投资学10版习题答案16
CHAPTER 16: MANAGING BOND PORTFOLIOS
PROBLEM SETS
1. While it is true that short-term rates are more volatile than
long-term rates, the longer duration of the longer-term bonds makes their prices and their rates of return more volatile. The higher duration magnifies the sensitivity to interest-rate changes.
2. Duration can be thought of as a weighted average of the
maturities of the cash flows paid to holders of the perpetuity, where the weight for each cash flow is equal to the present value of that cash flow divided by the total present value of all cash flows. For cash flows in the distant future, present value approaches zero (i.e., the weight becomes very small) so that these distant cash flows have little impact and, eventually, virtually no impact on the weighted average.
3. The percentage change in the bond’s price is:
7.1940.0050.0327 3.27%,1 1.10
D y y -
??=-?=-=-+ or a 3.27% decline
4. a.YTM = 6%
(1)
(2)
(3)
(4) (5) Time until Payment (Years) Cash Flow PV of CF (Discount Rate = 6%)
Weight
Column (1) Column (4) 1 $60.00 $56.60 0.0566 0.0566 2
60.00 53.40 0.0534 0.1068 3
1,060.00 890.00 0.8900 2.6700 Column sums $1,000.00
1.0000
2.8334
Duration = 2.833 years
b.YTM = 10%
(1) (2) (3) (4) (5)
Time until
Payment
(Years) Cash Flow
PV of CF
(Discount
Rate =
10%)
Weight
Column (1)
Column
(4)
1 $60.00 $54.55 0.0606 0.0606
2 60.00 49.59 0.0551 0.1102
3 1,060.00 796.39 0.884
4 2.6532
Column sums $900.53 1.0000 2.8240
Duration = 2.824 years, which is less than the duration at
the YTM of 6%.
5. For a semiannual 6% coupon bond selling at par, we use the following
parameters: coupon = 3% per half-year period, y = 3%, T = 6
semiannual periods.
(1) (2) (3) (4) (5)
Time until
Payment
(Years) Cash Flow
PV of CF
(Discount
Rate = 3%) Weight
Column (1)
Column
(4)
1 $3.00 $2.913 0.02913 0.02913
2 3.00 2.828 0.02828 0.05656
3 3.00 2.745 0.02745 0.08236
4 3.00 2.66
5 0.02665 0.10662
5 3.00 2.588 0.02588 0.12939
6 103.00 86.261 0.86261 5.17565
Column sums $100.000 1.00000 5.57971
D = 5.5797 half-year periods = 2.7899 years
If the bond’s yield is 10%, use a semiannual yield of 5% and semiannual coupon of 3%:
(1) (2) (3) (4) (5)
Time until
Payment
(Years) Cash Flow
PV of CF
(Discount
Rate = 5%) Weight
Column (1)
Column
(4)
1 $3.00 $2.857 0.03180 0.03180
2 3.00 2.721 0.03029 0.06057
3 3.00 2.592 0.0288
4 0.08653
4 3.00 2.468 0.02747 0.10988
5 3.00 2.351 0.0261
6 0.13081
6 103.00 76.860 0.85544 5.13265
Column sums $89.849 1.00000 5.55223
D= 5.5522 half-year periods = 2.7761 years
6.If the current yield spread between AAA bonds and Treasury bonds is
too wide compared to historical yield spreads and is expected to narrow, you should shift from Treasury bonds into AAA bonds. As the spread narrows, the AAA bonds will outperform the Treasury
bonds. This is an example of an intermarket spread swap.
7. D. Investors tend to purchase longer term bonds when they expect
yields to fall so they can capture significant capital gains,
and the lack of a coupon payment ensures the capital gain will
be even greater.
8. a. Bond B has a higher yield to maturity than bond A since its
coupon payments and maturity are equal to those of A, while
its price is lower. (Perhaps the yield is higher because of
differences in credit risk.) Therefore, the duration of
Bond B must be shorter.
b. Bond A has a lower yield and a lower coupon, both of which
cause Bond A to have a longer duration than Bond B. Moreover,
A cannot be called, so that its maturity is at least as long
as that of B, which generally increases duration.
