2-The Term Structure of Interest Rates-MB_2013

Multiple Choice Questions1. The term structure of interest rates is:A) The relationship between the rates of interest on all securities.B) The relationship between the interest rate on a security and its time to maturity.C) The relationship between the yield on a bond and its default rate.D) All of the above.E) None of the above.Answer: B Difficulty: EasyRationale: The term structure of interest rates is the relationship between two variables, years and yield to maturity (holding all else constant).2. The yield curve shows at any point in time:A) The relationship between the yield on a bond and the duration of the bond.B) The relationship between the coupon rate on a bond and time to maturity of thebond.C) The relationship between yield on a bond and the time to maturity on the bond.D) All of the above.E) None of the above.Answer: C Difficulty: Easy3. An inverted yield curve implies that:A) Long-term interest rates are lower than short-term interest rates.B) Long-term interest rates are higher than short-term interest rates.C) Long-term interest rates are the same as short-term interest rates.D) Intermediate term interest rates are higher than either short- or long-term interestrates.E) none of the above.Answer: A Difficulty: EasyRationale: The inverted, or downward sloping, yield curve is one in which short-term rates are higher than long-term rates. The inverted yield curve has been observedfrequently, although not as frequently as the upward sloping, or normal, yield curve.4. An upward sloping yield curve is a(n) _______ yield curve.A) normal.B) humped.C) inverted.D) flat.E) none of the above.Answer: A Difficulty: EasyRationale: The upward sloping yield curve is referred to as the normal yield curve, probably because, historically, the upward sloping yield curve is the shape that has been observed most frequently.5. According to the expectations hypothesis, a normal yield curve implies thatA) interest rates are expected to remain stable in the future.B) interest rates are expected to decline in the future.C) interest rates are expected to increase in the future.D) interest rates are expected to decline first, then increase.E) interest rates are expected to increase first, then decrease.Answer: C Difficulty: EasyRationale: An upward sloping yield curve is based on the expectation that short-term interest rates will increase.6. Which of the following is not proposed as an explanation for the term structure ofinterest rates?A) The expectations theory.B) The liquidity preference theory.C) The market segmentation theory.D) Modern portfolio theory.E) A, B, and C.Answer: D Difficulty: EasyRationale: A, B, and C are all theories that have been proposed to explain the term structure.7. The expectations theory of the term structure of interest rates states thatA) forward rates are determined by investors' expectations of future interest rates.B) forward rates exceed the expected future interest rates.C) yields on long- and short-maturity bonds are determined by the supply and demandfor the securities.D) all of the above.E) none of the above.Answer: A Difficulty: EasyRationale: The forward rate equals the market consensus expectation of future short interest rates.8. Which of the following theories state that the shape of the yield curve is essentiallydetermined by the supply and demands for long-and short-maturity bonds?A) Liquidity preference theory.B) Expectations theory.C) Market segmentation theory.D) All of the above.E) None of the above.Answer: C Difficulty: EasyRationale: Market segmentation theory states that the markets for different maturities are separate markets, and that interest rates at the different maturities are determined by the intersection of the respective supply and demand curves.9. According to the "liquidity preference" theory of the term structure of interest rates, theyield curve usually should be:A) inverted.B) normal.C) upward slopingD) A and B.E) B and C.Answer: E Difficulty: EasyRationale: According to the liquidity preference theory, investors would prefer to be liquid rather than illiquid. In order to accept a more illiquid investment, investors require a liquidity premium and the normal, or upward sloping, yield curve results.Use the following to answer questions 10-13:Suppose that all investors expect that interest rates for the 4 years will be as follows:10. What is the price of 3-year zero coupon bond with a par value of $1,000?A) $863.83B) $816.58C) $772.18D) $765.55E) none of the aboveAnswer: B Difficulty: ModerateRationale: $1,000 / (1.05)(1.07)(1.09) = $816.5811. If you have just purchased a 4-year zero coupon bond, what would be the expected rateof return on your investment in the first year if the implied forward rates stay the same?(Par value of the bond = $1,000)A) 5%B) 7%C) 9%D) 10%E) none of the aboveAnswer: A Difficulty: ModerateRationale: The forward interest rate given for the first year of the investment is given as 5% (see table above).12. What is the price of a 2-year maturity bond with a 10% coupon rate paid annually? (Parvalue = $1,000)A) $1,092B) $1,054C) $1,000D) $1,073E) none of the aboveAnswer: D Difficulty: ModerateRationale: [(1.05)(1.07)]1/2 - 1 = 6%; FV = 1000, n = 2, PMT = 100, i = 6, PV =$1,073.3413. What is the yield to maturity of a 3-year zero coupon bond?A) 7.00%B) 9.00%C) 6.99%D) 7.49%E) none of the aboveAnswer: C Difficulty: ModerateRationale: [(1.05)(1.07)(1.09)]1/3 - 1 = 6.99.Use the following to answer questions 14-16:The following is a list of prices for zero coupon bonds with different maturities and par value of $1,000.14. What is, according to the expectations theory, the expected forward rate in the thirdyear?A) 7.00%B) 7.33%C) 9.00%D) 11.19%E) none of the aboveAnswer: C Difficulty: ModerateRationale: 881.68 / 808.88 - 1 = 9%15. What is the yield to maturity on a 3-year zero coupon bond?A) 6.37%B) 9.00%C) 7.33%D) 10.00%E) none of the aboveAnswer: C Difficulty: ModerateRationale: (1000 / 808.81)1/3 -1 = 7.33%16. What is the price of a 4-year maturity bond with a 12% coupon rate paid annually? (Parvalue = $1,000)A) $742.09B) $1,222.09C) $1,000.00D) $1,141.92E) none of the aboveAnswer: D Difficulty: DifficultRationale: (1000 / 742.09)1/4 -1 = 7.74%; FV = 1000, PMT = 120, n = 4, i = 7.74, PV = $1,141.9217. The market segmentation theory of the term structure of interest ratesA) theoretically can explain all shapes of yield curves.B) definitely holds in the "real world".C) assumes that markets for different maturities are separate markets.D) A and B.E) A and C.Answer: E Difficulty: EasyRationale: Although this theory is quite tidy theoretically, both investors and borrows will depart from their "preferred maturity habitats" if yields on alternative maturities are attractive enough.18. An upward sloping yield curveA) may be an indication that interest rates are expected to increase.B) may incorporate a liquidity premium.C) may reflect the confounding of the liquidity premium with interest rateexpectations.D) all of the above.E) none of the above.Answer: D Difficulty: EasyRationale: One of the problems of the most commonly used explanation of termstructure, the expectations hypothesis, is that it is difficult to separate out the liquidity premium from interest rate expectations.19. The "break-even" interest rate for year n that equates the return on an n-periodzero-coupon bond to that of an n-1-period zero-coupon bond rolled over into a one-year bond in year n is defined asA) the forward rate.B) the short rate.C) the yield to maturity.D) the discount rate.E) None of the above.Answer: A Difficulty: EasyRationale: The forward rate for year n, fn, is the "break-even" interest rate for year n that equates the return on an n-period zero- coupon bond to that of an n-1-periodzero-coupon bond rolled over into a one-year bond in year n.20. When computing yield to maturity, the implicit reinvestment assumption is that theinterest payments are reinvested at the:A) Coupon rate.B) Current yield.C) Yield to maturity at the time of the investment.D) Prevailing yield to maturity at the time interest payments are received.E) The average yield to maturity throughout the investment period.Answer: C Difficulty: ModerateRationale: In order to earn the yield to maturity quoted at the time of the investment, coupons must be reinvested at that rate.21. Which one of the following statements is true?A) The expectations hypothesis indicates a flat yield curve if anticipated futureshort-term rates exceed the current short-term rate.B) The basic conclusion of the expectations hypothesis is that the long-term rate isequal to the anticipated long-term rate.C) The liquidity preference hypothesis indicates that, all other things being equal,longer maturities will have lower yields.D) The segmentation hypothesis contends that borrows and lenders are constrained toparticular segments of the yield curve.E) None of the above.Answer: D Difficulty: ModerateRationale: A flat yield curve indicates expectations of existing rates. Expectations hypothesis states that the forward rate equals the market consensus of expectations of future short interest rates. The reverse of C is true.22. The concepts of spot and forward rates are most closely associated with which one ofthe following explanations of the term structure of interest rates.A) Segmented Market theoryB) Expectations HypothesisC) Preferred Habitat HypothesisD) Liquidity Premium theoryE) None of the aboveAnswer: B Difficulty: ModerateRationale: Only the expectations hypothesis is based on spot and forward rates. A andC assume separate markets for different maturities; liquidity premium assumes higheryields for longer maturities.Use the following to answer question 23:23. Given the bond described above, if interest were paid semi-annually (rather thanannually), and the bond continued to be priced at $850, the resulting effective annual yield to maturity would be:A) Less than 12%B) More than 12%C) 12%D) Cannot be determinedE) None of the aboveAnswer: B Difficulty: ModerateRationale: FV = 1000, PV = -850, PMT = 50, n = 40, i = 5.9964 (semi-annual);(1.059964)2 - 1 = 12.35%.24. Interest rates might declineA) because real interest rates are expected to decline.B) because the inflation rate is expected to decline.C) because nominal interest rates are expected to increase.D) A and B.E) B and C.Answer: D Difficulty: EasyRationale: The nominal rate is comprised of the real interest rate plus the expectedinflation rate.25. Forward rates ____________ future short rates because ____________.A) are equal to; they are both extracted from yields to maturity.B) are equal to; they are perfect forecasts.C) differ from; they are imperfect forecasts.D) differ from; forward rates are estimated from dealer quotes while future short ratesare extracted from yields to maturity.E) are equal to; although they are estimated from different sources they both are usedby traders to make purchase decisions.Answer: C Difficulty: EasyRationale: Forward rates are the estimates of future short rates extracted from yields to maturity but they are not perfect forecasts because the future cannot be predicted with certainty; therefore they will usually differ.26. The pure yield curve can be estimatedA) by using zero-coupon bonds.B) by using coupon bonds if each coupon is treated as a separate "zero."C) by using corporate bonds with different risk ratings.D) by estimating liquidity premiums for different maturities.E) A and B.Answer: E Difficulty: ModerateRationale: The pure yield curve is calculated using zero coupon bonds, but coupon bonds may be used if each coupon is treated as a separate "zero."27. The on the run yield curve isA) a plot of yield as a function of maturity for zero-coupon bonds.B) a plot of yield as a function of maturity for recently issued coupon bonds trading ator near par.C) a plot of yield as a function of maturity for corporate bonds with different riskratings.D) a plot of liquidity premiums for different maturities.E) A and B.Answer: B Difficulty: Moderate28. The market segmentation and preferred habitat theories of term structureA) are identical.B) vary in that market segmentation is rarely accepted today.C) vary in that market segmentation maintains that borrowers and lenders will notdepart from their preferred maturities and preferred habitat maintains that marketparticipants will depart from preferred maturities if yields on other maturities areattractive enough.D) A and B.E) B and C.Answer: E Difficulty: ModerateRationale: Borrowers and lenders will depart from their preferred maturity habitats if yields are attractive enough; thus, the market segmentation hypothesis is no longerreadily accepted.29. The yield curveA) is a graphical depiction of term structure of interest rates.B) is usually depicted for U. S. Treasuries in order to hold risk constant acrossmaturities and yields.C) is usually depicted for corporate bonds of different ratings.D) A and B.E) A and C.Answer: D Difficulty: EasyRationale: The yield curve (yields vs. maturities, all else equal) is depicted for U. S.Treasuries more frequently than for corporate bonds, as