Essentials Of Investments 8th Ed Bodie 投资学精要第八版课后习题答案Chap010.docx
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Essentials Of Investments 8th Ed Bodie 投资学精要第八版课后习题答案Chap010.docx
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EssentialsOfInvestments8thEdBodie投资学精要第八版课后习题答案Chap010
Chapter10
BondPricesandYields
1.
a.Catastrophebond.Typicallyissuedbyaninsurancecompany.Theyaresimilartoaninsurancepolicyinthattheinvestorreceivescouponsandparvalue,buttakesalossinpartoralloftheprincipalifamajorinsuranceclaimsisfiledagainsttheissuer.Thisisprovidedinexchangeforhigherthannormalcoupons.
b.Eurobondsarebondsissuedinthecurrencyofonecountrybutsoldinothernationalmarkets.
c.Zero-couponbondsarebondsthatpaynocoupons,butdopayaparvalueatmaturity.
d.Samuraibond.Yen-denominatedbondssoldinJapanbynon-JapaneseissuersarecalledSamuraibonds.
e.Junkbond.ThoseratedBBBorabove(S&P,Fitch)orBaaandabove(Moody’s)areconsideredinvestmentgradebonds,whilelower-ratedbondsareclassifiedasspeculativegradeorjunkbonds.
f.Convertiblebond.Convertiblebondsmaybeexchanged,atthebondholder’sdiscretion,foraspecifiednumberofsharesofstock.Convertiblebondholders“pay”forthisoptionbyacceptingalowercouponrateonthesecurity.
g.Serialbond.Aserialbondisanissueinwhichthefirmsellsbondswithstaggeredmaturitydates.Asbondsmaturesequentially,theprincipalrepaymentburdenforthefirmisspreadovertimejustasitiswithasinkingfund.Serialbondsdonotincludecallprovisions.
h.Equipmentobligationbond.Abondthatisissuedwithspecificequipmentpledgedascollateralagainstthebond.
i.Originalissuediscountbondsarelesscommonthancouponbondsissuedatpar.Thesearebondsthatareissuedintentionallywithlowcouponratesthatcausethebondtosellatadiscountfromparvalue.
j.Indexedbond.Indexedbondsmakepaymentsthataretiedtoageneralpriceindexorthepriceofaparticularcommodity.
2.Callablebondsgivetheissuertheoptiontoextendorretirethebondatthecalldate,whiletheextendableorputtablebondgivesthisoptiontothebondholder.
3.
a.YTMwilldropsincethecompanyhasmoremoneytopaytheinterestonitsbonds.
b.YTMwillincreasessincethecompanyhasmoredebtandtherisktotheexistingbondholdersisnowincreased.
c.YTMwilldecrease.Sincethefirmhaseitherfewercurrentliabilitiesoranincreaseinvariouscurrentassets.
4.
Semi-annualcoupon=1,000x.06x.5=$30.Onemonthofaccruedinterestis30x(30/182)4.945.atapriceof117theinvoicepriceis1,170+4.945=$1,174.95
5.Usingafinancialcalculator,PV=-746.22,FV=1,000,t=5,pmt=0.TheYTMis6.0295%.
Usingafinancialcalculator,PV=-730.00,FV=1,000,t=5,pmt=0.TheYTMis6.4965%.
6.Abond’scouponinterestpaymentsandprincipalrepaymentarenotaffectedbychangesinmarketrates.Consequently,ifmarketratesincrease,bondinvestorsinthesecondarymarketsarenotwillingtopayasmuchforaclaimonagivenbond’sfixedinterestandprincipalpaymentsastheywouldifmarketrateswerelower.Thisrelationshipisapparentfromtheinverserelationshipbetweeninterestratesandpresentvalue.Anincreaseinthediscountrate(i.e.,themarketrate)decreasesthepresentvalueofthefuturecashflows.
7.Thebondcallableat105shouldsellatalowerpricebecausethecallprovisionismorevaluabletothefirm.Therefore,itsyieldtomaturityshouldbehigher.
8.Thebondpricewillbelower.Astimepasses,thebondprice,whichisnowaboveparvalue,willapproachpar.
9.Currentyield=48/970=4.95%
10.Usingafinancialcalculator,FV=1,000,t=7,pmt=60,r=7.Price=946.11
TheHPR=(946.11–1000+60)/1000=.0061or0.61%gain.
11.Zerocouponbondsprovidenocouponstobereinvested.Therefore,thefinalvalueoftheinvestor'sproceedsfromthebondisindependentoftherateatwhichcouponscouldbereinvested(iftheywerepaid).Thereisnoreinvestmentrateuncertaintywithzeros.
12.
a.Effectiveannualrateonthree-monthT-bill:
b.Effectiveannualinterestrateoncouponbondpaying5%semiannually:
(1.05)2–1=0.1025=10.25%
Therefore,thecouponbondhasthehighereffectiveannualinterestrate.
13.Theeffectiveannualyieldonthesemiannualcouponbondsis8.16%.Iftheannualcouponbondsaretosellatpartheymustofferthesameyield,whichrequiresanannualcouponof8.16%.
14.
a.Thebondpays$50everysixmonths.
Currentprice:
[$50´Annuityfactor(4%,6)]+[$1000´PVfactor(4%,6)]=$1,052.42
Assumingthemarketinterestrateremains4%perhalfyear,pricesixmonthsfromnow:
[$50´Annuityfactor(4%,5)]+[$1000´PVfactor(4%,5)]=$1,044.52
b.Rateofreturn=
15.
a.Usethefollowinginputs:
n=40,FV=1000,PV=–950,PMT=40.Youwillfindthattheyieldtomaturityonasemi-annualbasisis4.26%.Thisimpliesabondequivalentyieldtomaturityof:
4.26%´2=8.52%
Effectiveannualyieldtomaturity=(1.0426)2–1=0.0870=8.70%
b.Sincethebondissellingatpar,theyieldtomaturityonasemi-annualbasisisthesameasthesemi-annualcoupon,4%.Thebondequivalentyieldtomaturityis8%.