9. a.
(1) (2) (3) (4) (5)
Time until
Payment
(Years) Cash Flow
PV of CF
(Discount Rate
= 10%) Weight
Column (1)
Column
(4)
1 $10
million $9.09 million 0.7857 0.7857
5 4 million 2.48 million 0.2143 1.0715
Column sums $11.57
million 1.0000 1.8572
D = 1.8572 years = required maturity of zero coupon bond.
b.The market value of the zero must be $11.57 million, the
same as the market value of the obligations. Therefore, the
face value must be:
$11.57 million (1.10)1.8572 = $13.81 million
10 In each case, choose the longer-duration bond in order to
benefit from a rate decrease.
a. ii. The Aaa-rated bond has the lower yield to maturity and
therefore the longer duration.
b. i. The lower-coupon bond has the longer duration and
greater de facto call protection.
c. i. The lower coupon bond has the longer duration.
11. The table below shows the holding period returns for each of the
three bonds:
Maturity 1 Year 2 Years 3 Years YTM at beginning of year 7.00% 8.00% 9.00%
Beginning of year prices $1,009.3$1,000.0$974.69
Prices at year-end (at 9% $1,000.0$990.83 $982.41
Capital gain –$9.35 –$9.17 $7.72
Coupon $80.00 $80.00 $80.00
1-year total $ return $70.65 $70.83 $87.72
1-year total rate of 7.00% 7.08% 9.00%
You should buy the three-year bond because it provides a 9%
holding-period return over the next year, which is greater than the return on either of the other bonds.
12. a. PV of the obligation = $10,000 Annuity factor (8%, 2) =
$17,832.65
(1) (2) (3) (4) (5)
Time until Payment (Years) Cash Flow PV of CF (Discount Rate = 8%)
Weight
Column (1) Column (4) 1 $10,000.00 $9,259.259 0.51923 0.51923 2
10,000.00 8,573.388 0.48077 0.96154 Column sums $17,832.647
1.00000
1.48077
D = 1.4808 years
b.
A zero-coupon bond maturing in 1.4808 years would immunize the obligation. Since the present value of the zero-coupon bond must be $17,832.65, the face value (i.e., the future redemption value) must be
$17,832.65 × 1.081.4808 = $19,985.26
c. If the interest rate increases to 9%, the zero-coupon bond
would decrease in value to
92.590,17$09
.126
.985,19$4808
.1= The present value of the tuition obligation would decrease to $17,591.11
The net position decreases in value by $0.19
If the interest rate decreases to 7%, the zero-coupon bond would increase in value to
99.079,18$07.126
.985,19$4808
.1=
The present value of the tuition obligation would increase to $18,080.18
The net position decreases in value by $0.19
The reason the net position changes at all is that, as the interest rate changes, so does the duration of the stream of tuition payments.
13. a. PV of obligation = $2 million/0.16 = $12.5 million
Duration of obligation = 1.16/0.16 = 7.25 years
Call w the weight on thefive-year maturity bond (which has duration of fouryears). Then
(w× 4) + [(1 –w) × 11] = 7.25 w = 0.5357
Therefore: 0.5357 × $12.5 = $6.7 million in the 5-year bond
and
0.4643 × $12.5 = $5.8 million in the 20-year bond.
b. The price of the 20-year bond is
[$60 × Annuity factor (16%, 20)] + [$1,000 × PV factor (16%,
20)] = $407.12
Alternatively, PMT = $60; N = 20; I = 16; FV = $1,000; solve
for PV = $407.12.
Therefore, the bond sells for 0.4071 times its par value,
and
Market value = Par value × 0.4071
$5.8 million = Par value × 0.4071 Par value = $14.25
million
Another way to see this is to note that each bond with
par value $1,000 sells for $407.12. If total market value
is $5.8 million, then you need to buy approximately
14,250 bonds, resulting in total par value of $14.25
million.
