B. Hedge Fund Management Cheat Sheet --Chinese version 080822
对冲基金的决定因素内部控制及费用【外文翻译】
外文翻译原文Determinants of Hedge Fund Internal Controls and Fees Material Source: Author: Gavin Cesar Hedge funds encompass a diverse range of privately managed investment vehicles that are exempt from a broad range of federal acts regulating investment vehicles. They are typically not exchange traded and not registered with the Securities and Exchange Commission (SEC). Hence, hedge funds are in general exempt from securities regulations that dictate internal controls that managers must implement and maintain, fees that managers can charge investors, and disclosures that fund managers must make to investors. Therefore, hedge funds are opaque investment vehicles that expose investors to the risk of substantial losses arising from fraud and/or financial misstatements. Hedge funds thereby provide a setting to examine the extent to which fund managers voluntarily implement internal controls to limit agency costs arising from fraud or financial misstatements, and the extent to which investors value such internal controls when determining the fees that they are willing to pay fund managers.In this study, we examine the determinants of hedge fund internal controls and the association between internal controls and the fees that fund managers charge investors. We use a broad definition of internal controls that encompasses mechanisms designed to decrease the likelihood of fraud, and to increase the accuracy of asset valuations and performance disclosures made to investors. Some examples include the independent pricing of investment positions, signature protocols for transferring funds from bank and prime brokerage accounts, and the use of reputable service providers, such as auditors and administrators. The risks that hedge fund internal controls monitor and reduce could be more important than financial risks in determining hedge fund performance (Lo 2001, 30–31; Kundro and Feffer 2003).To investigate the use of internal controls and their association with fees, we use a proprietary database of due diligence reports prepared by The Hedge Fund Due Diligence Group at Analytical Research. These reports contain an extensive array ofdetails regarding fund characteristics and internal controls, investment contract terms and provisions, investment style and portfolio characteristics, and fund and manager backgrounds. Investors commissioned these due diligence reports to evaluate whether to invest in the funds. Therefore, our sample represents a set of hedge funds that were actively seeking investors and for which investors initiated due diligence to evaluate the backgrounds, contract terms, and internal controls of the funds.We find substantial variation in internal controls. Funds domiciled in the Caribbean are more likely to incorporate stricter signature authority for the transfer of funds, implement pricing mechanisms that involve external oversight, and employ more reputable outside service providers. These findings are consistent with investors demanding greater internal controls for funds domiciled in jurisdictions that provide investors with limited legal redress for fraud and financial misstatements. Furthermore, and also consistent with managers implementing internal controls to reduce agency conflicts, we find that younger funds are more likely to use more reputable external administrators and levered funds are more likely to implement more stringent external oversight of pricing and use more reputable auditors. Short selling funds, however, are more likely to protect proprietary information by implementing weaker internal controls that limit external oversight of investment position pricing.Next, we argue that when considering a hedge fund investment, investors estimate potential agency costs arising from fraud and financial misstatements, and their expectations of these agency costs decrease in the quality of a fund’s internal controls. Consequently, we posit that managers of funds with more stringent internal controls can charge higher fees, all else equal. Consistent with this argument, we observe that internal controls that reduce managers’ opportunities to manipulate reported performance and/or commit fraud are positively associated with the percentage of investment profits received by the manager. Therefore, investors appear to mitigate moral hazard costs arising from fraud or manipulated reported returns when managers have greater discretion.We supplement the above analysis of fees by examining the association between restatements and fees. Relevant to our setting, restatements are predetermined at the point of contracting. We find that managers of funds that have restated prior performance receive a significantly lower percentage of assets under management for managing the funds, providing further support for our predictionthat investors protect against the risk of future misstatements by paying lower fees.Finally, we investigate whether internal controls are associated with future regulatory investigations of fraud and/or financial misstatements on the part of the fund and its managers. Such investigations can be considered an extreme form of poor performance because they are typically associated with fund liquidations and deeply discounted investor redemptions. We find that excluding the manager from setting and reporting the fund’s official net asset value to investors reduces the probability of such investigations by over one-third. Moreover, we find that proxies for reputational incentives and proxies for explicit monitoring and screening by leverage providers are associated with lower likelihoods of future regulatory investigations of fraud and/or financial misstatements.We contribute to the internal control and hedge fund literatures. First, this study differs from previous research on internal controls by examining the supply and demand of actual internal controls determined within a market as opposed to the disclosure of internal control weaknesses. Further, research is generally based on public firms subject to securities regulations that limit the risks that investors face from weak internal controls. In contrast to public companies, internal control failures can be more important than financial risks in determining hedge fund performance. Moreover, research that investigates internal control choice in non-regulated settings focuses primarily on auditor choice (e.g., Chow 1982; Watts and Zimmerman 1983; Blackwell et al. 1998; Fortin and Pittman 2007). We also contribute by investigating a broad range of internal controls in a voluntary setting with the potential for substantial agency costs. Our empirical results provide several insights. We find in a voluntary setting that fund reputation substitutes for explicit internal controls and that legal domicile influences the choice of internal controls employed. We also find that weaker internal controls are associated with a lower percentage of investment profits received by the manager. Further, manager involvement in setting and reporting the fund’s official NA V increases the likelihood of future regulatory investigation for fraud and financial misstatement. But, we find no support for higher quality auditors reducing the likelihood of future regulatory investigations.Second, we extend the literature on hedge funds by examining their internal operations. Research on hedge funds generally concentrates on investment returns. We extend this research by directly observing the internal controls employed by funds to reduce agency costs, and how these controls are associated with fees.Moreover, we demonstrate that weak internal controls are associated with future regulatory investigations of fraud and financial misstatements and that reputational incentives and leverage providers reduce the likelihood that managers carry out actions that lead to such regulatory investigations.Finally, we contribute to the recent debate over the regulation of hedge funds. In general, the SEC regards internal controls as a critical element of investor protection, and it recently increased its regulatory focus on hedge funds, proposing regulations that include mandatory disclosures and other internal controls (Smith 2006a, 2006b; Oesterle 2006). Hedge fund advocacy groups responded to these proposals by suggesting that funds follow “best practice” industry standard s that give consideration to the particular characteristics and circumstances of each fund (Managed Funds Association 2005). Consistent with the advocacy groups’ proposals, we find that funds systematically vary their internal controls to address potential agency costs. Furthermore, we show that internal controls are positively associated with investor fees, suggesting that investors evaluate and price the risks arising from internal control failures.Hedge funds are managed investment vehicles. They are often privately held, generally comprised of wealthy individuals and institutional investors, and typically organized in the U.S. as a limited partnership or offshore as a corporation. There has been substantial growth in the hedge fund industry, both in the number of funds and in assets under management. As of the first quarter of 2008, hedge funds held more than $2.8 trillion in assets under management. Although hedge funds have grown tremendously and are under intense scrutiny regarding their operations and potential contribution to systemic risk, they are opaque, and therefore little is known about how they operate.Unlike other investment vehicles, hedge funds are structured to be exempt from the public offering requirements of the Securities Act of 1933, the periodic reporting obligations of the Securities Exchange Act of 1934, and the registration requirements of the Investment Company Act of 1940 (Oesterle 2006). Additionally, to qualify for exemption, all non-accredited investors must be determined by the fund to be sophisticated, with knowledge and experience to evaluate the prospective investment. Therefore, a more descriptive definition of a hedge fund is an investment fund exempt from a list of specific federal acts regulating investment vehicles (Oesterle 2006). To ensure exemption from SEC regulation, hedge funds cannot undertake any form of general solicitation or advertising for their services orsale of securities to the general public, and, therefore, must solicit investments through private placements only to those who are sophisticated enough to evaluate the investment and have sufficient wealth to bear the risk of the investment.This minimal regulatory environment provides hedge funds substantially more flexibility than regulated investment vehicles, such as mutual funds. For example, hedge funds have greater discretion regarding valuation and reporting of their investments. Unlike other investment vehicles that are registered under the Investment Company Act of 1940, hedge funds have greater discretion to use leverage to finance their investment positions and can undertake substantial short selling. In addition, hedge funds can charge fees based on performance, whereas other investment vehicles, such as mutual funds, are restricted to fees based solely on assets under management.When evaluating an investment in a hedge fund, investment advisors or accredited investors solicit information about the fund, with the investment terms provided in an offering circular or “private placement memorandum” (PPM). The PPM, and the subsequent executable limited partnership agreements and subscription agreements, lay out the fund’s operations and the investor’s contractual rights: the fund’s investment strategy, the fees agreed to be paid, the terms under w hich the investor can invest and withdraw funds, the investor’s ability to monitor the fund, the manner and frequency in which the fund will estimate and report performance, and the investor’s remedy rights in the case of a dispute. Because hedge funds are substantively exempt from securities regulations, the contractual terms laid out in the PPM and subsequent executable agreements represent the primary mechanisms in place to protect the investor’s investment.译文对冲基金的决定因素内部控制及费用资料来源： 作者：加文卡萨尔对冲基金涵括了一系列各类私人管理的投资工具，这些车辆不同于极大部分的投资工具由联邦法令进行调节。
Chap026 Hedge Funds 博迪投资学教材
• β =1.20 • α = .02
S&P 500 Index i s S0 = 1,440
• rf =.01 • Hedge by selling S&P 500 futures contracts
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Pure Play Example Continued
• Examples: – The October 1987 crash – Long Term Capital Management
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Fee Structure i n Hedge Funds
• Typical hedge fund fee structure – Management fee of 1%t o 2%of a s s e t s – Incentive fee equal t o 20% of investment p r o f i t s beyond a s t i p u l a t e d benchmark performance • Effectively c a l l options on the p o r t f o l i o w a strike price equal to current portfolio val
• Diversification can actually hurt the investor in this case
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Funds of Funds Continued
• Spread risk across several different funds • Investors need to be aware t h a t these funds
罗斯公司理财chap001全英文题库及答案
Chapter 01 - Introduction to Corporate FinanceChapter 01 Introduction to Corporate Finance Answer KeyMultiple Choice Questions1. The person generally directly responsible for overseeing the tax management, cost accounting, financial accounting, and information system functions is the:A. treasurer.B. director.C. controller.D. chairman of the board.E. chief executive officer.Difficulty level: EasyTopic: CONTROLLERType: DEFINITIONS2. The person generally directly responsible for overseeing the cash and credit functions,financial planning, and capital expenditures is the:A. treasurer.B. director.C. controller.D. chairman of the board.E. chief operations officer.1-1Chapter 01 - Introduction to Corporate Finance3. The process of planning and managing a firm's long-term investments is called:A. working capital management.B. financial depreciation.C. agency cost analysis.D. capital budgeting.E. capital structure.Difficulty level: EasyTopic: CAPITAL BUDGETINGType: DEFINITIONS4. The mixture of debt and equity used by a firm to finance its operations is called:A. working capital management.B. financial depreciation.C. cost analysis.D. capital budgeting.E. capital structure.5. The management of a firm's short-term assets and liabilities is called:A. working capital management.B. debt management.C. equity management.D. capital budgeting.E. capital structure.1-2Chapter 01 - Introduction to Corporate Finance6. A business owned by a single individual is called a:A. corporation.B. sole proprietorship.C. general partnership.D. limited partnership.E. limited liability company.7. A business formed by two or more individuals who each have unlimited liability for businessdebts is called a:A. corporation.B. sole proprietorship.C. general partnership.D. limited partnership.E. limited liability company.8. The division of profits and losses among the members of a partnership is formalized in the:A. indemnity clause.B. indenture contract.C. statement of purpose.D. partnership agreement.E. group charter.9. A business created as a distinct legal entity composed of one or more individuals or entities iscalled a:A. corporation.B. sole proprietorship.C. general partnership.D. limited partnership.E. unlimited liability company.Difficulty level: EasyTopic: CORPORATIONType: DEFINITIONS1-3Chapter 01 - Introduction to Corporate Finance10. The corporate document that sets forth the business purpose of a firm is the:A. indenture contract.B. state tax agreement.C. corporate bylaws.D. debt charter.E. articles of incorporation.11. The rules by which corporations govern themselves are called:A. indenture provisions.B. indemnity provisions.C. charter agreements.D. bylaws.E. articles of incorporation.12. A business entity operated and taxed like a partnership, but with limited liability for theowners, is called a:A. limited liability company.B. general partnership.C. limited proprietorship.D. sole proprietorship.E. corporation.13. The primary goal of financial management is to:A. maximize current dividends per share of the existing stock.B. maximize the current value per share of the existing stock.C. avoid financial distress.D. minimize operational costs and maximize firm efficiency.E. maintain steady growth in both sales and net earnings.14. A conflict of interest between the stockholders and management of a firm is called:A. stockholders' liability.B. corporate breakdown.C. the agency problem.D. corporate activism.E. legal liability.1-4Chapter 01 - Introduction to Corporate Finance15. Agency costs refer to:A. the total dividends paid to stockholders over the lifetime of a firm.B. the costs that result from default and bankruptcy of a firm.C. corporate income subject to double taxation.D. the costs of any conflicts of interest between stockholders and management.E. the total interest paid to creditors over the lifetime of the firm.16. A stakeholder is:A. any person or entity that owns shares of stock of a corporation.B. any person or entity that has voting rights based on stock ownership of a corporation.C. a person who initially started a firm and currently has management control over the cashflows of the firm due to his/her current ownership of company stock.D. a creditor to whom the firm currently owes money and who consequently has a claim on thecash flows of the firm.E. any person or entity other than a stockholder or creditor who potentially has a claim on thecash flows of