Essentials_Of_Investments_8th_Ed_Bodie_投资学精要(第八版)课

研究生课程专题研究《现代资本市场理论》Contemporary Capital Market Theory华侨大学工商管理学院Huaqiao University, China2010.9Reference:Capital Markets Institutions and Instruments (2E): Frank J. Fabozzi, Fraco Modigliani 1996 Corporate Finance (5E)：Stephen A. Ross, Randolph W. Westerfield, Jeffrey F. Jaffe 1999 Investments(5E)：William Sharpe, Gordon Alexander & Jeffery Bailey, 1998Essentials of Investments (4E): Zvi Bodie, Alex Kane, Alan J. Marcus, 陈雨露译, 2003, 人大出版社Investments (7E): (美)滋维-博迪, 亚历克斯-凯恩, 艾伦, J.马库斯著, 2009, 机械工业出版社Introduction to investment: Levy, H. 1999, 任淮秀等译Portfolio Management: Theory and Application (2E), Farrell Jr. Reinhart W. J. 齐寅峰等译, 机械工业出版社, 2000现代资本市场理论研究, 郭敏等编, 人大出版社, 2006现代证券金融理论前沿与中国实证, 杨朝军,蔡明超,杨一文著, 上海交通大学, 2004年现代投资学－－组合投资分析与管理, 戴晓凤, 晏艳阳著, 湖南人民出版社, 2003年现代投资学,孔爱国著, 上海人民出版社, 2003年投资学, 张宗新编著, 复旦大学出版社, 2006年资产定价理论, 杨大楷等, 上海财经大学, 2004年金融经济学(Financial Economics), Brian Kettell, 刘利, 中国金融出版社, 2005金融经济学, 汪昌云, 中国人民大学出版社, 2006高级财务学, 王化成, 中国人民大学出版社, 200610 classical papers on finance marketPorfolio Selection, by Harry Markowitz, The Journal of Finance, Vol. 7, No. 1, March 1952.Capital Asset Prices: A Theory of Market Equilibrium Under conditions of Risk, by William F. Sharp, The Journal of Finance, Vol. 19, No. 3, Sep 1964.How to Rate Management of Investment Funds, by JackL. Treynor, Harvard Business Review, Vol.43, No. 1, Jan/Feb 1965.The Cost of Capital, Corporation Finance and the Theory of Investment, by Franco Modigliani and Merton H. Miller, The American economic review, Vol. 48, No. 3, June 1958.Dividend Policy, Growth, and the Valuation of Shares, by Merton H. Miller and Franco Modigliani, The Journal of Business, Vol. 34, No. 4 Oct, 1961.Distribution of Incomes of Corporations Among Dividends, Retained Earnings, and Taxes, by John Lintner, The American Economic Review, Vol. 46, No. 2, May 1956.Dividend Policies and common Stock Prices, by James E. Walter, The Journal of Finance, Vol. 11, No.1, Mar 1956.A Theory of Price-Earnings Ratios, by Molodovsky, The Analysts Journal, Vol. 9, No. 5, Nov 1953. Stock Prices and Current Earnings, by Molodovsky, The Analysts Journal, vol. 11, No. 4, Aug 1955. The Behavior of Stock-Market Prices, by Fama, The Journal of Business, Vol. 38, No. 1, Jan 1965. Growth Stocks and the Petersburg Paradox, by Durand, Journal of Finance, Vol. 12, No.3, Sep 1957. Brownian Motion in the Stock Market, by Osborne, Operations Research, Vol.7, Mar-Apr 1959.How to Use Security Analysis to Improve Portfolio Selection, by Treynor and Fischer Black, The Journal of Business, Vol. 46, No. 1, January 1973.Evolution of Modern Portfolio Theory, by Professor William F. Sharpe.资本市场理论研究导向：[2000] 詹姆斯·赫克曼( James J. Heckman) 丹尼尔·麦克法登( Daniel L.Mcfadden) ：微观计量经济学领域的实证分析理论和方法[2001] 约瑟夫·斯蒂格利茨（JosephE.Stiglitz）: 不对称信息市场分析[2002] 丹尼尔-卡恩曼(Daniel Kahneman) :运用心理经济学研究市场机制选择[2003] 罗伯特·恩格尔(Robert F. Engle)和克莱夫·格兰杰(Briton Clive WJ Granger) :时间序列变化的变更率和非平稳性。

《30部必读的投资学经典》[PDF]状态: 精华资源VeryCD版主招募火热投票中！摘要: 发行时间: 2006年语言: 简体中文时间: 5月16日发布 | 6月2日更新分类: 资料电子图书统计: 152170次浏览 | 2234次收藏收藏:相关:•详细内容•相关资源•补充资源•用户评论电驴资源下面是用户共享的文件列表，安装电驴后，您可以点击这些文件名进行下载6.2更新书目（英文版）Beating.the.Street.pdf 详情12.3MBTechnical.Analysis.of.the.Financial.Markets.pdf 详情20.3MBInvestment.6th.Edition.pdf 详情19.9MB5.21早更新书目（英文版）Common.Stocks.and.Uncommon.Profits.and.Other.Writings.pd26.4MBf 详情How.to.Make.Money.in.Stocks.pdf 详情5MBIrrational.Exuberance.rar 详情3MBTrader.Vic.rar 详情 1.8MBTechnical.Analysis.of.Stock.Trends.pdf 详情 4.6MB5.20早更新书目（英文版）What.Works.on.Wall.Street.pdf 详情 4.8MBTrade.Your.Way.to.Financial.Freedom.pdf 详情 3.3MBThe.Intelligent.Investor.pdf 详情 6.2MBThe.Essays.of.Warren.Buffett.pdf 详情 1.2MBReminiscences.of.a.Stock.Operator.pdf 详情1MBWinning.the.Losers'Game.pdf 详情 3.7MB5.19晚更新书目（英文版）45.Years.In.Wall.Street.pdf 详情11.9MBThe.Alchemy.Of.Finance.pdf 详情16.2MBChaos.and.Order.in.the.Capital.Markets.pdf 详情9.4MBArt.of.Creative.Thinking.pdf 详情 1.2MBA.Random.Walk.Down.Wall.Street.pdf 详情 4.9MB无敌的分隔线30部必读的投资学经典.pdf 详情36MB【聪明的投资者】.pdf 详情 5.7MB【金融炼金术】.pdf 详情8.2MB【漫步华尔街】.pdf 详情12.8MB【克罗谈投资策略】.pdf 详情 2.3MB【艾略特波浪理论】.pdf 详情 6.9MB【怎样选择成长股】.pdf 详情 5.5MB【投资学】.pdf 详情97.5MB【金融学】.pdf 详情11.8MB【华尔街四十五年】.rar 详情4MB【投资艺术】.pdf 详情7.6MB【股市趋势技术分析.目录】.pdf 详情2MB【股市趋势技术分析】.pdf 详情40.6MB【金融市场技术分析】.pdf 详情20.9MB【笑傲股市】.pdf 详情8.2MB【股票作手回忆录】.pdf 详情40.3MB【资本市场的混沌与秩序】.pdf 详情 4.5MB【华尔街股市投资经典】.pdf 详情11.2MB【战胜华尔街】.pdf 详情 6.1MB【专业投机原理】.pdf 详情25.3MB【巴菲特从100元到160亿】.pdf 详情 6.6MB【交易冠军】.txt 详情429.8KB【罗杰斯环球投资旅行】.pdf 详情15.4MB【世纪炒股赢家】.pdf 详情7.9MB【一个投机者的告白】.pdf 详情4MB【逆向思考的艺术】.pdf 详情 3.4MB【通向金融王国的自由之路】.pdf 详情11.7MB【泥鸽靶】.pdf 详情 4.2MB【贼巢】.pdf 详情 1.6MB【非理性的繁荣】.pdf 详情 6.6MB【伟大的博弈】.pdf 详情39.1MB【散户至上】.pdf 详情8.1MB全选623.6MB中文名: 30部必读的投资学经典资源格式: PDF发行时间: 2006年地区: 大陆语言: 简体中文简介:作者：高倚云等编著出版社：北京工业大学出版社出版时间： 2006-1-1【推荐】本书是“大师经典读书计划”系列中的一本，该书从投资领域中选取了30位最具影响力的大师，着重介绍他们最具代表性的作品，这些流芳百世的经典之作曾经是一代又一代人的路标，了解并阅读这些经典著作，必将给每一位读者以智慧的启迪。

CHAPTER 07CAPITAL ASSET PRICING AND ARBITRAGE PRICINGTHEORY1. The required rate of return on a stock is related to the required rate of return on thestock market via beta. Assuming the beta of Google remains constant, the increase in the risk of the market will increase the required rate of return on the market, and thus increase the required rate of return on Google.2. An example of this scenario would be an investment in the SMB and HML. As of yet,there are no vehicles (index funds or ETFs) to directly invest in SMB and HML. While they may prove superior to the single index model, they are not yet practical, even for professional investors.3. The APT may exist without the CAPM, but not the other way. Thus, statement a ispossible, but not b. The reason being, that the APT accepts the principle of risk and return, which is central to CAPM, without making any assumptions regardingindividual investors and their portfolios. These assumptions are necessary to CAPM.4. E(r P ) = r f + β[E(r M ) – r f ]20% = 5% + β(15% – 5%) ⇒ β = 15/10 = 1.55. If the beta of the security doubles, then so will its risk premium. The current riskpremium for the stock is: (13% - 7%) = 6%, so the new risk premium would be 12%, and the new discount rate for the security would be: 12% + 7% = 19%If the stock pays a constant dividend in perpetuity, then we know from the original data that the dividend (D) must satisfy the equation for a perpetuity:Price = Dividend/Discount rate 40 = D/0.13 ⇒ D = 40 ⨯ 0.13 = $5.20 At the new discount rate of 19%, the stock would be worth: $5.20/0.19 = $27.37The increase in stock risk has lowered the value of the stock by 31.58%.6. The cash flows for the project comprise a 10-year annuity of $10 million per year plus anadditional payment in the tenth year of $10 million (so that the total payment in the tenth year is $20 million). The appropriate discount rate for the project is:r f + β[E(r M ) – r f ] = 9% + 1.7(19% – 9%) = 26% Using this discount rate:NPV = –20 + +∑=101t t26.1101026.110= –20 + [10 ⨯ Annuity factor (26%, 10 years)] + [10 ⨯ PV factor (26%, 10 years)] = 15.64The internal rate of return on the project is 49.55%. The highest value that beta can take before the hurdle rate exceeds the IRR is determined by:49.55% = 9% + β(19% – 9%) ⇒ β = 40.55/10 = 4.055 7. a. False. β = 0 implies E(r) = r f , not zero.b. False. Investors require a risk premium for bearing systematic (i.e., market orundiversifiable) risk.c. False. You should invest 0.75 of your portfolio in the market portfolio, and theremainder in T-bills. Then: βP = (0.75 ⨯ 1) + (0.25 ⨯ 0) = 0.758.a. The beta is the sensitivity of the stock's return to the market return. Call theaggressive stock A and the defensive stock D . Then beta is the change in the stock return per unit change in the market return. We compute each stock's beta by calculating the