圣才出品)
第9章 资本资产定价模型一、习题1．如果()()1814P f M E r r E r =%, =6%, =%，那么该资产组合的β值等于多少？答：()()P f P M f E r r E r r β⎡⎤=+⨯−⎣⎦0.18＝0.06＋p β×（0.14－0.06）解得p β＝0.12/0.08＝1.5。
2．某证券的市场价格是50美元，期望收益率是14%，无风险利率为6%，市场风险溢价为8.5%。
如果该证券与市场投资组合的相关系数加倍（其他保持不变），该证券的市场价格是多少？假设该股票永远支付固定数额的股利。
答：如果该证券与市场投资组合的相关系数加倍（其他所有变量如方差保持不变），那么β和风险溢价也将加倍。
当前风险溢价为：14%－6%＝8%。
因此新的风险溢价将变为16%，新的证券贴现率将变为：16%＋6%＝22%。
如果股票支付某一水平的永久红利，那么，从原始的数据中可以知道，红利必须满足永续年金的现值公式：价格＝股利／贴现率即：50＝D/0.14，解得，D ＝50×0.14＝7（美元）。
在新的贴现率22%的情况下，股票价格为：7/0.22＝31.82（美元）。
股票风险的增加使它的价值降低了36.36%。
3．下列选项是否正确？并给出解释。
a ．β为零的股票提供的期望收益率为零。
b ．资本资产定价模型认为投资者对持有高波动性证券要求更高的收益率。
c ．你可以通过将75%的资金投资于短期国债，其余的资金投资于市场投资组合的方式来构建一个β为0.75的资产组合。
答：a ．错误。
β＝0意味着E （r ）＝r f ，不等于零。
b ．错误。
只有承担了较高的系统风险（不可分散的风险或市场风险），投资者才要求较高期望收益；如果高风险债券的β较小，即使总风险较大，投资者要求的收益率也不会太高。
c ．错误。
投资组合应当是75%的市场组合和25%的短期国债，此时β为：()()0.7510.2500.75p β=⨯+⨯=4．下表给出两个公司的数据。
《证券投资学》课后练习题9
第九章证券投资技术分析主要理论与方法一、选择题1.哪一种技术分析理论认为收盘价是最重要的价格？（）A.道氏理论B.波浪理论C.切线理论D.形态理论2.K线理论起源于（）A.美国B.日本C.印度D.英国3.在K线理论的四个价格中，（）是最重要的。
A.开盘价B.收盘价C.最高价D.最低价4.在下列K线图中，开盘价等于最高价的有（）A.光头光脚的阴线B.光头光脚的阳线C.十字星K线图D.带有上影线的光脚阳线5.在下列K线图中，收盘价等于最高价的有（）A.光头光脚的阴线B.光头光脚的阳线C.十字星K线图D.带有上影线的光脚阳线6.K线图中的十字线的出现表明（）A.多方力量还是略微比空方力量大点B.空方力量还是略微比多方力量大点C.多空双方的力量不分上下D.行情将继续维持以前的趋势，不存在大势变盘的意义7.黄昏之星通常出现在（）A.上升趋势中B.下降趋势中C.横盘整理中D.顶部8.射击之星，一般出现在（）A.顶部B.中部C.底部D.任意处9.下列不正确的说法是（）A.锤形线出现在下降趋势的末端，而上吊线出现在上升趋势末端B.无论是锤形线还是上吊线其下影线都比实体长的多C.锤形线是熊尽牛来的信号，而上吊线是牛尽熊来的信号D.实体的颜色非常重要10.三白兵走势是：（）A.两阴夹一阳B.两阳夹一阴C.三根阳线D.两阳一阴11.三乌鸦是指（）A.一段下降趋势后的三根阳线B.一段下降趋势后的三根阴线C.一段上升趋势后的三根阳线D.一段上升趋势后的三根阴线12.光头光脚的长阳线表示当日（）A.空方占优B.多方占优C.多、空平衡D.无法判断13.以下说法不正确的是（）A.价格低开高收产生阳K线B.价格高开低收产生阴K线C.光头阳K线说明以当日最高价收盘D.今日价格高于前日价格必定是阳K线14.就单枝K线而言,反映多方占据绝对优势的K线形状是( )A.大十字星B.带有较长上影线的阳线C.光头光脚大阴线D.光头光脚大阳线15.不适合短线买进的股票是（）A.买卖量都较小，股价轻度下跌B.遇个股利空但放量不跌C.无量大幅急跌D.分红除权后上涨16.下面一般不宜作为趋势分析对象的是（）A.长期趋势B.中期趋势C.短期趋势D.中长期趋势17.在上升趋势中，将（）连成一条直线，就得到上升趋势线A.两个低点B.两个高点C.一个低点、一个高点D.任意两点18.连接连续下降的高点得到（）A.轨道线B.上升趋势线C.支撑线D.下降趋势线19.一般说来，可以根据下列（）因素判断趋势线的有效性A.趋势线的斜率越大，有效性越强B.趋势线的斜率越小，有效性越强C.趋势线被触及的次数越少，有效性越被得到确认D.趋势线被触及的次数越多，有效性越被得到确认20.在上升趋势中，如果下一次未创新高，即未突破压力线，往后股价反而向下突破了这个上升趋势的支撑线，通常这意味着（）A.上升趋势开始B.上升趋势保持C.上升趋势已经结束D.没有含义21.支撑线和压力线之所以能起支撑和压力作用，两者之间之所以能够相互转化，很大程度是由于（）方面的原因A.机构主力争斗的结果B.心理因素C.筹码发布D.持有成本22.趋势线被突破后，这说明（）A.股价会上升B.股价走势将反转C.股价会下跌D.股价走势将加速23.在技术分析理论中，不能单独存在的切线是（）A.支撑线B.压力线C.轨道线D.趋势线24.下列说法正确的是（）A.证券市场里的人分为多头和空头两种B.压力线只存在于上升行情中C.一旦市场趋势确立，市场变动就朝一个方向运动直到趋势改变D.支撑线和压力线是短暂的，可以相互转换25.费波纳奇数列正确的排列是（）A.1,3,5,7...B.2,4,6,8...C.2,3,5,8...D.1,2,3,6...26.和黄金分割线有关的一些数字中，有一组最为重要，股价极容易在由这组数字产生的黄金分割线处产生支撑和压力，请找出这一组（）A． 0.618、1.618、2.618 B． 0.382、06.18、1.191C． 0.618、1.618、4.236 D． 0.382、0.809、4.23627.依据三次突破原则的方法是（）A.速度线B.扇形线C.甘氏线D.百分比线28.在百分比线中，（）线最为重要A.1/4B.1/3C.1/2D.2/329.根据技术分析理论，不能独立存在的切线是（）A.扇形线B.百分比线C.轨（通）道线D.速度线30.如果希望预测未来较长时期的走势，应当使用（）A.K线B.K线组合C.形态理论D.黄金分割线31.下面四个图形中，唯一只被当作中继形态的是（）A.旗形B.楔形C.菱形D.直角三角型32.（）是最著名和最可靠的反转突破形态A.头肩形态B.双重顶（底）C.圆弧形态D.喇叭形33.头肩顶形态的高度是指（）A.头的高度B.左、右肩连线的高度C.头到颈线的距离D.颈线的高度34.属于持续整理形态的有（）A.菱形B.钻石形C.旗形D.W形态35.属于持续整理形态的有（）A.菱形B.钻石形C.圆弧形D.三角形36.如果股价原有的趋势是向上，进入整理状态时形成上升三角形，那么可以初步判断今后的走势会（）A.继续整理B.向下突破C.向上突破D.不能判断37.出现在顶部的看跌的形态是（）A.菱形B.旗形C.楔形D.三角形38.下列对圆形底特征描述不正确的是（）A.底部成交量极小B.从反转过程来看，不论股价或成交量都呈圆形C.上升行情属于爆发性的，涨得急，结束也快D.上涨初期成交量急速放大39.下列不属于持续形态的是（）A.喇叭形B.矩形C.旗形D.三角形40.与头肩顶形态相比，三重形态更容易演变为（）A.反转突破形态B.圆弧顶形态C.持续整理形态D.其他各种形态41.下列不正确说法的是（）A.V形反转一般事先无征兆B.大都因市场外突发信息引起的C.可以结合支撑线、压力线以及技术指标通过消息面加以研判D.经过多次顶和底的试探42.下面不属于波浪理论主要考虑因素的是（）A.成交量B.时间C.比例D.形态43.艾略特波浪理论的数学基础来自（）A.周期理论B.黄金分割理论C.时间数列D.斐波那奇数列44.波浪理论认为一个完整的周期分为（）A.推动5浪，调整3浪B.推动5浪，调整2浪C.推动3浪，调整3浪D.推动4浪，调整2浪45.下列不正确说法的是（）A.每个推动浪又可细分为5浪B.每个调整浪又可细分为3浪C.波浪理论的数浪很容易D.推动第5浪通常有延伸浪46.波浪理论的最核心的内容是以（）为基础的A.K线理论B.指标C.切线D.周期二、名词解释1、K线：一根K线记录了证券在一个交易时间段内的价格变动情况，将它们按照时间顺序连接起来就成为了K线图。
投资学8~9章课后习题
投资学课后作业 第八章 指数模型3. 其他条件保持不变，公司特定风险越大，积极组合所占的比重越小，投资者会偏向于投资指数组合。
4.因为我们已经用市场指数表示了市场收益溢价，剩下的当然是非市场收益溢价。
当市场收益溢价为0时，α所表示的就是非市场收益溢价。
对于积极投资者而言，找到非零的α，代表夏普比率会相对其他投资组合更大，即相同的风险，收益会更高，所以积极型投资者更容易被α值大的股票吸引。
其他条件保持不变，α变大，夏普比率变大。
5.a.估计60个期望值、60个方差、C 602=1770个协方差b.单指数模型公式R i =αi +βi ∗R M +e i σ2=βi 2σM 2+σ2(e i ) 需要估计60个期望值、60个βi 、60个σ2(e i )、1个βi 2σM 2、1个R M6.a. σi2=βi 2σM 2+σ2(e i )，带入数值，解得σA=34.78%,σB=47.93%b.E r p =0.3∗E r A +0.45∗E r B +0.25∗r f ，代入数值，得E r p =14% β=0.3∗βA +0.45∗βB+0.25∗βf ，带入数值，得β=0.78σ2=βi 2σM2+σ2 e ，其中，βi 2σM2=0.782∗0.222=0.0294，σ2 e =0.32∗σ2 e A +0.452∗σ2 e B ，带入数值，得σ2 e =0.0405, σ2=0.0699,σ=26.44%7.从图中我们可以看到A 的回归线比较平缓，散点离回归线比较远，说明A 的特定风险大；B 的回归线比较陡峭，说明B 的系统风险大，散点比较接近回归线，模拟的比较好，。
a. A 的特定风险大b. B 的系统风险大c. Bd. Ae. B 8. a. A b. A c. A d.-0.2% 9. σi2=βi 2σM2+σ2e i =βi 2σM2R2, 带入数值，得σA =31.3%,σB=69.28%10. βA 2σM2=0.72∗0.22=1.96%，σ2 e A =9.797%−1.96%=7.837%，同理，得βB 2σM2=5.76% σ2 e B =4.22%11.Cov R A ,R B =βA βB σM2, 代入数值，得Cov R A ,R B =3.36%，ρ=Cov R A,R B，带入数值，得ρ=0.155σAσB12. Cov R A,R M=βAβMσM2, 代入数值，得Cov R A,R M=2.8%,同理，得Cov R M,R B=4.8%13.组合P的方差σp2=0.62∗σA2+0.42∗σB2+0.6∗0.4∗σAσB,带入数值，得σp2=0.1282 σP=35.8%βP=0.6∗0.7+0.4∗1.2=0.9, βP2σM2=3.24%,σ2e P=9.58%, Cov R P,R M=0.3614.基本思想与13题一样，这里就不再列出式子而直接写答案了：标准差为21.55%，与市场的协方差为0.3，非系统风险2.40%，系统风险19.15%16.αA=0.11−0.06−0.8∗0.12−0.06=0.02αB=0.14−0.06−1.5∗0.12−0.06=−0.01，通过比较，我会选择α大的股票17.a.b.α=-（0.61*1.6%+1.13*4.4%+1.69*3.4%+1.7*4.0%）=-16.9% β=2.08最优组合是指数组合的权重为1.047c.夏普比率为0.3662，积极组合的贡献为0.0184d.投资于短期国债的比例为0.5685，投资于股票组合的比例为（1-0.5685）第九章 资本资产定价模型8. 贴现率i=r f +β(r M −r f ),带入数值，得i=22.4% NPV= （CI −CO )t （1+i)t100,带入数值，得NPV=18.09美元，当NPV<=0时，i<=0.3573, 则β最大为3.47 9.a.各为2和0.3b.期望收益率各为18%和9%c.整体经济的证券市场线的斜率为1，纵坐标截距为6%d.每只股票的截距分别为-0.06和0.003e.8.7%10.不可能，因为A 的β比B 的要大，但是A 的收益却比B 的要小，这样的组合是无效的。