the firm.17. The Sarbanes Oxley Act of 2002 is intended to:A. protect financial managers from investors.B. not have any effect on foreign companies.C. reduce corporate revenues.D. protect investors from corporate abuses.E. decrease audit costs for U.S. firms.18. The treasurer and the controller of a corporation generally report to the:A. board of directors.B. chairman of the board.C. chief executive officer.D. president.E. chief financial officer.19. Which one of the following statements is correct concerning the organizational structure ofa corporation?A. The vice president of finance reports to the chairman of the board.B. The chief executive officer reports to the board of directors.C. The controller reports to the president.D. The treasurer reports to the chief executive officer.E. The chief operations officer reports to the vice president of production.Difficulty level: MediumTopic: ORGANIZATIONAL STRUCTUREType: CONCEPTS1-5Chapter 01 - Introduction to Corporate Finance20. Which one of the following is a capital budgeting decision?A. determining how much debt should be borrowed from a particular lenderB. deciding whether or not to open a new storeC. deciding when to repay a long-term debtD. determining how much inventory to keep on handE. determining how much money should be kept in the checking account21. The Sarbanes Oxley Act was enacted in:A. 1952.B. 1967.C. 1998.D. 2002.E. 2006.22. Since the implementation of Sarbanes-Oxley, the cost of going public in the United Stateshas:A. increased.B. decreased.C. remained about the same.D. been erratic, but over time has decreased.E. It is impossible to tell since Sarbanes-Oxley compliance does not involve direct cost to thefirm.23. Working capital management includes decisions concerning which of the following?I. accounts payableII. long-term debtIII. accounts receivableIV. inventoryA. I and II onlyB. I and III onlyC. II and IV onlyD. I, II, and III onlyE. I, III, and IV onlyDifficulty level: MediumTopic: WORKING CAPITAL MANAGEMENTType: CONCEPTS1-6Chapter 01 - Introduction to Corporate Finance24. Working capital management:A. ensures that sufficient equipment is available to produce the amount of product desired on adaily basis.B. ensures that long-term debt is acquired at the lowest possible cost.C. ensures that dividends are paid to all stockholders on an annual basis.D. balances the amount of company debt to the amount of available equity.E. is concerned with the upper portion of the balance sheet.Difficulty level: EasyTopic: WORKING CAPITAL MANAGEMENTType: CONCEPTS25. Which one of the following statements concerning a sole proprietorship is correct?A. A sole proprietorship is the least common form of business ownership.B. The profits of a sole proprietorship are taxed twice.C. The owners of a sole proprietorship share profits as established by the partnership agreement.D. The owner of a sole proprietorship may be forced to sell his/her personal assets to paycompany debts.E. A sole proprietorship is often structured as a limited liability company.Difficulty level: EasyTopic: SOLE PROPRIETORSHIPType: CONCEPTS26. Which one of the following statements concerning a sole proprietorship is correct?A. The life of the firm is limited to the life span of the owner.B. The owner can generally raise large sums of capital quite easily.C. The ownership of the firm is easy to transfer to another individual.D. The company must pay separate taxes from those paid by the owner.E. The legal costs to form a sole proprietorship are quite substantial.Difficulty level: EasyTopic: SOLE PROPRIETORSHIPType: CONCEPTS1-7Chapter 01 - Introduction to Corporate Finance27. Which one of the following best describes the primary advantage of being a limited partnerrather than a general partner?A. entitlement to a larger portion of the partnership's incomeB. ability to manage the day-to-day affairs of the businessC. no potential financial lossD. greater management responsibilityE. liability for firm debts limited to the capital investedDifficulty level: EasyTopic: PARTNERSHIPType: CONCEPTS28. A general partner:A. has less legal liability than a limited partner.B. has more management responsibility than a limited partner.C. faces double taxation whereas a limited partner does not.D. cannot lose more than the amount of his/her equity investment.E. is the term applied only to corporations which invest in partnerships.Difficulty level: EasyTopic: PARTNERSHIPType: CONCEPTS29. A partnership:A. is taxed the same as a corporation.B. agreement defines whether the business income will be taxed like a partnership or acorporation.C. terminates at the death of any general partner.D. has less of an ability to raise capital than a proprietorship.E. allows for easy transfer of interest from one general partner to another.Difficulty level: EasyTopic: PARTNERSHIPType: CONCEPTS1-8Chapter 01 - Introduction to Corporate Finance30. Which of the following are disadvantages of a partnership?I. limited life of the firmII. personal liability for firm debtIII. greater ability to raise capital than a sole proprietorshipIV. lack of ability to transfer partnership interestA. I and II onlyB. III and IV onlyC. II and III onlyD. I, II, and IV onlyE. I, III, and IV onlyDifficulty level: MediumTopic: PARTNERSHIPType: CONCEPTS31. Which of the following are advantages of the corporate form of business ownership?I. limited liability for firm debtII. double taxationIII. ability to raise capitalIV. unlimited firm lifeA. I and II onlyB. III and IV onlyC. I, II, and III onlyD. II, III, and IV onlyE. I, III, and IV onlyDifficulty level: MediumTopic: CORPORATIONType: CONCEPTS32. Which one of the following statements is correct concerning corporations?A. The largest firms are usually corporations.B. The majority of firms are corporations.C. The stockholders are usually the managers of a corporation.D. The ability of a corporation to raise capital is quite limited.E. The income of a corporation is taxed as personal income of the stockholders.Difficulty level: EasyTopic: CORPORATIONType: CONCEPTS1-9Chapter 01 - Introduction to Corporate Finance33. Which one of the following statements is correct?A. Both partnerships and corporations incur double taxation.B. Both sole proprietorships and partnerships are taxed in a similar fashion.C. Partnerships are the most complicated type of business to form.D. Both partnerships and corporations have limited liability for general partners and shareholders.E. All types of business formations have limited lives.Difficulty level: MediumTopic: BUSINESS TYPESType: CONCEPTS34. The articles of incorporation:A. can be used to remove company management.B. are amended annually by the company stockholders.C. set forth the number of shares of stock that can be issued.D. set forth the rules by which the corporation regulates its existence.E. can set forth the conditions under which the firm can avoid double taxation.35. The bylaws:A. establish the name of the corporation.B. are rules which apply only to limited liability companies.C. set forth the purpose of the firm.D. mandate the procedure for electing corporate directors.E. set forth the procedure by which the stockholders elect the senior managers of the firm.36. The owners of a limited liability company prefer:A. being taxed like a corporation.B. having liability exposure similar to that of a sole proprietor.C. being taxed personally on all business income.D. having liability exposure similar to that of a general partner.E. being taxed like a corporation with liability like a partnership.Difficulty level: MediumTopic: LIMITED LIABILITY COMPANYType: CONCEPTS1-10Chapter 01 - Introduction to Corporate Finance37. Which one of the following business types is best suited to raising large amounts ofcapital?A. sole proprietorshipB. limited liability companyC. corporationD. general partnershipE. limited partnershipDifficulty level: EasyTopic: CORPORATIONType: CONCEPTS38. Which type of business organization has all the respective rights and privileges ofa legalperson?A. sole proprietorshipB. general partnershipC. limited partnershipD. corporationE. limited liability companyDifficulty level: EasyTopic: CORPORATIONType: CONCEPTS39. Financial managers should strive to maximize the current value per share of the existingstock because:A. doing so guarantees the company will grow in size at the maximum possible rate.B. doing so increases the salaries of all the employees.C. the current stockholders are the owners of the corporation.D. doing so means the firm is growing in size faster than its competitors.E. the managers often receive shares of stock as part of their compensation.Difficulty level: EasyTopic: GOAL OF FINANC IAL MANAGEMENTType: CONCEPTS1-11Chapter 01 - Introduction to Corporate Finance40. The decisions made by financial managers should all be ones which increase the:A. size of the firm.B. growth rate of the firm.C. marketability of the managers.D. market value of the existing owners' equity.E. financial distress of the firm.Difficulty level: EasyTopic: GOAL OF FINANCIAL MANAGEMENTType: CONCEPTS41. Which one of the following actions by a financial manager creates an agency problem?A. refusing to borrow money when doing so will create losses for the firmB. refusing to lower selling prices if doing so will reduce the net profitsC. agreeing to expand the company at the expense of stockholders' valueD. agreeing to pay bonuses based on the book value of the company stockE. increasing current costs in order to increase the market value of the stockholders' equity42. Which of the following help convince managers to work in the best interest of the stockholders?I. compensation based on the value of the stockII. stock option plansIII. threat of a proxy fightIV. threat of conversion to a partnershipA. I and II onlyB. II and III onlyC. I, II and III onlyD. I and III onlyE. I, II, III, and IVDifficulty level: MediumTopic: AGENCY PROBLEMType: CONCEPTS1-12Chapter 01 - Introduction to Corporate Finance43. Which form of business structure faces the greatest agency problems?A. sole proprietorshipB. general partnershipC. limited partnershipD. corporationE. limited liability company44. A proxy fight occurs when:A. the board solicits renewal of current members.B. a group solicits proxies to replace the board of directors.C. a competitor offers to sell their ownership in the firm.D. the firm files for bankruptcy.E. the firm is declared insolvent.45. Which one of the following parties is considered a stakeholder of a firm?A. employeeB. short-term creditorC. long-term creditorD. preferred stockholderE. common stockholderDifficulty level: EasyTopic: STAKEHOLDERSType: CONCEPTS46. Which of the following are key requirements of the Sarbanes-Oxley Act?I. Officers of the corporation must review and sign annual reports.II. Officers of the corporation must now own more than 5% of the firm's stock. III. Annual reports must list deficiencies in internal controlsIV. Annual reports must be filed with the SEC within 30 days of year end.A. I onlyB. II onlyC. I and III onlyD. II and III onlyE. II and IV onlyDifficulty level: MediumTopic: SARBANES-OXLEYType: CONCEPTS1-13Chapter 01 - Introduction to Corporate Finance47. Insider trading is:A. legal.B. illegal.C. impossible to have in our efficient market.D. discouraged, but legal.E. list only the securities of the largest firms.48. Sole proprietorships are predominantly started because:A. they are easily and cheaply setup.B. the proprietorship life is limited to the business owner's life.C. all business taxes are paid as individual tax.D. All of the above.E. None of the above.Difficulty level: EasyTopic: SOLE PROPRIETORSHIPSType: CONCEPTS49. Managers are encouraged to act in shareholders' interests by:A. shareholder election of a board of directors who select management.B. the threat of a takeover by another firm.C. compensation contracts that tie compensation to corporate success.D. Both A and B.E. All of the above.Difficulty level: MediumTopic: GOVERNANCEType: CONCEPTS50. The Securities Exchange Act of 1934 focuses on:A. all stock transactions.B. sales of existing securities.C. issuance of new securities.D. insider trading.E. Federal Deposit Insurance Corporation (FDIC) insurance.Difficulty level: MediumTopic: REGULATIONType: CONCEPTS1-14Chapter 01 - Introduction to Corporate Finance51. The basic regulatory framework in the United States was provided by:A. the Securities Act of 1933.B. the Securities Exchange Act of 1934.C. the monetary system.D. A and B.E. All of the above.Difficulty level: MediumTopic: REGULATIONType: CONCEPTS52. The Securities Act of 1933 focuses on:A. all stock transactions.B. sales of existing securities.C. issuance of new securities.D. insider trading.E. Federal Deposit Insurance Corporation (FDIC) insurance.Difficulty level: EasyTopic: REGULATIONType: CONCEPTS53. In a limited partnership:A. each limited partner's liability is limited to his net worth.B. each limited partner's liability is limited to the amount he put into the partnership.C. each limited partner's liability is limited to his annual salary.D. there is no limitation on liability; only a limitation on what the partner can earn.E. None of the above.Difficulty level: EasyTopic: LIMITED PARTNERSHIPType: CONCEPTS1-15Chapter 01 - Introduction to Corporate Finance54. Accounting profits and cash flows are:A. generally the same since they reflect current laws and accounting standards.B. generally the same since accounting profits reflect when the cash flows are received.C. generally not the same since GAAP allows for revenue recognition separate from the receiptof cash flows.D. generally not the same because cash inflows occur before revenue recognition.E. Both c and d.1-16。
CFA一级财务考前押题及核心知识手册
FinancialReportingAnalysisCFA一级财务考前密押及核心知识手册(上)1-431. Other Information and SEC Filings开篇重要提示：没有明确说明都使用IFRS，仔细找说明；MD&A: 重大的不确定性, 站在management角度，Overview & ForecastProxy Statement●Voting●Potential interest conflict●CompensationFootnotes：●会计政策、会计估计、会计假设一般可以在Footnotes里找到；●需要Audit;●重要信息的补充说明：如折旧的年限和方法，Inventory的组成结构等；10‐K, 10‐Q, S‐1, 8‐K这些属于SEC filing文件，而Annual report指公司自己披露的年报，是面向投资者的，而不是SEC。
3-43Example以下文件哪个不属于SEC filings？（JCY原创习题）A.Form DEF‐14AB.Form S‐1C.Annual reportCorrect Answer：C●10‐K, 10‐Q, S‐1, 8‐K这些属于SEC filing文件，而Annual report指公司自己披露的年报，是面向投资者的，而不是SEC。
4-432. Audit and Audit Opinion四大Audit Opinion●Unqualified: clean●Qualified: exceptions●Adverse: material error●Disclaimer of opinion: unable to express an opinionAudit的作用: assure that financial information is presented fairly.Audit●并不能Fully assurance contain no error；●而是Reasonable assurance no material error;US GAAP, must present a comment on internal controls.（塞班斯法案）IOSCO: promoting cross‐border cooperation and uniformity in securities regulation5-43Example对于上市公司披露的财报而言，以下哪一个是IFRS下必须披露的？（JCY原创习题）A. FootnotesB.Management’s comment about future businessC.Internal control system的意见Correct answer: A●摘录自CFA协会官方教材原文：Notes comprising a summary of significantaccounting policies and other explanatory notes that disclose information requiredby IFRS and not presented elsewhere and that provide information relevant to anunderstanding of the financial statements.6-433. Accrual Basis四大权责发生制账户：会考描述或者定义●Accrued revenue: 货已发，钱未收到，但能确认收入；●Accrued expense: 货已收，还未付钱；●Unearned Revenue：预收的钱, 货还未发；●Prepaid Expense：预付的钱；Contra Account●Accounts receivable: contra account: allowance for bad debt expense, 可能会考计算●PP&E contra account: accumulated depreciation●Intangible asset: contra account: accumulated amortization●Common stock: Treasury stock7-43ExampleWhich of the following is least likely to reflect the cash movement?A.Prepaid expenseB.Unearned revenueC.Accrued expenseCorrect Answer: C●For prepaid expense, there is cash outflow; and for unearned revenue, there is cashinflow.●Accrued expense and unbilled revenue are not related to the cash movement.8-43Example以下哪一个不属于Contra Account? （JCY原创习题）A.Deprecation costB.Bad debt allowanceC.Valuation allowance for DTACorrect Answer: A●Deprecation cost属于利润表费用，而不是备抵账户，类似的案例还有Bad Debtexpense，也不属于备抵账户，Bad debt allowance才是。
公司理财第二版答案英文版
