博迪的投资学第二章练习题(英)

2

1.Which of the following is not a money market instrument?

A. Treasury bill

B. Commercial paper

C. Preferred stock

D. Banker's acceptance

2.Thirteen week T-bill auctions are conducted ____.

A. daily

B. weekly

C. monthly

D. quarterly

3.When computing the bank discount yield you would use ____ days in the year.

A. 260

B. 360

C. 365

D. 366

4. A dollar denominated deposit at a London bank is called _____.

A. eurodollars

B. LIBOR

C. fed funds

D. banker's acceptance

5.Money market securities are sometimes referred to as "cash equivalent" because _____.

A. they are safe and marketable

B. they are not liquid

C. they are high risk

D. they are low denomination

6.The most actively traded money market security is

A. Treasury bills

B. Bankers' Acceptances

C. Certificates of Deposit

D. Common stock

7.______ voting of common stock gives minority shareholders the most representation on the board of

directors.

A. Majority

B. Cumulative

C. Rights

D. Proxy

8.An investor in a T-bill earns interest by _________.

A. receiving interest payments every 90 days

B. receiving dividend payments every 30 days

C. converting the T-bill at maturity into a higher valued T-note

D. buying the bill at a discount from the face value received at maturity

9.______ would not be included in the EAFE index.

A. Australia

B. Canada

C. France

D. Japan

10._____ is considered to be an emerging market country.

A. France

B. Norway

C. Brazil

D. Canada

11.Which one of the following is a true statement?

A. Dividends on preferred stocks are tax-deductible to individual investors but not to corporate investors

B. Common dividends cannot be paid if preferred dividends are in arrears on cumulative preferred stock

C. Preferred stockholders have voting power

D. Investors can sue managers for nonpayment of preferred dividends

12.The bid price of a treasury bill is _________.

A. the price at which the dealer in treasury bills is willing to sell the bill

B. the price at which the dealer in treasury bills is willing to buy the bill

C. greater than the ask price of the treasury bill expressed in dollar terms

D. the price at which the investor can buy the treasury bill

13.The German stock market is measured by which market index?

A. FTSE

B. Dow Jones 30

C. DAX

D. Nikkei

14.Deposits of commercial banks at the Federal Reserve are called _____.

A. bankers acceptances

B. federal funds

C. repurchase agreements

D. time deposits

15.Which of the following is not a true statement regarding municipal bonds?

A. A municipal bond is a debt obligation issued by state or local governments.

B. A municipal bond is a debt obligation issued by the Federal Government.

C. The interest income from a municipal bond is exempt from federal income taxation.

D. The interest income from a municipal bond is exempt from state and local taxation in the issuing state.

16.Which of the following is not a characteristic of a money market instrument?

A. Liquidity

B. Marketability

C. Low risk

D. Maturity greater than one year

17.An individual who goes short in a futures position

A. commits to delivering the underlying commodity at contract maturity

B. commits to purchasing the underlying commodity at contract maturity

C. has the right to deliver the underlying commodity at contract maturity

D. has the right to purchase the underlying commodity at contract maturity

18.Which of the following is not a nickname for an agency associated with the mortgage markets?

A. Fannie Mae

B. Freddie Mac

C. Sallie Mae

D. Ginnie Mae

https://www.sodocs.net/doc/521132044.html,mercial paper is a short-term security issued by __________ to raise funds.

A. the Federal Reserve

B. commercial banks

C. large well-known companies

D. the New York Stock Exchange

20.The maximum maturity on commercial paper is

A. 270 days

B. 180 days

C. 90 days

D. 30 days

21.Which one of the following is a true statement regarding the Dow Jones Industrial Average?

A. It is a value-weighted average of 30 large industrial stocks

B. It is a price-weighted average of 30 large industrial stocks

C. It is a price-weighted average of 100 large stocks traded on the New York Stock Exchange

D. It is a value-weighted average of all stocks traded on the New York Stock Exchange

22.Treasury bills are financial instruments issued by __________ to raise funds.

A. commercial banks

B. the Federal Government

C. large corporations

D. state and city governments

23.Which of the following are true statements about T-bills?

I. T-bills typically sell in denominations of $10,000

II. Income earned on T-bills is exempt from all Federal taxes

III. Income earned on T-bills is exempt from state and local taxes

A. I only

B. I and II only

C. I and III only

D. I, II and III

24. A bond that has no collateral is called _________.

A. a callable bond

B. a debenture

C. a junk bond

D. a mortgage

25. A __________ gives its holder the right to sell an asset for a specified exercise price on or before a

specified expiration date.

A. call option

B. futures contract

C. put option

D. interest rate swap

26. A T-bill quote sheet has 90 day T-bill quotes with a 4.92 bid and a 4.86 ask. If the bill has a $10,000 face

value an investor could buy this bill for

A. $10,000.00

B. $9,878.50

C. $9,877.00

D. $9,880.16

27.Which one of the following is a true statement regarding corporate bonds?

A. A corporate callable bond gives its holder the right to exchange it for a specified number of the

company's common shares

B. A corporate debenture is a secured bond

C. A corporate convertible bond gives its holder the right to exchange it for a specified number of the

company's common shares

D. Holders of corporate bonds have voting rights in the company

28.The yield on tax-exempt bonds is ______.

A. usually less than 50% of the yield on taxable bonds

B. normally about 90% of the yield on taxable bonds

C. greater than the yield on taxable bonds

D. less than the yield on taxable bonds

29.__________ is not a money market instrument.

A. A certificate of deposit

B. A treasury bill

C. A treasury bond

D. Commercial paper

30.An investor buys a T-bill at a bank discount quote of 4.80 with 150 days to maturity. The investor's actual

annual rate of return on this investment was _____.

A. 4.80%

B. 4.97%

C. 5.47%

D. 5.74%

31.The U.K. stock index is the _________.

A. DAX

B. FTSE

C. GSE

D. TSE

32. A __________ gives its holder the right to buy an asset for a specified exercise price on or before a

specified expiration date.

A. call option

B. futures contract

C. put option

D. interest rate swap

33.Which one of the following provides the best example of securitization?

A. convertible bond

B. call option

C. mortgage pass-through security

D. preferred stock

34.Which of the following indices are market-value weighted?

I. The NYSE Composite

II. The S&P 500

III. The Wilshire 5000

A. I and II only

B. II and III only

C. I and III only

D. I, II and III

35.The interest rate charged by large banks in London to lend money among themselves is called _________.

A. the prime rate

B. the discount rate

C. the federal funds rate

D. LIBOR

36. A firm that has large securities holdings that wishes to raise money for a short length of time may be able to

find the cheapest financing from which of the following?

A. Reverse repurchase agreement

B. Banker's acceptance

C. Commercial paper

D. Repurchase agreement

37.Currently the Dow Jones Industrial Average is computed by _________.

