投资学Chapter 2

投资学Chap002CHAPTER 2: ASSET CLASSES AND FINANCIALINSTRUMENTSPROBLEM SETS1. Preferred stock is like long-term debt in that it typically promises a fixed paymenteach year. In this way, it is a perpetuity. Preferred stock is also like long-termdebt in that it does not give the holder voting rights in the firm.Preferred stock is like equity in that the firm is under no contractual obligation tomake the preferred stock dividend payments. Failure to make payments does not set off corporate bankruptcy. With respect to the priority of claims to the assets of thefirm in the event of corporate bankruptcy, preferred stock has a higher priority than common equity but a lower priority than bonds.2. Money market securities are called “cash equivalents” because of their greatliquidity. The prices of money market securities are very stable, and they can beconverted to cash (i.e., sold) on very short notice and with very low transactioncosts.3. (a) A repurchase agreement is an agreement whereby the seller of a securityagrees to “repurchase” it from the buyer on an agreed upon date at an agreedupon price. Repos are typically used by securities dealers as a means forobtaining funds to purchase securities.4. The spread will widen. Deterioration of the economy increases credit risk, that is,the likelihood of default. Investors will demand a greater premium on debtsecurities subject to default risk.5.6. Municipal Bond interest is tax-exempt. When facing higher marginal tax rates, ahigh-income investor would be more inclined to pick tax-exempt securities.7. a. You would have to pay the asked price of:86:14 = 86.43750% of par = $864.375b. The coupon rate is 3.5% implying coupon payments of $35.00 annually or,more precisely, $17.50 semiannually.c.Current yield = Annual coupon income/price= $35.00/$864.375 = 0.0405 = 4.05%dividends, the taxable income is: 0.30 ? $4 = $1.20Therefore, taxes are: 0.30 ? $1.20 = $0.36After-tax income is: $4.00 – $0.36 = $3.64Rate of return is: $3.64/$40.00 = 9.10%10. a. You could buy: $5,000/$67.32 = 74.27 sharesb. Your annual dividend income would be: 74.27 ? $1.52 = $112.89c. The price-to-earnings ratio is 11 and the price is $67.32. Therefore:$67.32/Earnings per share = 11 ? Earnings per share = $6.12d. General Dynamics closed today at $67.32, which was $0.47 higher than yesterday’s price. Yesterday’s closing price was: $66.8511. a. At t = 0, the value of the index is: (90 + 50 + 100)/3 = 80At t = 1, the value of the index is: (95 + 45 + 110)/3 = 83.333The rate of return is: (83.333/80) - 1 = 4.17%b. In the absence of a split, Stock C would sell for 110, so the value of theindex would be: 250/3 = 83.333After the split, Stock C sells for 55. Therefore, we need to find thedivisor (d) such that: 83.333 = (95 + 45 + 55)/d ? d = 2.340c. The return is zero. The index remains unchanged because the return foreach stock separately equals zero.12. a. Total market value at t = 0 is: ($9,000 + $10,000 + $20,000) = $39,000Total market value at t = 1 is: ($9,500 + $9,000 + $22,000) = $40,500Rate of return = ($40,500/$39,000) – 1 = 3.85%b.The return on each stock is as follows:r A = (95/90) – 1 = 0.0556r B = (45/50) – 1 = –0.10r C = (110/100) – 1 = 0.10The equally-weighted average is:[0.0556 + (-0.10) + 0.10]/3 = 0.0185 = 1.85%13. The after-tax yield on the corporate bonds is: 0.09 ? (1 – 0.30) = 0.0630 = 6.30% Therefore, municipals must offer at least 6.30% yields.14. Equation (2.2) shows that the equivalent taxable yield is: r = r m /(1 – t)a. 4.00%b. 4.44%15. In an equally-weighted index fund, each stock is given equal weight regardless of its market capitalization. Smaller cap stocks will have the same weight as larger cap stocks. The challenges are as follows:Given equal weights placed to smaller cap and larger cap, equal-weighted indices (EWI) will tend to be more volatile than their market-capitalization counterparts;It follows that EWIs are not good reflectors of the broad market whichthey represent; EWIs underplay the economic importance of largercompanies;Turnover rates will tend to be higher, as an EWI must be rebalancedback to its original target. By design, many of the transactions would beamong the smaller, less-liquid stocks.16. a. The higher coupon bond.b. The call with the lower exercise price.c. The put on the lower priced stock.17. a. You bought the contract when the futures price was $3.835 (see Figure2.10). The contract closes at a price of $3.875, which is $0.04 more than theoriginal futures price. The contract multiplier is 5000. Therefore, the gain willbe: $0.04 ? 5000 = $200.00b. Open interest is 177,561 contracts.18. a. Since the stock price exceeds the exercise price, you exercise the call.The payoff on the option will be: $21.75 - $21 = $0.75The cost was originally $0.64, so the profit is: $0.75 - $0.64 = $0.11b. If the call has an exercise price of $22, you would not exercise for any stockprice of $22 or less. The loss on the call would be the initial cost: $0.30c. Since the stock price is less than the exercise price, you will exercise the put.The payoff on the option will be: $22 - $21.75 = $0.25The option originally cost $1.63 so the profit is: $0.25 ? $1.63 = ?$1.3819. There is always a possibility that the option will be in-the-money at some time prior to expiration. Investors will pay something for this possibility of a positive payoff.20.Value of call at expiration Initial Cost Profitc. 0 4 -4d. 5 4 1e. 10 4 6Value of put at expiration Initial Cost Profita. 10 6 4b. 5 6 -1c. 0 6 -6d. 0 6 -6e. 0 6 -621. A put option conveys the right to sell the underlying asset at the exercise price. Ashort position in a futures contract carries an obligation to sell the underlying asset at the futures price.22. A call option conveys the right to buy the underlying asset at the exercise price.A long position in a futures contract carries an obligation to buy the underlyingasset at the futures price.CFA PROBLEMS1.(d)2. The equivalent taxable yield is: 6.75%/(1 - 0.34) = 10.23%3. (a) Writing a call entails unlimited potential losses as the stock price rises.4. a. The taxable bond. With a zero tax bracket, the after-tax yield for thetaxable bond is the same as the before-tax yield (5%), which is greater thanthe yield on the municipal bond.b. The taxable bond. The after-tax yield for the taxable bond is:0.05? (1 – 0.10) = 4.5%c. You are indifferent. The after-tax yield for the taxable bond is:0.05 ? (1 – 0.20) = 4.0%The after-tax yield is the same as that of the municipal bond.d. The municipal bond offers the higher after-tax yield for investors in taxbrackets above 20%.5.If the after-tax yields are equal, then: 0.056 = 0.08 × (1 – t)This implies that t = 0.30 =30%.。