Company Financial Management Second Edition Answer (EnglishVersion)IntroductionIn this document, we present the answers to the questions and exercises in the second edition of the Company Financial Management textbook. This comprehensive guide aims to provide a better understanding of financial management principles and practices for companies.Chapter 1: Introduction to Financial ManagementQuestion 1: Define financial management and explain its significance for businesses.Financial management refers to the process of planning, organizing, controlling, and monitoring a company’s financial resources to achieve its goals and objectives. It involves making strategic financial decisions that optimize the use of funds and contribute to the long-term success of the business. Financial management is essential for businesses as it allows them to:•Allocate resources efficiently•Minimize financial risks•Maximize profitability and shareholder value•Make informed investment decisions•Ensure regulatory complianceQuestion 2: Describe the three primary areas of financial management.The three primary areas of financial management are:1.Capital Budgeting: This involves evaluating andselecting the best long-term investment opportunities that align with the company’s goa ls. It includes analyzing thepotential returns, risks, and cash flows associated with each investment project.2.Capital Structure: Capital structure refers to themix of debt and equity used to finance a company’soperations. Financial managers need to determine theoptimal capital structure that balances the cost of capitaland the risk of the business. This decision affects thecompany’s ability to raise funds and its overall financialstability.3.Working Capital Management: Working capitalmanagement focu ses on managing the company’s short-term assets and liabilities to ensure smooth businessoperations. It includes managing cash flow, inventory,accounts receivable, and accounts payable effectively tomaintain a healthy liquidity position.Question 3: Explain the goal of financial management.The goal of financial management is to maximize shareholder wealth or value. Financial managers aim to make decisions that increase the market value of the company’sshares and generate higher returns for shareholders. This objective is accomplished by making sound financial decisions, such as investing in profitable projects, optimizing the capital structure, and efficiently managing working capital.Chapter 2: Financial Statements and AnalysisExercise 1: Analyzing Financial StatementsUsing the financial statements for Company XYZ provided below, answer the following questions:Income Statement:Year 1Year 2Revenue$500,000$600,000Expenses$300,000$350,000Net Income$200,000$250,000Balance Sheet:Year 1Year 2Assets$800,000$900,000Liabilities$200,000$250,000Equity$600,000$650,000a)Calculate the net profit margin for Year 1 and Year 2.Solution:Net Profit Margin (Year 1) = Net Income (Year 1) / Revenue (Year 1) * 100 = $200,000 / $500,000 * 100 = 40%Net Profit Margin (Year 2) = Net Income (Year 2) / Revenue (Year 2) * 100 = $250,000 / $600,000 * 100 = 41.67%b)Determine the return on equity (ROE) for Year 1 andYear 2.Solution:Return on Equity (Year 1) = Net Income (Year 1) / Equity (Year 1) * 100 = $200,000 / $600,000 * 100 = 33.33%Return on Equity (Year 2) = Net Income (Year 2) / Equity (Year 2) * 100 = $250,000 / $650,000 * 100 = 38.46%c)Calculate the current ratio for Year 1 and Year 2.Solution:Current Ratio (Year 1) = Assets (Year 1) / Liabilities (Year 1) = $800,000 / $200,000 = 4Current Ratio (Year 2) = Assets (Year 2) / Liabilities (Year 2) = $900,000 / $250,000 = 3.6ConclusionIn this document, we provided the answers to selected questions and exercises from the second edition of the Company Financial Management textbook. These answers should help readers enhance their understanding of financial management principles and practices for companies. It is important to note that this document covers only a fraction of the content presented in the textbook and can be used as a supplementary resource for further study.。
《公司理财》课后答案(英文版,第六版).doc
Chapter 2: Accounting Statements and Cash Flow2.10AssetsCurrent assetsCash $ 4,000Accounts receivable 8,000Total current assets $ 12,000Fixed assetsMachinery $ 34,000Patents 82,000Total fixed assets $116,000Total assets $128,000Liabilities and equityCurrent liabilitiesAccounts payable $ 6,000Taxes payable 2,000Total current liabilities $ 8,000Long-term liabilitiesBonds payable $7,000Stockholders equityCommon stock ($100 par) $ 88,000Capital surplus 19,000Retained earnings 6,000Total stockholders equity $113,000Total liabilities and equity $128,0002.11One year ago TodayLong-term debt $50,000,000 $50,000,000Preferred stock 30,000,000 30,000,000Common stock 100,000,000 110,000,000Retained earnings 20,000,000 22,000,000Total $200,000,000 $212,000,0002.12Total Cash Flow ofthe Stancil CompanyCash flows from the firmCapital spending $(1,000)Additions to working capital (4,000)Total $(5,000)Cash flows to investors of the firmShort-term debt $(6,000)Long-term debt (20,000)Equity (Dividend - Financing) 21,000Total $(5,000)[Note: This table isn’t the Statement of Cash Flows, which is only covered in Appendix 2B, since the latter has th e change in cash (on the balance sheet) as a final entry.]2.13 a. The changes in net working capital can be computed from:Sources of net working capitalNet income $100Depreciation 50Increases in long-term debt 75Total sources $225Uses of net working capitalDividends $50Increases in fixed assets* 150Total uses $200Additions to net working capital $25*Includes $50 of depreciation.b.Cash flow from the firmOperating cash flow $150Capital spending (150)Additions to net working capital (25)Total $(25)Cash flow to the investorsDebt $(75)Equity 50Total $(25)Chapter 3: Financial Markets and Net Present Value: First Principles of Finance (Advanced)3.14 $120,000 - ($150,000 - $100,000) (1.1) = $65,0003.15 $40,000 + ($50,000 - $20,000) (1.12) = $73,6003.16 a. ($7 million + $3 million) (1.10) = $11.0 millionb.i. They could spend $10 million by borrowing $5 million today.ii. They will have to spend $5.5 million [= $11 million - ($5 million x 1.1)] at t=1.Chapter 4: Net Present Valuea. $1,000 ⨯ 1.0510 = $1,628.89b. $1,000 ⨯ 1.0710 = $1,967.15c. $1,000 ⨯ 1.0520 = $2,653.30d. Interest compounds on the interest already earned. Therefore, the interest earned inSince this bond has no interim coupon payments, its present value is simply the present value of the $1,000 that will be received in 25 years. Note: As will be discussed in the next chapter, the present value of the payments associated with a bond is the price of that bond.PV = $1,000 /1.125 = $92.30PV = $1,500,000 / 1.0827 = $187,780.23a. At a discount rate of zero, the future value and present value are always the same. Remember, FV =PV (1 + r) t. If r = 0, then the formula reduces to FV = PV. Therefore, the values of the options are $10,000 and $20,000, respectively. You should choose the second option.b. Option one: $10,000 / 1.1 = $9,090.91Option two: $20,000 / 1.15 = $12,418.43Choose the second option.c. Option one: $10,000 / 1.2 = $8,333.33Option two: $20,000 / 1.25 = $8,037.55Choose the first option.d. You are indifferent at the rate that equates the PVs of the two alternatives. You know that rate mustfall between 10% and 20% because the option you would choose differs at these rates. Let r be thediscount rate that makes you indifferent between the options.$10,000 / (1 + r) = $20,000 / (1 + r)5(1 + r)4 = $20,000 / $10,000 = 21 + r = 1.18921r = 0.18921 = 18.921%The $1,000 that you place in the account at the end of the first year will earn interest for six years. The $1,000 that you place in the account at the end of the second year will earn interest for five years, etc. Thus, the account will have a balance of$1,000 (1.12)6 + $1,000 (1.12)5 + $1,000 (1.12)4 + $1,000 (1.12)3= $6,714.61PV = $5,000,000 / 1.1210 = $1,609,866.18a. $1.000 (1.08)3 = $1,259.71b. $1,000 [1 + (0.08 / 2)]2 ⨯ 3 = $1,000 (1.04)6 = $1,265.32c. $1,000 [1 + (0.08 / 12)]12 ⨯ 3 = $1,000 (1.00667)36 = $1,270.24d. $1,000 e0.08 ⨯ 3 = $1,271.25e. The future value increases because of the compounding. The account is earning interest on interest. Essentially, the interest is added to the account balance at the e nd of every compounding period. During the next period, the account earns interest on the new balance. When the compounding period shortens, the balance that earns interest is rising faster.The price of the consol bond is the present value of the coupon payments. Apply the perpetuity formula to find the present value. PV = $120 / 0.15 = $800a. $1,000 / 0.1 = $10,000b. $500 / 0.1 = $5,000 is the value one year from now of the perpetual stream. Thus, the value of theperpetuity is $5,000 / 1.1 = $4,545.45.c. $2,420 / 0.1 = $24,200 is the value two years from now of the perpetual stream. Thus, the value of the perpetuity is $24,200 / 1.12 = $20,000.pply the NPV technique. Since the inflows are an annuity you can use the present value of an annuity factor.ANPV = -$6,200 + $1,200 81.0= -$6,200 + $1,200 (5.3349)= $201.88Yes, you should buy the asset.Use an annuity factor to compute the value two years from today of the twenty payments. Remember, the annuity formula gives you the value of the stream one year before the first payment. Hence, the annuity factor will give you the value at the end of year two of the stream of payments.A= $2,000 (9.8181)Value at the end of year two = $2,000 20.008= $19,636.20The present value is simply that amount discounted back two years.PV = $19,636.20 / 1.082 = $16,834.88The easiest way to do this problem is to use the annuity factor. The annuity factor must be equal to $12,800 / $2,000 = 6.4; remember PV =C A T r. The annuity factors are in the appendix to the text. To use the factor table to solve this problem, scan across the row labeled 10 years until you find 6.4. It is close to the factor for 9%, 6.4177. Thus, the rate you will receive on this note is slightly more than 9%.You can find a more precise answer by interpolating between nine and ten percent.[ 10% ⎤[6.1446 ⎤a ⎡r ⎥bc ⎡6.4 ⎪ d⎣9%⎦⎣6.4177 ⎦By interpolating, you are presuming that the ratio of a to b is equal to the ratio of c to d.(9 - r ) / (9 - 10) = (6.4177 - 6.4 ) / (6.4177 - 6.1446)r = 9.0648%The exact value could be obtained by solving the annuity formula for the interest rate. Sophisticated calculators can compute the rate directly as 9.0626%.[Note: A standard financial calculator’s TVM keys can solve for this rate. With annuity flows, the IRR key on “advanced” financial c alculators is unnecessary.]a. The annuity amount can be computed by first calculating the PV of the $25,000 which youThat amount is $17,824.65 [= $25,000 / 1.075]. Next compute the annuity which has the same present value.A$17,824.65 = C 507.0$17,824.65 = C (4.1002)C = $4,347.26Thus, putting $4,347.26 into the 7% account each year will provide $25,000 five years from today.b. The lump sum payment must be the present value of the $25,000, i.e., $25,000 / 1.075 =$17,824.65The formula for future value of any annuity can be used to solve the problem (see footnote 11 of the text).Option one: This cash flow is an annuity due. To value it, you must use the after-tax amounts. Theafter-tax payment is $160,000 (1 - 0.28) = $115,200. Value all except the first payment using the standard annuity formula, then add back the first payment of $115,200 to obtain the value of this option.AValue = $115,200 + $115,200 30.010= $115,200 + $115,200 (9.4269)= $1,201,178.88Option two: This option is valued similarly. You are able to have $446,000 now; this is already on an after-tax basis. You will receive an annuity of $101,055 for each of the next thirty years. Those payments are taxable when you receive them, so your after-tax payment is $72,759.60 [= $101,055 (1 - 0.28)].AValue = $446,000 + $72,759.60 30.010= $446,000 + $72,759.60 (9.4269)= $1,131,897.47Since option one has a higher PV, you should choose it.et r be the rate of interest you must earn.$10,000(1 + r)12 = $80,000(1 + r)12= 8r = 0.18921 = 18.921%First compute the present value of all the payments you must make for your children’s educati on. The value as of one year before matriculation of one child’s education isA= $21,000 (2.8550) = $59,955.$21,000 415.0This is the value of the elder child’s education fourteen years from now. It is the value of the younger child’s education sixteen years from today. The present value of these isPV = $59,955 / 1.1514 + $59,955 / 1.1516= $14,880.44You want to make fifteen equal payments into an account that yields 15% so that the present value of the equal payments is $14,880.44.A= $14,880.44 / 5.8474 = $2,544.80Payment = $14,880.44 / 15.015This problem applies the growing annuity formula. The first payment is$50,000(1.04)2(0.02) = $1,081.60.PV = $1,081.60 [1 / (0.08 - 0.04) - {1 / (0.08 - 0.04)}{1.04 / 1.08}40]= $21,064.28This is the present value of the payments, so the value forty years from today is$21,064.28 (1.0840) = $457,611.46se the discount factors to discount the individual cash flows. Then compute the NPV of the project. NoticeYou can still use the factor tables to compute their PV. Essentially, they form cash flows that are a six year annuity less a two year annuity. Thus, the appropriate annuity factor to use with them is 2.6198 (= 4.3553 - 1.7355).Year Cash Flow Factor PV0.9091 $636.371$70020.8264 743.769003 1,000 ⎤4 1,000 ⎥ 2.6198 2,619.805 1,000 ⎥6 1,000 ⎦7 1,250 0.5132 641.508 1,375 0.4665 641.44Total $5,282.87NPV = -$5,000 + $5,282.87= $282.87Purchase the machine.Chapter 5: How to Value Bonds and StocksThe amount of the semi-annual interest payment is $40 (=$1,000 ⨯ 0.08 / 2). There are a total of 40 periods;i.e., two half years in each of the twenty years in the term to maturity. The annuity factor tables can be usedto price these bonds. The appropriate discount rate to use is the semi-annual rate. That rate is simply the annual rate divided by two. Thus, for part b the rate to be used is 5% and for part c is it 3%.A+F/(1+r)40PV=C Tra. $40 (19.7928) + $1,000 / 1.0440 = $1,000Notice that whenever the coupon rate and the market rate are the same, the bond is priced at par.b. $40 (17.1591) + $1,000 / 1.0540 = $828.41Notice that whenever the coupon rate is below the market rate, the bond is priced below par.c. $40 (23.1148) + $1,000 / 1.0340 = $1,231.15Notice that whenever the coupon rate is above the market rate, the bond is priced above par.a. The semi-annual interest rate is $60 / $1,000 = 0.06. Thus, the effective annual rate is 1.062 - 1 =0.1236 = 12.36%.A+ $1,000 / 1.0612b. Price = $30 12.006= $748.48A+ $1,000 / 1.0412c. Price = $30 1204.0= $906.15Note: In parts b and c we are implicitly assuming that the yield curve is flat. That is, the yield in year 5applies for year 6 as well.rice = $2 (0.72) / 1.15 + $4 (0.72) / 1.152 + $50 / 1.153= $36.31The number of shares you own = $100,000 / $36.31 = 2,754 sharesPrice = $1.15 (1.18) / 1.12 + $1.15 (1.182) / 1.122 + $1.152 (1.182) / 1.123+ {$1.152 (1.182)(1.06) / (0.12 - 0.06)} / 1.123= $26.95[Insert before last sentence of question: Assume that dividends are a fixed proportion of earnings.] Dividend one year from now = $5 (1 - 0.10) = $4.50Price = $5 + $4.50 / {0.14 - (-0.10)}= $23.75Since the current $5 dividend has not yet been paid, it is still included in the stock price.Chapter 6: Some Alternative Investment Rulesa. Payback period of Project A = 1 + ($7,500 - $4,000) / $3,500 = 2 yearsPayback period of Project B = 2 + ($5,000 - $2,500 -$1,200) / $3,000 = 2.43 yearsProject A should be chosen.b. NPV A = -$7,500 + $4,000 / 1.15 + $3,500 / 1.152 + $1,500 / 1.153 = -$388.96NPV B = -$5,000 + $2,500 / 1.15 + $1,200 / 1.152 + $3,000 / 1.153 = $53.83Project B should be chosen.a. Average Investment:($16,000 + $12,000 + $8,000 + $4,000 + 0) / 5 = $8,000Average accounting return:$4,500 / $8,000 = 0.5625 = 56.25%b. 1. AAR does not consider the timing of the cash flows, hence it does not consider the timevalue of money.2. AAR uses an arbitrary firm standard as the decision rule.3. AAR uses accounting data rather than net cash flows.aAverage Investment = (8000 + 4000 + 1500 + 0)/4 = 3375.00Average Net Income = 2000(1-0.75) = 1500=> AAR = 1500/3375=44.44%a. Solve x by trial and error:-$8,000 + $4,000 / (1 + x) + $3000 / (1 + x)2 + $2,000 / (1 + x)3 = 0x = 6.93%b. No, since the IRR (6.93%) is less than the discount rate of 8%.Alternatively, the NPV @ a discount rate of 0.08 = -$136.62.a. Solve r in the equation:$5,000 - $2,500 / (1 + r) - $2,000 / (1 + r)2 - $1,000 / (1 + r)3- $1,000 / (1 + r)4 = 0By trial and error,IRR = r = 13.99%b. Since this problem is the case of financing, accept the project if the IRR is less than the required rate of return.IRR = 13.99% > 10%Reject the offer.c. IRR = 13.99% < 20%Accept the offer.d. When r = 10%:NPV = $5,000 - $2,500 / 1.1 - $2,000 / 1.12 - $1,000 / 1.13 - $1,000 / 1.14When r = 20%:NPV = $5,000 - $2,500 / 1.2 - $2,000 / 1.22 - $1,000 / 1.23 - $1,000 / 1.24= $466.82Yes, they are consistent with the choices of the IRR rule since the signs of the cash flows change only once.A/ $160,000 = 1.04PI = $40,000 715.0Since the PI exceeds one accept the project.Chapter 7: Net Present Value and Capital BudgetingSince there is uncertainty surrounding the bonus payments, which McRae might receive, you must use the expected value of McRae’s bonuses in the computation of the PV of his contract. McRae’s salary plus the expected value of his bonuses in years one through three is$250,000 + 0.6 ⨯ $75,000 + 0.4 ⨯ $0 = $295,000.Thus the total PV of his three-year contract isPV = $400,000 + $295,000 [(1 - 1 / 1.12363) / 0.1236]+ {$125,000 / 1.12363} [(1 - 1 / 1.123610 / 0.1236]= $1,594,825.68EPS = $800,000 / 200,000 = $4NPVGO = (-$400,000 + $1,000,000) / 200,000 = $3Price = EPS / r + NPVGO= $4 / 0.12 + $3=$36.33Year 0 Year 1 Year 2 Year 3 Year 4 Year 51. Annual Salary$120,000 $120,000 $120,000 $120,000 $120,000 Savings2. Depreciation 100,000 160,000 96,000 57,600 57,6003. Taxable Income 20,000 -40,000 24,000 62,400 62,4004. Taxes 6,800 -13,600 8,160 21,216 21,2165. Operating Cash Flow113,200 133,600 111,840 98,784 98,784 (line 1-4)$100,000 -100,0006. ∆ Net workingcapital7. Investment $500,000 75,792*8. Total Cash Flow -$400,000 $113,200 $133,600 $111,840 $98,784 $74,576*75,792 = $100,000 - 0.34 ($100,000 - $28,800)NPV = -$400,000+ $113,200 / 1.12 + $133,600 / 1.122 + $111,840 / 1.123+ $98,784 / 1.124 + $74,576 / 1.125= -$7,722.52Real interest rate = (1.15 / 1.04) - 1 = 10.58%NPV A = -$40,000+ $20,000 / 1.1058 + $15,000 / 1.10582 + $15,000 / 1.10583= $1,446.76NPV B = -$50,000+ $10,000 / 1.15 + $20,000 / 1.152 + $40,000 / 1.153= $119.17Choose project A.PV = $120,000 / {0.11 - (-0.06)}t = 0 t = 1 t = 2 t = 3 t = 4 t = 5 t = 6 ...