投资学第7版练习作业题
投资学第7版练习作业题
投资学练习作业题（1）画出基金A和基金B的可行集(5个点)。
（2）找出最优风险投资组合P及其期望收益与标准差。
（3）找出由短期国库券与投资组合P支持的资本配置线的斜率。
（4）当一个投资者的风险厌恶程度A=5时，应在股票基金A、B和短期国库券中各投资多少？2假定一个风险证券投资组合中包含大量的股票，它们有相同的分布，ρ60E，相关系数5.0%=σr(=15)%,=（1）含有25种股票的等权重投资组合期望收益和标准差是多少？（2）构造一个标准差小于或等于43%的有效投资组合所需要最少的股票数量为多少？（3）这一投资组合的系统风险为多少？（4）如果国库券的收益率为10%，资本配置的斜率为多少？3短期国库券的收益现在是4.90%，你已经建立了一个最优风险资产投资组合，投资组合P，即你把23%的资金投资到共同基金A，把77%的资金投资到共同基金B。
前者的收益率是8%，后者的收益率是19%。
（1）投资组合P的预期收益率是多少？（2）假定你设计了一个投资组合C，其中34%的资金投资到无风险资产，其余的投资到组合P中，那么这个新的投资组合的预期收益是多少？（3）如果投资组合P的标准差是21%，这个新组合的标准差是多少？确定在新的投资组合中无风险资产、共同基金A和共同基金B的权重。
（1）市场指数投资组合的平均超额收益率为多少？（2）股票A与股票B之间的协方差为多大？（3）股票B与指数之间的协方差为多大？（4）将股票B的方差分解为市场和公司特有两部分。
5对股票A和股票B分析估计的指数模型结果如下：A M A e R R ++=6.012.0B M B e R R ++=4.104.026.0=M σ 20.0)(=A e σ 10.0)(=B e σ（1） 股票A 和股票B 收益之间的协方差是多少？ （2） 每只股票的方差是多少？（3） 将每只股票的方差分类到系统风险和公司特有风险中 （4） 每只股票和市场指数的协方差是多少？ （5） 两只股票的相关系数是多少？6预计无风险利率是6.1%，市场投资组合的预期收益是14.6%。
投资学第7版TestBank答案22
投资学第7版TestBank答案22Multiple Choice Questions1. A futures contractA) is an agreement to buy or sell a specified amount of an asset at the spot price on theexpiration date of the contract.B) is an agreement to buy or sell a specified amount of an asset at a predeterminedprice on the expiration date of the contract.C) gives the buyer the right, but not the obligation, to buy an asset some time in thefuture.D) is a contract to be signed in the future by the buyer and the seller of the commodity.E) none of the above.Answer: B Difficulty: EasyRationale: A futures contract locks in the price of a commodity to be delivered at some future date. Both the buyer and seller of the contract are committed.2. The terms of futures contracts __________ standardized, and the terms of forwardcontracts __________ standardized.A) are; areB) are not; areC) are; are notD) are not; are notE) are; may or may not beAnswer: C Difficulty: EasyRationale: Futures contracts are standardized and are tradedon organized exchanges;forward contracts are not traded on organized exchanges, the participant negotiates for the delivery of any quantity of goods, and banks and brokers negotiate contracts as needed.3. Futures contracts __________ traded on an organized exchange, and forward contracts__________ traded on an organized exchange.A) are not; areB) are; areC) are not; are notD) are; are notE) are; may or may not beAnswer: D Difficulty: EasyRationale: See rationale for test bank question 22.2.4. In a futures contract the futures price isA) determined by the buyer and the seller when the delivery of the commodity takesplace.B) determined by the futures exchange.C) determined by the buyer and the seller when they initiate the contract.D) determined independently by the provider of the underlying asset.E) none of the above.Answer: C Difficulty: ModerateRationale: The futures exchanges specify all the terms of the contracts except price; as a result, the traders bargain over the futures price.5. The buyer of a futures contract is said to have a __________position and the seller of afutures contract is said to have a __________ position in futures.A) long; shortB) long; longC) short; shortD) short; longE) margined; longAnswer: A Difficulty: ModerateRationale: The trader taking the long position commits to purchase the commodity on the delivery date. The trader taking the short position commits to delivering thecommodity at contract maturity. The trader in the long position is said to "buy" the contract; the trader in the short position is said to "sell" the contract. However, no money changes hands at this time.6. Investors who take long positions in futures agree to __________ of the commodity onthe delivery date, and those who take the short positions agree to __________ of the commodity.A) make delivery; take deliveryB) take delivery; make deliveryC) take delivery; take deliveryD) make delivery; take deliveryE) negotiate the price; pay the priceAnswer: B Difficulty: ModerateRationale: See explanation for test bank question 22.5.7. The terms of futures contracts such as the quality and quantity of the commodity and thedelivery date areA) specified by the buyers and sellers.B) specified only by the buyers.C) specified by the futures exchanges.D) specified by brokers and dealers.E) none of the above.Answer: C Difficulty: ModerateRationale: See rationale for test bank question 22.4.8. A trader who has a __________ position in wheat futures believes the price of wheatwill __________ in the future.A) long; increaseB) long; decreaseC) short; increaseD) long; stay the sameE) short; stay the sameAnswer: A Difficulty: ModerateRationale: The trader holding the long position (the person who will purchase the goods) will profit from a price increase. Profit to long position = Spot price atmaturity--Original futures price.9. A trader who has a __________ position in gold futures wants the price of gold to__________ in the future.A) long; decreaseB) short; decreaseC) short; stay the sameD) short; increaseE) long; stay the sameAnswer: B Difficulty: ModerateRationale: Profit to short position = Original futures price--Spot price at maturity. Thus, the person in the short positionprofits if the price of the commodity declines in the future.10. The open interest on silver futures at a particular time is theA) number of silver futures contracts traded during the day.B) number of outstanding silver futures contracts for delivery within the next month.C) number of silver futures contracts traded the previous day.D) number of all silver futures outstanding contracts.E) none of the above.Answer: D Difficulty: ModerateRationale: Open interest is the number of contracts outstanding. When contracts begin trading, open interest is zero; as time passes more contracts are entered. Most contracts are liquidated before the maturity date.11. Which one of the following statements regarding delivery is true?A) Most futures contracts result in actual delivery.B) Only one to three percent of futures contracts result in actual delivery.C) Only fifteen percent of futures contracts result in actual delivery.D) Approximately fifty percent of futures contracts result in actual delivery.E) Futures contracts never result in actual delivery.Answer: B Difficulty: ModerateRationale: Virtually all traders enter reversing trades to cancel their original positions, thereby realizing profits or losses on the contract.12. You hold one long corn futures contract that expires in April. To close your position incorn futures before the delivery date you mustA) buy one May corn futures contract.B) buy two April corn futures contract.C) sell one April corn futures contract.D) sell one May corn futures contract.E) none of the above.Answer: C Difficulty: ModerateRationale: The long position is considered the buyer; to close out the position one must take a reversing position, or sell the contract.13. Which one of the following statements is true?A) The maintenance margin is the amount of money you post with your broker whenyou buy or sell a futures contract.B) The maintenance margin determines the value of the margin account below whichthe holder of a futures contract receives a margin call.C) A margin deposit can only be met with cash.D) All futures contracts require the same margin deposit.E) The maintenance margin is set by the producer of the underlying asset.Answer: B Difficulty: ModerateRationale: The maintenance margin applies to the value of the account after the account is opened; if the value of this account falls below the maintenance margin requirement and the holder of the contract will receive a margin call. A margin deposit can be made with cash or interest-earning securities; the margin deposit amounts depend on thevolatility of the underlying asset.14. Financial futures contracts are actively traded on thefollowing indices exceptA) the S&P 500 Index.B) the New York Stock Exchange Index.C) the Nikkei Index.D) the Dow Jones Industrial Index.E) all of the above indices have actively traded futures contracts.Answer: E Difficulty: ModerateRationale: The indices are listed in Table 22.1.15. To exploit an expected increase in interest rates, an investor would most likelyA) sell Treasury bond futures.B) take a long position in wheat futures.C) buy S&P 500 index futures.D) take a long position in Treasury bond futures.E) none of the above.Answer: A Difficulty: DifficultRationale: If interest rates rise, bond prices decrease. As bond prices decrease, the short position gains. Thus, if you are bearish about bond prices, you might speculate byselling T-bond futures contracts.16. An investor with a long position in Treasury notes futures will profit ifA) interest rates decline.B) interest rate increase.C) the prices of Treasury notes increase.D) the price of the long bond increases.E) none of the above.Answer: A Difficulty: ModerateRationale: Profit to long position = Spot price at maturity--original futures price.17. To hedge a long position in Treasury bonds, an investor most likely wouldA) buy interest rate futures.B) sell S&P futures.C) sell interest rate futures.D) buy Treasury bonds in the spot market.E) none of the above.Answer: C Difficulty: DifficultRationale: By taking the short position, the hedger is obligated to deliver T-bonds at the contract maturity date for the current futures price, which locks in the sales price for the bonds and guarantees that the total value of the bond-plus-futures position at thematurity date is the futures price.18. An increase in the basis will __________ a long hedger and __________ a short hedger.A) hurt; benefitB) hurt; hurtC) benefit; hurtD) benefit; benefitE) benefit; have no effect uponAnswer: C Difficulty: DifficultRationale: If a contract and an asset are to be liquidated early, basis risk exists andfutures price and spot price need not move in lockstep before delivery date. An increase in the basis will hurt the short hedger and benefit the long hedger.19. Which one of the following statements regarding "basis" is not true?A) the basis is the difference between the futures price and the spot price.B) the basis risk is borne by the hedger.C) a short hedger suffers losses when the basis decreases.D) the basis increases when the futures price increases by more than the spot price.E) none of the above.Answer: C Difficulty: DifficultRationale: See explanation for test bank question 22.20.20. If you determine that the S&P 500 Index futures is overpriced relative to the spot S&P500 Index you could make an arbitrage profit byA) buying all the stocks in the S&P 500 and selling put options on the S&P 500 index.B) selling short all the stocks in the S&P 500 and buying S&P Index futures.C) selling all the stocks in the S&P 500 and buying call options on the S&P 500 index.D) selling S&P 500 Index futures and buying all the stocks in the S&P 500.E) none of the above.Answer: D Difficulty: ModerateRationale: If you think one asset is overpriced relative to another, you sell theoverpriced asset and buy the other one.21. On January 1, the listed spot and futures prices of a Treasury bond were 93.8 and 93.13.You purchased $100,000 par value Treasury bonds and sold one Treasury bond futures contract. One month later, the listed spot price and futures prices were 94 and 94.09, respectively. Ifyou were to liquidate your position, your profits would beA) $125 loss.B) $125 profit.C) $12.50 loss.D) $1,250 loss.E) none of the above.Answer: A Difficulty: DifficultRationale: On bonds: $94,000 - $93,250 = $750; On futures: $93,406.25 - $94,281.25 = -$875; Net profits: $750 - $875 = -$125.22. You purchased one silver future contract at $3 per ounce. What would be your profit(loss) at maturity if the silver spot price at that time is $4.10 per ounce? Assume the contract size is 5,000 ounces and there are no transactions costs.A) $5.50 profitB) $5,500 profitC) $5.50 lossD) $5,500 lossE) none of the above.Answer: B Difficulty: ModerateRationale: $4.10 - $3.00 = $1.10 X 5,000 = $5,500.23. You sold one silver future contract at $3 per ounce. What would be your profit (loss) atmaturity if the silver spot price at that time is $4.10 per ounce? Assume the contract size is 5,000 ounces and there are no transactions costs.A) $5.50 profitB) $5,500 profitC) $5.50 lossD) $5,500 lossE) none of the above.Answer: D Difficulty: ModerateRationale: $3.00 - $4.10 = -$1.10 X 5,000 = -$5,500.24. You purchased one corn future contract at $2.29 per bushel. What would be your profit(loss) at maturity if the corn spot price at that time were $2.10 per bushel? Assume the contract size is 5,000 ounces and there are no transactions costs.A) $950 profitB) $95 profitC) $950 lossD) $95 lossE) none of the above.Answer: C Difficulty: ModerateRationale: $2.10 - $2.29 = -$0.19 X 5,000 = -$950.25. You sold one corn future contract at $2.29 per bushel. What would be your profit (loss)at maturity if the corn spot price at that time were $2.10 per bushel? Assume thecontract size is 5,000 ounces and there are no transactions costs.A) $950 profitB) $95 profitC) $950 lossD) $95 lossE) none of the above.Answer: A Difficulty: ModerateRationale: $2.29 - $2.10 = $0.19 X 5,000 = $950.26. You sold one wheat future contract at $3.04 per bushel. What would be your profit (loss)at maturity if the wheat spot price at that time were $2.98 per bushel? Assume thecontract size is 5,000 ounces and there are no transactions costs.A) $30 profitB) $300 profitC) $300 lossD) $30 lossE) none of the above.Answer: B Difficulty: ModerateRationale: $3.04 - $2.98 = $0.06 X 5,000 = $300.27. You purchased one wheat future contract at $3.04 per bushel. What would be yourprofit (loss) at maturity if the wheat spot price at that time were $2.98 per bushel?Assume the contract size is 5,000 ounces and there are no transactions costs.A) $30 profitB) $300 profitC) $300 lossD) $30 lossE) none of the above.Answer: C Difficulty: ModerateRationale: $2.98 - $3.04 = -$0.06 X 5,000 = -$300.28. On January 1, you sold one April S&P 500 index futures contract at a futures price of420. If on February 1 the April futures price were 430, what would be your profit (loss) if you closed your position (without considering transactions costs)?A) $2,500 lossB) $10 lossC) $2,500 profitD) $10 profitE) none of the aboveAnswer: A Difficulty: DifficultRationale: $420 - $430 = -$10 X 250 = -$2,50029. On January 1, you bought one April S&P 500 index futures contract at a futures price of420. If on February 1 the April futures price were 430, what would be your profit (loss) if you closed your position (without considering transactions costs)?A) $2,500 lossB) $10 lossC) $2,500 profitD) $10 profitE) none of the aboveAnswer: C Difficulty: DifficultRationale: $430 - $420 = $10 X 250 = $2,50030. You sold one soybean future contract at $5.13 per bushel. What would be your profit(loss) at maturity if the wheat spot price at that time were $5.26 per bushel? Assume the contract size is 5,000 ounces and there are no transactions costs.A) $65 profitB) $650 profitC) $650 lossD) $65 lossE) none of the above.Answer: C Difficulty: ModerateRationale: $5.13 - $5.26 = -$0.13 X 5,000 = -$650.31. You bought one soybean future contract at $5.13 per bushel. What would be your profit(loss) at maturity if the wheat spot price at that time were $5.26 per bushel? Assume the contract size is 5,000 ounces and there are no transactions costs.A) $65 profitB) $650 profitC) $650 lossD) $65 lossE) none of the above.Answer: B Difficulty: ModerateRationale: $5.26 - $5.13 = $0.13 X 5,000 = $650.32. On April 1, you bought one S&P 500 index futures contract at a futures price of 950. Ifon June 15th the futures price were 1012, what would be your profit (loss) if you closed your position (without considering transactions costs)?A) $1,550 lossB) $15,550 lossC) $15,550 profitD) $1,550 profitE) none of the aboveAnswer: C Difficulty: DifficultRationale: $1012 - $950 = $62 X 250 = $15,50033. On April 1, you sold one S&P 500 index futures contract at a futures price of 950. If onJune 15th the futures price were 1012, what would be your profit (loss) if you closed your position (without considering transactions costs)?A) $1,550 lossB) $15,550 lossC) $15,550 profitD) $1,550 profitE) none of the aboveAnswer: B Difficulty: DifficultRationale: $950 - $1012 = -$62 X 250 = -$15,50034. The expectations hypothesis of futures pricingA) is the simplest theory of futures pricing.B) states that the futures price equals the expected value of the future spot price of theasset.C) is not a zero sum game.D) A and B.E) A and C.Answer: D Difficulty: EasyRationale: The expectations hypothesis relies on the concept of risk neutrality; i.e., if all market participants are risk neutral, they should agree on a futures price that provides an expected profit of zero to all parties.35. Normal backwardationA) maintains that for most commodities, there are natural hedgers who desire to shedrisk.B) maintains that speculators will enter the long side of the contract only if the futuresprice is below the expected spot price.C) assumes that risk premiums in the futures markets are based on systematic risk.D) A and B.E) B and C.Answer: D Difficulty: EasyRationale: Risk premiums in this theory are based on total variability.36. ContangoA) holds that the natural hedgers are the purchasers of a commodity, not the suppliers.B) is a hypothesis polar to backwardation.C) holds that F O must be less than (P T).D) A and C.E) A and B.Answer: E Difficulty: Easy37. Delivery of stock index futuresA) is never made.B) is made by a cash settlement based on the index value.C) requires delivery of 1 share of each stock in the index.D) is made by delivering 100 shares of each stock in the index.E) is made by delivering a value-weighted basket of stocks.Answer: B Difficulty: ModerateRationale: Stock index futures are cash-settled, similar to the procedure used for index options.38. The establishment of a futures market in a commodity should not have a major impacton spot prices becauseA) the futures market is small relative to the spot market.B) the futures market is illiquid.C) futures are a zero-sum gameD) the futures market is large relative to the spot market.E) most futures contracts do not take delivery.Answer: C Difficulty: ModerateRationale: Losses and gains to futures contracts net to zero,and thus should not impact spot prices.39. The most recently established category of futures contracts isA) agricultural commodities.B) metals and minerals.C) foreign currencies.D) financial futures.E) both B and C.Answer: D Difficulty: ModerateRationale: Financial futures were first introduced in 1975, and this segment of themarket has seen rapid innovation.40. If a trader holding a long position in corn futures fails to meet the obligations of afutures contract, the party that is hurt by the failure isA) the offsetting short trader.B) the corn farmer.C) the clearinghouse.D) the broker.E) the commodities dealer.Answer: C Difficulty: ModerateRationale: The clearinghouse acts as a middle party to every transaction, and bears any losses arising from failure to meet contractual obligations.41. Open interest includesA) only contracts with a specified delivery date.B) the sum of short and long positions.C) the sum of short, long and clearinghouse positions.D) the sum of long or short positions and clearinghouse positions.E) only long or short positions but not both.Answer: E Difficulty: ModerateRationale: Open interest is the number of contracts outstanding across all delivery dates for a given contract. Long and short positions are not counted separately, and the clearinghouse position is not counted because it nets to zero.42. The process of marking-to-marketA) posts gains