證券和組合課后習(xí)題：tb01

CHAPTER1

THEINVESTMENTSETTING

TRUE/FALSEQUESTIONS

(t)1Therateofexchangebetweencertainfuturedollarsandcertaincurrentdollarsis

knownasthepurerateofinterest.

(t)2Aninvestmentisthecurrentcommitmentofdollarsovertimetoderivefuture

paymentstocompensatetheinvestorforthetimefundsarecommitted,the

expectedrateofinflationandtheuncertaintyoffuturepayments.

(f)3Theholdingperiodreturn(HPR)isequaltotheholdingperiodyield(HPY)stated

asapercentage.

(f)4Thegeometricmeanofaseriesofreturnsisalwayslargerthanthearithmetic

meanandthedifferenceincreaseswiththevolatilityoftheseries.

(f)5Theexpectedreturnistheaverageofallpossiblereturns.

(f)6Twomeasuresoftheriskpremiumarethestandarddeviationandthevariance.

(f)7Thevarianceofexpectedreturnsisequaltothesquarerootoftheexpectedreturns.

(f)8Thecoefficientofvariationistheexpectedreturndividedbythestandard

deviationoftheexpectedreturn.

(f)9Nominalratesareaveragesofallpossiblerealrates.

(f)10Theriskpremiumisafunctionofthevolatilityofoperatingearnings,sales

volatilityandinflation.

MULTIPLECHOICEQUESTIONS

(a)1Thebasictrade-offintheinvestmentprocessis

a)betweentheanticipatedrateofreturnforagiveninvestmentinstrument

anditsdegreeofrisk.

b)betweenunderstandingthenatureofaparticularinvestmentandhaving

theopportunitytopurchaseit.

c)betweenhighreturnsavailableonsingleinstrumentsandthe

diversificationofinstrumentsintoaportfolio.

d)betweenthedesiredlevelofinvestmentandpossessingtheresources

necessarytocarryitout.

(C)2Therateofexchangebetweenfutureconsumptionandcurrentconsumptionis

a)Thenominalrisk-freerate.

b)Thecoefficientofinvestmentexchange.

c)Thepurerateofinterest.

d)Theconsumption/investmentparadigm.

e)Theexpectedrateofreturn.

(c)3The_________thevarianceofreturns,everythingelseremainingconstant,the

thedispersionofexpectationsandthetherisk.

a)Larger,greater,lower

b)Larger,smaller,higher

c)Larger,greater,higher

d)Smaller,greater,lower

e)Smaller,greater,greater

(d)4Thecoefficientofvariationisameasureof

a)Centraltendency.

b)Absolutevariability.

c)Absolutedispersion.

d)Relativevariability.

e)Relativereturn.

(e)5Thenominalriskfreerateofinterestisafunctionof

a)Therealriskfreerateandtheinvestmenfsvariance.

b)Theprimerateandtherateofinflation.

c)TheT-billrateplustheinflationrate.

d)Thetaxfreerateplustherateofinflation.

e)Therealriskfreerateandtherateofinflation.

(c)6Inthephrase"nominalriskfreerate,"nominalmeans

a)Computed.

b)Historical.

c)Market.

d)Average.

e)Riskadverse.

(c)7IfasignificantchangeisnotedintheyieldofaT-bill,thechangeismostlikely

attributableto

a)Adownturnintheeconomy.

b)Astaticeconomy.

c)Achangeintheexpectedrateofinflation.

d)Achangeintherealrateofinterest.

e)Achangeinriskaversion.

(e)8Therealrisk-freerateisaffectedbyatwofactors;a_________factoranda(n)

factor,

a)Real,nominal

b)Collective,distributive

c)Market,unique

d)Current,future

e)Subjective,objective

(e)9Whichofthefollowingisnotacomponentoftheriskpremium?

a)Businessrisk

b)Financialrisk

c)Liquidityrisk

d)Exchangeraterisk

e)Unsystematicmarketrisk

(b)10Theabilitytosellanassetquicklyatafairpriceisassociatedwith

a)Businessrisk.

b)Liquidityrisk.

c)Exchangeraterisk.

d)Financialrisk.

e)Marketrisk.