14. a. The duration of the perpetuity is: 1.05/0.05 = 21 years
Call w the weight of the zero-coupon bond. Then
(w× 5) + [(1 –w) ×21] = 10 w = 11/16 = 0.6875
Therefore, the portfolio weights would be as follows: 11/16
invested in the zero and 5/16 in the perpetuity.
b. Next year, the zero-coupon bond will have a duration of 4
years and the perpetuity will still have a 21-year duration.
To obtain the target duration of nine years, which is now
the duration of the obligation, we again solve for w:
(w × 4) + [(1 –w) ×21] = 9 w = 12/17 = 0.7059
So, the proportion of the portfolio invested in the zero increases to 12/17 and the proportion invested in the perpetuity falls to 5/17.
15. a. The duration of the annuity if it were to start in oneyear
would be
(1)
(2)
(3) (4) (5) Time until Payment (Years)
Cash Flow
PV of CF
(Discount
Rate =
10%)
Weight
Column (1) × Column (4) 1 $10,000 $9,090.909 0.14795 0.14795 2 10,000 8,264.463 0.13450 0.26900 3 10,000 7,513.148 0.12227 0.36682 4 10,000 6,830.135 0.11116 0.44463 5 10,000 6,209.213 0.10105 0.50526 6 10,000 5,644.739 0.09187 0.55119 7 10,000 5,131.581 0.08351 0.58460 8 10,000 4,665.074 0.07592 0.60738 9 10,000 4,240.976 0.06902 0.62118 10 10,000 3,855.433
0.06275 0.62745 Column sums $61,445.671
1.00000
4.72546
D = 4.7255 years
Because the payment stream starts in five years, instead of one year, we add four years to the duration, so the duration is 8.7255 years.
b. The present value of the deferred annuity is
968,41$10
.1)
10%,10(factor Annuity 000,104
=? Alternatively, CF 0 = 0; CF 1 = 0; N = 4; CF 2 = $10,000; N = 10; I = 10; Solve for NPV = $41,968.
Call w the weight of the portfolio invested in the five-year zero. Then
(w × 5) + [(1 – w ) × 20] = 8.7255
w = 0.7516
The investment in the five-year zero is equal to
国际投资学教程课后题答案完整版
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Essentials Of Investments 8th Ed Bodie 投资学精要(第八版)课后习题答案chap04
CHAPTER 04 MUTUAL FUNDS AND OTHER INVESTMENT COMPANIES 1.Mutual funds offer many benefits. Some of those benefits include the ability to invest with small amounts of money, diversification, professional management, low transaction costs, tax benefits, and reduce administrative functions. 2.Close-end funds trade on the open market and are thus subject to market pricing. Open- end funds, are sold by the mutual fund and must reflect the NAV of the investments. 3.Annual fees charged by a mutual fund to pay for marketing and distribution costs. 4. A unit investment trust is an unmanaged mutual fund. Its portfolio is fixed and does not change due to asset trades, as does a close-end fund. . 5.Exchange-traded funds can be traded during the day, just as the stocks they represent. They are most tax effective, in that they do not have as many distributions. They also have much lower transaction costs. They also do not require load charges, management fees, and minimum investment amounts. 6.Hedge funds have much less regulation since they are part of private partnerships and free from mist SEC regulation. They permit investors to take on many risks unavailable to mutual funds. Hedge funds, however, may require higher fees and provide less transparency to investors. This offers significant counter party risk and hedge fund investors need to be more careful about the firm the invest with. 7.An open-end fund will have higher fees since they are actively marketing and managing their investor base. The fund is always looking for new investors. A unit investment trust need not spend too much time on such matters since investors find each other. 8.Asset allocation funds may dramatically vary the proportions allocated to each market in accord with the portfolio manager’s forecast of the r elative performance of each sector. Hence, these funds are engaged in market timing and are not designed to be low-risk investment vehicles. 9. a. A unit investment trusts offer low costs and stable portfolios. Since they do not change their portfolio, the investor knows exactly what they own. They are better suited to sophisticated investors. b. Open-end mutual funds offer higher levels of service to investors. The investors do not have any administrative burdens and their money is actively managed. This is better suited for less knowledgeable investors. c. Individual securities offer the most sophisticated investors ultimate flexibility. They are able to save money since they are only charged the expenses they incur. All decisions are under the control of the investor.