A. adding the prices of 30 large "blue-chip" stocks and dividing by 30

B. calculating the total market value of the 30 firms in the index and dividing by 30

C. measuring the current total market value of the 30 stocks in the index relative to the total value on the

previous day

D. a dding the prices of 30 large "blue-chip" stocks and dividing by a divisor adjusted for stock splits and

large stock dividends

38.An investor purchases one municipal and one corporate bond that pay rates of return of 5.00% and 6.40%

respectively. If the investor is in the 15% tax bracket, his after tax rates of return on the municipal and corporate bonds would be respectively

A. 5.00% and 6.40%

B. 5.00% and 5.44%

C. 4.25% and 6.40%

D. 5.75% and 5.44%

39.If a treasury note has a bid price of $996.25, the quoted bid price in the Wall Street Journal would be

_________.

A. 99:25

B. 99:63

C. 99:20

D. 99:08

40.TIPS are ______.

A. Treasury bonds that pay a variable rate of interest

B. U.K. bonds that protect investors from default risk

C. securities that trade on the Toronto stock index

D. Treasury bonds that protect investors from inflation

41.The price quotations of treasury bonds in the Wall Street Journal show a bid price of 102:12 and an ask

price of 102:14. If you sold the bond you expect to receive _________.

A. $1,024.75

B. $1,024.38

C. $1,023.75

D. $1,022.50

42.The Dow Jones Industrial Average is _________.

A. a price weighted average

B. a value weight and average

C. an equally weighted average

D. an unweighted average

43.Investors will earn higher rates of returns on TIPS than equivalent default risk standard bonds if

_______________.

A. inflation is lower than anticipated over the investment period

B. inflation is higher than anticipated over the investment period

C. the U.S. dollar increases in value against the euro

D. the spread between commercial paper and Treasury securities remains low

44.Preferred stock is like long-term debt in that ___________.

A. it gives the holder voting power regarding the firm's management

B. it promises to pay to its holder a fixed stream of income each year

C. the preferred dividend is a tax-deductible expense for the firm

D. in the event of bankruptcy preferred stock has equal status with debt

45.Which of the following does not approximate the performance of a buy and hold portfolio strategy?

A. An equally weighted index

B. A price weighted index

C. A value weighted index

D. Weights are not a factor in this situation

46.In calculating the Dow Jones Industrial Average, the adjustment for a stock split occurs _________.

A. automatically

B. by adjusting the divisor

C. by adjusting the numerator

D. by adjusting the market value weights

47.If the market prices of the 30 stocks in the Dow Jones Industrial Average all change by the same dollar

amount on a given day, assuming there are no stock splits which stock will have the greatest impact on the average?

A. The one with the highest price

B. The one with the lowest price

C. All 30 stocks will have the same impact

D. The answer cannot be determined by the information given

48. A bond issued by the State of Alabama is priced to yield 6.25%. If you are in the 28% tax bracket this bond

would provide you with an equivalent taxable yield of _________.

A. 4.50%

B. 7.25%

C. 8.68%

D. none of the above

49.The purchase of a futures contract gives the buyer _________.

A. the right to buy an item at a specified price

B. the right to sell an item at a specified price

C. the obligation to buy an item at a specified price

D. the obligation to sell an item at a specified price

50.Ownership of a put option entitles the owner to the __________ to ___________ a specific stock, on or

before a specific date, at a specific price.

A. right, buy

B. right, sell

C. obligation, buy

D. obligation, sell

51.An investor in a 28% tax bracket is trying to decide whether to invest in a municipal bond or a corporate

bond. She looks up municipal bond yields (r m) but wishes to calculate the taxable equivalent yield r. The formula she should use is given by ______.

A. r = r m * (1 - 28%)

B. r = r m/(1 - 72%)

C. r = r m * (1 - 72%)

D. r = r m/(1 - 28%)

52.June call and put options on King Books Inc are available with exercise prices of $30, $35 and $40. Among

the different exercise prices, the call option with the _____ exercise price and the put option with the _____ exercise price will have the greatest value.

A. $40; $30

B. $30; $40

C. $35; $35

D. $40; $40

53.Ownership of a call option entitles the owner to the __________ to __________ a specific stock, on or

before a specific date, at a specific price.

A. right, buy

B. right, sell

C. obligation, buy

D. obligation, sell

54.The ________ the ratio of municipal bond yields to corporate bond yields the _________ the cutoff tax

bracket where more individuals will prefer to hold municipal debt.

A. higher; lower

B. lower; lower

C. lower; higher

D. higher; higher

55.Which of the following types of bonds are excluded from most bond indices?

A. Corporate bonds

B. Junk bonds

C. Municipal bonds

D. None of the above

56.The Hang Seng index reflects market performance on which of the following major stock markets?

A. Japan

B. Singapore

C. Taiwan

D. Hong Kong

57.The Standard and Poors 500 is a(n) __________ weighted index.

A. equally

B. price

C. value

D. share

58. A firm that fails to pay dividends on its preferred stock is said to be _________.

A. insolvent

B. in arrears

C. insufferable

D. delinquent

https://www.sodocs.net/doc/521132044.html,rge well-known companies often issue their own short term unsecured debt notes directly to the public,

rather than borrowing from banks, their notes are called _________.

A. certificates of deposit

B. repurchase agreements

C. banker's acceptances

D. commercial paper

60.Which of the following is most like a short-term collateralized loan?

A. Certificate of deposit

B. Repurchase agreement

C. Banker's acceptance

D. Commercial paper

61.Eurodollars are _________.

A. dollar denominated deposits at any foreign bank or foreign branch of an American bank

B. dollar denominated bonds issued by firms outside their home market

C. currency issued by Euro Disney and traded in France

D. dollars that wind up in banks as a result of money laundering activities

62.Which of the following is used to back international sales of goods and services?

A. Certificate of deposit

B. Banker's acceptance

C. Eurodollar deposits

D. Commercial paper

63.Treasury notes have initial maturities between ________ years.

A. 2 and 4

B. 5 and 10

C. 10 and 30

D. 1 and 10

64.Which of the following are not characteristic of common stock ownership?

A. Residual claimant

B. Unlimited liability

C. Voting rights

D. Limited life of the security

65.If you thought prices of stock would be rising over the next few months you may wish to

__________________ on the stock.

A. purchase a call option

B. purchase a put option

C. sell a futures contract

D. place a short sale order

66. A typical bond price quote includes all but which one of the following?

A. Daily high price for the bond

B. Closing bond price

C. Yield to maturity

D. Dividend yield

67.What are business firms most likely to use derivative securities for?

