金融市場試卷(2)金融考試題西南大學(xué)天府學(xué)院解析

1、1) Thepricepaidfortherentalofborrowedfunds(usuallyexpressedasapercentageoftherentalof$100peryear)iscommonlyreferredtoastheA) inflationrate.B) exchangerate.C) interestrate.D) aggregatepricelevel.Answer:C2) FinancialmarketsandinstitutionsA) involvethemovementofhugequantitiesofmoney.B) affecttheprofits

2、ofbusinesses.C) affectthetypesofgoodsandservicesproducedinaneconomy.D) doalloftheabove.E) doonly(A)and(B)oftheabove.Answer:D3) Whichofthefollowingcanbedescribedasinvolvingdirectfinance?A) Acorporation'sstockistradedinanover-the-countermarket.B) Peoplebuysharesinamutualfund.C) Apensionfundmanager

3、buyscommercialpaperinthesecondarymarket.D) Aninsurancecompanybuyssharesofcommonstockintheover-the-countermarkets.E) Noneoftheabove.Answer:E4) ThepurposeofdiversificationistoA) reducethevolatilityofaportfolio'sreturn.B) raisethevolatilityofaportfolio'sreturn.C) reducetheaveragereturnonaportfo

4、lio.D) raisetheaveragereturnonaportfolio.Answer:A5) Whentheinterestrateonabondistheequilibriuminterestrate,thereisexcessinthebondmarketandtheinterestratewill.A) below;demand;riseB) below;demand;fallC) below;supply;riseD) above;supply;fallAnswer:C6) Inarecessionwhenincomeandwealtharefalling,thedemand

5、forbondsandthedemandcurveshiftstothe.A) falls;rightB) falls;leftC) rises;rightD) rises;leftAnswer:B7) Whenpeoplebegintoexpectalargestockmarketdecline,thedemandcurveforbondsshiftstotheandtheinterestrate.A) right;fallsB) right;risesC) left;fallsD) left;risesAnswer:A8) Thespreadbetweeninterestratesonlo

6、wqualitycorporatebondsandU.S.governmentbondsduringtheGreatDepression.A) wasreversedB) narrowedsignificantlyC) widenedsignificantlyD) didnotchangeAnswer:C9) Ifincometaxrateswerelowered,thenA) theinterestrateonmunicipalbondswouldfall.B) theinterestrateonTreasurybondswouldrise.C) theinterestrateonmunic

7、ipalbondswouldrise.D) thepriceofTreasurybondswouldfall.Answer:C10) Accordingtotheexpectationstheoryofthetermstructure,A) yieldcurvesshouldbeequallylikelytoslopedownwardastoslopeupward.B) whentheyieldcurveissteeplyupward-sloping,short-terminterestratesareexpectedtoriseinthefuture.C) whentheyieldcurve

8、isdownward-sloping,short-terminterestratesareexpectedtoremainrelativelystableinthefuture.D) alloftheabove.E) onlyAandBoftheabove.Answer:E11) AccordingtotheefficientmarkethypothesisA) onecannotexpecttoearnanabnormallyhighreturnbypurchasingasecurity.B) informationinnewspapersandinthepublishedreportsof

9、financialanalystsisalreadyreflectedinmarketprices.C) unexploitedprofitopportunitiesabound,therebyexplainingwhysomanypeoplegetrichbytradingsecurities.D) alloftheabovearetrue.E) onlyAandBoftheabovearetrue.Answer:E12) Tosaythatstockpricesfollowa"randomwalk"istoarguethatA) stockpricesrise,then

10、fall.B) stockpricesrise,thenfallinapredictablefashion.C) stockpricestendtofollowtrends.D) stockpricesare,forallpracticalpurposes,unpredictable.Answer:D13) TheefficientmarkethypothesissuggeststhatA) investorsshouldpurchaseno-loadmutualfundswhichhavelowmanagementfees.B) investorscanusetheadviceoftechn