《投资学》练习题及答案
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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)
【投资学精要答案2
第1 4章债券的价格与收益 1、完全预期理论,市场分割理论和流动性偏好理论是怎样解释利率的期限结构的? 1、无偏预期理论（纯预期理论） 无偏预期理论：认为在市场均衡条件下，远期利率代表了对市场未来时期的即期利率的预期。 1）向上倾斜的收益率曲线意味着市场预期未来的短期利率会上升 2）向下倾斜的收益率曲线是市场预期未来的短期利率将会下降； 3）水平型收益率曲线是市场预期未来的短期利率将保持稳定； 4）峰型的收益率曲线则是市场预期较近的一段时期短期利率会上升，而在较远的将来，市场预期的短期利率将会下降。 2、流动性偏好理论 流动性偏好理论认为：投资者是厌恶风险的，由于债券的期限越长，利率风险就越大。因此，在其它条件相同的情况下，投资者偏好期限更短的债券。 流动性偏好理论对收益率曲线的解释 1）水平型收益率曲线：市场预期未来的短期利率将会下降，且下降幅度恰等于流动性报酬。 2）向下倾斜的收益率曲线：市场预期未来的短期利率将会下降，下降幅度比无偏预期理论更大。 3）向上倾斜的收益率曲线：市场预期未来的短期利率既可能上升、也可能不变。 3、市场分割理论认为：由于法律制度、文化心理、投资偏好的不同，投资者会比较固定地投资于某一期限的债券，这就形成了以期限为划分标志的细分市场。 即期利率水平完全由各个期限的市场上的供求力量决定，单个市场上的利率变化不会对其它市场上的供求关系产生影响。即使投资于其它期限的市场收益率可能会更高，但市场上的交易者不会转而投资于其它市场。 市场分割理论对收益率曲线的解释： 1）向下倾斜的收益率曲线：短期债券市场的均衡利率水平高于长期债券市场的均衡利率水平； 2）向上倾斜的收益率曲线：短期债券市场的均衡利率水平低于长期债券市场的均衡利率水平； 3）峰型收益率曲线：中期债券收益率最高；4）水平收益率曲线：各个期限的市场利率水平基本不变。 6. 菲利普·莫里斯公司将发行一种1 0年期固定收益的债券，它的条款中包括设立偿债基金以及再 融资或赎回保护等条款。 a. 试描述一下偿债基金条款。 b. 解释一下偿债基金条款对以下两项的影响： i. 此证券的预期平均有效期。ii. 此证券在有效期内的总的本金与利息支付。 c. 从投资者的角度，解释一下为什么需要偿债基金条款？ 答：a. 偿债基金条款可以对债券进行提前强制赎回。该条款可以规定在一定时间内赎回债券的数量或比例。偿债基金可以在一证券的有效期内赎回全部或部分证券。 b. (i) 与没有偿债基金的债券相比较，偿债基金缩短了整个发行债券的平均有效期，因为其中的一部分债券在规定的到期日之前已经被赎回了。 (ii) 公司在发行证券的整个有效期内支付的本金总额相同，尽管支付时间会受时机选择的影响。如果提前赎回本金，与证券有关的总的利息支付将减少。 c. 从投资者的角度看，要求建立偿债基金的主要原因在于减少信用风险。有顺序地赎回到期债券以减少违约风险。 22.对于零息债券来说，既定的到期收益率和实际的复利收益率总相等。为什么？ 零息票债券不提供可用于再投资的息票利息。因此，投资者最终从债券获得的收入与息票利息再投资利率无关(如果支付了息票的话)。没有再投资利率的不确定性。 28. a. 试说明在发行一种债券时，附加提前回购的条款对债券的收益率会产生什么影响。 b. 试说明在发行一种债券时，附加提前回购条款对债券的预期期限会有何影响。 c. 试说明一个资产组合中如果包含一可回购的债券，会有何利弊？
上财投资学教程第1章习题答案
习题集第一章 判断题 1.在中国证券市场上发行股票可以以低于面值的价格折价发行。（F） 2.股东不能直接要求发行人归还股本，只能通过二级市场与其他投资者交易获 得资金。（T） 3.债权人与股东一样，有参与发行人经营和管理决策的权利。（F） 4.通常情况下，证券收益性与风险性成正比。（T） 5.虚拟投资与实际投资相同，二者所产生的价值均能计入社会经济总量。（F） 6.一般而言，政府为了调控宏观经济情况，可以直接进入证券市场从事证券的 买卖。（F） 7.我国的银行间债券市场属于场外市场。（T） 8.中国政府在英国发行、以英镑计价的债券称为欧洲债券。（F） 9.优先股股东一般不能参加公司的经营决策。目前中国公司法规定公司可以发 行优先股。（F） 10.中国股票市场目前交易方式有现货交易、信用交易、期货交易和期权交易。 （F） 11.金融期货合约是规定在将来某一确定时间，以确定价格购买或出售某项金融 资产的标准化合约，不允许进行场外交易。（T） 12.中国的主板市场集中在上海证券交易所和深圳证券交易所。其中上海证券交 易所集主板、中小企业板和创业板于一体的场内交易市场。 13.中国创业板采用指令驱动机制，属于场内交易市场。（T） 14.中国证监会是依照法律法规，对证券期货市场的具体活动进行监管的国务院 直属单位。（T） 15.中国证券业协会是营利性社会团体法人。（F） 16.有价证券即股票，是具有一定票面金额，代表财产所有权，并借以取得一定 收入的一种证书。（F） 17.证券发行市场，又称为证券初级市场、一级市场。主要由发行人、投资者和 证券中介机构组成。（T） 18.在中国，场内交易采用经纪制进行，投资者必须委托具有会员资格的证券经 纪商在交易所内代理买卖证券。（T） 19.保护投资者的利益，关键是要建立公平合理的市场环境，使投资者能在理性 的基础上，自主地决定交易行为。（T） 20.我国股票发行实行核准制并配之以发行审核制度和保荐人制度。（T） 21.目前，我国法律规定地方政府不能擅自发行地方政府债。（F） 22.政府机构债券的信用由中央政府担保，其还款可由中央政府来承担。（F） 23.商业银行不同于普通的市场中介，它通过分别与资金供求双方签订存款和贷 款契约，形成资金供应链中的一个环节。（T） 24.由于与某上市公司存在合作关系，金马信用评级有限公司在评级报告中提高 了对该公司的信用等级。（F） 25.天利会计事务所对某公司客观评价其财务状况，导致该公司不符合上市要 求，无法顺利上市。（T） 26.金融远期合约是规定签约者在将来某一确定的时间按规定的价格购买或出 售某项资产的协议。假如互换合约中规定的交换货币是同种货币，则为利率互换；是异种货币，则为货币互换。（F）