Effectiveannualyieldtomaturity=(1.04)2–1=0.0816=8.16%
c.KeepingotherinputsunchangedbutsettingPV=–1050,wefindabondequivalentyieldtomaturityof7.52%,or3.76%onasemi-annualbasis.
Effectiveannualyieldtomaturity=(1.0376)2–1=0.0766=7.66%
16.Sincethebondpaymentsarenowmadeannuallyinsteadofsemi-annually,thebondequivalentyieldtomaturityisthesameastheeffectiveannualyieldtomaturity.Theinputsare:
n=20,FV=1000,PV=–price,PMT=80.Theresultingyieldsforthethreebondsare:
Theyieldscomputedinthiscasearelowerthantheyieldscalculatedwithsemi-annualcouponpayments.Allelseequal,bondswithannualpaymentsarelessattractivetoinvestorsbecausemoretimeelapsesbeforepaymentsarereceived.Ifthebondpriceisthesamewithannualpayments,thenthebond'syieldtomaturityislower.
17.
Nominalreturn=
Realreturn=
Secondyear
Thirdyear
Nominalreturn:
Realreturn:
Therealrateofreturnineachyearispreciselythe4%realyieldonthebond.
18.
Rememberthattheconventionistousesemi-annualperiods:
19.Usingafinancialcalculator,PV=-800,FV=1,000,t=10,pmt=80.TheYTMis11.46%.
Usingafinancialcalculator,FV=1,000,t=9,pmt=80,r=11.46%.Thenewpricewillbe811.70.Thus,thecapitalgainis$11.70.
20.Thereportedbondpriceis:
1002/32percentofpar=$1,000.625
However,15dayshavepassedsincethelastsemiannualcouponwaspaid,soaccruedinterestequals:
$35x(15/182)=$2.885
Theinvoicepriceisthereportedpriceplusaccruedinterest:
$1003.51
21.Iftheyieldtomaturityisgreaterthancurrentyield,thenthebondofferstheprospectofpriceappreciationasitapproachesitsmaturitydate.Therefore,thebondissellingbelowparvalue.
22.Thecouponrateisbelow9%.Ifcoupondividedbypriceequals9%,andpriceislessthanpar,thencoupondividedbyparislessthan9%.
23.ThesolutionisobtainedusingExcel:
24.ThesolutionisobtainedusingExcel:
25.Thestatedyieldtomaturityequals16.075%:
[n=10;PV=900;FV=1000;PMT=140]
Basedonexpectedcouponpaymentsof$70annually,
theexpectedyieldtomaturityis:
8.526%
26.Thebondissellingatparvalue.Itsyieldtomaturityequalsthecouponrate,10%.Ifthefirst-yearcouponisreinvestedataninterestrateofrpercent,thentotalproceedsattheendofthesecondyearwillbe:
[100⨯(1+r)+1100].Therefore,realizedcompoundyieldtomaturitywillbeafunctionofrasgiveninthefollowingtable:
r
Totalproceeds
RealizedYTM=
8%
$1208
10%
$1210
12%
$1212
27.April15ismidwaythroughthesemi-annualcouponperiod.Therefore,theinvoicepricewillbehigherthanthestatedaskpricebyanamountequaltoone-halfofthesemiannualcoupon.Theaskpriceis101.125percentofpar,sotheinvoicepriceis:
$1,011.25+(1/2⨯$50)=$1,036.25
28.FactorsthatmightmaketheABCdebtmoreattractivetoinvestors,thereforejustifyingalowercouponrateandyieldtomaturity,are:
∙TheABCdebtisalargerissueandthereforemaysellwithgreaterliquidity.
∙Anoptiontoextendthetermfrom10yearsto20yearsisfavorableifinterestratestenyearsfromnowarelowerthantoday’sinterestrates.Incontrast,ifinterestratesarerising,theinvestorcanpresentthebondforpaymentandreinvestthemoneyforbetterreturns.
∙Intheeventoftrouble,theABCdebtisamoreseniorclaim.Ithasmoreunderlyingsecurityintheformofafirstclaimagainstrealproperty.
∙ThecallfeatureontheXYZbondsmakestheABCbondsrelativelymoreattractivesinceABCbondscannotbecalledfromtheinvestor.
∙TheXYZbondhasasinkingfundrequiringXYZtoretirepartoftheissueeachyear.Sincemostsinkingfundsgivethefirmtheoptiontoretirethisamountatthelowerofparormarketvalue,thesinkingfundcanworktothedetrimentofbondholders.
29.
a.Thefloating-ratenotepaysacouponthatadjuststomarketlevels.Therefore,itwillnotexperiencedramaticpricechangesasmarketyieldsfluctuate.Thefixedratenotethereforewillhaveagreaterpricerange.
b.Floatingratenotesmaynotsellatparforanyoftheseveralreasons:
Theyieldspreadbetweenone-yearTreasurybillsandothermoneymarketinstrumentsofcomparablematuritycouldbewiderthanitwaswhenthebondwasissued.
ThecreditstandingofthefirmmayhaveerodedrelativetoTreasurysecuritiesthathavenocreditrisk.Therefore,the2%premiumwouldbecomeinsufficienttosustaintheissueatpar.
Thecouponincreasesareimplementedwithalag,i.e.,onceeveryyear.Duringaperiodofrisinginterestrates,eventhisbrieflagw
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