投资学课后练习答案(贺显南版)
投资学练习答案导论2.A3.ABCDE4.正确第一至第四章习题1.公司剩余盈利2.固定、累积3.C4.D5.C6.C7.正确8.错误9.A 11.C 12.C 13.D14.AD 15.B 16A 17.B 18.D 20.C 21.B22.A 23.D 24.B 26.A 29.C 30.C 31.A32.C 33.错误 34.正确 35.正确 36.错误 37.C38.A 39.B 40.B第五章习题1.D2.AC3.AB4.BCD5.正确6.正确7.ABCD8.正确9.E 10.D 11.B 12.E13.D 14.C 17.C第六章练习8.D 10.B 12.B 13.A 14.C第七章练习1.B2.C3.C4.C5.D 8.C 9.B12.B 13.D 14.C 15.B 17.E 18.B 19.B 22.C 23.B 24.B 25E26.A 27.B 28.A 33错误 34.A 35.A第八章练习2.B3.A4.B5.D6.D7.C8.A9.B12.C 13.C 14.D 16.C 17.C 18.D19.B 23.B 25.D 27.C投资学第九章习题答案1.不做2.不做3.C4.不做5.不做6.3%7.不做8.B9. C 10.D 11. D 12.C 13.D 14.C 15.A 16.C 17.(答案为0.75) 18.D 19.C 20.B21.不做投资学第十章至第十一章习题答案1.相关系数为02. B3. B4. C5.错6.错7. B8. E9. A10.对11.D投资学第十二章至第十三章习题答案1.不做2.高于票面值因为10%大于8%3.具体看课本公式(老师只是讲公式没有给出确切得答案)4.贴现贴现率5.反方向6.C7.C8.对9.对10.不做11.折价平价溢价12.不做13.不做14.不做15.A16.C17.C18.具体看书本323页19.具体看课本325页20.看课本319至32021.不做22.不做第十四章至十五章习题答案1.先行同步滞后2.不做3.开拓拓展成熟衰落4.资产负责表损益表现金流量表5. C6.宏观分析行业分析公司分析7. A8. B9. A10.D11.D12.A13.A14.对15.对十七章注意事项: 注意技术分析得三大假设假设1. 市场行为涵盖一切信息假设2.价格沿趋势运动假设3.历史会重演。
《证券投资学》课后练习题9 大题答案
第九章证券投资技术分析主要理论与方法二、名词解释K线、开盘价、收盘价、最高价、最低价、阳线、阴线、影线、跳空、空头、多头、支撑线、压力线、趋势线、轨道线、黄金分割线、百分比线、速度线、甘氏线、反转形态、整理形态、头肩顶、头肩底、双重底、双重顶、三重底、三重顶、圆形底、圆形顶、三角形、矩形、楔形、旗形、喇叭形、菱形、V形、突破、随机漫步理论、循环周期理论、相反理论。
1. K线：Ｋ线图最早是日本德川幕府时代大阪的米商用来记录当时一天、一周或一月中米价涨跌行情的图示法，后被引入股市。
Ｋ线图有直观、立体感强、携带信息量大的特点，蕴涵着丰富的东方哲学思想，能充分显示股价趋势的强弱、买卖双方力量平衡的变化，预测后市走向较准确，是应用较多的技术分析手段。
2. 开盘价：目前我国股票市场采用集合竞价的方式产生开盘价。
3. 收盘价：是多空双方经过一段时间的争斗后最终达到的共识，是供需双方最后的暂时平衡点，具有指明价格的功能。
4. 最高价：是交易过程中出现的最高的价格。
5. 最低价：是交易过程中出现的最低的价格。
6. 阳线：收盘价高于开盘价时用空（或红）实体表示，称为阳线。
7. 阴线：开盘价高于收盘价时用黑（或蓝）实体表示，称为阴线。
8. 影线：影线表示高价和低价。
9.跳空：股价受利多或利空影响后，出现较大幅度上下跳动的现象。
大小所决定．10、空头：空头是投资者和股票商认为现时股价虽然较高，但对股市前景看坏，预计股价将会下跌，于是把借来的股票及时卖出，待股价跌至某一价位时再买进，以获取差额收益。
空头指的是变为股价已上涨到了最高点，很快便会下跌，或当股票已开始下跌时，认为还会继续下跌，趁高价时卖出的投资者。
采用这种先卖出后买进、从中赚取差价的交易方式称为空头。
人们通常把股价长期呈下跌趋势的股票市场称为空头市场，空头市场股价变化的特征是一连串的大跌小涨。
11、多头：多头是指投资者对股市看好，预计股价将会看涨，于是趁低价时买进股票，待股票上涨至某一价位时再卖出，以获取差额收益。
投资学第七版ch09课后答案
CHAPTER 9AN INTRODUCTION TO ASSET PRICING MODELSTRUE/FALSE QUESTIONS(t) 1 One of the assumptions of Capital Market Theory is that investors can borrow or lend at the risk-free rate.(f) 2 An assumption of Capital Market Theory is that buying or selling of assets entailsno taxes, but entails significant transaction costs.(t) 3 A risky asset is an asset with uncertain future returns, and uncertainty (or risk) is measured by the variance or standard deviation of returns.(t) 4 The standard deviation of a portfolio that combines the risk-free asset with risky assets is the linear proportion of the standard deviation of the risky asset portfolio.(t) 5 The Capital Market Line (CML) is the line from the intercept point that represents the risk-free rate tangent to the original efficient frontier.(t) 6 The market portfolio consists of all risky assets.(f) 7 All portfolios on the CML are perfectly negatively correlated, which means thatall portfolios on the CML are perfectly negatively correlated with thecompletely diversified market portfolio since it lies on the CML.(t) 8 Diversification reduces the unsystematic risk in a portfolio.(f) 9 The Capital Asset Pricing Model (CAPM) is a technique for determining theexpected risk on an asset.(t) 10 Beta is a standardized measure of systematic risk.(t) 11 Multifactor models of risk and return can be broadly grouped into models that use macroeconomic factors and models that use microeconomic factors.(f) 12 Arbitrage Pricing Theory (APT) specifies the exact number of risk factors andtheir identity388MULTIPLE CHOICE QUESTIONS(d) 1 Which of the following is not an assumption of the Capital Market Theory?a)All investors are Markowitz efficient investors.b)All investors have homogeneous expectations.c)There are no taxes or transaction costs in buying or selling assets.d)There are no risk-free assets.e)All investors have the same one period time horizon.(e) 2 The market portfolio consists of alla)New York Stock Exchange stocks.b)International stocks and bonds.c)Stocks and bonds.d)U.S. and non-U.S. stocks and bonds.e)Risky assets.