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

transactions and

well-developed media particularly financial reporting

These characteristics are found in indeed make for a well-developed financial market

3 Securitization leads to disintermediation that is securitization provides a means for market participants to bypass intermediaries For example mortgage-backed securities channel funds to the housing market without requiring that banks or thrift institutions make loans from their own portfolios As securitization progresses financial intermediaries must increase other activities such as providing short-term liquidity to consumers and small business and financial services

4 Financial assets make it easy for large firms to raise the capital needed to finance their investments in real assets If General Motors for example could not issue stocks or bonds to the general public it would have a far more difficult time raising capital Contraction of the supply of financial assets would make financing more difficult thereby increasing the cost of capital A higher cost of capital results in less investment and lower real growth

5 Even if the firm does not need to issue stock in any particular year the stock market is still important to the financial manager The stock price provides important information about how the market values the firms investment projects For example if the stock price rises considerably managers might conclude that the market believes the firms future prospects are bright This might be a useful signal to the firm to proceed with an investment such as an expansion of the firms business

In addition the fact that shares can be traded in the secondary market makes the shares more attractive to investors since investors know that when they wish to they will be able to sell their shares This in turn makes investors more willing to buy shares in a primary offering and thus improves the terms on which firms can raise money in the equity market

6 a Cash is a financial asset because it is the liability of the federal government

b No The cash does not directly add to the productive capacity of the economy

c Yes

d Society as a whol

e is worse of

f since taxpayers as a group will make up for the liability

7 a The bank loan is a financial liability for Lanni Lannis IOU is the banks financial asset The cash Lanni receives is a financial asset The new financial asset created is Lannis promissory note that is Lannis IOU to the bank

b Lanni transfers financial assets cash to the software developers In return Lanni gets a real asset the completed software No financial assets are created or destroyed cash is simply transferred from one party to another

c Lanni gives the real asset the software to Microsoft in exchange for a financial asset 1500 shares of Microsoft stock If Microsoft issues new shares in order to pay Lanni then this woul

d represent th

e creation o

f new financial assets

d Lanni exchanges on

e financial asset 1500 shares o

f stock for another 120000 Lanni gives a financial asset 50000 cash to the bank and gets back another financial asset its IOU The loan is "destroyed" in the transaction since it

is retired when paid off and no longer exists

8 a

Assets Liabilities

Shareholders equity Cash 70000 Bank loan

50000 Computers 30000 Shareholders equity 50000 Total 100000 Total 100000 Ratio of real assets to total assets 30000100000 030

b

Assets Liabilities

Shareholders equity Software product 70000

Bank loan 50000 Computers 30000

Shareholders equity 50000 Total 100000

Total 100000 Valued at cost

Ratio of real assets to total assets 100000100000 10 c

Assets Liabilities

Shareholders equity Microsoft shares 120000

Bank loan 50000 Computers 30000

Shareholders equity 100000 Total 150000

Total 150000 Ratio of real assets to total assets 30000150000 020

Conclusion when the firm starts up and raises working capital it is characterized by a low ratio of real assets to

total assets When it is in full production it has a high ratio of real assets to total assets When the project "shuts down" and the firm sells it off for cash financial assets once again replace real assets

9 For commercial banks the ratio is 1075104109 0010

For non-financial firms the ratio is 1329525164 0528 The difference should be expected primarily because the bulk of the business of financial institutions is to make loans which are financial assets for financial institutions

10 a Primary-market transaction

b Derivative assets

c Investors who wish to hol

d gold without th

e complication and cost o

f physical storage

11 a A fixed salary means that compensation is at least in the short run independent of the firms success This salary structure does not tie the managers immediate compensation to the success of the firm However the manager might view this as the safest compensation structure and therefore value it more highly

b A salary that is paid in the form of stock in the firm means that the manager earns the most when the shareholders wealth is imized This structure is therefore most likely to align the interests of managers and shareholders If stock compensation is overdone however the manager might view it as overly risky since the managers career is already linked to the firm and this undiversified exposure would be exacerbated with a large stock position in the firm

c Call options on shares of the firm create great incentives for managers to contribute to the firms success In some cases however stock options can lea

