博迪投资学课后答案

第五章12、投资股票的预期收益是18000，而无风险的短期国库券的预期收益是5000，所以，预期的风险溢价将会是130000第六章：风险厌恶和资本配置风险资产14、a ．E(r C ) = 8% = 5% + y(11% – 5%) ⇒ 5.051158y =--=b ． C = y P = 0.50 15% = 7.5%c ．第一个客户更厌恶风险，所能容忍的标准差更小。

第七章：优化风险投资组合1、正确的选择是c 。

直观地讲，我们注意到因为所有的股票都有相同的期望回报率和标准差,所以我们选择股票的风险最低。

股票A 是在这股票中关联性最低的。

更正式地讲，我们注意到，当所有的股票拥有同样的预期回报率,对任一风险厌恶投资者的最优资产组合是整个方差最小的资产组合。

当这个投资组合是限制股票A 和一个额外的股票,我们的目的都是为了去找G 和与包括A 的任何组合,然后选择最小方差的投资组合。

通过I 和J 这两只股票，这个G 放入回归加权公式是：)I (w 1)J (w )r ,r (Cov 2)r ,r (Cov )I (w Min Min J I 2J 2I J I 2J Min -=-σ+σ-σ=因为所有的标准偏差都是等于20%：Cov(r I , r J ) = I J = 400 and w Min (I) = w Min (J) = 0.5这个直观的结果就是一项有效边界的任何财产，也就是说，其他拥有有效的边界最小方差的投资组合的协方差本质上等于它的方差。

(否则,额外的分散投资将进一步降低方差。

) 在这种情况下，(I, J)的回归加权标准差变成：Min(G) = [200(1 + I J)]1/2这导致了直观的结果,就是因为股票D和股票A的期望与其相关性最低,而最优的投资组合就是同样得投资股票A和股票D,他们的标准偏差均为17.03%。

4、b6、c16、17、 d.18、既然股票A和股票B完全负相关,可以创建一个无风险的投资组合,这个组合,也就是说，必然是无风险利率。

投资学习题第一篇投资学课后习题与答案乮博迪乯_第6版 由flyesun 从网络下载丆版权归原作者所有。

1. 假设你发现一只装有1 00亿美元的宝箱。

a. 这是实物资产还是金融资产？b. 社会财富会因此而增加吗？c. 你会更富有吗？d. 你能解释你回答b 、c 时的矛盾吗？有没有人因为这个发现而受损呢？2. Lanni Products 是一家新兴的计算机软件开发公司，它现有计算机设备价值30 000美元，以及由L a n n i 的所有者提供的20 000美元现金。

在下面的交易中，指明交易涉及的实物资产或(和)金融资产。

在交易过程中有金融资产的产生或损失吗？a. Lanni 公司向银行贷款。

它共获得50 000美元的现金，并且签发了一张票据保证3年内还款。

b. Lanni 公司使用这笔现金和它自有的20 000美元为其一新的财务计划软件开发提供融资。

c. L a n n i 公司将此软件产品卖给微软公司( M i c r o s o f t )，微软以它的品牌供应给公众，L a n n i 公司获得微软的股票1 500股作为报酬。

d. Lanni 公司以每股80美元的价格卖出微软的股票，并用所获部分资金偿还贷款。

3. 重新考虑第2题中的Lanni Products 公司。

a. 在它刚获得贷款时处理其资产负债表，它的实物资产占总资产的比率为多少？b. 在L a n n i 用70 000美元开发新产品后，处理资产负债表，实物资产占总资产比例又是多少？c. 在收到微软股票后的资产负债表中，实物资产占总资产的比例是多少？4. 检察金融机构的资产负债表，有形资产占总资产的比率为多少？对非金融公司这一比率又如何？为什么会有这样的差异？5. 20世纪6 0年代，美国政府对海外投资者所获得的在美国出售的债券的利息征收 3 0%预扣税(这项税收现已被取消)，这项措施和与此同时欧洲债券市场(美国公司在海外发行以美元计值的债券的市场)的成长有何关系？6. 见图1 -7，它显示了美国黄金证券的发行。