投资学精要英语(essenfial of investment )计算分析题
1. Consider the three stocks in the following table. P represents prices at time t ,and Q represents shares outstanding at time t. STOCK C splits two-for-one in the last period. P0 Q0 P1 Q1 P2 Q2 A 90 100 95 100 95 100 B 50 200 45 200 45 200 C 100 200 110 200 55 400 a.calculate the rate of return on a price-weighted index of the three stocks for the first period(t=0 to t=1). 答案：At t = 0, the value of the index is: (90 + 50 + 100)/3 = 80 At t = 1, the value of the index is: (95 + 45 + 110)/3 = 83.3333 The rate of return is: (83.3333/80) – 1 = 4.167% b.What must happen to the divisor for the price-weight index in year 2? 答案：In the absence of a split, stock C would sell for 110, and the value of the index would be: (95 + 45 + 110)/3 = 83.3333 After the split, stock C sells at 55. Therefore, we need to set the divisor (d) such that: 83.3333 = (95 + 45 + 55)/d…..d = 2.340 c.Calculate the rate of return of the price-weighted index for the second period (t=1 to t=2). 答案：The rate of return is zero. The index remains unchanged, as it should, since the return on each stock separately equals zero. 2. using the data in the precious problem, calculate the first period rates of return on the following indexes of the three stocks: a. a market value-weight index. 答案：Total market value at t = 0 is: (9,000 + 10,000 + 20,000) = 39,000 Total market value at t = 1 is: (9,500 + 9,000 + 22,000) = 40,500 Rate of return = (40,500/39,000) – 1 = 3.85% b. an equally weighted index. 答案：The return on each stock is as follows:R a = (95/90) – 1 = 0.0556 R b = (45/50) – 1 = –0.10 R c = (110/100) – 1 = 0.10 The equally-weighted average is: [0.0556 + (-0.10) + 0.10]/3 = 0.0185 = 1.85% 3. suppose you short sell 100 shares of IBM, now selling at $120 per share. a. what is your maximum possible loss? 答案：In principle, potential losses are unbounded, growing directly with increases in the price of IBM. b. what happens to the maximum loss if you simultaneously place a stop-buy order at $128. 答案：If the stop-buy order can be filled at $128, the maximum possible loss per share is $8. If the price of IBM shares go above $128, then the stop-buy order would be executed, limiting the losses from the short sale.
证券投资学课后习题答案总结