(c) 3 The separation theorems divides decisions on from decisions on .a)Lending, borrowingb)Risk, returnc)Investing, financingd)Risky assets, risk free assetse)Buying stocks, buying bonds(d) 4 When identifying undervalued and overvalued assets, which of the followingstatements is false?a)An asset is properly valued if its estimated rate of return is equal to itsrequired rate of return.b)An asset is considered overvalued if its estimated rate of return is below itsrequired rate of return.c)An asset is considered undervalued if its estimated rate of return is above itsrequired rate of return.d)An asset is considered overvalued if its required rate of return is below itsestimated rate of return.e)None of the above (that is, all are true statements)(b) 5 Utilizing the security market line an investor o wning a stock with a beta of (-2)would expect the stock's return to in a market thata)Rise or fall an indeterminate amountb)Rise by 20.0%389c)Fall by 20.0%d)Rise by 10.2%e)Fall by 10.2%(d) 6 The Capital Market Line (CML) refers to the efficient formed by creatingportfolios thata)Invest solely in the market portfolio M.b)Lend at the risk free asset and invest in the market portfolio.c)Borrow at the risk free asset and invest in the market portfolio.d)Lend and borrow at the risk free rate and invest in the market portfolio.e)Short sell the market portfolio.(e) 7 As the number of stocks in a portfolio increasesa)The expected return of the portfolio increases because systematic riskdecreases.b)The expected return of the portfolio increases because unsystematic riskdecreases.c)The standard deviation of the portfolio increases because systematic riskincreases.d)The standard deviation of the portfolio decreases because systematic riskincreases.e)The standard deviation of the portfolio decreases because unsystematic riskdecreases.(a) 8 The Security Market Line (SML) represents the relation betweena)Risk and required return on an asset.b)Systematic risk and required return on an asset.c)Risk and return on a diversified portfolio of assets.d)Unsystematic risk and required return on an assete)Systematic risk and required return on a diversified portfolio of assets.(a) 9 In a macro-economic based risk factor model the following factor would be oneof many appropriate factorsa)Confidence risk.b)Maturity risk.c)Expected inflation risk.d)Call risk.e)Return difference between small capitalization and large capitalization stocks.(d) 10 In a multifactor model, confidence risk representsa)Unanticipated changes in the level of overall business activity.390b)Unanticipated changes in investors’ desired time to receive payouts.c)Unanticipated changes in short term and long term inflation rates.d)Unanticipated changes in the willingness of investors to take on investmentrisk.e)None of the above.(b) 11 In a multifactor model, time horizon risk representsa)Unanticipated changes in the level of overall business activity.b)Unanticipated changes in investors’ desired time to receive payouts.c)Unanticipated changes in short term and long term inflation rates.d)Unanticipated changes in the willingness of investors to take on investmentrisk.e)None of the above.(e) 12 In a micro-economic based risk factor model the following factor would be oneof many appropriate factorsa)Confidence risk.b)Maturity risk.c)Expected inflation risk.d)Call risk.e)Return difference between small capitalization and large capitalization stocks.391MULTIPLE CHOICE PROBLEMS(b) 1 Consider an asset that has a beta of 1.5. The return on the risk-free asset is 6.5%and the expected return on the stock index is 15%. The estimated return on theasset is 20%. Calculate the alpha for the asset.a)19.25%b)0.75%c)–0.75%d)9.75%e)9.0%(b) 2 The table below provides factor risk sensitivities and factor risk premia for a threefactor model for a particular asset where factor 1 is MP the growth rate in U.S.industrial production, factor 2 is UI the difference between actual and expectedinflation, and factor 3 is UPR the unanticipated change in bond credit spread.Risk FactorFactorSensitivity(β)RiskPremium(λ)MP 1.760.0259UI -0.8-0.0432UPR 0.87 0.0149Calculate the expected excess return for the asset.a)12.32%b)9.32%c) 4.56%d) 6.32%e)8.02%(b) 3 The variance of returns for a risky asset is 25%. The variance of the error term,Var(e) is 8%. What portion of the total risk of the asset, as measured by variance,is unsystematic?a)32%b)8%c)68%d)25%e)75%(c) 4 An investor wishes to construct a portfolio consisting of a 40% allocation to astock index and a 60% allocation to a risk free asset. The return on the risk-free392asset is 2% and the expected return on the stock index is 10%. The standarddeviation of returns on the stock index 8%. Calculate the expected standarddeviation of the portfolio.a) 5.2%b)8.0%c) 3.2%d) 4.0%e) 1.2%(b) 5 An investor wishes to construct a portfolio by borrowing 35% of his originalwealth and investing all the money in a stock index. The return on the risk-freeasset is 4.0% and the expected return on the stock index is 15%. Calculate theexpected return on the portfolio.a)18.25%b)18.85%c)9.50%d)15.00%e)11.15%(d) 6 An investor wishes to construct a portfolio consisting of a 70% allocation to astock index and a 30% allocation to a risk free asset. The return on the risk-freeasset is 4.5% and the expected return on the stock index is 12%. Calculate theexpected return on the portfolio.a)8.25%b)16.50%c)17.50%d)9.75%e)14.38%(d) 7 A stock has a beta of the stock is 1.1. The risk free rate is 2.5% and the return onthe market is 12%. The estimated return for the stock is 14%. According to theCAPM you shoulda)Sell because required return is 9.95%.b)Sell because required return is 16.5%.c)Buy because required return 11.5%.d)Buy because required return is 12.95%.e)Short because it is undervalued.