投资学（博迪）第10版课后习题答...CHAPTER 10: ARBITRAGE PRICING THEORY ANDMULTIFACTOR MODELS OF RISK AND RETURN PROBLEM SETS1. The revised estimate of the expected rate of return on the stock would be the oldestimate plus the sum of the products of the unexpected change in each factor times the respective sensitivity coefficient: Revised estimate = 12% + [(1 × 2%) + (0.5 × 3%)] = 15.5%Note that the IP estimate is computed as: 1 × (5% - 3%), and the IR estimate iscomputed as: 0.5 × (8% - 5%).2. 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 goodindicator of changes in the business cycle. Thus, IP is a candidate for a factor that is highly correlated with uncertainties that have to do with investment andconsumption opportunities in the economy.3. Any pattern of returns can be explained if we are free to choose an indefinitelylarge number of explanatory factors. If a theory of asset pricing is to have value, itmust explain returns using a reasonably limited number of explanatory variables(i.e., systematic factors such as unemployment levels, GDP, and oil prices).4. Equation 10.11 applies here:E(r p) = r f + βP1 [E(r1 ) ?r f ] + βP2 [E(r2 ) – r f]We need to find the risk premium (RP) for each of the two factors:RP1 = [E(r1 ) ?r f] and RP2 = [E(r2 ) ?r f]In order to do so, we solve the following system of two equations with two unknowns: .31 = .06 + (1.5 ×RP1 ) + (2.0 ×RP2 ).27 = .06 + (2.2 ×RP1 ) + [(–0.2) ×RP2 ]The solution to this set of equations isRP1 = 10% and RP2 = 5%Thus, the expected return-beta relationship isE(r P) = 6% + (βP1× 10%) + (βP2× 5%)5. The expected return for portfolio F equals the risk-free rate since its beta equals 0.For portfolio A, the ratio of risk premium to beta is (12 ?6)/1.2 = 5For portfolio E, the ratio is lower at (8 – 6)/0.6 = 3.33This implies that an arbitrage opportunity exists. For instance, you can create aportfolio G with beta equal to 0.6 (the same as E’s) by combining portfolio A and portfolio F in equal weights. The expected return and beta for portfolio G are then: E(r G) = (0.5 × 12%) + (0.5 × 6%) = 9%βG = (0.5 × 1.2) + (0.5 × 0%) = 0.6Comparing portfolio G to portfolio E, G has the same betaand higher return.Therefore, an arbitrage opportunity exists by buying portfolio G and selling anequal amount of portfolio E. The profit for this arbitrage will ber G –r E =[9% + (0.6 ×F)] ?[8% + (0.6 ×F)] = 1%That is, 1% of the funds (long or short) in each portfolio.6. Substituting the portfolio returns and betas in the expected return-beta relationship,we obtain two equations with two unknowns, the risk-free rate (r f) and the factor risk premium (RP):12% = r f + (1.2 ×RP)9% = r f + (0.8 ×RP)Solving these equations, we obtainr f = 3% and RP = 7.5%7. a. Shorting an equally weighted portfolio of the ten negative-alpha stocks andinvesting the proceeds in an equally-weighted portfolio of the 10 positive-alpha stocks eliminates the market exposure and creates a zero-investmentportfolio. Denoting the systematic market factor as R M, the expected dollarreturn is (noting that the expectation of nonsystematic risk, e, is zero):$1,000,000 × [0.02 + (1.0 ×R M)] ? $1,000,000 × [(–0.02) + (1.0 ×R M)]= $1,000,000 × 0.04 = $40,000The sensitivity of the payoff of this portfolio to the market factor is zerobecause the exposures of the positive alpha and negative alpha stocks cancelout. (Notice that the terms involving R M sum to zero.) Thus, the systematiccomponent of total risk is also zero. The variance of the analyst’s profit is notzero, however, since this portfolio is not well diversified.For n = 20 stocks (i.e., long 10 stocks and short 10 stocks) the investor willhave a $100,000 position (either long or short) in each stock. Net marketexposure is zero, but firm-specific risk has not been fully diversified. Thevariance of dollar returns from the positions in the 20 stocks is20 × [(100,000 × 0.30)2] = 18,000,000,000The standard deviation of dollar returns is $134,164.b. If n = 50 stocks (25 stocks long and 25 stocks short), the investor will have a$40,000 position in each stock, and the variance of dollar returns is50 × [(40,000 × 0.30)2] = 7,200,000,000The standard deviation of dollar returns is $84,853.Similarly, if n = 100 stocks (50 stocks long and 50 stocks short), the investorwill have a $20,000 position in each stock, and the variance of dollar returns is100 × [(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 factorof 5 (i.e., from 20 to 100), standard deviation decreases by a factor of 5= 2.23607 (from$134,164 to $60,000).8. a. )(σσβσ2222e M +=88125)208.0(σ2222=+×=A50010)200.1(σ2222=+×=B97620)202.1(σ2222=+×=Cb. If there are an infinite number of assets with identical characteristics, then awell-diversified portfolio of each type will have only systematic risk since thenonsystematic risk will approach zero with large n. Each variance is simply β2 × market variance:222Well-diversified σ256Well-diversified σ400Well-diversified σ576A B C;;;The mean will equal that of the individual (identical) stocks.c. There is no arbitrage opportunity because the well-diversified portfolios allplot on the security market line (SML). Because they are fairly priced, there isno arbitrage.9. a. A long position in a portfolio (P) composed of portfoliosA andB will offer anexpected return-beta trade-off lying on a straight linebetween points A and B.Therefore, we can choose weights such that βP = βC but with expected returnhigher than that of portfolio C. Hence, combining P with a short position in Cwill create an arbitrage portfolio with zero investment, zero beta, and positiverate of return.b. The argument in part (a) leads to the proposition that the coefficient of β2must be zero in order to preclude arbitrage opportunities.10. a. E(r) = 6% + (1.2 × 6%) + (0.5 × 8%) + (0.3 × 3%) = 18.1%b.Surprises in the macroeconomic factors will result in surprises in the return ofthe stock:Unexpected return from macro factors =[1.2 × (4% –5%)] + [0.5 × (6% –3%)] + [0.3 × (0% – 2%)] = –0.3%E(r) =18.1% ? 0.3% = 17.8%11. The APT required (i.e., equilibrium) rate of return on the stock based on r f and thefactor betas isRequired E(r) = 6% + (1 × 6%) + (0.5 × 2%) + (0.75 × 4%) = 16% According to the equation for the return on the stock, the actually expected return on the stock is 15% (because the expected surprises on all factors are zero bydefinition). Because the actually expected return based on risk is less than theequilibrium return, we conclude that the stock is overpriced.12. The first two factors seem promising with respect to thelikely impact on the firm’scost of capital. Both are macro factors that would elicit hedging demands acrossbroad sectors of investors. The third factor, while important to Pork Products, is a poor choice for a multifactor SML because the price of hogs is of minor importance to most investors and is therefore highly unlikely to be a priced risk factor. Better choices would focus on variables that investors in aggregate might find moreimportant to their welfare. Examples include: inflation uncertainty, short-terminterest-rate risk, energy price risk, or exchange rate risk. The important point here is that, in specifying a multifactor SML, we not confuse risk factors that are important toa particular investor with factors that are important to investors in general; only the latter are likely to command a risk premium in the capital markets.13. The formula is ()0.04 1.250.08 1.50.02.1717%E r =+×+×==14. If 4%f r = and based on the sensitivities to real GDP (0.75) and inflation (1.25),McCracken would calculate the expected return for the Orb Large Cap Fund to be:()0.040.750.08 1.250.02.040.0858.5% above the risk free rate E r =+×+×=+=Therefore, Kwon’s fundamental analysis estimate is congruent with McCr acken’sAPT estimate. If we assume that both Kwon and McCracken’s estimates on the return of Orb’s Large Cap Fund are accurate, then no arbitrage profit is possible.15. In order to eliminate inflation, the following three equations must be solvedsimultaneously, where the GDP sensitivity will equal 1 in the first equation,inflation sensitivity will equal 0 in the second equation and the sum of the weights must equal 1 in the third equation.1.1.250.75 1.012.1.5 1.25 2.003.1wx wy wz wz wy wz wx wy wz ++=++=++=Here, x represents Orb’s High Growth Fund, y represents Large Cap Fund and z represents Utility Fund. Using algebraic manipulation will yield wx = wy = 1.6 and wz = -2.2.16. Since retirees living off a steady income would be hurt by inflation, this portfoliowould not be appropriate for them. Retirees would want a portfolio with a return positively correlated with inflation to preserve value, and less correlated with the variable growth of GDP. Thus, Stiles is wrong. McCracken is correct in that supply side macroeconomic policies are generally designed to increase output at aminimum of inflationary pressure. Increased output would mean higher GDP, which in turn would increase returns of a fund positively correlated with GDP.17. The maximum residual variance is tied to the number of securities (n ) in theportfolio because, as we increase the number of securities, we are more likely to encounter securities with larger residual variances. The starting point is todetermine the practical limit on the portfolio residualstandard deviation, σ(e P ), that still qualifies as a well-diversified portfolio. A reasonable approach is to compareσ2(e P) to the market variance, or equivalently, to compare σ(e P) to the market standard deviation. Suppose we do n ot allow σ(e P) to exceed pσM, where p is a small decimal fraction, for example, 0.05; then, the smaller the value we choose for p, the more stringent our criterion for defining how diversified a well-diversified portfolio must be.Now construct a portfolio of n securities with weights w1, w2,…,w n, so that Σw i =1. The portfolio residual variance is σ2(e P) = Σw12σ2(e i)To meet our practical definition of sufficiently diversified, we require this residual variance to be less than (pσM)2. A sure and simple way to proceed is to assume the worst, that is, assume that the residual variance of each security is the highest possible value allowed under the assumptions of the problem: σ2(e i) = nσ2MIn that case σ2(e P) = Σw i2 nσM2Now apply the constraint: Σw i2nσM2 ≤ (pσM)2This requires that: nΣw i2 ≤ p2Or, equivalently, that: Σw i2 ≤ p2/nA relatively easy way to generate a set of well-diversified portfolios is to use portfolio weights that follow a geometric progression, since the computations then become relatively straightforward. Choose w1 and a common factor q for the geometric progression such that q < 1. Therefore, the weight on each stock is a fraction q of the weight on the previous stock in the series. Then the sum of n terms is:Σw i= w1(1– q n)/(1– q) = 1or: w1 = (1– q)/(1– q n)The sum of the n squared weights is similarly obtained from w12 and a common geometric progression factor of q2. ThereforeΣw i2 = w12(1– q2n)/(1– q 2)Substituting for w1 from above, we obtainΣw i2 = [(1– q)2/(1– q n)2] × [(1– q2n)/(1– q 2)]For sufficient diversification, we choose q so that Σw i2 ≤ p2/nFor example, continue to assume that p = 0.05 and n = 1,000. If we chooseq = 0.9973, then we will satisfy the required condition. At this value for q w1 = 0.0029 and w n = 0.0029 × 0.99731,000 In this case, w1 is about 15 times w n. Despite this significant departure from equal weighting, this portfolio is nevertheless well diversified. Any value of q between0.9973 and 1.0 results in a well-diversified portfolio. As q gets closer to 1, theportfolio approaches equal weighting.18. a. Assume a single-factor economy, with a factor risk premium E M and a (large)set of well-diversified portfolios with beta βP. Suppose we create a portfolio Zby allocating the portion w to portfolio P and (1 – w) to the market portfolioM. The rate of return on portfolio Z is:R Z = (w × R P) + [(1 –w) × R M]Portfolio Z is riskless if we choose w so that βZ = 0. This requires that:βZ = (w × βP) + [(1 –w) × 1] = 0 ?w = 1/(1 –βP) and (1 – w) = –βP/(1 –βP)Substitute this value for w in the expression for R Z:R Z = {[1/(1 –βP)] × R P} –{[βP/(1 –βP)] × R M}Since βZ = 0, then, in order to avoid arbitrage, R Z must be zero.This implies that: R P = βP × R MTaking expectations we have:E P = βP × E MThis is the SML for well-diversified portfolios.b. The same argument can be used to show that, in a three-factor model withfactor risk premiums E M, E1 and E2, in order to avoid arbitrage, we must have:E P = (βPM × E M) + (βP1 × E1) + (βP2 × E2)This is the SML for a three-factor economy.19. a. The Fama-French (FF) three-factor model holds that one of the factors drivingreturns is firm size. An index with returns highly correlated with firm size (i.e.,firm capitalization) that captures this factor is SMB (small minus big), thereturn for a portfolio of small stocks in excess of the return for a portfolio oflarge stocks. The returns for a small firm will be positively correlated withSMB. Moreover, the smaller the firm, the greater its residual from the othertwo factors, the market portfolio and the HML portfolio, which is the returnfor a portfolio of high book-to-market stocks in excess of the return for aportfolio of low book-to-market stocks. Hence, the ratio of the variance of thisresidual to the variance of the return on SMB will be larger and, together withthe higher correlation, results in a high beta on the SMB factor.b.This question appears to point to a flaw in the FF model. The model predictsthat firm size affects average returns so that, if two firms merge into a largerfirm, then the FF model predicts lower average returns for the merged firm.However, there seems to be no reason for the merged firm to underperformthe returns of the component companies, assuming that the component firmswere unrelated and that they will now be operated independently. We mighttherefore expect that the performance of the merged firm would be the sameas the performance of a portfolio of the originally independent firms, but theFF model predicts that the increased firm size will result in lower averagereturns. Therefore, the question revolves around the behavior of returns for aportfolio of small firms, compared to the return for larger firms that resultfrom merging those small firms into larger ones. Had past mergers of smallfirms into larger firms resulted, on average, in no change in the resultantlarger firms’ stock return characteristics (compared to the portfolio of stocksof the merged firms), the size factor in the FF model would have failed.Perhaps the reason the size factor seems to help explain stock returns is that,when small firms become large, the characteristics of their fortunes (andhence their stock returns) change in a significant way. Put differently, stocksof large firms that result from a merger of smaller firms appear empirically tobehave differently from portfolios of the smaller component firms.Specifically, the FF model predicts that the large firm will have a smaller riskpremium. Notice that this development is not necessarily a bad thing for thestockholders of the smaller firms that merge. The lower risk premium may bedue, in part, to the increase in value of the larger firm relative to the mergedfirms.CFA PROBLEMS1. a. This statement is incorrect. The CAPM requires a mean-variance efficientmarket portfolio, but APT does not.b.This statement is incorrect. The CAPM assumes normallydistributed securityreturns, but APT does not.c. This statement is correct.2. b. Since portfolio X has β = 1.0, then X is the market portfolio and E(R M) =16%.Using E(R M ) = 16% and r f = 8%, the expected return for portfolio Y is notconsistent.3. d.4. c.5. d.6. c. Investors will take on as large a position as possible only if the mispricingopportunity is an arbitrage. Otherwise, considerations of risk anddiversification will limit the position they attempt to take in the mispricedsecurity.7. d.8. d.。