the risk is constant acrossmaturities for Treasuries.Use the following to answer questions 30-32:30. What should the purchase price of a 2-year zero coupon bond be if it is purchased at thebeginning of year 2 and has face value of $1,000?A) $877.54B) $888.33C) $883.32D) $893.36E) $871.80Answer: A Difficulty: DifficultRationale: $1,000 / [(1.064)(1.071)] = $877.5431. What would the yield to maturity be on a four-year zero coupon bond purchased today?A) 5.80%B) 7.30%C) 6.65%D) 7.25%E) none of the above.Answer: C Difficulty: ModerateRationale: [(1.058) (1.064) (1.071) (1.073)]1/4 - 1 = 6.65%32. Calculate the price at the beginning of year 1 of a 10% annual coupon bond with facevalue $1,000 and 5 years to maturity.A) $1,105B) $1,132C) $1,179D) $1,150E) $1,119Answer: B Difficulty: DifficultRationale: i = [(1.058) (1.064) (1.071) (1.073) (1.074)]1/5 - 1 = 6.8%; FV = 1000, PMT = 100, n = 5, i = 6.8, PV = $1,131.9133. Given the yield on a 3 year zero-coupon bond is 7.2% and forward rates of 6.1% in year1 and 6.9% in year 2, what must be the forward rate in year 3?A) 8.4%B) 8.6%C) 8.1%D) 8.9%E) none of the above.Answer: B Difficulty: ModerateRationale: f3 = (1.072)3 / [(1.061) (1.069)] - 1 = 8.6%34. An inverted yield curve is oneA) with a hump in the middle.B) constructed by using convertible bonds.C) that is relatively flat.D) that plots the inverse relationship between bond prices and bond yields.E) that slopes downward.Answer: E Difficulty: EasyRationale: An inverted yield curve occurs when short-term rates are higher thanlong-term rates.35. Investors can use publicly available financial date to determine which of the following?I)the shape of the yield curveII)future short-term ratesIII)the direction the Dow indexes are headingIV)the actions to be taken by the Federal ReserveA) I and IIB) I and IIIC) I, II, and IIID) I, III, and IVE) I, II, III, and IVAnswer: A Difficulty: ModerateRationale: Only the shape of the yield curve and future inferred rates can be determined.The movement of the Dow Indexes and Federal Reserve policy are influenced by term structure but are determined by many other variables also.36. Which of the following combinations will result in a sharply increasing yield curve?A) increasing expected short rates and increasing liquidity premiumsB) decreasing expected short rates and increasing liquidity premiumsC) increasing expected short rates and decreasing liquidity premiumsD) increasing expected short rates and constant liquidity premiumsE) constant expected short rates and increasing liquidity premiumsAnswer: A Difficulty: ModerateRationale: Both of the forces will act to increase the slope of the yield curve.37. The yield curve is a component ofA) the Dow Jones Industrial Average.B) the consumer price index.C) the index of leading economic indicators.D) the producer price index.E) the inflation index.Answer: C Difficulty: EasyRationale: Since the yield curve is often used to forecast the business cycle, it is used as one of the leading economic indicators.38. The most recently issued Treasury securities are calledA) on the run.B) off the run.C) on the market.D) off the market.E) none of the above.Answer: A Difficulty: EasyUse the following to answer questions 39-42:Suppose that all investors expect that interest rates for the 4 years will be as follows:39. What is the price of 3-year zero coupon bond with a par value of $1,000?A) $889.08B) $816.58C) $772.18D) $765.55E) none of the aboveAnswer: A Difficulty: ModerateRationale: $1,000 / (1.03)(1.04)(1.05) = $889.0840. If you have just purchased a 4-year zero coupon bond, what would be the expected rateof return on your investment in the first year if the implied forward rates stay the same?(Par value of the bond = $1,000)A) 5%B) 3%C) 9%D) 10%E) none of the aboveAnswer: B Difficulty: ModerateRationale: The forward interest rate given for the first year of the investment is given as 3% (see table above).41. What is the price of a 2-year maturity bond with a 5% coupon rate paid annually? (Parvalue = $1,000)A) $1,092.97B) $1,054.24C) $1,028.51D) $1,073.34E) none of the aboveAnswer: C Difficulty: ModerateRationale: [(1.03)(1.04)]1/2 - 1 = 3.5%; FV = 1000, n = 2, PMT = 50, i = 3.5, PV =$1,028.5142. What is the yield to maturity of a 3-year zero coupon bond?A) 7.00%B) 9.00%C) 6.99%D) 4%E) none of the aboveAnswer: D Difficulty: ModerateRationale: [(1.03)(1.04)(1.05)]1/3 - 1 = 4%.Use the following to answer questions 43-46:The following is a list of prices for zero coupon bonds with different maturities and par value of $1,000.43. What is, according to the expectations theory, the expected forward rate in the thirdyear?A) 7.23B) 9.37%C) 9.00%D) 10.9%E) none of the aboveAnswer: B Difficulty: ModerateRationale: 862.57 / 788.66 - 1 = 9.37%44. What is the yield to maturity on a 3-year zero coupon bond?A) 6.37%B) 9.00%C) 7.33%D) 8.24%E) none of the aboveAnswer: D Difficulty: ModerateRationale: (1000 / 788.66)1/3 -1 = 8.24%45. What is the price of a 4-year maturity bond with a 10% coupon rate paid annually? (Parvalue = $1,000)A) $742.09B) $1,222.09C) $1,035.66D) $1,141.84E) none of the aboveAnswer: C Difficulty: DifficultRationale: (1000 / 711.00)1/4 -1 = 8.9%; FV = 1000, PMT = 100, n = 4, i = 8.9, PV =$1,035.6646. You have purchased a 4-year maturity bond with a 9% coupon rate paid annually. Thebond has a par value of $1,000. What would the price of the bond be one year from now if the implied forward rates stay the same?A) $995.63B) $1,108.88C) $1,000.00D) $1,042.78E) none of the aboveAnswer: A Difficulty: DifficultRationale: (925.16 / 711.00)]1/3 - 1.0 = 9.17%; FV = 1000, PMT = 90, n = 3, i = 9.17, PV = $995.63Use the following to answer question 47:47. Given the bond described above, if interest were paid semi-annually (rather thanannually), and the bond continued to be priced at $917.99, the resulting effective annual yield to maturity would be:A) Less than 10%B) More than 10%C) 10%D) Cannot be determinedE) None of the aboveAnswer: B Difficulty: ModerateRationale: FV = 1000, PV = -917.99, PMT = 45, n = 36, i = 4.995325 (semi-annual);(1.4995325)2 - 1 = 10.24%.Use the following to answer questions 48-50:48. What should the purchase price of a 2-year zero coupon bond be if it is purchased at thebeginning of year 2 and has face value of $1,000?A) $877.54B) $888.33C) $883.32D) $894.21E) $871.80Answer: D Difficulty: DifficultRationale: $1,000 / [(1.055)(1.06)] = $894.2149. What would the yield to maturity be on a four-year zero coupon bond purchased today?A) 5.75%B) 6.30%C) 5.65%D) 5.25%E) none of the above.Answer: A Difficulty: ModerateRationale: [(1.05) (1.055) (1.06) (1.065)]1/4 - 1 = 5.75%50. Calculate the price at the beginning of year 1 of an 8% annual coupon bond with facevalue $1,000 and 5 years to maturity.A) $1,105.47B) $1,131.91C) $1,084.25D) $1,150.01E) $719.75Answer: C Difficulty: DifficultRationale: i = [(1.05) (1.055) (1.06) (1.065) (1.07)]1/5 - 1 = 6%; FV = 1000, PMT = 80, n = 5, i = 6, PV = $1084.2551. Given the yield on a 3 year zero-coupon bond is 7% and forward rates of 6% in year 1and 6.5% in year 2, what must be the forward rate in year 3?A) 7.2%B) 8.6%C) 8.5%D) 6.9%E) none of the above.Answer: C Difficulty: ModerateRationale: f3 = (1.07)3 / [(1.06) (1.065)] - 1 = 8.5%Use the following to answer questions 52-61:52. What should the purchase price of a 1-year zero coupon bond be if it is purchased todayand has face value of $1,000?A) $966.37B) $912.87C) $950.21D) $956.02E) $945.51Answer: D Difficulty: DifficultRationale: $1,000 / (1.046) = $956.0253. What should the purchase price of a 2-year zero coupon bond be if it is purchased todayand has face value of $1,000?A) $966.87B) $911.37C) $950.21D) $956.02E) $945.51Answer: B Difficulty: DifficultRationale: $1,000 / [(1.046)(1.049)] = $911.3754. What should the purchase price of a 3-year zero coupon bond be if it is purchased todayand has face value of $1,000?A) $887.42B) $871.12C) $879.54D) $856.02E) $866.32Answer: E Difficulty: DifficultRationale: $1,000 / [(1.046)(1.049)(1.052)] = $866.3255. What should the purchase price of a 4-year zero coupon bond be if it is purchased todayand has face value of $1,000?A) $887.42B) $821.15C) $879.54D) $856.02E) $866.32Answer: B Difficulty: DifficultRationale: $1,000 / [(1.046)(1.049)(1.052)(1.055)] = $821.1556. What should the purchase price of a 5-year zero coupon bond be if it is purchased todayand has face value of $1,000?A) $776.14B) $721.15C) $779.54D) $756.02E) $766.32Answer: A Difficulty: DifficultRationale: $1,000 / [(1.046)(1.049)(1.052)(1.055)(1.058)] = $776.1457. What is the yield to maturity of a 1-year bond?A) 4.6%B) 4.9%C) 5.2%D) 5.5%E) 5.8%Answer: A Difficulty: ModerateRationale: 4.6% (given in table)58. What is the yield to maturity of a 5-year bond?A) 4.6%B) 4.9%C) 5.2%D) 5.5%E) 5.8%Answer: C Difficulty: ModerateRationale: [(1.046)(1.049)(1.052)(1.055)(1.058)]1/5 -1 = 5.2%59. What is the yield to maturity of a 4-year bond?A) 4.69%B) 4.95%C) 5.02%D) 5.05%E) 5.08%Answer: C Difficulty: ModerateRationale: [(1.046)(1.049)(1.052)(1.055)]1/4 -1 = 5.05%60. What is the yield to maturity of a 3-year bond?A) 4.6%B) 4.9%C) 5.2%D) 5.5%E) 5.8%Answer: B Difficulty: ModerateRationale: [(1.046)(1.049)(1.052)]1/3 -1 = 4.9%61. What is the yield to maturity of a 2-year bond?A) 4.6%B) 4.9%C) 5.2%D) 4.7%E) 5.8%Answer: D Difficulty: ModerateRationale: [(1.046)(1.049)]1/2 -1 = 4.7%Essay Questions62. Discuss the three theories of the term structure of interest rates. Include in yourdiscussion the differences in the theories, and the advantages/disadvantages of each.Difficulty: ModerateAnswer:The expectations hypothesis is the most commonly accepted theory of term structure.The theory states that the forward rate equals the market consensus expectation of future short-term rates. Thus, yield to maturity is determined solely by current and expected future one-period interest rates. An upward sloping, or normal, yield curve wouldindicate that investors anticipate an increase in interest rates. An inverted, or downward sloping, yield curve would indicate an expectation of decreased interest rates. Ahorizontal yield curve would indicate an expectation of no interest rate changes.The liquidity preference theory of term structure maintains that short-term investorsdominate the market; thus, in general, the forward rate exceeds the expected short-term rate. In other words, investors prefer to be liquid to illiquid, all else equal, and willdemand a liquidity premium in order to go long term. Thus, liquidity preference readily explains the upward sloping, or normal, yield curve. However, liquidity preferencedoes not readily explain other yield curve shapes.Market segmentation and preferred habitat theories indicate that the markets fordifferent maturity debt instruments are segmented. Market segmentation maintains that the rates for the different maturities are determined by the intersection of the supply and demand curves for the different maturity instruments. Market segmentation readilyexplains all shapes of yield curves. However, market segmentation is not observed in the real world. Investors and issuers will leave their preferred maturity habitats if yields are attractive enough on other maturities.The purpose of this question is to ascertain that students understand the variousexplanations (and deficiencies of these explanations) of term structure.63. Term structure of interest rates is the relationship between what variables? What isassumed about other variables? How is term structure of interest rates depictedgraphically?Difficulty: ModerateAnswer:Term structure of interest rates is the relationship between yield to maturity and term to maturity, all else equal. The "all else equal" refers to risk class. Term structure ofinterest rates is depicted graphically by the yield curve, which is usually a graph of U.S.governments of different yields and different terms to maturity. The use of U.S.governments allows one to examine the relationship between yield and maturity,holding risk constant. The yield curve depicts this relationship at one point in time only.This question is designed to ascertain that students understand the relationshipsinvolved in term structure, the restrictions on the relationships, and how therelationships are depicted graphically.64. Although the expectations of increases in future interest rates can result in an upwardsloping yield curve; an upward sloping yield curve does not in and of itself imply the expectations of higher future interest rates. Explain.Difficulty: ModerateAnswer:The effects of possible liquidity premiums confound any simple attempt to extractexpectation from the term structure. That is, the upward sloping yield curve may be due to expectations of interest rate increases, or due to the requirement of a liquiditypremium, or both. The liquidity premium could more than offset expectations ofdecreased interest rates, and an upward sloping yield would result.The purpose of this question is to assure that the student understands the confounding of the liquidity premium with the expectations hypothesis, and that the interpretations of term structure are not clear-cut.。