difference in its return across the two scenarios divided by the difference in market return.00.2205322A =--=β70.0205145.3D =--=βb. With the two scenarios equal likely, the expected rate of return is an average ofthe two possible outcomes: E(r A ) = 0.5 ⨯ (2% + 32%) = 17%E(r B ) = 0.5 ⨯ (3.5% + 14%) = 8.75%c. The SML is determined by the following: T-bill rate = 8% with a beta equal tozero, beta for the market is 1.0, and the expected rate of return for the market is:0.5 ⨯ (20% + 5%) = 12.5%See the following graph.812.5%S M LThe equation for the security market line is: E(r) = 8% + β(12.5% – 8%) d. The aggressive stock has a fair expected rate of return of:E(r A ) = 8% + 2.0(12.5% – 8%) = 17%The security analyst’s estimate of the expected rate of return is also 17%.Thus the alpha for the aggressive stock is zero. Similarly, the required return for the defensive stock is:E(r D ) = 8% + 0.7(12.5% – 8%) = 11.15%The security analyst’s estimate of the expected return for D is only 8.75%, and hence:αD = actual expected return – required return predicted by CAPM= 8.75% – 11.15% = –2.4%The points for each stock are plotted on the graph above.e. The hurdle rate is determined by the project beta (i.e., 0.7), not by the firm’sbeta. The correct discount rate is therefore 11.15%, the fair rate of return on stock D.9. Not possible. Portfolio A has a higher beta than Portfolio B, but the expected returnfor Portfolio A is lower.10. Possible. If the CAPM is valid, the expected rate of return compensates only forsystematic (market) risk as measured by beta, rather than the standard deviation, which includes nonsystematic risk. Thus, Portfolio A's lower expected rate of return can be paired with a higher standard deviation, as long as Portfolio A's beta is lower than that of Portfolio B.11. Not possible. The reward-to-variability ratio for Portfolio A is better than that of themarket, which is not possible according to the CAPM, since the CAPM predicts that the market portfolio is the most efficient portfolio. Using the numbers supplied:S A =5.0121016=- S M =33.0241018=-These figures imply that Portfolio A provides a better risk-reward tradeoff than the market portfolio.12. Not possible. Portfolio A clearly dominates the market portfolio. It has a lowerstandard deviation with a higher expected return.13. Not possible. Given these data, the SML is: E(r) = 10% + β(18% – 10%)A portfolio with beta of 1.5 should have an expected return of: E(r) = 10% + 1.5 ⨯ (18% – 10%) = 22%The expected return for Portfolio A is 16% so that Portfolio A plots below the SML (i.e., has an alpha of –6%), and hence is an overpriced portfolio. This is inconsistent with the CAPM.14. Not possible. The SML is the same as in Problem 12. Here, the required expectedreturn for Portfolio A is: 10% + (0.9 ⨯ 8%) = 17.2%This is still higher than 16%. Portfolio A is overpriced, with alpha equal to: –1.2%15. Possible. Portfolio A's ratio of risk premium to standard deviation is less attractivethan the market's. This situation is consistent with the CAPM. The market portfolio should provide the highest reward-to-variability ratio.16.a.b.As a first pass we note that large standard deviation of the beta estimates. None of the subperiod estimates deviate from the overall period estimate by more than two standard deviations. That is, the t-statistic of the deviation from the overall period is not significant for any of the subperiod beta estimates. Looking beyond the aforementioned observation, the differences can be attributed to different alpha values during the subperiods. The case of Toyota is most revealing: The alpha estimate for the first two years is positive and for the last two years negative (both large). Following a good performance in the "normal" years prior to the crisis, Toyota surprised investors with a negative performance, beyond what could be expected from the index. This suggests that a beta of around 0.5 is more reliable. The shift of the intercepts from positive to negative when the index moved to largely negative returns, explains why the line is steeper when estimated for the overall period. Draw a line in the positive quadrant for the index with a slope of 0.5 and positive intercept. Then draw a line with similar slope in the negative quadrant of the index with a negative intercept. You can see that a line that reconciles the observations for both quadrants will be steeper. The same logic explains part of the behavior of subperiod betas for Ford and GM.17. Since the stock's beta is equal to 1.0, its expected rate of return should be equal to thatof the market, that is, 18%. E(r) =01P P P D -+0.18 =100100P 91-+⇒ P 1 = $10918. If beta is zero, the cash flow should be discounted at the risk-free rate, 8%:PV = $1,000/0.08 = $12,500If, however, beta is actually equal to 1, the investment should yield 18%, and the price paid for the firm should be:PV = $1,000/0.18 = $5,555.56The difference ($6944.44) is the amount you will overpay if you erroneously assume that beta is zero rather than 1.ing the SML: 6% = 8% + β(18% – 8%) ⇒β = –2/10 = –0.220.r1 = 19%; r2 = 16%; β1 = 1.5; β2 = 1.0a.In order to determine which investor was a better selector of individual stockswe look at the abnormal return, which is the ex-post alpha; that is, the abnormalreturn is the difference between the actual return and that predicted by the SML.Without information about the parameters of this equation (i.e., the risk-free rateand the market rate of return) we cannot determine which investment adviser isthe better selector of individual stocks.b.If r f = 6% and r M = 14%, then (using alpha for the abnormal return):α1 = 19% – [6% + 1.5(14% – 6%)] = 19% – 18% = 1%α2 = 16% – [6% + 1.0(14% – 6%)] = 16% – 14% = 2%Here, the second investment adviser has the larger abnormal return and thusappears to be the better selector of individual stocks. By making betterpredictions, the second adviser appears to have tilted his portfolio toward under-priced stocks.c.If r f = 3% and r M = 15%, then:α1 =19% – [3% + 1.5(15% – 3%)] = 19% – 21% = –2%α2 = 16% – [3%+ 1.0(15% – 3%)] = 16% – 15% = 1%Here, not only does the second investment adviser appear to be a better stockselector, but the first adviser's selections appear valueless (or worse).21.a.Since the market portfolio, by definition, has a beta of 1.0, its expected rate ofreturn is 12%.b.β = 0 means the stock has no systematic risk. Hence, the portfolio's expectedrate of return is the risk-free rate, 4%.ing the SML, the fair rate of return for a stock with β= –0.5 is:E(r) = 4% + (–0.5)(12% – 4%) = 0.0%The expected rate of return, using the expected price and dividend for next year: E(r) = ($44/$40) – 1 = 0.10 = 10%Because the expected return exceeds the fair return, the stock must be under-priced.22.The data can be summarized as follows:ing the SML, the expected rate of return for any portfolio P is:E(r P) = r f + β[E(r M) – r f ]Substituting for portfolios A and B:E(r A) = 6% + 0.8 ⨯ (12% – 6%) = 10.8%E(r B) = 6% + 1.5 ⨯ (12% – 6%) = 15.0%Hence, Portfolio A is desirable and Portfolio B is not.b.The slope of the CAL supported by a portfolio P is given by:S =P fP σr)E(r-Computing this slope for each of the three alternative portfolios, we have:S (S&P 500) = 6/20S (A) = 5/10S (B) = 8/31Hence, portfolio A would be a good substitute for the S&P 500.23.Since the beta for Portfolio F is zero, the expected return for Portfolio F equals therisk-free rate.For Portfolio A, the ratio of risk premium to beta is: (10% - 4%)/1 = 6%The ratio for Portfolio E is higher: (9% - 4%)/(2/3) = 7.5%This implies that an arbitrage opportunity exists. For instance, you can create aPortfolio G with beta equal to 1.0 (the same as the