or losses to each account daily.B) may result in margin calls.C) impacts only long positions.D) all of the above are true.E) both A and B are true.Answer: E Difficulty: EasyRationale: Marking-to-market effectively puts futures contracts on a "pay as you go"basis.43. Futures contracts are regulated byA) the Commodity Futures Trading Corporation.B) the Chicago Board of Trade.C) the Chicago Mercantile Exchange.D) the Federal Reserve.E) the Securities and Exchange Commission.Answer: A Difficulty: EasyRationale: The CFTC, a federal agency, sets rules and requirements for futures trading.44. Taxation of futures trading gains and lossesA) is based on cumulative year-end profits or losses.B) occurs based on the date contracts are sold or closed.C) can be timed to offset stock portfolio gains and losses.D) is based on the contract holding period.E) none of the above.Answer: A Difficulty: ModerateRationale: Futures profits and losses are taxed based on cumulative year-end value due to marking-to-market procedures.45. Speculators may use futures markets rather than spot markets becauseA) transactions costs are lower in futures markets.B) futures markets provide leverage.C) spot markets are less efficient.D) futures markets are less efficient.E) both A and B are true.Answer: E Difficulty: ModerateRationale: Futures markets allow speculators to benefit from leverage and minimize transactions costs. Both markets should be equally price-efficient.46. Given a stock index with a value of $1,000, an anticipated dividend of $30 and arisk-free rate of 6%, what should be the value of one futures contract on the index?A) $943.40B) $970.00C) $913.40D) $915.09E) $1000.00Answer: C Difficulty: DifficultRationale: F = 1000/(1.06) - 30; F = 913.40.47. Given a stock index with a value of $1,125, an anticipated dividend of $33 and arisk-free rate of 4%, what should be the value of one futures contract on the index?A) $1048.73B) $1070.00C) $993.40D) $995.09E) $1000.00Answer: A Difficulty: DifficultRationale: F = 1125/(1.04) - 33; F = 1048.73.48. Given a stock index with a value of $1100, an anticipated dividend of $27 and arisk-free rate of 3%, what should be the value of one futures contract on the index?A) $943.40B) $970.00C) $913.40D) $1040.96E) $1000.00Answer: D Difficulty: DifficultRationale: F = 1100/(1.03) - 27; F = 1040.96.49. Given a stock index with a value of $1,200, an anticipated dividend of $45 and arisk-free rate of 6%, what should be the value of one futures contract on the index?A) $1087.08B) $1070.00C) $993.40D) $995.09E) $1000.00Answer: A Difficulty: DifficultRationale: F = 1200/(1.06) - 45; F = 1087.08.50. Which of the following items is specified in a futurescontract?I)the contract sizeII)the maximum acceptable price range during the life of the contractIII)the acceptable grade of the commodity on which the contract is heldIV)the market price at expirationV)the settlement priceA) I, II, and IVB) I, III, and VC) I and VD) I, IV, and VE) I, II, III, IV, and VAnswer: B Difficulty: ModerateRationale: The maximum price range and the market price at expiration will bedetermined by the market rather than specified in the contract.51. With regard to futures contracts, what does the word “margin” mean?A) It is the amount of the money borrowed from the broker when you buy the contract.B) It is the maximum percentage that the price of the contract can change before it ismarked to market.C) It is the maximum percentage that the price of the underlying asset can changebefore it is marked to market.D) It is a good-faith deposit made at the time of the contract's purchase or sale.E) It is the amount by which the contract is marked to market.Answer: D Difficulty: EasyRationale: The exchange guarantees the performance of each party, so it requires agood-faith deposit. This helps avoid the cost of credit checks.52. Which of the following is true about profits from futures contracts?A) The person with the long position gets to decide whether to exercise the futurescontract and will only do so if there is a profit to be made.B) It is possible for both the holder of the long position and the holder of the shortposition to earn a profit.C) The clearinghouse makes most of the profit.D) The amount that the holder of the long position gains must equal the amount that theholder of the short position loses.E) Holders of short positions can recognize profits by making delivery early.Answer: D Difficulty: ModerateRationale: The net profit on the contract is zero it is a zero-sum game.53. Some of the newer futures contracts includeI)fashion futures.II)weather futures.III)electricity futures.IV)entertainment futures.A) I and IIB) II and IIIC) III and IVD) I, II, and IIIE) I, III, and IVAnswer: B Difficulty: EasyRationale: Weather and electricity futures are mentioned in the textbook as recentinnovations.54. Who guarantees that a futures contract will be fulfilled?A) the buyerB) the sellerC) the brokerD) the clearinghouseE) nobodyAnswer: D Difficulty: EasyRationale: Once two parties have agreed to enter the transaction, the clearinghouse becomes the buyer and seller of the contract and guarantees its completion.55. If you took a long position in a pork bellies futures contract and then forgot about it,what would happen at the expiration of the contract?A) Nothing--the seller understands that these things happen.B) You would wake up to find the pork bellies on your front lawn.C) Your broker would send you a nasty letter.D) You would be notified that you owe the holder of the short position a certain amountof cash.E) You would be notified that you have to pay a penalty in addition to the regular costof the pork bellies.Answer: D Difficulty: EasyRationale: The item is usually not delivered, but cash settlement can be made through the use of warehouse receipts. You are still obligated to fulfill the contract and give the holder of the short position the value of the pork bellies.56. Hedging a position using futures on another commodity is calledA) surrogate hedging.B) cross hedging.C) alternative hedging.D) correlative hedging.E) proxy hedging.Answer: B Difficulty: EasyRationale: Cross-hedging is used in some cases because no futures contract exists for the item you want to hedge. The two commodities should be highly correlated.57. A trader who has a __________ position in oil futures believes the price of oil will__________ in the future.A) short; increaseB) long; increaseC) short; decreaseD) long; stay the sameE) B and CAnswer: E Difficulty: ModerateRationale: The trader holding the long position (the person who will purchase the goods) will profit from a price increase. Profit to long position = Spot price atmaturity--Original futures price.。
投资学第7版TestBank答案10
投资学第7版TestBank答案10ReturnMultiple Choice Questions1. ___________ a relationship between expected return and risk.A) APT stipulatesB) CAPM stipulatesC) Both CAPM and APT stipulateD) Neither CAPM nor APT stipulateE) No pricing model has foundAnswer: C Difficulty: EasyRationale: Both models attempt to explain asset pricing based on risk/returnrelationships.2. Which pricing model provides no guidance concerning the determination of the riskpremium on factor portfolios?A) The CAPMB) The multifactor APTC) Both the CAPM and the multifactor APTD) Neither the CAPM nor the multifactor APTE) None of the above is a true statement.Answer: B Difficulty: ModerateRationale: The multifactor APT provides no guidance as to the determination of the risk premium on the various factors. The CAPM assumes that the excess market return over the risk-free rate is the market premium in the single factor CAPM.3. An arbitrage opportunity exists if an investor can construct a __________ investmentportfolio that will yield a sure profit.A) positiveB) negativeC) zeroD) all of the aboveE) none of the aboveAnswer: C Difficulty: EasyRationale: If the investor can construct a portfolio without the use of the investor's own funds and the portfolio yields a positive profit, arbitrage opportunities exist.Return4. The APT was developed in 1976 by ____________.A) LintnerB) Modigliani and MillerC) RossD) SharpeE) none of the aboveAnswer: C Difficulty: EasyRationale: Ross developed this model in 1976.5. A _________ portfolio is a well-diversified portfolio constructed to have a beta of 1 onone of the factors and a beta of 0 on any other factor.A) factorB) marketC) indexD) A and BE) A, B, and CAnswer: A Difficulty: EasyRationale: A factor model portfolio has a beta of 1 one factor, with zero betas on other factors.6. The exploitation of security mispricing in such a way that risk-free economic profitsmay be earned is called ___________.A) arbitrageB) capital asset pricingC) factoringD) fundamental analysisE) none of the aboveAnswer: A Difficulty: EasyRationale: Arbitrage is earning of positive profits with a zero (risk-free) investment.Return7. In developing the APT, Ross assumed that uncertainty in asset returns was a result ofA) a common macroeconomic factorB) firm-specific factorsC) pricing errorD) neither A nor BE) both A and BAnswer: E Difficulty: ModerateRationale: Total risk (uncertainty) is assumed to be composed of both macroeconomic and firm-specific factors.8. The ____________ provides an unequivocal statement on the expected return-betarelationship for all assets, whereas the _____________ implies that this relationshipholds for all but perhaps a small number of securities.A) APT, CAPMB) APT, OPMC) CAPM, APTD) CAPM, OPME) none of the aboveAnswer: C Difficulty: ModerateRationale: The CAPM is an asset-pricing model based on the risk/return relationship of all assets. The APT implies that this relationship holds for all well-diversified portfolios, and for all but perhaps a few individual securities.9. Consider a single factor APT. Portfolio A has a beta of 1.0 and an expected return of16%. Portfolio B has a beta of 0.8 and an expected return of 12%. The risk-free rate of return is 6%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio __________ and a long position in portfolio _______.A) A, AB) A, BC) B, AD) B, BE) A, the riskless assetAnswer: C Difficulty: ModerateRationale: A: 16% = 1.0F + 6%; F = 10%; B: 12% = 0.8F + 6%: F = 7.5%; thus, short B and take a long position in A.Return10. Consider the single factor APT. Portfolio A has a beta of 0.2 and an expected return of13%. Portfolio B has a beta of 0.4 and an expected return of 15%. The risk-free rate of return is 10%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio _________ and a long position in portfolio _________.A) A, AB) A, BC) B, AD) B, BE) none of the aboveAnswer: C Difficulty: ModerateRationale: A: 13% = 10% + 0.2F; F = 15%; B: 15% = 10% + 0.4F; F = 12.5%; therefore, short B and take a long position in A.11. Consider the one-factor APT. The variance of returns on the factor portfolio is 6%. Thebeta of a well-diversified portfolio on the factor is 1.1. The variance of returns on the well-diversified portfolio is approximately __________.A) 3.6%B) 6.0%C) 7.3%D) 10.1%E) none of the aboveAnswer: C Difficulty: ModerateRationale: s2P = (1.1)2(6%) = 7.26%.12. Consider the one-factor APT. The standard deviation of returns on a well-diversifiedportfolio is 18%. The standard deviation on the factor portfolio is 16%. The beta of the well-diversified portfolio is approximately __________.A) 0.80B) 1.13C) 1.25D) 1.56E) none of the aboveAnswer: B Difficulty: ModerateRationale: (18%)2 = (16%)2 b2; b = 1.125.Return13. Consider the single-factor APT. Stocks A and B have expected returns of 15% and 18%,respectively. The risk-free rate of return is 6%. Stock B has a beta of 1.0. If arbitrage opportunities are ruled out, stock A has a beta of __________.A) 0.67B) 1.00C) 1.30D) 1.69E) none of the aboveAnswer: E Difficulty: ModerateRationale: A: 15% = 6% + bF; B: 8% = 6% + 1.0F; F = 12%; thus, beta of A = 9/12 =0.75.14. Consider the multifactor APT with two factors. Stock A has an expected return of16.4%, a beta of 1.4 on factor 1 and a beta of .8 on factor 2. The risk premium on thefactor 1 portfolio is 3%. The risk-free rate of return is 6%. What is the risk-premium on factor 2 if no arbitrage opportunities exit?A) 2%B) 3%C) 4%D) 7.75%E) none of the aboveAnswer: D Difficulty: DifficultRationale: 16.4% = 1.4(3%) + .8x + 6%; x = 7.75.15. Consider the multifactor model APT with two factors. Portfolio A has a beta of 0.75 onfactor 1 and a beta of 1.25 on factor 2. The risk premiums on the factor 1 and factor 2 portfolios are 1% and 7%, respectively. The risk-free rate of return is 7%. The expected return on portfolio A is __________if no arbitrage opportunities exist.A) 13.5%B) 15.0%C) 16.5%D) 23.0%E) none of the aboveAnswer: C Difficulty: ModerateRationale: 7% + 0.75(1%) + 1.25(7%) = 16.5%.Return16. Consider the multifactor APT with two factors. The risk premiums on the factor 1 andfactor 2 portfolios are 5% and 6%, respectively. Stock A has a beta of 1.2 on factor 1, and a beta of 0.7 on factor 2. The expected return on stock A is 17%. If no arbitrageopportunities exist, the risk-free rate of return is ___________.A) 6.0%B) 6.5%C) 6.8%D) 7.4%E) none of the aboveAnswer: C Difficulty: ModerateRationale: 17% = x% + 1.2(5%) + 0.7(6%); x = 6.8%.17. Consider a one-factor economy. Portfolio A has a beta of 1.0 on the factor and portfolioB has a beta of 2.0 on the factor. The expected returns on portfolios A and B are 11%and 17%, respectively. Assume that the risk-free rate is 6% and that arbitrageopportunities exist. Suppose you invested $100,000 in the risk-free asset, $100,000 in portfolio B, and sold short $200,000 of portfolio A. Your expected profit from thisstrategy would be ______________.A) -$1,000B) $0C) $1,000D) $2,000E) none of the aboveAnswer: C Difficulty: ModerateRationale: $100,000(0.06) = $6,000 (risk-free position); $100,000(0.17) = $17,000(portfolio B); -$200,000(0.11) = -$22,000 (short position, portfolio A); 1,000 profit. 18. Consider the one-factor APT. Assume that two portfolios, A and B, are well diversified.The betas of portfolios A and B are 1.0 and 1.5, respectively. The expected returns on portfolios A and B are 19% and 24%, respectively. Assuming no arbitrageopportunities exist, the risk-free rate of return must be ____________.A) 4.0%B) 9.0%C) 14.0%D) 16.5%E) none of the aboveAnswer: B Difficulty: ModerateRationale: A: 19% = r f + 1(F); B:24% = r f + 1.5(F); 5% = .5(F); F = 10%; 24% = r f +1.5(10); ff = 9%.Return19. Consider the multifactor APT. The risk premiums on the factor 1 and factor 2 portfoliosare 5% and 3%, respectively. The risk-free rate of return is 10%. Stock A has anexpected return of 19% and a beta on factor 1 of 0.8. Stock A has a beta on factor 2 of ________.A) 1.33B) 1.50C) 1.67D) 2.00E) none of the aboveAnswer: C Difficulty: ModerateRationale: 19% = 10% + 5%(0.8) + 3%(x); x = 1.67.20. Consider the single factor APT. Portfolios A and B have expected returns of 14% and18%, respectively. The risk-free rate of return is 7%. Portfolio A has a beta of 0.7. If arbitrage opportunities are ruled out, portfolio B must have a beta of __________.A) 0.45B) 1.00C) 1.10D) 1.22E) none of the aboveAnswer: C Difficulty: ModerateRationale: A: 14% = 7% + 0.7F; F = 10; B: 18% = 7% + 10b; b = 1.10.Use the following to answer questions 21-24:There are three stocks, A, B, and C. You can either invest in these stocks or short sell them. There are three possible states of nature for economic growth in the upcoming year; economic growth may be strong, moderate, or weak. The returns for the upcoming year on stocks A, B, and C for each of these states of nature are given below:Return21. If you invested in an equally weighted portfolio of stocks A and B, your portfolio return would be ___________ if economic growth were moderate.A) 3.0%B) 14.5%C) 15.5%D) 16.0%E) none of the aboveAnswer: D Difficulty: EasyRationale: E(Rp) = 0.5(17%) + 0.5(15%) = 16%.22. If you invested in an equally weighted portfolio of stocks A and C, your portfolio return would be ____________ if economic growth was strong.A) 17.0%B) 22.5%C) 30.0%D) 30.5%E) none of the aboveAnswer: B Difficulty: EasyRationale: 0.5(39%) + 0.5(6%) = 22.5%.23. If you invested in an equally weighted portfolio of stocks B and C, your portfolio return would be _____________ if economic growth was weak.A) -2.5%B) 0.5%C) 3.0%D) 11.0%E) none of the aboveAnswer: D Difficulty: EasyRationale: 0.5(0%) + 0.5(22%) = 11%.Return24. If you wanted to take advantage of a risk-free arbitrage opportunity, you should take a short position in _________ and a long position in an equally weighted portfolio of_______.A) A, B and CB) B, A and CC) C, A and BD) A and B, CE) none of the above, none of the aboveAnswer: C Difficulty: DifficultRationale: E(R A) = (39% + 17% - 5%)/3 = 17%; E(R B) = (30% + 15% + 0%)/3 = 15%;E(R C) = (22% + 14% + 6%)/3 = 14%; E(R P) = -0.5(14%) + 0.5[(17% + 15%)/2]; -7.0% + 8.0% = 1.0%.Use the following to answer questions 25-26:Consider the multifactor APT. There are two independent economic factors, F1 and F2. The risk-free rate of return is 6%. The following information is available about two well-diversified portfolios:25. Assuming no arbitrage opportunities exist, the risk premium on the factor F1 portfolioshould be __________.A) 3%B) 4%C) 5%D) 6%E) none of the aboveAnswer: A Difficulty: DifficultRationale: 2A: 38% = 12% + 2.0(RP1) + 4.0(RP2); B: 12% = 6% + 2.0(RP1) +0.0(RP2); 26% = 6% + 4.0(RP2); RP2 = 5; A: 19% = 6% + RP1 + 2.0(5); RP1 = 3%.Return26. Assuming no arbitrage opportunities exist, the risk premium on the factor F2 portfolioshould be ___________.A) 3%B) 4%C) 5%D) 6%E) none of the aboveAnswer: C Difficulty: DifficultRationale: See solution to previous problem.27. A zero-investment portfolio with a positive expected return arises when _________.A) an investor has downside risk onlyB) the law of prices is not violatedC) the opportunity set is not tangent to the capital allocation lineD) a risk-free arbitrage opportunity existsE) none of the aboveAnswer: D Difficulty: EasyRationale: When an investor can create a zero-investment portfolio (by using none of the investor's own funds) with a possibility of a positive profit, a risk-free arbitrageopportunity exists.28. An investor will take as large a position as possible when an equilibrium pricerelationship is violated. This is an example of _________.A) a dominance argumentB) the mean-variance efficiency frontierC) a risk-free arbitrageD) the capital asset pricing modelE) none of the aboveAnswer: C Difficulty: ModerateRationale: When the equilibrium price is violated, the investor will buy the lower priced asset and simultaneously place an order to sell the higher priced asset. Suchtransactions result in risk-free arbitrage. The larger the positions, the greater therisk-free arbitrage profits.Return29. The APT differs from the CAPM because the APT _________.A) places more emphasis on market riskB) minimizes the importance of diversificationC) recognizes multiple unsystematic risk factorsD) recognizes multiple systematic risk factorsE) none of the aboveAnswer: D Difficulty: ModerateRationale: The CAPM assumes that market returns represent systematic risk. The APT recognizes that other macroeconomic factors may be systematic risk factors.30. The feature of the APT that offers the greatest potential advantage over the CAPM is the______________.A) use of several factors instead of a single market index to explain the risk-returnrelationshipB) identification of anticipated changes in production, inflation and term structure askey factors in explaining the risk-return relationshipC) superior measurement of the risk-free rate of return over