5.1 BONDS1. 关于债券Aspects of Bondsa. 债券是企业和政府进行长期债务融资的主要方式Bonds are the principal form of long-term debt financing forcorporations and governmental bodies.1) 债券承诺在未来某一指定日期按照面值（par value）支付持有者相应的金额，此外，在多数情况下，还要按照指定的利率(called the stated rate or coupon rate)定期支付面值一定比率的利息。

b. 在金融市场上发行债券需要完成很多法律和会计方面的流程，费用很高，如果债券的期限小于5年将很不经济。

债券的期限越长，风险就越大，投资者要求的回报率也会越高。

c. 有时候会要求债券发行者建立偿债基金（sinking fund），以保证债券到期时有足够的资金偿还。

基金来源是部分发债所得，以及未来的盈利。

d. 发债对发行者的好处1) 减少税务支出，这是债务最大的一处，对于税率为40%-50% 的企业来说，利息的支付可以节省不少的税务成本。

2) 公司的管控权不需要与债券持有者分享。

e. 发债对发行者不利的方面1) 与股权投资不同，按照法规，本金和利息必须按时支付，如果到时没有足够的资金，将导致公司破产（become insolvent）。

2) 举债将增加公司的风险级别，股东将因此要求更高的分红回报，这将可能导致公司股价下降，因为部分股票会遭到抛售，转向风险低或收益更高的股票。

3) 期限长的特性增加公司风险，发债时以为比较合算，但当以后利率下降时将成为企业的负担，而且以后公司将无法再举债融资。

4) 某些管理要求（managerial prerogatives）在发债条款中会受到约束。

比如，在还债前一些财务指标需要保持在一定要求之上。

5) 对公司而言，发债所得的资金量是有限的。

按照公认的准则，公司的负债权益比率需要保持在一定水平之上，低于这个水平，举债成本会大幅上升，甚至不能发债。

固定收益证券投资：分析和估值(一)(总分53,考试时间90分钟)单项选择题The investor would prefer the municipal bond because the taxable-equivalent yield is greater than the yield on the corporate bond: 6.4%＞6.375%.1. Assume a city issues a $ 5 million bond to build a new arena. The bond pays 8 percent semiannual interest and will mature in 10 years. Current interest rates are 9 percent. What is the pres ent value of this bond and what will the bond's value be in seven years from today? Present Value Value in 7 Years from Today ①A. 4674802 4931276 ②B. 5339758 4871053 ③C. 4674802 4871053 A. ①B. ②C. ③2. An investor has the following options available to them:They can buy a 10% semi annual coupon, 10 - year bond for $1000.The coupons can be reinvested at 12%.They estimate the bond will be sold in 3 years $1050.Based on this information, what would be the average annual rate of return over the 3 years?A. 11.5%. B. 13.5%. C. 10.0%.3. A bond has a par value of $1000, a time to maturity of 20 years, a coupon rate of 10 percent with interest paid annually, a current price of $ 850, and a yield to maturity (YTM) of 12 percent. If the interest payments are reinvested at 10 percent, the **pounded yield on this bond is:A.10.00%. B. 12.0%. C. 10.9%.4. A non-callable bond with 18 years remaining maturity has an annual coupon of 7 percent and a $1000 par value. The current yield to maturity on the bond is 8 percent. Which of the following is closest to the effective duration of the bond?A. 9.63. B.11.89. C. 8.24.5. If a bond has a convexity of 120 and a modified duration of 10, what is the convexity adjustment associated with a 25 basis point interest rate decline?A. -2.875%. B. -2.125%. C. +0.075%.6. If interest rates fall, the:A. callable bond's price rises faster than that of a noncallable but otherwise identical bond. B. callable bond's price rises more slowly than that of a noncallable but otherwise identical bond. C. value of call option embedded in the callable bond fails.7. For an option-flee bond, if yields increase by 200 basis points, the parts of the total estimatedpercentage price change attributable to duration and the convexity adjustment, respectively, will most likely be: Part of the total estimated percentage price change attributable to duration Part of the total estimated percentage price change attributable to the convexity adjustment ①A. Negative Positive ②B. Negative Negative ③C. Positive Positive A. ①B. ②C. ③8. An investor gathered the following information about two 7 percent annual-pay, option-free bonds:Bond R has 4 years to maturity and is priced to yield 6 percentBond S has 7 years to maturity and is priced to yield 6 percentBoth bonds have a par value of $1000.Given a 50 basis point parallel upward shift in interest rates, what is the value of the two-bond portfolio?A. $2044. B. $2030. C. $2086.9. The six-month Treasury bill has a yield to maturity of 5 percent. The one-year Treasury bill, with zero coupon, has a yield to maturity of 6 percent. If a Treasury note with a maturity of 1.5 years and a coupon rate of 6 percent is priced at 97.32, what's the implied spot rate of 1.5 years?A.7.00%. B. 7.50%. C. 8.00%.10. Which of the following statements concerning arbitrage-free bond prices is FALSE?A. The riskier the bond, the greater is its credit spread. B. It is not possible to strip coupons from U. S. Treasuries and resell them. C. The determination of spot rates is usually done using risk-free securities.11. Consider a $ 1000 - face value, 12 - year, 8% , semiannual coupon bond with a YTM of 10.45%. The change in value for a decrease in yield of 38 basis points is:A. $21.18 B. $22.76. C. $23.06.12. If a $1000 bond has a 14 percent coupon rate and a current market price of 950, what is the current market yield?A. 14.74%. B. 14.00%. C. 15.36%.13. If market rates do not change, as time passes the price of a zero-coupon bond will:A. approach zero. B. approach the purchase price.C. approach par.14. The 3-year annual spot rate is 7%, the 4-year annual spot rate is 7.5%, and the 5-year annual spot rate is 8%. Based on the pure expectations theory of interest rates, the 1-year implied forward rate in four years is closest to:A. 10.00%. B. 7.75%. C. 9.00%.15. A bond with an 8 percent semi-annual coupon and 10-year maturity is currently priced at $904.52 to yield 9.5 percent. If the yield declines to 9 percent, the bond's price will increase to $934.96, and if the yield increases to 10 percent, the bond's price will decrease to $875.38. Estimate the percentage price change for a 100 basis point change in rates.A. 4. 35%. B. 2. 13%. C. 6.58%.16. A bond with a 12 percent coupon, 10 years to maturity and selling at 88 has a YTM of:A.between 10% and 12%. B. between 13% and 14%. C. over 14%.17. Consider a 10 percent, 10 - year bond sold to yield 8 percent. One year passes and interest rates remained unchanged (8 percent). What will have happened to the bond's price during this period?A. It will have decreased. B. It will have increased. C. It will have remained constant.18. Why should effective duration, rather than modified duration, be used when bonds contain embedded options?A. Effective duration considers expected changes in cash flows. B. Modified duration considers expected changes in cash flows. C. Either could be used if the bond has embedded options.19. Which of the following statements concerning the current yield is CORRECT? It:A. is of great interest to conservative bond investors seeking current income. B. is of great interest to aggressive bond investors seeking capital gains. C. shows the rate of return an investor will receive by holding a bond to maturity.20. Three years ago, at the advice of her financial planner, an investor purchased a $1000 face, 4.50%, semiannual coupon bond with seven years to maturity priced to yield 6.50% for $888.94. The reinvestment income that must be generated over the life of the bond for the investor to realize a yield of 6.5% is closest to:A. $72. B. $76. C. $80.21. Suppose you have a three-security portfolio containing bonds A, B and C. The effective portfolio duration is 5.9. The market values of bonds A, B and C are $60, $25 and $80, respectively.The durations of bonds A and C are 4. 2 and 6.2, respectively. Which of the following amounts is closest to the duration of bond B?A. 9.0. B. 1.4. C. 7.1.22. Consider a bond , par value $100 , that pays an annual coupon of 5 percent and that has three years remaining until maturity. Suppose the term structure of interest rates is flat at 6 percent. How much does the bond price change if the term structure of interest rates shifts down by 1 percent instantaneously?A. -2.67. B. 2.67. C. 0.00.23. What is the duration of a floating rate bond that has six years remaining to maturity and has semi-annual coupon payments. Assume a flat-term structure of 6 percent. Which of the following is closest to the correct duration?A. 0.500. B. 6.000. C.12.000.24. One of the **monly used yield spread measures is the nominal spread. Which of the following is a limitation of nominal spread? The nominal spread assumes:A. an upward sloping yield curve. B. a downward sloping yield curve. C. a flat yield curve.25. A semiannual-pay bond is callable in five years at $1080. The bond has an 8% coupon and 15 years to maturity. If an investor pays $ 895 for the bond today, what are the yield to call (YTC)and the yield to maturity (YTM), respectively? YTC YTM ①A. 10.77% 9.31% ②B.12.07% 9.31% ③C. 10.77% 10.21% A. ①B. ②C. ③26. Which of the following statements about a bond's cash flows is TRUE? The appropriate discount rate is a function of:A. the risk-free rate plus the return on the market. B. the risk-free rate plus the risk premium. C. only the risk premium.27. What is the probable change in price