11、icalanalyststooutperformthemarket.C) investorslettoomanyunexploitedprofitopportunitiesgobyiftheyadopta"buyandhold"strategy.D) onlyAandBoftheabovearesensiblestrategies.Answer:A14) Whichofthefollowingisempiricalevidenceindicatingthattheefficientmarkethypothesismaynotalwaysbegenerallyapplicab

12、le?A) Small-firmeffectB) JanuaryeffectC) MarketOverreactionD) AlloftheaboveAnswer:D15) AnopenmarketpurchaseofsecuritiesbytheFedwillA) increaseassetsofthenonbankpublicandincreaseassetsofthebankingsystem.B) decreaseassetsofthenonbankpublicandincreaseassetsoftheFed.C) decreaseassetsofthebankingsysteman

13、dincreaseassetsoftheFed.D) havenoeffectonassetsofthenonbankpublicbutincreaseassetsoftheFed.E) increaseassetsofthebankingsystemanddecreaseassetsoftheFed.Answer:D16) Underusualcircumstances,anincreaseinthediscountratecausesA) thefederalfundsratetofall.B) thefederalfundsratetorise.C) nochangeinthefeder

14、alfundsrate.D) thesupplyofreservestoincrease.E) thesupplyofreservestodecrease.Answer:C17) Whichofthefollowingisnotanoperatingtarget?A) NonborrowedreservesB) MonetarybaseC) FederalfundsinterestrateD) DiscountrateE) Allareoperatingtargets.Answer:D18) MoneymarketinstrumentsA) areusuallysoldinlargedenom

15、inations.B) havelowdefaultrisk.C) matureinoneyearorless.D) arecharacterizedbyalloftheabove.E) arecharacterizedbyonlyAandBoftheabove.Answer:D19) IftheFedwantstolowerthefederalfundsinterestrate,itwillthebankingsystembysecurities.A) addreservesto;sellingB) addreservesto;buyingC) removereservesfrom;sell

16、ingD) removereservesfrom;buyingAnswer:B20) MoneymarkettransactionsA) donottakeplaceinanyoneparticularlocationorbuilding.B) areusuallyarrangedpurchasesandsalesbetweenparticipantsoverthephonebytradersandcompletedelectronically.C) both(a)and(b).D) nonethetheabove.Answer:C21) Theprimaryreasonthatindivid

17、ualsandfirmschoosetoborrowlong-termistoreducetheriskthatinterestrateswillfallbeforetheypayofftheirdebt.Answer：False22) Typically,theinterestrateoncorporatebondswillbehigherthemorerestrictionsareplacedonmanagementthroughrestrictivecovenants,becausethebondswillbeconsideredsaferbybondholdersAnswer:Fals

18、e23) Achangeinthecurrentyieldalwayssignalsachangeinthesamedirectionoftheyieldtomaturity.Answer:True24) Abanksbalancesheetindicateswhetherornotthebankisprofitable.Answer:False25) DepositsthatbankskeepinaccountsattheFederalReservelessvaultcashiscalledreserves.Answer:False26) Sinceabank'sassetsexce

19、editsequitycapital,thereturnonassetsalwaysexceedsthereturnonequity.Answer:False27) Adverseselectionreferstothosemostatriskbeingmostaggressiveintheirsearchforfunds.Answer:True28) Financialinnovationhasprovidedmoreoptionstobothinvestorsandborrowers.Answer:True28) Whenthefederalgovernment'sbudgetde

20、ficitdecreases,thedemandcurveforbondsshiftstotheright.Answer:False29) Anincreaseintheinflationratewillcausethedemandcurveforbondstoshifttotheright.Answer:False30) Apositiveliquiditypremiumindicatesthatinvestorspreferlong-termbondsovershort-termbonds.Answer:False31) Whenyieldcurvesaredownwardsloping,

21、long-terminterestratesareaboveshort-terminterestrates.Answer:False32) Inanefficientmarket,abnormalreturnsarenotpossibleevenusinginsideinformation.Answer:False33) Technicalanalysisisapopulartechniqueusedtopredictstockpricesbystudyingpaststockpricedataandsearchforpatternssuchastrendsandregularcycles.A

22、nswer:True34) Anopenmarketsaleleadstoanexpansionofreservesanddepositsinthebankingsystemandhencetoadeclineinthemonetarybaseandthemoneysupply.Answer:False35) OpenmarketpurchasesbytheFedincreasethesupplyofnonborrowedreserves.Answer:True36) Ingeneral,moneymarketinstrumentsarelowrisk,highyieldsecurities.