d to other agency problems For exampl

e a manager with numerous call options might be tempted to take on a very risky investment project reasoning that i

f the project succeeds the payoff will be huge while if it fails the losses are limited to the lost value of the options Shareholders in contrast bear the losses as well

as the gains on the project and might be less willing to assume that risk

12 Even if an individual shareholder could monitor and improve managers performance and thereby increase the value of the firm the payoff would be small since the ownership share in a large corporation would be very small For example if you own 10000 of GM stock and can increase the value of the firm by 5 a very ambitious goal you benefit by only 005 10000 500 In contrast a bank that has a multimillion-dollar loan outstanding to the firm has a big stake in making sure that the firm can repay the loan It is clearly worthwhile for the bank to spend considerable resources to monitor the firm

13 Mutual funds accept funds from small investors and invest on behalf of these investors in the national and international securities markets

Pension funds accept funds and then invest on behalf of current and future retirees thereby channeling funds from one sector of the economy to another

Venture capital firms pool the funds of private investors and invest in start-up firms

Banks accept deposits from customers and loan those funds to businesses or use the funds to buy securities of large

corporations

14 Treasury bills serve a purpose for investors who prefer a low-risk investment The lower average rate of return compared to stocks is the price investors pay for predictability of investment performance and portfolio value

15 With a top-down investing style you focus on asset allocation or the broad composition of the entire portfolio which is the major determinant of overall performance Moreover top-down management is the natural way to establish a portfolio with a level of risk consistent with your risk tolerance The disadvantage of an exclusive emphasis on top-down issues is that you may forfeit the potential high returns that could result from identifying and concentrating in undervalued securities or sectors of the market With a bottom-up investing style you try to benefit from identifying undervalued securities The disadvantage is that you tend to overlook the overall composition of your portfolio which may result in a non-diversified portfolio or a portfolio with a risk level inconsistent with your level of risk tolerance In addition this technique tends to require more active management thus generating more transaction costs Finally your analysis may be incorrect in which case you will have fruitlessly expended effort and money attempting to beat a simple buy-and-hold strategy

16 You should be skeptical If the author actually knows how to achieve such returns one must question why the author would then be so ready to sell the secret to others Financial

markets are very competitive one of the implications of this fact is that riches do not come easily High expected returns require bearing some risk and obvious bargains are few and far between Odds are that the only one getting rich from the book is its author

17 a The SEC website defines the difference between saving and investing in terms of the investment alternatives or the financial assets the individual chooses to acquire According to the SEC website saving is the process of acquiring a safe financial asset and investing is the process of acquiring risky financial assets

b The economists definition of savings is the difference between income and consumption Investing is the process of allocating ones savings among available assets both real assets and financial assets The SEC definitions actually represent according the economists definition two kinds of investment alternatives

18 As is the case for the SEC definitions see Problem 17 the SIA defines saving and investing as acquisition of alternative kinds of financial assets According to the SIA saving is the process of acquiring safe assets generally from a bank while investing is the acquisition of other financial

assets such as stocks and bonds On the other hand the definitions in the chapter indicate that saving means spending less than ones income Investing is the process of allocating ones savings among financial assets including savings account deposits and money market accounts saving according to the SIA other financial assets such as stocks and bonds investing according to the SIA as well as real assets

CHAPTER 2 ASSET CLASSES AND

FINANCIAL INSTRUMENTS

PROBLEM SETS

1 Preferred stock is like long-term debt in that it typically promises a fixed payment each year In this way it is a perpetuity Preferred stock is also like long-term debt in that it does not give the holder voting rights in the firm Preferred stock is like equity in that the firm is under no contractual obligation to make the preferred stock dividend payments Failure to make payments does not set off corporate bankruptcy With respect to the priority of claims to the assets of the firm in the event of corporate bankruptcy preferred stock has a higher priority than common equity but a lower priority than bonds

2 Money market securities are called cash equivalents

because of their great liquidity The prices of money market securities are very stable and they can be converted to cash ie sold on very short notice and with very low transaction costs

3 The spread will widen Deterioration of the economy increases credit risk that is the likelihood of default Investors will demand a greater premium on debt securities subject to default risk

