投資學(xué)期末試題庫(kù)答案解析及分析一

專(zhuān)業(yè)資料精心整理精心整理精心整理專(zhuān)業(yè)資料專(zhuān)業(yè)資料TUTORIAL–SESSION01CHAPTER011.Discusstheagencyproblem.2.Discussthesimilaritiesanddifferencesbetweenrealandfinancialassets.3.Discussthefollowingongoingtrendsastheyrelatetothefieldofinvestments:globalization,financialengineering,securitization,andcomputernetworks.CHAPTER02Usethefollowingtoanswerquestions1to3:Considerthefollowingthreestocks:1.Theprice-weightedindexconstructedwiththethreestocksisA)30B)40C)50D)60E)70Answer:BDifficulty:EasyRationale:($40+$70+$10)/3=$40.2.Thevalue-weightedindexconstructedwiththethreestocksusingadivisorof100isA)1.2B)1200C)490D)4900E)49Answer:CDifficulty:ModerateRationale:Thesumofthevalueofthethreestocksdividedby100is490:[($40x200)+($70x500)+($10x600)]/100=490Assumeatthesepricesthevalue-weightedindexconstructedwiththethreestocksis490.WhatwouldtheindexbeifstockBissplit2for1andstockC41?265 B)430 C)3554901000Answer:DDifficulty:ModerateRationale:Value-weightedindexesarenotaffectedbystocksplits.Aninvestorpurchasesonemunicipalandonecorporatebondthatpayratesofreturnof8%and10%,respectively.Iftheinvestorisinthe20%marginaltaxbracket,hisorheraftertaxratesofreturnonthemunicipalandcorporatebondswouldbe________and______,respectively.8%and10%8%and8%6.4%and8%6.4%and10%10%and10% Answer:BDifficulty:ModerateRationale:rc=0.10(1-0.20)=0.08,or8%;rm=0.08(1-0)=8%.A5.5%20-yearmunicipalbondiscurrentlypricedtoyield7.2%.Forataxpayerithe33%marginaltaxbracket,thisbondwouldofferanequivalenttaxableyieldof8.20%.10.75%.11.40%.4.82%.noneoftheabove.Answer:BDifficulty:ModerateRationale:0.072=rm(1-t);0.072=rm/(0.67);rm=0.1075=10.75%Inorderforyoutobeindifferentbetweentheaftertaxreturnsonacorporatebondpaying8.5%andatax-exemptmunicipalbondpaying6.12%,whatwouldyourtaxbracketneedtobe?33%72% C)15% D)28%ThereturnonStockAforthefirstperiodis$72/$70-1=2.86%.ThereturnonStoBforthefirstperiodis$81/$85-1=-4.71%.ThereturnonStockCforthfirstperiodis$98/$105-1=-6.67%.Thereturnonanequallyweightedindexofthethreestocksis(2.86%-4.71%-6.67%)/3=-2.84%Thegeometricaveragereturnis[(1+.0286)(1-.0471)(1-.0667)](1/3)-1=[(1.0286)(0.9529)(0.9333)]0.3333-1=-2.92%10.Discusstheadvantagesanddisadvantagesofcommonstockownership,relativetootherinvestmentalternatives.CHAPTER03Assumeyoupurchased200sharesofXYZcommonstockonmarginat$70persharefromyourbroker.Iftheinitialmarginis55%,howmuchdidyouborrowfromthebroker?$6,000$4,000$7,700$7,000 E)$6,300Answer:EDifficulty:ModerateRationale:200shares*$70/share*(1-0.55)=$14,000*(0.45)=$6,300.Yousoldshort200sharesofcommonstockat$60pershare.Theinitialmarginis60%.Yourinitialinvestmentwas$4,800.$12,000.$5,600.$7,200.noneoftheabove.Answer:DDifficulty:ModerateRationale:200shares*$60/share*0.60=$12,000*0.60=$7,200Youpurchased100sharesofABCcommonstockonmarginat$70pershare.Assumetheinitialmarginis50%andthemaintenancemarginis30%.Belowwhatstockpricelevelwouldyougetamargincall?Assumethestockpaysnodividend;ignoreinterestonmargin. A)$21 B)$50 C)$49$80noneoftheaboveAnswer:BDifficulty:Difficult專(zhuān)業(yè)資料專(zhuān)業(yè)資料精心整理精心整理專(zhuān)業(yè)資料精心整理Rationale:100shares*$70*.5=$7,000*0.5=$3,500(loanamount);0.30=(100P$3,500)/100P;30P=100P-$3,500;-70P=-$3,500;P=$50.Youpurchased100sharesofcommonstockonmarginat$45pershare.Assumetheinitialmarginis50%andthestockpaysnodividend.Whatwouldthemaintenancemarginbeifamargincallismadeatastockpriceof$30?Ignoreinterestonmargin. A)0.33 B)0.55 C)0.43 