A. Hedging

B. Speculating

C. Doing calculus problems

D. Market making

68.What would you expect to have happened to the spread between yields on commercial paper and Treasury

bills immediately after September 11, 2001?

A. No change, as both yields will remain the same.

B. Increase, the spread usually increases in response to a crisis.

C. Decrease, the spread usually decreases in response to a crisis.

D. No change, as both yields will move in the same direction.

69. A stock quote indicates a stock price of $60 and a dividend yield of 3%. The latest quarterly dividend

received by stock investors must have been ______ per share.

A. $0.55

B. $1.80

C. $0.45

D. $1.25

70.Three stocks have share prices of $12, $75, and $30 with total market values of $400 million, $350 million

and $150 million respectively. If you were to construct a price-weighted index of the three stocks what would be the index value?

A. 300

B. 39

C. 43

D. 30

71.Which of the following is not considered a money market investment?

A. Bankers acceptances

B. Eurodollar

C. Repurchase agreement

D. Treasury note

72.The Federal Reserve Board of Governors directly controls which of the following interest rates?

A. Bankers acceptances

B. Brokers call

C. Federal funds

D. LIBOR

73.You decide to purchase an equal number of shares of stocks of firms to create a portfolio. If you wished

to construct an index to track your portfolio performance your best match for your portfolio would be to construct a/an ______.

A. value weighted index

B. equal weighted index

C. price weighted index

D. bond price index

74.In a ___________ index changes in the value of the stock with the greatest market value will move the

index value the most everything else equal.

A. value weighted index

B. equal weighted index

C. price weighted index

D. bond price index

75. A corporation in a 34% tax bracket invests in the preferred stock of another company and earns a 6% pre-

tax rate of return. An individual investor in a 15% tax bracket invests in the same preferred stock and earns the same pre-tax return. The after tax return to the corporation is _______ and the after tax return to the individual investor is _______.

A. 3.96%; 5.1%

B. 5.39%; 5.1%

C. 6.00%; 6.00%

D. 3.96%; 6.00%

76.All but which one of the following indices is value weighted?

A. Nasdaq Composite

B. S&P 500

C. Wilshire 5000

D. DJIA

77.What is the tax exempt equivalent yield on a 9% bond yield given a marginal tax rate of 28%?

A. 6.48%

B. 7.25%

C. 8.02%

D. 9.00%

78. A tax free municipal bond provides a yield of 3.2%. What is the equivalent taxable yield on the bond given

a 35% tax bracket?

A. 3.20%

B. 3.68%

C. 4.92%

D. 5.00%

79.An index computed from a simple average of returns is a/an _____.

A. equal weighted index

B. value weighted index

C. price weighted index

D. share weighted index

80. A tax free municipal bond provides a yield of 2.34%. What is the equivalent taxable yield on the bond

given a 28% tax bracket?

A. 2.34%

B. 2.68%

C. 3.25%

81.The Chompers Index is a price weighted stock index based on the 3 largest fast food chains. The stock

prices for the three stocks are $54, $23, and $44. What is the price weighted index value of the Chompers Index?

A. 23.43

B. 35.36

C. 40.33

D. 49.58

82.The Hydro Index is a price weighted stock index based on the 5 largest boat manufacturers in the nation.

The stock prices for the five stocks are $10, $20, $80, $50 and $40. The price of the last stock was just split

2 for 1 and the stock price was halved from $40 to $20. What is the new divisor for a price weighted index?

A. 5.00

B. 4.85

C. 4.50

D. 4.75

83. A benchmark index has three stocks priced at $23, $43, and $56. The number of outstanding shares for

each is 350,000 shares, 405,000 shares, and 553,000 shares, respectively. If the market value weighted index was 970 yesterday and the prices changed to $23, $41, and $58, what is the new index value?

A. 960

B. 970

C. 975

D. 985

84. A benchmark market value index is comprised of three stocks. Yesterday the three stocks were priced

at $12, $20, and $60. The number of outstanding shares for each is 600,000 shares, 500,000 shares, and 200,000 shares, respectively. If the stock prices changed to $16, $18, and $62 today respectively, what is the one day rate of return on the index?

A. 5.78%

B. 4.35%

C. 6.16%

D. 7.42%

85.Which of the following mortgage scenarios will benefit the homeowner the most?

A. Adjustable rate mortgage when interest rate increases.

B. Fixed rate mortgage when interest rates falls.

C. Fixed rare mortgage when interest rate rises.

D. None of the above, as banker's interest will always be protected.

2 Key

1.Which of the following is not a money market instrument?

A. Treasury bill

B. Commercial paper

C.Preferred stock

D. Banker's acceptance

Bodie - Chapter 02 #1

Difficulty: Easy

2.Thirteen week T-bill auctions are conducted ____.

A. daily

B. weekly

C. monthly

D. quarterly

Bodie - Chapter 02 #2

Difficulty: Easy

3.When computing the bank discount yield you would use ____ days in the year.

A. 260

B. 360

C. 365

D. 366

Bodie - Chapter 02 #3

Difficulty: Medium

4. A dollar denominated deposit at a London bank is called _____.

A. eurodollars

B. LIBOR

C. fed funds

D. banker's acceptance

Bodie - Chapter 02 #4

Difficulty: Easy

5.Money market securities are sometimes referred to as "cash equivalent" because _____.

A. they are safe and marketable

B. they are not liquid

C. they are high risk

D. they are low denomination

Bodie - Chapter 02 #5

Difficulty: Easy

6.The most actively traded money market security is

A. Treasury bills

B. Bankers' Acceptances

C. Certificates of Deposit

D. Common stock

Bodie - Chapter 02 #6

Difficulty: Medium 7.______ voting of common stock gives minority shareholders the most representation on the board of

directors.

A. Majority

B.Cumulative

C. Rights

D. Proxy

Bodie - Chapter 02 #7

Difficulty: Medium

8.An investor in a T-bill earns interest by _________.

A. receiving interest payments every 90 days

B. receiving dividend payments every 30 days

C. converting the T-bill at maturity into a higher valued T-note

D.buying the bill at a discount from the face value received at maturity

Bodie - Chapter 02 #8

Difficulty: Easy

9.______ would not be included in the EAFE index.

A. Australia

B. Canada

C. France

D. Japan

Bodie - Chapter 02 #9

Difficulty: Hard

10._____ is considered to be an emerging market country.

A. France

B. Norway

C. Brazil

D. Canada

Bodie - Chapter 02 #10

Difficulty: Medium

11.Which one of the following is a true statement?

A.D ividends on preferred stocks are tax-deductible to individual investors but not to corporate

investors

B. Common dividends cannot be paid if preferred dividends are in arrears on cumulative preferred stock

C. Preferred stockholders have voting power

D. Investors can sue managers for nonpayment of preferred dividends

Bodie - Chapter 02 #11

Difficulty: Medium

12.The bid price of a treasury bill is _________.