(a)11Thevariabilityofoperatingearningsisassociatedwith

a)Businessrisk.

b)Liquidityrisk.

c)Exchangeraterisk.

d)Financialrisk.

e)Marketrisk.

(d)12Theuncertaintyofinvestmentreturnsassociatedwithhowafirmfinancesits

investmentsisknownas

a)Businessrisk.

b)Liquidityrisk.

c)Exchangeraterisk.

d)Financialrisk.

e)Marketrisk.

(c)13Whatwillhappentothesecuritymarketline(SML)ifthefollowingeventsoccur,

otherthingsconstant:(1)inflationexpectationsincrease,and(2)investorsbecome

moreriskaverse?

a)Shiftupandkeepthesameslope

b)Shiftupandhavelessslope

c)Shiftupandhaveasteeperslope

d)Shiftdownandkeepthesameslope

e)Shiftdownandhavelessslope

(d)14Adecreaseinthemarketriskpremium,allotherthingsconstant,willcausethe

securitymarketlineto

a)Shiftup

b)Shiftdown

c)Haveasteeperslope

d)Haveaflatterslope

(b)15Adecreaseintheexpectedrealgrowthintheeconomy,allotherthingsconstant,

willcausethesecuritymarketlineto

a)Shiftup

b)Shiftdown

c)Haveasteeperslope

d)Haveaflatterslope

(b)16Unsystematicriskreferstoriskthatis

a)Undiversifiable

b)Diversifiable

c)Duetofundamentalriskfactors

d)Duetomarketrisk

(c)17Thesecuritymarketline(SML)graphstheexpectedrelationshipbetween

a)Businessriskandfinancialrisk

b)Systematicriskandunsystematicrisk

c)Riskandreturn

d)Systematicriskandunsystematicreturn

MULTIPLECHOICEPROBLEMS

USETHEFOLLOWINGINFORMATIONFORTHENEXTTWOPROBLEMS

Assumeyoubought10()sharesofCompTechcommonstockonJanuary15,1998at

$50.00pershareandsolditonJanuary15,1999for$70.00pershare.

(d)1Whatwasyourholdingperiodreturn?

a)140.0%

b)40.0%

c)1.4%

d)1.4

e)0.4

(e)2Whatwasyourholdingperiodyield?

a)0.40

b)1.4

c)0.40%

d)1.40%

e)40.00%

USETHEFOLLOWINGINFORMATIONORTHENEXTTWOPROBLEMS

SupposeyouboughtaNorthwestAircorporatebondonJanuary25,1996for$750on

January25,1998solditfor$1000.0().

(d)3Whatwasyourannualholdingperiodreturn?

a)1.33

b)0.33

c)0.033

d)1.1547

e)15.47

(a)4Whatwasyourannualholdingperiodyield?

a)15.47%

b)0.1547%

c)1.1547

d)33%

e)1.33%

USETHEFOLLOWINGINFORMATIONFORTHENEXTFOURPROBLEMS

ThecommonstockofX-TechInc.hadthefollowinghistoricprices.

TimePriceofX-Tech

3/01/9450.0()

3/01/9557.00

3/01/9666.12

3/01/9774.05

3/01/9870.35

3/01/9977.39

(b)5Whatwasyourholdingperiodreturnforthetimeperiod3/1/94to3/1/99?

a)1.5478%

b)1.5478

c)0.5478

d)54.78%

e)88.66%

(b)6Whatwasyourannualholdingperiodyield(AnnualHPY)?

a)0.0913%

b)9.13%

c)1.0913

d)1.0913%

e)109.13%

(a)7WhatwasyourarithmeticmeanannualyieldfortheinvestmentinX-Tech

Industries.

a)9.4%

b)0.094%

c)94%

d)0.094

e)9.4

(d)8WhatwasyourgeometricmeanannualyieldfortheinvestmentinX-Tech?