(b) 8 Consider a risky asset that has a standard deviation of returns of 15. Calculate thecorrelation between the risky asset and a risk free asset.a) 1.0b)0.0393c)-1.0d)0.5e)-0.5(a) 9 The expected return for a stock, calculated using the CAPM, is 10.5%. Themarket return is 9.5% and the beta of the stock is 1.50. Calculate the implied risk-free rate.a)7.50%b)13.91%c)17.50%d)21.88%e)14.38%(d) 10 The expected return for a stock, calculated using the CAPM, is 25%. The risk freerate is 7.5% and the beta of the stock is 0.80. Calculate the implied return on themarket.a)7.50%b)13.91%c)17.50%d)21.88%e)14.38%(c) 11 The expected return for Zbrite stock calculated using the CAPM is 15.5%. Therisk free rate is 3.5% and the beta of the stock is 1.2. Calculate the implied marketrisk premium.a) 5.5%b) 6.5%c)10.0%d)15.5%e)12.0%(d) 12 Calculate the expected return for Express Inc. which has a beta of .69 when therisk free rate is.09 and you expect the market return to be .14.a)0.05%b)13.91%c)10.92%d)12.45%e)14.25%USE THE FOLLOWING INFORMATION FOR THE NEXT THREE PROBLEMS394You expect the risk-free rate (RFR) to be 5 percent and the market return to be 9 percent. You also have the following information about three stocks.CURRENT E XPECTED EXPECTEDSTOCK BETA PRICE PRICE DIVIDENDY 0.50 $ 40 $ 43 $ 1.50Z 2.00 $ 45 $ 49 $ 1.00(b) 13 What are the expected (required) rates of return for the three stocks (in the orderX, Y, Z)?a)16.50%, 5.50%, 22.00%b)11.00%, 7.00%, 13.00%c)7.95%, 11.25%, 11.11%d) 6.20%, 2.20%, 8.20%e)15.00%, 3.50%, 7.30%(a) 14 What are the estimated rates of return for the three stocks (in the order X, Y, Z)?a)7.95%, 11.25%, 11.11%b) 6.20%, 2.20%, 8.20%c)16.50%, 5.50%, 22.00%d)11.00%, 7.00%, 13.00%e)15.00%, 3.50%, 7.30%(e) 15 What is your investment strategy concerning the three stocks?a)Buy stock Y, it is undervalued.b)Buy stock X and Z, they are undervalued.c)Sell stocks X and Z, they are overvalued.d)Sell stock Y, it is overvalued.e)Choices a and cUSE THE FOLLOWING INFORMATION FOR THE NEXT FOUR PROBLEMSYear Return forGBCReturn forMarket1 25 122 10 133 5 174 -13 -155 11 -86 -20 9395(a) 16 Compute the beta for GBC Company using the historic returns presented above.a)0.4255b)0.5929c) 5.6825d)9.4163e)0.3333(e) 17 Compute the correlation coefficient between GBC and the Market Index.a)0.4255b)0.5929c) 5.6825d)9.4163e)0.3333(b) 18 Compute the intercept of the characteristic linea)0.4255b) 1.013c) 1.4385d)0.5875e)0.5219(d) 19 The equation of the characteristic line isa)R GBC + 1.013 = 0.4255(R Market)b)R GBC = 1.013 - 0.4255(R Market)c)R Market = 1.013 + 0.4255(R GBC)d)R GBC = 1.013 + 0.4255(R Market)e)R Market = 1.013 - 0.4255(R Market)396CHAPTER 9ANSWERS TO PROBLEMS1 6.5 + 1.5(15 – 6.5) = 19.25%alpha = 20 –19.25 = 0.75%2 The table below shows the relevant calculationsRisk FactorFactorSensitivity(β)RiskPremium(λ)(β)x(λ)MP 1.760.02590.0456UI -0.8-0.04320.0346UPR 0.870.01490.013Expected return 0.12323 8%/25% = 0.32. = 32% unsystematic.4 0.4(0.08) = 0.032 or 3.2%5 -0.35(4) + 1.35(15) = 18.85%6 E(R)= 0.3(4.5) + 0.7(12) = 9.75%7 E(R)= 2.5 + 1.1(12 – 2.5) = 12.95%. Buy the stock is undervalued.8 The correlation between a risky asset and a risk-freeasset is always zero.9 10.5 = X + 1.5(9.5 – X). X = 7.5%.10 25 = 7.5 + 0.8(X). X = 14.38%. Return on market = 14.38 + 7.5 = 21.88%11 15.5 = 3.5 + 1.2(X). X = 10%.12 k = .09 + .69 (.14 - .09) = .1245 = 12.45%For problems 13 - 15STOCK REQUIRED ESTIMATED EVALUATIONX .05 + 1.50(.09 - .05) = 11% (23 - 22 + 0.75)/22 = 7.95% OvervaluedY .05 + 0.50(.09 -.05) = 7% (43 - 40 + 1.50)/40 = 11.25% UndervaluedZ .05 + 2.00(.09 - .05) = 13% (49 - 45 + 1.00)/45 = 11.11% Overvalued397For problems 16 – 19The table below shows the relevant calculations.(1) (2) (3) (4) (5) (6) (7) (8)x(7)(6)GBCMarketMarketGBC))2(R-E(R ))2R-E(R )R-E(R )Year GBC Market(R-E(R7.33161.2622.0053.731 25 12484.008.337.0058.312 10 1369.3949.0024.6612.332.003 5 174.00152.03-19.67314.72-16.004 -13 -15386.91256.00-12.67-101.368.0064.005 11 -8160.534.33-99.59-23.0018.756 -20 9529.00841.33 358.00 Total 18 281386.003.00004.67Average168.27Variance 277.20Dev. 16.6512.97Std.Covariance 71.60 Correlation 0.33 Beta 0.425516 Beta for GBC Computer is computed as follows:Beta = Cov(GBC, Market)/ Variance MarketBeta = 18.40/82 = 0.224417 The correlation coefficient can be computed as follows:Correlation = Cov(GBC, Market)/(SD GBC x SD Market)= 71.6/(16.65 x 12.97) = 0.33Where:SD GBC = [1386/5]1/2 = 16.65SD Market = [841.33/5]1/2 = 12.97Cov(GBC, Market) = 358/5 = 71.6018 The alpha or intercept of the characteristic line is computed as follows:alpha = 3.0 - [(0.4255)(4.67)] = 1.013%R GBC = 1.013 + 0.4255(R Market)19398。
投资学第九章习题集及答案
第九章股票定价分析习题集一、判断题（40）1.投资者决定买入或卖出公司股票，是基于公司未来产生的现金流。
（）2.企业价值为股权价值与债券价值之和。
（）3.控制权是存在溢价的。
（）4.公平市场价格应该是股权的公平市场价格与债务的公平市场价格之和。
（）5.在股票市场不仅反映了控股股权的交易，也反应了少数股权价格。
（）6.所谓公平市场价格是指在完善的市场上(如法制健全、信息完全、投资者理性等)，具有理性预期的双方，自愿进行资产交换或债务清偿的金额。