23、Answer:False37) Moneymarketsarereferredtoasretailmarketsbecausesmallindividualinvestorsaretheprimarybuyersofmoneymarketsecurities.Answer:False38) Capitalmarketsecuritiesarelessliquidandhavelongermaturitiesthanmoneymarketsecurities.Answer:True39) Thecurrentyieldonabondisagoodapproximationofthebond

24、9;syieldtomaturitywhenthebondmaturesinfiveyearsorlessanditspricediffersfromitsparvaluebyalargeamount.Answer:False40) Abank'slargestsourceoffundsisitsborrowingfromtheFed.Answer:False1. Considerabondwitha7%annualcouponandafacevalueof$1,000.Completethefollowingtable:YearstoMaturityDiscountRateCurre

25、ntPrice3537679799Whatrelationshipdoyouobservebetweenyieldtomaturityandthecurrentmarketvalue?(10分)Solution:YearstoMaturityYieldtoMaturityCurrentPrice35$1,054.4637$1,000.0067$1,000.0095$1,142.1699$880.10Whenyieldtomaturityisabovethecouponrate,theband'scurrentpriceisbelowitsfacevalue.Theoppositehol

26、dstruewhenyieldtomaturityisbelowthecouponrate.Foragivenmaturity,thebond'scurrentpricefallsasyieldtomaturityrises.Foragivenyieldtomaturity,abond'svaluerisesasitsmaturityincreases.Whenyieldtomaturityequalsthecouponrate,abond'scurrentpriceequalsitsfacevalueregardlessofyearstomaturity.2. Aty

27、ourfavoritebondstore,Bonds-R-Us,youseethefollowingprices:1- year$100zerosellingfor$90.193-year10%coupon$1000parbondsellingfor$10002- year10%coupon$1000parbondsellingfor$1000Assumethatthepureexpectationstheoryforthetermstructureofinterestratesholds,noliquidityormaturitypremiumexists,andthebondsareequ

28、allyrisky.Whatistheimplied1-yearratetwoyearsfromnow?(10分)Solution:From(a),youknowthatthe1-yearratetodayis10.877%.Usingthisinformation,(c)tellsyouthat:2- yearrate)人2+1100/(1+100/1.10877=1000So,the2-yearratetodayis9.95%.Usingthesetworates,(b)tellsyouthat:3- yearrate)3+1100/(1+100/1.09952+100/1.10877=1

29、000So,the3-yearratetodayis9.97%x9.97%2x(3=yearrate2yearsfromnow10.01%=9.95%)3. Abankhastwo,3-yearcommercialloanswithapresentvalueof$70million.Thefirstisa$30millionloanthatrequiresasinglepaymentof$37.8millionin3years,withnootherpaymentsuntilthen.Thesecondisfor$40million.Itrequiresanannualinterestpaym

30、entof$3.6million.Theprincipalof$40millionisduein3years.(15分)Whatisthedurationofthebank'scommercialloanportfolio?Whatwillhappentothevalueofitsportfolioifthegenerallevelofinterestratesincreasedfrom8%to8.5%?Solution:Thedurationofthefirstloanis3yearssinceitisazero-couponloan.Thedurationofthesecondlo

31、anisasfollows:Year123SumPayment3.603.6043.60PVofPayments3.333.0934.6141.03TimeWeightedPVofPayments3.336.18103.83TimeWeightedPVofPaymentsDividedbyPrice0.080.152.532.76Thedurationofaportfolioistheweightedaveragedurationofitsindividualsecurities.So,theportfolio's2.86=(2.76)x4/7+(3)x3/7=durationIfra