A. the price at which the dealer in treasury bills is willing to sell the bill

B.the price at which the dealer in treasury bills is willing to buy the bill

C. greater than the ask price of the treasury bill expressed in dollar terms

D. the price at which the investor can buy the treasury bill

Bodie - Chapter 02 #12

Difficulty: Easy

13.The German stock market is measured by which market index?

A. FTSE

B. Dow Jones 30

C. DAX

D. Nikkei

Bodie - Chapter 02 #13

Difficulty: Easy

14.Deposits of commercial banks at the Federal Reserve are called _____.

A. bankers acceptances

B. federal funds

C. repurchase agreements

D. time deposits

Bodie - Chapter 02 #14

Difficulty: Easy

15.Which of the following is not a true statement regarding municipal bonds?

A. A municipal bond is a debt obligation issued by state or local governments.

B. A municipal bond is a debt obligation issued by the Federal Government.

C. The interest income from a municipal bond is exempt from federal income taxation.

D.T he interest income from a municipal bond is exempt from state and local taxation in the issuing

state.

Bodie - Chapter 02 #15

Difficulty: Easy

16.Which of the following is not a characteristic of a money market instrument?

A. Liquidity

B. Marketability

C. Low risk

D. Maturity greater than one year

Bodie - Chapter 02 #16

Difficulty: Easy

17.An individual who goes short in a futures position

A. commits to delivering the underlying commodity at contract maturity

B. commits to purchasing the underlying commodity at contract maturity

C. has the right to deliver the underlying commodity at contract maturity

D. has the right to purchase the underlying commodity at contract maturity

Bodie - Chapter 02 #17

Difficulty: Easy

18.Which of the following is not a nickname for an agency associated with the mortgage markets?

A. Fannie Mae

B. Freddie Mac

C. Sallie Mae

D. Ginnie Mae

Bodie - Chapter 02 #18

Difficulty: Easy

https://www.sodocs.net/doc/521132044.html,mercial paper is a short-term security issued by __________ to raise funds.

A. the Federal Reserve

B. commercial banks

C. large well-known companies

D. the New York Stock Exchange

Bodie - Chapter 02 #19

Difficulty: Easy

20.The maximum maturity on commercial paper is

A. 270 days

B. 180 days

C. 90 days

D. 30 days

Bodie - Chapter 02 #20

Difficulty: Medium

21.Which one of the following is a true statement regarding the Dow Jones Industrial Average?

A. It is a value-weighted average of 30 large industrial stocks

B. It is a price-weighted average of 30 large industrial stocks

C. It is a price-weighted average of 100 large stocks traded on the New York Stock Exchange

D. It is a value-weighted average of all stocks traded on the New York Stock Exchange

Bodie - Chapter 02 #21

22.Treasury bills are financial instruments issued by __________ to raise funds.

A. commercial banks

B. the Federal Government

C. large corporations

D. state and city governments

Bodie - Chapter 02 #22

Difficulty: Easy

23.Which of the following are true statements about T-bills?

I. T-bills typically sell in denominations of $10,000

II. Income earned on T-bills is exempt from all Federal taxes

III. Income earned on T-bills is exempt from state and local taxes

A. I only

B. I and II only

C. I and III only

D. I, II and III

Bodie - Chapter 02 #23

Difficulty: Medium

24. A bond that has no collateral is called _________.

A. a callable bond

B.a debenture

C. a junk bond

D. a mortgage

Bodie - Chapter 02 #24

Difficulty: Easy 25. A __________ gives its holder the right to sell an asset for a specified exercise price on or before a

specified expiration date.

A. call option

B. futures contract

C.put option

D. interest rate swap

Bodie - Chapter 02 #25

Difficulty: Easy 26. A T-bill quote sheet has 90 day T-bill quotes with a 4.92 bid and a 4.86 ask. If the bill has a $10,000

face value an investor could buy this bill for

A. $10,000.00

B. $9,878.50

C. $9,877.00

D. $9,880.16

27.Which one of the following is a true statement regarding corporate bonds?

A.A corporate callable bond gives its holder the right to exchange it for a specified number of the

company's common shares

B. A corporate debenture is a secured bond

C.A corporate convertible bond gives its holder the right to exchange it for a specified number of the

company's common shares

D. Holders of corporate bonds have voting rights in the company

Bodie - Chapter 02 #27

Difficulty: Medium

28.The yield on tax-exempt bonds is ______.

A. usually less than 50% of the yield on taxable bonds

B. normally about 90% of the yield on taxable bonds

C. greater than the yield on taxable bonds

D. less than the yield on taxable bonds

Bodie - Chapter 02 #28

Difficulty: Easy

29.__________ is not a money market instrument.

A. A certificate of deposit

B. A treasury bill

C. A treasury bond

D. Commercial paper

Bodie - Chapter 02 #29

Difficulty: Easy 30.An investor buys a T-bill at a bank discount quote of 4.80 with 150 days to maturity. The investor's

actual annual rate of return on this investment was _____.

A. 4.80%

B. 4.97%

C. 5.47%

D. 5.74%

Bodie - Chapter 02 #30

Difficulty: Hard

31.The U.K. stock index is the _________.

A.DAX

B. FTSE

C. GSE

D. TSE

Bodie - Chapter 02 #31

Difficulty: Easy

32. A __________ gives its holder the right to buy an asset for a specified exercise price on or before a

specified expiration date.

A. call option

B. futures contract

C. put option

D. interest rate swap

Bodie - Chapter 02 #32

Difficulty: Easy

33.Which one of the following provides the best example of securitization?

A. convertible bond

B. call option

C. mortgage pass-through security

D. preferred stock

Bodie - Chapter 02 #33

Difficulty: Easy

34.Which of the following indices are market-value weighted?

I. The NYSE Composite

II. The S&P 500

III. The Wilshire 5000

A. I and II only

B. II and III only

C. I and III only

D. I, II and III

Bodie - Chapter 02 #34

Difficulty: Easy 35.The interest rate charged by large banks in London to lend money among themselves is called

_________.

A. the prime rate

B. the discount rate

C. the federal funds rate

D. LIBOR

Bodie - Chapter 02 #35

Difficulty: Easy 36. A firm that has large securities holdings that wishes to raise money for a short length of time may be

able to find the cheapest financing from which of the following?