beta for Portfolio A) by taking a long position in Portfolio E and a short position in Portfolio F (that is, borrowing at the risk-free rate and investing the proceeds in Portfolio E). For the beta of G to equal 1.0, theproportion (w) of funds invested in E must be: 3/2 = 1.5The expected return of G is then:E(r G) = [(-0.50) ⨯ 4%] + (1.5 ⨯ 9%) = 11.5%βG = 1.5 ⨯ (2/3) = 1.0Comparing Portfolio G to Portfolio A, G has the same beta and a higher expected return.Now, consider Portfolio H, which is a short position in Portfolio A with the proceedsinvested in Portfolio G:βH = 1βG + (-1)βA = (1 ⨯ 1) + [(-1) ⨯ 1] = 0E(r H) = (1 ⨯ r G) + [(-1) ⨯ r A] = (1 ⨯ 11.5%) + [(- 1) ⨯ 10%] = 1.5%The result is a zero investment portfolio (all proceeds from the short sale of Portfolio Aare invested in Portfolio G) with zero risk (because β = 0 and the portfolios are welldiversified), and a positive return of 1.5%. Portfolio H is an arbitrage portfolio.24.Substituting the portfolio returns and betas in the expected return-beta relationship, weobtain two equations in the unknowns, the risk-free rate (r f ) and the factor return (F):14.0% = r f + 1 ⨯ (F – r f )14.8% = r f + 1.1 ⨯ (F – r f )From the first equation we find that F = 14%. Substituting this value for F into the second equation, we get:14.8% = r f + 1.1 ⨯ (14% – r f ) ⇒ r f = 6%25.a.Shorting equal amounts of the 10 negative-alpha stocks and investing the proceedsequally in the 10 positive-alpha stocks eliminates the market exposure and creates azero-investment portfolio. Using equation 7.5, and denoting the market factor as R M,the expected dollar return is [noting that the expectation of residual risk (e) inequation 7.8 is zero]:$1,000,000 ⨯ [0.03 + (1.0 ⨯ R M)] – $1,000,000 ⨯ [(–0.03) + (1.0 ⨯ R M)]= $1,000,000 ⨯ 0.06 = $60,000The sensitivity of the payoff of this portfolio to the market factor is zero because theexposures of the positive alpha and negative alpha stocks cancel out. (Notice thatthe terms involving R M sum to zero.) Thus, the systematic component of total riskalso is zero. The variance of the analyst's profit is not zero, however, since thisportfolio is not well diversified.For n = 20 stocks (i.e., long 10 stocks and short 10 stocks) the investor will have a$100,000 position (either long or short) in each stock. Net market exposure is zero,but firm-specific risk has not been fully diversified. The variance of dollar returnsfrom the positions in the 20 firms is:20 ⨯ [(100,000 ⨯ 0.30)2] = 18,000,000,000The standard deviation of dollar returns is $134,164.b.If n = 50 stocks (i.e., 25 long and 25 short), $40,000 is placed in each position,and the variance of dollar returns is:50 ⨯ [(40,000 ⨯ 0.30)2] = 7,200,000,000The standard deviation of dollar returns is $84,853.Similarly, if n = 100 stocks (i.e., 50 long and 50 short), $20,000 is placed ineach position, and the variance of dollar returns is:100 ⨯ [(20,000 ⨯ 0.30)2] = 3,600,000,000The standard deviation of dollar returns is $60,000.Notice that when the number of stocks increases by a factor of 5 (from 20 to 100),standard deviation falls by a factor of 5= 2.236, from $134,164 to $60,000. 26.Any pattern of returns can be "explained" if we are free to choose an indefinitely largenumber of explanatory factors. If a theory of asset pricing is to have value, it mustexplain returns using a reasonably limited number of explanatory variables (i.e.,systematic factors).27.The APT factors must correlate with major sources of uncertainty, i.e., sources ofuncertainty that are of concern to many investors. Researchers should investigatefactors that correlate with uncertainty in consumption and investment opportunities.GDP, the inflation rate and interest rates are among the factors that can be expected to determine risk premiums. In particular, industrial production (IP) is a good indicator of changes in the business cycle. Thus, IP is a candidate for a factor that is highlycorrelated with uncertainties related to investment and consumption opportunities in the economy.28.The revised estimate of the expected rate of return of the stock would be the oldestimate plus the sum of the unexpected changes in the factors times the sensitivitycoefficients, as follows:Revised estimate = 14% + [(1 ⨯ 1) + (0.4 ⨯ 1)] = 15.4%29.Equation 7.11 applies here:E(r P) = r f + βP1[E(r1) - r f] + βP2[E(r2) – r f]We need to find the risk premium for these two factors:γ1 = [E(r1) - r f] andγ2 = [E(r2) - r f]To find these values, we solve the following two equations with two unknowns: 40% = 7% + 1.8γ1 + 2.1γ210% = 7% + 2.0γ1 + (-0.5)γ2The solutions are: γ1 = 4.47% and γ2 = 11.86%Thus, the expected return-beta relationship is:E(r P) = 7% + 4.47βP1 + 11.86βP230.The first two factors (the return on a broad-based index and the level of interest rates)are most promising with respect to the likely impa ct on Jennifer’s firm’s cost of capital.These are both macro factors (as opposed to firm-specific factors) that can not bediversified away; consequently, we would expect that there is a risk premiumassociated with these factors. On the other hand, the risk of changes in the price ofhogs, while important to some firms and industries, is likely to be diversifiable, andtherefore is not a promising factor in terms of its impact on the firm’s cost of capital.31.Since the risk free rate is not given, we assume a risk free rate of 0%. The APT required(i.e., equilibrium) rate of return on the stock based on Rf and the factor betas is:Required E(r) = 0 + (1 x 6) + (0.5 x 2) + (0.75 x 4) = 10%According to the equation for the return on the stock, the actually expected return onthe stock is 6 % (because the expected surprises on all factors are zero by definition).Because the actually expected return based on risk is less than the equilibrium return,we conclude that the stock is overpriced.CFA 1a, c and dCFA 2a.E(r X) = 5% + 0.8(14% – 5%) = 12.2%αX = 14% – 12.2% = 1.8%E(r Y) = 5% + 1.5(14% – 5%) = 18.5%αY = 17% – 18.5% = –1.5%b.(i)For an investor who wants to add this stock to a well-diversified equityportfolio, Kay should recommend Stock X because of its positivealpha, while Stock Y has a negative alpha. In graphical terms, StockX’s expected return/risk profile plots above the SML, while Stock Y’sprofile plots below the SML. Also, depending on the individual riskpreferences of Kay’s clients, Stock X’s lower beta may have abeneficial impact on overall portfolio risk.(ii)For an investor who wants to hold this stock as a single-stock portfolio,Kay should recommend Stock Y, because it has higher forecastedreturn and lower standard deviation than S tock X. Stock Y’s Sharperatio is:(0.17 – 0.05)/0.25 = 0.48Stock X’s Sharpe ratio is only:(0.14 – 0.05)/0.36 = 0.25The market index has an even more attractive Sharpe ratio:(0.14 – 0.05)/0.15 = 0.60However, given the choice between Stock X and Y, Y is superior.When a stock is held in isolation, standard deviation is the relevantrisk measure. For assets held in isolation, beta as a measure of risk isirrelevant. Although holding a single asset in isolation is not typicallya recommended investment strategy, some investors may hold what isessentially a single-asset portfolio (e.g., the stock of their employercompany). For such investors, the relevance of standard deviationversus beta is an important issue.CFA 3a.McKay should borrow funds and i nvest those funds proportionally in Murray’sexisting portfolio (i.e., buy more risky assets on margin). In addition toincreased expected return, the alternative portfolio on the capital market line(CML) will also have increased variability (risk), which is caused by the higherproportion of risky assets in the total portfolio.b.McKay should substitute low beta stocks for high beta stocks in order to reducethe overall beta of York’s portfolio. By reducing the overall portfolio beta,McKay will reduce the systematic risk of the portfolio and therefore theportfolio’s volatility relative to the market. The security market line (SML)suggests such action (moving down the SML), even though reducing beta mayresult in a slight loss of portfolio efficiency unless full diversification ismaintained. York’s primary objective, however, is not to maintain efficiencybut to reduce risk exposure; reducing portfolio beta meets that objective.Because York does not permit borrowing or lending, McKay cannot reduce riskby selling equities and using the proceeds to buy risk free assets (i.e., by lendingpart of the portfolio).CFA 4c.