of a 30-year semiannual 6.5 percent coupon, $1000 par value bond yielding 8 percent when the nominal risk-free rate changes from 5 percent to 4 percent?A. $106.34. B. $107.31. C. $102.57.28. Assume that an option-free 5 percent coupon bond with annual coupon payments has two years to maturity. A callable bond that is the same in every respect as the option-free bond is priced at 91.76. With the term structure flat at 6 percent, what is the value of the embedded call option?A. -8.24. B. 4.58. C. 6.41.29. Consider the following two statements about put-able bonds:Statement 1: As yields fall, the price of put-able bonds will rise less quickly than similar option-free bonds (beyond a critical point) due to the decrease in value of the embedded put option.Statement 2: As yields rise, the price of put-able bonds will fall more quickly than similar option-free bonds (beyond a critical point) due to the increase in value of the embedded put option.You should:A. agree with statement 1 and disagree with statement 2. B. agree with statement 1 and agree with statement 2. C. disagree with statement 1 and disagree with statement 2.30. You are considering the purchase of a three-year annual coupon bond with a par value of $1000 and a coupon rate of 5.5 percent. You have determined that the spot rate for year 1 is 5.2 percent, the spot rate for year two is 5.5 percent, and the spot rate for year three is 5.7 percent. What would you be willing to pay for the bond now?A. $937.66. B. $995.06. C. $1000.00.31. Bond is selling at a discount relative to its par value. Which of the following relationships holds?A. yield to maturity ＜coupon rate ＜current yield. B. current yield ＜coupon rate ＜yield to maturity. C. coupon rate ＜current yield ＜yield to maturity.32. Current spot rates are as follows:1- Year: 6.5%2 - Year: 7.0%3 - Year: 9.2%Which of the following is TRUE?A. For a 3 - year annual pay coupon bond, all cash flows can be discounted at 9.2% to find the bond's arbitrage-free value. B. The yield to maturity for 3 - year annual pay coupon bond can be found by taking the arithmetic average of the 3 spot rates. C. For a 3 - year annual pay coupon bond, the first coupon can be discounted at 6.5%, thesecond coupon can be discounted at 7.0% , and the third coupon plus maturity value can be discounted at 9.2% to find the bond's arbitrage-free value.33. All else held equal, the duration of bonds selling at higher **pared to bonds selling at lower yields will be:A. greater. B. lower. C. equal.34. Calculate the current yield and the Yield-to-first Call on a bond with the following characteristics: 5 years to maturity $1000 face value 8.75% semi-annual coupon Priced to yield 9.25% = Callable at $1025 in two years Current Yield Yield-to-Call ①A. 8.93% 11.02% ②B. 9.83% 19.80% ③C. 12.67% 11.02% A. ①B. ②C. ③35. Which of the following characteristics would create the least difficulty in estimating a bond's cash flows?A. Variable coupon rate. B. Put-able bond. C. Non-callable bond.36. An 11 percent coupon bond with annual payments and 10 years to maturity is callable in 3 years at a call price of $1100. If the bond is selling today for 975, the yield to call is:A.14.97%. B. 10.26%. C. 10.00%.37. Answering an essay question on a midterm examination, a finance student writes these two statements: Statement 1: The value of a fixed income security is the sum of the present values of all its expected future coupon payments. Statement 2: The steps in the bond valuation process are to estimate the bond's cash flows, determine the appropriate discount rate, and calculate the present value of the expected cash flows. Should the instructor mark these statements correct or incorrect? Statement 1 Statement 2 ①A. Correct Correct ②B. Correct Incorrect ③C. Incorrect Correct A. ①B. ②C. ③38. An investor gathered the following information on three zero-coupon bonds:1 - year, $600 par, zero-coupon bond valued at $5712 - year, $600 par, zero-coupon bond valued at $5443 - year, $10600 par, zero-coupon bond valued at $8901Given the above information, how much should an investor pay tbr a $10000 par, 3 - year, 6 percent, annual-pay coupon bond?A. $10000. B. $10600. C. $10016.39. The one-year spot rate is 6 percent and the one-year forward rates starting in one, two and three years respectively are 6.5 percent, 6.8 percent and 7 percent. What is the four-year spot rate?A. 6.51%. B. 6.58%. C. 6.57%.40. Which of the following statements about duration is TRUE?A. The result of the formula for effective duration is for a 0.01% change in interest rates. B. A bond's percentage change in price and dollar change in price are both tied to the underlying price volatility. C. The formula for effective duration is: (price when yields fall - price when yields rise)/(initial price × change in yield expressed as a decimal).41. Given a required yield to maturity of 6 percent, what is the intrinsic value of a semi-annual paycoupon bond with an 8 percent coupon and 15 years remaining until maturity?A. $1196. B. $1202. C. $1095.42. What value would an investor place on a 20 - year, $1000 face value, 10 percent annual coupon bond, if the investor required a 9 percent rate of return?A. $879. B. $920. C. $1091.43. What is the present value of a 7 percent semi-annual pay corporate bond with a $1000 face value and 20 years to maturity if it is yielding 6. 375 percent?? If a municipal bond is yielding 4.16 percent and an investors marginal tax rate is 35 percent, would the investor prefer the corporate bond or the municipal bond? Value Investor preference ①A. $1121.23 municipal bond ②B. $1070.09 corporate bond ③C. $1070.09 municipal bondA. ①B. ②C. ③44. An analyst has gathered the following information:Bond A is an 11 percent annual coupon bond currently trading at 106. 385 and matures in 3 years. The yield-to-maturity (YTM) for Bond A is 8.50 percent.The YTM for a Treasury bond that matures in 3 - years is 7.65 percent. 1, 2, and 3 - year spot rates are 5.0 percent, 6.5 percent and 8.25 percent, respectively. Which of the following statements regarding spreads on bond A is TRUE?A. The nominal spread is approximately 85 basis points. B. The Z-spread is approximately 85 basis points. C. The option-adjusted spread is approximately 75 basis points.45. Which of the following is a limitation of the cash flow yield measure? The cash flow yield measure:A. uses a 360-day year. B. assumes that the projected cash flows are reinvested at the cash flow yield. C. assumes a flat yield curve.46. Which of the following statements about duration is FALSE?A. There is a direct relationship between yield to maturity and duration. B. There is an inverse relationship between coupon and duration. C. There is a direct relationship between duration and maturity.47. Which is the bond-equivalent yield given if the monthly yield is equal to 0.7 percent?A.8.40%. B. 8.58%. C. 8.55%.48. Yield to call is a less conservative yield measure than the yield to maturity whenever the price of a callable bond is quoted at a value:A. equal to par value less one year's interest. B. equal to par value. C. more than par.49. A coupon bond pays annual interest, has a par value of $1000, matures in 4 years, has a annual coupon of $100, and a yield to maturity of 12 percent. The current yield on this bond is:A.9.50%. B. 10.65%. C. 11.25%.50. At 1 January, 2008, an option-free 8 percent annual coupon bond, with 10 years to maturity and a par value of $1000, had a discount rate of 9 percent. On 1 January 2009, the discount rate had decreased to 8.5 percent because of an upgrade in the bond's rating. If interest is paidannually, the portions of the bond's price change from 2008 to 2009 attributable to the passage of time and the rating upgrade respectively, are closet to: Passage of time Rating upgrade ①A. -$4.23 $29.35 ②B. -$4.23 $33.58 ③C. $4.23 $29.35 A. ①B. ②C. ③51. An investor purchased a 10 - year zero-coupon bond with a yield to maturity of 10 percent anda par value of $1000. What would her rate of return be at the end of the year if she sells the bond? Assume the yield to maturity on the bond is 9 percent at the time it is sold and **pounding periods are used.A. 16.00%. B. 17.63%. C. 19.42%.52. In capital markets, stock dividends and bond coupons generally provide what is referred to as:A. current yield. B. capital gain yield. C. internal yield.53. Which of the following statements about duration and convexity is FALSE?A. duration to first call is longer than duration to maturity. B. convexity of a callable bond is always lower than that of a noncallable bond when rates fall. C. callable bonds' convexity can be negative.。