$12,000 $6,000 $6,000 $6,000$4,000$12,000 $6,000 $6,000 ...The present value of one cycle is:A+ $4,000 / 1.064PV = $12,000 + $6,000 306.0= $12,000 + $6,000 (2.6730) + $4,000 / 1.064= $31,206.37The cycle is four years long, so use a four year annuity factor to compute the equivalent annual cost (EAC).AEAC = $31,206.37 / 406.0= $31,206.37 / 3.4651= $9,006The present value of such a stream in perpetuity is$9,006 / 0.06 = $150,100o evaluate the word processors, compute their equivalent annual costs (EAC).BangAPV(costs) = (10 ⨯ $8,000) + (10 ⨯ $2,000) 414.0= $80,000 + $20,000 (2.9137)= $138,274EAC = $138,274 / 2.9137= $47,456IOUAPV(costs) = (11 ⨯ $5,000) + (11 ⨯ $2,500) 3.014- (11 ⨯ $500) / 1.143= $55,000 + $27,500 (2.3216) - $5,500 / 1.143= $115,132EAC = $115,132 / 2.3216= $49,592BYO should purchase the Bang word processors.Chapter 8: Strategy and Analysis in Using Net Present ValueThe accounting break-even= (120,000 + 20,000) / (1,500 - 1,100)= 350 units. The accounting break-even= 340,000 / (2.00 - 0.72)= 265,625 abalonesb. [($2.00 ⨯ 300,000) - (340,000 + 0.72 ⨯ 300,000)] (0.65)= $28,600This is the after tax profit.Chapter 9: Capital Market Theory: An Overviewa. Capital gains = $38 - $37 = $1 per shareb. Total dollar returns = Dividends + Capital Gains = $1,000 + ($1*500) = $1,500 On a per share basis, this calculation is $2 + $1 = $3 per sharec. On a per share basis, $3/$37 = 0.0811 = 8.11% On a total dollar basis, $1,500/(500*$37) = 0.0811 = 8.11%d. No, you do not need to sell the shares to include the capital gains in the computation of the returns. The capital gain is included whether or not you realize the gain. Since you could realize the gain if you choose, you should include it.The expected holding period return is:()[]%865.1515865.052$/52$75.54$50.5$==-+There appears to be a lack of clarity about the meaning of holding period returns. The method used in the answer to this question is the one used in Section 9.1. However, the correspondence is not exact, because in this question, unlike Section 9.1, there are cash flows within the holding period. The answer above ignores the dividend paid in the first year. Although the answer above technically conforms to the eqn at the bottom of Fig. 9.2, the presence of intermediate cash flows that aren’t accounted for renders th is measure questionable, at best. There is no similar example in the body of the text, and I have never seen holding period returns calculated in this way before.Although not discussed in this book, there are two generally accepted methods of computing holding period returns in the presence of intermediate cash flows. First, the time weighted return calculates averages (geometric or arithmetic) of returns between cash flows. Unfortunately, that method can’t be used here, because we are not given the va lue of the stock at the end of year one. Second, the dollar weighted measure calculates the internal rate of return over the entire holding period. Theoretically, that method can be applied here, as follows: 0 = -52 + 5.50/(1+r) + 60.25/(1+r)2 => r = 0.1306.This produces a two year holding period return of (1.1306)2 – 1 = 0.2782. Unfortunately, this book does not teach the dollar weighted method.In order to salvage this question in a financially meaningful way, you would need the value of the stock at the end of one year. Then an illustration of the correct use of the time-weighted return would be appropriate. A complicating factor is that, while Section 9.2 illustrates the holding period return using the geometric return for historical data, the arithmetic return is more appropriate for expected future returns.E(R) = T-Bill rate + Average Excess Return = 6.2% + (13.0% -3.8%) = 15.4%. Common Treasury Realized Stocks Bills Risk Premium -7 32.4% 11.2% 21.2%-6 -4.9 14.7 -19.6-5 21.4 10.5 10.9 -4 22.5 8.8 13.7 -3 6.3 9.9 -3.6 -2 32.2 7.7 24.5 Last 18.5 6.2 12.3 b. The average risk premium is 8.49%.49.873.125.246.37.139.106.192.21=++-++- c. Yes, it is possible for the observed risk premium to be negative. This can happen in any single year. The.b.Standard deviation = 03311.0001096.0=.b.Standard deviation = = 0.03137 = 3.137%.b.Chapter 10: Return and Risk: The Capital-Asset-Pricing Model (CAPM)a. = 0.1 (– 4.5%) + 0.2 (4.4%) + 0.5 (12.0%) + 0.2 (20.7%) = 10.57%b.σ2 = 0.1 (–0.045 – 0.1057)2 + 0.2 (0.044 – 0.1057)2 + 0.5 (0.12 – 0.1057)2+ 0.2 (0.207 – 0.1057)2 = 0.0052σ = (0.0052)1/2 = 0.072 = 7.20%Holdings of Atlas stock = 120 ⨯ $50 = $6,000 ⨯ $20 = $3,000Weight of Atlas stock = $6,000 / $9,000 = 2 / 3Weight of Babcock stock = $3,000 / $9,000 = 1 / 3a. = 0.3 (0.12) + 0.7 (0.18) = 0.162 = 16.2%σP 2= 0.32 (0.09)2 + 0.72 (0.25)2 + 2 (0.3) (0.7) (0.09) (0.25) (0.2)= 0.033244σP= (0.033244)1/2 = 0.1823 = 18.23%a.State Return on A Return on B Probability1 15% 35% 0.4 ⨯ 0.5 = 0.22 15% -5% 0.4 ⨯ 0.5 = 0.23 10% 35% 0.6 ⨯ 0.5 = 0.34 10% -5% 0.6 ⨯ 0.5 = 0.3b. = 0.2 [0.5 (0.15) + 0.5 (0.35)] + 0.2[0.5 (0.15) + 0.5 (-0.05)]+ 0.3 [0.5 (0.10) + 0.5 (0.35)] + 0.3 [0.5 (0.10) + 0.5 (-0.05)]= 0.135= 13.5%Note: The solution to this problem requires calculus.Specifically, the solution is found by minimizing a function subject to a constraint. Calculus ability is not necessary to understand the principles behind a minimum variance portfolio.Min { X A2 σA2 + X B2σB2+ 2 X A X B Cov(R A , R B)}subject to X A + X B = 1Let X A = 1 - X B. Then,Min {(1 - X B)2σA2 + X B2σB2+ 2(1 - X B) X B Cov (R A, R B)}Take a derivative with respect to X B.d{∙} / dX B = (2 X B - 2) σA2+ 2 X B σB2 + 2 Cov(R A, R B) - 4 X B Cov(R A, R B)Set the derivative equal to zero, cancel the common 2 and solve for X B.X BσA2- σA2+ X B σB2 + Cov(R A, R B) - 2 X B Cov(R A, R B) = 0X B = {σA2 - Cov(R A, R B)} / {σA2+ σB2 - 2 Cov(R A, R B)}andX A = {σB2 - Cov(R A, R B)} / {σA2+ σB2 - 2 Cov(R A, R B)}Using the data from the problem yields,X A = 0.8125 andX B = 0.1875.a. Using the weights calculated above, the expected return on the minimum variance portfolio isE(R P) = 0.8125 E(R A) + 0.1875 E(R B)= 0.8125 (5%) + 0.1875 (10%)= 5.9375%b. Using the formula derived above, the weights areX A = 2 / 3 andX B = 1 / 3c. The variance of this portfolio is zero.σP 2= X A2 σA2 + X B2σB2+ 2 X A X B Cov(R A , R B)= (4 / 9) (0.01) + (1 / 9) (0.04) + 2 (2 / 3) (1 / 3) (-0.02)= 0This demonstrates that assets can be combined to form a risk-free portfolio.14.2%= 3.7%+β(7.5%) ⇒β = 1.40.25 = R f + 1.4 [R M– R f] (I)0.14 = R f + 0.7 [R M– R f] (II)(I) – (II)=0.11 = 0.7 [R M– R f] (III)[R M– R f ]= 0.1571Put (III) into (I) 0.25 = R f + 1.4[0.1571]R f = 3%[R M– R f ]= 0.1571R M = 0.1571 + 0.03= 18.71%a. = 4.9% + βi (9.4%)βD= Cov(R D, R M) / σM 2 = 0.0635 / 0.04326 = 1.468= 4.9 + 1.468 (9.4) = 18.70%Weights:X A = 5 / 30 = 0.1667X B = 10 / 30 = 0.3333X C = 8 / 30 = 0.2667X D = 1 - X A - X B - X C = 0.2333Beta of portfolio= 0.1667 (0.75) + 0.3333 (1.10) + 0.2667 (1.36) + 0.2333 (1.88)= 1.293= 4 + 1.293 (15 - 4) = 18.22%a. (i) βA= ρA,MσA / σMρA,M= βA σM / σA= (0.9) (0.10) / 0.12= 0.75(ii) σB= βB σM / ρB,M= (1.10) (0.10) / 0.40= 0.275(iii) βC= ρC,MσC / σM= (0.75) (0.24) / 0.10= 1.80(iv) ρM,M= 1(v) βM= 1(vi) σf= 0(vii) ρf,M= 0(viii) βf= 0b. SML:E(R i) = R f + βi {E(R M) - R f}= 0.05 + (0.10) βiSecurity βi E(R i)A 0.13 0.90 0.14B 0.16 1.10 0.16C 0.25 1.80 0.23Security A performed worse than the market, while security C performed better than the market.Security B is fairly priced.c. According to the SML, security A is overpriced while security C is under-priced. Thus, you could invest in security C while sell security A (if you currently hold it).a. The typical risk-averse investor seeks high returns and low risks. To assess thetwo stocks, find theReturns:State of economy ProbabilityReturn on A*Recession 0.1 -0.20 Normal 0.8 0.10 Expansion0.10.20* Since security A pays no dividend, the return on A is simply (P 1 / P 0) - 1. = 0.1 (-0.20) + 0.8 (0.10) + 0.1 (0.20) = 0.08 = 0.09 This was given in the problem.Risk:R A - (R A -)2 P ⨯ (R A -)2 -0.28 0.0784 0.00784 0.02 0.0004 0.00032 0.12 0.0144 0.00144 Variance 0.00960Standard deviation (R A ) = 0.0980βA = {Corr(R A , R M ) σ(R A )} / σ(R M ) = 0.8 (0.0980) / 0.10= 0.784βB = {Corr(R B , R M ) σ(R B )} / σ(R M ) = 0.2 (0.12) / 0.10= 0.24The return on stock B is higher than the return on stock A. The risk of stock B, as measured by itsbeta, is lower than the risk of A. Thus, a typical risk-averse investor will prefer stock B.b. = (0.7) + (0.3) = (0.7) (0.8) + (0.3) (0.09) = 0.083σP 2= 0.72 σA 2 + 0.32 σB 2 + 2 (0.7) (0.3) Corr (R A , R B ) σA σB = (0.49) (0.0096) + (0.09) (0.0144) + (0.42) (0.6) (0.0980) (0.12) = 0.0089635 σP = = 0.0947 c. The beta of a portfolio is the weighted average of the betas of the components of the portfolio. βP = (0.7) βA + (0.3) βB = (0.7) (0.784) + (0.3) (0.240) = 0.621Chapter 11:An Alternative View of Risk and Return: The Arbitrage Pricing Theorya. Stock A:()()R R R R R A A A m m Am A=+-+=+-+βεε105%12142%...Stock B:()()R R R R R B B m m Bm B=+-+=+-+βεε130%098142%...Stock C:()R R R R R C C C m m Cm C=+-+=+-+βεε157%137142%)..(.b.()[]()[]()[]()()()()()()[]()()CB A m cB A m c m B m A m CB A P 25.045.030.0%2.14R 1435.1%925.1225.045.030.0%2.14R 37.125.098.045.02.130.0%7.1525.0%1345.0%5.1030.0%2.14R 37.1%7.1525.0%2.14R 98.0%0.1345.0%2.14R 2.1%5.1030.0R 25.0R 45.0R 30.0R ε+ε+ε+-+=ε+ε+ε+-+++++=ε+-++ε+-++ε+-+=++= c.i.()R R R A B C =+-==+-==+-=105%1215%142%)1113%09815%142%)137%157%13715%142%168%..(..46%.(......ii.R P =+-=12925%1143515%142%)138398%..(..To determine which investment investor would prefer, you must compute the variance of portfolios created bymany stocks from either market. Note, because you know that diversification is good, it is reasonable to assume that once an investor chose the market in which he or she will invest, he or she will buy many stocks in that market.Known:E EF ====001002 and and for all i.i σσεε..Assume: The weight of each stock is 1/N; that is, X N i =1/for all i.If a portfolio is composed of N stocks each forming 1/N proportion of the portfolio, the return on the portfolio is 1/N times the sum of the returns on the N stocks. Recall that the return on each stock is 0.1+βF+ε.()()()()()()[]()()()()()()()[]()[]()[]()()[]()()()()()j i 2j i 22j i i 2222222222P P P P iP ,0.04Corr 0.01,Cov s =isvariance the ,N as limit In the ,Cov 1/N 1s 1/N s )(1/N 1/N F 2F E 1/N F E 0.10.1/N F 0.1E R E R E R Var 0.101/N 00.1E 1/N F E 0.11/N F 0.1E R E 1/N F 0.1F 0.1(1/N)R 1/N R εε+β=εε+β∞⇒εε-+ε+β=ε∑+εβ+β=ε+β=-ε+β+=-==+β+=ε+β+=ε∑+β+=ε+β+=ε+β+==∑∑∑∑∑∑∑∑()()()()()()Thus,F R f E R E R Var R Corr Var R Corr ii ip P p i j PijR 1i =++=++===+=+010*********002250040002500412212111222.........,,εεεεεεa.()()()()Corr Corr Var R Var R i j i j p pεεεε112212000225000225,,..====Since Var ()()R p 1 Var R 2p 〉, a risk averse investor will prefer to invest in the second market.b. Corr ()()εεεε112090i j j ,.,== and Corr 2i()()Var R Var R pp120058500025==..。
HEDGE FUND
1966
• Fortune雜誌刊登一篇由Carol Loomis撰寫的「The Fortune雜誌刊登一篇由Carol Loomis撰寫的 撰寫的「 雜誌刊登一篇由 With」，描寫Jones 」，描寫 Jones Nobody Keeps Up With」，描寫Jones hedge fund 績效超越同期的所有共同基金， 績效超越同期的所有共同基金，比過去五年表現最佳的共 同基金多出44% 比過去十年表現最佳的共同基金多出87% 44%， 同基金多出44%，比過去十年表現最佳的共同基金多出87%
1980
1990~2004
• 在九○年代後期避險基金因國際炒手索羅斯突擊英鎊、泰 在九○年代後期避險基金因國際炒手索羅斯突擊英鎊、 港幣，讓一般普羅投資大眾見識到避險基金的能耐。 銖、港幣，讓一般普羅投資大眾見識到避險基金的能耐。 • 避險基金如雨後春筍冒出
16
Hedge Fund Assets vs. Number of Hedge Funds
7
39.8% 30.3% 23.5% 0.6% -4.9% -14.2%
© 2003 by Van Hedge Fund Advisors International, LLC and/or its licensors, Nashville, TN, USA. Please see Explanatory Notes under Legal Considerations section. 2 U.S. hedge funds have been used as proxy for the universe.
23
避險基金策略避險基金策略-1.Directional Strategy 新興市場 Emerging Markets
CFA一级模考
CFA一级模考题1 . The fee structure of a hedge fund may lead to biases in performance data because:A)fund managers have incentives to take big risks if past performance has been poor.B) hedge fund managers are not required to disclose information regarding fee structures.C) hedge fund managers charge higher fees than managers of traditional funds.A was correct!Hedge fund managers have the potential to earn more than managers of traditional funds, but this does not bias performance data. Hedge fund managers typically receive a modest base fee (1%) and then a large incentive fee based upon performance. If past performance hasbeen poor, then fund managers feel they have “nothing to lose” and may invest moreaggressively.2.Which of the following statements regarding hedge fund performance is FALSE?A) Hedge funds have demonstrated a lower risk profile than traditional equity investments.B) The Sharpe ratio for hedge funds has been consistently higher than for most traditionalequity investments.C)Hedge funds have historically underperformed the S& 500.C was correct!Hedge funds have demonstrated a lower risk profile than equities when measured by standard deviation. The Sharpe ratio, which is a reward-to-risk ratio, has been higher for hedge funds than for equities. Hedge funds have historically outperformed the S& 500.3.Biases in hedge fund performance measurement are least likely to include:A) correlation bias.B) incomplete historical data.C) smoothed pricing.A was correct!The six most common biases present in hedge funds are:●“Cherry Picking” by managers.●Incomplete historical data.●Survival of the fittest.●Smoothed pricing.●Asymmetrical returns.●Fee structures and incentives.4 .Which of the following statements regarding survivorship bias in hedge funds is mostaccurate? Survivorship bias tends to:A) overstate both the performance and volatility of hedge funds.B) understate the performance and overstate the volatility of hedge funds.C) overstate the performance and understate the volatility of hedge funds.C was correct!Survivorship bias exists because only the successful hedge funds submit performance data, thus overstating performance when the index is considered to be representative of the entire hedge fund population. Likewise, stable funds tend to succeed, while more volatile fundstend to go out of business, causing the database to tend to understate volatility for hedgefunds as an asset class.5 .Survivorship bias is acute with hedge fund databases because hedge:A) funds experience higher volatility of returns than traditional investments.B) funds are more highly leveraged than other asset classes.C)fund managers often do not have to comply with performance presentation standards.C was correct!The main reason behind the survivorship bias problem in hedge fund reporting is that hedge funds are exempt from most SEC regulations, including performance presentation standards. This lack of standards leads to many inconsistencies in reporting that are not present in other asset classes.。
罗斯公司理财Chap002全英文题库及答案
罗斯公司理财Chap002全英文题库及答案Chapter 02 Financial Statements and Cash Flow Answer Key Multiple Choice Questions1. The financial statement showing a firm's accounting value on a particular date is the:A. income statement.B. balance sheet.C. statement of cash flows.D. tax reconciliation statement.E. shareholders' equity sheet.Difficulty level: EasyTopic: BALANCE SHEETType: DEFINITIONS2. A current asset is:A. an item currently owned by the firm.B. an item that the firm expects to own within the next year.C. an item currently owned by the firm that will convert to cash within the next 12 months.D. the amount of cash on hand the firm currently shows on its balance sheet.E. the market value of all items currently owned by the firm.Difficulty level: EasyTopic: CURRENT ASSETSType: DEFINITIONS3. The long-term debts of a firm are liabilities:A. that come due within the next 12 months.B. that do not come due for at least 12 months.C. owed to the firm's suppliers.D. owed to the firm's shareholders.E. the firm expects to incur within the next 12 months.Difficulty level: EasyTopic: LONG-TERM DEBTType: DEFINITIONS4. Net working capital is defined as:A. total liabilities minus shareholders' equity.B. current liabilities minus shareholders' equity.C. fixed assets minus long-term liabilities.D. total assets minus total liabilities.E. current assets minus current liabilities.Difficulty level: EasyTopic: NET WORKING CAPITALType: DEFINITIONS5. A(n) ____ asset is one which can be quickly converted into cash without significant loss in value.A. currentB. fixedC. intangibleD. liquidE. long-termDifficulty level: EasyTopic: LIQUID ASSETSType: DEFINITIONS6. The financial statement summarizing a firm's accounting performance over a period of time is the:A. income statement.B. balance sheet.C. statement of cash flows.D. tax reconciliation statement.E. shareholders' equity sheet.Difficulty level: EasyTopic: INCOME STATEMENTType: DEFINITIONS7. Noncash items refer to:A. the credit sales of a firm.B. the accounts payable of a firm.C. the costs incurred for the purchase of intangible fixed assets.D. expenses charged against revenues that do not directly affect cash flow.E. all accounts on the balance sheet other than cash on hand.Difficulty level: EasyTopic: NONCASH ITEMSType: DEFINITIONS8. Your _____ tax rate is the amount of tax payable on the next taxable dollar you earn.A. deductibleB. residualC. totalD. averageE. marginalDifficulty level: EasyTopic: MARGINAL TAX RATESType: DEFINITIONS9. Your _____ tax rate is the total taxes you pay divided by your taxable income.A. deductibleB. residualC. totalD. averageE. marginalDifficulty level: EasyTopic: AVERAGE TAX RATESType: DEFINITIONS10. _____ refers to the cash flow that results from the firm's ongoing, normal business activities.A. Cash flow from operating activitiesB. Capital spendingC. Net working capitalD. Cash flow from assetsE. Cash flow to creditorsDifficulty level: MediumTopic: CASH FLOW FROM OPERATING ACTIVITIESType: DEFINITIONS11. _____ refers to the changes in net capital assets.A. Operating cash flowB. Cash flow from investingC. Net working capitalD. Cash flow from assetsE. Cash flow to creditorsDifficulty