第一章股票 1、什么是股份制度？它的主要功能有哪些？ 答：股份制度亦称股份公司制度，它是指以集资入股、共享收益、共担风险为特点的企业组织制度。股份公司一般以发行股票的方式筹集股本，股票投资者依据他们所提供的生产要素份额参与公司收益分配。在股份公司中，各个股东享有的权利和义务与他们所提供的生产要素份额相对应。功能：一、筹集社会资金；二、改善和强化企业的经营管理。 2、什么是股票？它的主要特性是什么？ 答：股票是股份有限公司发行的，表示其股东按其持有的股份享受权益和承担义务的可转让的书面凭证。股票作为股份公司的股份证明，表示其持有者在公司的地位与权利，股票持有者为公司股东. 特性：1 、不可返还性2、决策性3、风险性4、流动性5、价格波动性6、投机性 3、普通股和优先股的区别？ 答：普通股是构成股份有限公司资本基础股份，是股份公司最先发行、必须发行的股票，是公司最常见、最重要的股票，也是最常见的股票。其权利为：1、投票表决权2、收益分配权3、资产分配权4、优先认股权。对公司优先股在股份公司中对公司利润、公司清理剩余资产享有的优先分配权的股份。第一是领取股息优先。第二是分配剩余财产优先。优先股不利一面：股息率事先确定；无选举权和被选举权，无对公司决策表决权；在发放新股时，无优先认股权。 有利一面：投资者角度:收益固定，风险小于普通股，股息高于债券收益；筹资公司发行角度：股息固定不影响公司利润分配，发行优先股可以广泛的吸收资金，不影响普通股东经营管理权。 4、我国现行的股票类型有哪些？ 答：我国现行的股票按投资主体不同有国有股、法人股、公众股和外资股。 国有股是有权代表国家投资的部门或机构以国有资产向公司投资形成的股份，包括公司现有的国有资产折算的股份。 法人股是指企业法人或具有法人资格的事业单位和社会团体以其依法可支配的资产向股份有限公司非上市流通股权部分投资所形成的股份。 公众股即个人股，指社会个人或股份公司内部职工以个人合法财产投入公司形成的股份。 外资股指股份公司向外国和我国香港、澳门、台湾地区投资者发行的股票。 第二章债券 1、什么是债券？它必须具备哪三个条件？ 答：债券是发行者依法定程序发行，并约定在一定期限内还本付息的有价证券，是表明投资者与筹资者之间债权债务关系的书面债务凭证。 具备以下三个条件：1、必须可以按照同一权益和同一票面记载事项，同时向众多投资者发行；2、必须在一定期限内偿还本金，并定期支付利息；3、在国家金融政策允许条件下，必须能按照持券人的需要自由转让。 2、债券的基本特性？ 答：1、权利性：利息请求权、偿还本金请求权、财产索取权、其他权利。2、有期性3、灵活性4、稳定性 3、债券与股票的区别？ 答：（1）性质上，债券表示债券持有人对公司的债权，无参加经营管理的权利；股票表示对公司所有权，有参加经营管理的权利 （2）发行目的上，股票是为了筹集公司资本的需要，追加资金列入资本；债券是追加资金的需要，追加资金列入负债。 （3）获得报酬时间，债券获得报酬优先于股票。
投资学精要 博迪 第八版 chapter3
CHAPTER 03 SECURITIES MARKETS 1.An IPO is the first time a formerly privately owned company sells stock to the general public. A seasoned issue is the issuance of stock by a company that has already undergone an IPO. 2.The effective price paid or received for a stock includes items such as bid-ask spread, brokerage fees, commissions, and taxes (when applicable). These reduce the amount received by a seller and increase the cost incurred by a seller. 3.The primary market is the market for new issues of securities, while the secondary market is the market for already-existing securities. Corporations sell stock in the primary market, while investors purchase stock from other investors in the secondary market. 4.One source of the specialist’s income is frequent trading at the bid and ask prices, with the spread as a trading profit. Since the specialist also takes a position in securities and maintains the ultimate diary of buys and sells, the trader has the ability to profit by trading on information not available to others. 5.When a firm as a willing buyer of securities and wishes to avoid the extensive time and cost associated with preparing a public issue, they may issues shares privately. 