完整word版投资学investment题库Chap015Word格式.docx
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完整word版投资学investment题库Chap015Word格式.docx
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3。
Aninvertedyieldcurveimpliesthat:
A)Long-terminterestratesarelowerthanshort-terminterestrates.
B)Long—terminterestratesarehigherthanshort—terminterestrates。
C)Long-terminterestratesarethesameasshort—terminterestrates.
D)Intermediateterminterestratesarehigherthaneithershort-orlong-terminterestrates.
E)noneoftheabove。
ADifficulty:
Rationale:
Theinverted,ordownwardsloping,yieldcurveisoneinwhichshort—termratesarehigherthanlong—termrates.Theinvertedyieldcurvehasbeenobservedfrequently,althoughnotasfrequentlyastheupwardsloping,ornormal,yieldcurve。
4.Anupwardslopingyieldcurveisa(n)_______yieldcurve。
A)normal。
B)humped。
C)inverted.
D)flat。
Theupwardslopingyieldcurveisreferredtoasthenormalyieldcurve,probablybecause,historically,theupwardslopingyieldcurveistheshapethathasbeenobservedmostfrequently.
5。
Accordingtotheexpectationshypothesis,anormalyieldcurveimpliesthat
A)interestratesareexpectedtoremainstableinthefuture。
B)interestratesareexpectedtodeclineinthefuture。
C)interestratesareexpectedtoincreaseinthefuture.
D)interestratesareexpectedtodeclinefirst,thenincrease。
E)interestratesareexpectedtoincreasefirst,thendecrease。
Anupwardslopingyieldcurveisbasedontheexpectationthatshort-terminterestrateswillincrease。
6。
Whichofthefollowingisnotproposedasanexplanationforthetermstructureofinterestrates:
A)Theexpectationstheory。
B)Theliquiditypreferencetheory.
C)Themarketsegmentationtheory。
D)Modernportfoliotheory.
E)A,B,andC。
DDifficulty:
A,B,andCarealltheoriesthathavebeenproposedtoexplainthetermstructure。
7。
Theexpectationstheoryofthetermstructureofinterestratesstatesthat
A)forwardratesaredeterminedbyinvestors’expectationsoffutureinterestrates.
B)forwardratesexceedtheexpectedfutureinterestrates.
C)yieldsonlong-andshort-maturitybondsaredeterminedbythesupplyanddemandforthesecurities.
D)alloftheabove。
E)noneoftheabove.
ADifficulty:
Theforwardrateequalsthemarketconsensusexpectationoffutureshortinterestrates.
8。
Whichofthefollowingtheoriesstatethattheshapeoftheyieldcurveisessentiallydeterminedbythesupplyanddemandsforlong-andshort-maturitybonds?
A)Liquiditypreferencetheory。
B)Expectationstheory。
C)Marketsegmentationtheory。
D)Alloftheabove。
Marketsegmentationtheorystatesthatthemarketsfordifferentmaturitiesareseparatemarkets,andthatinterestratesatthedifferentmaturitiesaredeterminedbytheintersectionoftherespectivesupplyanddemandcurves。
9.Ifforwardratesareknownwithcertaintyandallbondsarefairlypriced
A)allbondswouldhavethesameyieldtomaturity。
B)allshort-maturitybondswouldhavelowerpricesthanalllong—maturitybonds.
C)allbondswouldhavethesameprice。
D)allbondswouldprovideequal1—yearratesofreturn。
DDifficulty:
Inaworldofperfectcertainty,allbondmustofferequalratesofreturnoveranyholdingperiod;
otherwise,atleastonebondwouldbedominatedbytheothersinthatthisbondwouldofferalowerrateofreturnthanwouldcombinationsofotherbonds。
Noonewouldbewillingtoholdthisbond,andthepriceofthebondwoulddecline(lawofoneprice)。
10.Accordingtothe"
liquiditypreference"
theoryofthetermstructureofinterestrates,theyieldcurveusuallyshouldbe:
A)inverted。
B)normal。
C)upwardsloping。
D)AandB。
E)BandC.
EDifficulty:
Accordingtotheliquiditypreferencetheory,investorswouldprefertobeliquidratherthanilliquid。
Inordertoacceptamoreilliquidinvestment,investorsrequirealiquiditypremiumandthenormal,orupwardsloping,yieldcurveresults。
Usethefollowingtoanswerquestions11—14:
Supposethatallinvestorsexpectthatinterestratesforthe4yearswillbeasfollows:
Year
ForwardInterestRate
(today)5%
1
7%
2
9%
3
10%
11。
Whatisthepriceof3-yearzerocouponbondwithaparvalueof$1,000?