博迪《投资学》（第10版）笔记和课后习题详解答案博迪《投资学》（第10版）笔记和课后习题详解完整版>精研学习?>无偿试用20％资料全国547所院校视频及题库全收集考研全套>视频资料>课后答案>往年真题>职称考试第一部分绪论第1章投资环境1.1复习笔记1.2课后习题详解第2章资产类别与金融工具2.1复习笔记2.2课后习题详解第3章证券是如何交易的3.1复习笔记3.2课后习题详解第4章共同基金与其他投资公司4.1复习笔记4.2课后习题详解第二部分资产组合理论与实践第5章风险与收益入门及历史回顾5.1复习笔记5.2课后习题详解第6章风险资产配置6.1复习笔记6.2课后习题详解第7章最优风险资产组合7.1复习笔记7.2课后习题详解第8章指数模型8.2课后习题详解第三部分资本市场均衡第9章资本资产定价模型9.1复习笔记9.2课后习题详解第10章套利定价理论与风险收益多因素模型10.1复习笔记10.2课后习题详解第11章有效市场假说11.1复习笔记11.2课后习题详解第12章行为金融与技术分析12.1复习笔记12.2课后习题详解第13章证券收益的实证证据13.1复习笔记13.2课后习题详解第四部分固定收益证券第14章债券的价格与收益14.1复习笔记14.2课后习题详解第15章利率的期限结构15.1复习笔记15.2课后习题详解第16章债券资产组合管理16.1复习笔记16.2课后习题详解第五部分证券分析第17章宏观经济分析与行业分析17.2课后习题详解第18章权益估值模型18.1复习笔记18.2课后习题详解第19章财务报表分析19.1复习笔记19.2课后习题详解第六部分期权、期货与其他衍生证券第20章期权市场介绍20.1复习笔记20.2课后习题详解第21章期权定价21.1复习笔记21.2课后习题详解第22章期货市场22.1复习笔记22.2课后习题详解第23章期货、互换与风险管理23.1复习笔记23.2课后习题详解第七部分应用投资组合管理第24章投资组合业绩评价24.1复习笔记24.2课后习题详解第25章投资的国际分散化25.1复习笔记25.2课后习题详解第26章对冲基金26.1复习笔记26.2课后习题详解第27章积极型投资组合管理理论27.1复习笔记27.2课后习题详解第28章投资政策与特许金融分析师协会结构28.1复习笔记28.2课后习题详解。