a)1.0913%

b)109.13%

c)0.0913%

d)9.13%

e)91.3%

USETHEFOLLOWINGINFORMATIONFORTHENEXTTHREEPROBLEMS

Youhaveconcludedthatnextyearthefollowingrelationshipsarepossible:

EconomicStatusProbabilityRateofReturn

WeakEconomy.15-5%

StaticEconomy.605%

StrongEconomy.2515%

(b)9Whatisyourexpectedrateofreturn[E(Ri)]fornextyear?

a)4.25%

b)6.00%

c)6.25%

d)7.75%

e)8.00%

(d)10Computethestandarddeviationoftherateofreturnfortheoneyearperiod.

a)0.65%

b)1.45%

c)4.0%

d)6.25%

e)6.4%

(e)11Computethecoefficientofvariationforyourportfolio.

a)0.043

b)0.12

c)1.40

d)0.69

e)1.04

USETHEFOLLOWINGINFORMATIONFORTHENEXTTWOPROBLEMS

Assumethatduringthepastyeartheconsumerpriceindexincreasedby4percentandthe

securitieslistedbelowreturnedthefollowingrealratesofreturn.

U.S.GovernmentT-bills5.25%

U.S.Long-termbonds5.50%

(d)12Whatarethenominalratesofreturnforeachofthesesecurities?

a)9.72%and9.46%

b)5.25%and9.46%

c)9.88%and6.61%

d)9.46%and9.72%

e)9.25%and6.81%

(C)13Ifnextyearthenominalratesallriseby20percentwhileinflationclimbsfrom4

percentto5percent,whatwillbetherealrateofreturnoneachsecurity?

a)1.24%and1.52%

b)3.08%and2.79%

c)6.04%and6.34%

d)5.49%and6.36%

e)3.36%and3.52%

(c)14Ifoverthepast20yearstheannualreturnsontheS&P500marketindexaveraged

12%withastandarddeviationof18%,whatwasthecoefficientofvariation?

a)0.6

b)0.6%

c)1.5

d)1.5%

e)0.66%

(d)15GiveninvestmentsAandBwiththefollowingriskreturncharacteristics,which

onewouldyoupreferandwhy?

StandardDeviation

InvestmentEenectedReturnofE：xpectedReturns

A12.2%7%

B8.8%5%

a)InvestmentAbecauseithasthehighestexpectedreturn.

b)InvestmentAbecauseithasthelowestrelativerisk.

c)InvestmentBbecauseithasthelowestabsoluterisk.

d)InvestmentBbecauseithasthelowestcoefficientofvariation.

e)InvestmentAbecauseithasthehighestcoefficientofvariation.

USETHEFOLLOWINGINFORMATIONFORTHENEXTTWOPROBLEMS

Youareprovidedwiththefollowinginformation

Nominalreturnonrisk-freeasset=4.5%

Expectedreturnforasseti=12.75%

Expectedreturnonthemarketportfolio=9.25%

(b)16Calculatetheriskpremiumforasseti

a)4.5%

b)8.25%

c)4.75%

d)3.5%

(c)17Calculatetheriskpremiumforthemarketportfolio

a)4.5%

b)8.25%

c)4.75%

d)3.5%

USETHEFOLLOWINGINFORMATIONFORTHENEXTFOURPROBLEMS

Considerthefollowinginformation

NominalannualreturnonU.S.governmentT-billsforyear2000=3.5%

NominalannualreturnonU.Sgovernmentlong-termbondsforyear2000=4.75%

NominalannualreturnonU.S.large-capstocksforyear2000=8.75%

ConsumerpriceindexJanuary1,2000=165

ConsumerpriceindexDecember31,2000=169

(a)18Computetherateofinflationfortheyear2000

a)2.42%

b)4.0%

c)1.69%

d)1.24%

(d)19CalculatetherealrateofreturnforU.S.T-bills

a)2.26%

b)1.81%

c)-0.5%

d)1.05%

(b)20CalculatetherealrateofreturnforU.S.long-termbonds

a)3.06%

b)2.27%

c)2.51%

d)3.5%

(b)21CalculatetherealrateofreturnforU.S.large-capstocks

a)7.06%

b)6.18%

c)4.75%

d)3.75%

USETHEFOLLOWINGINFORMATIONFORTHENEXTFOURPROBLEMS

Assumethatyouholdatwostockportfolio.Youareprovidedwiththefollowing

informationonyourholdings

StockSharesPrice(t)Price(t+1)