“Both the CAPM and APT require a mean-variance efficient market portfolio.”This statement is incorrect. The CAPM requires the mean-variance efficientportfolio, but APT does not.d.“The CAPM assumes that one specific factor explains security returns but APTdoes not.” This statement is c orrect.CFA 5aCFA 6dCFA 7d You need to know the risk-free rate.CFA 8d You need to know the risk-free rate.CFA 9Under the CAPM, the only risk that investors are compensated for bearing is the riskthat cannot be diversified away (i.e., systematic risk). Because systematic risk(measured by beta) is equal to 1.0 for each of the two portfolios, an investor wouldexpect the same rate of return from each portfolio. Moreover, since both portfolios are well diversified, it does not matter whether the specific risk of the individual securities is high or low. The firm-specific risk has been diversified away from both portfolios. CFA 10b r f = 8% and E(r M) = 16%E(r X) = r f + βX[E(r M) – r f] = 8% + 1.0(16% - 8%) = 16%E(r Y) = r f + βY[E(r M) – r f] = 8% + 0.25(16% - 8%) = 10%Therefore, there is an arbitrage opportunity.CFA 11cCFA 12dCFA 13cInvestors will take on as large a position as possible only if the mis-pricingopportunity is an arbitrage. Otherwise, considerations of risk anddiversification will limit the position they attempt to take in the mis-pricedsecurity.CFA 14d。

金融学专业攻读硕士学位研究生培养方案(专业代码：020204 经济研究院（中心）)一、培养目标培养热爱祖国、热爱科学，具有良好的道德品质和学术修养，有较强业务水平，德、智、体全面发展的高层次人才。

培养具有坚实理论基础的金融高层次人才和较强工作能力的金融工程师；毕业生具有综合运用金融学、经济学和管理学知识（包括计量分析技术）来分析问题和解决问题的能力；熟悉掌握一门外国语。

身心健康。

为进一步深造和适应公司、企业及研究工作打下基础。

二、研究方向1、资本市场主要研究领域：（1）资本市场理论及实务（2）并购、重组与公司控制（3）中国资本市场的发展2、货币金融主要研究领域：（1）货币供需理论与实务（2）利率决定理论与实务（3）金融监管与货币政策3、国际金融主要研究领域：（1）国际金融理论及实务（2）汇率决定理论与实务（3）开放经济下的财政、货币和汇率政策（4）开放经济下货币危机理论与实务4、金融工程主要研究领域：（1）金融工具及其理论（2）金融技术及其应用5、金融制度与企业成长主要研究领域：（1）金融制度与企业成长相关性（2）金融制度与企业治理（3）中国金融制度及其与企业成长6、投资理论与实务主要研究领域：（1）投资主体行为理论（2）资产定价理论与实务（3）市场效率理论（4）风险管理理论与实务（5）项目（实业）投资理论与实务（6）金融投资（股票、债券、基金、期货、外汇、黄金等）决策理论与实务三、学制硕士生培养实行弹性学制（2——3年）。

四、筛选、分流第三学期，结合硕士学位论文开题报告对硕士生进行中期筛选。

考核内容包括思想表现、课程学习、科研能力、学位论文开题报告、身心健康状况及学科综合知识等。

学科综合考试以考核硕士生的全面业务能力为目的，内容包括基础理论知识和实际工作能力两部分，由学位评定分委员会组织的综合考试小组组织进行。

中期筛选合格者可进人硕士学位论文撰写阶段；中期筛选不合格者，按《山东大学研究生学籍管理实施细则》的有关规定办理。

CHAPTER 04 MUTUAL FUNDS AND OTHER INVESTMENT COMPANIES 1.Mutual funds offer many benefits. Some of those benefits include the ability to investwith small amounts of money, diversification, professional management, lowtransaction costs, tax benefits, and reduce administrative functions.2.Close-end funds trade on the open market and are thus subject to market pricing. Open-end funds, are sold by the mutual fund and must reflect the NAV of the investments.3.Annual fees charged by a mutual fund to pay for marketing and distribution costs.4. A unit investment trust is an unmanaged mutual fund. Its portfolio is fixed and does notchange due to asset trades, as does a close-end fund. .5.Exchange-traded funds can be traded during the day, just as the stocks they represent.They are most tax effective, in that they do not have as many distributions. They also have much lower transaction costs. They also do not require load charges, management fees, and minimum investment amounts.6.Hedge funds have much less regulation since they are part of private partnerships andfree from mist SEC regulation. They permit investors to take on many risks unavailable to mutual funds. Hedge funds, however, may require higher fees and provide lesstransparency to investors. This offers significant counter party risk and hedge fundinvestors need to be more careful about the firm the invest with.7.An open-end fund will have higher fees since they are actively marketing and managingtheir investor base. The fund is always looking for new investors. A unit investment trust need not spend too much time on such matters since investors find each other.8.Asset allocation funds may dramatically vary the proportions allocated to each marketin accord with the portfolio manager’s forecast of the r elative performance of eachsector. Hence, these funds are engaged in market timing and are not designed to be low-risk investment vehicles.9.a. A unit investment trusts offer low costs and stable portfolios. Since they do notchange their portfolio, the investor knows exactly what they own. They are better suited to sophisticated investors.b. Open-end mutual funds offer higher levels of service to investors. The investors donot have any administrative burdens and their money is actively managed. This is better suited for less knowledgeable investors.c. Individual securities offer the most sophisticated investors ultimate flexibility. Theyare able to save money since they are only charged the expenses they incur. Alldecisions are under the control of the investor.10. Open-end funds must honor redemptions and receive deposits from investors. This flowof money necessitates retaining cash. Close-end funds no longer take and receivemoney from investors. As such, they are free to be fully invested at all times.11. The offering price includes a 6% front-end load, or sales commission, meaning thatevery dollar paid results in only $0.94 going toward purchase of shares. Therefore: Offering price =06.0170.10$load 1NAV -=-= = $11.3812. NAV = offering price ⨯ (1 – load) = $12.30 ⨯ 0.95 = $11.6913. HW14. Value of stocks sold and replaced = $15,000,000Turnover rate = 000,000,42$000,000,15$= 0.357 = 35.7%15.a. NAV =million5million 3$million 200$-= $39.40b. Premium (or discount) = NAV NAV ice Pr - = 40.39$40.39$36$-= –0.086 = -8.6% The fund sells at an 8.6% discount from NAV16. Rate of return = NAV year of Start ons Distributi )NAV (+∆ = 50.12$50.1$40.0$+-= 0.0880 = 8.80%17.HW18.Assume a hypothetical investment of $100.Loaded upa. Year 1 = 100 x (1+.06-.0175) = 104.25b. Year 3 = 100 x (1+.06-.0175)^3 = 116.30c. Year 10 = 100 x (1+.06-.0175)^10 = 151.62Economy funda. Year 1 = 100 x .98 x (1+.06-.0025) = 103.64b. Year 3 = 100 x .98 x (1+.06-.0025) ^ 3 = 115.90c. Year 10 = 100 x .98 x (1+.06-.0025) ^ 10 = 171.4119.NAVa. (450,000,000 – 10,000,000) / 44,000,000 = $10 per shareb. (440,000,000 – 10,000,000) / 43,000,000 = $10 per share20.a.Empirical research indicates that past performance of mutual funds is not highlypredictive of future performance, especially for better-performing funds. Whilethere may be some tendency for the fund to be an above average performer nextyear, it is unlikely to once again be a top 10% performer.b.On the other hand, the evidence is more suggestive of a tendency for poorperformance to persist. This tendency is probably related to fund costs andturnover rates. Thus if the fund is among the poorest performers, investorswould be concerned that the poor performance will persist.21. Start of year NAV = $20Dividends per share = $0.20End of year NAV is based on the 8% price gain, less the 1% 12b-1 fee:End of year NAV = $20 ⨯ 1.08 ⨯ (1 – 0.01) = $21.384 Rate of return =20$20.0$20$384.21$+-= 0.0792 = 