A. Reverse repurchase agreement

B. Banker's acceptance

C. Commercial paper

D.Repurchase agreement

Bodie - Chapter 02 #36

Difficulty: Hard

投资学精要(博迪)(第五版)习题答案英文版chapter7

Essentials of Investments (BKM 5th Ed.) Answers to Selected Problems – Lecture 4 Note: The solutions to Example 6.4 and the concept checks are provided in the text. Chapter 6: 23. In the regression of the excess return of Stock ABC on the market, the square of the correlation coefficient is 0.296, which indicates that 29.6% of the variance of the excesss return of ABC is explained by the market (systematic risk). Chapter 7: 3. E(R p) = R f + βp[E(R M) - R f] 0.20 = 0.05 + β(0.15 - 0.05) β = 0.15/0.10 = 1.5 β=0 implies E(R)=R f, not zero. 6. a) False: b) False: Investors of a diversified portfolio require a risk premium for systematic risk. Only the systematic portion of total risk is compensated. c) False: 75% of the portfolio should be in the market and 25% in T-bills. βp=(0.75 * 1) + (0.25 * 0) = 0.75 8. Not possible. Portfolio A has a higher beta than B, but a lower expected return. 9. Possible. If the CAPM is valid, the expected rate of return compensates only for market risk (beta), rather than for nonsystematic risk. Part of A’s risk may be nonsystematic. 10. Not possible. If the CAPM is valid, the market portfolio is the most efficient and a higher reward- to-variability ratio than any other security. In other words, the CML must be better than the CAL for any other security. Here, the slope of the CAL for A is 0.5 while the slope of the CML is 0.33. 11. Not possible. Portfolio A clearly dominates the market portfolio with a lower standard deviation and a higher expected return. The CML must be better than the CAL for security A. 12. Not possible. Security A has an expected return of 22% based on CAPM and an actual return of 16%. Security A is below the SML and is therefore overpriced. It is also clear that security A has a higher beta than the market, but a lower return which is not consistent with CAPM. 13. Not possible. Security A has an expected return of 17.2% and an actual return of 16%. Security A is below the SML and is therefore overpriced. 14. Possible. Portfolio A has a lower expected return and lower standard deviation than the market and thus plots below the CML. 17. Using the SML: 6 = 8 + β(18 – 8)

博迪第八版投资学第十章课后习题答案

CHAPTER 10: ARBITRAGE PRICING THEORY AND MULTIFACTOR MODELS OF RISK AND RETURN PROBLEM SETS 1. The revised estimate of the expected rate of return on the stock would be the old estimate 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% 2. The APT factors must correlate with major sources of uncertainty, i.e., sources of uncertainty that are of concern to many investors. Researchers should investigate factors that correlate with uncertainty in consumption and investment opportunities. GDP, the inflation rate, and interest rates are among the factors that can be expected to determine risk premiums. In particular, industrial production (IP) is a good indicator of changes in the business cycle. Thus, IP is a candidate for a factor that is highly correlated with uncertainties that have to do with investment and consumption opportunities in the economy. 3. Any pattern of returns can be “explained” if we are free to choose an indefinitely large number of explanatory factors. If a theory of asset pricing is to have value, it must explain returns using a reasonably limited number of explanatory variables (i.e., systematic factors). 4. Equation 10.9 applies here: E(r p) = r f + P1 [E(r1 ) r f ] + P2 [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 = 6 + (1.5 RP1) + (2.0 RP2) 27 = 6 + (2.2 RP1) + [(–0.2) RP2] The solution to this set of equations is: RP1 = 10% and RP2 = 5%

博迪《投资学》笔记和课后习题详解(指数模型)【圣才出品】

第10章指数模型 10.1 复习笔记 1．单指数证券市场 (1)单指数模型 ①单指数模型的定义式 马科维茨模型在实际操作中存在两个问题，一是需要估计大量的数据；二是该模型应用中相关系数确定或者估计中的误差会导致结果无效。 单指数模型大降低了马科维茨资产组合选择程序的数据数量，它把精力放在了对证券的专门分析中。 因为不同企业对宏观经济事件有不同的敏感度。所以，如果记宏观因素的非预测成分为F，记证券i对宏观经济事件的敏感度为βi；则证券i的宏观成分为，则股票收益的单因素模型为： ②单指数模型收益率的构成 因为指数模型可以把实际的或已实现的证券收益率区分成宏观(系统)的与微观(公司特有)的两部分。每个证券的收益率是三个部分的总和：

如果记市场超额收益R M的方差为σ2M，则可以把每个股票收益率的方差拆分成两部分： （2）指数模型的估计 单指数模型表明，股票GM的超额收益与标准普尔500指数的超额收益之间的关系由下式给定： R i=αi+βi R M+e i 该式通过βi来测度股票i对市场的敏感度，βi是回归直线的斜率。回归直线的截距是αi，它代表了平均的公司特有收益。在任一时期里，回归直线的特定观测偏差记为e i，称为残值。每一个残值都是实际股票收益与由描述股票同市场之间的一般关系的回归方程所预测出的股票收益之间的差异。这些量可以用标准回归技术来估计。 （3）指数模型与分散化 资产组合的方差为 其中定义资产组合方差的系统风险成分为依赖于市场运动的部分为它也

依赖于单个证券的敏感度系数。这部分风险依赖于资产组合的贝塔和σ2M，不管资产组合分散化程度如何都不会改变。 相比较，资产组合方差的非系统成分是σ2(e P)，它来源于公司特有成分e i。因为这些e i 是独立的，都具有零期望值，所以可以得出这样的结论：随着越来越多的股票加入到资产组合中，公司特有风险倾向于被消除掉，非市场风险越来越小。 当各资产为等权重，且e i不相关时，有。式中，为公司特有方差的均值。当n变大时，σ2(e p)就变得小得可以忽略了。 图10—1 证券数量与分散风险 2．资本资产定价模型与指数模型 （1）真实收益与期望收益 资本资产定价模表示了各种期望收益之间的关系，而可以观察到的只是实际的或已实现的持有期收益；构造一个规模巨大的市值加权的资产组合也是难以实现的。因此资本资产定价模型的有效性难以进行实证检验。

博迪《投资学》笔记和课后习题详解(投资环境)【圣才出品】

第1章投资环境 1.1 复习笔记 1.金融资产与实物资产 （1）概念 实物资产指经济生活中所创造的用于生产商品和提供服务的资产。实物资产包括：土地、建筑物、知识、机械设备以及劳动力。实物资产和“人力”资产是构成整个社会的产出和消费的主要内容。 金融资产是实物资产所创造的利润或政府的收入的要求权。金融资产主要指股票或债券等有价证券。金融资产是投资者财富的一部分，但不是社会财富的组成部分。 （2）两种资产的区分 ①实物资产能够创造财富和收入，而金融资产却只是收入或财富在投资者之间的配置的一种手段。 ②实物资产通常只在资产负债表的资产一侧出现，而金融资产却可以作为资产或负债在资产负债表的两侧都出现。对企业的金融要求权是一种资产，但是，企业发行的这种金融要求权则是企业的负债。 ③金融资产的产生和消除一般要通过一定的商务过程。例如，当贷款被支付后，债权人的索偿权(一种金融资产)和债务人的债务(一种金融负债)就都消失了。而实物资产只能通过偶然事故或逐渐磨损来消除。

