投资学第7版TestBank答案16Word格式文档下载.docx
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投资学第7版TestBank答案16Word格式文档下载.docx
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C)yieldtomaturity.
E)noneoftheabove.
ADifficulty:
Moderate
Durationisnegativelycorrelatedwithcouponrateandyieldtomaturity。
3.Holdingotherfactorsconstant,theinterest—rateriskofacouponbondishigherwhenthebond’s:
A)term—to-maturityislower。
B)couponrateishigher.
C)yieldtomaturityislower.
D)currentyieldishigher。
CDifficulty:
Rationale:
Thelongerthematurity,thegreatertheinterest-raterisk.Thelowerthecouponrate,thegreatertheinterest-raterisk.Thelowertheyieldtomaturity,thegreatertheinterest-raterisk。
Theseconceptsarereflectedinthedurationrules;
durationisameasureofbondpricesensitivitytointerestratechanges(interest—raterisk).
4。
The"
modifiedduration"
usedbypractitionersisequaltotheMacaulayduration
A)timesthechangeininterestrate。
B)times(oneplusthebond’syieldtomaturity)。
C)dividedby(oneminusthebond'
syieldtomaturity)。
D)dividedby(oneplusthebond'
syieldtomaturity).
Answer:
D*=D/(1+y)
5。
Giventhetimetomaturity,thedurationofazero—couponbondishigherwhenthediscountrateis
A)higher.
B)lower。
C)equaltotheriskfreerate。
D)Thebond'
sdurationisindependentofthediscountrate.
Thedurationofazero—couponbondisequaltothematurityofthebond。
6。
Theinterest-rateriskofabondis
A)theriskrelatedtothepossibilityofbankruptcyofthebond'
sissuer.
B)theriskthatarisesfromtheuncertaintyofthebond’sreturncausedbychangesininterestrates.
C)theunsystematicriskcausedbyfactorsuniqueinthebond.
D)AandBabove.
E)A,B,andCabove.
BDifficulty:
Changinginterestrateschangethebond'
sreturn,bothintermsofthepriceofthebondandthereinvestmentofcouponpayments。
7.Whichofthefollowingtwobondsismorepricesensitivetochangesininterestrates?
1)Aparvaluebond,X,witha5—year-to-maturityanda10%couponrate。
2)Azero—couponbond,Y,witha5-year-to-maturityanda10%yield—to-maturity.
A)BondXbecauseofthehigheryieldtomaturity。
B)BondXbecauseofthelongertimetomaturity.
C)BondYbecauseofthelongerduration。
D)Bothhavethesamesensitivitybecausebothhavethesameyieldtomaturity.
E)Noneoftheabove
CDifficulty:
Durationisthebestmeasureofbondpricesensitivity;
thelongerthedurationthehigherthepricesensitivity。
8.Holdingotherfactorsconstant,whichoneofthefollowingbondshasthesmallestpricevolatility?
A)5-year,0%couponbond
B)5—year,12%couponbond
C)5year,14%couponbond
D)5-year,10%couponbond
E)Cannottellfromtheinformationgiven。
Duration(andthuspricevolatility)islowerwhenthecouponratesarehigher.
9。
Whichofthefollowingisnottrue?
A)Holdingotherthingsconstant,thedurationofabondincreaseswithtimetomaturity。
B)Giventimetomaturity,thedurationofazero-coupondecreaseswithyieldtomaturity。
C)Giventimetomaturityandyieldtomaturity,thedurationofabondishigherwhenthecouponrateislower.
D)Durationisabettermeasureofpricesensitivitytointerestratechangesthanistimetomaturity.
E)Alloftheabove。
Thedurationofazero—couponbondisequaltotimetomaturity,andisindependentofyieldtomaturity。
10。
Thedurationofa5-yearzero—couponbondis
A)smallerthan5.
B)largerthan5。
C)equalto5。
D)equaltothatofa5—year10%couponbond.
Durationofazero-couponbondequalsthebond’smaturity。
11.Thebasicpurposeofimmunizationisto
A)eliminatedefaultrisk.
B)produceazeronetinterest-raterisk.
C)offsetpriceandreinvestmentrisk。
D)AandB.
E)BandC。
EDifficulty:
Whenaportfolioisimmunized,priceriskandreinvestmentriskexactlyoffseteachotherresultinginzeronetinterest—raterisk.
12。
Thedurationofaparvaluebondwithacouponrateof8%andaremainingtimetomaturityof5yearsis
A)5years。
B)5。
4years。
C)4。
17years。
D)4。
31years。
Calculationsareshownbelow.