MULTIPLE CHOICE1. The annual interest paid on a bond relative to its prevailing market price is called its____.Promised yielda.bYield to maturity.Coupon ratec.dEffective yield.Current yielde.ANS: E PTS: 1 OBJ: Multiple Choice2. If the holding period is equal to the term to maturity for a corporate bond the rate ofdiscount represents theaCoupon yield..Effective yield.b.Yield to call.c.Yield to maturity.d.Reinvestment rate.e.ANS: D PTS: 1 OBJ: Multiple Choice3. The nominal yield of a bond is theAnnual coupon as a percent of the current price.a.bAnnual rate earned including the capital gain or loss..Rate earned giving consideration to coupon reinvestment.c.Coupon rate.d.ePromised yield to maturity..ANS: D PTS: 1 OBJ: Multiple Choice4. If the coupon payments are not reinvested during the life of the issue then thePromised yield is greater than the realized yield.a.Promised yield is less than the realized yield.b.Nominal yield declines.c.Nominal yield is greater than the promised yield.d.Current yield equals the yield to maturity.e.ANS: A PTS: 1 OBJ: Multiple Choice5. The importance of the reinvestment assumption increases with a ____ coupon and a ____ term to maturity.Low, shorta.bLow, long.High, shortc.dHigh, long.Zero, very longe.ANS: D PTS: 1 OBJ: Multiple Choice6. The best way for an investor to "lock in" to high interest rates would be to purchase a bond that has a ____ coupon and a ____ term to maturity.Low, shorta.Low, longb.cHigh, short.High, longd.eZero, very long.ANS: E PTS: 1 OBJ: Multiple Choice7. The term structure of interest rates is a static function that relates theTerm to call and the yield to maturity.a.Term to maturity and the yield to maturity.b.Term to call and the yield to call.c.Term to maturity and the coupon rate.d.Term to maturity and the current yield.e.ANS: B PTS: 1 OBJ: Multiple Choice8. The yield to call is a more conservative yield measure whenever the price of a callable bond is quoted at a valueEqual to or greater than par plus one year's interest.a.bEqual to par..Equal to par less one year's interest.c.dLess than par..Five percent over par.e.ANS: A PTS: 1 OBJ: Multiple Choice9. Which of the following is not a major risk premium component for bond investors? Page 750Quality differentials.a.Term to maturity.b.cIndenture provisions..Yield to maturity.d.eExchange rate risk differences..ANS: D PTS: 1 OBJ: Multiple Choice10. There are four major factors accounting for the existence of yield differentials. Which of the following is not a factor? Page 763Segmentsa.Sectorsb.cIndentures.Couponsd.eMaturities.ANS: C PTS: 1 OBJ: Multiple Choice11. The convexity of a bond is affected as follows: Page 776Positively with maturity.a.bPositively with yield..Inversely with coupon.c.Choices a and bd.Choices a and ce.ANS: E PTS: 1 OBJ: Multiple Choice12. Which of the following statements is true?aAn inverse relationship exists between coupon and convexity..A direct relationship exists between maturity and convexity.b.cAn inverse relationship exists between yield and convexity..Choices a and c onlyd.eAll of the above statements are true.ANS: E PTS: 1 OBJ: Multiple Choice13. If you expected interest rates to fall, you would prefer to own bonds with along durations and high convexity..long durations and low convexity.b.short durations and high convexity.c.short durations and low convexity.d.enone of the above..ANS: A PTS: 1 OBJ: Multiple Choice14. If you expected interest rates to fall, you would prefer to own bonds withshort maturities and low coupons.a.blong maturities and high coupons ..long maturities and low coupons.c.dshort maturities and high coupons..none of the above.e.ANS: C PTS: 1 OBJ: Multiple Choice15. If you expected interest rates to rise, you would prefer to own bonds with ashort maturities and low coupons..long maturities and high coupons .b.clong maturities and low coupons..short maturities and high coupons.d.enone of the above..ANS: D PTS: 1 OBJ: Multiple Choice16. According to the liquidity preference hypothesis yield curves generally slope upward because Page 761investors prefer short maturity obligations to long maturity obligations.a.investors prefer long maturity obligations to short maturity obligations.b.investors prefer less volatile long maturity obligations.c.investors prefer more volatile short maturity obligations.d.enone of the above..ANS: A PTS: 1 OBJ: Multiple Choice19. According to the expectations hypothesis a rising yield curve indicates that investors expect Page 759afuture short term rates to fall.future short term rates to riseb.future long term rates to risec.future long term rates to falld.none of the abovee.ANS: B PTS: 1 OBJ: Multiple Choice20. The price-yield relationship for a bond will become more convexaFor a low coupon bond..For a high coupon bond.b.cFor a long maturity bond..b and c.d.ea and c..ANS: E PTS: 1 OBJ: Multiple Choice21. Convexity is a desirable feature of bonds because.a . As interest rates decline, the price of a low convexity bond decreases at a decreasing rate.b . As interest rates decline, the price of a high convexity bond decreases at an increasing rate.c . As interest rates decline, the price of a low convexity bond increases at a decreasing rate.d . As interest rates decline, the price of a high convexity bond increases at an increasing rate.e . As interest rates decline, the price of a high convexity bond decreases at a decreasing rate.ANS: D PTS: 1 OBJ: Multiple Choice23. Option adjusted duration can be calculated as Page 780a.Duration of noncallable bond - duration of call option on the bond.b.Duration of noncallable bond + duration of call option on the bond.c.Duration of callable bond - duration of call option on the bond.d.Duration of callable bond + duration of call option on the bond.e.None of the above.ANS: A PTS: 1 OBJ: Multiple Choice24. The option adjusted duration will approach the duration to maturity, whena . Interest rates are significantly above the coupon rate because the option has very little chance of being called, and the call option will have very little value.b . Interest rates are significantly below the coupon rate because the option has very little chance of being called, and the call option will have very little value.c . Interest rates are significantly above the coupon rate because the option has a high chance of being called, and the call option will have significant value.d . Interest rates are significantly below the coupon rate because the option has a high chance of being called, and the call option will have significant value.e.None of the above.ANS: A PTS: 1 OBJ: Multiple Choice25. The promised yield to maturity calculation assumes thata . All coupon interest payments are reinvested at the current market interest rate for the bond.b . All coupon interest payments are reinvested at the coupon interest rate for the bond.c . All coupon interest payments are reinvested at short term money market interest rates.d.All coupon interest payments are not reinvested.e.None of the aboveANS: A PTS: 1 OBJ: Multiple Choice28. ____ measures the expected rate of return of a bond assuming that you sell it prior to its maturity.a.Yield to maturityb.Current yieldc.Realized yieldd.Coupon ratee.None of the aboveANS: C PTS: 1 OBJ: Multiple Choice30. Which of the following is not a risk premium component of bonds?a.Bond qualityb.Term to maturity of the bondc.Indenture provisionsdForeign bond risk.eAll of the above are risk premium components of bonds..ANS: E PTS: 1 OBJ: Multiple Choice31. Which term-structure hypothesis suggests that any long-term interest rate simply represents the geometric mean of current and future on-year interest rates expected to prevail over the maturity of the issue?aExpectations hypothesis.bLiquidity preference hypothesis.cSegmented market hypothesis.Preferred habitat hypothesisd.Hedging pressure hypothesise.ANS: A PTS: 1 OBJ: Multiple Choice32. Which of the four major yield spreads defines the difference in yields between pure government agency bonds and corporate bonds?Segmentsa.Sectorsb.Couponsc.Seasoningd.e.MaturityANS: A PTS: 1 OBJ: Multiple Choice33. All of the following are one of Malkiel's stated relationships between yield changes and bond prices except Page 765a.Bond prices move inversely to bond yields.b . Longer-maturity bonds experience larger price changes than shorter-maturity bonds.c.Bond price volatility increases at a diminishing rate as term to maturity increases.d . Bond price movements resulting from equal absolute increases or decreases in yield are symmetrical.e.Bond price volatility is inversely related to the coupon rate.ANS: D PTS: 1 OBJ: Multiple Choice34. Which duration is computed by discounting flows using the yield to maturity of the bond?a.Effectiveb.Macaulay Durationc.Modified Durationd.Present Value Duratione.Cash Flow DurationANS: B PTS: 1 OBJ: Multiple Choice35. A graph of a bond's Price-Yield curve reveals all of the following exceptaPrice moves inverse to yield.The bond sells at a premium when the yield is below the coupon rateb.The bond sells at a discount when the yield is above the coupon ratec.The Price-Yield curve in concaved.eAll of the above are characteristics of the Price-Yield curve.ANS: D PTS: 1 OBJ: Multiple Choice36. Reinvestment risk is greatest for bonds that haveShort maturities and low coupon ratesa.bLong maturities and high coupon rates.Short maturities and high coupon ratesc.dLong maturities and low coupon rates.None of the abovee.ANS: B PTS: 1 OBJ: Multiple Choice37. Estimating forward rates from the spot rate curve is based on the assumption that the ____ hypothesis accurately describes the shape of the yield curve.Expectationsa.Liquidity preferenceb.cSegmented market.Efficient marketd.eNone of the above.ANS: A PTS: 1 OBJ: Multiple Choice38. When there are no embedded options, ____ duration can be used to provide an approximation of the interest rate sensitivity of the bond.Macaulaya.Modifiedb.Effectivec.Empiricald.None of the abovee.ANS: B PTS: 1 OBJ: Multiple Choice。