2．金融市场 （1）金融市场与经济 ①金融市场的概念 金融市场是指以金融资产为交易对象而形成的供求关系及其机制的总和。它包括三层含义，一是它是金融资产进行交易的一个有形和无形的场所；二是它反映了金融资产的供应者和需求者之间所形成的供求关系；三是它包含了金融资产交易过程中所产生的运行机制。 ②金融市场的作用 a.金融市场允许人们通过金融资产储蓄财富，使人们消费与收入在时间上分离。人们可以通过调整消费期获得最满意的消费。 b.金融市场使人们可以通过金融资产的买卖来分配实物资产的风险。 c.金融市场保证了公司经营权和所有权的分离。 ③代理问题 代理问题是指公司的管理者追求自己的利益而非公司的利益所产生的管理者与股东潜在的利益冲突。解决代理问题的管理机制有：期权等激励机制、通过董事会解雇管理者以及雇佣独立人士监控管理者。绩效差的公司通常面临着被收购的危机，这是一种外部的激励。 公司治理危机包括会计丑闻、分析师丑闻和首次公开发行中的问题。 （2）金融系统的客户 金融系统中的客户包括家庭、企业和政府。 家庭通过金融市场持有金融资产进行理财；企业利用金融市场融资；政府一方面通过金融市场融资，另一方面也是金融环境的规范者。 （3）投资环境与客户需求 ①金融中介的定义与性质

博迪《投资学》笔记和课后习题详解(利率的期限结构)【圣才出品】

第15章利率的期限结构 15.1 复习笔记 利率期限结构，即不同到期期限债券利率之间的关系，通常用被称为收益率曲线的曲线图来描述。 1. 确定的期限结构 长期债券收益率较高的原因有二：一是长期债券风险较大，需要较高的收益率来补偿利率风险；二是投资者预期利率会上升，因此较高的平均收益率反应了对债券后续寿命期的高利率预期。 （1）债券定价 给定期限的利率称为短期利率。利用不同期限的短期利率对债券进行贴现可以得到债券的价格。利用债券的价格，可计算出每种债券的到期收益率。收益率是单利，它等于相对于债券价格的债券支付额的现值。虽然利率可随时间变化，但各期的到期收益率均以“平均”利率计算，以贴现所有各期的债券支付。不同期限的到期收益率可以构成收益率曲线。 零息票债券的到期收益率有时也称为即期利率，即今日对应于零期时的利率。到期收益率实际上是每一时期利率的几何平均值。 （2）分离债券和息票债券的定价 零息票债券的价格可以通过用债券到期时的即期利率对债券票面价值贴现后得到。可以把息票债券的每一次付息从结果上视为各自独立支付的零息票债券，它们可以独立地被估价。息票债券的总价值就是其每一次现金流价值的总和。

债券交易者经常要区分零息票债券和息票支付债券的收益曲线。纯收益曲线反映了零息票债券的到期收益和到期时间之间的关系。 （3）持有期收益（holding period yield, HPY ） 在一个简单的没有不确定性因素的世界中，任何期限的债券一定会提供相同的收益率。实际上，尽管不同的债券有不同的到期收益率，但每一种债券提供的未来一年的收益率将等于这一年的短期利率。 持有期收益指在一定时期内投资的总收益，包括各种来源的收入。其计算公式如下： 投资的期初价值投资的期末价值 HPR 其计算得出的值总是大于或等于0, 即它不可能为负值。如果该值大于1.0表明财富增加，这意味着持有期的收益率为正；如果该值小于1.0表明财富减少，这意味着在持有期的收益率为负；如果该值等于0表明投资损失殆尽。 持有期收益率（HPR ）指一定时间内投资的总收益率，用百分数表示。其计算公式如下： HPY=HPR －1 （4）远期利率 在利率变化确定的情况下，可从零息票债券的收益率曲线中推出未来短期利率，其计算公式为： 式中，n 为期数；y n 为n 期零息票债券的到期收益率。 当未来利率与不确定性相联系，用式(15-4)推断出的利率称为远期利率而不是未来短期利率，因为它不一定是未来某一期间的真实利率。 如果n 期的远期利率为f n ，则可用下式定义f n ：

投资学精要 博迪 第八版 课后答案 Chapter2

CHAPTER 02 ASSET CLASSES AND FINANCIAL INSTRUMENTS https://www.sodocs.net/doc/521132044.html,mon stock is an ownership share in a publicly held corporation. Common shareholders have voting rights and may receive dividends. Preferred stock represents nonvoting shares in a corporation, usually paying a fixed stream of dividends. While corporate bonds are long-term debt by corporations, typically paying semi-annual coupons and returning the face value of the bond at maturity. 2.While the DJIA has 30 large corporations in the index, it does not represent the overall market nearly as well as the 500 stocks contained in The Wilshire index. The DJIA is simply too small. 3.They are short term, very safe, and highly liquid. Also, their unit value almost never changes. 4.Treasury bills, certificates of d eposit, commercial paper, bankers’ acceptances, Eurodollars, repos, reserves, federal funds and brokers’ calls. 5.American Depository Receipts, or ADRs, are certificates traded in U.S. markets that represent ownership in shares of a foreign company. Investors may also purchase shares of foreign companies on foreign exchanges. Lastly, investors may use international mutual funds to own shares indirectly. 6.Because they produce coupons that are tax free. 7.The fed funds rate is simply the rate of interest on very short-term loans among financial institutions. The London Interbank Offer Rate (LIBOR) is the rate at which large banks in London are willing to lend money among themselves. 8.General obligation bonds are backed by the local governments, while revenue bonds have proceeds attached to specific projects. A revenue bond has less guarantees, therefore, it is riskier and will have a higher yield. 9.Corporations may exclude 70% of dividends received from domestic corporations in the computation of their taxable income. 10.Limited liability means that the most shareholders can lose in event of the failure of the corporation is their original investment. 11.Money market securities are referred to as “cash equivalents” because of their great liquidity. The prices of money market securities are very stable, and they can be converted to cash (i.e., sold) on very short notice and with very low transaction costs.