historical time periodsD) variability of coefficients of sensitivity to the APT factors for a given asset overtimeE) none of the aboveAnswer: A Difficulty: EasyRationale: The advantage of the APT is the use of multiple factors, rather than a single market index, to explain the risk-return relationship. However, APT does not identify the specific factors.31. In terms of the risk/return relationshipA) only factor risk commands a risk premium in market equilibrium.B) only systematic risk is related to expected returns.C) only nonsystematic risk is related to expected returns.D) A and B.E) A and C.Answer: D Difficulty: EasyRationale: Nonfactor risk may be diversified away; thus, only factor risk commands a risk premium in market equilibrium. Nonsystematic risk across firms cancels out inwell-diversified portfolios; thus, only systematic risk is related to expected returns.Return32. The following factors might affect stock returns:A) the business cycle.B) interest rate fluctuations.C) inflation rates.D) all of the above.E) none of the above.Answer: D Difficulty: EasyRationale: A, B, and C all are likely to affect stock returns.33. Advantage(s) of the APT is(are)A) that the model provides specific guidance concerning the determination of the riskpremiums on the factor portfolios.B) that the model does not require a specific benchmark market portfolio.C) that risk need not be considered.D) A and B.E) B and C.Answer: B Difficulty: EasyRationale: The APT provides no guidance concerning the determination of the riskpremiums on the factor portfolios. Risk must considered in both the CAPM and APT.A major advantage of APT over the CAPM is that a specific benchmark marketportfolio is not required.34. Portfolio A has expected return of 10% and standard deviation of 19%. Portfolio B hasexpected return of 12% and standard deviation of 17%. Rational investors willA) Borrow at the risk free rate and buy A.B) Sell A short and buy B.C) Sell B short and buy A.D) Borrow at the risk free rate and buy B.E) Lend at the risk free rate and buy B.Answer: B Difficulty: EasyRationale: Rational investors will arbitrage by selling A and buying B.Return35. An important difference between CAPM and APT isA) CAPM depends on risk-return dominance; APT depends on a no arbitragecondition.B) CAPM assumes many small changes are required to bring the market back toequilibrium; APT assumes a few large changes are required to bring the marketback to equilibrium.C) implications for prices derived from CAPM arguments are stronger than pricesderived from APT arguments.D) all of the above are true.E) both A and B are true.Answer: E Difficulty: DifficultRationale: Under the risk-return dominance argument of CAPM, when an equilibrium price is violated many investors will make small portfolio changes, depending on their risk tolerance, until equilibrium is restored. Under the no-arbitrage argument of APT, each investor will take as large a position as possible so only a few investors must act to restore equilibrium. Implications derived from APT are much stronger than thosederived from CAPM, making C an incorrect statement.36. A professional who searches for mispriced securities in specific areas such asmerger-target stocks, rather than one who seeks strict (risk-free) arbitrage opportunities is engaged inA) pure arbitrage.B) risk arbitrage.C) option arbitrage.D) equilibrium arbitrage.E) none of the above.Answer: B Difficulty: ModerateReturn37. In the context of the Arbitrage Pricing Theory, as a well-diversified portfolio becomeslarger its nonsystematic risk approachesA) one.B) infinity.C) zero.D) negative one.E) none of the above.Answer: C Difficulty: EasyRationale: As the number of securities, n, increases, the nonsystematic risk of awell-diversified portfolio approaches zero.38. A well-diversified portfolio is defined asA) one that is diversified over a large enough number of securities that thenonsystematic variance is essentially zero.B) one that contains securities from at least three different industry sectors.C) a portfolio whose factor beta equals 1.0.D) a portfolio that is equally weighted.E) all of the above.Answer: A Difficulty: ModerateRationale: A well-diversified portfolio is one that contains a large number of securities, each having a small (but not necessarily equal) weight, so that nonsystematic variance is negligible.39. The APT requires a benchmark portfolioA) that is equal to the true market portfolio.B) that contains all securities in proportion to their market values.C) that need not be well-diversified.D) that is well-diversified and lies on the SML.E) that is unobservable.Answer: D Difficulty: ModerateRationale: Any well-diversified portfolio lying on the SML can serve as the benchmark portfolio for the APT. The true (and unobservable) market portfolio is only arequirement for the CAPM.Return40. Imposing the no-arbitrage condition on a single-factor security market implies which ofthe following statements?I)the expected return-beta relationship is maintained for all but a small number ofII)the expected return-beta relationship is maintained for all well-diversified portfolios.III)the expected return-beta relationship is maintained for all but a small number of individual securities.IV)the expected return-beta relationship is maintained for all individual securities.A) I and III are correct.B) I and IV are correct.C) II and III are correct.D) II and IV are correct.E) Only I is correct.Answer: C Difficulty: ModerateRationale: The expected return-beta relationship must hold for all well-diversifiedportfolios and for all but a few individual securities; otherwise arbitrage opportunities will be available.41. Consider a well-diversified portfolio, A, in a two-factor economy. The risk-free rate is6%, the risk premium on the first factor portfolio is 4% and the risk premium on thesecond factor portfolio is 3%. If portfolio A has a beta of 1.2 on the first factor and .8 on the second factor, what is its expected return?A) 7.0%B) 8.0%C) 9.2%D) 13.0%E) 13.2%Answer: E Difficulty: ModerateRationale: .06 + 1.2 (.04) + .8 (.03) = .132Return42. The term “arbitrage” refers toA) buying low and selling high.B) short selling high and buying low.C) earning risk-free economic profits.D) negotiating for favorable brokerage fees.E) hedging your portfolio through the use of options.Answer: C Difficulty: EasyRationale: Arbitrage is exploiting security mispricings by the simultaneous purchase and sale to gain economic profits without taking any risk. A capital market inequilibrium rules out arbitrage opportunities.43. To take advantage of an arbitrage opportunity, an investor wouldI)construct a zero investment portfolio that will yield a sure profit.III)make simultaneous trades in two markets without any net investment.IV)short sell the asset in the low-priced market and buy it in the high-priced market.A) I and IVB) I and IIIC) II and IIID) I, III, and IVE) II, III, and IVAnswer: B Difficulty: DifficultRationale: Only I and III are correct. II is incorrect because the beta of the portfoliodoes not need to be zero. IV is incorrect because the opposite is true.44. The factor F in the APT model representsA) firm-specific risk.B) the sensitivity of the firm to that factor.C) a factor that affects all security returns.D) the deviation from its expected value of a factor that affects all security returns.E) a random amount of return attributable to firm events.Answer: D Difficulty: ModerateRationale: F measures the unanticipated portion of a factor that is common to all security returns.Return45. In the APT model, what is the nonsystematic standard deviation of an equally-weighted portfolio that has an average value of ó(e i ) equal to 25% and 50 securities?A) 12.5%B) 625%C) 0.5%D) 3.54%E) 14.59%Answer: D Difficulty: ModerateRationale: ()%54.35.12)(,5.1225501)(1)(222=====p i p e e n e σσ46. Which of the following is true about the security market line (SML) derived from the APT?A) The SML has a downward slope.B) The SML for the APT shows expected return in relation to portfolio standardC) The SML for the APT has an intercept equal to the expected return on the marketportfolio.D) The benchmark portfolio for the SML may be any well-diversified portfolio. E) The SML is not relevant for the APT. Answer: D Difficulty: ModerateRationale: The benchmark portfolio does not need to be the (unobservable) marketportfolio under the APT, but can be any well-diversified portfolio. The intercept still equals the risk-free rate.47. If arbitrage opportunities are to be ruled out, each well-diversified portfolio's expectedexcess return must beA) inversely proportional to the risk-free rate.B) inversely proportional to its standard deviation.C) proportional to its weight in the market portfolio.D) proportional to its standard deviation.E) proportional to its beta coefficient.Answer: E Difficulty: ModerateRationale: For each well-diversified portfolio (P and Q, for example), it must be true that [E(r p )-r f ]/βp = [E(r Q )-r f ]/ βQ. Return48. Suppose you are working with two factor portfolios, Portfolio 1 and Portfolio 2. Theportfolios have expected returns of 15% and 6%, respectively. Based on thisinformation, what would be the expected return on well-diversified portfolio A, if A hasa beta of 0.80 on the first factor and 0.50 on the second factor? The risk-free rate is 3%.A) 15.2%B) 14.1%C) 13.3%D) 10.7%E) 8.4%Answer: B Difficulty: ModerateRationale: E(R A) = 3 +0.8*(15-3) + 0.5*(6-3) = 14.1.49. Which of the following is (are) true regarding the APT?I)The Security Market Line does not apply to the APT.II)More than one factor can be important in determining returns.III)Almost all individual securities satisfy the APT relationship.IV)It doesn't rely on the market portfolio that contains all assets.A) II, III, and IVB) II and IVD) I, II, and IVE) I, II, III, and IVAnswer: A Difficulty: ModerateRationale: All except the first item are true. There is a Security Market Line associated with the APT.50. In a factor model, the return on a stock in a particular period will be related toA) factor risk.B) non-factor risk.C) standard deviation of returns.D) both A and B are true.E) none of the above is true.Answer: D Difficulty: ModerateRationale: Factor models explain firm returns based on both factor risk and non-factor risk.Return51. Which of the following factors did Chen, Roll and Ross not include in their multifactor model?A) Change in industrial productionB) Change in expected inflationC) Change in unanticipated inflationD) Excess return of long-term government bonds over T-billsE) All of the above factors were included in their model.Answer: E Difficulty: ModerateRationale: Chen, Roll and Ross included the four listed factors as well as the excessreturn of long-term corporate bonds over long-term government bonds in their model.52. Which of the following factors were used by Fama and French in their multi-factormodel?A) Return on the market indexB) Excess return of small stocks over large stocks.C) Excess return of high book-to-market stocks over low book-to-market stocks.D) All of the above factors were included in their model.E) None of the above factors was included in their model.Answer: D Difficulty: ModerateRationale: Fama and French included all three of the factors listed.53. Which of the following factors did Merton not suggest as a likely source of uncertaintythat might affect security returns?B) prices of important consumption goods.C) book-to-market ratios.D) changes in future investment opportunities.E) All of the above are sources of uncertainty affecting security returns. Answer: C Difficulty: ModerateRationale: Merton did not suggest book-to-market ratios as an ICAPM pricing factor; the other three were suggested.。
(完整版)投资学第7版TestBank答案11
Multiple Choice Questions1.If you believe in the ________ form of the EMH, you believe that stock prices reflectall relevant information including historical stock prices and current public informationabout the firm, but not information that is available only to insiders.A)semistrongB)strongC)weakD)A, B, and CE)none of the aboveAnswer: A Difficulty: EasyRationale: The semistrong form of EMH maintains that stock prices immediatelyreflect all historical and current public information, but not inside information.2.Proponents of the EMH typically advocateA)an active trading strategy.B)investing in an index fund.C) a passive investment strategy.D) A and BE) B and CAnswer: E Difficulty: EasyRationale: Believers of market efficiency advocate passive investment strategies, andan investment in an index fund is one of the most practical passive investment strategies, especially for small investors.3.If you believe in the _______ form of the EMH, you believe that stock prices reflect allinformation that can be derived by examining market trading data such as the historyof past stock prices, trading volume or short interest.A)semistrongB)strongC)weakD)all of the aboveE)none of the aboveAnswer: C Difficulty: EasyRationale: The information described above is market data, which is the data set forthe weak form of market efficiency. The semistrong form includes the above plus allother public information. The strong form includes all public and private information.4.If you believe in the _________ form of the EMH, you believe that stock prices reflectall available information, including information that is available only to insiders.A)semistrongB)strongC)weakD)all of the aboveE)none of the aboveAnswer: B Difficulty: EasyRationale: The strong form includes all public and private information.5.If you believe in the reversal effect, you shouldA)buy bonds in this period if you held stocks in the last period.B)buy stocks in this period if you held bonds in the last period.C)buy stocks this period that performed poorly last period.D)go short.E) C and DAnswer: C Difficulty: EasyRationale: The reversal effect states that stocks that do well in one period tend to perform poorly in the subsequent period, and vice versa.6.__________ focus more on past price movements of a firm's stock than on theunderlying determinants of future profitability.A)Credit analystsB)Fundamental analystsC)Systems analystsD)Technical analystsE)All of the aboveAnswer: D Difficulty: EasyRationale: Technicians attempt to predict future stock prices based on historical stock prices.7._________ above which it is difficult for the market to rise.A)Book value is a valueB)Resistance level is a valueC)Support level is a valueD) A and BE) A and CAnswer: B Difficulty: EasyRationale: When stock prices have remained stable for a long period, these prices are termed resistance levels; technicians believe it is difficult for the stock prices to penetrate these resistance levels.8.___________ the return on a stock beyond what would be predicted frommarket movements alone.A)An excess economic return isB)An economic return isC)An abnormal return isD) A and BE) A and CAnswer: E Difficulty: EasyRationale: An economic return is the expected return, based on the perceived level of risk and market factors. When returns exceed these levels, the returns are called abnormal or excess economic returns.9.The debate over whether markets are efficient will probably never be resolvedbecause of ________.A)the lucky event issue.B)the magnitude issue.C)the selection bias issue.D)all of the above.E)none of the above.Answer: D Difficulty: EasyRationale: Factors A, B, and C all exist make rigid testing of market efficiencydifficult or impossible.10. A common strategy for passive management is ____________.A)creating an index fundB)creating a small firm fundC)creating an investment clubD) A and CE) B and CAnswer: A Difficulty: EasyRationale: The index fund is, by definition, passively managed. The other investment alternatives may or may not be managed passively.11.Arbel (1985) found thatA)the January effect was highest for neglected firms.B)the book-to-market value ratio effect was highest in JanuaryC)the liquidity effect was highest for small firms.D)the neglected firm effect was independent of the small firm effect.E)small firms had higher book-to-market value ratios.Answer: A Difficulty: ModerateRationale: Arbel divided firms into highly researched, moderately researched,and neglected groups based on the number of institutions holding the stock.12.Researchers have found that most of the small firm effect occursA)during the spring months.B)during the summer months.C)in December.D)in January.E)randomly.Answer: D Difficulty: ModerateRationale: Much of the so-called small firm effect simply may be the tax-effect as investors sell stocks on which they have losses in December and reinvest the funds in January. As small firms are especially volatile, these actions affect small firms in a more dramatic fashion.13.Malkiel (1995) calculated that the average alphas, or abnormal returns, on alarge sample of mutual funds between 1972 and 1991 wereA)significantly positive.B)significantly negative.C)statistically indistinguishable from zero.D)positive before 1981 and negative thereafter.E)negative before 1981 and positive thereafter.Answer: C Difficulty: ModerateRationale: Malkiel's study suggests that fund managers do not beat the market on a risk-adjusted basis.14.Basu (1977, 1983) found that firms with low P/E ratiosA)earned higher average returns than firms with high P/E ratios.B)earned the same average returns as firms with high P/E ratios.C)earned lower average returns than firms with high P/E ratios.D)had higher dividend yields than firms with high P/E ratios.E)none of the above.Answer: A Difficulty: ModerateRationale: Firms with high P/E ratios already have an inflated price relative toearnings and thus tend to have lower returns than low P/E ratio stocks. However, the P/E ratio may capture risk not fully impounded in market betas so this may represent an appropriate risk adjustment rather than a market anomaly.15.Jaffe (1974) found that stock prices _________ after insiders intensively bought shares.A)decreasedB)did not changeC)increasedD)became extremely volatileE)became much less volatileAnswer: C Difficulty: ModerateRationale: Insider trading may signal private information.16.Banz (1981) found that, on average, the risk-adjusted returns of small firmsA)were higher than the risk-adjusted returns of large firms.B)were the same as the risk-adjusted returns of large firms.C)were lower than the risk-adjusted returns of large firms.D)were unrelated to the risk-adjusted returns of large firms.E)were negative.Answer: A Difficulty: ModerateRationale: Banz found A to be true, although subsequent studies have attemptedto explain the small firm effect as the January effect, the neglected firm effect, etc.17.Proponents of the EMH think technical analystsA)should focus on relative strength.B)should focus on resistance levels.C)should focus on support levels.D)should focus on financial statements.E)are wasting their time.Answer: E Difficulty: ModerateRationale: Technical analysts attempt to predict future stock prices from historic stock prices; proponents of EMH believe that stock price changes are random variables.18.Studies of positive earnings surprises have shown that there isA) a positive abnormal return on the day positive earnings surprises are announced.B) a positive drift in the stock price on the days following the earningssurprise announcement.C) a negative drift in the stock price on the days following the earningssurprise announcement.D)both A and B are true.E)both A and C are true.Answer: D Difficulty: ModerateRationale: The market appears to adjust to earnings information gradually, resulting ina sustained