level: MediumTopic: CASH FLOW FROM INVESTINGType: DEFINITIONS12. _____ refers to the difference between a firm's current assets and its current liabilities.A. Operating cash flowB. Capital spendingC. Net working capitalD. Cash flow from assetsE. Cash flow to creditorsDifficulty level: EasyTopic: NET WORKING CAPITALType: DEFINITIONS13. _____ is calculated by adding back noncash expenses to net income and adjusting for changes in current assets and liabilities.A. Operating cash flowB. Capital spendingC. Net working capitalD. Cash flow from operationsE. Cash flow to creditorsDifficulty level: MediumTopic: CASH FLOW FROM OPERATIONSType: DEFINITIONS14. _____ refers to the firm's interest payments less any net new borrowing.A. Operating cash flowB. Capital spendingC. Net working capitalD. Cash flow from shareholdersE. Cash flow to creditorsDifficulty level: MediumTopic: CASH FLOW TO CREDITORSType: DEFINITIONS15. _____ refers to the firm's dividend payments less any net new equity raised.A. Operating cash flowB. Capital spendingC. Net working capitalD. Cash flow from creditorsE. Cash flow to stockholdersDifficulty level: MediumTopic: CASH FLOW TO STOCKHOLDERSType: DEFINITIONS16. Earnings per share is equal to:A. net income divided by the total number of shares outstanding.B. net income divided by the par value of the common stock.C. gross income multiplied by the par value of the common stock.D. operating income divided by the par value of the common stock.E. net income divided by total shareholders' equity.Difficulty level: MediumTopic: EARNINGS PER SHAREType: DEFINITIONS17. Dividends per share is equal to dividends paid:A. divided by the par value of common stock.B. divided by the total number of shares outstanding.C. divided by total shareholders' equity.D. multiplied by the par value of the common stock.E. multiplied by the total number of shares outstanding.Difficulty level: MediumTopic: DIVIDENDS PER SHAREType: DEFINITIONS18. Which of the following are included in current assets?I. equipmentII. inventoryIII. accounts payableIV. cashA. II and IV onlyB. I and III onlyC. I, II, and IV onlyD. III and IV onlyE. II, III, and IV onlyDifficulty level: MediumTopic: CURRENT ASSETSType: CONCEPTS19. Which of the following are included in current liabilities?I. note payable to a supplier in eighteen monthsII. debt payable to a mortgage company in nine monthsIII. accounts payable to suppliersIV. loan payable to the bank in fourteen monthsA. I and III onlyB. II and III onlyC. III and IV onlyD. II, III, and IV onlyE. I, II, and III onlyDifficulty level: MediumTopic: CURRENT LIABILITIESType: CONCEPTS20. An increase in total assets:A. means that net working capital is also increasing.B. requires an investment in fixed assets.C. means that shareholders' equity must also increase.D. must be offset by an equal increase in liabilities and shareholders' equity.E. can only occur when a firm has positive net income.Difficulty level: MediumTopic: BALANCE SHEETType: CONCEPTS21. Which one of the following assets is generally the most liquid?A. inventoryB. buildingsC. accounts receivableD. equipmentE. patentsDifficulty level: MediumTopic: LIQUIDITYType: CONCEPTS22. Which one of the following statements concerning liquidity is correct?A. If you sold an asset today, it was a liquid asset.B. If you can sell an asset next year at a price equal to its actual value, the asset is highly liquid.C. Trademarks and patents are highly liquid.D. The less liquidity a firm has, the lower the probability the firm will encounter financial difficulties.E. Balance sheet accounts are listed in order of decreasing liquidity.Difficulty level: MediumTopic: LIQUIDITYType: CONCEPTS23. Liquidity is:A. a measure of the use of debt in a firm's capital structure.B. equal to current assets minus current liabilities.C. equal to the market value of a firm's total assets minus its current liabilities.D. valuable to a firm even though liquid assets tend to be lessprofitable to own.E. generally associated with intangible assets.Difficulty level: MediumTopic: LIQUIDITYType: CONCEPTS24. Which of the following accounts are included in shareholders' equity?I. interest paidII. retained earningsIII. capital surplusIV. long-term debtA. I and II onlyB. II and IV onlyC. I and IV onlyD. II and III onlyE. I and III onlyDifficulty level: MediumTopic: SHAREHOLDERS' EQUITYType: CONCEPTS25. Book value:A. is equivalent to market value for firms with fixed assets.B. is based on historical cost.C. generally tends to exceed market value when fixed assets are included.D. is more of a financial than an accounting valuation.E. is adjusted to market value whenever the market value exceeds the stated book value. Difficulty level: Medium Topic: BOOK VALUEType: CONCEPTS26. When making financial decisions related to assets, youshould:A. always consider market values.B. place more emphasis on book values than on market values.C. rely primarily on the value of assets as shown on the balance sheet.D. place primary emphasis on historical costs.E. only consider market values if they are less than book values.Difficulty level: MediumTopic: MARKET VALUEType: CONCEPTS27. As seen on an income statement:A. interest is deducted from income and increases the total taxes incurred.B. the tax rate is applied to the earnings before interest and taxes when the firm has both depreciation and interest expenses.C. depreciation is shown as an expense but does not affect the taxes payable.D. depreciation reduces both the pretax income and the net income.E. interest expense is added to earnings before interest and taxes to get pretax income. Difficulty level: MediumTopic: INCOME STATEMENTType: CONCEPTS28. The earnings per share will:A. increase as net income increases.B. increase as the number of shares outstanding increase.C. decrease as the total revenue of the firm increases.D. increase as the tax rate increases.E. decrease as the costs decrease.Difficulty level: MediumTopic: EARNINGS PER SHAREType: CONCEPTS29. Dividends per share:A. increase as the net income increases as long as the number of shares outstanding remains constant.B. decrease as the number of shares outstanding decrease, all else constant.C. are inversely related to the earnings per share.D. are based upon the dividend requirements established by Generally Accepted Accounting Procedures.E. are equal to the amount of net income distributed to shareholders divided by the number of shares outstanding.Difficulty level: MediumTopic: DIVIDENDS PER SHAREType: CONCEPTS30. Earnings per shareA. will increase if net income increases and number of shares remains constant.B. will increase if net income decreases and number of shares remains constant.C. is number of shares divided by net income.D. is the amount of money that goes into retained earnings on a per share basis.E. None of the above.Difficulty level: MediumTopic: EARNINGS PER SHAREType: CONCEPTS31. According to Generally Accepted Accounting Principles,costs are:A. recorded as incurred.B. recorded when paid.C. matched with revenues.D. matched with production levels.E. expensed as management desires.Difficulty level: MediumTopic: MATCHING PRINCIPLEType: CONCEPTS32. Depreciation:A. is a noncash expense that is recorded on the income statement.B. increases the net fixed assets as shown on the balance sheet.C. reduces both the net fixed assets and the costs of a firm.D. is a non-cash expense which increases the net operating income.E. decreases net fixed assets, net income, and operating cash flows.Difficulty level: MediumTopic: NONCASH ITEMSType: CONCEPTS33. When you are making a financial decision, the most relevant tax rate is the _____ rate.A. averageB. fixedC. marginalD. totalE. variableDifficulty level: MediumTopic: MARGINAL TAX RATEType: CONCEPTS34. An increase in which one of the following will cause the operating cash flow to increase?A. depreciationB. changes in the amount of net fixed capitalC. net working capitalD. taxesE. costsDifficulty level: MediumTopic: OPERATING CASH FLOWType: CONCEPTS35. A firm starts its year with a positive net working capital. During the year, the firm acquires more short-term debt than it does short-term assets. This means that:A. the ending net working capital will be negative.B. both accounts receivable and inventory decreased during the year.C. the beginning current assets were less than the beginning current liabilities.D. accounts payable increased and inventory decreased during the year.E. the ending net working capital can be positive, negative, or equal to zero.Difficulty level: MediumTopic: CHANGE IN NET WORKING CAPITALType: CONCEPTS36. The cash flow to creditors includes the cash:A. received by the firm when payments are paid to suppliers.B. outflow of the firm when new debt is acquired.C. outflow when interest is paid on outstanding debt.D. inflow when accounts payable decreases.E. received when long-term debt is paid off.Difficulty level: MediumTopic: CASH FLOW TO CREDITORSType: CONCEPTS37. Cash flow to stockholders must be positive when:A. the dividends paid exceed the net new equity raised.B. the net sale of common stock exceeds the amount of dividends paid.C. no income is distributed but new shares of stock are sold.D. both the cash flow to assets and the cash flow to creditors are negative.E. both the cash flow to assets and the cash flow to creditors are positive. Difficulty level: MediumTopic: CASH FLOW TO STOCKHOLDERSType: CONCEPTS38. Which equality is the basis for the balance sheet?A. Fixed Assets = Stockholder's Equity + Current AssetsB. Assets = Liabilities + Stockholder's EquityC. Assets = Current Long-Term Debt + Retained EarningsD. Fixed Assets = Liabilities + Stockholder's EquityE. None of the aboveDifficulty level: MediumTopic: BALANCE SHEETType: CONCEPTS39. Assets are listed on the balance sheet in order of:A. decreasing liquidity.B. decreasing size.C. increasing size.D. relative life.E. None of the above.Difficulty level: MediumTopic: BALANCE SHEETType: CONCEPTS40. Debt is a contractual obligation that:A. requires the payout of residual flows to the holders of these instruments.B. requires a repayment of a stated amount and interest over the period.C. allows the bondholders to sue the firm if it defaults.D. Both A and B.E. Both B and C.Difficulty level: MediumTopic: DEBTType: CONCEPTS41. The carrying value or book value of assets:A. is determined under GAAP and is based on the cost of the asset.B. represents the true market value according to GAAP.C. is always the best measure of the company's value to an investor.D. is always higher than the replacement cost of the assets.E. None of the above.Difficulty level: MediumTopic: CARRYING VALUEType: CONCEPTS42. Under GAAP, a firm's assets are reported at:A. market value.B. liquidation value.C. intrinsic value.D. cost.E. None of the above.Difficulty level: MediumTopic: GAAPType: CONCEPTS43. Which of the following statements concerning the income statement is true?A. It measures performance over a specific period of time.B. It determines after-tax income of the firm.C. It includes deferred taxes.D. It treats interest as an expense.E. All of the above.Difficulty level: MediumTopic: INCOME STATEMENTType: CONCEPTS44. According to generally accepted accounting principles (GAAP), revenue is recognized as income when:A. a contract is signed to perform a service or deliver a good.B. the transaction is complete and the goods or services are delivered.C. payment is requested.D. income taxes are paid.E. All of the above.Difficulty level: MediumTopic: GAAP INCOME RECOGNITIONType: CONCEPTS45. Which of the following is not included in the computation of operating cash flow?A. Earnings before interest and taxesB. Interest paidC. DepreciationD. Current taxesE. All of the above are includedDifficulty level: MediumTopic: OPERATING CASH FLOWType: CONCEPTS46. Net capital spending is equal to:A. net additions to net working capital.B. the net change in fixed assets.C. net income plus depreciation.D. total cash flow to stockholders less interest and dividends paid.E. the change in total assets.Difficulty level: MediumTopic: NET CAPITAL SPENDINGType: CONCEPTS47. Cash flow to stockholders is defined as:A. interest payments.B. repurchases of equity less cash dividends paid plus new equity sold.C. cash flow from financing less cash flow to creditors.D. cash dividends plus repurchases of equity minus new equity financing.E. None of the above.Difficulty level: MediumTopic: CASH FLOW TO STOCKHOLDERSType: CONCEPTS48. Free cash flow is:A. without cost to the firm.B. net income plus taxes.C. an increase in net working capital.D. cash that the firm is free to distribute to creditors and stockholders.E. None of the above.Difficulty level: MediumTopic: FREE CASH FLOWType: CONCEPTS49. The cash flow of the firm must be equal to:A. cash flow to stockholders minus cash flow to debtholders.B. cash flow to debtholders minus cash flow to stockholders.C. cash flow to governments plus cash flow to stockholders.D. cash flow to stockholders plus cash flow to debtholders.E. None of the above.Difficulty level: MediumTopic: CASH FLOWType: CONCEPTS50. Which of the following are all components of the statement of cash flows?A. Cash flow from operating activities, cash flow from investing activities, and cash flow from financing activitiesB. Cash flow from operating activities, cash flow from investing activities, and cash flow from divesting activitiesC. Cash flow from internal activities, cash flow from external activities, and cash flow from financing activitiesD. Cash flow from brokering activities, cash flow from profitable activities, and cash flow from non-profitable activitiesE. None of the above.Difficulty level: MediumTopic: STATEMENT OF CASH FLOWSType: CONCEPTS51. One of the reasons why cash flow analysis is popular is because:A. cash flows are more subjective than net income.B. cash flows are hard to understand.C. it is easy to manipulate, or spin the cash flows.D. it is difficult to manipulate, or spin the cash flows.E. None of the above.Difficulty level: MediumTopic: CASH FLOW MANAGEMENTType: CONCEPTS52. A firm has $300 in inventory, $600 in fixed assets, $200 in accounts receivable, $100 in accounts payable, and $50 in cash. What is the amount of the current assets?A. $500B. $550C. $600D. $1,150E. $1,200Current assets = $300 + $200 + $50 = $550Difficulty level: MediumTopic: CURRENT ASSETSType: PROBLEMS53. Total assets are $900, fixed assets are $600, long-term debt is $500, and short-term debt is $200. What is the amount of net working capital?A. $0B. $100C. $200D. $300E. $400Net working capital = $900 - $600 - $200 = $100Difficulty level: MediumTopic: NET WORKING CAPITALType: PROBLEMS54. Brad's Company has equipment with a book value of $500 that could be sold today at a 50% discount. Its inventory is valued at $400 and could be sold to a competitor for that amount. The firm has $50 in cash and customers owe it $300. What is the accounting value of its liquid assets?A. $50B. $350C. $700D. $750E. $1,000Liquid assets = $400 + $50 + $300 = $750Difficulty level: MediumTopic: LIQUIDITYType: PROBLEMS55. Martha's Enterprises spent $2,400 to purchase equipment three years ago. This equipment is currently valued at $1,800 on today's balance sheet but could actually be sold for $2,000. Net working capital is $200 and long-term debt is $800. Assuming the equipment is the firm's only fixed asset, what is the book value of shareholders' equity?A. $200B. $800C. $1,200D. $1,400E. The answer cannot be determined from the informationprovidedBook value of shareholders' equity = $1,800 + $200 - $800 = $1,200Difficulty level: MediumTopic: BOOK VALUEType: PROBLEMS。
FRM-投资组合风险管理
1212-128
100% Contribution Breeds Professionalism
Empirical Tests of the CAPM
¾ Fama French three-factor model ¾ Fama and French include two additional variables to the CAPM called SMB and HML. SMB is the difference in returns between diversified small and big stocks (i.e., small minus big), and HML is the difference between high B/M and low B/M stocks (i.e., high minus low). Technically, these factors do not have theoretical support, nor should they be considered state variables; however, indirectly they do capture the empirical irregularities of the small firm effect and the outperformance of value companies. The model takes the following form:
¾Portfolio VaR ¾Risk Budgeting
¾Long, Short and Leverage ¾Hedge Fund Strategies ¾Problems of hedge fund indexes ¾Specific risks
CFA一级笔记第十部分 其他类投资
CFA一级考试知识点第十部分其他类投资其他类投资具有以下特征：流动性较差、管理细分、与传统投资相关性低、监管力度及透明度较低、历史风险和收益数据有局限性、特殊的法律与税务考虑。
包括：对冲基金、私募股权基金、房地产、商品、基础设施被动投资：相信市场有效性，专注于系统性风险，一般选择房地产信托基金real eatate investment tursts、商品投资、交易型开放式指数基金exchange tradd funds，ETF 主动投资：试图从市场失效中赚取更高的风险调整后收益机会，主要有以下几个策略：绝对收益absolute return市场隔离market segmentation集中投资concentrated portfolios对冲基金和私募股权基金采用合伙制partnership ，基金管理方为一般合伙人general partner，GP。
投资者有有限合伙人limited partner，LP。
其他投资优势：分散化diversification、更高的回报higher return。
风险：出现极端概率大、透明度低、衍生品的使用会带来额外经验风险或财务风险。
对冲基金hedge fund是积极管理并投资于不同资产、使用杠杆及多空头投资的投资基金。
有如下特征：使用杠杆、多空头、衍生品头寸积极管理追求高收益、一般来说是绝对收益投资限制少、监管披露要求低投资门槛高、仅向有限投资者开放有赎回限制restrictions on redemptions，例如锁定期lockup period在此期间不允许赎回，锁定期后还需要30-90天的通知期notice period母基金fund of fund，投资于对冲基金的基金，会在对冲基金费用基础上，多收取一层管理费和激励费。
对冲基金四大策略：事件驱动策略、相对价值策略、宏观策略、权益对冲策略。
事件策略event driven strategies从影响资产价值的事件中获取收益，典型的自下而上bottom up策略。
公司理财罗斯英文原书第九版第二章
Financial Statements and Cash Flow
McGraw-Hill/Irwin
Copyright © 2010 by the McGraw-Hill Companies, Inc. All rights reserved.
Key Concepts and Skills
Usually a separate section reports the amount of taxes levied on income.