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 8.1复习笔记 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 17.1复习笔记 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

博迪《投资学》笔记和课后习题详解(财务报表分析)【圣才出品】

第19章财务报表分析 19.1 复习笔记 财务会计的数据资料由于容易得到，尽管存在一些缺点，但对于评估一家公司的经济前景非常有用。投资者可以利用财务资料来进行股票估价分析。本章将说明如何以一种系统的方法，利用财务比率来揭示一家公司盈利能力的来源，并且评价其收益的“质量”，以及负债政策对各种财务比率的影响。但是，由于每个公司会计程序不同，加之通货膨胀会使会计数据失真，财务报表分析作为寻找定价不当的股票的一种工具，是有其局限性的。 1．基本财务报表 （1）损益表 损益表是对公司在一段时期内(例如一年)的盈利能力的总结。它表示在运营期间公司获得的收入，以及与此同时产生的费用。收入减去费用所得的差额就是公司的净利润或利润。 公司支付的主要的费用有四种：①货物的销售成本，即在生产公司销售的产品时产生的一种直接成本。②各种管理费用，包括间接费用、酬金、广告费和运营公司所需的其他成本，这不是由生产直接产生的。③由公司债务产生的利息费用。④应缴纳的联邦及当地政府的所得税。 在损益表中，营业收入与随之产生的营业费用（包括折旧费用）之差称为营业收益。营业收益再加上或减去其他临时性的收入或者费用可以得到息税前收益(EBIT)，它是指在不承担对债权人支付和缴税的前提下的公司之所得。在忽略由于借债筹资而产生的利息负担的情

况下，息税前收益是检验公司盈利能力的一个方法。如果息税前收益减去净利息费用，就可以得到应税收入。最后从应税收入中减去应缴给政府的所得税，就得到损益表的最下面一行，净收入。 （2）资产负债表 资产负债表提供了公司在某一时点的财务状况信息，显示该公司在那一时刻的资产与负债清单。 资产负债表的第一部分列示公司的资产。资产包括流动资产和长期资产两部分。首先列示的是流动资产，如现金、应收账款及存货等。接着列示的是长期资产，主要包括公司的不动产、厂房与设备。流动资产与长期资产的总和称为总资产，列在该表资产部分的最后一项。 负债及股东权益部分也同理排列。负债包括流动负债，如应付账款、应交税金与一年内到期的负债，以及长期债务与一年以上的其他负债。总资产与总负债的差额称为股东权益，它是公司的净资产或者账面价值。股东权益又可分为股本、资本公积与盈余公积。股本加上资本公积相当于股票卖给公众所得收益，盈余公积相当于从利润中提取的股权留存在公司。即使公司不再增加股权，但公司的账面价值仍可以通过将收益留存在公司而每年增加。 （3）现金流量表 现金流量表详细描述了由公司的经营、投资与筹资活动所产生的现金流。损益表与资产负债表均建立在权责发生制上，即使没有现金交易，收入与费用也在发生时就确认。而现金流量表以收入实现制为基础，只承认产生现金变化的交易。 现金流量表主要分为三大块，即经营活动、投资活动和筹资活动产生的现金流。经营活动产生的现金流主要通过对净收益进行包括应收应付款项、折旧摊销等在内的若干项目的调整，得到经营活动的净现金。投资活动产生的现金流，记录的是公司的投资活动在一定时期的净现金流入或流出，对公司保持并提高生产能力很有必要。最后一部分筹资活动所产生的

博迪投资学第10版英文教材课后答案 (3)

CHAPTER 3: HOW SECURITIES ARE TRADED PROBLEM SETS 1.Answers to this problem will vary. 2. The SuperDot system expedites the flow of orders from exchange members to the specialists. It allows members to send computerized orders directly to the floor of the exchange, which allows the nearly simultaneous sale of each stock in a large portfolio. This capability is necessary for program trading. 3. The dealer sets the bid and asked price. Spreads should be higher on inactively traded stocks and lower on actively traded stocks. 4. a. In principle, potential losses are unbounded, growing directly with increases in the price of IBM. b. If the stop-buy order can be filled at $128, the maximum possible loss per share is $8. If the price of IBM shares goes above $128, then the stop-buy order would be executed, limiting the losses from the short sale. 5. a. The stock is purchased for: 300 ? $40 = $12,000 The amount borrowed is $4,000. Therefore, the investor put up equity, or margin, of $8,000. b.If the share price falls to $30, then the value of the stock falls to $9,000. By the end of the year, the amount of the loan owed to the broker grows to: $4,000 ? 1.08 = $4,320 Therefore, the remaining margin in the investor’s account is: $9,000 - $4,320 = $4,680 The percentage margin is now: $4,680/$9,000 = 0.52 = 52% Therefore, the investor will not receive a margin call. c.The rate of return on the investment over the year is: (Ending equity in the account - Initial equity)/Initial equity = ($4,680 - $8,000)/$8,000 = -0.415 = -41.5%

投资学 博迪 第九版 中文答案 第四章

基础题 1、单位投资信托基金的运营费用应该较低。因为一旦信托设立，信托投资组合是固定的， 当市场改变时，它不需要支付投资组合经理不断监控和调整投资者组合的费用。因为投资组合是固定的，所以单位投资信托基金几乎没有交易成本。 2、a 单位信托基金：大规模投资的多元化，大规模交易的低成本，低管理费用，可预测 的投资组合成分，投资组合的低换手率。 b 开放式基金：大规模投资的多元化，大规模交易的低成本，专业的管理可以实现在 机会出现时的买入或卖出，记录交易过程。 c 个人自主选择的股票和债券：没有管理费用，在协调个人所得税的情况下实现资本 利得或者损失，可以根据个人风险偏好来设计投资组合。 3、开放式基金是有义务以资产净值赎回投资者的股票,因此必须保持手头现金及现金证券 以满足潜在的赎回。封闭式基金不需要现金储备,因为对封闭式基金不能赎回。封闭式基金的投资者希望套现时，他们会出售股票。 4、平衡基金以相对稳定的比例投资于每个资产类别，供投资者投资整个资产组合时选择使 用。生命周期基金属于平衡基金，其资产配置取决于投资者的年龄构成。积极的生命周期基金，持有大量的股票，是面向年轻的投资者，而保守的生命周期基金，则持有大量的债券，主要针对年长的投资者。相比之下，资产配置基金会根据对每一个板块相对业绩的预测而显著改变基金在每一个市场的资产配置比例。因此资产配置资金更强调市场时机的选择。 5、与开放式基金不同，其基金股份随时准备以资产净值赎回，封闭式基金作为一种证券在 交易所中交易，因此，它的价格可以偏离它的净值。 6、交易所交易基金的优势： 交易所交易基金持续地交易，并且可以通过保证金来购买和出售 当交易所交易基金出售时，没有资本利得税（股票只是从一个投资者转移到了另一个投资者） 投资者直接从经纪人处购买，从而基金节省了直接向小投资者销售的成本，这种费用降低了管理费用。 交易所交易基金的劣势： 价格可能偏离资产净值（不像开放式基金） 在从经纪人手中购买时，必须支付费用（不像免佣基金） 中级题 7、发行价格包括6%的前端费用，也即销售费用，意味着每一美元的支付，仅能得到$0.94 的股票净值。因此发行价格=NAV/（1-load）=$10.70/(1-0.06)=$11.38 8、NAV=发行价格*（1-load）=$12.30*(1-0.05)=$11.69 9、股票价值 A $7，000，000 B $12，000，000 C $8，000，000 D $15，000，000 总值$42，000，000 NAV=($42，000，000-$30，000)/4，000，000=$10.49 10、股票的交易量=$15,000,000 换手率=$15,000,000/$42,000,000=0.357=35.7% 11、 a NAV=($200，000，000-$3，000，000)/5，000，000=$39.40