period of abnormal returns.19.On November 22, 2005 the stock price of Walmart was $39.50 and the retailer stockindex was 600.30. On November 25, 2005 the stock price of Walmart was $40.25 and the retailer stock index was 605.20. Consider the ratio of Walmart to the retailer index on November 22 and November 25. Walmart is _______ the retail industry andtechnical analysts who follow relative strength would advise _______ the stock.A)outperforming, buyingB)outperforming, sellingC)underperforming, buyingD)underperforming, sellingE)equally performing, neither buying nor sellingAnswer: A Difficulty: ModerateRationale: 11/22: $39.50/600.30 = 0.0658; 11/25: $40.25/605.20 = 0.0665; Thus,K-Mart's relative strength is improving and technicians using this technique wouldrecommend buying.20.Work by Amihud and Mendelson (1986,1991)A)argues that investors will demand a rate of return premium to invest in lessliquid stocks.B)may help explain the small firm effect.C)may be related to the neglected firm effect.D) B and C.E)A, B, and C.Answer: E Difficulty: ModerateRationale: Lack of liquidity may affect the returns of small and neglected firms;however the theory does not explain why the abnormal returns are concentratedin January.21.Fama and French (1992) found that the stocks of firms within the highest decile ofmarket/book ratios had average monthly returns of _______ while the stocks offirms within the lowest decile of market/book ratios had average monthly returnsof________.A)greater than 1%, greater than 1%B)greater than 1%, less than 1%C)less than 1%, greater than 1%D)less than 1%, less than 1%E)less than 0.5%, greater than 0.5%Answer: C Difficulty: ModerateRationale: This finding suggests either that low market-to-book ratio firms arerelatively underpriced, or that the market-to-book ratio is serving as a proxy for arisk factor that affects expected equilibrium returns.22. A market decline of 23% on a day when there is no significant macroeconomic event______ consistent with the EMH because ________.A)would be, it was a clear response to macroeconomic news.B)would be, it was not a clear response to macroeconomic news.C)would not be, it was a clear response to macroeconomic news.D)would not be, it was not a clear response to macroeconomic news.E)none of the above.Answer: D Difficulty: ModerateRationale: This happened on October 19, 1987. Although this specific event is not mentioned in this edition of the book, it is an example of something that would be considered a violation of the EMH.23.In an efficient market, __________.A)security prices react quickly to new informationB)security prices are seldom far above or below their justified levelsC)security analysts will not enable investors to realize superior returns consistentlyD)one cannot make moneyE)A, B, and CAnswer: E Difficulty: EasyRationale: A, B, and C are true; however, even in an efficient market one should be able to earn the appropriate risk-adjusted rate of return.24.The weak form of the efficient market hypothesis asserts thatA)stock prices do not rapidly adjust to new information contained in past prices orpast data.B)future changes in stock prices cannot be predicted from past prices.C)technicians cannot expect to outperform the market.D) A and BE) B and CAnswer: E Difficulty: EasyRationale: Stock prices do adjust rapidly to new information.25. A support level is the price range at which a technical analyst would expect theA)supply of a stock to increase dramatically.B)supply of a stock to decrease substantially.C)demand for a stock to increase substantially.D)demand for a stock to decrease substantially.E)price of a stock to fall.Answer: C Difficulty: EasyRationale: A support level is considered to be a level below that the price of the stock is unlikely to fall and is believed to be determined by market psychology.26. A finding that _________ would provide evidence against the semistrong form ofthe efficient market theory.A)low P/E stocks tend to have positive abnormal returnsB)trend analysis is worthless in determining stock pricesC)one can consistently outperform the market by adopting the contrarianapproach exemplified by the reversals phenomenonD) A and BE) A and CAnswer: E Difficulty: ModerateRationale: Both A and C are inconsistent with the semistrong form of the EMH.27.The weak form of the efficient market hypothesis contradictsA)technical analysis, but supports fundamental analysis as valid.B)fundamental analysis, but supports technical analysis as valid.C)both fundamental analysis and technical analysis.D)technical analysis, but is silent on the possibility of successfulfundamental analysis.E)none of the above.Answer: D Difficulty: ModerateRationale: The process of fundamental analysis makes the market more efficient, and thus the work of the fundamentalist more difficult. The data set for the weak form of the EMH is market data, which is the only data used exclusively by technicians.Fundamentalists use all public information.28.Two basic assumptions of technical analysis are that security prices adjustA)rapidly to new information and market prices are determined by the interactionof supply and demand.B)rapidly to new information and liquidity is provided by security dealers.C)gradually to new information and market prices are determined by the interactionof supply and demand.D)gradually to new information and liquidity is provided by security dealers.E)rapidly to information and to the actions of insiders.Answer: C Difficulty: ModerateRationale: Technicians follow market data--price changes and volume of trading (asindicator of supply and demand) believing that they can identify price trends assecurity prices adjust gradually.29.Cumulative abnormal returns (CAR)A)are used in event studies.B)are better measures of security returns due to firm-specific events than areabnormal returns (AR).C)are cumulated over the period prior to the firm-specific event.D) A and B.E) A and C.Answer: D Difficulty: ModerateRationale: As leakage of information occurs, the accumulated abnormal returns that are abnormal returns summed over the period of interest (around the event date) are better measures of the effect of firm-specific events.30.Studies of mutual fund performanceA)indicate that one should not randomly select a mutual fund.B)indicate that historical performance is not necessarily indicative offuture performance.C)indicate that the professional management of the fund insures above market returns.D) A and B.E) B and C.Answer: D Difficulty: EasyRationale: Studies show that all funds do not outperform the market and thathistorical performance is not necessarily an indicator of future performance.31.The likelihood of an investment newsletter's successfully predicting the direction of themarket for three consecutive years by chance should beA)between 50% and 70%.B)between 25% and 50%.C)between 10% and 25%.D)less than 10%.E)greater than 70%.Answer: C Difficulty: ModerateRationale: The probability of successful prediction for 3 consecutive years is 23,or 12.5%.32.In an efficient market the correlation coefficient between stock returns fortwo non-overlapping time periods should beA)positive and large.B)positive and small.C)zero.D)negative and small.E)negative and large.Answer: C Difficulty: ModerateRationale: In an efficient market there should be no serial correlation betweenreturns from non-overlapping periods.33.The weather report says that a devastating and unexpected freeze is expected to hitFlorida tonight, during the peak of the citrus harvest. In an efficient market one would expect the price of Florida Orange's stock toA)drop immediately.B)remain unchanged.C)increase immediately.D)gradually decline for the next several weeks.E)gradually increase for the next several weeks.Answer: A Difficulty: ModerateRationale: In an efficient market the price of the stock should drop immediatelywhen the bad news is announced. If later news changes the perceived impact toFlorida Orange, the price may once again adjust quickly to the new information. Agradual change is a violation of the EMH.34. Matthews Corporation has a beta of 1.2. The annualized market return yesterday was13%, and the risk-free rate is currently 5%. You observe that Matthews had anannualized return yesterday of 17%. Assuming that markets are efficient, this suggests thatA) bad news about Matthews was announced yesterday.B) good news about Matthews was announced yesterday.C) no news about Matthews was announced yesterday.D) interest rates rose yesterday.E) interest rates fell yesterday.Answer: B Difficulty: ModerateRationale: AR = 17% - (5% + 1.2 (8%)) = +2.4%. A positive abnormal return suggests that there was firm-specific good news.th 35. Nicholas Manufacturing just announced yesterday that its 4 quarter earnings will be 10% higher than last year's 4th quarter. You observe that Nicholas had anabnormal return of -1.2% yesterday. This suggests thatA) the market is not efficient.B) Nicholas' stock will probably rise in value tomorrow.C) investors expected the earnings increase to be larger than what was actuallyannounced.D) investors expected the earnings increase to be smaller than what was actuallyannounced.E) earnings are expected to decrease next quarter.Answer: C Difficulty: ModerateRationale: Anticipated earnings changes are impounded into a security's price as soon as expectations are formed. Therefore a negative market response indicates that the earnings surprise was negative, that is, the increase was less than anticipated.36.When Maurice Kendall first examined stock price patterns in 1953, he found thatA)certain patterns tended to repeat within the business cycle.B)there were no predictable patterns in stock prices.C)stocks whose prices had increased consistently for one week tended to have anet decrease the following week.D)stocks whose prices had increased consistently for one week tended to have anet increase the following week.E)the direction of change in stock prices was unpredictable, but the amount ofchange followed a distinct pattern.Answer: B Difficulty: EasyRationale: The first studies in this area were made possible by the development of computer technology. Kendall's study was the first to indicate that marketswere efficient.37.If stock prices follow a random walkA)it implies that investors are irrational.B)it means that the market cannot be efficient.C)price levels are not random.D)price changes are random.E)price movements are predictable.Answer: D Difficulty: EasyRationale: A random walk means that the changes in prices are randomand independent.38.The main difference between the three forms of market efficiency is thatA)the definition of efficiency differs.B)the definition of excess return differs.C)the definition of prices differs.D)the definition of information differs.E)they were discovered by different people.Answer: D Difficulty: ModerateRationale: The main difference is that weak form encompasses historical data,semistrong form encompasses historical data and current public information, and strong form encompasses historical data, current public information, and inside information. All of the other definitions remain the same.39.Chartists practiceA)technical analysis.B)fundamental analysis.C)regression analysis.D)insider analysis.E)psychoanalysis.Answer: A Difficulty: EasyRationale: Chartist is another name for a technical analyst.40.Which of the following are used by fundamental analysts to determine properstock prices?I)trendlinesII)earningsIII)dividend prospectsIV) expectations of future interest ratesV)resistance levelsA)I, IV, and VB)I, II, and IIIC)II, III, and IVD)II, IV, and VE)All of the items are used by fundamental analysts.Answer: C Difficulty: ModerateRationale: Analysts look at fundamental factors such as earnings, dividend prospects, expectation of future interest rates, and risk of the firm. The information is used todetermine the present value of future cash flows to stockholders. Technical analysts use trendlines and resistance levels.41.According to proponents of the efficient market hypothesis, the best strategy for asmall investor with a portfolio worth $40,000 is probably toA)perform fundamental analysis.B)exploit market anomalies.C)invest in Treasury securities.D)invest in derivative securities.E)invest in mutual funds.Answer: E Difficulty: ModerateRationale: Individual investors tend to have relatively small portfolios and are usually unable to realize economies of size. The best strategy is to pool funds with other small investors and allow professional managers to invest the funds.42.Which of the following are investment superstars who have consistently shownsuperior performance?I)Warren BuffetII)Phoebe BuffetIII)Peter LynchIV) Merrill LynchV)Jimmy BuffetA)I, III, and IVB)II, III, and IVC)I and IIID)III and IVE)I, III, IV, and VAnswer: C Difficulty: ModerateRationale: Warren Buffet manages Berkshire Hathaway and Peter Lynch managed Fidelity's Magellan Fund. Phoebe Buffet is a character on NBC's and Jimmy Buffet is Away in Margaritaville. Merrill Lynch isn't a person.43.Google has a beta of 1.0. The annualized market return yesterday was 11%, and therisk-free rate is currently 5%. You observe that Google had an annualized returnyesterday of 14%. Assuming that markets are efficient, this suggests thatA)bad news about Google was announced yesterday.B)good news about Google was announced yesterday.C)no news about Google was announced yesterday.D)interest rates rose yesterday.E)interest rates fell yesterday.Answer: B Difficulty: ModerateRationale: AR = 14% - (5% + 1.0 (6%)) = +3.0%. A positive abnormal return suggests that there was firm-specific good news.44.Music Doctors has a beta of 2.25. The annualized market return yesterday was 12%,and the risk-free rate is currently 4%. You observe that Music Doctors had anannualized return yesterday of 15%. Assuming that markets are efficient, this suggests thatA)bad news about Music Doctors was announced yesterday.B)good news about Music Doctors was announced yesterday.C)no news about Music Doctors was announced yesterday.D)interest rates rose yesterday.E)interest rates fell yesterday.Answer: A Difficulty: ModerateRationale: AR = 15% - (4% + 2.25 (8%)) = -7.0%. A negative abnormal return suggests that there was firm-specific bad news.45.QQAG has a beta of 1.7. The annualized market return yesterday was 13%, and therisk-free rate is currently 3%. You observe that QQAG had an annualized returnyesterday of 20%. Assuming that markets are efficient, this suggests thatA)bad news about QQAG was announced yesterday.B)good news about QQAG was announced yesterday.C)no significant news about QQAG was announced yesterday.D)interest rates rose yesterday.E)interest rates fell yesterday.Answer: C Difficulty: ModerateRationale: AR = 20% - (3% + 1.7 (10%)) = 0.0%. A positive abnormal return suggests that there was firm-specific good news and a negative abnormal return suggests that there was firm-specific bad news.46.QQAG just announced yesterday that its th4 quarter earnings will be 35% higherthan last year's 4thquarter. You observe that QQAG had an abnormal return of -1.7% yesterday. This suggests thatA)the market is not efficient.B)QQAG stock will probably rise in value tomorrow.C)investors expected the earnings increase to be larger than what wasactually announced.D)investors expected the earnings increase to be smaller than what wasactually announced.E)earnings are expected to decrease next quarter.Answer: C Difficulty: ModerateRationale: Anticipated earnings changes are impounded into a security's price as soon as expectations are formed. Therefore a negative market response indicates that the earnings surprise was negative, that is, the increase was less than anticipated.47.LJP Corporation just announced yesterday that it would undertake an international jointventure. You observe that LJP had an abnormal return of 3% yesterday. This suggests thatA)the market is not efficient.B)LJP stock will probably rise in value again tomorrow.C)investors view the international joint venture as bad news.D)investors view the international joint venture as good news.E)earnings are expected to decrease next quarter.Answer: D Difficulty: Moderate48.Music Doctors just announced yesterday that its st1 quarter sales were 35% higherthan last year's 1stquarter. You observe that Music Doctors had an abnormal returnof -2% yesterday. This suggests thatA)the market is not efficient.B)Music Doctors stock will probably rise in value tomorrow.C)investors expected the sales increase to be larger than what was actually announced.D)investors expected the sales increase to be smaller than what wasactually announced.E)earnings are expected to decrease next quarter.Answer: C Difficulty: Moderate49.The Food and Drug Administration (FDA) just announced yesterday that they wouldapprove a new cancer-fighting drug from King. You observe that King had an abnormal return of 0% yesterday. This suggests thatA)the market is not efficient.B)King stock will probably rise in value tomorrow.C)King stock will probably fall in value tomorrow.D)the approval was already anticipated by the marketE)none of the above.Answer: D Difficulty: Moderate50.Your professor finds a stock-trading rule that generates excess risk-adjusted returns.Instead of publishing the results, she keeps the trading rule to herself. This is mostclosely associated with ________.A)regret avoidanceB)selection biasC)framingD)insider tradingE)none of the aboveAnswer: B Difficulty: Moderate51.At freshman orientation, 1,500 students are asked to flip a coin 20 times. One student iscrowned the winner (tossed 20 heads). This is most closely associated with ________.A)regret avoidanceB)selection biasC)overconfidenceD)the lucky event issueE)none of the aboveAnswer: D Difficulty: Moderate52.Sehun (1986) finds that the practice of monitoring insider trade disclosures, andtrading on that information, would be ________.A)extremely profitable for long-term tradersB)extremely profitable for short-term tradersC)marginally profitable for long-term tradersD)marginally profitable for short-term tradersE)not sufficiently profitable to cover trading costsAnswer: E53.If you believe in the reversal effect, you shouldA)sell bonds in this period if you held stocks in the last period.B)sell stocks in this period if you held bonds in the last period.C)sell stocks this period that performed well last period.D)go long.E) C and DAnswer: C Difficulty: EasyRationale: The reversal effect states that stocks that do well in one period tendto perform poorly in the subsequent period, and vice versa.。
(完整word版)投资学第7版Test Bank答案06