D)0.23 E)0.25Answer:EDifficulty:DifficultRationale:100shares*$45/share*0.5=$4,500*0.5=$2,250(loanamount);X=[100($30)-$2,250]/100($30);X=0.25.Youpurchased300sharesofcommonstockonmarginfor$60pershare.Theinitialmarginis60%andthestockpaysnodividend.Whatwouldyourrateofreturnbeifyousellthestockat$45pershare?Ignoreinterestonmargin.25%-33% C)44%-42%–54%Answer:DDifficulty:DifficultRationale:300($60)(0.60)=$10,800investment;300($60)=$18,000*(0.40)=$7,200loan;Proceedsaftersellingstockandrepayingloan:$13,500-$7,200=$6,300;Return=($6,300-$10,800)/$10,800=-41.67%.Assumeyousellshort100sharesofcommonstockat$45pershare,withinitialmarginat50%.Whatwouldbeyourrateofreturnifyourepurchasethestockat$40/share?Thestockpaidnodividendsduringtheperiod,andyoudidnotremoveanymoneyfromtheaccountbeforemakingtheoffsettingtransaction.20%25%22%77%noneoftheaboveAnswer:CDifficulty:ModerateRationale:Profitonstock=($45-$40)*100=$500,$500/$2,250(initialinvestment)22.22%YouwanttopurchaseXYZstockat$60fromyourbrokerusingaslittleofyourownmoneyaspossible.Ifinitialmarginis50%andyouhave$3000toinvest,howmanysharescanyoubuy?100shares200shares C)50shares500shares25sharesAnswer:ADifficulty:ModerateRationale:.5=[(Q*$60)-$3,000]/(Q*$60);$30Q=$60Q-$3,000;$30Q=$3,000;Q=100.Youbuy300sharesofQualitycorpfor$30pershareanddepositinitialmarginof50%.ThenextdayQualitycorp'spricedropsto$25pershare.Whatisyouractualmargin?50%40% C)33% D)60% E)25%Answer:BDifficulty:ModerateRationale:AM=[300($25)-.5(300)($30)]/[300($25)]=.40Yousoldshort100sharesofcommonstockat$45pershare.Theinitialmarginis50%.Yourinitialinvestmentwas$4,800. $12,000.$2,250.$7,200.noneoftheabove.Answer:CDifficulty:ModerateRationale:100shares*$45/share*0.50=$4,500*0.50=$2,250ListthreefactorsthatarelistingrequirementsfortheNewYorkStockExchange.Whydoestheexchangehavesuchrequirements?CHAPTER04MultipleMutualFundshadyear-endassetsof$457,000,000andliabilitiesof$17,000,000.Therewere24,300,000sharesinthefundatyear-end.WhatwasMultipleMutual'sNetAssetValue?$18.11$18.81$69.96$7.00$181.07Answer:ADifficulty:ModerateRationale:(457,000,000-17,000,000)/24,300,000=$18.11 DiversifiedPortfolioshadyear-endassetsof$279,000,000andliabilitiesof$43,000,000.IfDiversified'sNAVwas$42.13,howmanysharesmusthavebeenheldinthefund?43,000,0006,488,3725,601,7091,182,203Noneoftheabove.Answer:CDifficulty:ModerateRationale:($279,000,000-43,000,000)/$42.13=5,601,708.996.PinnacleFundhadyear-endassetsof$825,000,000andliabilitiesof$25,000,000.IfPinnacle'sNAVwas$32.18,howmanysharesmusthavebeenheldinthefund?21,619,346,9222,930,546.2824,860,161.5925,693,645.25E)Noneoftheabove.Answer:CDifficulty:ModerateRationale:($825,000,000-25,000,000)/$32.18=24,860,161.59.TheProfitabilityFundhadNAVpershareof$17.50onJanuary1,2005.OnDecember31ofthesameyearthefund'sNAVwas$19.47.Incomedistributionswere$0.75andthefundhadcapitalgaindistributionsof$1.00.Withoutconsideringtaxesandtransactionscosts,whatrateofreturndidaninvestorreceiveontheProfitabilityfundlastyear?11.26%15.54%16.97%21.26%9.83%Answer:DDifficulty:ModerateRationale:R=($19.47-17.50+.75+1.00)/$17.50=21.26%PattyO'Furniturepurchased100sharesofGreenIslemutualfundatanetassetvalueof$42pershare.DuringtheyearPattyreceiveddividendincomedistributionsof$2.00pershareandcapitalgainsdistributionsof$4.30persharAttheendoftheyeartheshareshadanetassetvalueof$40pershare.WhatwasPatty'srateofreturnonthisinvestment?5.43%10.24% C)7.19%12.44%9.18%（40-42+2+4.3）/42=10.24%Amutualfundhadyear-endassetsof$560,000,000andliabilitiesof$26,000,000.Therewere23,850,000sharesinthefundatyearend.Whatwasthemutualfund'sNetAssetValue?