公司理财精要考试答案-词语解析1. Diversifiable risk:is the part of risk that can be eliminated by diversification. It is one that is particular to a single asset or, at most, a small group. It is also called unsystematic risk.2. Preferred stock:is a form of equity that has preference over common stock in the payment of dividends and in the distribution of corporation assets in the event of liquidation.It is an important example of perpetuity, too.3. Risk premium:is the minimum amount of money by which the expected return on a risky asset must exceed the known return on a risk-free asset, or the expected return on a less risky asset.It is difference between the expected return and the risk-free rate.4. Principle of diversification:The principle of diversification tells us that spreading an investment across many assets will eliminate some of the risk.5. Systematic risk: is the one type of surprise (unanticipated events) that affects a large number of assets. It is also called no non-diversifiable risk or market risk.6. Unsystematic risk: is the one type of surprise (unanticipated events) that affects a single asset or a small group of assets. It is also called diversifiable risk, unique risk, or asset-specific risk.7. Portfolio theory:is a theory of finance that attempts to maximize portfolio expected return for a given amount of portfolio risk, or equivalently minimize risk for a given level of expected return, by carefully choosing the proportions of various assets.8. Internal rate of return (IRR): is the rate that only depends on the cash flows of a particular investment, not on rates offered elsewhere. It is closely related to NPV.Based on the IRR rule, an investment is acceptable if the IRR exceeds the required return. It should be rejected otherwise. The IRR on an investment is the required return that results in a zero NPV when it is used as the discount rate.9. the term structure of interest rates:The relationship between short- and long-term interest rates is known as the term structure of interest rates.It tells us what nominal interest rates are on default-free, pure discount bonds of all maturities.10. Incremental cash flows:The incremental cash flows for project evaluation consist of any and all changes in the firm’s future cash flows that are a direct consequence of taking the project.1. Relationship between bond valuation and interest rateBond values move in the direction opposite that of interest rates, leading to potential gains or losses for bond investors. So if the interest rates increase, we should estimate the value of bond will be fall. Otherwise, the bond value will increase.Yes, I do agree. If the US government withdraws from the current policy of QE, the market interest rate will increase, make the bond values fall.2.According to the CAPM, the expected return on a risky asset depends on 3 components:①The pure time value of money.AS measured by the risk-free rate, R f, this is the reward for merely waiting for your money, without taking any risk.②The reward for bearing systematic risk.As measured by the market risk premium, [E(R M)-R f ], this component is the reward the market offers for bearing an average amount of systematic risk in addition to waiting.③The amount of systematic risk.As measured byβi, this is the amount of systematic risk present in a particular asset, relative to an average asset.。

CHAPTER 6利率的风险结构与期限结构(THE RISK AND TERM STRUCTURE OFINTEREST RATES)在第5章的供求分析中，我们只考察了一种利率的决定。

在本章中我们将考察不同利率之间的联系，从而对利率有一个完整的了解。

理解不同债券之间利率差异的原因，可以帮助企业、银行、保险公司和个人投资者决定购买或者出售哪种债券。

在本章中我们要分析两个问题：1. 为什么到期期限相同的债券有着不同的利率？这些利率之间的联系被称为利率的风险结构(RISK STRUCTURE OF INTEREST RATES)。

2. 为什么具有不同到期期限的债券之间的利率不同？它们之间的利率联系就被称为利率的期限结构(TERM STRUCTURE OF INTEREST RATES)。

1.利率的风险结构(RISK STRUCTURE OF INTERESTRATES)A.违约风险(Default Risk)债券的违约风险是指债券的发行人无法或不履行其之前承诺的利息支付或债券到期时偿付面值的义务。