博迪投资学答案chap005-7thedCHAPTER 5: LEARNING ABOUT RETURN AND RISKFROM THE HISTORICAL RECORD1. a. The “Inflation-Plus” CD is the safer investment because it guarantees thepurchasing power of the investment. Using the approximation that the realrate equals the nominal rate minus the inflation rate, the CD provides a realrate of 3.5% regardless of the inflation rate.b. The expected return depends on the expected rate of inflation over the nextyear. If the expected rate of inflation is less than 3.5% then the conventionalCD offers a higher real return than the Inflation-Plus CD; if the expected rateof inflation is greater than 3.5%, then the opposite is true.c. If you expect the rate of inflation to be 3% over the next year, then theconventional CD offers you an expected real rate of return of 4%, which is0.5% higher than the real rate on the inflation-protected CD. But unless youknow that inflation will be 3% with certainty, the conventional CD is alsoriskier. The question of which is the better investment then depends on yourattitude towards risk versus return. You might choose to diversify and investpart of your funds in each.d. No. We cannot assume that the entire difference between the risk-freenominal rate (on conventional CDs) of 7% and the real risk-free rate (oninflation-protected CDs) of 3.5% is the expected rate of inflation. Part of thedifference is probably a risk premium associated with the uncertaintysurrounding the real rate of return on the conventional CDs. This implies thatthe expected rate of inflation is less than 3.5% per year.2.From Table 5.3, the average risk premium for large-capitalization U.S. stocks forthe period 1926-2005 was: (12.15% - 3.75%) = 8.40% per yearAdding 8.40% to the 6% risk-free interest rate, the expected annual HPR for theS&P 500 stock portfolio is: 6.00% + 8.40% = 14.40%3. Probability distribution of price and one-year holding period return for a 30-yearGerman Government bond (which will have 29 years to maturity at year’s end):Economy Probability YTM Price CapitalGainCouponInterestHPRBoom 0.20 11.0% $ 74.05 -$25.95 $8.00 -17.95% Normal Growth 0.50 8.0% $100.00 $ 0.00 $8.00 8.00% Recession 0.30 7.0%$112.28 $12.28 $8.00 20.28%5-14. E(r) = [0.35 ? 44.5%] + [0.30 ? 14.0%] + [0.35 ? (–16.5%)] = 14%σ2 = [0.35 ? (44.5 – 14)2] + [0.30 ? (14 – 14)2] + [0.35 ? (–16.5 –14)2] = 651.175 σ = 25.52%The mean is unchanged, but the standard deviation has increased, as theprobabilities of the high and low returns have increased.5. For the money market fund, your holding period return for the next year depends onthe level of 30-day interest rates each month when the fund rolls over maturingsecurities. The one-year savings deposit offers a 7.5% holding period return for the year. If you forecast that the rate on money market instruments will increasesignificantly above the current 6% yield, then the money market fund might result ina higher HPR than the savings deposit. The 20-year U.K Government bond offers ayield to maturity of 9% per year, which is 150 basis points higher than the rate on the one-year savings deposit; however, you could earn a one-year HPR much less than 7.5% on the bond if long-term interest rates increase during the year. If U.K Government bond yields rise above 9%, then the price of the bond will fall, and the resulting capital loss will wipe out some or all of the 9% return you would haveearned if bond yields had remained unchanged over the course of the year.6. a. If businesses reduce their capital spending, then they arelikely to decreasetheir demand for funds. This will shift the demand curve in Figure 5.1 tothe left and reduce the equilibrium real rate of interest.b. Increased household saving will shift the supply of funds curve to the rightand cause real interest rates to fall.c. Open market purchases of U.S. Treasury securities by the Federal ReserveBoard is equivalent to an increase in the supply of funds (a shift of thesupply curve to the right). The equilibrium real rate of interest will fall.5-25-37.The average rates of return and standard deviations are quite different in the sub periods: STOCKS Mean Deviation Skewness Kurtosis1926 –2005 12.15% 20.26% -0.3605 -0.0673 1976 –2005 13.85% 15.68% -0.4575 -0.6489 1926 –1941 6.39% 30.33% -0.0022 -1.0716BONDSMean DeviationSkewness Kurtosis1926 – 2005 5.68% 8.09% 0.9903 1.6314 1976 – 2005 9.57% 10.32% 0.3772 -0.0329 1926 – 19414.42%4.32% -0.5036 0.5034The most relevant statistics to use for projecting into thefuture would seem to be the statistics estimated over the period 1976-2005, because this later period seems to have been a different economic regime. After 1955, the U.S. economy entered the Keynesian era, when the Federal government actively attempted to stabilize the economy and to prevent extremes in boom and bust cycles. Note that the standard deviation of stock returns has decreased substantially in the later period while the standard deviation of bond returns has increased.8. Real interest rates are expected to rise. The investment activity will shift the demand for funds curve (in Figure 5.1) to the right. Therefore the equilibrium real interest rate will increase.9. a %88.50588.070.170.080.0i 1i R 1i 1R 1r ==-=+-=-++=b.r ≈ R - i = 80% - 70% = 10%Clearly, the approximation gives a real HPR that is too high.10. From Table 5.2, the average real rate on T-bills has been:0.72% a. T-bills: 0.72% real rate + 3% inflation = 3.72%b.Expected return on large stocks:3.72% T-bill rate + 8.40% historical risk premium = 12.12%c.The risk premium on stocks remains unchanged. A premium, the difference between two rates, is a real value, unaffected by inflation.11. E(r) = (0.1 × 15%) + (0.6 × 13%) + (0.3 × 7%) = 11.4%12. The expected dollar return on the investment in equities is $18,000 compared to the$5,000 expected return for T-bills. Therefore, the expectedrisk premium is $13,000.13. E(r X) = [0.2 × (?20%)] + [0.5 × 18%] + [0.3 × 50%] =20%E(r Y)= [0.2 × (?15%)] + [0.5 × 20%] + [0.3 × 10%] =10%14. σX 2 = [0.2 ? (– 20 – 20)2] + [0.5 ? (18 – 20)2] + [0.3 ? (50 – 20)2] = 592σX = 24.33%σY 2 = [0.2 ? (– 15 – 10)2] + [0.5 ? (20 – 10)2] + [0.3 ? (10 –10)2] = 175σX = 13.23%15. E(r) = (0.9 × 20%) + (0.1 × 10%) =19%16. E(r) = [0.2 × (?25%)] + [0.3 × 10%] + [0.5 × 24%] =10%17. The probability that the economy will be neutral is 0.50, or 50%. Given a neutraleconomy, the stock will experience poor performance 30% of the time. Theprobability of both poor stock performance and a neutral economy is therefore:0.30 ? 0.50 = 0.15 = 15%18. a. Probability Distribution of the HPR on the Stock Market and Put:STOCK PUTState of the Economy ProbabilityEnding Price +DividendHPR Ending Value HPRBoom 0.30 $134 34% $ 0.00 -100% Normal Growth 0.50 $114 14% $ 0.00 -100% Recession 0.20 $ 84 -16% $ 29.50 146% Remember that the cost of the index fund is $100 per share, and the cost of the put option is $12.5-4b. The cost of one share of the index fund plus a put option is $112. Theprobability distribution of the HPR on the portfolio is:State of the Economy ProbabilityEnding Price +Put +DividendHPR= (134 - 112)/112Normal Growth 0.50 $114.00 1.8% = (114 - 112)/112 Recession 0.20 $113.50 1.3% = (113.50 - 112)/112c. Buying the put option guarantees the investor a minimum HPR of 1.3%regardless of what happens to the stock's price. Thus, it offers insuranceagainst a price decline.19. The probability distribution of the dollar return on CD plus call option is:State of the Economy ProbabilityEnding Valueof CDEnding Valueof CallCombinedValueBoom 0.30 $114.00 $19.50 $133.50 Normal Growth 0.50 $114.00 $ 0.00 $114.00 Recession 0.20 $114.00 $ 0.00 $114.00 5-5。