$86 $43 $43
2-13
U.S.C.C. Income Statement
Total operating revenues Cost of goods sold Selling, general, and administrative expenses Depreciation Operating income Other income Eห้องสมุดไป่ตู้rnings before interest and taxes Interest expense Pretax income Taxes Current: $71 Deferred: $13 Net income Retained earnings: Dividends: $2,262 1,655 327 90 $190 29 $219 49 $170 84
Deferred taxes Long-term debt Total long-term liabilities $117 471 $588 $104 458 $562
Total assets
$1,879
$1,742
Stockholder's equity: Preferred stock $39 $39 Common stock ($1 par value) 55 32 Capital surplus 347 327 Accumulated retained earnings 390 347 Less treasury stock (26) (20) Total equity $805 $725 Total liabilities and stockholder's equity $1,879 $1,742
cheating sheet
（一）古希腊的经济思想代表人物：1、柏拉图：主要著作《理想国》和《法律篇》。
把国家分三个阶层：①哲学家阶层即统治阶层②保卫国家的战士③自由民。
强调自然差异，认为应该由武士来分配工作。
认为私有财产和家庭是社会矛盾和分歧的根本渊源，武士应该共妻共子。
提出分工原理的第一人。
仇恨民主性，《理想国》对共产主义试探的主张，但准则为法西斯主义。
但试图按照各种政治学主张解决问题。
2、亚里士多德：是把货值和经济区分开的古代思想家。
真正的经济观点主要发表在《政治论》和《伦理学》上。
反对商业，反对高利贷。
他主张自然差异，奴隶制合理认为“占有物质和贯彻他们一致的人”十分重要。
提倡家庭安排，提倡私有财产，提出财产私有制的五大优越性：1更高的生产力2，共有会导致人们在报酬方面的攀比和争执。
3，私有财产给人以愉快。
4，如果财产共有优于私有，那么它应该早就实行了。
但是人类经验表明私有制更普遍。
5，财产私有有助于慈善活动。
他认为家庭管理光荣，谴责零售贸易超越了家庭收入的自然限制。
在《伦理学》中提到了公平交换，同等价值，相同价值尺度，由此引出货币的起源。
在《论题》中提到了边际效用递减。
3、（雅典）色诺芬：经济著作主要有《经济论》和《雅典的收入》。
《雅典的收入》中主要论述当时财政不足问题。
在《经济论》中首次提出“经济”一词。
“经济”这一概念最早出现在色诺芬的《经济论》中，由希腊文的“家庭”和“管理”两词派生来。
他在《经济论》中强调，经济（家庭管理）应该成为一门学问，这门学问研究的是：优秀的主人如何管理好自己的财产，使自己的财富不断增加。
他认为财富是具有使用价值的东西。
他认识到财富的主观性，作为财富的物品具有使用和交换两种功用，具有了主观价值论的初步思想。
基本上是一个奴隶制自然经济的拥护者，注意到分工对提高产品质量的作用。
认识到了白银作为货币特别是作为储藏手段的职能。
(二)古罗马经济思想代表人物：1、克尤斯•加图：主要著作《农业论》。
罗斯《公司理财》英文习题答案DOCchap015
公司理财习题答案第十五章Chapter 15: Capital Structure: Basic Concepts15.1 a. The value of Nadus’ stock is ($20)(5,000) = $100,000. Since Nadus is an all-equityfirm, $100,000 is also the value of the firm.b. The value of any firm is the sum of the market value of its bonds and the marketvalue of its stocks, i.e. V=B+S, For Logis, the value of the stock is not yet known,nor is the value of the firm. The market value of Logis’ bonds is $25,000. Thus,the value of Logis’ stock isS=V - $25,000.c. Costs:Nadus: 0.20 ($100,000) = $20,000Logis: 0.20 (V - $25,000)Returns: You are entitled to 20% of the net income of each firm.Nadus: 0.20 ($350,000) = $70,000Logis: 0.20 [$350,000-0.12($25,000)] = $69,400d. From the standpoint of the stockholders, Logis is riskier. If you hold Logis stock,you can receive returns only after the bondholders have been paid.e. In this problem, positive signs denote negative signs denote all cash inflows and alloutflows. You should expect the immediate flows to be on net negative (anoutflow). The future flows should be on net positive (an inflow).Immediate flows:Borrow from the bank an amount equal to 20% of Logis’ debt$5,000Buy 20% of Nadus’ stock -20,000Total Immediate Flows -$15,000Future flows:Pay the interest on the loan 0.12 ($5,000) -$600Receive 20% of Nadus’ net income 70,000Total Future Flows $69,400f. Since the returns from the purchase of the Logis stock are the same as the returns inthe strategy you constructed in part e, the two investments must cost the same.Cost of the strategy = Cost of Logis stock$15,000 = 0.20 (V-$25,000)Therefore, V=$100,000Note: This is an application of MM-Proposition I, In this MM world with no taxesand no financial distress costs, the value of an levered firm will equal the value ofan un-levered firm. Thus, capital structure does not matter.g. If the value of the Logis firm is $135,000 then the value of Logis stock is $110,000(= $135,000 - $25,000). If that is true, purchasing 20% of Logis’ stock would costyou $22,000 ( = 0.20 x $110,000). You will receive the same return as before($69,400). You can receive the same return for only $15,000 by following thestrategy in part e. Thus, if Logis is worth $135,000, you should borrow on yourown account an amount equal to 20% of Logis’ debt and purchase 20% of Nadus’stock.15.2 a. B=$10 million S=$20 millionTherefore, B/S=$10 / $20 = 1/2b. The required return is the firm’s after-tax overall cost of capital. In this no tax world,that is simplyrBVrSVr 0B S =+Use CAPM to find the required return on equity. Sr = 8% + (0.9)(10%) = 17%The cost of debt is 14%.Therefore,r$10 m illion$30 m illion0.14$20 m illion$30 m illion0.1716% 0=+=15.3 You expect to earn a 20% return on your investment of $25,000. Thus, you are earning$5,000 (=$25,000 x 0.20) per year. Since you borrowed $75,000, you will be makinginterest payments of $7,500 (=$75,000 x 0.10) per annum. Your share of the stock must earn $12,500 (= $5,000 + $7,500). The return without leverage is 0.125 (=$12,500 /$100,000).15.4 The firms are identical except for their capital structures. Thus, under MM-Proposition Itheir market values must be the same regardless of their capital structures. If they are not equal, the lower valued stock is a better purchase.Market values:Levered: V=$275 million + $100 x 4.5 million = $725 millionUnlevered: V= $80 x 10 million = $800 millionSince Levered’s market value is less than Unlevered’s market value, you should buyLevered’s stock. To understand why, construct the strategies that were presented in thetext. Suppose you want to own 5% of the equity of each firm.Strategy One: Buy 5% of Unlevered’s equityStrategy Two: Buy 5% of Levered’s equityStrategy Three: Create the dollar returns of Levered through borrowing an amount equal to 5% of Levered’s debt and purchasing 5% of Unlevered’s stock. If youfollow this strategy you will own what amounts to 5% of the equity ofLevered. The reason why is that the dollar returns will be identical topurchasing 5% of Levered outright.Dollar Investment Dollar Return Strategy One: -(0.05)($800) (0.05)($96)Strategy Two: -(0.05)($450) (0.05)[$96 - (0.08)($275)]Strategy Three:Borrow (0.05)($275) -[(0.05) ($275)] (0.08)Buy Unlevered -(0.05)($800) (0.05)($96)Net $ Flows -(0.05)($525) (0.05)[$96 - (0.08)($275)] Note: Dollar amounts are in millions.Note: Negative signs denote outflows and positive denotes inflows.Since the payoffs to strategies Two and Three are identical, their costs should be the same.Yet, strategy three is more expensive than strategy two ($26.25 million versus $22.5公司理财习题答案第十五章million). Thus, Levered’s stock is underpriced relative to Unlevered’s stock. You should purchase Levered’s s tock.15.5 a. In this MM world, the market value of Veblen must be the same as the market valueof Knight. If they are not equal, an investor can improve his net returns throughborrowing and buying Veblen stock. To understand the improvement, construct thestrategies discussed in the text. The investor already owns 0.0058343 (=$10,000 /$1,714,000) of the equity of Knight. Suppose he is willing to purchase the sameamount of Veblen’s equity.Strategy One (SI): Buy 0.58343% of Veblen’s equit y.Strategy Two (SII): Continue to hold the 0.58343% of Knight’s equity.Strategy Three (SIII): Create the dollar returns of Knight through borrowing anamount equal to 0.58343% of Knight’s debt and purchasing0.58343% of Veblen’s stock. If you follow this strategy youwill own what amounts to 0.58343% of the equity of Knight.The reason why is that the dollar returns will be identical topurchasing 0.58343% of Knight outright.Dollar Investment Dollar Return SI: -(0.0058343)($2.4) (0.0058343)($0.3)SII: -(0.0058343)($1.714) (0.0058343)($0.24)SIII:Borrow (0.0058343)($1) -[(0.0058343) ($1)] (0.06)Buy Veblen -(0.0058343)($2.4) (0.0058343)($0.3)Net $ Flows -(0.0058343)($1.4) (0.0058343)($0.24) Note: Dollar amounts are in millions.Note: Negative signs denote outflows and positive denotes inflows.Since strategies Two and Three have the same payoffs, they should cost the same.Strategy three is cheaper, thus, Knight stock is overpriced relative to Veblen stock.An investor can benefit by selling the Knight stock, borrowing an amount equal to0.0058343 of Knights debt and buying the same portion of Veblen stock. Theinvestor’s dollar returns will be identical to holding the Knight stock, but the costwill be less.b. Modigliani and Miller argue that everyone would attempt to construct the strategy.Investors would attempt to follow the strategy and the act of them doing so willlower the market value of Knight and raise the market value of Veblen until theyare equal.15.6 Each lady has purchased shares of the all-equity NLAW and borrowed or lent to create thenet dollar returns she desires. Once NLAW becomes levered, the return that the ladiesreceive for owning stock will be decreased by the interest payments. Thus, to continue to receive the same net dollar returns, each lady must rebalance her portfolio. The easiestapproach to this problem is to consider each lady individually. Determine the dollarreturns that the investor would receive from an all-equity NLAW. Determine what she will receive from the firm if it is levered. Then adjust her borrowing or lending position tocreate the returns she received from the all-equity firm.Before looking at the women’s positions, look at the firm value.All-equity: V=100,000 x $50 = $5,000,000Levered: V=$1,000,000 + 80,000 x $50 = $5,000,000Remember, the firm repurchased 20,000 shares.The income of the firm is unknown. Since we need it to compute the investor’s returns, we will denote it as Y. Assume that the income of the firm does not change due to the capital restructuring and that it is constant for the foreseeable future.Ms. A before rebalancing: Ms. A owns $10,000 worth of NLAW stock. That ownership represents ownership of 0.002 (=$10,000/$5,000,000) of the all-equity firm. That ownership entitles her to receive 0.002 of the firm’s income; i.e. her dollar return is 0.002Y. Also, Ms. A has borrowed $2,000. That loan will require her to make an interest payment of $400 ($2,000 x 0.20). Thus, the dollar investment and dollar return positions of Ms. A are:Dollar Investment Dollar Return NLAW Stock -$10,000 0.002YBorrowing 2,000 -$400Net -$8,000 0.002Y-$400Note: Negative signs denote outflows and positive denotes inflows.Ms. A after rebalancing: After rebalancing, Ms. A will want to receive net dollar returnsof 0.002Y-$400. The only way to receive the 0.002Y is to own 0.002 of NLAW’s stock. Examine the returns she will receive from the levered NLAW if she owns 0.002 of thef irm’s equity. She will receive (0.002) [Y - ($1,000,000)(0.20)] = 0.002Y - $400. This is exactly the dollar return she desires! Therefore, Ms. A should own 0.002 of the levered firm’s equity and neither lends nor borrow. Owning 0.002 of the firm’s equi ty means she has $8,000 (= 0.0002 x $4,000,000) invested in NLAW stock.Dollar Investment Dollar Return NLAW stock -$8,000 0.002Y - $400Ms. B before rebalancing: Ms. B owns $50,000 worth of NLAW stock. That ownership represents ownership of 0.01 (=$50,000/$5,000,000) of the all-equity firm. That ownership entitles her to receive 0.01 of the firm’s income; i.e. her dollar return is 0.01Y. Also, Ms. B has lent $6,000. That loan will generate interest income for her of the amount $1,200 (=$6,000 x 0.20). Thus, the dollar investment and dollar return positions of Ms. B are:Dollar Investment Dollar Return NLAW Stock -$50,000 0.01YLending -6,000 $1,200Net -$56,000 0.01Y + $1,200Ms. B after rebalancing: After rebalancing, Ms. B will want to receive net dollar returns of 0.01Y + $1,200. The only way to receive the 0.01Y is to own 0.01 of NLAW’s stock. Examine the returns she will receive from the levered NLAW if she owns 0.01 of the firm’s equity. She will receive (0.01) [Y - ($1,000,000) (0.20)] = 0.01Y - $2,000. This is not the return which Ms. B desires, so she must lend enough money to generate interest income of $3,200 (=$2,000 + $1,200). Since the interest rate is 20% she must lend公司理财习题答案第十五章$16,000 (= $3,200 / 0.20). The 0.01 equity interest of Ms. B means she will have $40,000 (=0.01 x $4,000,000) invested in NLAW.Dollar Investment Dollar ReturnNLAW Stock -$40,000 0.01Y - $2,000Lending -16,000 $3,200Net -$56,000 0.01Y + $1,200Ms. C before rebalancing: Ms. C owns $20,000 worth of NLAW stock. That ownershiprepresents ownership of 0.004 (=$20,000 / $5,000,000) of the all-equity firm. Thatownership entitles her to receive 0.004 of the firm’s income; i.e. her dollar return is 0.004Y.The dollar investment and dollar return positions of Ms. A are:Dollar Investment Dollar ReturnNLAW Stock -$20,000 0.004YMs. C after rebalancing: After rebalancing, Ms. C will want to receive net dollar returns of0.004Y. The only way to receive the 0.004Y is to ow n 0.004 of NLAW’s stock. Examinethe returns she will receive from the levered NLAW if she owns 0.004 of the firm’s equity.She will receive (0.004) [Y - ($1,000,000) (0.20)] = 0.004Y - $800. This is not the dollar return she desires. Therefore, Ms. C must lend enough money to offset the $800 she loses once the firm becomes levered. Since the interest rate is 20% she must lend $4,000 (=$800 / 0.20). The 0.004 equity interest of Ms. C means she will have $16,000 (0.004 x$4,000,000) invested in NLAW.Dollar Investment Dollar ReturnNLAW Stock -$16,000 0.004Y - $800Lending -4,000 $800Net -$20,000 0.004Y15.7 a. Since Rayburn is currently an all-equity firm, the value of the firm’s assets equalsthe value of its equity. Under MM-Proposition One, the value of a firm will notchange due to a capital structure change, and the overall cost of capital will remainunchanged. Therefore, Rayburn’s overall cost of capital is 18%.b. MM-Proposition Two states r r(B/S)(r r)=+-.S00BApplying this formula you can find the cost of equity.r = 18% + ($400,000 / $1,600,000) (18% - 10%) = 20%Sc. In accordance with Proposition Two, the expected return on Rayburn’s equity willrise with the amount of leverage. This rise occurs because of the risk which the debt adds.15.8 a.b.i. According to efficient markets, Strom’s stock price will rise immediately toreflect the NPV of the project.ii. The NPV of the facilities that Strom is buying isNPV= -$300,000 + ($120,000 / 0.15) = $500,000The sum of the old assets and the NPV of the new facilities is the new value ofthe firm ($5.5 million). Since new shares have not yet been sold, the price of theoutstanding shares must rise. The new price is $5,500,000 / 250,000 = $22.iii. Strom needed to raise $300,000 through the sale of stock that sells for $22.Thus, Strom sold 13,636.364 (=$300,000 / $22) shares.iv.v.vi. The returns available to the shareholders are the sum of the returns from each portion of the firm.Total earnings = $750,000 + $120,000 = $870,000Return = ($870,000 / $5,800,000) = 15%Note: The returns to the shareholder had to be the same since r0 was unchangedand the firm added no debt.c.i.Under efficient markets the price of the shares must rise to reflect the NPV of thenew facilities. The value will be the same as with all-equity financing because1. Strom purchased the same competitor and2. In this MM world debt is no better or no worse than equity.公司理财习题答案第十五章ii.iii. The cost of equity will be the earnings after interest and taxes divided by the market value of common. Since Strom pays no taxes, the cost of equity is simplythe earnings after interest (EAI) divided by the market value of common.EAI = $750,000 + $120,000 - $300,000 (0.10) = $840,000Cost of equity = $840,000 / $5,500,000 = 15.27%iv. The debt causes the equity of the firm to be riskier. Remember, stockholders are residual owners of the firm.v. MM-Proposition Two states,r r(B/S)(r r)15%($300,000/$5,500,000)(15%10%)15.27% =+-=+-=S00Bd. Examine the final balance sheet for the firm and you will see that the price is $22under each plan.15.9 a. The market value of the firm will be the present value of Gulf’s earning s after thenew plant is built. Since the firm is an all-equity firm, the overall required return isthe required return on equity.Annual earnings = Original plant + New Plant= $27 million + $3 million = $30 millionValue = $30 million / 0.1 = $300 millionb. Gulf Power is in an MM world (no taxes, no costs of financial distress). Therefore,the value of the firm is unchanged by a change in the capital structure.c. The overall required rate of return is also unchanged by the capital structurechange. Thus, according to MM-Proposition Two, r r(B/S)(r r)=+-. TheS00B firm is valued at $300 million of which $20 million is debt. The remaining $280million is the value of the stock.r S = 10% + ($20 million / $280 million) (10% - 8%) = 10.14%15.10 a. False. Leverage increases both the risks of the stock and its expected return. MMpoint out that these two effects exactly cancel out each other and leave the price ofthe stock and the value of the firm invariant to leverage. Since leverage is beingreduced in this firm, the risk of the shares is lower; however, the price of the stockremains the same in accordance with MM.b. False. If moderate borrowing does not affect the probability of financial distress,then the required return on equity is proportional to the debt-equity ratio [i.e.