Multiple Choice Questions1. Which of the following statements regarding risk-averse investors is true?A) They only care about the rate of return.B) They accept investments that are fair games.C) They only accept risky investments that offer risk premiums over the risk-free rate.D) They are willing to accept lower returns and high risk.E) A and B.Answer: C Difficulty: Moderate2. Which of the following statements is (are) true?I)Risk-averse investors reject investments that are fair games.II)Risk-neutral investors judge risky investments only by the expected returns.III)Risk-averse investors judge investments only by their riskiness.IV)Risk-loving investors will not engage in fair games.A) I onlyB) II onlyC) I and II onlyD) II and III onlyE) II, III, and IV onlyAnswer: C Difficulty: ModerateRationale: Risk-averse investors consider a risky investment only if the investmentoffers a risk premium. Risk-neutral investors look only at expected returns whenmaking an investment decision.3. In the mean-standard deviation graph an indifference curve has a ________ slope.A) negativeB) zeroC) positiveD) northeastE) cannot be determinedAnswer: C Difficulty: EasyRationale: The risk-return trade-off is one in which greater risk is taken if greater returns can be expected, resulting in a positive slope.4. In the mean-standard deviation graph, which one of the following statements is trueregarding the indifference curve of a risk-averse investor?A) It is the locus of portfolios that have the same expected rates of return and differentstandard deviations.B) It is the locus of portfolios that have the same standard deviations and different ratesof return.C) It is the locus of portfolios that offer the same utility according to returns andstandard deviations.D) It connects portfolios that offer increasing utilities according to returns and standarddeviations.E) none of the above.Answer: C Difficulty: ModerateRationale: Indifference curves plot trade-off alternatives that provide equal utility to the individual (in this case, the trade-offs are the risk-return characteristics of theportfolios).5. In a return-standard deviation space, which of the following statements is (are) true forrisk-averse investors? (The vertical and horizontal lines are referred to as the expected return-axis and the standard deviation-axis, respectively.)I)An investor's own indifference curves might intersect.II)Indifference curves have negative slopes.III)In a set of indifference curves, the highest offers the greatest utility.IV)Indifference curves of two investors might intersect.A) I and II onlyB) II and III onlyC) I and IV onlyD) III and IV onlyE) none of the aboveAnswer: D Difficulty: ModerateRationale: An investor's indifference curves are parallel, and thus cannot intersect and have positive slopes. The highest indifference curve (the one in the most northwestern position) offers the greatest utility. Indifference curves of investors with similarrisk-return trade-offs might intersect.6. Elias is a risk-averse investor. David is a less risk-averse investor than Elias.Therefore,A) for the same risk, David requires a higher rate of return than Elias.B) for the same return, Elias tolerates higher risk than David.C) for the same risk, Elias requires a lower rate of return than David.D) for the same return, David tolerates higher risk than Elias.E) cannot be determined.Answer: D Difficulty: ModerateRationale: The more risk averse the investor, the less risk that is tolerated, given a rate of return.7. When an investment advisor attempts to determine an investor's risk tolerance, whichfactor would they be least likely to assess?A) the investor's prior investing experienceB) the investor's degree of financial securityC) the investor's tendency to make risky or conservative choicesD) the level of return the investor prefersE) the investor's feeling about lossAnswer: D Difficulty: ModerateUse the following to answer questions 8-9:Assume an investor with the following utility function: U = E(r) - 3/2(s2).8. To maximize her expected utility, she would choose the asset with an expected rate ofreturn of _______ and a standard deviation of ________, respectively.A) 12%; 20%B) 10%; 15%C) 10%; 10%D) 8%; 10%E) none of the aboveAnswer: C Difficulty: ModerateRationale: U = 0.10 - 3/2(0.10)2 = 8.5%; highest utility of choices.9. To maximize her expected utility, which one of the following investment alternativeswould she choose?A) A portfolio that pays 10 percent with a 60 percent probability or 5 percent with 40percent probability.B) A portfolio that pays 10 percent with 40 percent probability or 5 percent with a 60percent probability.C) A portfolio that pays 12 percent with 60 percent probability or 5 percent with 40percent probability.D) A portfolio that pays 12 percent with 40 percent probability or 5 percent with 60percent probability.E) none of the above.Answer: C Difficulty: DifficultRationale: U(c) = 9.02%; highest utility of possibilities.10. A portfolio has an expected rate of return of 0.15 and a standard deviation of 0.15. Therisk-free rate is 6 percent. An investor has the following utility function: U = E(r) - (A/2)s2. Which value of A makes this investor indifferent between the risky portfolio and the risk-free asset?A) 5B) 6C) 7D) 8E) none of the aboveAnswer: D Difficulty: DifficultRationale: 0.06 = 0.15 - A/2(0.15)2; 0.06 - 0.15 = -A/2(0.0225); -0.09 = -0.01125A; A = 8; U = 0.15 - 8/2(0.15)2 = 6%; U(R f) = 6%.11. According to the mean-variance criterion, which one of the following investmentsdominates all others?A) E(r) = 0.15; Variance = 0.20B) E(r) = 0.10; Variance = 0.20C) E(r) = 0.10; Variance = 0.25D) E(r) = 0.15; Variance = 0.25E) none of these dominates the other alternatives.Answer: A Difficulty: DifficultRationale: A gives the highest return with the least risk; return per unit of risk is .75, which dominates the reward-risk ratio for the other choices.12. Consider a risky portfolio, A, with an expected rate of return of 0.15 and a standarddeviation of 0.15, that lies on a given indifference curve. Which one of the following portfolios might lie on the same indifference curve?A) E(r) = 0.15; Standard deviation = 0.20B) E(r) = 0.15; Standard deviation = 0.10C) E(r) = 0.10; Standard deviation = 0.10D) E(r) = 0.20; Standard deviation = 0.15E) E(r) = 0.10; Standard deviation = 0.20Answer: C Difficulty: DifficultRationale: Portfolio A has a reward to risk ratio of 1.0; portfolio C is the only choice with the same risk-return tradeoff.Use the following to answer questions 13-15:13. Based on the utility function above, which investment would you select?A) 1B) 2C) 3D) 4E) cannot tell from the information givenAnswer: C Difficulty: DifficultRationale: U(c) = 0.21 - 4/2(0.16)2 = 15.88 (highest utility of choices).14. Which investment would you select if you were risk neutral?A) 1B) 2C) 3D) 4E) cannot tell from the information givenAnswer: D Difficulty: DifficultRationale: If you are risk neutral, your only concern is with return, not risk.15. The variable (A) in the utility function represents the:A) investor's return requirement.B) investor's aversion to risk.C) certainty-equivalent rate of the portfolio.D) minimum required utility of the portfolio.E) none of the above.Answer: B Difficulty: ModerateRationale: A is an arbitrary scale factor used to measure investor risk tolerance. The higher the value of A, the more risk averse the investor.16. The exact indifference curves of different investorsA) cannot be known with perfect certainty.B) can be calculated precisely with the use of advanced calculus.C) although not known with perfect certainty, do allow the advisor to create moresuitable portfolios for the client.D) A and C.E) none of the above.Answer: D Difficulty: EasyRationale: Indifference curves cannot be calculated precisely, but the theory does allow for the creation of more suitable portfolios for investors of differing levels of risktolerance.17. The riskiness of individual assetsA) should be considered for the asset in isolation.B) should be considered in the context of the effect on overall portfolio volatility.C) combined with the riskiness of other individual assets (in the proportions theseassets constitute of the entire portfolio) should be the relevant risk measure.D) B and C.E) none of the above.Answer: D Difficulty: EasyRationale: The relevant risk is portfolio risk; thus, the riskiness of an individual security should be considered in the context of the portfolio as a whole.18. A fair gameA) will not be undertaken by a risk-averse investor.B) is a risky investment with a zero risk premium.C) is a riskless investment.D) Both A and B are true.E) Both A and C are true.Answer: D Difficulty: ModerateRationale: A fair game is a risky investment with a payoff exactly equal to its expected value. Since it offers no risk premium, it will not be acceptable to a risk-averse investor.19. The presence of risk means thatA) investors will lose money.B) more than one outcome is possible.C) the standard deviation of the payoff is larger than its expected value.D) final wealth will be greater than initial wealth.E) terminal wealth will be less than initial wealth.Answer: B Difficulty: EasyRationale: The presence of risk means that more than one outcome is possible.20. The utility score an investor assigns to a particular portfolio, other things equal,A) will decrease as the rate of return increases.B) will decrease as the standard deviation increases.C) will decrease as the variance increases.D) will increase as the variance increases.E) will increase as the rate of return increases.Answer: E Difficulty: EasyRationale: Utility is enhanced by higher expected returns and diminished by higher risk.21. The certainty equivalent rate of a portfolio isA) the rate that a risk-free investment would need to offer with certainty to beconsidered equally attractive as the risky portfolio.B) the rate that the investor must earn for certain to give up the use of his money.C) the minimum rate guaranteed by institutions such as banks.D) the rate that equates “A” in the utility fun ction with the average risk aversioncoefficient for all risk-averse investors.E) represented by the scaling factor “-.005” in the utility function.Answer: A Difficulty: Moderate22. According to the mean-variance criterion, which of the statements below is correct?A) Investment B dominates Investment A.B) Investment B dominates Investment C.C) Investment D dominates all of the other investments.D) Investment D dominates only Investment B.E) Investment C dominates investment A.Answer: B Difficulty: ModerateRationale: This question tests the student's understanding of how to apply themean-variance criterion.23. Steve is more risk-averse than Edie. On a graph that shows Steve and Edie'sindifference curves, which of the following is true? Assume that the graph showsexpected return on the vertical axis and standard deviation on the horizontal axis.I)Steve and Edie's indifference curves might intersect.II)Steve's indifference curves will have flatter slopes than Edie's.III)Steve's indifference curves will have steeper slopes than Edie's.IV)Steve and Edie's indifference curves will not intersect.V)Steve's indifference curves will be downward sloping and Edie's will be upward sloping.A) I and VB) I and IIIC) III and IVD) I and IIE) II and IVAnswer: B Difficulty: ModerateRationale: This question tests whether the student understands the graphical properties of indifference curves and how they relate to the degree of risk tolerance.24. The Capital Allocation Line can be described as theA) investment opportunity set formed with a risky asset and a risk-free asset.B) investment opportunity set formed with two risky assets.C) line on which lie all portfolios that offer the same utility to a particular investor.D) line on which lie all portfolios with the same expected rate of return and differentstandard deviations.E) none of the above.Answer: A Difficulty: ModerateRationale: The CAL has an intercept equal to the risk-free rate. It is a straight linethrough the point representing the risk-free asset and the risky portfolio, inexpected-return/standard deviation space.25. Which of the following statements regarding the Capital Allocation Line (CAL) isfalse?A) The CAL shows risk-return combinations.B) The slope of the CAL equals the increase in the expected return of a risky portfolioper unit of additional standard deviation.C) The slope of the CAL is also called the reward-to-variability ratio.D) The CAL is also called the efficient frontier of risky assets in the absence of arisk-free asset.E) Both A and D are true.Answer: D Difficulty: ModerateRationale: The CAL consists of combinations of a risky asset and a risk-free assetwhose slope is the reward-to-variability ratio; thus, all statements except d are true.26. Given the capital allocation line, an investor's optimal portfolio is the portfolio thatA) maximizes her expected profit.B) maximizes her risk.C) minimizes both her risk and return.D) maximizes her expected utility.E) none of the above.Answer: D Difficulty: ModerateRationale: By maximizing expected utility, the investor is obtaining the best risk-return relationships possible and acceptable for her.27. An investor invests 30 percent of his wealth in a risky asset with an expected rate ofreturn of 0.15 and a variance of 0.04 and 70 percent in a T-bill that pays 6 percent. His portfolio's expected return and standard deviation are __________ and __________,respectively.A) 0.114; 0.12B) 0.087;0.06C) 0.295; 0.12D) 0.087; 0.12E) none of the aboveAnswer: B Difficulty: ModerateRationale: E(r P) = 0.3(15%) + 0.7(6%) = 8.7%; s P = 0.3(0.04)1/2 = 6%.Use the following to answer questions 28-31:You invest $100 in a risky asset with an expected rate of return of 0.12 and a standard deviation of 0.15 and a T-bill with a rate of return of 0.05.28. What percentages of your money must be invested in the risky asset and the risk-freeasset, respectively, to form a portfolio with an expected return of 0.09?A) 85% and 15%B) 75% and 25%C) 67% and 33%D) 57% and 43%E) cannot be determinedAnswer: D Difficulty: ModerateRationale: 9% = w1(12%) + (1 - w1)(5%); 9% = 12%w1 + 5% - 5%w1; 4% = 7%w1; w1 =0.57; 1 - w1 = 0.43; 0.57(12%) + 0.43(5%) = 8.99%.29. What percentages of your money must be invested in the risk-free asset and the riskyasset, respectively, to form a portfolio with a standard deviation of 0.06?A) 30% and 70%B) 50% and 50%C) 60% and 40%D) 40% and 60%E) cannot be determinedAnswer: C Difficulty: ModerateRationale: 0.06 = x(0.15); x = 40% in risky asset.30. A portfolio that has an expected outcome of $115 is formed byA) investing $100 in the risky asset.B) investing $80 in the risky asset and $20 in the risk-free asset.C) borrowing $43 at the risk-free rate and investing the total amount ($143) in the riskyasset.D) investing $43 in the risky asset and $57 in the riskless asset.E) Such a portfolio cannot be formed.Answer: C Difficulty: DifficultRationale: For $100, (115-100)/100=15%; .15 = w1(.12) + (1 - w1)(.05); .15 = .12w1 + .05 - .05w1; 0.10 = 0.07w1; w1 = 1.43($100) = $143; (1 - w1)$100 = -$43.31. The slope of the Capital Allocation Line formed with the risky asset and the risk-freeasset is equal toA) 0.4667.B) 0.8000.C) 2.14.D) 0.41667.E) Cannot be determined.Answer: A Difficulty: ModerateRationale: (0.12 - 0.05)/0.15 = 0.4667.32. Consider a T-bill with a rate of return of 5 percent and the following risky securities:Security A: E(r) = 0.15; Variance = 0.04Security B: E(r) = 0.10; Variance = 0.0225Security C: E(r) = 0.12; Variance = 0.01Security D: E(r) = 0.13; Variance = 0.0625From which set of portfolios, formed with the T-bill and any one of the 4 risky securities, would a risk-averse investor always choose his portfolio?A) The set of portfolios formed with the T-bill and security A.B) The set of portfolios formed with the T-bill and security B.C) The set of portfolios formed with the T-bill and security C.D) The set of portfolios formed with the T-bill and security D.E) Cannot be determined.Answer: C Difficulty: DifficultRationale: Security C has the highest reward-to-volatility ratio.Use the following to answer questions 33-36:You are considering investing $1,000 in a T-bill that pays 0.05 and a risky portfolio, P, constructed with 2 risky securities, X and Y. The weights of X and Y in P are 0.60 and 0.40, respectively. X has an expected rate of return of 0.14 and variance of 0.01, and Y has an expected rate of return of 0.10 and a variance of 0.0081.33. If you want to form a portfolio with an expected rate of return of 0.11, what percentagesof your money must you invest in the T-bill and P, respectively?A) 0.25; 0.75B) 0.19; 0.81C) 0.65; 0.35D) 0.50; 0.50E) cannot be determinedAnswer: B Difficulty: ModerateRationale: E(r p) = 0.6(14%) + 0.4(10%) = 12.4%; 11% = 5x + 12.4(1 - x); x = 0.189(T-bills) (1-x) =0.811 (risky asset).34. If you want to form a portfolio with an expected rate of return of 0.10, what percentagesof your money must you invest in the T-bill, X, and Y, respectively if you keep X and Y in the same proportions to each other as in portfolio P?A) 0.25; 0.45; 0.30B) 0.19; 0.49; 0.32C) 0.32; 0.41; 0.27D) 0.50; 0.30; 0.20E) cannot be determinedAnswer: C Difficulty: DifficultRationale: E(r p) = .100.10 = 5w + 12.4(1 - w); x = 0.32 (weight of T-bills); Ascomposition of X and Y are .6 and .4 of P, respectively, then for 0.68 weight in P, the respective weights must be 0.41 and 0.27; .6(.68) = 41%; .4(.68) = 27%35. What would be the dollar values of your positions in X and Y, respectively, if youdecide to hold 40% percent of your money in the risky portfolio and 60% in T-bills?A) $240; $360B) $360; $240C) $100; $240D) $240; $160E) Cannot be determinedAnswer: D Difficulty: ModerateRationale: $400(0.6) = $240 in X; $400(0.4) = $160 in Y.36. What would be the dollar value of your positions in X, Y, and the T-bills, respectively,if you decide to hold a portfolio that has an expected outcome of $1,200?A) Cannot be determinedB) $54; $568; $378C) $568; $54; $378D) $378; $54; $568E) $108; $514; $378Answer: B Difficulty: DifficultRationale: ($1,200 - $1,000)/$1,000 = 12%; (0.6)14% + (0.4)10% = 12.4%; 12% = w5% + 12.4%(1 - w);w=.054; 1-w=.946; w = 0.054($1,000) = $54 (T-bills); 1 - w = 1 -0.054 = 0.946($1,000) = $946; $946 x 0.6 = $568 in X; $946 x 0.4 = $378 in Y.37. A reward-to-volatility ratio is useful in:A) measuring the standard deviation of returns.B) understanding how returns increase relative to risk increases.C) analyzing returns on variable rate bonds.D) assessing the effects of inflation.E) none of the above.Answer: B Difficulty: ModerateRationale: B is the only choice relevant to the reward-to-volatility ratio (risk and return).38. The change from a straight to a kinked capital allocation line is a result of:A) reward-to-volatility ratio increasing.B) borrowing rate exceeding lending rate.C) an investor's risk tolerance decreasing.D) increase in the portfolio proportion of the risk-free asset.E) none of the above.Answer: B Difficulty: DifficultRationale: The linear capital allocation line assumes that the investor may borrow and lend at the same rate (the risk-free rate), which obviously is not true. Relaxing this assumption and incorporating the higher borrowing rates into the model results in the kinked capital allocation line.39. The first major step in asset allocation is:A) assessing risk tolerance.B) analyzing financial statements.C) estimating security betas.D) identifying market anomalies.E) none of the above.Answer: A Difficulty: ModerateRationale: A should be the first consideration in asset allocation. B, C, and D refer to security selection.40. Based on their relative degrees of risk toleranceA) investors will hold varying amounts of the risky asset in their portfolios.B) all investors will have the same portfolio asset allocations.C) investors will hold varying amounts of the risk-free asset in their portfolios.D) A and C.E) none of the above.Answer: D Difficulty: EasyRationale: By determining levels of risk tolerance, investors can select the optimum portfolio for their own needs; these asset allocations will vary between amounts of risk-free and risky assets based on risk tolerance.41. Asset allocationA) may involve the decision as to the allocation between a risk-free asset and a riskyasset.B) may involve the decision as to the allocation among different risky assets.C) may involve considerable security analysis.D) A and B.E) A and C.Answer: D Difficulty: EasyRationale: A and B are possible steps in asset allocation. C is related to securityselection.42. In