博迪第八版投资学第十二章课后习题答案CHAPTER 12: BEHAVIORAL FINANCEAND TECHNICAL ANALYSISPROBLEM SETS1. Technical analysis can generally be viewed as a search for trends or patterns inmarket prices. Technical analysts tend to view these trends as momentum, orgrad ual adjustments to ‘correct’ prices, or, alternatively, reversals of trends. Anumber of the behavioral biases discussed in the chapter might contribute to such trends and patterns. For example, a conservatism bias might contribute to a trend in prices as investors gradually take new information in to account, resulting ingradual adjustment of prices towards their fundamental values. Another example derives from the concept of representativeness, which leads investors toinappropriately conclude, on the basis of a small sample of data, that a pattern has been established that will continue well in to the future. When investorssubsequently become aware of the fact that prices have overreacted, corrections reverse the initial erroneous trend.2. Even if many investors exhibit behavioral biases, security prices might still be setefficiently if the actions of arbitrageurs move prices to their intrinsic values.Arbitrageurs who observe mispricing in the securities markets would buyunderpriced securities (or possibly sell short overpriced securities) in order to profit from the anticipated subsequent changes as prices move to their intrinsic values.Consequently, securities prices would still exhibit the characteristics of an efficient market.3. One of the major factors limiting the ability of rational investors to take advantageof any ‘pricing errors’ that result from the actions of behavioral investors is the fact that a mispricing can get worse over time. An example of this fundamental risk is the apparent ongoing overpricing of the NASDAQ index in the late 1990s. A related factor is the inherent costs and limits related to short selling, which restrict theextent to which arbitrage can force overpriced securities (or indexes) to movetowards their fair values. Rational investors must also be aware of the risk that an apparent mispricing is, in fact, a consequence of model risk; that is, the perceived mispricing may not be real because the investor has used a faulty model to value the security.12-212-34.Two reasons why behavioral biases might not affect equilibrium asset prices are discussed in Quiz Problems (1) and (2) above: first, behavioral biases might contribute to the success of technical trading rules as prices gradually adjusttowards their intrinsic values, and; second, the actions of arbitrageurs might move security prices towards their intrinsic values. It might be important for investors to be aware of these biases because either of these scenarios might create the potential for excess profits even if behavioral biases do not affect equilibrium prices. 5.Efficient market advocates believe that publicly available information (and, for advocates of strong-form efficiency, even insider information) is, at any point in time, reflected in securities prices, and that price adjustments to new information occur very quickly. Consequently, prices are at fair levels so that activemanagement is very unlikely to improve performance above that of a broadly diversified index portfolio. In contrast, advocates of behavioral finance identify a number of investor errors in information processing and decision making that could result in mispricing of securities. However, the behavioral finance literaturegenerally does not provide guidance as to how these investor errors can be exploited to generate excess profits. Therefore, in the absence of any profitable alternatives, even if securities markets are not efficient, the optimal strategy might still be a passive indexing strategy.6.Trin =advancing Number /advancing Volume declining Number /declining Volume 978.0233,1/150,560,467068,2/460,901,766==This trin ratio, which is below 1.0, would be taken as a bullish signal. 7.Breadth: Advances Declines Net Advances 1,2332,068-835Breadth is negative. This is a bearish signal (although no one would actually use a one-day measure as in this example). 8. This exercise is left to the student; answers will vary.9.The confidence index increases from (7%/8%) = 0.875 to (8%/9%) = 0.889 This indicates slightly higher confidence. But the real reason for the increase in the index is the expectation of higher inflation, not higher confidence about the economy.10. At the beginning of the period, the price of Computers, Inc. divided by the industryindex was 0.39; by the end of the period, the ratio had increased to 0.50. As the ratio increased over the period, it appears that Computers, Inc. outperformed other firms in its industry. The overall trend, therefore, indicates relative strength, although some fluctuation existed during the period, with the ratio falling to a low point of0.33 on day 19.11. Five day moving averages:Days 1 – 5: (19.63 + 20 + 20.5 + 22 + 21.13) / 5 = 20.65Days 2 – 6 = 21.13Days 3 – 7 = 21.50Days 4 – 8 = 21.90Days 5 – 9 = 22.13Days 6 – 10 = 22.68Days 7 – 11 = 23.18Days 8 – 12 = 23.45 ← Sell signal (day 12 price < moving average)Days 9 – 13 = 23.38Days 10 – 14 = 23.15Days 11 – 15 = 22.50Days 12 – 16 = 21.65Days 13 – 17 = 20.95Days 14 – 18 = 20.28Days 15 – 19 = 19.38Days 16 – 20 = 19.05Days 17 – 21 = 18.93 ← Buy signal (day 21 price > moving average)Days 18 – 22 = 19.28Days 19 – 23 = 19.93Days 20 – 24 = 21.05Days 21 – 25 = 22.05Days 22 – 26 = 23.18Days 23 – 27 = 24.13Days 24 – 28 = 25.13Days 25 – 29 = 26.00Days 26 – 30 = 26.80Days 27 – 31 = 27.45Days 28 – 32 = 27.80Days 29 – 33 = 27.90 ← Sell signal (day 33 price < moving average)Days 30 – 34 = 28.20Days 31 – 35 = 28.45Days 32 – 36 = 28.65Days 33 – 37 = 29.05Days 34 – 38 = 29.25Days 35 – 39 = 29.00Days 36 – 40 = 28.7512-412-512. This pattern shows a lack of breadth. Even though the index is up, more stocksdeclined than advanced, which indicates a “lack of broad -based support” for the rise in the index. 13.Day Advances DeclinesNet Advances CumulativeBreadth1 906 704 202 202 2 653 986 -333 -131 3 721 789 - 68 -1994 503 968 -465 -664 5 497 1,095 -598 -1,2626 970 702 268 -9947 1,002 609 393 -6018 903 722 181 -4209 850 748 102 -318 10 766 766 0 -318The signal is bearish as cumulative breadth is negative; however, the negative number is declining in magnitude, indicative of improvement. Perhaps the worst of the bear market has passed.14. Trin =936.0906/million 330704/million 240advancing Number /advancing Volume declining Number /declining Volume ==This is a slightly bullish indicator, with average volume in advancing issues a bit greater than average volume in declining issues.15. Confidence Index =bondscorporate grade -te intermedia on Yield bondscorporate rated -on top YieldThis year: Confidence Index = (8%/10.5%) = 0.762 Last year: Confidence Index = (8.5%/10%) = 0.850Thus, the confidence index is decreasing.16. [Note: In order to create the 26-week moving average for the S&P 500, we firstconverted the weekly returns to weekly index values, using a base of 100 for the week prior to the first week of the data set. The graph on the next page shows the resulting S&P 500 values and the 26-week moving average, beginning with the 26th week of the data set.]a.The graph on the next page summarizes the data for the 26-week moving average. The graph also shows the values of the S&P 500 index.12-6S&P500 Index - 26-Week Moving Average0.0020.0040.0060.0080.00100.00120.0011/24/20001/24/20013/24/20015/24/20017/24/20019/24/200111/24/20011/24/20023/24/20025/24/20027/24/20029/24/200211/24/20021/24/20033/24/20035/24/20037/24/20039/24/200311/24/20031/24/20043/24/20045/24/20047/24/20049/24/200411/24/20041/24/20053/24/2005b. The S&P 500 crosses through its moving average from below fourteen times,as indicated in the table below. The index increases seven times in weeksfollowing a cross-through and decreases seven times.Date of cross-through Direction of S&P 500 in subsequentweek05/18/01 Decrease06/08/01 Decrease12/07/01 Decrease12/21/01 Increase03/01/02 Increase11/22/02 Increase01/03/03 Increase03/21/03 Decrease04/17/03 Increase06/10/04 Decrease09/03/04 Increase10/01/04 Decrease10/29/04 Increase04/08/05 Decreasec. The S&P 500 crosses through its moving average from above fourteen times,as indicated in the table below. The index increases nine times in weeksfollowing a cross-through and decreases five times.Date of cross-through Direction of S&P 500 in subsequentweek06/01/01 Increase06/15/01 Increase12/14/01 Increase02/08/02 Increase04/05/02 Decrease12/13/02 Increase01/24/03 Decrease03/28/03 Increase04/30/04 Decrease07/02/04 Decrease09/24/04 Increase10/15/04 Decrease03/24/05 Increase04/15/05 Increase12-7d. When the index crosses through its moving average from below, as in part (b)above, this is regarded as a bullish signal. However, in our sample, the index is as likely to increase as it is to decrease following such a signal. When the indexcrosses through its moving average from above, as in part (c), this is regarded asa bearish signal. In our sample, contrary to the bearish signal, the index isactually more likely to increase than it is to decrease following such a signal.12-817. [Note: In order to create the relative strength measure, we first converted theweekly returns for the Fidelity Banking Fund and for the S&P 500 to weekly index values, using a base of 100 for the week prior to the first week of the data set. The graph on the next page shows the resulting Fidelity Banking Fund values and the S&P 500 values, along with the Relative Strength measure (multiplied by 100). The graph on the following page shows the percentage change in the Relative Strength measure over 5-week intervals.]a. The graphs on the next two pages summarize the relative strength data for theFidelity Banking Fund.b. Over five-week intervals, relative strength increased by more than 5%twenty-nine times, as indicated in the table below. The Fidelity Banking Fundunderperformed the S&P 500 index eighteen times and outperformed the S&P500 index eleven times in weeks following an increase of more than 5%.Date of IncreasePerformance of Banking Fund in subsequent week07/21/00 Outperformed 08/04/00 Outperformed 08/11/00 Underperformed 08/18/00 Outperformed 09/22/00 Outperformed 09/29/00 Underperformed 10/06/00 Underperformed 12/01/00 Underperformed 12/22/00 Underperformed 12/29/00 Outperformed 01/05/01 Underperformed 01/12/01 Underperformed 02/16/01 Underperformed 02/23/01 Outperformed 03/02/01 Underperformed 03/09/01 Outperformed 03/16/01 Underperformed 03/30/01 Underperformed 06/22/01 