=+-]. Increasing the amount of debt will increase the return on r r(B/S)(r r)S00Bequity.15.11 a.i. Individuals can borrow at the same interest rate at which firms borrow.ii. There are no taxes.iii. There are no costs of financial distress.b.i. If firms are able to borrow at a rate that is lower than that at which individualsborrow, then it is possible to increase the firm’s value through borrowing. Asthe text discussed, since investors can purchase securities on margin, theindividuals’ effective rate is probably no higher than that of the firms.ii. In the presence of corporate taxes, the value of the firm is positively related to the level of debt. Since interest payments are deductible, increasing debtminimizes tax expenditure and thus maximizes the value of the firm for thestockholders. As will be shown in the next chapter, personal taxes offset thepositive effect of debt.iii. Because these costs are substantial and stockholders eventually bear them, they are incentives to lower the amount of debt. This implies that the capital structuremay matter. This topic will also be discussed more fully in the next chapter. 15.12 a and b.Total investment in the firm’s assets = $10 x 1million x 1% = $0.1 million3 choices of financing 20% debt 40% debt 60% debtTotal asset investment 0.1 0.1 0.1x ROA (15%) 0.015 0.015 0.015- Interest 0.2 x 0.1 x0.1 0.4 x 0.1 x 0.1 0.6 x 0.1 x 0.1Profit after interest 0.013 0.011 0.009/ Investment in equity 0.1 x 0.8 0.1 x 0.6 0.1 x 0.4ROE 16.25% 18.33% 22.5%Susan can expect to earn $0.013 million, $0.011 million, and $0.009 million,respectively, from the correspondent three scenarios of financing choices, i.e.borrowing 20%, 40%, or 60% of the total investment. The respective returns onequity are 16.25%, 18.33% and 22.5%.c. From part a and b, we can see that in an MM with no tax world, higher leveragebrings about higher return on equity. The high ROE is due to the increased risk ofequity while the WACC remains unchanged. See below.WACC for 20% debt = 16.25% x 0.8 + 10% x 0.2 = 15%WACC for 40% debt = 18.33% x 0.6 + 10% x 0.4 = 15%WACC for 60% debt = 22.5% x 0.4 + 10% x 0.6 = 15%This example is a case of homemade leverage, so the results are parallel to that of aleveraged firm.15.13 Suppose individuals can borrow at the same rate as the corporation, there is no needfor the firm to change its capital structure because of the different forecasts ofearnings growth rates, as investors can always duplicate the leverage by creatinghomemade leverage. Different expectation of earnings growth rates can affect theexpected return on assets. But this change is the result of the change in expectedoperating performance of the corporation and/or other macroeconomic factors. Theleverage ratio is irrelevant here since we are in an MM without tax world.公司理财习题答案第十五章15.14 a. current debt = 0.75 / 10% = $7.5 millioncurrent equity = 7.5 / 40% = $18.75 millionTotal firm value = 7.5 + 18.75 = $26.25 millionb. r s = earnings after interest/total equity value = $(3.75 - .75)/$18.75 = 16%r B =10%r 0 = (.4/1.4)(10%) + (1/1.4)(16%) = 14.29%r S after repurchase = 14.29% + (50%)(14.29% - 10%) = 16.44%So, the return on equity would increase from 16% to 16.44% with the completion of the planned stock repurchase.c. The stock price wouldn’t change because in an MM world, there’s no added value toa change in firm leverage. In other words, it’s a zero NPV transaction.15.15 a. Since V V T B L U C =+,V =V T B U L C -. L V = $1,700,000, B = $500,000 and C T =0.34. Therefore, the value of the unlevered firm isU V = $1,700,000 - (0.34)($500,000) = $1,530,000b. Equity holders earn 20% after-tax in an all-equity firm. That amount is $306,000(=$1,530,000 x 0.20). The yearly, after-tax interest expense in the levered firm is$33,000 [=$500,000 x 0.10 (1-0.34)]. Thus, the after-tax earnings of the equityholders in a levered firm are $273,000 (=$306,000 - $33,000). This amount is thefirm’s net income.15.16 The initial market value of the equity is given as $3,500,000. On a per share basis this is$20 (=$3,500,000 / 175,000). The firm buys back $1,000,000 worth of shares, or 50,000 (= $1,000,000 / $20) shares.In this MM world with taxes,V V T B L U C =+= $3,500,000 + (0.3) ($1,000,000) = $3,800,000Since V = B + S, the market value of the equity is $2,800,000 (= $3,800,000 - $1,000,000).15.17 a. Since Streiber is an all-equity firm,V = EBIT (1 - C T ) / 0r = $2,500,000 (1 - 0.34) / 0.20 = $8,250,000b. V V T B L U C =+= $8,250,000 + (0.34)($600,000) = $8,454,000c. The presence of debt creates a tax shield for the firm. That tax shield has value andaccounts for the increase in the value of the firm.d. You are making the MM assumptions:i. No personal taxesii. No costs of financial distressiii. Debt level of the firm is constant through time15.18 a. In this MM world with no financial distress costs, the value of the levered firm isgiven by V V T B L U C =+. The value of the unlevered firm is V = EBIT (1 - C T ) / r 0.The market value of the debt of Olbet is B = $200,000 / 0.08 = $2,500,000.Therefore, V = $1,200,000 (1 - 0.35) / 0.12 + ($2,500,000) (0.35) = $7,375,000b. Since debt adds to the value of the firm, it implies that the firm should be financedentirely with debt if it wishes to maximize its value.c. This conclusion is incorrect because it does not consider the costs of financialdistress or other agency costs that might offset the positive contribution of the debt. These costs will be discussed in further detail in the next chapter.15.19 a. Since Green is currently an all-equity firm, the value of the firm is the value of itsoutstanding equity, $10 million. The value of the firm must also equal the PV ofthe after-tax earnings, discounted at the overall required return. The after-taxearnings are simply ($1,500,000) (1 - 0.4) = $900,000. Thus, $10,000,000 =$900,000 / 0r0r = 0.09b. With 500,000 shares outstanding, the current price of a share is $20 (=$10,000,000 / 500,000). Green’s market value balance sheet isTherefore, at the announcement, the value of the firm will rise by the PV of the tax shield (PVTS). The PVTS is ($2,000,000) (0.4) = $800,000. Since the value of the firm has risen $800,000 and the debt has not yet been issued, the price of Green stock must rise to reflect the increase in firm value. Since the firm is worth $10,800,000 (=$10,000,000 + 800,000) and there are 500,000 shares outstanding,the price of a share rises to $21.60 (= $10,800,000 / 500,000). price of the stock rises to $21.60. Thus, Green will retire $2,000,000 / $21.60 = $92,592.59 shares. e. After the restructuring, the value of the firm will still be $10,800,000. Debt will be $2,000,000 and the 407,407.41 (=500,000 - 92,592.59) outstanding shares of stockwill sell for $21.60. )T -)(1r (B /S)(r r r C B 00S -+= = 0.09 + ($2,000,000 / $8,800,000) (0.09 - 0.06) (1 - 0.4) = 9.41%15.20 a.million $20.83$100.3515.0)65.0(4$B T r )T EBIT(1B T V V C 0C C U L =⨯+=+-=+= b.公司理财习题答案第十五章Answers to End-of-Chapter Problems B-15112.48%V )T EBIT(1r V S )T (1r V Br L C S L C B L WACC =-=+-= c. r r (B /S)(r r )(1-T S 00B C =+-)= 0.15 + [10 / (20.83 - 10)] (0.65) (0.15 - 0.10) = 18.01%15.21 a. r S = 0r + (B / S)( 0r – B r )(1 – C T )= 15% + (2.5)(15% – 11%)(1– 35%)= 21.50%b. If there is no debt, WACC r = r S = 15%c. S r = 15% + 0.75 (15% – 11%)(1 – 35%)= 16.95%B/S = 0.75, B = 0.75SB/(B+S) = 0.75S/(0.75S +S)= 0.75 /1.75S/(B+S) = 1– (0.75 /1.75) = (1/1.75)r WACC = (0.75/1.75)(0.11)(1– 0.35) + (1/1.75)(16.95%)= 12.75%S r = 15% + 1.5 (15% – 11%)(1 – 35%)= 18.90%B/S = 1.5, B = 1.5SB/(B+S) = 1.5S/(1.5S +S)= 1.5/2.5S /(B+S) = 1 – (1.5/2.5)WACC r = (1.5/2.5)(0.11)(1 – 0.35) + (1/2.5)(0.1890)= 11.85%15.22 Since this is an all-equity firm, the WACC = S r .$240,00025.0)4.01(000,100$r )T EBIT(1V S C U =-=-=If the firm borrows to repurchase its own shares, then the value of GT will be: L V = U V + C T B()$440,000000,500$4.025.0)6.0(000,100$=⨯+=。
会计欺诈和机构投资者毕业论文外文翻译
西安交通大学城市学院本科毕业设计(论文)外文翻译译文：会计欺诈和机构投资者查得·R·拉森介绍美国资本市场依赖财务报告系统来帮助有效分配资本。
最近的财务报告过程中故障在许多高调公司新的人员的监管机构,会计欺诈和市场参与者的兴趣。
两个重要的经验规律的文献记录极端操纵收益的决定因素和后果。
首先,股票市场反应的启示会计处理显著负面。
估计下降公告后的市场价值会计操作范围从20 - 40%( Palm rose、理查德森和2003李,和马丁2007)。
第二,会计操作是可预测的。
文献会计操作的文档可以预测的措施准确的质量、会计性能、非金融变量声明和股市变量(如,Beneish 1999;Dechow,通用电气,拉尔森和斯隆2007)。
虽然会计操作导致重大投资损失和与公司相关的特点和性能,几乎没有证据表明存在成熟的投资者是否能够避免损失与会计欺诈。
机构投资者已成为市场的重要力量在过去的几十年。
上世纪八十年代初到九十年代末,机构投资者所有权翻倍,股市50%以上(龚帕斯和Metric时,2001)。
机构投资者在美国市场存在的上升有意义的促使文献调查他们是否执行是有利可图的交易。
文献的结果是喜忧参半。
几项研究文档积极变化之间的相互关系,这些机构投资者的资产和未来的收益和回报,这表明机构通知交易员(如，柯和2005;阿里列弗,确认我也承认泰德•克里斯坦森的指导,没有它我就不会了博士学位的挑战。
最后,我感谢我的家人的支持。
没有这篇论文的完成并不意味着几乎一样多。
介绍美国资本市场依赖财务报告系统来帮助有效分配资本。
最近的财务报告过程中故障在许多高调公司新的人员监管机构,会计欺诈和市场参与者的兴趣。
两个重要的经验规律的文献记录极端操纵收益的决定因素和后果。
首先,股票市场反应的启示,会计处理显著负面。
估计下降公告后的市场价值会计操作范围从20 - 40%(Palm rose、理查德森和朔尔茨2003;Karpo_,李,和马丁2007)。
公司理财罗斯英文原书第九版第一章
problem
of interest between principal and agent
Conflict
1-20
Managerial Goals
Managerial goals may be different from shareholder goals
Expensive perquisites Survival Independence
Increased growth and size are not necessarily equivalent to increased shareholder wealth
1-21
Managing Managers
Managerial
Incentives
compensation
can be used to align management and stockholder interests The incentives need to be structured carefully to make sure that they achieve their intended goal
1-3
Balance Sheet Model of the Firm
Total Value of Assets: Total Firm Value to Investors:
Current Liabilities Long-Term Debt Fixed Assets 1 Tangible Shareholders’ Equity
1-2
1.1 What Is Corporate Finance?
Corporate Finance addresses the following three questions:
公司理财(罗斯)第2章(英文)
2-2
Sources of Information
Annual reports Wall Street Journal Internet
2.1 The Balance Sheet 2.2 The Income Statement 2.3 Net Working Capital 2.4 Financial Cash Flow 2.5 The Statement of Cash Flows 2.6 Financial Statement Analysis 2.7 Summary and Conclusions
McGraw-Hill/Irwin Corporate Finance, 7/e 2005 The McGraw-Hill Companies, Inc. All Rights Reserved.
2-6
Debt versus Equity
Generally, when a firm borrows it gives the bondholders first claim on the firm’s cash flow. Thus shareholder’s equity is the residual difference between assets and liabilities.
Total assets
McGraw-Hill/Irwin Corporate Finance, 7/e
$1,879
$1,742
2005 The McGraw-Hill Companies, Inc. All Rights Reserved.
SAIF-CFA试题
SAIF-CFA试题CFA试题1.The least accurate statement about measures of dispersion fora distribution is that the:A. range provides no information about the shape of the data distribution.B. arithmetic average of the deviations around the mean will always be equal to one.C. mean absolute deviation will always be less than or equal to the standard deviation.2.One is most likely to reject the null hypothesis when the p-value of the test statistic:A. is negative.B. exceeds a specified level of significance.C. falls below a specified level of significance.3. A recessionary gap is more likely to be observed when:A. real GDP is above potential GDP.B. real GDP is below potential GDP.C. employment is above full-employment equilibrium.4.In an effort to influence the economy, a central bank conducted open market activities by selling government bonds. This implies that the central bank is most likely attempting to:A. contract the economy by reducing bank reservesB. expand the economy through a lower policy interest rateC. contract the economy through a lower policy interest rate5.A company using IFRS reports its interest payments on long-term debt as a financing activity. If the company reported under US GAAP, the most likely effect would be a:A. higher cash flow from operations.B. higher cash flow from financing activities.C. lower cash flow from investing activities.6.Under U.S. GAAP what is the most likely effect of the reversal of a valuation allowance related to a deferred tax asset on net income?A. No effectB. A decreaseC. An increase7.The following information is available about a company: (All figures in $ thousands) 2011 2010Deferred tax assets 200 160Deferred tax liabilities (450) (360)Net deferred tax liabilities (250) (200)Earnings before taxes 4,000 3,800Income taxes at the statutory rate 1,200 1,140Current income tax expense 1,000 900The company’s 2011 income tax expense (in thousands) is closest to:A. $1,000B. $1,050C. $1,2508.A bond has a modified duration of 6.5 and convexity of -42.4. If interest rates decrease by 1.0 percent, the percentage change in the value of the bond will be closest to:A. -6.92%.B. +2.76%.C. +6.08%.9.Assume the following six-month forward rates (presented on an annualized, bond-equivalent basis) were calculated from the yield curve.Notation Forward Rate1f0 0.50%1f1 0.70%1f2 1.00%1f3 1.50%1f4 2.20%1f5 3.00%1f6 4.00%The 3-year spot rate is closest to:A. 0.74%.B. 1.48%.C. 2.06%.10.The following table shows data for the stock of JKU and a market-index.Expected return of JKU 15%Expected return of market index 12%Risk free rate 5%Standard deviation of JKU returns 20%Standard deviation of market index returns 15%Correlation of JKU and market index returns 0.75Based on the capital asset pricing model (CAPM), JKU is mostlikely:A. overvalued.B. undervalued.C. fairly valued.11.An analyst conducts a significance test to determine if the relation between two variables is real or the result of chance. His null hypothesis is that the population correlation coefficient is equal to zero and his alternative hypothesis is that the population correlation coefficient is different from zero. He gathers the following information:Value of the test statistic 2.8092Critical value at the 0.05 significance level 1.96Critical value at the 0.01 significance level 2.58The analyst most likely conducted a:A. one-tailed test and can reject his null hypothesis.B. two-tailed test and can reject his null hypothesis.C. two-tailed test and cannot reject his null hypothesis.12.The free-rider problem, an obstacle to efficiency, is most likely associated with:A. monopoliesB. public goodsC. subsidies and quotas13.Assume that two firms in a duopoly enter into a collusive agreement in an attempt to form a cartel and restrict output, raise prices, and increase profits. Given this, the most likely outcome according to the Nash equilibrium is that:A. Both firms cheatB. Both firms complyC. One firm cheats and the other firm complies14.Which of the following is least likely to be a warning sign of low quality earnings?A. Greater use of operating leases than peer companies.B. Use of a higher discount rate in pension plan assumptions.C. A ratio of operating cash flow to net income greater than1.0.15.Based on best practices in corporate governance procedures, independent board members most likely:A. Meet only in the presence of management.B. Have a “lead” director when the board chair is not independent.C. Hire independent consultants who are pre-approved by management.16.A series of interest rate put options that expire on different dates but have the same exercise rate is best defined as a (n):A. Interest rate cap.B. Interest rate floor.C. Interest rate collar.17. In comparison to a forward contract, a futures contract is most likely to be less:A. Liquid.B. Publicized.C. Customized.18.If the volatility of returns of an underlying security increases, then:A. both call and put option prices increase.B. both call and put option prices decrease.C. call prices increase and put prices decrease.19.High Plains Capital is a hedge fund with a portfolio valued at $475,000,000 at the beginning of the year. One year later, the value of assets under management is $541,500,000. The hedge fund charges a 1.5% management fee based on the end-of-year portfolio value, and a 10% incentive fee. If the incentive fee and management fee are calculated independently, the effective return for a hedge fund investor is closest to:A. 10.89%.B. 11.06%.C. 12.29%.20.Relative to an investor with a steeper indifference curve, the optimal portfolio for an investor with a flatter indifference curve will most likely have:A. A lower level of risk and return.B. A higher level of risk and return.C. The same level of risk and return.21.A project has the following expected cash flows:Time Cash Flow($)0 (125,000)1 100,0002 200,000If the risk-free interest rate is 4 percent, expected inflation is 3 percent, the market risk premium is 8 percent and the Beta for the project is 1, the investment’s net present value (NPV) is closest to:A. $113,000.B. $124,000.C. $139,000.22.Given the following information about three portfolios: PortfolioMean return on theportfolio (%) Standard deviation of the return on the portfolio (%) A 10 20 B 18 15 C63If the risk-free rate is 4%, which portfolio has the highest Sharpe ratio?A. Portfolio AB. Portfolio BC. Portfolio C23.An analyst gathers the following annual information ($ millions) about a company that pays no dividends and has no debt: Net income 45.8 Depreciation18.2 Loss on sale of equipment 1.6 Decrease in accounts receivable 4.2Increase in inventories 3.4 Increase in accounts payable 2.5 Capital