6. A stop order is a trade is not to be executed unless stock hits a price limit. The stop-loss is used to limit losses when prices are falling. An order specifying a price at which an investor is willing to buy or sell a security is a limit order, while a market order directs the broker to buy or sell at whatever price is available in the market. 7.Block orders are the buying and selling or large quantities of stock, usually by institutional investors. The advent of electronic trading now permits trades to be broken into smaller units, thus avoiding the negative impact on prices usually experience by block trades. 8.Underwriters purchase securities from the issuing company and resell them. A prospectus is a description of the firm and the security it is issuing. 9.Margin is a type of leverage that allows investors to post only a portion of the value of the security they purchase. As such, when the price of the security rises or falls, the gain or loss represents a much higher percentage, relative to the actual money invested.
投资学精要答案1
第一投资环境 1.7 债券发行是拆开的，这样有的投资者只能获得利息，有的投资者只能获得本金，这叫做----分类定价，是允许投资者有多种选择的金融工程中的一种。 2.代理问题是发生在管理层和股东之间的潜在的冲突，而其他问题只发生在公司的管理层内 部。 3.货币市场基金是一场金融革命，它部分是来源于规避-----的需要。 Q条款限制银行可以付给储户的利息总量，货币市场基金不在Q条款的限制范围之内，所以可以支付更高一些的利息。尽管Q条款已经不存在了，但货币市场基金仍然流行 4.金融中介把借款人和贷款人联系到一起 5.投资银行的一个重要的角色就是担任中间人，它帮助公司在市场上安排新股发行 6.金融资产只能间接影响国家的生产能力，因为这些资产允许个人投资到公司和政府。这就会促使公司和政府提高生产能力 7.通过设立抵押过手证券销售抵押投资组合是_ 的一个例子，证券化 8.场外市场由自己拥有证券的交易商将买主和卖主聚集到一起，通过价差来获利。交易商市场 需要筹资的公司付一定的费用雇一家保 9.险公司来将保险公司的商誉置于自己的商誉之后，这种情况叫做。(信用增益 10.管理层通常控制着董事会或持有相当比例的股票。使管理层保持警觉的最好的方法是表现不佳的公司将被收购的威胁 11.欧洲美元的特征是。( E ) a. 存在外国银行中的美元 b. 不受Q条款约束的美元 c. 存在可以免除准备金要求的银行的美元 12.直接搜索市场是专项货物的偶发性市场。经纪人市场包括批量交易和初级市场交易，它 对个体交易者来说是较难进入的。大多数的个体证券交易发生在拍卖市场或者是交易商市场 问答题 1. 详细讨论代理问题。( M ) 2. 讨论各种类型的证券市场。区分资产的首次出售和后续出售，区分不同市场的中间人。( M ) 3. 区分公司和个人的资产负债表上的不动产和金融资产。( M ) 1. 管理者是股东的代理人，应该代表股东的利益并使股东的财富(即股票价值)最大化。当他们为 自己的利益采取行动而损害股东的利益时就产生了冲突(代理冲突)。由股东选举的董事会中董事的任 务就是监督管理层并且使代理问题最小化。但是，实际上，这些董事经常是名义领袖，而且个体股东 没有足够的股份可以对抗管理层的行动。当无能的管理层的行为导致股票价格的下降时，产生出解决 代理问题的一种可行方法。此时，这家公司可能会成为收购目标。如果收购成功，管理人员很可能会 被替换掉，而且股东有可能潜在地获利。 理由：这道题的目的是用来考察学生对股东、管理层和董事会之间联系的理解 2. 资产在初级市场被初次销售，发行公司收到销售净收入。同一资产的每一次后续销售都发生在 次级市场，从二次销售中得到的收入由卖主获得而不是由原始发行者获得。投资银行家通常使在初级 市场上销售的操作便利化，各种有组织的兑换和场外交易市场是次级市场的例子。 经纪人市场是指中间人不持有资产，只是将买主和卖主聚集到一起，以佣金为收入的市场，有组 织的交换主要指经纪人市场。
投资学第10版课后习题答案