CHAPTER 02 ASSET CLASSES AND FINANCIAL INSTRUMENTS mon stock is an ownership share in a publicly held corporation. Commonshareholders have voting rights and may receive dividends. Preferred stockrepresents nonvoting shares in a corporation, usually paying a fixed stream ofdividends. While corporate bonds are long-term debt by corporations, typically paying semi-annual coupons and returning the face value of the bond at maturity.2.While the DJIA has 30 large corporations in the index, it does not represent theoverall market nearly as well as the 500 stocks contained in The Wilshire index.The DJIA is simply too small.3.They are short term, very safe, and highly liquid. Also, their unit value almostnever changes.4.Treasury bills, certificates of d eposit, commercial paper, bankers’ acceptances,Eurodollars, repos, reserves, federal funds and brokers’ calls.5.American Depository Receipts, or ADRs, are certificates traded in U.S. marketsthat represent ownership in shares of a foreign company. Investors may alsopurchase shares of foreign companies on foreign exchanges. Lastly, investors may use international mutual funds to own shares indirectly.6.Because they produce coupons that are tax free.7.The fed funds rate is simply the rate of interest on very short-term loans amongfinancial institutions. The London Interbank Offer Rate (LIBOR) is the rate at which large banks in London are willing to lend money among themselves.8.General obligation bonds are backed by the local governments, while revenuebonds have proceeds attached to specific projects. A revenue bond has lessguarantees, therefore, it is riskier and will have a higher yield.9.Corporations may exclude 70% of dividends received from domestic corporationsin the computation of their taxable income.10.Limited liability means that the most shareholders can lose in event of the failureof the corporation is their original investment.11.Money market securities are referred to as “cash equivalents” because of theirgreat liquidity. The prices of money market securities are very stable, and they can be converted to cash (i.e., sold) on very short notice and with very lowtransaction costs.12.Taxable equivalent yield = .0675 / (1-.35) = .103813.a.The taxable bond. With a zero tax bracket, the after-tax yield for thetaxable bond is the same as the before-tax yield (5%), which is greaterthan the yield on the municipal bond.b.The taxable bond. The after-tax yield for the taxable bond is:0.05 x (1 – 0.10) = 4.5%c.You are indifferent. The after-tax yield for the taxable bond is:0.05 x (1 – 0.20) = 4.0%The after-tax yield is the same as that of the municipal bond.d.The municipal bond offers the higher after-tax yield for investors in taxbrackets above 20%.14.The after-tax yield on the corporate bonds is: [0.09 x (1 – 0.30)] = 0.0630 =6.30%. Therefore, the municipals must offer at least 6.30% yields.15.The equivalent taxable yield (r) is: r = rm/(1 – t)a. 4.00%b. 4.44%c. 5.00%d. 5.71%16.a.You would have to pay the asked price of:107:27 = 107.8438% of par = $1,074.438b.The coupon rate is 4.875%, implying coupon payments of $48.75 annuallyor, more precisely, $24.375 semiannually.c.Current yield = Annual coupon income/price =4.875/107.8438= 0.0452 = 4.52%17.a.The closing price today is $74.92, which is $1.82 below yesterday’s price.Therefore, yesterday’s closing price was: $74.92 + $1.82 = $76.74b.You could buy: $5,000/$74.92 = 66.74 sharesc.Your annual dividend income would be 1.90 % of $5,000, or $95.d.Earnings per share can be derived from the price-earnings (PE) ratio.Price/Earnings = 13 and Price = $74.92 so that