$22.87$22.39$22.24$17.61 E)$19.25Answer:BDifficulty:ModerateRationale:(560,000,000-26,000,000)/23,850,000=$22.389Amutualfundhadyear-endassetsof$465,000,000andliabilitiesof$37,000,000.IfthefundNAVwas$56.12,howmanysharesmusthavebeenheldinthefund?4,300,0006,488,3728,601,7097,626,515Noneoftheabove.Answer:DDifficulty:ModerateRationale:($465,000,00037,000,000)/$56.12=7,626,515AmutualfundhadNAVpershareof$26.25onJanuary1,2005.OnDecember31ofthesameyearthefund'srateofreturnfortheyearwas16.4%.Incomedistributionswere$1.27andthefundhadcapitalgaindistributionsof$1.85.Withoutconsideringtaxesandtransactionscosts,whatendingNAVwouldyoucalculate?$27.44$33.88$24.69$42.03 E)$16.62Answer:ADifficulty:ModerateRationale:.164=(P-$26.25+1.27+1.85)/$26.25;P=$27.435Amutualfundshadaveragedailyassetsof$2.0billionon2005.Thefundsold$500millionworthofstockandpurchased$600millionworthofstockduringtheyear.Thefundsturnoverratiois___.27.5%12%15%25% E)20%Answer:DDifficulty:ModerateRationale:500,000,000/2,000,000,000=25%Youpurchasedsharesofamutualfundatapriceof$20pershareatthebeginningoftheyearandpaidafront-endloadof5.75%.Ifthesecuritiesinwhichthefindinvestedincreasedinvalueby11%duringtheyear,andthefundsexpenseratiowas1.25%,yourreturnifyousoldthefundattheendoftheyearwouldbe____________.4.33 B)3.44 C)2.456.87Noneoftheabove[20*(1-5.75%)*(1+11%-1.25%)-20]/20=0.0343Listanddescribethemoreimportanttypesofmutualfundsaccordingtotheirinvestmentpolicyanduse.CHAPTER05Overthepastyearyouearnedanominalrateofinterestof10percentonyourmoney.Theinflationratewas5percentoverthesameperiod.Theexactactualgrowthrateofyourpurchasingpowerwas15.5%.10.0%.5.0%.4.8%. E)15.0%Answer:DDifficulty:ModerateRationale:r=(1+R)/(1+I)-1;1.10%/1.5%-1=4.8%.Youpurchasedashareofstockfor$20.Oneyearlateryoureceived$1asdividendandsoldthesharefor$29.Whatwasyourholdingperiodreturn?45%精心整理精心整理精心整理專(zhuān)業(yè)資料專(zhuān)業(yè)資料B)50%C)%5D)40%E)noneoftheaboveAnswer:BDifficulty:ModerateRationale:($1+$29-$20)/$20=0.5000,or50%.Usethefollowingtoanswerquestions3-5:YouhavebeengiventhisprobabilitydistributionfortheholdingperiodreturnforKMPstock:3.WhatistheexpectedholdingperiodreturnforKMPstock?A)10.40%B)9.32%C)%11.63D)%11.54E)10.88%Answer:ADifficulty:ModerateRationale:HPR=.30(18%)+.50(12%)+.20(-5%)=10.4%4.WhatistheexpectedstandarddeviationforKMPstock?A)6.91%B)8.13%C)7.79%D)7.25%E)8.85%Answer:BDifficulty:DifficultRationale:s=[.30(18-10.4)2+.50(12-10.4)2+.20(-5-10.4)2]21/=8.13%5.WhatistheexpectedvarianceforKMPstock?A)66.04%B)%69.96C)77.04%D)63.72%E)78.45%ADifficulty:DifficultRationale:s=[.30(18-10.4)2+.50(12-10.4)2+.20(5-10.4)2]=66.04%6.YoupurchaseashareofBoeingstockfor$90.Oneyearlater,afterreceivinga專(zhuān)業(yè)資料dividendof$3,yousellthestockfor$92.Whatwasyourholdingperiodreturn? A)4.44% B)2.22% C)3.33%5.56%noneoftheaboveAnswer:DDifficulty:ModerateRationale:HPR=(92-90+3)/90=5.56%Aninvestorpurchasedabond45daysagofor$985.Hereceived$15ininterestandsoldthebondfor$980.Whatistheholdingperiodreturnonhisinvestment? A)1.52% B)0.50% C)1.02%0.01%NoneoftheaboveAnswer:CDifficulty:EasyRationale:HPR=($15+980-985)/$985=.010152284=approximately1.02%.Overthepastyearyouearnedanominalrateofinterestof8percentonyourmoney.Theinflationratewas3.5percentoverthesameperiod.Theexactactualgrowthrateofyourpurchasingpowerwas15.55%.4.35%. C)5.02%. D)4.81%. E)15.04%Answer:BDifficulty:ModerateRationale:r=(1+R)/(1+I)-1;1.08/1.