这是影响债券利率的一个重要因素。

风险溢价(risk premium)有违约风险的债券与无违约风险债券之间的利差被称为风险溢价，它是指人们为持有风险债券所必须赚取的额外利息。

具有违约风险的债券其风险溢价总是正的，且风险溢价随着违约风险的上升而上升。

B.流动性(Liquidity)影响债券利率的另外一个因素是其流动性。

流动性较高的资产可以在必要的时候以较低的成本迅速地转换成现金。

所以，资产的流动性越高（所有其他条件相同），其在市场上受欢迎的程度越高。

一般来说，国债的交易范围、交易量和交易成本远胜于公司债券，因此，公司债券的流动性较差。

这样看来，公司债券与国债之间的利差（即风险溢价）所反映不仅是公司债券的违约风险，还反映了它的流动性，这样看来风险溢价更准确地称呼应当是“风险与流动性溢价”，但通常人们仍然习惯将其称为“风险溢价”。

ExamName___________________________________MULTIPLE CHOICE. Choose the one alternative that best completes the statement or answers the question.1) Everything else held constant, when prices in the art market become more uncertain, 1) _______A) the demand curve for bonds shifts to the right and the interest rate falls.B) the supply curve for bonds shifts to the right and the interest rate falls.C) the demand curve for bonds shifts to the left and the interest rate rises.D) the demand curve for bonds shifts to the left and the interest rate falls.2) Which of the following $1,000 face-value securities has the highest yield to maturity? 2) _______A) A 5 percent coupon bond selling for $1,000B) A 10 percent coupon bond selling for $1,000C) A 12 percent coupon bond selling for $1,100D) A 12 percent coupon bond selling for $1,0003) The recent Enron and Tyco scandals are an example of 3) _______A) the principal-agent problem. B) the adverse selection problem.C) the "lemons problem." D) the free-rider problem.4) A change in perceived risk of a stock changes 4) _______A) the expected dividend growth rate. B) the expected sales price.C) the current dividend. D) the required rate of return.5) ________ policy involves decisions about government spending and taxation. 5) _______A) Systemic B) Financial C) Fiscal D) Monetary6) The ________ of the term structure of interest rates states that the interest rate on a long-term bond will equal the average of short-term interest rates that individuals expect to occur over the life of the long-term bond, and investors have no preference for short-term bonds relative to long-term bonds. 6) _______A) liquidity premium theory B) segmented markets theoryC) separable markets theory D) expectations theory7) The ________ problem helps to explain why the private production and sale of information cannot eliminate ________. 7) _______A) free-rider; moral hazard B) free-rider; adverse selectionC) principal-agent; adverse selection D) principal-agent; moral hazard8) If the interest rate on a bond is below the equilibrium interest rate, there is an excess ________ of bonds and the bond price will ________. 8) _______A) supply; rise B) demand; rise C) demand; fall D) supply; fall9) Government regulations require publicly traded firms to provide information, reducing 9) _______A) transactions costs. B) the need for diversification.C) the adverse selection problem. D) economies of scale.10) Because of their ________ liquidity, ________ U.S. government securities are called secondary reserves.10) ______A) low; short-term B) low; long-termC) high; short-term D) high; long-term11) A discount bond 11) ______A) pays the bondholder the face value at maturity.B) pays the face value at maturity plus any capital gain.C) pays all interest and the face value at maturity.D) pays the bondholder a fixed amount every period and the face value at maturity.12) As a source of funds for nonfinancial businesses, stocks are relatively more important in 12) ______A) Japan. B) the United States.C) Canada. D) Germany.13) Although the dominance of ________ over ________ is clear in all countries, the relative importance of bond versus stock markets differs widely. 13) ______A) financial intermediaries; securities marketsB) government agencies; securities marketsC) financial intermediaries; government agenciesD) government agencies; financial intermediaries14) When short-term interest rates are expected to fall sharply in the future, the yield curve will 14) ______A) be an inverted U shape. B) be inverted.C) slope up. D) be flat.15) The higher a security's price in the secondary market the ________ funds a firm can raise by selling securities in the ________ market. 15) ______A) more; secondary B) more; primaryC) less; secondary D) less; primary16) Banks earn profits by selling ________ with attractive combinations of liquidity, risk, and return, and using the proceeds to buy ________ with a different set of characteristics. 16) ______A) securities; deposits B) assets; liabilitiesC) liabilities; assets D) loans; deposits17) Net profit after taxes per dollar of assets is a basic measure of bank profitability called 17) ______A) return on equity. B) return on assets.C) return on capital. D) return on investment.18) The largest percentage of banks' holdings of securities consist of 18) ______A) state and local government securities.B) Treasury and government agency securities.C) corporate securities.D) tax-exempt municipal securities.19) The global financial crisis lead to a decline in stock prices because 19) ______A) of a lowered expected dividend growth rate.B) higher expected future stock prices.C) of a lowered required return on investment in equity.D) higher current dividends.20) If an individual moves money from a savings deposit account to a money market deposit account, 20) ______A) M1 decreases and M2 stays the same.B) M1 stays the same and M2 increases.C) M1 stays the same and M2 stays the same.D) M1 increases and M2 decreases.21) During the Great Depression years 1930-1933 there was a very high rate of business failures and defaults, we would expect the risk premium for ________ bonds to be very high. 21) ______A) municipal B) U.S. Treasury C) corporate Aaa D) corporate Baa22) When tax revenues are greater than government expenditures, the government has a budget. 22) ______A) crisis. B) revision. C) surplus. D) deficit.23) In Japan in 1998 and in the U.S. in 2008, interest rates were negative for a short period of time because investors found it convenient to hold six-month bills as a store of value because 23) ______A) of the high inflation rate.B) these bills sold at a discount from face value.C) the bills were denominated in small amounts and could be stored electronically.D) the bills were denominated in large amounts and could be stored electronically.24) A person's house is part of her 24) ______A) income. B) liabilities. C) money. D) wealth.25) In the generalized dividend model, a future sales price far in the future does not affect the current stock price because 25) ______A) the present value cannot be computed.B) the stock may never be sold.C) the sales price does not affect the current price.D) the present value is almost zero.26) If there are five goods in a barter economy, one needs to know ten prices in order to exchange one good for another. If, however, there are ten goods in a barter economy, then one needs to know ________ prices in order to exchange one good for another. 26) ______A) 20 B) 25 C) 30 D) 4527) Financial institutions search for ________ has resulted in many financial innovations. 27) ______A) higher profits B) respect C) higher risk D) regulations28) If the liquidity effect is smaller than the other effects, and the adjustment to expected inflation is immediate, then the 28) ______A) interest rate will rise immediately above the initial level when the money supply grows.B) interest rate will rise.C) interest rate will fall immediately below the initial level when the money supply grows.D) interest rate will fall.29) In actual practice, short-term interest rates and long-term interest rates usually move together; this is the major shortcoming of the 29) ______A) segmented markets theory. B) expectations theory.C) liquidity premium theory. D) separable markets theory.30) What is the return on a 5 percent coupon bond that initially sells for $1,000 and sells for $1,200 next year?30) ______A) -5 percent B) 5 percent C) 25 percent D) 10 percent31) According to the liquidity premium theory of the term structure, a flat yield curve indicates that short-term interest rates are expected to 31) ______A) rise in the future. B) remain unchanged in the future.C) decline moderately in the future. D) decline sharply in the future.32) People hold money even during inflationary episodes when other assets prove to be better stores of value. This can be explained by the fact that money is 32) ______A) a unique good for which there are no substitutes.B) extremely liquid.C) the only thing accepted in economic exchange.D) backed by gold.33) One way of describing the solution that high net worth provides to the moral hazard problem is to say that it 33) ______A) collateralizes the debt contract.B) removes all of the risk in the debt contract.C) state verifies the debt contract.D) makes the debt contract incentive compatible.34) If additional information is not used when forming an optimal forecast because it is not available at that time, then expectations are 34) ______A) formed equivalently. B) obviously formed irrationally.C) still considered to be formed rationally. D) formed adaptively.35) Assuming the same coupon rate and maturity length, when the interest rate on a Treasury Inflation Protected Security is 3 percent, and the yield on a nonindexed Treasury bond is 8 percent, the expected rate of inflation is 35) ______A) 3 percent. B) 5 percent. C) 8 percent. D) 11 percent.36) Banks can lower the cost of information production by applying one information resource to many different services. This process is called 36) ______A) asymmetric information. B) economies of scope.C) economies of scale. D) asset transformation.37) If prices in the bond market become more volatile, everything else held constant, the demand curve for bonds shifts ________ and interest rates ________. 37) ______A) left; fall B) right; rise C) left; rise D) right; fall38) Savings and loan associations are regulated by the 38) ______A) Office of Thrift Supervision.B) Federal Reserve System.C) Office of the Comptroller of the Currency.D) Securities and Exchange Commission.39) If in an efficient market all prices are correct and reflect market fundamentals, which of the following is a false statement? 39) ______A) A stock that has done poorly in the past is more likely to do well in the future.B) One investment is as good as any other because the securities' prices are correct.C) A security's price reflects all available information about the intrinsic value of the security.D) Security prices can be used by managers to assess their cost of capital accurately.40) A lower level of income causes the demand for money to ________ and the interest rate to ________, everything else held constant. 40) ______A) decrease; increase B) decrease; decreaseC) increase; decrease D) increase; increase41) Which of the following $1,000 face-value securities has the lowest yield to maturity? 41) ______A) A 15 percent coupon bond selling for $900B) A 5 percent coupon bond selling for $1,000C) A 10 percent coupon bond selling for $1,000D) A 15 percent coupon bond selling for $1,00042) According to the liquidity premium theory of the term structure 42) ______A) bonds of different maturities are not substitutes.B) if yield curves are downward sloping, then short-term interest rates are expected to fall by so much that, even when the positive term premium is added, long-term rates fall below short-term rates.C) yield curves should never slope downward.D) interest rates on bonds of different maturities do not move together over time.43) Everything else held constant, if the expected return on RST stock declines from 12 to 9 percent and the expected return on XYZ stock declines from 8 to 7 percent, then the expected return of holding RST stock________ relative to XYZ stock and demand for XYZ stock ________. 43) ______A) falls; falls B) rises; rises C) falls; rises D) rises; falls44) Bank reserves include 44) ______A) vault cash and deposits at the Fed.B) deposits at other banks and deposits at the Fed.C) vault cash and short-term Treasury securities.D) deposits at the Fed and short-term treasury securities.45) Financial markets promote greater economic efficiency by channeling funds from ________ to ________.45) ______A) savers; borrowers B) borrowers; saversC) savers; lenders D) investors; savers46) When stock prices fall 46) ______A) an individual's wealth is not affected nor is their willingness to spend.B) an individual's wealth may decrease and their willingness to spend may decrease.C) a business firm will be more likely to sell stock to finance investment spending.D) an individual's wealth may decrease but their willingness to spend is not affected.47) The primary assets of credit unions are 47) ______A) municipal bonds. B) mortgages.C) business loans. D) consumer loans.48) The components of the U.S. M1 money supply are demand and checkable deposits plus 48) ______A) currency plus travelers checks plus money market deposits.B) currency plus savings deposits.C) currency plus travelers checks.D) currency.49) Property that is pledged to the lender in the event that a borrower cannot make his or her debt payment is called 49) ______A) points. B) good faith money.C) collateral. D) interest.50) ________ is the relative ease and speed with which an asset can be converted into a medium of exchange.50) ______A) Deflation B) Liquidity C) Efficiency D) Specialization1) A2) D3) A4) D5) C6) D7) B8) D9) C10) C11) A12) C13) A14) B15) B16) C17) B18) B19) A20) C21) D22) C23) D24) D25) D26) D27) A28) A29) A30) C31) C32) B33) D34) C35) B36) B37) C38) A39) A40) B41) B42) B43) C44) A45) A46) B47) D48) C49) C50) B。