the mean-standard deviation graph, the line that connects the risk-free rate and theoptimal risky portfolio, P, is called ______________.A) the Security Market LineB) the Capital Allocation LineC) the Indifference CurveD) the investor's utility lineE) none of the aboveAnswer: B Difficulty: ModerateRationale: The Capital Allocation Line (CAL) illustrates the possible combinations of a risk-free asset and a risky asset available to the investor.43. Treasury bills are commonly viewed as risk-free assets becauseA) their short-term nature makes their values insensitive to interest rate fluctuations.B) the inflation uncertainty over their time to maturity is negligible.C) their term to maturity is identical to most investors' desired holding periods.D) Both A and B are true.E) Both B and C are true.Answer: D Difficulty: EasyRationale: Treasury bills do not exactly match most investor's desired holding periods, but because they mature in only a few weeks or months they are relatively free ofinterest rate sensitivity and inflation uncertainty.Use the following to answer questions 44-47:Your client, Bo Regard, holds a complete portfolio that consists of a portfolio of risky assets (P) and T-Bills. The information below refers to these assets.44. What is the expected return on Bo's complete portfolio?A) 10.32%B) 5.28%C) 9.62%D) 8.44%E) 7.58%Answer: A Difficulty: EasyRationale: E(r C) = .8*12.00% + .2*3.6% = 10.32%45. What is the standard deviation of Bo's complete portfolio?A) 7.20%B) 5.40%C) 6.92%D) 4.98%E) 5.76%Answer: E Difficulty: EasyRationale: Std. Dev. of C = .8*7.20% = 5.76%46. What is the equation of Bo's Capital Allocation Line?A) E(r C) = 7.2 + 3.6 * Standard Deviation of CB) E(r C) = 3.6 + 1.167 * Standard Deviation of CC) E(r C) = 3.6 + 12.0 * Standard Deviation of CD) E(r C) = 0.2 + 1.167 * Standard Deviation of CE) E(r C) = 3.6 + 0.857 * Standard Deviation of CAnswer: B Difficulty: ModerateRationale: The intercept is the risk-free rate (3.60%) and the slope is(12.00%-3.60%)/7.20% = 1.167.47. What are the proportions of Stocks A, B, and C, respectively in Bo's complete portfolio?A) 40%, 25%, 35%B) 8%, 5%, 7%C) 32%, 20%, 28%D) 16%, 10%, 14%E) 20%, 12.5%, 17.5%Answer: C Difficulty: ModerateRationale: Proportion in A = .8 * 40% = 32%; proportion in B = .8 * 25% = 20%;proportion in C = .8 * 35% = 28%.48. To build an indifference curve we can first find the utility of a portfolio with 100% inthe risk-free asset, thenA) find the utility of a portfolio with 0% in the risk-free asset.B) change the expected return of the portfolio and equate the utility to the standarddeviation.C) find another utility level with 0% risk.D) change the standard deviation of the portfolio and find the expected return theinvestor would require to maintain the same utility level.E) change the risk-free rate and find the utility level that results in the same standarddeviation.Answer: D Difficulty: DifficultRationale: This references the procedure described on page 207-208 of the text. The authors describe how to trace out indifference curves using a spreadsheet.49. The Capital Market LineI)is a special case of the Capital Allocation Line.II)represents the opportunity set of a passive investment strategy.III)has the one-month T-Bill rate as its intercept.IV)uses a broad index of common stocks as its risky portfolio.A) I, III, and IVB) II, III, and IVC) III and IVD) I, II, and IIIE) I, II, III, and IVAnswer: E Difficulty: ModerateRationale: 'The Capital Market Line is the Capital Allocation Line based on theone-month T-Bill rate and a broad index of common stocks. It applies to an investor pursuing a passive management strategy.50. An investor invests 40 percent of his wealth in a risky asset with an expected rate ofreturn of 0.18 and a variance of 0.10 and 60 percent in a T-bill that pays 4 percent. His portfolio's expected return and standard deviation are __________ and __________,respectively.A) 0.114; 0.112B) 0.087; 0.063C) 0.096; 0.126D) 0.087; 0.144E) none of the aboveAnswer: C Difficulty: ModerateRationale: E(r P) = 0.4(18%) + 0.6(4%) = 9.6%; s P = 0.4(0.10)1/2 = 12.6%.51. An investor invests 70 percent of his wealth in a risky asset with an expected rate ofreturn of 0.11 and a variance of 0.12 and 30 percent in a T-bill that pays 3 percent. His portfolio's expected return and standard deviation are __________ and __________,respectively.A) 0.086; 0.242B) 0.087; 0.267C) 0.295; 0.123D) 0.087; 0.182E) none of the aboveAnswer: A Difficulty: ModerateRationale: E(r P) = 0.7(11%) + 0.3(3%) = 8.6%; s P = 0.7(0.12)1/2 = 24.2%.Use the following to answer questions 52-54:You invest $100 in a risky asset with an expected rate of return of 0.11 and a standard deviation of 0.20 and a T-bill with a rate of return of 0.03.52. What percentages of your money must be invested in the risky asset and the risk-freeasset, respectively, to form a portfolio with an expected return of 0.08?A) 85% and 15%B) 75% and 25%C) 62.5% and 37.5%D) 57% and 43%E) cannot be determinedAnswer: C Difficulty: ModerateRationale: 8% = w1(11%) + (1 - w1)(3%); 8% = 11%w1 + 3% - 3%w1; 5% = 8%w1; w1 =0.625; 1 - w1 = 0.375; 0.625(11%) + 0.375(3%) = 8.0%.。
投资学7版习题总答案
第1章投资环境一、单选题1. B2.B3.A4.C5.B6. B7.D8.B9.D 10.B二、多选题1. CD2.ABCD3.ABCD4.ACD5.BCD6. ABC7.ABD8.ABCD9.BCD 10.ABC三、判断题1.非2.是3.非4.是5.是6.非7.是8.非9.非 10.是四、简答题：1、从三方面来区分：（1）实物资产是能够为社会经济提供产品与服务能力的资产，包括土地、建筑物、知识、用于生产的机器设备等；金融资产不能直接对社会生产产生作用，只能简介推动社会生产，比如带来公司所有权和经营权的分离，金融资产包括股票、债券。
（2）实物资产是创造收入的资产，而金融资产只能定义为收入或财富在投资者之间的分配。
（3）实物资产和金融资产可以在资产负债表中区分开来。
实物资产一般只能在资产负债表一边的资产方出现，而金融资产可以在资产负债表的两栏出现。
2、证券化要求拥有大量的潜在投资者。
要吸引他们，资本市场需要：（1）一个安全的行业法规体系、较低的税赋和可能的严格管制；（2）相当发达的投资银行业；（3）高度发达的经纪行和金融交易体系；（4）高度发达的信息系统，尤其是在财务披露方面。
这些都是一个高度发达的金融市场的必备(实际也是构成)条件。
3、证券化导致非中介化；也就是说，它提供给市场参与者一种无须经过中介机构的方法。
例如，抵押支撑的证券将资金融通到房地产市场而无须银行或储蓄机构从它们的自有资产中提供贷款。
随着证券化的进程，金融中介必须增加它在其他方面的业务能力，例如提供金融服务或向消费者和小企业提供短期资金的融通。
4、资产在初级市场被初次销售，发行公司收到销售净收入。
同一资产的每一次后续销售都发生在次级市场，从二次销售中得到的收入由卖主获得而不是由原始发行者获得。
投资银行家通常使在初级市场上销售的操作便利化，各种有组织的兑换和场外交易市场是次级市场的例子。
5、经纪人市场是指中间人不持有资产，只是将买主和卖主聚集到一起，以佣金为收入的市场，有组织的交换主要指经纪人市场。
投资学第7版Test Bank答案03
Multiple Choice Questions1. A purchase of a new issue of stock takes placeA) in the secondary market.B) in the primary market.C) usually with the assistance of an investment banker.D) A and B.E) B and C.Answer: E Difficulty: EasyRationale: Funds from the sale of new issues flow to the issuing corporation, makingthis a primary market transaction. Investment bankers usually assist by pricing the issue and finding buyers.2. The following statements regarding the specialist are true:A) Specialists maintain a book listing outstanding unexecuted limit orders.B) Specialists earn income from commissions and spreads in stock prices.C) Specialists stand ready to trade at quoted bid and ask prices.D) Specialists cannot trade in their own accounts.E) A, B, and C are all true.Answer: E Difficulty: ModerateRationale: The specialists' functions are all of the items listed in A, B, and C. In addition, specialists trade in their own accounts.3. Investment bankersA) act as intermediaries between issuers of stocks and investors.B) act as advisors to companies in helping them analyze their financial needs and findbuyers for newly issued securities.C) accept deposits from savers and lend them out to companies.D) A and B.E) A, B, and C.Answer: D Difficulty: ModerateRationale: The role of the investment banker is to assist the firm in issuing newsecurities, both in advisory and marketing capacities. The investment banker does not have a role comparable to a commercial bank, as indicated in C.4. In a "firm commitment"A) the investment banker buys the stock from the company and resells the issue to thepublic.B) the investment banker agrees to help the firm sell the stock at a favorable price.C) the investment banker finds the best marketing arrangement for the investmentbanking firm.D) B and C.E) A and B.Answer: A Difficulty: Moderate5. The secondary market consists ofA) transactions on the AMEX.B) transactions in the OTC market.C) transactions through the investment banker.D) A and B.E) A, B, and C.Answer: D Difficulty: ModerateRationale: The secondary market consists of transactions on the organized exchanges and in the OTC market. The investment banker is involved in the placement of new issues in the primary market.6. The use of the Internet to trade and underwrite securitiesA) is illegal under SEC regulations.B) is regulated by the New York Stock Exchange.C) decreases underwriting costs for a new security issue.D) increases underwriting costs for a new security issue.E) is regulated by the National Association of Securities Dealers.Answer: C Difficulty: ModerateRationale: The SEC permits trading and underwriting of securities over the Internet, but has required firms participating in this activity to take steps to safeguard investment funds. This form of underwriting is expected to grow quickly due to its lower cost.7. Initial margin requirements are determined byA) the Securities and Exchange Commission.B) the Federal Reserve System.C) the New York Stock Exchange.D) B and C.E) A and BAnswer: B Difficulty: ModerateRationale: The Board of Governors of the Federal Reserve System determines initial margin requirements. The New York Stock Exchange determines maintenance margin requirements on NYSE-listed stocks; however, brokers usually set maintenance margin requirements above those established by the NYSE.8. You purchased XYZ stock at $50 per share. The stock is currently selling at $65. Yourgains may be protected by placing a __________A) stop-buy orderB) limit-buy orderC) market orderD) limit-sell orderE) none of the above.Answer: D Difficulty: ModerateRationale: With a limit-sell order, your stock will be sold only at a specified price, or better. Thus, such an order would protect your gains. None of the other orders are applicable to this situation.9. You sold ABC stock short at $80 per share. Your losses could be minimized by placinga __________:A) limit-sell orderB) limit-buy orderC) stop-buy orderD) day-orderE) none of the above.Answer: C Difficulty: ModerateRationale: With a stop-buy order, the stock would be purchased if the price increased toa specified level, thus limiting your loss. None of the other orders are applicable to thissituation.10. Which one of the following statements regarding orders is false?A) A market order is simply an order to buy or sell a stock immediately at theprevailing market price.B) A limit sell order is where investors specify prices at which they are willing to sell asecurity.C) If stock ABC is selling at $50, a limit-buy order may instruct the broker to buy thestock if and when the share price falls below $45.D) A day order expires at the close of the trading day.E) None of the above.Answer: E Difficulty: ModerateRationale: All of the order descriptions above are correct.11. Restrictions on trading involving insider information apply to the following exceptA) corporate officers and directors.B) relatives of corporate directors and officers.C) major stockholders.D) All of the above are subject to insider trading restrictions.E) None of the above is subject to insider trading restrictions.Answer: D Difficulty: ModerateRationale: A, B, and C are corporate insiders and are subject to restrictions on trading on inside information. Further, the Supreme Court held that traders may not trade onnonpublic information even if they are not insiders.12. The cost of buying and selling a stock consists of __________.A) broker's commissionsB) dealer's bid-asked spreadC) a price concession an investor may be forced to make.D) A and B.E) A, B, and C.Answer: E Difficulty: ModerateRationale: All of the above are possible costs of buying and selling a stock.13. Assume you purchased 200 shares of XYZ common stock on margin at $70 per sharefrom your broker. If the initial margin is 55%, how much did you borrow from thebroker?A) $6,000B) $4,000C) $7,700D) $7,000E) $6,300Answer: E Difficulty: ModerateRationale: 200 shares * $70/share * (1-0.55) = $14,000 * (0.45) = $6,300.14. You sold short 200 shares of common stock at $60 per share. The initial margin is 60%.Your initial investment wasA) $4,800.B) $12,000.C) $5,600.D) $7,200.E) none of the above.Answer: D Difficulty: ModerateRationale: 200 shares * $60/share * 0.60 = $12,000 * 0.60 = $7,20015. You purchased 100 shares of ABC common stock on margin at $70 per share. Assumethe initial margin is 50% and the maintenance margin is 30%. Below what stock price level would you get a margin call? Assume the stock pays no dividend; ignore interest on margin.A) $21B) $50C) $49D) $80E) none of the aboveAnswer: B Difficulty: DifficultRationale: 100 shares * $70 * .5 = $7,000 * 0.5 = $3,500 (loan amount); 0.30 = (100P - $3,500)/100P; 30P = 100P - $3,500; -70P = -$3,500; P = $50.16. You purchased 100 shares of common stock on margin at $45 per share. Assume theinitial margin is 50% and the stock pays no dividend. What would the maintenance margin be if a margin call is made at a stock price of $30? Ignore interest on margin.A) 0.33B) 0.55C) 0.43D) 0.23E) 0.25Answer: E Difficulty: DifficultRationale: 100 shares * $45/share * 0.5 = $4,500 * 0.5 = $2,250 (loan amount); X = [100($30) - $2,250]/100($30); X = 0.25.17. You purchased 300 shares of common stock on margin for $60 per share. The initialmargin is 60% and the stock pays no dividend. What would your rate of return be if you sell the stock at $45 per share? Ignore interest on margin.A) 25%B) -33%C) 44%D) -42%E) –54%Answer: D Difficulty: DifficultRationale: 300($60)(0.60) = $10,800 investment; 300($60) = $18,000 X (0.40) =$7,200 loan; Proceeds after selling stock and repaying loan: $13,500 - $7,200 = $6,300;Return = ($6,300 - $10,800)/$10,800 = - 41.67%.18. Assume you sell short 100 shares of common stock at $45 per share, with initial marginat 50%. What would be your rate of return if you repurchase the stock at $40/share?The stock paid no dividends during the period, and you did not remove any money from the account before making the offsetting transaction.A) 20%B) 25%C) 22%D) 77%E) none of the aboveAnswer: C Difficulty: ModerateRationale: Profit on stock = ($45 - $40) * 100 = $500, $500/$2,250 (initial investment) = 22.22%.19. You sold short 300 shares of common stock at $55 per share. The initial margin is 60%.At what stock price would you receive a margin call if the maintenance margin is 35%?A) $51B) $65C) $35D) $40E) none of the aboveAnswer: B Difficulty: DifficultRationale: Equity = 300($55) * 1.6 = $26,400; 0.35 = ($26,400 - 300P)/300P; 105P = 26,400 - 300P; 405P = 26,400; P = $65.1820. Assume you sold short 100 shares of common stock at $50 per share. The initial marginis 60%. What would be the maintenance margin if a margin call is made at a stock price of $60?A) 40%B) 33%C) 35%D) 25%E) none of the aboveAnswer: B Difficulty: DifficultRationale: $5,000 X 1.6 = $8,000; [$8,000 - 100($60)]/100($60) = 33%.21. Specialists on stock exchanges perform the following functionsA) Act as dealers in their own accounts.B) Analyze the securities in which they specialize.C) Provide liquidity to the market.D) A and B.E) A and C.Answer: E Difficulty: ModerateRationale: Specialists are both brokers and dealers and provide liquidity to the market;they are not analysts.22. Shares for short transactionsA) are usually borrowed from other brokers.B) are typically shares held by the short seller's broker in street name.C) are borrowed from commercial banks.D) B and C.E) none of the above.Answer: B Difficulty: ModerateRationale: Typically, the only source of shares for short transactions is those held by the short seller's broker in street name; often these are margined shares.23. Which of the following orders is most useful to short sellers who want to limit theirpotential losses?A) Limit orderB) Discretionary orderC) Limit-loss orderD) Stop-buy orderE) None of the aboveAnswer: D Difficulty: ModerateRationale: By issuing a stop-buy order, the short seller can limit potential losses by assuring that the stock will be purchased (and the short position closed) if the price increases to a certain level.24. Shelf registrationA) is a way of placing issues in the primary market.B) allows firms to register securities for sale over a two-year period.C) increases transaction costs to the issuing firm.D) A and B.E) A and C.Answer: D Difficulty: EasyRationale: Shelf registration lowers transactions costs to the firm as the firm mayregister issues for a longer period than in the past, and thus requires the services of the investment banker less frequently.25. NASDAQ subscriber levelsA) permit those with the highest level, 3, to "make a market" in the security.B) permit those with a level 2 subscription to receive all bid and ask quotes, but not toenter their own quotes.C) permit level 1 subscribers to receive general information about prices.D) include all OTC stocks.E) A, B, and C.Answer: E Difficulty: EasyRationale: NASDAQ links dealers in a loosely organized network with different levels of access to meet different needs.26. You want to buy 100 shares of Hotstock Inc. at the best possible price as quickly aspossible. You would most likely place aA) stop-loss orderB) stop-buy orderC) market orderD) limit-sell orderE) limit-buy orderAnswer: C Difficulty: EasyRationale: A market order is for immediate execution at the best possible price.27. You want to purchase XYZ stock at $60 from your broker using as little of your ownmoney as possible. If initial margin is 50% and you have $3000 to invest, how many shares can you buy?A) 100 sharesB) 200 sharesC) 50 sharesD) 500 sharesE) 25 sharesAnswer: A Difficulty: ModerateRationale: .5 = [(Q * $60)-$3,000] / (Q * $60); $30Q = $60Q-$3,000; $30Q = $3,000;Q=100.28. A sale by IBM of new stock to the public would be a(n)A) short sale.B) seasoned new issue offering.C) private placement.D) secondary market transaction.E) initial public offering.Answer: B Difficulty: EasyRationale: When a firm whose stock already trades in the secondary market issues new shares to the public this is referred to as a seasoned new issue.29. The finalized registration statement for new securities approved by the SEC is calledA) a red herringB) the preliminary statementC) the prospectusD) a best-efforts agreementE) a firm commitmentAnswer: C Difficulty: ModerateRationale: The prospectus is the finalized registration statement approved by the SEC.30. The minimum market value required for an initial listing on the New York StockExchange isA) $2,000,000B) $2,500,000C) $1,100,000D) $60,000,000E) 100,000,000Answer: E Difficulty: ModerateRationale: See Table 3.3.31. In 2005, the price of a seat on the NYSE reached a high ofA) $1,000,000B) $4,000,000C) $1,750,000D) $2,225,000E) $3,000,000Answer: B Difficulty: ModerateRationale: See Table 3.2.32. The floor broker is best described asA) an independent member of the exchange who owns a seat and handles overloadwork for commission brokers.B) someone who makes a market in one or more securities.C) a representative of a brokerage firm who is on the floor of the exchange to executetrade.D) a frequent trader who performs no public function but executes trades for himself.E) any counter party to a trade executed on the floor of the exchange.Answer: A Difficulty: EasyRationale: The floor broker is an independent member of the exchange who handles work for commission brokers when they have too many orders to handle.33. You sell short 100 shares of Loser Co. at a market price of $45 per share. Yourmaximum possible loss isA) $4500B) unlimitedC) zeroD) $9000E) cannot tell from the information givenAnswer: B Difficulty: ModerateRationale: A short seller loses money when the stock price rises. Since there is no upper limit on the stock price, the maximum theoretical loss is unlimited.34. You buy 300 shares of Qualitycorp for $30 per share and deposit initial margin of 50%.The next day Qualitycorp's price drops to $25 per share. What is your actual margin?A) 50%B) 40%C) 33%D) 60%E) 25%Answer: B Difficulty: ModerateRationale: AM = [300 ($25) - .5 (300) ($30) ] / [300 ($25)] = .4035. When a firm markets new securities, a preliminary registration statement must be filedwithA) the exchange on which the security will be listed.B) the Securities and Exchange Commission.C) the Federal Reserve.D) all other companies in the same line of business.E) the Federal Deposit Insurance Corporation.Answer: B Difficulty: EasyRationale: The SEC requires the registration statement and must approve it before the issue can take place.36. In a typical underwriting arrangement the investment banking firmI)sells shares to the public via an underwriting syndicate.II)purchases the securities from the issuing company.III)assumes the full risk that the shares may not be sold at the offering price.IV)agrees to help the firm sell the issue to the public but does not actually purchase the securities.A) I, II, and IIIB) I, III, and IVC) I and IVD) II and IIIE) I and IIAnswer: A Difficulty: ModerateRationale: A typical underwriting arrangement is made on a firm commitment basis.37. Which of the following is true regarding private placements of primary securityofferings?A) Extensive and costly registration statements are required by the SEC.B) For very large issues, they are better suited than public offerings.C) They trade in secondary markets.D) The shares are sold directly to a small group of institutional or wealthy investors.E) They have greater liquidity than public offerings.Answer: D Difficulty: ModerateRationale: Firms can save on registration costs, but the result is that the securities cannot trade in the secondary markets and therefore are less liquid. Public offerings are better suited for very large issues.38. A specialist on the AMEX Stock Exchange is offering to buy a security for $37.50. Abroker in Oklahoma City wants to sell the security for his client. The IntermarketTrading System shows a bid price of $37.375 on the NYSE. What should the broker do?A) Route the order to the AMEX Stock Exchange.B) Route the order to the NYSE.C) Call the client to see if she has a preference.D) Route half of the order to AMEX and the other half to the NYSE.E) It doesn't matter - he should flip a coin and go with it.Answer: A Difficulty: ModerateRationale: The broker should try to obtain the best price for his client. Since the client wants to sell shares and the bid price is higher on the AMEX, he should route the order there.39. You sold short 100 shares of common stock at $45 per share. The initial margin is 50%.Your initial investment wasA) $4,800.B) $12,000.C) $2,250.D) $7,200.E) none of the above.Answer: C Difficulty: ModerateRationale: 100 shares * $45/share * 0.50 = $4,500 * 0.50 = $2,25040. You sold short 150 shares of common stock at $27 per share. The initial margin is 45%.Your initial investment wasA) $4,800.60.B) $12,000.25.C) $2,250.75.D) $1,822.50.E) none of the above.Answer: D Difficulty: ModerateRationale: 150 shares * $27/share * 0.45 = $4,050 * 0.45 = $1,822.5041. You purchased 100 shares of XON common stock on margin at $60 per share. Assumethe initial margin is 50% and the maintenance margin is 30%. Below what stock price level would you get a margin call? Assume the stock pays no dividend; ignore interest on margin.A) $42.86B) $50.75C) $49.67D) $80.34E) none of the aboveAnswer: A Difficulty: DifficultRationale: 100 shares * $60 * .5 = $6,000 * 0.5 = $3,000 (loan amount); 0.30 = (100P - $3,000)/100P; 30P = 100P - $3,000; -70P = -$3,000; P = $42.8642. You purchased 1000 shares of CSCO common stock on margin at $19 per share.Assume the initial margin is 50% and the maintenance margin is 30%. Below what stock price level would you get a margin call? Assume the stock pays no dividend;ignore interest on marginA) $12.86B) $15.75C) $19.67D) $13.57E) none of the aboveAnswer: D Difficulty: DifficultRationale: 1000 shares * $19 * .5 = $19,000 * 0.5 = $9,500 (loan amount); 0.30 =(1000P - $9,500)/1000P; 300P = 1000P - $9,500; -700P = -$9,500; P = $13.5743. You purchased 100 shares of common stock on margin at $40 per share. Assume theinitial margin is 50% and the stock pays no dividend. What would the maintenance margin be if a margin call is made at a stock price of $25? Ignore interest on margin.A) 0.33B) 0.55C) 0.20D) 0.23E) 0.25Answer: C Difficulty: DifficultRationale: 100 shares * $40/share * 0.5 = $4,000 * 0.5 = $2,000 (loan amount); X = [100($25) - $2,000]/100($25); X = 0.20.44. You purchased 1000 shares of common stock on margin at $30 per share. Assume theinitial margin is 50% and the stock pays no dividend. What would the maintenance margin be if a margin call is made at a stock price of $24? Ignore interest on margin.A) 0.33B) 0.375C) 0.20D) 0.23E) 0.25Answer: B Difficulty: DifficultRationale: 1000 shares * $30/share * 0.5 = $30,000 * 0.5 = $15,000 (loan amount); X = [1000($24) - $15,000]/1000($24); X = 0.375.45. You purchased 100 shares of common stock on margin for $50 per share. The initialmargin is 50% and the stock pays no dividend. What would your rate of return be if you sell the stock at $56 per share? Ignore interest on margin.A) 28%B) 33%C) 14%D) 42%E) 24%Answer: E Difficulty: DifficultRationale: 100($50)(0.50) = $2,500 investment; gain on stock sale = (56-50)(100) = $600; Return = ($600/$2,500) = 24%.46. You purchased 100 shares of common stock on margin for $35 per share. The initialmargin is 50% and the stock pays no dividend. What would your rate of return be if you sell the stock at $42 per share? Ignore interest on margin.A) 28%B) 33%C) 14%D) 40%E) 24%Answer: D Difficulty: DifficultRationale: 100($35)(0.50) = $1,750 investment; gain on stock sale = (42-35)(100) = $700; Return = ($700/$1,750) = 40%.47. Assume you sell short 1000 shares of common stock at $35 per share, with initialmargin at 50%. What would be your rate of return if you repurchase the stock at$25/share? The stock paid no dividends during the period, and you did not remove any money from the account before making the offsetting transaction.A) 20.47%B) 25.63%C) 57.14%D) 77.23%E) none of the aboveAnswer: C Difficulty: ModerateRationale: Profit on stock = ($35 - $25)(1,000) = $10,000; initial investment =($35)(1,000)(.5) = $17,500; return =$10,000/$17,500 = 57.14%.48. Assume you sell short 100 shares of common stock at $30 per share, with initial marginat 50%. What would be your rate of return if you repurchase the stock at $35/share?The stock paid no dividends during the period, and you did not remove any money from the account before making the offsetting transaction.A) -33.33%B) -25.63%C) -57.14%D) -77.23%E) none of the aboveAnswer: A Difficulty: ModerateRationale: Profit on stock = ($30 - $35)(100) = -500; initial investment = ($30)(100)(.5) = $1,500; return =$-500/$1,500 = -33.33%.49. You want to purchase GM stock at $40 from your broker using as little of your ownmoney as possible. If initial margin is 50% and you have $4000 to invest, how many shares can you buy?A) 100 sharesB) 200 sharesC) 50 sharesD) 500 sharesE) 25 sharesAnswer: B Difficulty: ModerateRationale: you can buy ($4000/$40) = 100 shares outright and you can borrow $4,000 to buy another 100 shares.50. You want to purchase IBM stock at $80 from your broker using as little of your ownmoney as possible. If initial margin is 50% and you have $2000 to invest, how many shares can you buy?A) 100 sharesB) 200 sharesC) 50 sharesD) 500 sharesE) 25 sharesAnswer: C Difficulty: ModerateRationale: You can buy ($2000/$80) = 25 shares outright and you can borrow $2,000 to buy another 25 shares.51. Assume you sold short 100 shares of common stock at $40 per share. The initial marginis 50%. What would be the maintenance margin if a margin call is made at a stock price of $50?A) 40%B) 20%C) 35%D) 25%E) none of the aboveAnswer: B Difficulty: DifficultRationale: $4,000 X 1.5 = $6,000; [$6,000 - 100($50)]/100($50) = 20%.52. Assume you sold short 100 shares of common stock at $70 per share. The initial marginis 50%. What would be the maintenance margin if a margin call is made at a stock price of $85?A) 40.5%B) 20.5%C) 35.5%D) 23.5%E) none of the aboveAnswer: D Difficulty: DifficultRationale: $7,000 X 1.5 = $10,500; [$10,500 - 100($85)]/100($85) = 23.5%.53. You sold short 100 shares of common stock at $45 per share. The initial margin is 50%.At what stock price would you receive a margin call if the maintenance margin is 35%?A) $50B) $65C) $35D) $40E) none of the aboveAnswer: A Difficulty: DifficultRationale: Equity = 100($45) * 1.5 = $6,750; 0.35 = ($6,750 - 100P)/100P; 35P = 6,750 - 100P; 135P = 6,750; P = $50.0054. You sold short 100 shares of common stock at $75 per share. The initial margin is 50%.At what stock price would you receive a margin call if the maintenance margin is 30%?A) $90.23B) $88.52C) $86.54D) $87.12E) none of the aboveAnswer: C Difficulty: DifficultRationale: Equity = 100($75) * 1.5 = $11,250; 0.30 = ($11,250 - 100P)/100P; 30P = 11,250 - 100P; 130P = 11,250; P = $86.5455. IPO average first-day returns are largest in ____________.A) The United StatesB) DenmarkC) JapanD) ChinaE) FranceAnswer: D Difficulty: EasyRationale: See Figure 3.3.56. Despite large first-day IPO returns, average first-year returns in the US areapproximately ____________ percent.A) 6.7B) 18.2C) 26.4D) 4.8E) 9.1Answer: A Difficulty: EasyRationale: See Figure 3.4.57. Average second-year IPO returns in the US are approximately ____________ percent.A) 6.7B) 18.2C) 26.4D) 5.3E) 9.1Answer: D Difficulty: EasyRationale: See Figure 3.4.58. Average third-year IPO returns in the US are approximately ____________ percent.A) 6.7B) 18.2C) 26.4D) 5.3E) 10.3Answer: E Difficulty: EasyRationale: See Figure 3.4.59. The advertisement by the underwriting syndicate to announce an new security issue isreferred to as the ____________.A) red herringB) preliminary prospectusC) prospectusD) tombstoneE) headstoneAnswer: D Difficulty: Easy60. The preliminary prospectus is referred to as a ____________.A) red herringB) indentureC) green mailD) tombstoneE) headstoneAnswer: A Difficulty: Easy61. The minimum revenue required for an initial listing on the New York Stock Exchange isA) $2,000,000B) $25,000,000C) $50,000,000D) $75,000,000E) 100,000,000Answer: D Difficulty: ModerateRationale: See Table 3.3.62. The annual dollar volume of trading on the NYSE in 2004 was approximately____________ dollars.A) 12 trillionB) 4 trillionC) 12 billionD) 4 billionE) none of the aboveAnswer: A Difficulty: EasyRationale: See Figure 3.7.63. The ____________ had the largest trading volume of securities in 2004.A) NASDAQB) NYSEC) LondonD) TokyoE) Hong KongAnswer: B Difficulty: EasyRationale: See Figure 3.7.64. The securities act of 1933 ____________.I)requires full disclosure of relevant information relating to the issue of newsecuritiesII)requires registration of new securitiesIII)requires issuance of a prospectus detailing financial prospects of the firm IV)established the SECV)requires periodic disclosure of relevant financial informationVI)empowers SEC to regulate exchanges, OTC trading, brokers, and dealersA) I, II and IIIB) I, II, III, IV, V, and VIC) I, II and VD) I, II and IVE) IV onlyAnswer: A Difficulty: Easy65. The securities act of 1934 ____________.I)requires full disclosure of relevant information relating to the issue of newsecuritiesII)requires registration of new securitiesIII)requires issuance of a prospectus detailing financial prospects of the firm IV)established the SECV)requires periodic disclosure of relevant financial informationVI)empowers SEC to regulate exchanges, OTC trading, brokers, and dealersA) I, II and IIIB) I, II, III, IV, V, and VIC) I, II and VD) I, II and IVE) IV, V, and VIAnswer: E Difficulty: Easy。
投资学第7版Test-Bank答案03
Multiple Choice Questions1. A purchase of a new issue of stock takes placeA) in the secondary market.B) in the primary market.C) usually with the assistance of an investment banker.D) A and B.E) B and C.Answer: E Difficulty: EasyRationale: Funds from the sale of new issues flow to the issuing corporation, making this aprimary market transaction. Investment bankers usually assist by pricing the issue and finding buyers.2. The following statements regarding the specialist are true:A) Specialists maintain a book listing outstanding unexecuted limit orders.B) Specialists earn income from commissions and spreads in stock prices.C) Specialists stand ready to trade at quoted bid and ask prices.D) Specialists cannot trade in their own accounts.E) A, B, and C are all true.Answer: E Difficulty: ModerateRationale: The specialists' functions are all of the items listed in A, B, and C. In addition,specialists trade in their own accounts.3. Investment bankersA) act as intermediaries between issuers of stocks and investors.B) act as advisors to companies in helping them analyze their financial needs and find buyersfor newly issued securities.C) accept deposits from savers and lend them out to companies.D) A and B.E) A, B, and C.Answer: D Difficulty: ModerateRationale: The role of the investment banker is to assist the firm in issuing new securities, both in advisory and marketing capacities. The investment banker does not have a role comparable to a commercial bank, as indicated in C.4. In a "firm commitment"A) the investment banker buys the stock from the company and resells the issue to the public.B) the investment banker agrees to help the firm sell the stock at a favorable price.C) the investment banker finds the best marketing arrangement for the investment bankingfirm.D) B and C.E) A and B.Answer: A Difficulty: Moderate5. The secondary market consists ofA) transactions on the AMEX.B) transactions in the OTC market.C) transactions through the investment banker.D) A and B.E) A, B, and C.Answer: D Difficulty: ModerateRationale: The secondary market consists of transactions on the organized exchanges and in the OTC market. The investment banker is involved in the placement of new issues in the primary market.6. The use of the Internet to trade and underwrite securitiesA) is illegal under SEC regulations.B) is regulated by the New York Stock Exchange.C) decreases underwriting costs for a new security issue.D) increases underwriting costs for a new security issue.E) is regulated by the National Association of Securities Dealers.Answer: C Difficulty: ModerateRationale: The SEC permits trading and underwriting of securities over the Internet, but has required firms participating in this activity to take steps to safeguard investment funds. This form of underwriting is expected to grow quickly due to its lower cost.7. Initial margin requirements are determined byA) the Securities and Exchange Commission.B) the Federal Reserve System.C) the New York Stock Exchange.D) B and C.E) A and BAnswer: B Difficulty: ModerateRationale: The Board of Governors of the Federal Reserve System determines initial margin requirements. The New York Stock Exchange determines maintenance margin requirements on NYSE-listed stocks; however, brokers usually set maintenance margin requirements above those established by the NYSE.8. You purchased XYZ stock at $50 per share. The stock is currently selling at $65. Your gainsmay be protected by placing a __________A) stop-buy orderB) limit-buy orderC) market orderD) limit-sell orderE) none of the above.Answer: D Difficulty: ModerateRationale: With a limit-sell order, your stock will be sold only at a specified price, or better.Thus, such an order would protect your gains. None of the other orders are applicable to this situation.9. You sold ABC stock short at $80 per share. Your losses could be minimized by placing a__________:A) limit-sell orderB) limit-buy orderC) stop-buy orderD) day-orderE) none of the above.Answer: C Difficulty: ModerateRationale: With a stop-buy order, the stock would be purchased if the price increased to a specified level, thus limiting your loss. None of the other orders are applicable to this situation.10. Which one of the following statements regarding orders is false?A) A market order is simply an order to buy or sell a stock immediately at the prevailing marketprice.B) A limit sell order is where investors specify prices at which they are willing to sell asecurity.C) If stock ABC is selling at $50, a limit-buy order may instruct the broker to buy the stock ifand when the share price falls below $45.D) A day order expires at the close of the trading day.E) None of the above.Answer: E Difficulty: ModerateRationale: All of the order descriptions above are correct.11. Restrictions on trading involving insider information apply to the following exceptA) corporate officers and directors.B) relatives of corporate directors and officers.C) major stockholders.D) All of the above are subject to insider trading restrictions.E) None of the above is subject to insider trading restrictions.Answer: D Difficulty: ModerateRationale: A, B, and C are corporate insiders and are subject to restrictions on trading on inside information. Further, the Supreme Court held that traders may not trade on nonpublicinformation even if they are not insiders.12. The cost of buying and selling a stock consists of __________.A) broker's commissionsB) dealer's bid-asked spreadC) a price concession an investor may be forced to make.D) A and B.E) A, B, and C.Answer: E Difficulty: ModerateRationale: All of the above are possible costs of buying and selling a stock.13. Assume you purchased 200 shares of XYZ common stock on margin at $70 per share from yourbroker. If the initial margin is 55%, how much did you borrow from the broker?A) $6,000B) $4,000C) $7,700D) $7,000E) $6,300Answer: E Difficulty: ModerateRationale: 200 shares * $70/share * (1-0.55) = $14,000 * (0.45) = $6,300.14. You sold short 200 shares of common stock at $60 per share. The initial margin is 60%. Yourinitial investment wasA) $4,800.B) $12,000.C) $5,600.D) $7,200.E) none of the above.Answer: D Difficulty: ModerateRationale: 200 shares * $60/share * 0.60 = $12,000 * 0.60 = $7,20015. You purchased 100 shares of ABC common stock on margin at $70 per share. Assume theinitial margin is 50% and the maintenance margin is 30%. Below what stock price level would you get a margin call? Assume the stock pays no dividend; ignore interest on margin.A) $21B) $50C) $49D) $80E) none of the aboveAnswer: B Difficulty: DifficultRationale: 100 shares * $70 * .5 = $7,000 * 0.5 = $3,500 (loan amount); 0.30 = (100P -$3,500)/100P; 30P = 100P - $3,500; -70P = -$3,500; P = $50.16. You purchased 100 shares of common stock on margin at $45 per share. Assume the initialmargin is 50% and the stock pays no dividend. What would the maintenance margin be if a margin call is made at a stock price of $30? Ignore interest on margin.A) 0.33B) 0.55C) 0.43D) 0.23E) 0.25Answer: E Difficulty: DifficultRationale: 100 shares * $45/share * 0.5 = $4,500 * 0.5 = $2,250 (loan amount); X = [100($30) - $2,250]/100($30); X = 0.25.17. You purchased 300 shares of common stock on margin for $60 per share. The initial margin is60% and the stock pays no dividend. What would your rate of return be if you sell the stock at $45 per share? Ignore interest on margin.A) 25%B) -33%C) 44%D) -42%E) –54%Answer: D Difficulty: DifficultRationale: 300($60)(0.60) = $10,800 investment; 300($60) = $18,000 X (0.40) = $7,200 