4 On the day we tried this experiment 36 of the 50 stocks met this criterion leading us to conclude that returns on stock investments can be quite volatile

5 a You would have to pay the asked price of

11831 11896875 of par 11896875

b The coupon rate is 11750 implying coupon payments of 11750 annually or more precisely 5875 semiannually Current yield Annual coupon incomeprice

1175011896875 00988 988

6 P 10000102 980392

7 The total before-tax income is 4 After the 70 exclusion for preferred stock dividends the taxable income is 030 4 120

Therefore taxes are 030 120 036

After-tax income is 400 – 036 364

Rate of return is 3644000 910

8 a General Dynamics closed today at 7459 which was 017 higher than yesterdays price Yesterdays closing price was 7442

b You could buy 50007459 6703 shares

c Your annual dividen

d incom

e would be 6703 092 6167

d Th

e price-to-earnings ratio is 16 and the price is 7459 Therefore

7459Earnings per share 16 Earnings per share 466

9 a 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 83333 The rate of return is 8333380 1 417

In the absence of a split Stock C would sell for 110 so the value of the index would be 2503 83333

After the split Stock C sells for 55 Therefore we need to find the divisor d such that

83333 95 45 55 d d 2340

c The return is zero The index remains unchange

d because

the return for each stock separately equals zero

10 a Total market value at t 0 is 9000 10000 20000 39000

Total market value at t 1 is 9500 9000 22000 40500

Rate of return 4050039000 – 1 385

The return on each stock is as follows

rA 9590 – 1 00556

rB 4550 – 1 –010

rC 110100 – 1 010

The equally-weighted average is

[00556 -010 010]3 00185 185

11 The after-tax yield on the corporate bonds is 009 1

– 030 00630 630

Therefore municipals must offer at least 630 yields

12 Equation 22 shows that the equivalent taxable yield is r rm 1 – t

a 400

b 444

c 500

d 571

13 a The higher coupon bond

b The call with the lower exercise price

c The put on the lower price

d stock

14 a You bought the contract when the futures price was 142750 see Figure 212 The contract closes at a price of 1300 which is 12750 less than the original futures price The contract multiplier is 250 Therefore the loss will be

12750 250 31875

b Open interest is 601655 contracts

15 a Since the stock price exceeds the exercise price you will exercise the call

The payoff on the option will be 42 40 2

The option originally cost 214 so the profit is 200 214

014

Rate of return 014214 00654 654

b If the call has an exercise price of 4250 you would not exercise for any stock price of 4250 or less The loss on the call would be the initial cost 072

c Since the stock price is less than the exercise price you will exercise the put

The payoff on the option will be 4250 4200 050

The option originally cost 183 so the profit is 050 183 133

Rate of return 133183 07268 7268

16 There is always a possibility that the option will be in-the-money at some time prior to expiration Investors will pay something for this possibility of a positive payoff

17

Value of call at expiration Initial Cost Profit

a 0 4 -4

b 0 4 -4 c

0 4 -4 d 5 4 1 e 10 4

6

Value of put at expiration Initial Cost Profit

a 10 6 4

b 5 6 -1

c 0

6 -6 d 0 6 -6 e 0 6

-6

18 A put option conveys the right to sell the underlying asset at the exercise price A short position in a futures contract carries an obligation to sell the underlying asset at the futures price

19 A call option conveys the right to buy the underlying asset at the exercise price A long position in a futures contract carries an obligation to buy the underlying asset at the futures price

CFA PROBLEMS

d

2 The equivalent taxable yield is 675 1 034 1023

3 a Writing a call entails unlimited potential losses as the stock price rises

4 a The taxable bond With a zero tax bracket the after-tax yield for the taxable bond is the same as the before-tax yield

5 which is greater than the yield on the municipal bond

The taxable bond The after-tax yield for the taxable bond is

005 1 – 010 45

You are indifferent The after-tax yield for the taxable bond is

005 1 – 020 40

The after-tax yield is the same as that of the municipal bond

d Th

e municipal bond offers the higher after-tax yield for investors in tax brackets above 20

If the after-tax yields are equal then 0056 008 1 –t

This implies that t 030 30

CHAPTER 3 HOW SECURITIES ARE TRADED

PROBLEM SETS

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