-1=4.35%.Overthepastyearyouearnedanominalrateofinterestof14percentonyourmoney.Theinflationratewas2percentoverthesameperiod.Theexactactualgrowthrateofyourpurchasingpowerwas11.76%.16.00%. C)15.02%.14.32%.noneoftheabove.Aninvestmentprovidesa2%returnsemi-annually,itseffectiveannualrateis2%.4%.4.02%4.04%專(zhuān)業(yè)資料noneoftheabove(1.02)2-1=4.04%Discusstherelationshipsbetweeninterestrates(bothrealandnominal),expectedinflationrates,andtaxratesoninvestmentreturns.Discusswhycommonstocksmustearnariskpremium.CHAPTER07Marketriskisalsoreferredtoassystematicrisk,diversifiablerisk.systematicrisk,nondiversifiablerisk.uniquerisk,nondiversifiablerisk.uniquerisk,diversifiablerisk.noneoftheabove.Answer:BDifficulty:EasyRationale:Market,systematic,andnondiversifiableriskaresynonymsreferringtotheriskthatcannotbeeliminatedfromtheportfolio.Diversifiable,unique,nonsystematic,andfirm-specificrisksaresynonymsreferringtotheriskthatcanbeeliminatedfromtheportfoliobydiversification.Thevarianceofaportfolioofriskysecurities A)isaweightedsumofthesecurities'variances.isthesumofthesecurities'variances.istheweightedsumofthesecurities'variancesandcovariances.isthesumofthesecurities'covariances.noneoftheabove.Answer:CDifficulty:ModerateRationale:Thevarianceofaportfolioofriskysecuritiesisaweightedsumtakingintoaccountboththevarianceoftheindividualsecuritiesandthecovariancesbetweensecurities.Otherthingsequal,diversificationismosteffectivewhen A)securities'returnsareuncorrelated.securities'returnsarepositivelycorrelated.securities'returnsarehigh.securities'returnsarenegativelycorrelated.BandC.Answer:DDifficulty:ModerateRationale:Negativecorrelationamongsecuritiesresultsinthegreatestreductionofportfoliorisk,whichisthegoalofdiversification.專(zhuān)業(yè)資料專(zhuān)業(yè)資料.4TheCapitalAllocationLineprovidedbyarisk-freesecurityandNriskysecuritieisA)thelinethatconnectstherisk-freerateandtheglobalminimum-varianceportfoliooftheriskysecurities.B)thelinethatconnectstherisk-freerateandtheportfoliooftheriskysecuritiesthathasthehighestexpectedreturnontheefficientfrontier.C)thelinetangenttotheefficientfrontierofriskysecuritiesdrawnfromtherisk-freerate.D)thehorizontallinedrawnfromtherisk-freerate.E)noneoftheabove.Answer:CDifficulty:ModerateRationale:TheCapitalAllocationLinerepresentsthemostefficientcombinationsoftherisk-freeassetandriskysecurities.OnlyCmeetsthatdefinition.5.Whichofthefollowingstatementsis(are)trueregardingthevarianceofaportfoliooftworiskysecurities?A)Thehigherthecoefficientofcorrelationbetweensecurities,thegreaterthereductionintheportfoliovariance.B)Thereisalinearrelationshipbetweenthesecurities'coefficientofcorrelatiandtheportfoliovariance.C)Thedegreetowhichtheportfoliovarianceisreduceddependsonthedegreeofcorrelationbetweensecurities.D)AandB.E)AandC.Answer:CDifficulty:ModerateRationale:Thelowerthecorrelationbetweenthereturnsofthesecurities,themoreportfolioriskisreduced.Usethefollowingtoanswerquestions6-11:ConsiderthefollowingprobabilitydistributionforstocksAandB:6.TheexpectedratesofreturnofstocksAandBare_____and_____,respectively.A)13.2%;9%B)14%;10%C)13.2%;7.7%D)7.7%;13.2%E)noneoftheaboveAnswer:CDifficulty:Easy專(zhuān)業(yè)資料Rationale:E(RA)=0.1(10%)+0.2(13%)+0.2(12%)+0.3(14%)+0.2(15%)=13.2%;E(RB)=0.1(8%)+0.2(7%)+0.2(6%)+0.3(9%)+0.2(8%)=7.7%.7.Thestandarddeviationsofsto