CHAPTER 7: OPTIMAL RISKY PORTFOLIOS PROBLEM SETS 1. (a) and (e). Short-term rates and labor issues are factors that are common to all firms and therefore must be considered as market risk factors. The remaining three factors are unique to this corporation and are not a part of market risk. 2. (a) and (c). After real estate is added to the portfolio, there are four asset classes in the portfolio: stocks, bonds, cash, and real estate. Portfolio variance now includes a variance term for real estate returns and a covariance term for real estate returns with returns for each of the other three asset classes. Therefore, portfolio risk is affected by the variance (or standard deviation) of real estate returns and the correlation between real estate returns and returns for each of the other asset classes. (Note that the correlation between real estate returns and returns for cash is most likely zero.) 3. (a) Answer (a) is valid because it provides the definition of the minimum variance portfolio. 4. The parameters of the opportunity set are: E (r S ) = 20%, E (r B ) = 12%, σS = 30%, σB = 15%, ρ = From the standard deviations and the correlation coefficient we generate the covariance matrix [note that (,)S B S B Cov r r ρσσ=??]: Bonds Stocks Bonds 225 45 Stocks 45 900 The minimum-variance portfolio is computed as follows: w Min (S ) =1739.0) 452(22590045 225)(Cov 2)(Cov 2 22=?-+-=-+-B S B S B S B ,r r ,r r σσσ w Min (B ) = 1 = The minimum variance portfolio mean and standard deviation are:
Essentials_Of_Investments_8th_Ed_Bodie_投资学精要(第八版)课
Chapter 04 Mutual Funds and Other Investment Companies Mutual funds offer many benefits Some of those benefits include the ability to invest with small amounts of money diversification professional management low transaction costs tax benefits and reduce administrative functions Close-end funds trade on the open market and are thus subject to market pricing Open-end funds are sold by the mutual fund and must reflect the NAV of the investments Annual fees charged by a mutual fund to pay for marketing and distribution costs A unit investment trust is an unmanaged mutual fund Its portfolio is fixed and does not change due to asset trades as does a close-end fund Exchange-traded funds can be traded during the day just as the stocks they represent They are most tax effective in that they do not have as many distributions They also have much lower transaction costs They also do not require load charges management fees and minimum investment amounts Hedge funds have much less regulation since they are part of private partnerships and free from mist SEC regulation They permit investors to take on many risks unavailable to mutual funds Hedge funds however may require higher fees and provide less transparency to investors This offers