7.92%22. The excess of purchases over sales must be due to new inflows into the fund. Therefore,$400 million of stock previously held by the fund was replaced by new holdings. So turnover is: $400/$2,200 = 0.182 = 18.2%23. Fees paid to investment managers were: 0.007 ⨯ $2.2 billion = $15.4 millionSince the total expense ratio was 1.1% and the management fee was 0.7%, we conclude that 0.4% must be for other expenses. Therefore, other administrative expenses were: 0.004 ⨯ $2.2 billion = $8.8 million24. As an initial approximation, your return equals the return on the shares minus the totalof the expense ratio and purchase costs: 12% - 1.2% - 4% = 6.8%But the precise return is less than this because the 4% load is paid up front, not at the end of the year.To purchase the shares, you would have had to invest: $20,000/(1 - 0.04) = $20,833The shares increase in value from $20,000 to: $20,000 ⨯ (1.12 - 0.012) = $22,160 The rate of return is: ($22,160 - $20,833)/$20,833 = 6.37%25. Suppose you have $1000 to invest. The initial investment in Class A shares is $940 netof the front-end load. After 4 years, your portfolio will be worth:$940 ⨯ (1.10)4 = $1,376.25Class B shares allow you to invest the full $1,000, but your investmentperformance net of 12b-1 fees will be only 9.5%, and you will pay a 1% back-endload fee if you sell after 4 years. Your portfolio value after 4 years will be:$1,000 ⨯ (1.095)4 = $1,437.66After paying the back-end load fee, your portfolio value will be:$1,437.66 ⨯ 0.99 = $1,423.28Class B shares are the better choice if your horizon is 4 years. With a 15-year horizon, the Class A shares will be worth:$940 ⨯ (1.10)15 = $3,926.61For the Class B shares, there is no back-end load in this case since the horizon is greater than 5 years. Therefore, the value of the Class B shares will be:$1,000 ⨯ (1.095)15 = $3,901.32At this longer horizon, Class B shares are no longer the better choice. The effect of Class B's 0.5% 12b-1 fees cumulates over time and finally overwhelms the 6% load charged to Class A investors.26. For the bond fund, the fraction of portfolio income given up to fees is:%0.4%6.0= 0.150 = 15.0%For the equity fund, the fraction of investment earnings given up to fees is:%0.12%6.0= 0.050 = 5.0%Fees are a much higher fraction of expected earnings for the bond fund, and therefore may be a more important factor in selecting the bond fund. This may help to explain why unmanaged unit investment trusts are concentrated inthe fixed income market. The advantages of unit investment trusts are low turnover and low trading costs and management fees. This is a more important concern to bond-market investors.27.a. After two years, each dollar invested in a fund with a 4% load and a portfolioreturn equal to r will grow to:$0.96 ⨯ (1 + r – 0.005)2Each dollar invested in the bank CD will grow to:$1 ⨯ (1.06)2If the mutual fund is to be the better investment, then the portfolio return, r,must satisfy:0.96 ⨯ (1 + r – 0.005)2 > (1.06)20.96 ⨯ (1 + r – 0.005)2 > 1.1236(1 + r – 0.005)2 > 1.1704 1 + r – 0.005 > 1.08191 + r > 1.0869Therefore, r > 0.0869 = 8.69%b.If you invest for six years, then the portfolio return must satisfy:0.96 ⨯ (1 + r – 0.005)6 > (1.06)6 = 1.4185(1 + r – 0.005)6 > 1.47761 + r – 0.005 > 1.06721 + r > 1.0722r > 7.22%The cutoff rate of return is lower for the six year investment because the "fixedcost" (i.e., the one-time front-end load) is spread out over a greater number ofyears.c.With a 12b-1 fee instead of a front-end load, the portfolio must earn a rate ofreturn (r) that satisfies:1 + r – 0.005 – 0.0075 > 1.06In this case, r must exceed 7.25% regardless of the investment horizon.28.The turnover rate is 50%. This means that, on average, 50% of the portfolio is sold andreplaced with other securities each year. Trading costs on the sell orders are 0.4%; and the buy orders to replace those securities entail another 0.4% in trading costs. Total trading costs will reduce portfolio returns by: 2 ⨯ 0.4% ⨯ 0.50 = 0.4%29.Suppose that finishing in the top half of all portfolio managers is purely luck, and thatthe probability of doing so in any year is exactly ½. Then the probability that anyparticular manager would finish in the top half of the sample five years in a row is (½)5 = 1/32. We would then expect to find that [350 ⨯ (1/32)] = 11 managers finish in the top half for each of the five consecutive years. This is precisely what we found. Thus, we should not conclude that the consistent performance after five years is proof of skill.We would expect to find eleven managers exhibiting precisely this level of"consistency" even if performance is due solely to luck.。

Multiple Choice Questions1. The current yield on a bond is equal to ________.A) the internal rate of returnB) the yield to maturityC) annual interest divided by the par valueD) annual interest divided by the current market priceE) none of the aboveAnswer: D Difficulty: EasyRationale: D is current yield and is quoted as such in the financial press.2. Of the following four investments, ________ is considered to be the safest.A) commercial paperB) corporate bondsC) Treasury billsD) Treasury bondsE) U. S. Agency issuesAnswer: C Difficulty: EasyRationale: Only Treasury issues are insured by the U. S. government; the shorter-term the instrument, the safer the instrument.3. The bonds of Elbow Grease Dishwashing Company have received a rating of "D" byMoody's. The "D" rating indicatesA) the bonds are insured.B) the bonds are junk bonds.C) the bonds are referred to as "high yield" bonds.D) A and B.E) B and C.Answer: E Difficulty: EasyRationale: D ratings are risky bonds, often called junk bonds (or high yield bonds by those marketing such bonds).4. To earn a high rating from the bond rating agencies, a firm should haveA) a low times interest earned ratio.B) a low debt to equity ratio.C) a high quick ratio.D) A and C.E) B and C.Answer: E Difficulty: EasyRationale: High values for the times interest and quick ratios and a low debt to equity ratio are desirable indicators of safety.5. At issue, coupon bonds typically sell ________.A) above par valueB) at or near par valueC) below parD) at a value unrelated to parE) none of the aboveAnswer: B Difficulty: EasyRationale: If the investment banker has appraised the market and the quality of the bond correctly, the bond will sell at or near par (unless interest rates have changed very dramatically and very quickly around the time of issuance).6. Accrued interestA) is quoted in the bond price in the financial press.B) must be paid by the buyer of the bond and remitted to the seller of the bond.C) must be paid to the broker for the inconvenience of selling bonds between maturitydates.D) A and B.E) A and C.Answer: B Difficulty: ModerateRationale: Accrued interest must be paid by the buyer, but is not included in thequotations page price.7. The bond marketA) can be quite "thin".B) primarily consists of a network of bond dealers in the over the counter market.C) consists of many investors on any given day.D) A and B.E) B and C.Answer: D Difficulty: EasyRationale: The bond market, unlike the stock market, can be a very thinly traded market.In addition, most bonds are traded by dealers.8. Ceteris paribus, the price and yield on a bond areA) positively related.B) negatively related.C) sometimes positively and sometimes negatively related.D) not related.E) indefinitely related.Answer: B Difficulty: EasyRationale: Bond prices and yields are inversely related.9. The ______ is a measure of the average rate of return an investor will earn if the investorbuys the bond now and holds until maturity.A) current yieldB) dividend yieldC) P/E ratioD) yield to maturityE) discount yieldAnswer: D Difficulty: EasyRationale: The current yield is the annual interest as a percent of current market price;the other choices do not apply to bonds.10. The _________ gives the number of shares for which each convertible bond can beexchanged.A) conversion ratioB) current ratioC) P/E ratioD) conversion premiumE) convertible floorAnswer: A Difficulty: EasyRationale: The conversion premium is the amount for which the bond sells aboveconversion value; the price of bond as a straight bond provides the floor. The other terms are not specifically relevant to convertible bonds.11. A coupon bond is a bond that _________.A) pays interest on a regular basis (typically every six months)B) does not pay interest on a regular basis but pays a lump sum at maturityC) can always be converted into a specific number of shares of common stock in theissuing companyD) always sells at parE) none of the aboveAnswer: A Difficulty: EasyRationale: A coupon bond will pay the coupon rate of interest on a semiannual basis unless the firm defaults on the bond. Convertible bonds are specific types of bonds. 