（）7.股票的现时交易价格就是股票的公平交易价格。
（）8.由于信息的不对称，大家对于未来的存在不同的预期，加之非理性因素的存在，使得现时市场价格偏离公平市场价格。
（）9.绝对定价模型是建立在一价定理的基本思想上的。
（）10.投资者要求的回报率是现金流量的函数，风险越大，投资者要求的回报率越高。
（）11.股票定价分析提供的最重要的信息是估价结果。
（）12.在进行股票定价分析时，按照市价/净利比率模型可以得出目标企业的内在价值。
（）13.企业的整体价值在于其可以为投资人带来现金流流量。
（）14.公司自由现金流量是指满足了企业经营营运资本变动和资本投资需要之后，可以用来自由向公司债权人和股东发放的现金流。
（）15.由于股权资本成本受到企业的资本结构影响较大，实务中通常用企业自由现金流量模型代替股权现金流量模型进行股票定价分析。
（）16.经营流动负债包括应付账款、不需要付息的其他短期债务等。
（）17.市净率的修正方法与市盈率类似，关键因素是增长率。
因此，可以用增长率修正实际的净利率，把增长率不同的企业纳入可比范围。
（）18.根据对现金流量的不同增长预期，股票的绝对定价模型又可以分为股利贴现模型、股权现金流量模型等。
（）19.与相对估价模型相比，绝估价模型在实践中得到了广泛的应用。
（）20.与现金流贴现方法比较起来，相对定价模型多了很多假设约束，但计算方便。
21.绝对定价模型由于具有较强的理论逻辑性，故具有很好的客观性。
国际投资学习题9及答案
《国际投资学》课程模拟试卷九一、填空题（每题2分，共10分）1.国际投资客体主要包括、、等三类资产。
2.跨国银行的组织形式主要有、和等三种形式。
3.国际投资资产取得方式主要有两种：和。
4.国际直接投资影响东道国资本形成的途径有二：一是通过资本流动带来的直接资本流入效应，即；二是通过带动东道国产业前后向辅助性投资而产生的间接示范效应，即。
5.所谓市场优势是指东道国市场存在着吸引企业前往投资的因素，具体包括：、市场消费模式、、市场基础条件与第三国市场准入状况。
二、单选题（每题1分，共10分）1.1914年以前，在全球国际投资中最大输出国是（）。
A 法国B 美国C 德国D 英国2.被誉为国际直接投资理论先驱的是（）。
A 纳克斯B 海默C 邓宁D 小岛清3.最保守的观点认为，在（）个国家或地区以上拥有从事生产和经营的分支机构才算是跨国公司。
A 2个B 3个C 4个D 6个4.职能一体化战略最高级的形式是（）。
A 独立子公司战略B 多国战略C 简单一体化战略D 复合一体化战略5.下面不属于对冲基金特点的是（）。
A 私募B 受严格管制C 高杠杠性D 分配机制更灵活和更富激励性6.以下对美国纳斯达克市场特点的描述不正确的是（）。
A独特的做市商制度B高度全球化的市场C上市标准严格D技术先进7.以下不属于外国债券的是（）。
A 扬基债券B 欧洲债券C 武士债券D 龙债券8.以下不属于国际投资环境特点的是（）。
A综合性 B稳定性 C先在行 D差异性9.以下关于国际直接投资对东道国资本形成直接效应的描述不正确的是（）。
A在起始阶段，无疑是资本流入，是将国外储蓄国内化，一般会促进东道国的资本形成，形成新的生产能力，对东道国经济增长产生正效应B绿地投资能够直接增加东道国的资本存量，对东道国的资本形成有显在的正效应，而购并投资只是改变了存量资本的所有权，对东道国的资本形成没有直接的效应C跨国公司在东道国融资也会扩大东道国投资规模，从而对资本形成产生积极的效应D如果外国投资进入的是东道国竞争力较强的产业，外国投资的进入会强化竞争性的市场格局，推动产业升级，带动国内投资的增长，对资本形成会产生正效应10.目前我国对外借款最主要的方式为：（）。
证券投资学(第三版)练习及答案9
第9章证券投资管理一、判断题1．证券投资过程基本上经过以下五个步骤：确定投资目标、选择投资策略、制定投资政策、构建和修正投资组合、评估投资业绩。
答案：非2．投资政策将决定资产分配决策，即如何将投资资金在投资对象之间进行分配。
答案：是3．积极的股票投资策略包括对未来收益、股利或市盈率的预测。
答案：是4．资产配置是指证券组合中各种不同资产所占的比率。
答案：是5、评估投资业绩的依据是投资组合的收益。
答案：非6．采用积极的股票管理策略的投资者花大量精力构造投资组合，而奉行消极管理策略的投资者只是简单的模仿某一股价指数以构造投资组合。
答案：是7．有效市场假说是描述资本市场资产定价的理论。
答案：非8．如果认为市场是无效的，就能够以历史数据和公开与非公开的信息为基础获取超额盈利。
答案：是9．技术分析以道氏理论为依据，以价格变动和量价关系为重点。
答案：非10．如果股票的市场价格低于它的理论价值，以基本分析为基础策略的建议是买入该股票。
答案：是11．被忽略的公司效应是指以证券分析师对不同股票的关注程度为基础的投资策略可能获得超常收益。
答案：是12．依据市净率可以将股票分为增长型和价值型两类。
13．如果投资者认为市场是无效的，那么消极的股票管理策略可能是最优的策略。
答案：非14．债券的一个基本特性是它的价格与它所要求的收益率呈反方向变动。
答案：是15．债券价格的波动性与其持续期成正比。
答案：是16．债券的凸性的含义是：当债券收益率下降时，债券的价格以更小的曲率增长；当债券收益率提高时，债券的价格以更小的曲率降低。
答案：非17．债券投资的收益来自于；利息收入、资本利得和再投资收益。
答案：非18．债券的收益率曲线体现的是债券价格和其收益率之间的关系。
答案：非19．收益利差策略是基于相同类型中的不同债券之间收益率差额的预期变化而建立组合头寸的方法。
答案：非20．单一债券选择策略是指资金管理人通过寻找价格被高估或低估的债券以获利的策略。
(完整版)投资学第10版习题答案09
CHAPTER 9: THE CAPITAL ASSET PRICING MODELPROBLEM SETS1.2.If the security’s correlation coefficient with the market portfolio doubles (with all other variables such as variances unchanged), then beta, and therefore the risk premium, will also double. The current risk premium is: 14% – 6% = 8%The new risk premium would be 16%, and the new discount rate for the security would be: 16% + 6% = 22%If the stock pays a constant perpetual dividend, then we know from the original data that the dividend (D) must satisfy the equation for the present value of a perpetuity:Price = Dividend/Discount rate50 = D /0.14 ⇒ D = 50 ⨯ 0.14 = $7.00At the new discount rate of 22%, the stock would be worth: $7/0.22 = $31.82The increase in stock risk has lowered its value by 36.36%.3. a.False. β = 0 implies E (r ) = r f , not zero.b.False. Investors require a risk premium only for bearing systematic(undiversifiable or market) risk. Total volatility, as measured by the standarddeviation, includes diversifiable risk.c.False. Your portfolio should be invested 75% in the market portfolio and 25% in T-bills. Then:β(0.751)(0.250)0.75P =⨯+⨯=4.The expected return is the return predicted by the CAPM for a given level ofsystematic risk.$1$5()β[()]().04 1.5(.10.04).13,or 13%().04 1.0(.10.04).10,or 10%i f i M f Discount Everything E r r E r r E r E r =+⨯-=+⨯-==+⨯-=()β[()].12.18.06β[.14.06]β 1.5.08P f P M f P P E r r E r r =+⨯-=+⨯-→==5.According to the CAPM, $1 Discount Stores requires a return of 13% based on its systematic risk level of β = 1.5. However, the forecasted return is only 12%. Therefore, the security is currently overvalued.Everything $5 requires a return of 10% based on its systematic risk level of β = 1.0. However, the forecasted return is 11%. Therefore, the security is currently undervalued.6.Correct answer is choice a. The expected return of a stock with a β = 1.0 must, onaverage, be the same as the expected return of the market which also has a β = 1.0.7.Correct answer is choice a. Beta is a measure of systematic risk. Since onlysystematic risk is rewarded, it is safe to conclude that the expected return will be higher for Kaskin’s stock than for Quinn’s stock.8.The appropriate discount rate for the project is:r f + β × [E (r M ) – r f ] = .08 + [1.8 ⨯ (.16 – .08)] = .224, or 22.4%Using this discount rate:Annuity factor (22.4%, 10 years)] = $18.09101$15NPV $40$40[$151.224t t ==-+=-+⨯∑The internal rate of return (IRR) for the project is 35.73%. Recall from your introductory finance class that NPV is positive if IRR > discount rate (or, equivalently, hurdle rate). The highest value that beta can take before the hurdle rate exceeds the IRR is determined by:.3573 = .08 + β × (.16 – .08) ⇒ β = .2773/.08 = 3.479. a.Call the aggressive stock A and the defensive stock D. Beta is the sensitivityof the stock’s return to the market return, i.e., the change in the stock returnper unit change in the market return. Therefore, we compute each stock’s betaby calculating the difference in its return across the two scenarios divided by the difference in the market return:.02.38.06.12β 2.00β0.30.05.25.05.25A D ---====--b.With the two scenarios equally likely, the expected return is an average of thetwo possible outcomes:E (r A ) = 0.5 ⨯ (–.02 + .38) = .18 = 18%E (r D ) = 0.5 ⨯ (.06 + .12) = .09 = 9%c.The SML is determined by the market expected return of [0.5 × (.25 + .05)] = 15%, with βM = 1, and r f = 6% (which has βf =0). See the following graph:The equation for the security market line is:E (r ) = .06 + β × (.15 – .06)d.Based on its risk, the aggressive stock has a required expected return of:E (r A ) = .06 + 2.0 × (.15 – .06) = .24 = 24%The analyst’s forecast of expected return is only 18%. Thus the stock’s alpha is:αA = actually expected return – required return (given risk)= 18% – 24% = –6%Similarly, the required return for the defensive stock is:E (r D ) = .06 + 0.3 × (.15 – .06) = 8.7%The analyst’s forecast of expected return for D is 9%, and hence, the stock has a positive alpha:αD = Actually expected return – Required return (given risk)= .09 – .087 = +0.003 = +0.3%The points for each stock plot on the graph as indicated above.e.The hurdle rate is determined by the project beta (0.3), not the firm’s beta. The correct discount rate is 8.7%, the fair rate of return for stock D.10.Not possible. Portfolio A has a higher beta than Portfolio B, but the expected returnfor Portfolio A is lower than the expected return for Portfolio B. Thus, these two portfolios cannot exist in equilibrium.11.Possible. If the CAPM is valid, the expected rate of return compensates only for systematic (market) risk, represented by beta, rather than for the standard deviation, which includes nonsystematic risk. Thus, Portfolio A’s lower rate of return can be paired with a higher standard deviation, as long as A’s beta is less than B’s.12.Not possible. The reward-to-variability ratio for Portfolio A is better than that of the market. This scenario is impossible according to the CAPM because the CAPM predicts that the market is the most efficient portfolio. Using the numbers supplied:.16.10.18.100.50.33.12.24A M S S --====Portfolio A provides a better risk-reward trade-off than the market portfolio.13.Not possible. Portfolio A clearly dominates the market portfolio. Portfolio A hasboth a lower standard deviation and a higher expected return.14.Not possible. The SML for this scenario is: E(r ) = 10 + β × (18 – 10)Portfolios with beta equal to 1.5 have an expected return equal to:E (r ) = 10 + [1.5 × (18 – 10)] = 22%The expected return for Portfolio A is 16%; that is, Portfolio A plots below the SML (α A = –6%) and, hence, is an overpriced portfolio. This is inconsistent with the CAPM.15.Not possible. The SML is the same as in Problem 14. Here, Portfolio A’s required return is: .10 + (.9 × .08) = 17.2%This is greater than 16%. Portfolio A is overpriced with a negative alpha:α A = –1.2%16.Possible. The CML is the same as in Problem 12. Portfolio A plots below the CML, as any asset is expected to. This scenario is not inconsistent with the CAPM.17.Since the stock’s beta is equal to 1.2, its expected rate of return is:.06 + [1.2 ⨯ (.16 – .06)] = 18%110110$50$6()0.18$53$50D P P PE r P P -+-+=→=→=18.The series of $1,000 payments is a perpetuity. If beta is 0.5, the cash flow should be discounted at the rate:.06 + [0.5 × (.16 – .06)] = .11 = 11%PV = $1,000/0.11 = $9,090.91If, however, beta is equal to 1, then the investment should yield 16%, and the price paid for the firm should be:PV = $1,000/0.16 = $6,250The difference, $2,840.91, is the amount you will overpay if you erroneously assume that beta is 0.5 rather than 1.ing the SML: .04 = .06 + β × (.16 – .06) ⇒ β = –.02/.10 = –0.220.r 1 = 19%; r 2 = 16%; β1 = 1.5; β2 = 1a.To determine which investor was a better selector of individual stocks we look at abnormal return, which is the ex-post alpha; that is, the abnormal return is the difference between the actual return and that predicted by the SML. Without information about the parameters of this equation (risk-free rate and market rate of return) we cannot determine which investor was more accurate.b.If r f = 6% and r M = 14%, then (using the notation alpha for the abnormal return):α1 = .19 – [.06 + 1.5 × (.14 – .06)] = .19 – .18 = 1%α 2 = .16 – [.06 + 1 × (.14 – .06)] = .16 – .14 = 2%Here, the second investor has the larger abnormal return and thus appears to be the superior stock selector. By making better predictions, the secondinvestor appears to have tilted his portfolio toward underpriced stocks.c.If r f = 3% and r M = 15%, then:α1 = .19 – [.03 + 1.5 × (.15 – .03)] = .19 – .21 = –2%α2 = .16 – [.03+ 1 × (.15 – .03)] = .16 – .15 = 1%Here, not only does the second investor appear to be the superior stock selector, but the first investor’s predictions appear valueless (or worse).21. a.Since the market portfolio, by definition, has a beta of 1, its expected rate of return is 12%.b.