expenditures 7.3 Proceeds from sale of stock8.5The company’s annual free cash flow to equity ($ millions) is closest to:A. 53.1.B. 58.4.C. 61.6.24.Analyst gathers the following information about a company andthe market:Current market price per share of common stock €32.00 Most recent dividend per share paid on common stock €2.40 Expected dividend payout rate 40% Expected return on equity (ROE) 15% Beta for the common stock1.5 Expected return on the market portfolio 12% Risk-free rate of return 4%A. 16.0%.B. 16.5%.C. 17.2%.25.A market has the following limit orders standing on its book for a particular stock:Buyer Bid Size (# of shares) Limit Price ($) SellerOffer Size (# of shares) Limit Price ($) 1 500 18.5 1 200 20.2 2 300 18.9 2 300 20.35</td> 3 400 19.2 3 400 20.5 4 200 20.1 4 100 20.65< /td> 510020.15520020.7< /td> If a trader submits an immediate-or-cancel limit buy order for 700 shares at a price of $20.50, the most likely average price the trader would pay is:A. $20.35.B. $20.50.C. $20.58.26.An equity portfolio manager is evaluating her sector allocation strategy for the upcoming year. She expects global economic slowdown for the next two years. Further, she believes thatcompanies will be facing diminishing growth rates with respect to revenues and profits. Owing to these beliefs, the portfolio manager will most likely:A. Overweight materials.B. Overweight consumer staples.C. Underweight telecommunications.27.An investor establishes a short position in a futures contract on Day 0 when the price per contract is $100. The investor deposits $5 per contract to meet the initial margin requirement. The maintenance margin requirement per contract is $3. The Day 1 settlement price that would require the investor deposit additional funds on Day 2 equal to $4 per contract is closest to: A. $96.B. $103.C. $104.28.According to put-call parity, a synthetic put contains a:A. Long position in the call.B. Long position in the underlying.C. Short position in the risk-free bond.29.A bond has a 10-year maturity, a $1,000 face value, and a 7% coupon rate. If the market requires a yield of 8% on the bond, it will most likely trade at a:A. Discount.B. Premium.C. Discount or premium, depending on its duration.30.Which of the following least likely describes an advantage of investing in hedge funds through a fund of funds? A fund of fundsmay provide investors with:A. Lower fees due to economies of scale.B. Access to funds that are closed to new investors.C. Access to managers with expertise in finding reliable and good-quality hedge funds.31.A fundamental analyst studying 100 potential companies for inclusion in her stock portfolio uses the following three screening criteria:Screening Criterion Number of Companies meeting the screenMarket-to-Book Ratio >4 20Current Ratio >2 40Return on Equity >10% 25Assuming that the screening criteria are independent, the probability (in %) that a given company will meet all three screening criteria is closest to:A. 2.0.B. 8.5.C. 20.0.32.An expansionary fiscal policy is most likely associated with:A. crowding out of private investmentsB. an increase in capital gains tax ratesC. an increase in government spending on social insurance andbenefits33.A company which prepares its financial statements using IFRS wrote down its inventory value by €20,000 in 2009. In 2010, prices increased and the same inventory was worth €30,000 more than its value at the end of 2009. Which of the following statements is most accurate? In 2010, the company’s cost of sales:A. was unaffected.B. decreased by €20,000.C. decreased by €30,000.34.The financial statement that would be most helpful to an analyst in understanding the changes that have occurred in a company’s retained earnings over a year is the statement of:A. changes in equityB. financial positionC. comprehensive income35.A financial analyst utilizing his analytical expertise and up-to-date information buys a company’s stock. His close friends, who lack information or expertise, imitate the financial analyst’s action and buy the stock. Which of the following statements concerning this behavioral bias is most accurate?A. It improves market efficiency.B. It is identical to representativeness.C. It is inconsistent with rational behavior.36.A market participant has a view regarding the potential movement of a stock. He sells a customized over-the-counter put option on the stock when the stock is trading at $38. The put has an exercise price of $36 and the put seller receives $2.25 in premium. The price of the stock is $35 at expiration. The profit or loss for the put seller at expiration is:A. $(1.25)B. $1.25C. $2.2537.If market interest rates rise, the price of a callable bond, compared to an otherwise identical option-free bond, will most likely decrease by:A. Less than the option-free bond.B. More than the option-free bond.C. The same amount as the option-free bond.38.For an A- rated corporate bond that has deteriorating fundamentals, but is expected to remain investment grade, the greatest risk is most likely:A. default riskB. liquidity riskC. credit spread risk39.CIf three bonds are otherwise identical, the one exhibiting the highest level of positive convexity is most likely the one that is:A. Putable.B. Callable.C. Option-free./doc/00eeb7a9b4daa58da1114a51.html pared to the traditional Capital Asset Pricing Model (CAPM), where lending and borrowing are carried out at the risk-free rate, a zero-beta CAPM would most likely result in a security market line (SML) with:A. Unchanged intercept and slope.B. A higher intercept and flatter slope.C. A lower intercept and steeper slope.41.Assume U.S. GAAP (generally accepted accounting principles) applies unless otherwise noted.Two companies operating in the same industry both achieved the same return on equity with the same net sales, but the two companies were different with respect to return on total assets. Compared with the company that had the higher return on total assets, thecompany with the lower return on total assets most likely had a higher:A. total asset turnoverB. financial leverage multiplierC. proportion of common equity in its capital structure42.A company reported net income of $400,000 for the year. At the end of the year, the company had an unrealized gain of $50,000 on its available-for-sale securities, an unrealized gain of $40,000 on held-to-maturity securities and an unrealized loss of $100,000 on its portfolio of held-for-trading securities. The comp any’ s comprehensive income (in $) for the year is closest to:A. 350,000.B. 390,000.C. 450,000.43.The use of financial ratio analysis is most likely limited in which of the following situations? When:A. providing a means of evaluating management’s abilityB. comparing companies using different accounting methodsC. providing insights into microeconomic relationships within a company that help analysts project earnings and free cash flow44.A company is considering issuing a 10-year, option-free, semiannual coupon bond with a 9 percent coupon rate. The bond is expected to sell at 95 percent of par value. If the company’s marginal tax rate is 30 percent, then the after-tax cost of debt is closest to:A. 6.30%.B. 6.86%.C. 9.80%.45.The best description of the measure of cash flow to use when estimating the total value of a firm is the operating free cash flow:A. Prior to interest payments on debt.B. Prior to interest payments on debt but after deducting funds needed for capital expenditures.C. After adjustment for payments to debt holders, but before dividend payments to common stockholders.46. An analyst gathers the following information about a company: Balance SheetAssets Liabilities and Shareholders’ EquityCash $5,000 Accounts payable $10,000 Accounts receivable 15,000 Notes payable 15,000 Inventory 25,000 Long-term debt 40,000Net fixed assets 80,000 Commonshareholders’equity60,000Total assets $125,000 Total liabilities andequity$125,000Additional InformationNumber of outstanding shares 7,000Market value of long-term debt $45,000Market value of accountsreceivable and inventory90% of reported valuesNet fixed assets 120% of reported value Accounts payable and notes payable Same as the reported value Using asset-based valuation approach, the estimated value per share is closest to:A. $ 9.57.B. $10.29.C. $11.00.47.An investor goes long an FRA that expires in 30 days for which the underlying is 90-day LIBOR for a notional of $10 million. A dealer quotes this instrument at 4.5 percent. At expiration, 60-day LIBOR is 3.5 percent and 90-day LIBOR is 4 percent. The payment made at expiration is closest to:A. $ 12,376 from the investor to the dealerB. $ 12,376 from the dealer to the investorC. $ 16,570 from the investor to the dealer48.An endowment’s fi xed income portfolio comprises three bonds whose market values, par values, coupon rates, and durations are given in the following table:Bond 1 Bond 2 Bond 3Market value $500,000 $1,200,000 $300,000Par value $580,000 $1,100,000 $320,000Coupon rate 11.00% 6.00% 9.00%Duration 6.2 8.1 2.9The portfolio’s duration is closest to:A. 5.73.B. 6.31C. 6.85.49.Consider a $100 par value bond, with an 8% coupon paid annually, maturing in 20 years. If the bond currently sells for $96.47, the yield to maturity is closest to:A. 7.41%.B. 8.29%.C. 8.37%.50.Which of the following statements is least accurate? An investor may construct a portfolio located on the capital market line (CML) by:A. Investing a portion of his capital in the risk-free assetand the balance in a fully diversified portfolio of all equities.B. Investing a portion of his capital in the risk-free assetand the balance in a fully diversified portfolio of all risky assets.C. Borrowing capital at the risk-free rate and investing allhis capital plus all borrowed capital in a fully diversified portfolio of all risky assets.51.A money manager has $1,000,000 to invest for one year. She has identified three alternative one-year certificates of deposit (CD) shown below:Compounding frequencyCD1 Monthly 7.82%CD2 Quarterly 8.00%CD3 Continuously 7.95%Which CD has the highest effective annual rate (EAR)?A. CD 1B. CD 2C. CD 352.An analyst wants to estimate the return on the S&P 500 Index for the current year using the following data and assumptions: Sample size = 50 securities from the indexMean return for those stocks in the sample for the previous year = 0.114.Variance = 0.0529The reliability factor for a 95% confidence interval with unknown population variance and sample size greater than 30 is . If he assumes that the S&P return this year will be the same as it was last year, which of the following is the best estimate of the 95% confidence interval for this year’s S&P return?A. –0.11600 to +0.34400B. +0.05024 to +0.17775C. +0.06110 to +0.1669053.Which of the following will most likely cause the short-run aggregate supply (SRAS) curve to shift to the right?A. Increase in nominal wagesB. Increase in the supply of human capitalC. Increase in business taxes54.Generational accounting indicates the United States, as well as other developed nations, faces severe generational imbalances regarding government programs such as Social Security. Which of the following is most likely a possible outcome?A. Reduction in income taxesB. Increase in government discretionary spendingC. Creation of new money to pay government obligations55.Which of the following is most consistent with real business cycle (RBC) models? The arguments and recommendations of RBC models suggest that:A. monetary variables have a major impact on GDP growth.B. persons are unemployed because their asking wages are too high.C. governments should intervene when the economy is in contraction.56.A firm’s price-to-earnings ratio (P/E) is 12.5. The firm has decided to repurchase shares using external funds that have an after-tax cost of 9%. After the repurchase, the earnings per share (EPS) will most likely:A. Increase.B. Decrease.C. Remain unchanged.57. A compa ny’s series B, 8% preferred stock has the following features:A par value of $50 and pays quarterly dividends.Its current market value is $35.The shares are retractable (at par) with the retraction date set for three years from today.Similarly rated preferred issues have an estimated nominal required rate of return of 12%.Analysts expect a sustainable growth rate of 4% for the company’s earnings.The intrinsic value estimate of a share of this preferred issue is closest to:A. $33.33.B. $45.02.C. $52.00.58.An analyst determines that a 5.50 percent coupon option-free bond, maturing in 7 years, would experience a 3 percent decrease in price if market interest rates rise by 50 basis points. If market interest rates instead fall by 50 basis points, the bond’s price would increase by:A. Exactly 3%.B. Less than 3%.C. More than 3%.59.The table below provides a probability distribution of stock returns for shares of Orion Corporation:Rate ofProbability Return (%)0.15 -120.6 110.25 18The variance of returns for Orion Corporation stock is closest to:A. 44.36B. 50.94C. 88.7160. According to the Capital Asset Pricing Model (CAPM) if investors borrow at a rate that exceeds the risk-free lending rate the resulting borrowing portfolios will:A. Plot on a flatter line.B. Plot on a steeper line.C. No longer plot on a straight line.61.An analyst collects the following set of past stock returns: -2.3%, -5.1%, 7.6%, 8.2%, 9.1%, and 9.8%. Which of the following measures of return is most likely the highest?A. Median returnB. Geometric mean returnC. Arithmetic mean return62.In the short run, an increase in output at low levels of production will most likely cause:A. an increase in the marginal cost due to the rising total fixed costB. an increase in the marginal cost due to the law of diminishing returnsC. a decrease in the marginal cost due to economies from greater specialization63. A company has just completed the sale of a tract of land for €3.5 million which was originally acquired at a cost of €2.0 million. The purchaser made a down-payment of €200,000 with the remainder to be paid in equal installments over the next 10 years.。
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安永金融服务转让定价
B –对冲基金管理的概念和定义
下文中的术语可能被用于安永对对冲基金转让定价的陈述中。
应注意的是，这些术语的定义仅为提供背景资料，其中某些术语的定义专用于转让定价。
当用于其它场合时，该术语或许会有不同的解释。
此外，业内不同当事方对于某些术语的理解存在轻微的差异，我们在此提供的仅仅是较为常用的释义。
术语定义
资产分配(Asset Allocation) 资产分配是指资产管理方将被管理资产分配给内部不同的基金经理的过程。
当较多的资产被分配给一个业绩较好的基金经理时，有助于提高整个投资组合的收益。
管理资产规模(AUM) (Assets Under Management) 管理资产规模指投资人交付给基金而由基金经理所管理的资产的货币价值。
募集资金(Capital Raising) 募集资金指的是对冲基金的资产管理方募集其管理的资产的过程。
这个过程通常包括准备营销材料、会见投资者和对投资者做演示，
以便吸引更多的投资。
有些对冲基金可能会雇佣第三方市场营销公
司（参见下述）来帮助完成此过程。
企业支持(Corporate Support) 企业支持是指用于维持一个公司正常运营的后台支持职能。
这些支持通常包括会计、税务、人力资源、信息技术和法律等方面。
衍生产品(Derivatives) 衍生产品是一种金融合约，其价值取决于一种或多种基础资产或指
数，合约的基本种类包括远期、期货、掉期（互换）和期权。
投资
组合管理人通常使用衍生产品来降低风险或增加回报。
自主投资管理(Discretionary Investment Management) 自主投资管理是对冲基金管理人的核心业务。
它指的是对冲基金管理人有权直接选取和管理投资组合中的股票而不需经过投资人的事先个案同意，其结果是直接实现利润或亏损。
子基金(Feeder Funds) 一个或者多个子基金将它们的资产集合起来形成母基金。
这种“母
-子”结构能帮助资产管理方通过较大规模的投资而形成规模效益。
与此同时，各种子基金能投资于不同的细分市场，因此具有更大的
灵活性。
这种母-子模式或辐射模式有时因法律或监管的原因而被采用。
通
常情况下，在一个母基金组合中，可能同时包括一个内地子基金和
一个海外子基金。
对冲基金的基金(Fund of Hedge Funds) 对冲基金的基金(FOHF)是将资产分配给不同的对冲基金管理人来管理，从而将资产投向他们所各自管理的基金产品。
FOHF的收益来自其所投资的基金。
术语定义
基金经理(Fund Manager) 基金经理根据其与基金所订立的投资管理合约而受托管理资产并
且有责任提供投资管理服务。
通常，基金经理会外包许多服务职能
给其关联方，但其仍然保留作为基金管理人的信托责任。
对冲基金(Hedge Fund) 对冲基金是一个持有各种证券和/或其他资产组合的机构。
跟其它
传统基金不同的是，对冲基金通常会利用杠杆原理，较少受到监管
和披露方面的限制。
只有高业绩的投资者和/或有经验的投资者才
被允许投资于对冲基金。
高水平线和
最低预期资本回收率(High Water Marks and Hurdle Rates) 高水平线是基金管理人在取得服务费之前其管理的基金必须达到的收入门槛。
基金管理人必须超过他之前所达到过的收入，才能获得额外的业绩奖励。
这就避免了基金管理人在同样的业绩情况下收取两次业绩报酬。
最低预期资本回收率、优先回报率和基准点指的是对冲基金管理人在收取业绩费之前所须到达的最低回报率。
最低预期资本回收率设置了一个业绩下限，对冲基金管理人必须超过该下限才可以获得业绩费。
最低预期资本回收率一般参考某一基准点来设定，比如银行间同业拆借利率。
杠杆(Leverage) 是指通过借入债务资金等方法以达成追求资本利得的目的。
管理费(Management Fee) 对冲基金管理人通常会收取被管理投资组合的管理服务费。
这项费
用一般按照管理资产规模的一定百分比支付，直接从被管理资产中
扣除，用以维持管理人的正常运作。
现行的业界惯例是收取被管理资产总额的1%到2%，当然也有其
他收费标准。
这也表明，特定的投资者可能会被给予管理服务费方
面的折扣。
母基金(Master Fund) 母基金作为一个投资工具，允许个人投资者将钱投资于一个或多个
由具有专业水准的经理人运作的不同的投资组合（参见子基金）。
多方管理(Multi-Managers) 多方管理是指将基金的财产分配给多个基金经理管理。
多方管理基
金有义务向每个管理人支付管理服务费。
现在有很多文章在讨论多
方管理基金与基金的基金（FOF）之间的区别，但实际上，它们都
是资产分配工具。
业绩奖金(Performance Fee) 业绩奖金是投资人对基金经理采取的关键性奖励措施，该措施将业绩和服务费进行了直接挂钩。
通常，基准点之上或者高水平线之上20%的投资组合的收益会支付给基金经理。
主要经纪(Prime Broker) 主要经纪，通常是一家投资银行，会为对冲基金的客户提供各种服
务。
这些服务除了主持资金募集会议和管理服务外，还包括执行买
卖任务、借款以及出于短期持有目的而借入股票等。
术语定义
定量分析师(Quants) 定量分析师指的是通过分析基准数据而获得投资结论的分析师。
定
量分析师常常开发“黑箱交易模式”。
“黑箱交易模式”能够自动进
行交易，并且能够为对冲基金管理人的操作产生显著的价值。
市场营销(Sales and Marketing) 跟其他基金不同，对冲基金在市场营销上面临很严格的限制。
通常，市场营销（有时指资本募集或者发行）包括开发营销策略、营销计划和营销材料。
这就需要进行尽职调查、制作招募说明书以及安排潜在投资者的会议。
在对冲基金行业内，起步阶段的营销工作常常更为重要，因为对冲基金管理人要吸引新资本的加入。
逐个选股vs.系统选股(Stock-Picking vs. Systematic Trading) 这里指的是对冲基金管理人在进行投资管理时的不同风格。
逐个选股是指对冲基金管理人通过基础调查、分析和直觉来选择股票。
系统选股则是指基金经理通过数学模型/自动选股机制/黑箱操作机制的筛选结果来选择股票。
二级顾问(Sub-advisor) 是指由指定顾问雇用的，管理部分被管理基金的投资顾问。
第三方营销人(Third Party Marketers) 是指受雇于对冲基金管理人，通过其商业网络来帮助基金管理人募集资金的咨询服务提供商。