12. A ______ bond is a bond where the bondholder has the right to cash in the bond beforematurity at a specified price after a specific date.A) callableB) couponC) putD) TreasuryE) zero-couponAnswer: C Difficulty: EasyRationale: Any bond may be redeemed prior to maturity, but all bonds other than put bonds are redeemed at a price determined by the prevailing interest rates.13. Callable bondsA) are called when interest rates decline appreciably.B) have a call price that declines as time passes.C) are called when interest rates increase appreciably.D) A and B.E) B and C.Answer: D Difficulty: EasyRationale: Callable bonds often are refunded (called) when interest rates declineappreciably. The call price of the bond (approximately par and one year's couponpayment) declines to par as time passes and maturity is reached.14. A Treasury bond due in one year has a yield of 6.2%; a Treasury bond due in 5 years hasa yield of 6.7%. A bond issued by General Motors due in 5 years has a yield of 7.9%; abond issued by Exxon due in one year has a yield of 7.2%. The default risk premiums on the bonds issued by Exxon and General Motors, respectively, areA) 1.0% and 1.2%B) 0.5% and .7%C) 1.2% and 1.0%D) 0.7% and 0.5%E) none of the aboveAnswer: A Difficulty: ModerateRationale: Exxon: 7.2% - 6.2% = 1.0%; GM: 7. 9% - 6.7% = 1.2%.15. Floating-rate bonds are designed to ___________ while convertible bonds are designedto __________.A) minimize the holders' interest rate risk; give the investor the ability to share in theprice appreciation of the company's stockB) maximize the holders' interest rate risk; give the investor the ability to share in theprice appreciation of the company's stockC) minimize the holders' interest rate risk; give the investor the ability to benefit frominterest rate changesD) maximize the holders' interest rate risk; give investor the ability to share in theprofits of the issuing companyE) none of the aboveAnswer: A Difficulty: ModerateRationale: Floating rate bonds allow the investor to earn a rate of interest income tied to current interest rates, thus negating one of the major disadvantages of fixed income investments. Convertible bonds allow the investor to benefit from the appreciation of the stock price, either by converting to stock or holding the bond, which will increase in price as the stock price increases.16. A coupon bond that pays interest annually is selling at par value of $1,000, matures in 5years, and has a coupon rate of 9%. The yield to maturity on this bond is:A) 6.00%B) 8.33%C) 9.00%D) 45.00%E) none of the aboveAnswer: C Difficulty: EasyRationale: When a bond sells at par value, the coupon rate is equal to the yield tomaturity.17. A coupon bond that pays interest annually has a par value of $1,000, matures in 5 years,and has a yield to maturity of 10%. The intrinsic value of the bond today will be ______ if the coupon rate is 7%.A) $712.99B) $620.92C) $1,123.01D) $886.28E) $1,000.00Answer: D Difficulty: ModerateRationale: FV = 1000, PMT = 70, n = 5, i = 10, PV = 886.28.18. A coupon bond that pays interest annually, has a par value of $1,000, matures in 5 years,and has a yield to maturity of 10%. The intrinsic value of the bond today will be_________ if the coupon rate is 12%.A) $922.77B) $924.16C) $1,075.82D) $1,077.20E) none of the aboveAnswer: C Difficulty: ModerateRationale: FV = 1000, PMT = 120, n = 5, i = 10, PV = 1075.8219. A coupon bond that pays interest semi-annually has a par value of $1,000, matures in 5years, and has a yield to maturity of 10%. The intrinsic value of the bond today will be __________ if the coupon rate is 8%.A) $922.78B) $924.16C) $1,075.80D) $1,077.20E) none of the aboveAnswer: A Difficulty: ModerateRationale: FV = 1000, PMT = 40, n = 10, i = 5, PV = 922.7820. A coupon bond that pays interest semi-annually has a par value of $1,000, matures in 5years, and has a yield to maturity of 10%. The intrinsic value of the bond today will be ________ if the coupon rate is 12%.A) $922.77B) $924.16C) $1,075.80D) $1,077.22E) none of the aboveAnswer: D Difficulty: ModerateRationale: FV = 1000, PMT = 60, n = 10, i = 5, PV = 1077.2221. A coupon bond that pays interest of $100 annually has a par value of $1,000, matures in5 years, and is selling today at a $72 discount from par value. The yield to maturity onthis bond is __________.A) 6.00%B) 8.33%C) 12.00%D) 60.00%E) none of the aboveAnswer: C Difficulty: ModerateRationale: FV = 1000, PMT = 100, n = 5, PV = -928, i = 11.997%22. You purchased an annual interest coupon bond one year ago that now has 6 yearsremaining until maturity. The coupon rate of interest was 10% and par value was$1,000. At the time you purchased the bond, the yield to maturity was 8%. The amount you paid for this bond one year ago wasA) $1,057.50.B) $1,075.50.C) $1,088.50.D) $1.092.46.E) $1,104.13.Answer: E Difficulty: ModerateRationale: FV = 1000, PMT = 100, n = 7, i = 8, PV = 1104.1323. You purchased an annual interest coupon bond one year ago that had 6 years remainingto maturity at that time. The coupon interest rate was 10% and the par value was $1,000.At the time you purchased the bond, the yield to maturity was 8%. If you sold the bond after receiving the first interest payment and the yield to maturity continued to be 8%, your annual total rate of return on holding the bond for that year would have been_________.A) 7.00%B) 7.82%C) 8.00%D) 11.95%E) none of the aboveAnswer: C Difficulty: DifficultRationale: FV = 1000, PMT = 100, n = 6, i = 8, PV = 1092.46; FV = 1000, PMT = 100, n = 5, i = 8, PV = 1079.85; HPR = (1079.85 - 1092.46 + 100) / 1092.46 = 8%24. Consider two bonds, A and B. Both bonds presently are selling at their par value of$1,000. Each pays interest of $120 annually. Bond A will mature in 5 years while bondB will mature in 6 years. If the yields to maturity on the two bonds change from 12% to10%, ____________.A) both bonds will increase in value, but bond A will increase more than bond BB) both bonds will increase in value, but bond B will increase more than bond AC) both bonds will decrease in value, but bond A will decrease more than bond BD) both bonds will decrease in value, but bond B will decrease more than bond AE) none of the aboveAnswer: B Difficulty: ModerateRationale: The longer the maturity, the greater the price change when interest rateschange.25. A coupon bond pays annual interest, has a par value of $1,000, matures in 4 years, has acoupon rate of 10%, and has a yield to maturity of 12%. The current yield on this bond is ___________.A) 9.39%B) 10.00%C) 10.65%D) 12.00%E) none of the aboveAnswer: C Difficulty: ModerateRationale: FV = 1000, n = 4, PMT = 100, i = 12, PV= 939.25; $100 / $939.25 = 10.65%.26. A zero-coupon bond has a yield to maturity of 9% and a par value of $1,000. If the bondmatures in 8 years, the bond should sell for a price of _______ today.A) 422.41B) $501.87C) $513.16D) $483.49E) none of the aboveAnswer: B Difficulty: ModerateRationale: $1,000/(1.09)8 = $501.8727. You have just purchased a 10-year zero-coupon bond with a yield to maturity of 10%and a par value of $1,000. What would your rate of return at the end of the year be if you sell the bond? Assume the yield to maturity on the bond is 11% at the time you sell.A) 10.00%B) 20.42%C) 13.8%D) 1.4%E) none of the aboveAnswer: D Difficulty: ModerateRationale: $1,000/(1.10)10 = $385.54; $1,000/(1.11)9 = $390.92; ($390.92 -$385.54)/$385.54 = 1.4%.28. A coupon bond is reported as having an ask price of 113% of the $1,000 par value in theWall Street Journal. If the last interest payment was made two months ago and the coupon rate is 12%, the invoice price of the bond will be ____________.A) $1,100B) $1,110C) $1,150D) $1,160E) none of the aboveAnswer: C Difficulty: ModerateRationale: $1,130 + $20 (accrued interest) = $1,150.29. A Treasury bill with a par value of $100,000 due one month from now is selling todayfor $99,010. The effective annual yield is __________.A) 12.40%B) 12.55%C) 12.62%D) 12.68%E) none of the aboveAnswer: D Difficulty: ModerateRationale: $990/$99,010 = 0.01; (1.01)12 - 1.0 = 12.68%.30. A Treasury bill with a par value of $100,000 due two months from now is selling todayfor $98,039, with an effective annual yield of _________.A) 12.40%B) 12.55%C) 12.62%D) 12.68%E) none of the aboveAnswer: C Difficulty: ModerateRationale: $1,961/$98,039 = 0.02; (1.02)6 - 1 = 12.62%.31. A Treasury bill with a par value of $100,000 due three months from now is selling todayfor $97,087, with an effective annual yield of _________.A) 12.40%B) 12.55%C) 12.62%D) 12.68%E) none of the aboveAnswer: B Difficulty: ModerateRationale: $2,913/$97,087 = 0.03; (1.03)4 - 1.00 = 12.55%.32. A coupon bond pays interest semi-annually, matures in 5 years, has a par value of$1,000 and a coupon rate of 12%, and an effective annual yield to maturity of 10.25%.The price the bond should sell for today is ________.A) $922.77B) $924.16C) $1,075.80D) $1,077.20E) none of the aboveAnswer: D Difficulty: ModerateRationale: (1.1025)1/2 - 1 = 5%, N=10, I=5%, PMT=60, FV=1000, PV=1,077.22.33. A convertible bond has a par value of $1,000 and a current market price of $850. Thecurrent price of the issuing firm's stock is $29 and the conversion ratio is 30 shares. The bond's market conversion value is ______.A) $729B) $810C) $870D) $1,000E) none of the aboveAnswer: C Difficulty: EasyRationale: 30 shares X $29/share = $870.34. A convertible bond has a par value of $1,000 and a current market value of $850. Thecurrent price of the issuing firm's stock is $27 and the conversion ratio is 30 shares. The bond's conversion premium is _________.A) $40B) $150C) $190D) $200E) none of the aboveAnswer: A Difficulty: ModerateRationale: $850 - $810 = $40.Use the following to answer questions 35-38:Consider the following $1,000 par value zero-coupon bonds:Bond Years to Maturity PriceA 1 $909.09B 2 $811.62C 3 $711.78D 4 $635.5235. The yield to maturity on bond A is ____________.A) 10%B) 11%C) 12%D) 14%E) none of the aboveAnswer: A Difficulty: ModerateRationale: ($1,000 - $909.09)/$909.09 = 10%.36. The yield to maturity on bond B is _________.A) 10%B) 11%C) 12%D) 14%E) none of the aboveAnswer: B Difficulty: ModerateRationale: ($1,000 - $811.62)/$811.62 = 0.2321; (1.2321)1/2 - 1.0 = 11%.37. The yield to maturity on bond C is ____________.A) 10%B) 11%C) 12%D) 14%E) none of the aboveAnswer: C Difficulty: ModerateRationale: ($1,000 - $711.78)/$711.78 = 0.404928; (1.404928)1/3 - 1.0 = 12%.38. The yield to maturity on bond D is _______.A) 10%B) 11%C) 12%D) 14%E) none of the aboveAnswer: C Difficulty: ModerateRationale: ($1,000 - $635.52)/$635.52 = 0.573515; (1.573515)1/4 - 1.0 = 12%.39. A 10% coupon bond, annual payments, 10 years to maturity is callable in 3 years at acall price of $1,100. If the bond is selling today for $975, the yield to call is _________.A) 10.26%B) 10.00%C) 9.25%D) 13.98%E) none of the aboveAnswer: D Difficulty: ModerateRationale: FV = 1100, n = 3, PMT = 100, PV = -975, i = 13.98%.40. A 12% coupon bond, semiannual payments, is callable in 5 years. The call price is$1,120; if the bond is selling today for $1,110, what is the yield to call?A) 12.03%.B) 10.86%.C) 10.95%.D) 9.14%.E) none of the above.Answer: C Difficulty: ModerateRationale: YTC = FV = 1120, n = 10, PMT = 60, PV = -1,110m i = 5.48%,5.48*2=10.9541. A 10% coupon, annual payments, bond maturing in 10 years, is expected to make allcoupon payments, but to pay only 50% of par value at maturity. What is the expected yield on this bond if the bond is purchased for $975?A) 10.00%.B) 6.68%.C) 11.00%.D) 8.68%.E) none of the above.Answer: B Difficulty: ModerateRationale: FV = 500, PMT = 100, n = 10, PV = -975, i = 6.68%42. You purchased an annual interest coupon bond one year ago with 6 years remaining tomaturity at the time of purchase. The coupon interest rate is 10% and par value is$1,000. At the time you purchased the bond, the yield to maturity was 8%. If you sold the bond after receiving the first interest payment and the bond's yield to maturity had changed to 7%, your annual total rate of return on holding the bond for that year would have been _________.A) 7.00%B) 8.00%C) 9.95%D) 11.95%E) none of the aboveAnswer: D Difficulty: DifficultRationale: FV = 1000, PMT = 100, n = 6, i = 8, PV = 1092.46; FV = 1000, PMT = 100, n = 5, i = 7, PV = 1123.01; HPR = (1123.01 - 1092.46 + 100) / 1092.46 = 11.95%.43. The ________ is used to calculate the present value of a bond.A) nominal yieldB) current yieldC) yield to maturityD) yield to callE) none of the aboveAnswer: C Difficulty: EasyRationale: Yield to maturity is the discount rate used in the bond valuation formula. For callable bonds, yield to call is sometimes the more appropriate calculation for theinvestor (if interest rates are expected to decrease).44. The yield to maturity on a bond is ________.A) below the coupon rate when the bond sells at a discount, and equal to the couponrate when the bond sells at a premium.B) the discount rate that will set the present value of the payments equal to the bondprice.C) based on the assumption that any payments received are reinvested at the couponrate.D) none of the above.E) A, B, and C.Answer: B Difficulty: EasyRationale: The reverse of A is true; for C to be true payments must be reinvested at the yield to maturity.45. A bond will sell at a discount when __________.A) the coupon rate is greater than the current yield and the current yield is greater thanyield to maturityB) the coupon rate is greater than yield to maturityC) the coupon rate is less than the current yield and the current yield is greater than theyield to maturityD) the coupon rate is less than the current yield and the current yield is less than yieldto maturityE) none of the above are true.Answer: D Difficulty: ModerateRationale: In order for the investor to earn more than the current yield the bond must be selling for a discount. Yield to maturity will be greater than current yield as investor will have purchased the bond at discount and will be receiving the coupon payments over the life of the bond.46. Consider a 5-year bond with a 10% coupon that has a present yield to maturity of 8%. Ifinterest rates remain constant, one year from now the price of this bond will be _______.A) higherB) lowerC) the sameD) cannot be determinedE) $1,000Answer: B