Underperformed 08/17/01 Underperformed 03/15/02 Outperformed 03/22/02 Underperformed 03/28/02 Outperformed 04/05/02 Outperformed 04/12/02 Underperformed 04/26/02 Outperformed 05/03/02 Underperformed 05/10/02 Underperformed 06/28/02 Underperformed12-912-10Chapter 12 - Behavioral Finance and Technical Analysisc. Over five-week intervals, relative strength decreases by more than 5% fifteentimes, as indicated in the table below. The Fidelity Banking Fundunderperformed the S&P 500 index six times and outperformed the S&P 500 index nine times in weeks following a decrease of more than 5%.Date of DecreasePerformance of Banking Fund in subsequent week07/07/00 Underperformed07/14/00 Outperformed05/04/01 Underperformed05/11/01 Outperformed10/12/01 Outperformed11/02/01 Outperformed10/04/02 Outperformed10/11/02 Outperformed04/16/04 Underperformed04/23/04 Outperformed12/03/04 Outperformed12/10/04 Underperformed12/17/04 Outperformed12/23/04 Underperformed12/31/04 Underperformedd. An increase in relative strength, as in part (b) above, is regarded as a bullishsignal. However, in our sample, the Fidelity Banking Fund is more likely tounder perform the S&P 500 index than it is to outperform the index followingsuch a signal. A decrease in relative strength, as in part (c), is regarded as abearish signal. In our sample, contrary to the bearish signal, the FidelityBanking Fund is actually more likely to outperform the index increase than it isto under perform following such a signal.CFA PROBLEMS1. i. Mental accounting is best illustrated by Statement #3. Sampson’s requirementthat his income needs be met via interest income and stock dividends is anexample of mental accounting. Mental accounting holds that investorssegregate funds into mental accounts (e.g., dividends and capital gains),maintain a set of separate mental accounts, and do not combine outcomes; aloss in one account is treated separately from a loss in another account. Mentalaccounting leads to an investor preference for dividends over capital gains andto an inability or failure to consider total return.ii. Overconfidence(illusion of control) is best illustrated by Statement #6.Sampson’s desire to select investments that are inconsis tent with his overallstrategy indicates overconfidence. Overconfident individuals often exhibitrisk-seeking behavior. People are also more confident in the validity of theirconclusions than is justified by their success rate. Causes of overconfidenceinclude the illusion of control, self-enhancement tendencies, insensitivity topredictive accuracy, and misconceptions of chance processes.iii. Reference dependence is best illustrated by Statement #5. Sampson’s desire to retain poor performing investments and to take quick profits on successfulinvestments suggests reference dependence. Reference dependence holds thatinvestment decisions are critically dependent on the decision-maker’sreference point. In this case, the reference point is the original purchase price.Alternatives are evaluated not in terms of final outcomes but rather in terms ofgains and losses relative to this reference point. Thus, preferences aresusceptible to manipulation simply by changing the reference point.2. a. Frost's statement is an example of reference dependence. His inclination to sellthe international investments once prices return to the original cost depends notonly on the terminal wealth value, but also on where he is now, that is, hisreference point. This reference point, which is below the original cost, hasbecome a critical factor in Frost’s decision.In standard finance, alternatives are evaluated in terms of terminal wealth valuesor final outcomes, not in terms of gains and losses relative to some reference pointsuch as original cost.b. Frost’s statement is an example of susceptibility to cognitive error, in at leasttwo ways. First, he is displaying the behavioral flaw of overconfidence. Helikely is more confident about the validity of his conclusion than is justified byhis rate of success. He is very confident that the past performance of CountryXYZ indicates future performance. Behavioral investors could, and often do,conclude that a five-year record is ample evidence to suggest futureperformance. Second, by choosing to invest in the securities of only CountryXYZ, Frost is also exemplifying the behavioral finance phenomenon of assetsegregation. That is, he is evaluating Country XYZ investment in terms of itsanticipated gains or losses viewed in isolation.Individuals are typically more confident about the validity of their conclusionsthan is justified by their success rate or by the principles of standard finance,especially with regard to relevant time horizons. In standard finance, investorsknow that five years of returns on Country XYZ securities relative to all othermarkets provide little information about future performance. A standardfinance investor would not be fooled by this “law of small numbers.” Instandard finance, investors evaluate performance in portfolio terms, in thiscase defined by combining the Country XYZ holding with all other securitiesheld. Investments in Country XYZ, like all other potential investments, shouldbe evaluated in terms of the anticipated contribution to the risk- rewardprofile of the entire portfolio.c. Familiarity: Maclin is evaluating his holding of company stock based on hisfamiliarity with the company rather than on sound investment and portfolioprinciples. Company employees, because of this familiarity, may have adistorted perception of their own company, assuming a “good company” willalso be a good investment. Irrational investors believe an investment in acompany with which they are familiar will produce higher returns and have lessrisk than non-familiar investments.Representativeness: Maclin is confusing his company (which may well be a goodcompany) with the company’s stock (which may or may not be an appropriateholding for his portfolio and/or a good investment) and its future performance.This can result in employees’ overweighting their company stock, thereby holdingan under-diversified portfolio4. a. The behavioral finance principle of biased expectations/overconfidence is mostconsistent with the investor’s first statement. Petrie stock provides a level ofconfidence and comfort for the investor because of the circumstances in which sheacquired the stock and her recent history with the returns and income from thestock. However, the investor exhibits overconfidence in the stock given the needs ofthe Trust and the brevity of the recent performance history. Maintaining a 15percent position in a single stock is inconsistent with the overall strategy of the Trust,and the investor’s level of confidence should reflect the stock’s o verall record, notjust the past two years.b. The behavioral finance principle of mental accounting is most consistent withthe investor’s second statement. The investor has segregated the moniesdistributed from the Trust into two “accounts”: the return s the Trust receivesfrom the Petrie stock, and the remaining funds that the Trust receives for herbenefit. She is maintaining a separate set of mental accounts with regard to thetotal funds distributed. The investor’s “specific uses” should be viewed in theoverall context of the spending needs of the Trust and should consider the riskand return profile of the entire Trust.5. i. Overconfidence (Biased Expectations and Illusion of Control): Pierce is basing herinvestment strategy for supporting her parents on her confidence in the economicforecasts. This is a cognitive error reflecting overconfidence in the form of bothbiased expectations and an illusion of control. Pierce is likely more confident in thevalidity of those forecasts than is justified by the accuracy of prior forecasts.Analysts’ consensus forecasts have proven routinely and widely inaccurate. Piercealso appears to be overly confident that the recent performance of the Pogo Islandeconomy is a good indicator of future performance. Behavioral investors oftenconclude that a short track record is ample evidence to suggest futureperformance.Standard finance investors understand that individuals typically have greaterconfidence in the validity of their conclusions than is justified by their success rate.The calibration paradigm, which compares confidence to predictive ability,suggests that there is significantly lower probability of success than the confidence levels reported by individuals. In addition, standard finance investors know that recent performance provides little information about future performance and are not deceived by this “law of small numbers.”ii. Loss Aversion (Risk Seeking): Pierce is exhibiting risk aversion in deciding to sell the Core Bond Fund despite its gains and favorable prospects. She prefers a certaingain over a possibly larger gain coupled with a smaller chance of a loss. Pierce is exhibiting loss aversion (risk seeking) by holding the High Yield Bond Fund despite its uncertain prospects. She prefers the modest possibility of recovery coupled with the chance of a larger loss over a certain loss. People tend to exhibit risk seeking, rather than risk aversion, behavior when the probability of loss is large. There is considerable evidence indicating that risk aversion holds for gains and risk seeking behavior holds for losses, and that attitudes toward risk vary depending onparticular goals and circumstances.Standard finance investors are consistently risk averse, and systematically prefer a certain outcome over a gamble with the same expected value. Such investors also take a symmetrical view of gains and losses of the same magnitude, and theirsensitivity (aversion) to changes in value is not a function of a specified valuereference point.iii. Reference Dependence:Pierce’s inclination to sell her Small Company Fund once it returns to her original cost is an example of reference dependence. Hersell decision is predicated on the current value as related to original cost, herreference point. Her decision does not consider any analysis of expectedterminal value or the impact of this sale on her total portfolio. This referencepoint of original cost has become a critical but inappropriate factor in Pierce’sdecision.In standard finance, alternatives are evaluated in terms of terminal wealth values or final outcomes, not in terms of gains and losses relative to a reference point such as original cost. Standard finance investors also consider the risk and returnprofile of the entire portfolio rather than anticipated gains or losses on anyparticular investment or asset class.。