A)$863。
83
B)$816。
58
C)$772.18
D)$765。
55
E)noneoftheabove
BDifficulty:
Moderate
$1,000/(1.05)(1.07)(1.09)=$816。
58
12。
Ifyouhavejustpurchaseda4—yearzerocouponbond,whatwouldbetheexpectedrateofreturnonyourinvestmentinthefirstyeariftheimpliedforwardratesstaythesame?
(Parvalueofthebond=$1,000)
A)5%
B)7%
C)9%
D)10%
Theforwardinterestrategivenforthefirstyearoftheinvestmentisgivenas5%(seetableabove).
13.Whatisthepriceofa2—yearmaturitybondwitha10%couponratepaidannually?
(Parvalue=$1,000)
A)$1,092.97
B)$1,054.24
C)$1,000.00
D)$1,073.34
[(1。
05)(1.07)]1/2-1=6%;
FV=1000,n=2,PMT=100,i=6,PV=$1,073.34
14.Whatistheyieldtomaturityofa3—yearzerocouponbond?
A)7。
00%
B)9.00%
C)6.99%
D)7.49%
CDifficulty:
05)(1。
07)(1.09)]1/3-1=6.99.
Usethefollowingtoanswerquestions15-18:
Thefollowingisalistofpricesforzerocouponbondswithdifferentmaturitiesandparvalueof$1,000.
Maturity(Years)
Price
$943。
40
$881.68
$808.88
4
$742。
09
15。
Whatis,accordingtotheexpectationstheory,theexpectedforwardrateinthethirdyear?
A)7.00%
B)7.33%
C)9。
00%
D)11。
19%
881.68/808.88—1=9%
16。
Whatistheyieldtomaturityona3-yearzerocouponbond?
A)6。
37%
B)9。
C)7.33%
D)10.00%
(1000/808。
81)1/3-1=7。
33%
17.Whatisthepriceofa4—yearmaturitybondwitha12%couponratepaidannually?
(Parvalue=$1,000)
A)$742。
09
B)$1,222。
C)$1,000。
00
D)$1,141.92
Difficult
(1000/742。
09)1/4-1=7.74%;
FV=1000,PMT=120,n=4,i=7.74,PV=$1,141。
92
18。
Youhavepurchaseda4-yearmaturitybondwitha10%couponratepaidannually.Thebondhasaparvalueof$1,000.Whatwouldthepriceofthebondbeoneyearfromnowiftheimpliedforwardratesstaythesame?
A)$808.88
B)$1,108.88
C)$1,000
D)$1,042。
78
(943。
40/742.09)]1/3—1。
0=8.33%;
FV=1000,PMT=100,n=3,i=8。
33,PV=$1,042。
78
19.Themarketsegmentationtheoryofthetermstructureofinterestrates
A)theoreticallycanexplainallshapesofyieldcurves。
B)definitelyholdsinthe"
realworld”.
C)assumesthatmarketsfordifferentmaturitiesareseparatemarkets.
D)AandB.
E)AandC。
EDifficulty:
Althoughthistheoryisquitetidytheoretically,bothinvestorsandborrowswilldepartfromtheir"
preferredmaturityhabitats”ifyieldsonalternativematuritiesareattractiveenough.
20。
Giventhefollowingpatternofforwardrates:
ForwardRate
5%
6%
6。
5%
Ifoneyearfromnowthetermstructureofinterestrateschangessothatitlooksexactlythesameasitdoestoday,whatwouldbeyourholdingperiodreturnifyoupurchaseda3—yearzerocouponbondtodayandhelditforoneyear?
A)6%
B)8%
D)5%
$1,000/(1。
06)(1.065)=$885.82(sellingprice);
$1,000/(1.05)(1。
06)(1.065)=$843。
64(purchaseprice);
($885。
82-$843.64)/$843.64=5%。
21.Anupwardslopingyieldcurve
A)isanindicationthatinterestratesareexpectedtoincrease。
B)incorporatesaliquiditypremium.
C)reflectstheconfoundingoftheliquiditypremiumwithinterestrateexpectations.
Oneoftheproblemsofthemostcommonlyusedexplanationoftermstructure,theexpectationshypothesis,isthatitisdifficulttoseparateouttheliquiditypremiumfrominterestrateexpectations.
22。
The”break—even"
interestrateforyearnthatequatesthereturnonann-periodzero-couponbond
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