Earnings = $74.92/13 =$5.763118.a.At t = 0, the value of the index is: (90 + 50 + 100)/3 = 80At t = 1, the value of the index is: (95 + 45 + 110)/3 = 83.3333The rate of return is: (83.3333/80) – 1 = 4.167%b.In the absence of a split, stock C would sell for 110, and the value of theindex would be: (95 + 45 + 110)/3 = 83.3333After the split, stock C sells at 55. Therefore, we need to set the divisor (d)such that:83.3333 = (95 + 45 + 55)/d…..d = 2.340c.The rate of return is zero. The index remains unchanged, as it should,since the return on each stock separately equals zero.19.a.Total market value at t = 0 is: (9,000 + 10,000 + 20,000) = 39,000Total market value at t = 1 is: (9,500 + 9,000 + 22,000) = 40,500Rate of return = (40,500/39,000) – 1 = 3.85%b.The return on each stock is as follows:R a = (95/90) – 1 = 0.0556R b = (45/50) – 1 = –0.10R c = (110/100) – 1 = 0.10The equally-weighted average is: [0.0556 + (-0.10) + 0.10]/3 =0.0185 = 1.85%20.The fund would require constant readjustment since every change in the price of astock would bring the fund asset allocation out of balance.21.It would increase by 19 points. (60 – 3) / 3 = 1922.Price3.4% x (87/360) = 0.8217% or a $ price of $10,000 x (1-.008217) = $9,917.83Equivalent Yield10,000 / 9,9917.83 = 1.0083 x 365/87 = 4.23%23.a.The higher coupon bondb.The call with the lower exercise pricec.The put on the lower priced stock24.a.The December maturity futures price is $5.116 per bushel. If the contractcloses at $5.25 per bushel in December, your profit / loss on each contract(for delivery of 5,000 bushels of corn) will be: ($5.25 - $5.116) x 5000 =$ 670 gain.b.There are 5114,099 contracts outstanding, representing 570,495,000bushels of corn.25.a.Yes. As long as the stock price at expiration exceeds the exercise price, itmakes sense to exercise the call.Gross profit is: $111 - $ 105 = $6Net profit = $6 – $ 22.40 = $16.40 lossRate of return = -16.40 / 22.40 = - .7321 or 73.21% lossb.Yes, exercise.Gross profit is: $111 - $ 100 = $11Net profit = $11 – $ 22.40 = $11.40 lossRate of return = -11.40 / 22.40 = 0.5089 or 50.89 % lossc. A put with exercise price $105 would expire worthless for any stock priceequal to or greater than $105. An investor in such a put would have a rateof return over the holding period of –100%.26.a.Long callb.Long putc.Short putd.Short call27.There is always a chance that the option will expire in the money. Investors willpay something for this chance of a positive payoff.28.Value of callInitial Cost Profitat expirationa. 0 4 -4b. 0 4 -4c. 0 4 -4d. 5 4 1e. 10 4 6Value of putInitial Cost Profitat expirationa. 10 6 4b. 5 6 -1c. 0 6 -6d. 0 6 -6e. 0 6 -629.The spread will widen. Deterioration of the economy increases credit risk, that is,the likelihood of default. Investors will demand a greater premium on debtsecurities subject to default risk.30.Eleven stocks have a 52 week high at least 150% above the 52 week low.Individual stocks are much more volatile than a group of stocks.31.The total before-tax income is $4. After the 70% exclusion, taxable income is:0.30 x $4 = $1.20Therefore:Taxes = 0.30 x $1.20 = $0.36After-tax income = $4 – $0.36 = $3.64After-tax rate of return = $3.64 / $40 = 9.10%32.A put option conveys the right to sell the underlying asset at the exercise price. Ashort position in a futures contract carries an obligation to sell the underlyingasset at the futures price.33.A call option conveys the right to buy the underlying asset at the exercise price.A long position in a futures contract carries an obligation to buy the underlyingasset at the futures price.CFA 1Answer: c。