1151012

2251516

(b)22CalculatetheHPYforstock1

a)10%

b)20%

c)15%

d)12%

(c)23CalculatetheHPYforstock2

a)5%

b)6%

c)7%

d)8%

(d)24Calculatethemarketweightsforstock1and2basedonperiodtvalues

a)39%forstock1and61%forstock2

b)50%forstock1and50%forstock2

c)71%forstock1and29%forstock2

d)29%forstock1and71%forstock2

(a)25CalculatetheHPYfortheportfolio

a)10.6%

b)6.95%

c)13.5%

d)10%

CHAPTER1

ANSWERSTOPROBLEMS

1HPR=EndingValue/BeginningValue=70/50=1.4

2HPY=HPR-1=(70/50)-1=1.4-1=0.4=40%

3HPR=EndingValue/BeginningValue=$10().()0/$75()=1.33

AnnualHPR=(HPR)l/n=(1.33)l/2=1.1547

4HPR=EndingValue/BeginningValue=$100,00/$750=1.33

AnnualHPR=(HPR)l/n=(1.33)1/2=1.1547

AnnualHPY=AnnualHPR-1=1.1547-1=0.1547=15.47%

5HPR=EndingValue/BeginningValue=77.39/50=1.5478

6AnnualHPR=(HPR)1/n=(1.5478)l/5=1.0913

AnnualHPY=AnnualHPR-1=1.0913-1=0.0913=9.13%

TimePricerfX-TechReturn(%)HPR

3/01/9450

3/01/9557141.14

3/01/9666.12161.16

3/01/9774.05121.12

3/01/9870.35-50.95

3/01/9977.391()1.10

IN14+16+12+-5+10

7=9.4%

N占,5

N

8GeometricMean=-]

r=l

=[(1.14)(1.16)(1.12)(0.95)(l.10)]1/5一1

=1.0913-1=0.09132=9.13%

9E(Ri)=(0.15)(-5)+(0.60)(5)+(0.25)(15)=6%

10o=[(0.15)(-5-6)2+(0.60)(5-6)2+(0.25)(15-6)2],/2=6.25%

11CV=StandardDeviationofReturns/ExpectedRateofReturn

=6.25/6=1.04

12NominalrateonT-bills=(1.04x1.0525)-1=0.0946=9.46%

Nominalrateonbonds=(1.04)(1.0550)-1=0.0972=9.72%

13Thecomputationsforthenewnominalratesare:

NominalrateonT-bills=9.46x1.2()=11.35%

Nominalrateonbonds=9.72x1.20=11.66%

RealrateonT-bills=(1.1135/1.05)-1=.0604=6.04%

Realrateoncorporatebonds=(1.1166/1.05)-1=.0634=6.34%

14CoefficientofVariation=StandardDeviationofReturns/ExpectedRateofReturn

=18%/12%=1.5

15CoefficientofVariation=StandardDeviationofReturns/ExpectedRateofReturn

CVA=7%/12.2%=0.573

CVB=5%/8.8%=0.568

InvestmentBhasthelowestcoefficientofvariationandwouldbepreferred.

16.Riskpremiumforasseti=12.75一4.5=8.25%

17.Riskpremiummarketportfolio=9.25-4.5=4.75%

18.Rateofinflation=(169/165)-1=.0242=2.42%

19.RealreturnonU.S.T-bills=(1.035/1.0242)-1=.0105=1.05%

20.RealreturnonU.S.bonds=(1.0475/1.0242)-1=.0227=2.27%

21.RealreturnonU.S.stocks=(1.0875/1.0242)-1=.0618=6.18%

Thetableprovidedbelowcanbeusedtoobtainanswersfor22to25.

Weighted

StockSharesPrice(t)MV(t)Price(t+1)MV(t+1)HPRHPYWeightHPY

11510150