Difficulty: ModerateRationale: This bond is a premium bond as interest rates have declined since the bond was issued. If interest rates remain constant, the price of a premium bond declines as the bond approaches maturity.47. A bond has a par value of $1,000, a time to maturity of 20 years, a coupon rate of 10%with interest paid annually, a current price of $850 and a yield to maturity of 12%.Intuitively and without the use calculations, if interest payments are reinvested at 10%, the realized compound yield on this bond must be ________.A) 10.00%B) 10.9%C) 12.0%D) 12.4%E) none of the aboveAnswer: B Difficulty: DifficultRationale: In order to earn yield to maturity, the coupons must be reinvested at the yield to maturity. However, as the bond is selling at discount the yield must be higher than the coupon rate. Therefore, B is the only possible answer.48. A 1% decline in yield will have the greatest effect on the price of the bond with aA) 10-year maturity, selling at 80.B) 10-year maturity, selling at 100.C) 20-year maturity, selling at 80.D) 20-year maturity, selling at 100.E) all bonds will be affected equally.Answer: C Difficulty: ModerateRationale: The longer the maturity the more an interest rate changes the price of the bond. Bonds selling at discount are affected more than bonds selling at par.49. A bond with a 12% coupon, 10 years to maturity and selling at 88 has a yield to maturityof _______.A) over 14%B) between 13% and 14%C) between 12% and 13%D) between 10% and 12%E) less than 12%Answer: A Difficulty: ModerateRationale: YTM = 14.33%.50. An 8% coupon U. S. Treasury note pays interest on May 30 and November 30 and istraded for settlement on August 15. The accrued interest on the $100,000 face value of this note is _________.A) $491.80B) $800.00C) $983.61D) $1,661.20E) none of the aboveAnswer: D Difficulty: ModerateRationale: 76/183($4,000) = $1,661.20. Approximation: .08/12*100,000 = 666.67 per month. 666.67/month * 2.5 months = 1.666.67.51. Using semiannual compounding, a 15-year zero coupon bond that has a par value of$1,000 and a required return of 8% would be priced at approximately ______.A) $308B) $315C) $464D) $555E) none of the aboveAnswer: A Difficulty: ModerateRationale: FV = 1000, n = 30, I = 4, PV = 308.3252. The yield to maturity of a 20-year zero coupon bond that is selling for $372.50 with avalue at maturity of $1,000 is ________.A) 5.1%B) 8.8%C) 10.8%D) 13.4%E) none of the aboveAnswer: A Difficulty: ModerateRationale: [$1,000/($372.50]1/20 - 1 = 5.1%.53. Which one of the following statements about convertibles is true?A) The longer the call protection on a convertible, the less the security is worth.B) The more volatile the underlying stock, the greater the value of the conversionfeature.C) The smaller the spread between the dividend yield on the stock and theyield-to-maturity on the bond, the more the convertible is worth.D) The collateral that is used to secure a convertible bond is one reason convertiblesare more attractive than the underlying stock.E) Convertibles are not callable.Answer: B Difficulty: ModerateRationale: The longer the call protection the more attractive the bond. The smaller the spread (c), the less the bond is worth. Convertibles are debentures (unsecured bonds).All convertibles are callable at the option of the issuer.54. Consider a $1,000 par value 20-year zero coupon bond issued at a yield to maturity of10%. If you buy that bond when it is issued and continue to hold the bond as yields decline to 9%, the imputed interest income for the first year of that bond isA) zero.B) $14.87.C) $45.85.D) $7.44.E) none of the above.Answer: B Difficulty: ModerateRationale: $1,000/(1.10)20 = $148.64; $1,000/(1.10)19 = $163.51; $194.49 - $148.64 = $14.87.55. The bond indenture includesA) the coupon rate of the bond.B) the par value of the bond.C) the maturity date of the bond.D) all of the above.E) none of the above.Answer: D Difficulty: EasyRationale: The bond indenture includes the coupon rate, par value and maturity date of the bond as well as any other contractual features.56. A Treasury bond quoted at 107:16 107:18 has a bid price of _______ and an asked priceof _____.A) $107.16, $107.18B) $1,071.60, $1,071.80C) $1,075.00, $1,075.63D) $1,071.80, $1,071.60E) $1,070.50, $1,070.56Answer: C Difficulty: ModerateRationale: Treasury bonds are quoted as a percentage of par value ($1,000) with the number after the colon representing the fractions of a point in 32nds. The bid price is quoted first and is the lower of the two.57. The invoice price of a bond that a buyer would pay is equal toA) the asked price plus accrued interest.B) the asked price less accrued interest.C) the bid price plus accrued interest.D) the bid price less accrued interest.E) the bid price.Answer: A Difficulty: EasyRationale: The buyer of a bond will buy at the asked price and will also be invoiced for any accrued interest due to the seller.58. Bearer bonds areA) bonds traded without any record of ownership.B) helpful to tax authorities in the enforcement of tax collection.C) rare in the United States today.D) all of the above.E) both A and C.Answer: E Difficulty: ModerateRationale: Bearer bonds are not registered so there is no record of ownership. They are rare in the United States today. Tax authorities find registered bonds helpful in tax enforcement but not bearer bonds.59. Most corporate bonds are tradedA) on a formal exchange operated by the New York Stock Exchange.B) by the issuing corporation.C) over the counter by bond dealers linked by a computer quotation system.D) on a formal exchange operated by the American Stock Exchange.E) on a formal exchange operated by the Philadelphia Stock Exchange.Answer: C Difficulty: ModerateRationale: Most corporate bonds are traded in a loosely organized network of bond dealers linked by a computer quote system. Only a small proportion is traded on the New York Exchange.60. The process of retiring high-coupon debt and issuing new bonds at a lower coupon toreduce interest payments is calledA) deferral.B) reissue.C) repurchase.D) refunding.E) none of the above.Answer: D Difficulty: ModerateRationale: The process of refunding refers to calling high-coupon bonds and issuing new, lower coupon debt.61. Convertible bondsA) give their holders the ability to share in price appreciation of the underlying stock.B) offer lower coupon rates than similar nonconvertible bonds.C) offer higher coupon rates than similar nonconvertible bonds.D) both A and B are true.E) both A and C are true.Answer: D Difficulty: ModerateRationale: Convertible bonds offer appreciation potential through the ability to share in price appreciation of the underlying stock but offer a lower coupon and yield thansimilar nonconvertible bonds.62. TIPS areA) securities formed from the coupon payments only of government bonds.B) securities formed from the principal payments only of government bonds.C) government bonds with par value linked to the general level of prices.D) government bonds with coupon rate linked to the general level of prices.E) zero-coupon government bonds.Answer: C Difficulty: ModerateRationale: Treasury Inflation Protected Securities (TIPS) are bonds whose par value adjusts according to the general level of prices. This changes coupon payments, but not the stated coupon rate.63. Altman's Z scores are assigned based on a firm's financial characteristics and are used topredictA) required coupon rates for new bond issues.B) bankruptcy risk.C) the likelihood of a firm becoming a takeover target.D) the probability of a bond issue being called.E) none of the above.Answer: B Difficulty: EasyRationale: Z-scores are used to predict significant bankruptcy risk.。