β = 0 means no systematic risk. Hence, the stock’s expected rate of return in market equilibrium is the risk-free rate, 5%ing the SML, the fair expected rate of return for a stock with β = –0.5 is:()0.05[(0.5)(0.120.05)] 1.5%E r =+-⨯-=The actually expected rate of return, using the expected price and dividend for next year is:$41$3()10.1010%$40E r +=-==Because the actually expected return exceeds the fair return, the stock is underpriced.22.In the zero-beta CAPM the zero-beta portfolio replaces the risk-free rate, and thus:E (r ) = 8 + 0.6(17 – 8) = 13.4%23. a.E (r P ) = r f + βP × [E (r M ) – r f ] = 5% + 0.8 (15% − 5%) = 13%α = 14% - 13% = 1%You should invest in this fund because alpha is positive.b.The passive portfolio with the same beta as the fund should be invested 80% in the market-index portfolio and 20% in the money market account. For this portfolio:E (r P ) = (0.8 × 15%) + (0.2 × 5%) = 13%14% − 13% = 1% = α24. a.We would incorporate liquidity into the CCAPM in a manner analogous to theway in which liquidity is incorporated into the conventional CAPM. In thelatter case, in addition to the market risk premium, expected return is alsodependent on the expected cost of illiquidity and three liquidity-related betaswhich measure the sensitivity of: (1) the security’s illiquidity to marketilliquidity; (2) the security’s return to market illiquidity; and, (3) the security’silliquidity to the market return. A similar approach can be used for theCCAPM, except that the liquidity betas would be measured relative toconsumption growth rather than the usual market index.b.As in part (a), nontraded assets would be incorporated into the CCAPM in afashion similar to part (a). Replace the market portfolio with consumptiongrowth. The issue of liquidity is more acute with nontraded assets such asprivately held businesses and labor income.While ownership of a privately held business is analogous to ownership of anilliquid stock, expect a greater degree of illiquidity for the typical privatebusiness. If the owner of a privately held business is satisfied with thedividends paid out from the business, then the lack of liquidity is not an issue.If the owner seeks to realize income greater than the business can pay out,then selling ownership, in full or part, typically entails a substantial liquiditydiscount. The illiquidity correction should be treated as suggested in part (a).The same general considerations apply to labor income, although it is probablethat the lack of liquidity for labor income has an even greater impact onsecurity market equilibrium values. Labor income has a major impact onportfolio decisions. While it is possible to borrow against labor income tosome degree, and some of the risk associated with labor income can beameliorated with insurance, it is plausible that the liquidity betas ofconsumption streams are quite significant, as the need to borrow against laborincome is likely cyclical.CFA PROBLEMS1. a.Agree; Regan’s conclusion is correct. By definition, the market portfolio lies onthe capital market line (CML). Under the assumptions of capital market theory, allportfolios on the CML dominate, in a risk-return sense, portfolios that lie on theMarkowitz efficient frontier because, given that leverage is allowed, the CMLcreates a portfolio possibility line that is higher than all points on the efficientfrontier except for the market portfolio, which is Rainbow’s portfolio. BecauseEagle’s portfolio lies on the Markowitz efficient frontier at a point other than themarket portfolio, Rainbow’s portfolio dominates Eagle’s portfolio.b.Nonsystematic risk is the unique risk of individual stocks in a portfolio that isdiversified away by holding a well-diversified portfolio. Total risk is composed ofsystematic (market) risk and nonsystematic (firm-specific) risk.Disagree; Wilson’s remark is incorrect. Because both portfolios lie on theMarkowitz efficient frontier, neither Eagle nor Rainbow has any nonsystematicrisk. Therefore, nonsystematic risk does not explain the different expected returns.The determining factor is that Rainbow lies on the (straight) line (the CML)connecting the risk-free asset and the market portfolio (Rainbow), at the point oftangency to the Markowitz efficient frontier having the highest return per unit ofrisk. Wilson’s remark is also countered by the fact that, since nonsystematic riskcan be eliminated by diversification, the expected return for bearingnonsystematic risk is zero. This is a result of the fact that well-diversifiedinvestors bid up the price of every asset to the point where only systematic riskearns a positive return (nonsystematic risk earns no return).2.E(r) = r f + β × [E(r M) −r f]Furhman Labs: E(r) = .05 + 1.5 × [.115 − .05] = 14.75%Garten Testing: E(r) = .05 + 0.8 × [.115 − .05] = 10.20%If the forecast rate of return is less than (greater than) the required rate of return,then the security is overvalued (undervalued).Furhman Labs: Forecast return – Required return = 13.25% − 14.75% = −1.50%Garten Testing: Forecast return – Required return = 11.25% − 10.20% = 1.05%Therefore, Furhman Labs is overvalued and Garten Testing is undervalued.3. a.4. d.From CAPM, the fair expected return = 8 + 1.25 × (15 - 8) = 16.75%Actually expected return = 17%α = 17 - 16.75 = 0.25%5. d.6. c.7. d.8. d.