投资学第九版课后答案,博迪投资学第九版课后答案CHAPTER1:THEINVESTMENTENVIRONMENTPROBLEMSETS1.Ultimately,itistruethatrealassetsdeterminethematerialwellbeingofaneconomy.Nevertheless,inpidualscanbenefitwhenfinancialengineeringcreatesnewproductsthatallowt hemtomanagetheirportfoliosoffinancialassetsmoreefficiently.Becausebundlingandunbundlingcreat esfinancialproductswithnewpropertiesandsensitivitiestovarioussourcesofrisk,itallowsinvestorstohe dgeparticularsourcesofriskmoreefficiently.2.Securitizationrequiresaccesstoalargenumberofpotentialinvestors.Toattracttheseinvestors,thecapitalmarketneeds:1.asafesystemofbusinesslawsandlowprobabilityofconfiscatorytaxation/regulation;2.awell-developedinvestmentbankingindustry;3.awell-developedsystemofbrokerageandfinancialtransactions,and;4.well-developedmedia,particularlyfinancialreporting.Thesecharacteristicsarefoundin(indeedmakefor)awell-developedfinancialmarket.3.Securitizationleadstodisintermediation;thatis,securitizationprovidesameansformarketparticipantstobypassintermediaries.Forexample,mortgage-backedsecuritieschannelfundstothehousingmarketwithoutrequiringthatbanksorthriftinstitutionsmakeloansfromtheirownportfolios. Assecuritizationprogresses,financialintermediariesmustincreaseotheractivitiessuchasprovidingshort-termliquiditytoconsumersandsmallbusiness,andfinancialservices.Financialassetsmakeiteasyforlargefirmstoraisethecapitalneededtofinancetheirinvestmentsinrealasse ts.IfFord,forexample,couldnotissuestocksorbondstothegeneralpublic,itwouldhaveafarmoredifficultt imeraisingcapital.Contractionofthesupplyoffinancialassetswouldmakefinancingmoredifficult,there byincreasingthecostofcapital.Ahighercostofcapitalresultsinlessinvestmentandlowerrealgrowth.4. 1-15.Evenifthefirmdoesnotneedtoissuestockinanyparticularyear,thestockmarketisstillimportanttothefinancialmanager.Thestockpriceprovidesimportantinformationabouthowthemarketvaluesthefirmsinvestmentprojects.Forexample,ifthestockpricerises considerably,managersmightconcludethatthemarketbelievesthefirmsfutureprospectsarebright.Thismightbeausefulsignaltothefirmtoproceedwithaninves tmentsuchasanexpansionofthefirmsbusiness.Inaddition,sharesthatcanbetradedinthesecondarymarke taremoreattractivetoinitialinvestorssincetheyknowthattheywillbeabletoselltheirshares.Thisinturnma kesinvestorsmorewillingtobuysharesinaprimaryoffering,andthusimprovesthetermsonwhichfirmsca nraisemoneyintheequitymarket.6.a.No.Theincreaseinpricedidnotaddtotheproductivecapacityoftheeconomy.b.Yes,thevalueoftheequit yheldintheseassetshasincreased.c.Futurehomeownersasawholeareworseoff,sincemortgageliabilitieshavealsoincreased.Inaddition,thishousingpricebubblewilleventuallyburstandsocietyasawhole(andmostlikelytaxpayers)willendurethedamage.7.a.ThebankloanisafinancialliabilityforLanni.(LannisIOUisthebanksfinancialasset.)ThecashLannirec eivesisafinancialasset.ThenewfinancialassetcreatedisLannispromissorynote(thatis,Lanni’sIOUtothebank).nnitransfersfinancialassets(cash)tothesoftwaredevelopers.Inreturn,Lannigetsarealasset,thecompletedsoftware.Nofinancialassetsarecreatedordestroyed;cashissimplytra nsferredfromonepartytoanother.nnigivestherealasset(thesoftware)toMicrosoftinexchangeforafinancialasset,1,500sharesofMicr osoftstock.IfMicrosoftissuesnewsharesinordertopayLanni,thenthiswouldrepresentthecreationofnew financialassets.nniexchangesonefinancialasset(1,500sharesofstock)foranother($120,000).Lannigivesafinancialasset($50,000cash)tothebankandgetsbackanotherfinancialasset(itsIOU).Theloanisdestroyedinthetransaction,sinceitisretiredwhenpaidoffandnolongerexists.1-28.a.LiabilitiesShareholders’equityCash$70,000Bankloan$50,000computersShareholders’equityTotal$100,000Total$100,000Ratioofrealassetstototalassets=$30,000/$100,000=0.30Assetsb.AssetsSoftwareproduct*computersTotal*ValuedatcostRatioofrealassetstototalassets=$100,000/$100,000=1.0c.AssetsMicrosoftsharescomputersTotalLiabilitiesShareholders’equity$120,000Bankloan$50,000Shareholders’equity$150,000Total$150,000LiabilitiesShareholders’equity$70,000Bankloan$50,000Shareholders’equity$100,000Total$100,000Ratioofrealassetstototalassets=$30,000/$150,000=0.20Conclusion:whenthefirmstartsupandraisesworkingcapital,itischaracterizedbyalowratioofrealassetst ototalassets.Whenitisinfullproduction,ithasahighratioofrealassetstototalassets.Whentheprojectshuts downandthefirmsellsitoffforcash,financialassetsonceagainreplacerealassets.9.Forcommercialbanks,theratiois:$140.1/$11,895.1=0.0118Fornon-financialfirms,theratiois:$12,538/$26,572=0.4719Thedifferenceshouldbeexpectedprimarilybecausethebulkofthebusinessoffinancialinstitutionsistomakeloans;whicharefinancialassetsforfinancialinstitutions.10.a.Primary-markettransactionb.Derivativeassetsc.Investorswhowishtoholdgoldwithoutthecomplicationandcostofphysicalstorage.1-311.a.Afixedsalarymeansthatcompensationis(atleastintheshortrun)independentofthefirmssuccess.Thissalarystructuredoesnottiethemanager’simmediatecompensationtothesuccessofthefirm.However,themanagermightviewthisasthesafestcom pensationstructureandthereforevalueitmorehighly.b.Asalarythatispaidintheformofstockinthefirmmeansthatthemanagerearnsthemostwhenthesharehol ders’wealthismaximized.Fiveyearsofvestinghelpsaligntheinterestsoftheemployeewiththelong-termperformanceofthefirm.Thisstructureisthereforemostlikelytoaligntheinterestsofmanagersandshareholders. Ifstockcompensationisoverdone,however,themanagermightviewitasoverlyriskysincethemanager’scareerisalreadylinkedtothefirm,andthisunpersifiedexposurewouldbeexacerbatedwithalargestockpo sitioninthefirm.c.Aprofit-linkedsalarycreatesgreatincentivesformanagerstocontributetothefirm’ssuccess.However,amanagerwhosesalaryistiedtoshort-termprofitswillberiskseeking,especiallyifthe seshort-termprofitsdeterminesalaryorifthecompensationstructuredoesnotbearthefullcostoftheproject’srisks.Shareholders,incontrast,bearthelossesaswellasthegainsontheproject,andmightbelesswillingtoassumethatrisk.12.Evenifaninpidualshareholdercouldmonitorandimprovemanagers’performance,andtherebyincreasethevalueofthefirm,thepayoffwouldbesmall,sincetheownershipshareinalargecorporationwouldbeverysmall.Forexample,ifyouown$10,000ofFordstocka ndcanincreasethevalueofthefirmby5%,averyambitiousgoal,youbenefitbyonly:0.05×$10,000=$500Incontrast,abankthathasamultimillion-dollarloanoutstandingtothefirmhasabigstakeinmakingsuretha tthefirmcanrepaytheloan.Itisclearlyworthwhileforthebanktospendconsiderableresourcestomonitort hefirm.13.Mutualfundsacceptfundsfromsmallinvestorsandinvest,onbehalfoftheseinvestors,inthenationalandinternationalsecuritiesmarkets.Pensionfundsacceptfundsandtheninvest,onbehalfofcurrentandfutureretirees,therebychannelingfund sfromonesectoroftheeconomytoanother.Venturecapitalfirmspoolthefundsofprivateinvestorsandinvestinstart-upfirms.Banksacceptdepositsfr omcustomersandloanthosefundstobusinesses,orusethefundstobuysecuritiesoflargecorporations.Treasurybillsserveapurposeforinvestorswhopreferalow-riskinvestment.Theloweraveragerateofreturncomparedtostocksisthepriceinvestorspayforpredictabilityofinvestmentperformanceandportfoliovalue.14.1-415.Witha“top-down”investingstyle,youfocusonassetallocationorthebroadcompositionoftheentireportfolio,whichisthemajordeterminantofoverallperformance.Moreover,top-downmanagementisthenaturalwaytoestablishaportfoliowithalevelofriskconsistentwithyourrisktoler ance.Thedisadvantageofanexclusiveemphasisontop-downissuesisthatyoumayforfeitthepotentialhig hreturnsthatcouldresultfromidentifyingandconcentratinginundervaluedsecuritiesorsectorsofthemar ket.Witha“bottom-up”investingstyle,youtrytobenefitfromidentifyingundervaluedsecurities.Thedisadva ntageisthatyoutendtooverlooktheoverallcompositionofyourportfolio,whichmayresultinanon-persifi edportfoliooraportfoliowitharisklevelinconsistentwithyourlevelofrisktolerance.Inaddition,thistechn iquetendstorequiremoreactivemanagement,thusgeneratingmoretransactioncosts.Finally,youranalysi smaybeincorrect,inwhichcaseyouwillhavefruitlesslyexpendedeffortandmoneyattemptingtobeatasimplebuy-and-holdstrategy.Youshouldbeskeptical.Iftheauthoractuallyknowshowtoachievesuchreturns,onemustquestionwhythe authorwouldthenbesoreadytosellthesecrettoothers.Financialmarketsareverycompetitive;oneoftheim plicationsofthisfactisthatrichesdonotcomeeasily.Highexpectedreturnsrequirebearingsomerisk,ando bviousbargainsarefewandfarbetween.Oddsarethattheonlyonegettingrichfromthebookisitsauthor.16.。