积极的名词英语
积极的名词英语是：positiveness。

例句：
1、Compared with culture, civilization has
characteristics of positiveness, universality and integrity
in nature.
与文化比较而言，文明具有积极性、普适性和整体性的特点。

2、The four factors of the learning strength growth are the tranguility, positiveness, tenacity of the learning labour and the activity of the learning thought.
学术人员学术力量生长的四个要素分别是学术劳动的安宁性、学术劳动的积极性、学术思维的活跃性、学术劳动中的坚韧性。

3、The Term Structure of Interest Rates: Theories, Models and Positiveness.
利率期限结构：理论、模型和实证。

4、Two Notes on Positiveness Judgement of Matrix in Linear Complementarity Problem.
线性互补问题中矩阵正定性判别的2点注记。

5、The clinical diagnostic value of TMA and TGA positiveness in thyroid diseases.
TMA与TGA检测对甲状腺疾病的临床诊断价值。

计算 Term structure Expectations theory:i nt =i t +i t +1e +i t +2e +⋯+i t + n−1e n Liquidity premium theory:i nt =i t +i t +1e +i t +2e +⋯+i t + n −1e n +l ntBecause of people preferred short- term bonds, there is a larger liquidity premium as the term to maturity lengthens. (上升图)Yield curves tend to have an especially steep upward slope. (下降图）Yield curves will not tend to have a steep downward slope, and maybe will slope upward. Stock pricing modelOne-Period Valuation Model ：P 0=Div 11+k e +P 11+k eP 0=the current price of the stockDiv 1=the dividend paid at the end of year 1.k e =the required return on investments in equity.P 1=the price at the end of the first period .Generalized Dividend Valuation Model ：P 0= D t1+k e t ∞t =1Gordon Growth Model ：P 0=D 0× 1+g(k e −g )=D 1(k e −g )D 0=the most recet dividend paid .g =the expected constant growth rate in dividends. Interest-Rate Risk A change in its interest rate:percent change in market value of security≈−persentage-point change in interest rate×duration in yearsA1：The assets fall in value by $8 million(=$100 million ×−2%×4 years )while the liabilities fall in value by $10.8 million(=$90 million ×−2%×6 years ). Because the liabilities fall in value by $2.8 million more than the assets do, the net worth of the bank rises by $2.8 million. The interest-rate risk can be reduced by shortening the maturity of the liabilities to a duration of 4 years or lengthening the maturity of the assets to a duration of 6 years. Alternatively, you could engage in an interest-rate swap, in which you swap the interest earned on your assets with the interest in another bank’s assets that have a durati on of 6 years.A2: The gap is $10 million ($30 million of rate-sensitive assets minus $20 million of rate-sensitive liabilities). The change in bank profits from the interest rate rise is +$0.5 million (5%×$10 million); the interest rate risk can be reduced by increasing rate-sensitive liabilities to $30 million or by reducing rate-sensitive assets to $20 million. Alternatively, you could engage in an interest rate swap in which you swap the interest in $10 million of rate-sensitive assets for the interest on another bank ’s $10 million of fixed-rate assets.The Money MultiplierM is money supply.MB is the monetary base.M=m×MBc = {C/D} = currency ratioe = {ER/D} = excess reserves ratioC is currency.ER is excess reserves.D is checkable deposits.r is the required reserve ratio.D=1r+e+c×MBM=1+cr+e+c×MBm=1+cr+e+c问答Present Value: A dollar paid to you one year from now is less valuable than a dollar paid to you today.Yield to Maturity and the Bond Price for a Coupon Bond: have 3 facts.1.When the coupon bond is priced at its face value, the yield to maturity equals the coupon rate.2.The price of a coupon bond and the yield to maturity are negatively related; that is, as the yield to maturity rises, the price of the bond falls. AS the yield to maturity falls, the price of the bond rises.3.The yield to maturity is greater than the coupon rate when the bond price is below its face value.Yield to Maturity(到期收益率):1.The interest rate that equates the present value of cash flow payments received from a debt instrument with its value today.2.Also called internal rate of return.3.Most accurate measure of i.Rate of Return:The payment to the owner plus the change in value expressed as a fraction of the purchase price.RET=CP t +P t+1−P tP tRET=return from holding the bond from time t to t+1. P t=price of bond at time tP t+1=price of the bond at time t+1C=coupon paymentCP t=current yield=i cP t+1−P tP t=rate of capital gain=gRate of Return and Interest Rates:1.The return equals the yield to maturity only if the holding period equals the time to maturity.2.A rise in interest rates is associated with a fall in bond prices, resulting in a capital loss if time to maturity is longer than the holding period.3.The more distant a bond’s maturity, the greater the size of the percentage price change associated with an interest-rate change.4.The more distant a bond’s maturity, the lower the rate of return that occurs as a result of an increase in the interest rate.5.Even if a bond has a substantial initial interest rate, its return can be negative if interest rates rise.Real and Nominal Interest Rates:1.Nominal interest rate makes no allowance for inflation.2.Real interest rate is adjusted for changes in price level so it more accurately reflects the cost of borrowing.3.Ex ante real interest rate is adjusted for expected changes in the price level.4.Ex post real interest rate is adjusted for actual changes in the price level.4 Factors of Asset Demand:An asset is a piece of property that is a store of value, such as money ,bond, stocks, and houses.1.Wealth: the total resources owned by the individual, including all assets2.Expected Return: the return expected over the next period on one asset relative to alternative assets3.Risk: the degree of uncertainty associated with the return on one asset relative to alternative assets4.Liquidity: the ease and speed with which an asset can be turned into cash relative to alternative assetsTheory of Asset Demand:1.The quantity demanded of an asset is positively related to wealth2.The quantity demanded of an asset is positively related to its expected return relative to alternative assets3.The quantity demanded of an asset is negatively related to the risk of its returns relative to alternative assets4.The quantity demanded of an asset is positively related to its liquidity relative to alternative assetsThe Structure of Interest Rates风险结构：Bonds with the same maturity have different interest rates due to: Default risk违约风险, Liquidity流动性, Tax considerations所得税因素.1. Default risk: probability that the issuer of the bond is unable or unwilling to make interest payments or pay off the face value.Conclusion: a bond with default risk will always have a positive risk premium, and an increase in its default risk will raise the risk premium. 具有违约风险的债券通常具有正的风险溢价，而违约风险的增长将会提高风险溢价水平。