[You need to know the risk-free rate]9. d.[You need to know the risk-free rate]10.Under the CAPM, the only risk that investors are compensated for bearing is therisk that cannot be diversified away (systematic risk). Because systematic risk(measured by beta) is equal to 1.0 for both portfolios, an investor would expect the same rate of return from both portfolios A and B. Moreover, since both portfolios are well diversified, it doesn’t matter if the specific risk of the individual securities is high or low. The firm-specific risk has been diversified away for both portfolios.11. a.McKay should borrow funds and invest those funds proportionately inMurray’s existing portfolio (i.e., buy more risky assets on margin). In additionto increased expected return, the alternative portfolio on the capital marketline will also have increased risk, which is caused by the higher proportion ofrisky assets in the total portfolio.b.McKay should substitute low-beta stocks for high-beta stocks in order toreduce the overall beta of York’s portfolio. By reducing the overall portfoliobeta, McKay will reduce the systematic risk of the portfolio and, therefore,reduce its volatility relative to the market. The security market line (SML)suggests such action (i.e., moving down the SML), even though reducing betamay result 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 want to engage in borrowing or lending, McKaycannot reduce risk by selling equities and using the proceeds to buy risk-freeassets (i.e., lending part of the portfolio).12. a.Expected Return AlphaStock X5% + 0.8 × (14% - 5%) = 12.2%14.0% - 12.2% = 1.8%Stock Y5% + 1.5 × (14% - 5%) = 18.5%17.0% - 18.5% = -1.5%b.i. Kay should recommend Stock X because of its positive alpha, compared toStock Y, which has a negative alpha. In graphical terms, the expectedreturn/risk profile for Stock X plots above the security market line (SML),while the profile for Stock Y plots below the SML. Also, depending on theindividual risk preferences of Kay’s clients, the lower beta for Stock X mayhave a beneficial effect on overall portfolio risk.ii. Kay should recommend Stock Y because it has higher forecasted return andlower standard deviation than Stock X. The respective Sharpe ratios for StocksX and Y and the market index are:Stock X:(14% - 5%)/36% = 0.25Stock Y:(17% - 5%)/25% = 0.48Market index:(14% - 5%)/15% = 0.60The market index has an even more attractive Sharpe ratio than either of the individual stocks, but, given the choice between Stock X and Stock Y, Stock Y is the superior alternative.When a stock is held as a single stock portfolio, standard deviation is the relevant risk measure. For such a portfolio, beta as a risk measure is irrelevant. Although holding a single asset is not a typically recommended investment strategy, some investors may hold what is essentially a single-asset portfolio when they hold the stock of their employer company. For such investors, the relevance of standard deviation versus beta is an important issue.。
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投资学第9章习题及答案
篇一：投资学第九版课后习题答案--第10、11章
第10章
5、因为投资组合F的β=0，所以其预期收益等于无风险利率对于投资组合A，风险溢价与β的比率为（12-6）/1.2=5 对于投资组合E，风险溢价与β的比率为（8-6）/0.6=3.33
对比表明，这里有套现机会存在。
例如，我们能创建一个投资组合G，其包含投资组合A和投资组合F，并且两者有相等的权重，使它满足β等于0.6；这样投资组合F的期望收益和β为：
E(rG ) = (0.5 × 12%) + (0.5 × 6%) = 9%
βG = (0.5 × 1.2) + (0.5 × 0%) = 0.6
对比投资组合G和投资组合E，投资组合G跟E具有相同的β值，但具有更高的期望收益。
因此通过买入投资组合G，并卖出相同数量投资组合E资产就可以实现套现机会。
这种套现利润：
rG – rE =[9% + (0.6 × F)] ? [8% + (0.6 × F)] = 1%
6、设无风险利率为rf，风险溢价因素RP，则：
12% = rf + (1.2 × RP)
9% = rf + (0.8 × RP)
解之得： rf=3%，RP=7.5%
7、
a、由题目知，买进100万美元等权重的正α值的股票并同时卖出100万美元的等权重的负α值的股票；假定市场风险为0；则预期收益为：$1,000,000*0.02-$1,000,000*(-0.02)=$40,000
b、对于分析师分析的20只股票，每只股票持有时都分别为$100,000，市场风险为0，公司持有的收益标准差为30%，所以20只股票的方差为
20 ×[($100,000 ×0.30)* ($100,000 ×0.30)] =
$18,000,000,000
故标准差为$134,164
a、如果分析师分析的是50只股票，那么每只股票持有时都分别为$40,000，计算收益方差：
50 × [(40,000 × 0.30)* (40,000 × 0.30)] = 7,200,000,000
故标准差为$84,853；由于总投入资金不变，α值不变，故其期望收益也不变，为$40,000
8、
2a、?2??2?2
M??(e)
2?A?(0.82?202)?252?881
222?2
B?(1.0?20)?10?500
2?C?(1.22?202)?202?976
b、如果资产种类很多，并且具有相同的收益特征，每一个种类的充分分散投资组合将存在唯一的系统风险，因为非系统性风险随着n的无穷大会趋近于0，因此充分分散的投资组合的超额收益方差的均值为：
2 ?A?256
2?B?400
?C2?576
C、市场中不存在套现机会
第11章
9、答案：C。
如果股票市场是弱有效的，那么可以预测的回报方式是不可能发生的，C项内容明显与“股票市场是弱有效的”相抵触。
10、答案：A。
市场无效性在短期比长期更容易得到利用而得到利益，A项中由于卖出一大股股票而致使股票价格暂时性下跌，就是利用了市场。