1、答案可能不一2、交易商公布买入价格和卖出价格。

交易不活跃的股票的买卖价差大。

交易活跃的股票的买卖价差小。

3、 a 原则上，潜在的损失是无限的，随着股票的价格上升而增加。

b 如果止购指令为128，则每股的损失最大为8美元，总共为800美元。

当IBM的股价超过128美元，止购指令就会被执行，限制卖空交易的损失。

4、 a 市场委托指令是指按照当前市场价格立即执行的买入或者卖出指令。

市场委托指令强调的是执行的速度（执行不确定性的减少）。

市场委托指令的缺点就是执行价格不能提前确定，因此造成价格的不确定性。

5、 a电子通信网络的优势在于它能够执行大宗订单而不影响公众的报价。

因为证券的流动性较差，大宗交易不太可能发生，因此他不可能通过电子通信网络交易。

电子限价指令市场办理证券的交易量大，这个流动性不足的证券不大可能被电子限价指令市场交易。

中级题6、a 股票购买价格为：300*$40=$12000.借款为$4000，因此投资者权益（保证金）为：$8000 b 股票的价值为：300*$30=$9000。

年末借款变为：$4,000 × 1.08 = $4,320。

因此，投资者账户中的剩余保证金为：$9,000 − $4,320 = $4,680，则保证金比例为：$4,680/$9,000 = 0.52 = 52%，因此投资者不会收到保证金催缴通知。

c投资收益率=（期末权益-期初权益）/期初权益=($4,680 − $8,000)/$8,000 = −0.415 = −41.5%7、 a 期初保证金是：0.50 × 1,000 × $40 = $20,000。

股票价格上涨，则投资者损失为：$10 × 1,000 = $10,000。

此外，投资者必须支付股利：$2 × 1,000 = $2,000，所以，剩余保证金为：$20,000 – $10,000 – $2,000 = $8,000。