博迪投资学第10版英文教材课后答案 (6)

CAPITAL ALLOCATION TO RISKY ASSETS CHAPTER 6: RISK AVERSION AND CAPITAL ALLOCATION TO RISKY ASSETS PROBLEM SETS 1. (e) 2. (b) A higher borrowing rate is a consequence of the risk of the borrowers’ default. In perfect markets with no additional cost of default, this increment would equal the value of the borrower’s option to default, and the Sharpe measure, with appropriate treatment of the default option, would be the same. However, in reality there are costs to default so that this part of the increment lowers the Sharpe ratio. Also, notice that answer (c) is not correct because doubling the expected return with a fixed risk-free rate will more than double the risk premium and the Sharpe ratio. 3. Assuming no change in risk tolerance, that is, an unchanged risk aversion coefficient (A), then higher perceived volatility increases the denominator of the equation for the optimal investment in the risky portfolio (Equation 6.7). The proportion invested in the risky portfolio will therefore decrease. 4. a. The expected cash flow is: (0.5 × $70,000) + (0.5 × 200,000) = $135,000 With a risk premium of 8% over the risk-free rate of 6%, the required rate of return is 14%. Therefore, the present value of the portfolio is: $135,000/1.14 = $118,421 b. If the portfolio is purchased for $118,421, and provides an expected cash inflow of $135,000, then the expected rate of return [E(r)] is as follows: $118,421 × [1 + E(r)] = $135,000 Therefore, E(r) =14%. The portfolio price is set to equate the expected rate of return with the required rate of return. c. If the risk premium over T-bills is now 12%, then the required return is: 6% + 12% = 18% The present value of the portfolio is now: $135,000/1.18 = $114,407 6-1

Investments 8ed Bodie 投资学 第八版 博迪 习题答案

Investments 8ed Bodie 投资学第八版博迪习题答 案 CHAPTER 1 THE INVESTMENT ENVIRONMENT PROBLEM SETS 1 Ultimately it is true that real assets determine the material well being of an economy Nevertheless individuals can benefit when financial engineering creates new products that allow them to manage their portfolios of financial assets more efficiently Because bundling and unbundling creates financial products with new properties and sensitivities to various sources of risk it allows investors to hedge particular sources of risk more efficiently Securitization requires access to a large number of potential investors To attract these investors the capital market needs a safe system of business laws and low probability of confiscatory taxationregulation a well-developed investment banking industry a well-developed system of brokerage and financial

博迪投资学第10版笔记和课后习题详解

博迪《投资学》（第10版）笔记和 课后习题详解 益星学习网提供全套资料 第一部分复习笔记 1实物资产与金融资产 （1）概念 实物资产指经济活动中所创造的用于生产商品和提供服务的资产。实物资产包括：土地、建筑物、知识、机械设备以及劳动力。实物资产和“人力”资产是构成整个社会的产出和消费的主要内容。 金融资产是对实物资产所创造的利润或政府的收入的要求权。金融资产主要指股票或债券等有价证券。金融资产是投资者财富的一部分，但不是社会财富的组成部分。 （2）两种资产的区分 ①实物资产能够创造财富和收入，而金融资产却只是收入或财富在投资者之间配置的一种手段。 ②实物资产通常只在资产负债表的资产一侧出现，而金融资产却可以作为资产或负债在资产负债表的两侧都出现。对企业的金融要求权是一种资产，但是，企业发行的这种金融要求权则是企业的负债。 ③金融资产的产生和消除一般要通过一定的商务过程。而实物资产只能通过偶然事故或逐渐磨损来消除。 （3）金融资产分类 通常将金融资产分为三类：固定收益型、权益型和衍生金融资产，具体如下： ①固定收益型金融资产，或称为债券，承诺支付一系列固定的，或按某一特定公式计算的现金流。 ②公司的普通股或权益型金融资产代表了公司所有权份额。股权所有者不再享有任何特定的收益，但在公司选择分红时可以获得公司派发的股息，同时他们还拥有与持股比例相应的公司实物资产的所有权。

③衍生证券（如期权和期货合约）的收益取决于其他资产（如股票和债券）的价格。 2金融市场 （1）金融市场与经济 ①金融市场的概念 金融市场是指以金融资产为交易对象而形成的供求关系及其机制的总和。它包括三层含义：一是它是金融资产进行交易的一个有形和无形的场所；二是它反映了金融资产的供应者和需求者之间所形成的供求关系；三是它包含了金融资产交易过程中所产生的运行机制。 ②金融市场的作用 a．金融市场在资本配置方面起着关键作用，股票市场上的投资者最终决定了公司的存亡。b．金融市场允许人们通过金融资产储蓄财富，使人们的消费与收入在时间上分离。人们可以通过调整消费时机获得最满意的消费。 c．金融市场使人们可以通过金融资产的买卖来分配实物资产的风险。 d．金融市场保证了公司经营权和所有权的分离。 ③代理问题 代理问题是指公司的管理者追求自己的利益而非公司的利益所产生的管理者与股东潜在的利益冲突。解决代理问题的管理机制有：期权等激励机制、通过董事会解雇管理者以及雇佣独立人士监控管理者。绩效差的公司通常面临着被收购的危机，这是一种外部的激励。 ④公司治理 公司治理危机包括会计丑闻、分析师丑闻和首次公开发行中的问题。 （2）投资过程 投资资产可以分为股票、债券、不动产、商品等。投资者在构建投资组合时，需要做出两类决策：资产配置决策和证券选择决策。资产配置决策是指投资者对这些资产大类的选择，证券选择决策是指在每一资产大类中选择特定的证券。 “自上而下”的投资组合构建方法是从资产配置开始的。一个自上而下的投资者首先会确定如何在大类资产之间进行配置，然后才会确定在每一类资产中选择哪些证券。 “自下而上”的投资组合构建方法是通过选择那些具有价格吸引力的证券而完成的，不需要过多地考虑资产配置。这种方法可能会使投资者无形中把赌注全投向经济的某一领域。但是，“自下而上”法确实可以使投资组合集中在那些最具投资吸引力的资产上。 （3）市场是竞争的 ①风险收益的权衡