loan;Proceeds after selling stock and repaying loan: $13,500 - $7,200 = $6,300; Return = ($6,300 - $10,800)/$10,800 = - 41.67%.18. Assume you sell short 100 shares of common stock at $45 per share, with initial margin at 50%.What would be your rate of return if you repurchase the stock at $40/share? The stock paid no dividends during the period, and you did not remove any money from the account beforemaking the offsetting transaction.A) 20%B) 25%C) 22%D) 77%E) none of the aboveAnswer: C Difficulty: ModerateRationale: Profit on stock = ($45 - $40) * 100 = $500, $500/$2,250 (initial investment) =22.22%.19. You sold short 300 shares of common stock at $55 per share. The initial margin is 60%. Atwhat stock price would you receive a margin call if the maintenance margin is 35%?A) $51B) $65C) $35D) $40E) none of the aboveAnswer: B Difficulty: DifficultRationale: Equity = 300($55) * 1.6 = $26,400; 0.35 = ($26,400 - 300P)/300P; 105P = 26,400 - 300P; 405P = 26,400; P = $65.1820. Assume you sold short 100 shares of common stock at $50 per share. The initial margin is 60%.What would be the maintenance margin if a margin call is made at a stock price of $60?A) 40%B) 33%C) 35%D) 25%E) none of the aboveAnswer: B Difficulty: DifficultRationale: $5,000 X 1.6 = $8,000; [$8,000 - 100($60)]/100($60) = 33%.21. Specialists on stock exchanges perform the following functionsA) Act as dealers in their own accounts.B) Analyze the securities in which they specialize.C) Provide liquidity to the market.D) A and B.E) A and C.Answer: E Difficulty: ModerateRationale: Specialists are both brokers and dealers and provide liquidity to the market; they are not analysts.22. Shares for short transactionsA) are usually borrowed from other brokers.B) are typically shares held by the short seller's broker in street name.C) are borrowed from commercial banks.D) B and C.E) none of the above.Answer: B Difficulty: ModerateRationale: Typically, the only source of shares for short transactions is those held by the short seller's broker in street name; often these are margined shares.23. Which of the following orders is most useful to short sellers who want to limit their potentiallosses?A) Limit orderB) Discretionary orderC) Limit-loss orderD) Stop-buy orderE) None of the aboveAnswer: D Difficulty: ModerateRationale: By issuing a stop-buy order, the short seller can limit potential losses by assuring that the stock will be purchased (and the short position closed) if the price increases to a certain level.24. Shelf registrationA) is a way of placing issues in the primary market.B) allows firms to register securities for sale over a two-year period.C) increases transaction costs to the issuing firm.D) A and B.E) A and C.Answer: D Difficulty: EasyRationale: Shelf registration lowers transactions costs to the firm as the firm may register issues for a longer period than in the past, and thus requires the services of the investment banker less frequently.25. NASDAQ subscriber levelsA) permit those with the highest level, 3, to "make a market" in the security.B) permit those with a level 2 subscription to receive all bid and ask quotes, but not to entertheir own quotes.C) permit level 1 subscribers to receive general information about prices.D) include all OTC stocks.E) A, B, and C.Answer: E Difficulty: EasyRationale: NASDAQ links dealers in a loosely organized network with different levels of access to meet different needs.26. You want to buy 100 shares of Hotstock Inc. at the best possible price as quickly as possible.You would most likely place aA) stop-loss orderB) stop-buy orderC) market orderD) limit-sell orderE) limit-buy orderAnswer: C Difficulty: EasyRationale: A market order is for immediate execution at the best possible price.27. You want to purchase XYZ stock at $60 from your broker using as little of your own money aspossible. If initial margin is 50% and you have $3000 to invest, how many shares can you buy?A) 100 sharesB) 200 sharesC) 50 sharesD) 500 sharesE) 25 sharesAnswer: A Difficulty: ModerateRationale: .5 = [(Q * $60)-$3,000] / (Q * $60); $30Q = $60Q-$3,000; $30Q = $3,000; Q=100.28. A sale by IBM of new stock to the public would be a(n)A) short sale.B) seasoned new issue offering.C) private placement.D) secondary market transaction.E) initial public offering.Answer: B Difficulty: EasyRationale: When a firm whose stock already trades in the secondary market issues new shares to the public this is referred to as a seasoned new issue.29. The finalized registration statement for new securities approved by the SEC is calledA) a red herringB) the preliminary statementC) the prospectusD) a best-efforts agreementE) a firm commitmentAnswer: C Difficulty: ModerateRationale: The prospectus is the finalized registration statement approved by the SEC.30. The minimum market value required for an initial listing on the New York Stock Exchange isA) $2,000,000B) $2,500,000C) $1,100,000D) $60,000,000E) 100,000,000Answer: E Difficulty: ModerateRationale: See Table 3.3.31. In 2005, the price of a seat on the NYSE reached a high ofA) $1,000,000B) $4,000,000C) $1,750,000D) $2,225,000E) $3,000,000Answer: B Difficulty: ModerateRationale: See Table 3.2.32. The floor broker is best described asA) an independent member of the exchange who owns a seat and handles overload work forcommission brokers.B) someone who makes a market in one or more securities.C) a representative of a brokerage firm who is on the floor of the exchange to execute trade.D) a frequent trader who performs no public function but executes trades for himself.E) any counter party to a trade executed on the floor of the exchange.Answer: A Difficulty: EasyRationale: The floor broker is an independent member of the exchange who handles work for commission brokers when they have too many orders to handle.33. You sell short 100 shares of Loser Co. at a market price of $45 per share. Your maximumpossible loss isA) $4500B) unlimitedC) zeroD) $9000E) cannot tell from the information givenAnswer: B Difficulty: ModerateRationale: A short seller loses money when the stock price rises. Since there is no upper limit on the stock price, the maximum theoretical loss is unlimited.34. You buy 300 shares of Qualitycorp for $30 per share and deposit initial margin of 50%. Thenext day Qualitycorp's price drops to $25 per share. What is your actual margin?A) 50%B) 40%C) 33%D) 60%E) 25%Answer: B Difficulty: ModerateRationale: AM = [300 ($25) - .5 (300) ($30) ] / [300 ($25)] = .4035. When a firm markets new securities, a preliminary registration statement must be filed withA) the exchange on which the security will be listed.B) the Securities and Exchange Commission.C) the Federal Reserve.D) all other companies in the same line of business.E) the Federal Deposit Insurance Corporation.Answer: B Difficulty: EasyRationale: The SEC requires the registration statement and must approve it before the issue can take place.36. In a typical underwriting arrangement the investment banking firmI)sells shares to the public via an underwriting syndicate.II)purchases the securities from the issuing company.III)assumes the full risk that the shares may not be sold at the offering price.IV)agrees to help the firm sell the issue to the public but does not actually purchase the securities.A) I, II, and IIIB) I, III, and IVC) I and IVD) II and IIIE) I and IIAnswer: A Difficulty: ModerateRationale: A typical underwriting arrangement is made on a firm commitment basis.37. Which of the following is true regarding private placements of primary security offerings?A) Extensive and costly registration statements are required by the SEC.B) For very large issues, they are better suited than public offerings.C) They trade in secondary markets.D) The shares are sold directly to a small group of institutional or wealthy investors.E) They have greater liquidity than public offerings.Answer: D Difficulty: ModerateRationale: Firms can save on registration costs, but the result is that the securities cannot trade in the secondary markets and therefore are less liquid. Public offerings are better suited for very large issues.38. A specialist on the AMEX Stock Exchange is offering to buy a security for $37.50. A broker inOklahoma City wants to sell the security for his client. The Intermarket Trading System showsa bid price of $37.375 on the NYSE. What should the broker do?A) Route the order to the AMEX Stock Exchange.B) Route the order to the NYSE.C) Call the client to see if she has a preference.D) Route half of the order to AMEX and the other half to the NYSE.E) It doesn't matter - he should flip a coin and go with it.Answer: A Difficulty: ModerateRationale: The broker should try to obtain the best price for his client. Since the client wants to sell shares and the bid price is higher on the AMEX, he should route the order there.39. You sold short 100 shares of common stock at $45 per share. The initial margin is 50%. Yourinitial investment wasA) $4,800.B) $12,000.C) $2,250.D) $7,200.E) none of the above.Answer: C Difficulty: ModerateRationale: 100 shares * $45/share * 0.50 = $4,500 * 0.50 = $2,25040. You sold short 150 shares of common stock at $27 per share. The initial margin is 45%. Yourinitial investment wasA) $4,800.60.B) $12,000.25.C) $2,250.75.D) $1,822.50.E) none of the above.Answer: D Difficulty: ModerateRationale: 150 shares * $27/share * 0.45 = $4,050 * 0.45 = $1,822.5041. You purchased 100 shares of XON common stock on margin at $60 per share. Assume theinitial margin is 50% and the maintenance margin is 30%. Below what stock price level would you get a margin call? Assume the stock pays no dividend; ignore interest on margin.A) $42.86B) $50.75C) $49.67D) $80.34E) none of the aboveAnswer: A Difficulty: DifficultRationale: 100 shares * $60 * .5 = $6,000 * 0.5 = $3,000 (loan amount); 0.30 = (100P -$3,000)/100P; 30P = 100P - $3,000; -70P = -$3,000; P = $42.8642. You purchased 1000 shares of CSCO common stock on margin at $19 per share. Assume theinitial margin is 50% and the maintenance margin is 30%. Below what stock price level would you get a margin call? Assume the stock pays no dividend; ignore interest on marginA) $12.86B) $15.75C) $19.67D) $13.57E) none of the aboveAnswer: D Difficulty: DifficultRationale: 1000 shares * $19 * .5 = $19,000 * 0.5 = $9,500 (loan amount); 0.30 = (1000P - $9,500)/1000P; 300P = 1000P - $9,500; -700P = -$9,500; P = $13.5743. You purchased 100 shares of common stock on margin at $40 per share. Assume the initialmargin is 50% and the stock pays no dividend. What would the maintenance margin be if a margin call is made at a stock price of $25? Ignore interest on margin.A) 0.33B) 0.55C) 0.20D) 0.23E) 0.25Answer: C Difficulty: DifficultRationale: 100 shares * $40/share * 0.5 = $4,000 * 0.5 = $2,000 (loan amount); X = [100($25) - $2,000]/100($25); X = 0.20.44. You purchased 1000 shares of common stock on margin at $30 per share. Assume the initialmargin is 50% and the stock pays no dividend. What would the maintenance margin be if a margin call is made at a stock price of $24? Ignore interest on margin.A) 0.33B) 0.375C) 0.20D) 0.23E) 0.25Answer: B Difficulty: DifficultRationale: 1000 shares * $30/share * 0.5 = $30,000 * 0.5 = $15,000 (loan amount); X =[1000($24) - $15,000]/1000($24); X = 0.375.45. You purchased 100 shares of common stock on margin for $50 per share. The initial margin is50% and the stock pays no dividend. What would your rate of return be if you sell the stock at $56 per share? Ignore interest on margin.A) 28%B) 33%C) 14%D) 42%E) 24%Answer: E Difficulty: DifficultRationale: 100($50)(0.50) = $2,500 investment; gain on stock sale = (56-50)(100) = $600;Return = ($600/$2,500) = 24%.46. You purchased 100 shares of common stock on margin for $35 per share. The initial margin is50% and the stock pays no dividend. What would your rate of return be if you sell the stock at $42 per share? Ignore interest on margin.A) 28%B) 33%C) 14%D) 40%E) 24%Answer: D Difficulty: DifficultRationale: 100($35)(0.50) = $1,750 investment; gain on stock sale = (42-35)(100) = $700;Return = ($700/$1,750) = 40%.47. Assume you sell short 1000 shares of common stock at $35 per share, with initial margin at 50%.What would be your rate of return if you repurchase the stock at $25/share? The stock paid no dividends during the period, and you did not remove any money from the account beforemaking the offsetting transaction.A) 20.47%B) 25.63%C) 57.14%D) 77.23%E) none of the aboveAnswer: C Difficulty: ModerateRationale: Profit on stock = ($35 - $25)(1,000) = $10,000; initial investment = ($35)(1,000)(.5) = $17,500; return =$10,000/$17,500 = 57.14%.48. Assume you sell short 100 shares of common stock at $30 per share, with initial margin at 50%.What would be your rate of return if you repurchase the stock at $35/share? The stock paid no dividends during the period, and you did not remove any money from the account beforemaking the offsetting transaction.A) -33.33%B) -25.63%C) -57.14%D) -77.23%E) none of the aboveAnswer: A Difficulty: ModerateRationale: Profit on stock = ($30 - $35)(100) = -500; initial investment = ($30)(100)(.5) =$1,500; return =$-500/$1,500 = -33.33%.49. You want to purchase GM stock at $40 from your broker using as little of your own money aspossible. If initial margin is 50% and you have $4000 to invest, how many shares can you buy?A) 100 sharesB) 200 sharesC) 50 sharesD) 500 sharesE) 25 sharesAnswer: B Difficulty: ModerateRationale: you can buy ($4000/$40) = 100 shares outright and you can borrow $4,000 to buy another 100 shares.50. You want to purchase IBM stock at $80 from your broker using as little of your own money aspossible. If initial margin is 50% and you have $2000 to invest, how many shares can you buy?A) 100 sharesB) 200 sharesC) 50 sharesD) 500 sharesE) 25 sharesAnswer: C Difficulty: ModerateRationale: You can buy ($2000/$80) = 25 shares outright and you can borrow $2,000 to buy another 25 shares.51. Assume you sold short 100 shares of common stock at $40 per share. The initial margin is 50%.What would be the maintenance margin if a margin call is made at a stock price of $50?A) 40%B) 20%C) 35%D) 25%E) none of the aboveAnswer: B Difficulty: DifficultRationale: $4,000 X 1.5 = $6,000; [$6,000 - 100($50)]/100($50) = 20%.52. Assume you sold short 100 shares of common stock at $70 per share. The initial margin is 50%.What would be the maintenance margin if a margin call is made at a stock price of $85?A) 40.5%B) 20.5%C) 35.5%D) 23.5%E) none of the aboveAnswer: D Difficulty: DifficultRationale: $7,000 X 1.5 = $10,500; [$10,500 - 100($85)]/100($85) = 23.5%.53. You sold short 100 shares of common stock at $45 per share. The initial margin is 50%. Atwhat stock price would you receive a margin call if the maintenance margin is 35%?A) $50B) $65C) $35D) $40E) none of the aboveAnswer: A Difficulty: DifficultRationale: Equity = 100($45) * 1.5 = $6,750; 0.35 = ($6,750 - 100P)/100P; 35P = 6,750 - 100P;135P = 6,750; P = $50.0054. You sold short 100 shares of common stock at $75 per share. The initial margin is 50%. Atwhat stock price would you receive a margin call if the maintenance margin is 30%?A) $90.23B) $88.52C) $86.54D) $87.12E) none of the aboveAnswer: C Difficulty: DifficultRationale: Equity = 100($75) * 1.5 = $11,250; 0.30 = ($11,250 - 100P)/100P; 30P = 11,250 - 100P; 130P = 11,250; P = $86.5455. IPO average first-day returns are largest in ____________.A) The United StatesB) DenmarkC) JapanD) ChinaE) FranceAnswer: D Difficulty: EasyRationale: See Figure 3.3.56. Despite large first-day IPO returns, average first-year returns in the US are approximately____________ percent.A) 6.7B) 18.2C) 26.4D) 4.8E) 9.1Answer: A Difficulty: EasyRationale: See Figure 3.4.57. Average second-year IPO returns in the US are approximately ____________ percent.A) 6.7B) 18.2C) 26.4D) 5.3E) 9.1Answer: D Difficulty: EasyRationale: See Figure 3.4.58. Average third-year IPO returns in the US are approximately ____________ percent.A) 6.7B) 18.2C) 26.4D) 5.3E) 10.3Answer: E Difficulty: EasyRationale: See Figure 3.4.59. The advertisement by the underwriting syndicate to announce an new security issue is referredto as the ____________.A) red herringB) preliminary prospectusC) prospectusD) tombstoneE) headstoneAnswer: D Difficulty: Easy60. The preliminary prospectus is referred to as a ____________.A) red herringB) indentureC) green mailD) tombstoneE) headstoneAnswer: A Difficulty: Easy61. The minimum revenue required for an initial listing on the New York Stock Exchange isA) $2,000,000B) $25,000,000C) $50,000,000D) $75,000,000E) 100,000,000Answer: D Difficulty: ModerateRationale: See Table 3.3.62. The annual dollar volume of trading on the NYSE in 2004 was approximately ____________dollars.A) 12 trillionB) 4 trillionC) 12 billionD) 4 billionE) none of the aboveAnswer: A Difficulty: EasyRationale: See Figure 3.7.63. The ____________ had the largest trading volume of securities in 2004.A) NASDAQB) NYSEC) LondonD) TokyoE) Hong KongAnswer: B Difficulty: EasyRationale: See Figure 3.7.64. The securities act of 1933 ____________.I)requires full disclosure of relevant information relating to the issue of new securitiesII)requires registration of new securitiesIII)requires issuance of a prospectus detailing financial prospects of the firmIV)established the SECV)requires periodic disclosure of relevant financial informationVI)empowers SEC to regulate exchanges, OTC trading, brokers, and dealersA) I, II and IIIB) I, II, III, IV, V, and VIC) I, II and VD) I, II and IVE) IV onlyAnswer: A Difficulty: Easy65. The securities act of 1934 ____________.I)requires full disclosure of relevant information relating to the issue of new securitiesII)requires registration of new securitiesIII)requires issuance of a prospectus detailing financial prospects of the firmIV)established the SECV)requires periodic disclosure of relevant financial informationVI)empowers SEC to regulate exchanges, OTC trading, brokers, and dealersA) I, II and IIIB) I, II, III, IV, V, and VIC) I, II and VD) I, II and IVE) IV, V, and VIAnswer: E Difficulty: Easy。
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投资学练习作业题
（1）画出基金A和基金B的可行集(5个点)。
（2）找出最优风险投资组合P及其期望收益与标准差。
（3）找出由短期国库券与投资组合P支持的资本配置线的斜率。
（4）当一个投资者的风险厌恶程度A=5时，应在股票基金A、B和短期国库券中各投资多少？
2假定一个风险证券投资组合中包含大量的股票，它们有相同的分布，
ρ
60
E，相关系数5.0
%
=σ
r
(=
15
)
%,
=
（1）含有25种股票的等权重投资组合期望收益和标准差是多少？
（2）构造一个标准差小于或等于43%的有效投资组合所需要最少的股票数量为多少？（3）这一投资组合的系统风险为多少？
（4）如果国库券的收益率为10%，资本配置的斜率为多少？
3短期国库券的收益现在是4.90%，你已经建立了一个最优风险资产投资组合，投资组合P，即你把23%的资金投资到共同基金A，把77%的资金投资到共同基金B。
前者的收益率是8%，后者的收益率是19%。
（1）投资组合P的预期收益率是多少？
（2）假定你设计了一个投资组合C，其中34%的资金投资到无风险资产，其余的投资到组合P中，那么这个新的投资组合的预期收益是多少？
（3）如果投资组合P的标准差是21%，这个新组合的标准差是多少？确定在新的投资组合中无风险资产、共同基金A和共同基金B的权重。
（1）市场指数投资组合的平均超额收益率为多少？
（2）股票A与股票B之间的协方差为多大？
（3）股票B与指数之间的协方差为多大？
（4）将股票B的方差分解为市场和公司特有两部分。
5对股票A和股票B分析估计的指数模型结果如下：
A M A e R R ++=6.012.0
B M B e R R ++=4.104.0
26.0=M σ 20.0)(=A e σ 10.0)(=B e σ
（1） 股票A 和股票B 收益之间的协方差是多少？ （2） 每只股票的方差是多少？
（3） 将每只股票的方差分类到系统风险和公司特有风险中 （4） 每只股票和市场指数的协方差是多少？ （5） 两只股票的相关系数是多少？
6预计无风险利率是6.1%，市场投资组合的预期收益是14.6%。
（1） 利用CAPM ，根据下表所提供的数据，计算股票4的预期收益 （2） 画出证券市场线
（3） 在证券市场线上，找出每样资产对应的点
（4） 确定每样资产是被低估、被高估还是定价准确，计算其α
7假定一个多元投资组合Z 的定价基础是两个因素。
第一个因素的β是1.10，第二个因素的
β是0.45，第一个因素的预期收益是11%，第二个因素的预期收益是17%，无风险利率是
5.2%。
利用套利定价理论回答以下问题： （1） 第一种因素的风险溢价是多少？ （2） 第二种因素的风险溢价是多少？
（3） 根据和第一种因素的关系，投资组合Z 的风险溢价是多少？ （4） 根据和第二种因素的关系，投资组合Z 的风险溢价是多少？ （5） 投资组合Z 的整体风险溢价是多少？
（6） 投资组合Z 的整体整体预期收益是多少？
8一年期债券的到期利率是6.3%，2年期零息债券的到期利率是7.9%。
（1）第2年的远期利率是多少？
（2）根据期望假设，明年的1年期利率的期望值是多少？
（3）根据流动性偏好理论，明年期的1年期利率的期望值比（2）得到的值高还是低？
9你管理着价值100万美元的资产组合，目标久期为10年，可以从两种债券中选择：5年期零息债券和永久债券，当前收益率均为5%。
（1） 你愿意持有两种债券的份额各为多少？
（2） 如果现在的目标久期为10年，则明年的持有比例会如何变化？。