第1章参考答案1.实物投资与金融投资的关系：投资具体包括实物投资（real investment）和金融投资（financial investment）两大类。

其中，实物投资是与实际资产相关的，如厂房、机器、土地等生产要素，通过这类投资活动可以获得用于生产或创造的资源，即资本形成；而金融投资则是与种类繁多的金融工具相关，如股票、债券、基金、金融衍生品等，通过在金融市场上交易金融工具获取一定数量的收益。

在过去的经济运行中，大多数投资主要表现为第一种方式，即实物投资；而在现代经济中，大多数投资则是表现为金融投资方式，这种趋势与金融市场深化及金融投资机构发展密切相关。

当然，尽管在经济生活中可以区分这两类投资方式，但是这两种投资方式并非相互排斥而是相互补充的，实物投资可以为金融投资奠定重要的基础，投资主体在高度发达的金融市场上进行金融投资服务又可以大大促进实物投资的发展，这也就是通常所说的虚拟经济与实体经济的良性互动问题。

2.对于投资者来讲，进行金融投资主要出于以下几方面的目的：(1)获得收入。

投资者希望通过投资，在未来获得一系列的收入。

(2)资本保值，即为了保持原始价值而进行的投资。

投资者通过一些保守的投资方式,使资金在未来某一时点在购买力上不遭受损失。

保值是真实购买力的价值被保值，因此名义价值的增长率应该趋于通货膨胀率.(3)资本增值。

投资者通过投资，可以实现资金升值、价值增长的目标。

为实现这一目标，投资的货币价值增长率应该高于通货膨胀率，在扣除了税收和通胀等因素后，真实的收益率应该为正。

(4)获得对相关企业的控制权。

投资者，尤其是具有雄厚资金的投资者往往出于控制相关企业控制权的目的，而持有该企业的金融资产(如股票)。

3.投资决策的流程包括设定投资目标、投资工具分析、制定投资策略、投资实施和监控评价五个部分。

设定投资目标：投资过程的首要步骤，就是投资者的投资目标。

投资者应首先制订投资计划，投资计划中应包含投资者的风险收益的具体目标及限制条件。

《投资学》第2章金融市场与金融工具在当今的经济社会中，金融市场和金融工具扮演着至关重要的角色。

它们不仅是资金融通的重要渠道，也是投资者实现财富增值和风险管理的重要手段。

金融市场，简单来说，就是资金供求双方进行资金交易的场所。

它可以分为不同的类型，比如按照交易期限的长短，可分为货币市场和资本市场。

货币市场主要是进行短期资金融通的市场，交易的金融工具期限通常在一年以内，像国库券、商业票据、银行承兑汇票等。

这些工具具有流动性强、风险低的特点。

而资本市场则是长期资金交易的场所，包括股票市场、债券市场等，交易的金融工具期限较长，如股票、长期债券等，其风险相对较高，但潜在的收益也可能更大。

金融市场还可以按照交易对象的不同，分为现货市场和期货市场。

现货市场中，交易是即时进行的，买卖双方当场成交并交割。

而期货市场则是交易双方在未来某个约定的时间按照约定的价格进行交易，它的主要作用是帮助投资者进行套期保值和价格发现。

再来说说金融工具。

金融工具是在金融市场中可交易的金融资产，它是资金融通的载体。

常见的金融工具包括股票、债券、基金、期货、期权等。

股票，作为一种重要的金融工具，代表着对公司的所有权。

投资者购买股票，就成为了公司的股东，有权分享公司的利润，同时也要承担公司经营风险。

股票的价格会受到公司业绩、宏观经济环境、行业发展等多种因素的影响，具有较高的不确定性和波动性。

债券则是一种债务工具，是发行者向投资者借款的一种凭证。

债券通常有固定的利率和到期日，投资者在到期时可以收回本金和利息。

相比股票，债券的风险较低，但收益也相对较稳定。

基金是一种集合投资工具，它通过汇集众多投资者的资金，由专业的基金经理进行投资管理。

基金的种类繁多，有股票型基金、债券型基金、混合型基金等，可以满足不同投资者的风险偏好和投资目标。

期货和期权则是金融衍生品，它们的价值取决于基础资产的价格变动。

期货合约是双方约定在未来某个特定时间以特定价格买卖一定数量的某种商品或金融资产的标准化合约。