Yr。
CF
PVofCF@08%
Weight*Yr.
1
$80
$80/1。
08=$74.07
0.0741*1=0.0741
2
$80/(1.08)2=$68.59
0.0686*2=0。
1372
3
$80/(1.08)3=$63.51
0。
0635*3=0。
1905
4
$80/(1.08)4=$58。
80
0588*4=0.2352
5
$1,080
$1,080/(1.08)5=$735。
03
0.7350*5=3.6750
Sum
$1000.00
4。
3120yrs。
(duration)
13。
Thedurationofaperpetuitywithayieldof8%is
A)13。
50years.
B)12.11years.
C)6。
66years。
D)cannotbedetermined.
D=1.08/0。
08=13.50years.
14。
Aseven—yearparvaluebondhasacouponrateof9%andamodifieddurationof
A)7years.
B)5.49years.
C)5。
03years。
87years。
Difficult
Calculationsareshownbelow。
PVofCF@9%
Weight*Yr。
$90
$82.57
0.0826X1=0。
0826
$90
$75.75
0758X2=0。
1516
$69.50
0695X3=0。
2085
$63。
76
0638X4=0.2552
$58。
49
0.0585X5=0。
2925
6
$53.66
0537X6=0。
3222
7
$1,090
$596.26
5963X7=4。
1741
5。
4867years(duration)
modifiedduration=5。
4867years/1.09=5.03years.
15。
ParvaluebondXYZhasamodifieddurationof6。
Whichoneofthefollowingstatementsregardingthebondistrue?
A)Ifthemarketyieldincreasesby1%thebond'
spricewilldecreaseby$60。
B)Ifthemarketyieldincreasesby1%thebond'
spricewillincreaseby$50。
C)Ifthemarketyieldincreasesby1%thebond’spricewilldecreaseby$50.
D)Ifthemarketyieldincreasesby1%thebond'
spricewillincreaseby$60.
E)Noneoftheabove。
=-D*-$60=—6(0。
01)X$1,000
16。
Whichofthefollowingbondshasthelongestduration?
A)An8-yearmaturity,0%couponbond。
B)An8—yearmaturity,5%couponbond.
C)A10-yearmaturity,5%couponbond。
D)A10-yearmaturity,0%couponbond.
E)Cannottellfromtheinformationgiven.
DDifficulty:
Thelongerthematurityandthelowerthecoupon,thegreatertheduration
17.Whichoneofthefollowingparvalue12%couponbondsexperiencesapricechangeof$23whenthemarketyieldchangesby50basispoints?
A)Thebondwithadurationof6years.
B)Thebondwithadurationof5years.
C)Thebondwithadurationof2。
7years。
D)Thebondwithadurationof5.15years.
E)Noneoftheabove.
DP/P=-DX[D(1+y)/(1+y)];
-.023=-DX[。
005/1.12];
D=5。
15.
18。
Whichoneofthefollowingstatementsistrueconcerningthedurationofaperpetuity?
A)Thedurationof15%yieldperpetuitythatpays$100annuallyislongerthanthatofa15%yieldperpetuitythatpays$200annually。
B)Thedurationofa15%yieldperpetuitythatpays$100annuallyisshorterthanthatofa15%yieldperpetuitythatpays$200annually.
C)Thedurationofa15%yieldperpetuitythatpays$100annuallyisequaltothatof15%yieldperpetuitythatpays$200annually.
D)thedurationofaperpetuitycannotbecalculated。
Durationofaperpetuity=(1+y)/y;
thus,thedurationofaperpetuityisdeterminedbytheyieldandisindependentofthecashflow。
19。
Thetwocomponentsofinterest—rateriskare
A)priceriskanddefaultrisk.
B)reinvestmentriskandsystematicrisk。
C)callriskandpricerisk。
D)priceriskandreinvestmentrisk.
Default,systematic,andcallrisksarenotpartofinterest-raterisk。
Onlypriceandreinvestmentrisksarepartofinterest—raterisk.
20.Thedurationofacouponbond
A)doesnotchangeafterthebondisissued。
B)canaccuratelypredictthepricechangeofthebondforanyinterestratechange.
C)willdecreaseastheyieldtomaturitydecreases。
D)alloftheabovearetrue。
E)noneoftheaboveistrue.
EDifficulty:
Durationchangesasinterestratesandtimetomaturitychange,canonlypredictpricechangesaccuratelyforsmallinterestratechanges,andincreasesastheyieldtomaturitydecreases。
21。
Indexingofbondportfoliosisdifficultbecause
A)thenum
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