32、tesincreased,4. Accordingtotheloanablefundsframeworks,drawtwofigurestoexplainthechangesofinterestratesduringexpansionandrecession.(5分)Problems1. ThefollowingtablelistsforeignexchangeratesbetweenUSdollarsandBritishpoundsduringApril.DateUSDollarsperGBPDateUSDollarsperGBP4/11.95644/181.75044/41.92934/1

33、91.72554/51.9144/201.69144/61.93744/211.6724/71.9614/221.66844/81.89254/251.66744/111.88224/261.68574/121.85584/271.69254/131.7964/281.72014/141.79024/291.75124/151.7785Whichdaywouldhavebeenthebestdaytoconvert$200intoBritishpounds?Whichdaywouldhavebeentheworstday?Whatwouldbethedifferenceinpounds?2.

34、Considerabondwitha7%annualcouponandafacevalueof$1,000.Completethefollowingtable:YearstoMaturityDiscountRateCurrentPrice3537679799Whatrelationshipdoyouobservebetweenyieldtomaturityandthecurrentmarketvalue?3. Youarewillingtopay$15,625nowtopurchaseaperpetuitywhichwillpayyouandyourheirs$1,250eachyear,fo

35、rever,startingattheendofthisyear.Ifyourrequiredrateofreturndoesnotchange,howmuchwouldyoubewillingtopayifthiswerea20-year,annualpayment,ordinaryannuityinsteadofaperpetuity?4. Abankhastwo,3-yearcommercialloanswithapresentvalueof$70million.Thefirstisa$30millionloanthatrequiresasinglepaymentof$37.8milli

36、onin3years,withnootherpaymentsuntilthen.Thesecondisfor$40million.Itrequiresanannualinterestpaymentof$3.6million.Theprincipalof$40millionisduein3years.a. Whatisthedurationofthebank'scommercialloanportfolio?b. Whatwillhappentothevalueofitsportfolioifthegenerallevelofinterestratesincreasedfrom8%to8

37、.5%?5. Considerabondthatpromisesthefollowingcashflows.Therequireddiscountrateis12%.Year01234PromisedPayments160170180230Youplantobuythisbond,holditfor2%years,andthensellthebond.a. Whattotalcashwillyoureceivefromthebondafterthe2%years?Assumethatperiodiccashflowsarereinvestedat12%.b. Ifimmediatelyafte

38、rbuyingthisbond,allmarketinterestratesdropto11%(includingyourreinvestmentrate),whatwillbetheimpactonyourtotalcashflowafter2%years?Howdoesthiscomparetopart(a)?c. Assumingallmarketinterestratesare12%,whatisthedurationofthisbond?Solution:a.Youwillreceive160,reinvestedthatfor1.5years,and170reinvestedfor

39、0.5years.Thenyouwillselltheremainingcashflows,discountedat12%.Thisgivesyou:180230160x(1.12)1.5+170x(1.12)o.5+=$720.5 1.121.5b.Thisisthesameaspart(a),buttherateisnow11%.180230160x(1.11).5+170x(1.11.5+=$710.5 1.111.5Noticethatthisisonly$0.05differentfrompart(a).6. Youowna$1,000-parze

40、ro-couponbondthathas5yearsofremainingmaturity.Youplanonsellingthebondinoneyear,andbelievethattherequiredyieldnextyearwillhavethefollowingprobabilitydistribution:ProbabilityRequiredYield0.16.60%0.26.75%0.47.00%0.27.20%0.17.45%a.Whatisyourexpectedpricewhenyousellthebond?b.Whatisthestandarddeviation?Mu

41、ltipleChoice1. Whentheinflationrateisexpectedtoincrease,therealcostofborrowingdeclinesatanygiveninterestrate;asaresult,thebondsincreasesandthecurveshiftstotheright.PriceofBcrulsFA) demandfor;demandB) demandfor;supplyC) supplyof;demandD) supplyof;supplyInFigure4.1,themostlikelycauseoftheincreaseinthe

42、fromi1toi2isA) anincreaseinthepriceofbonds.B) abusinesscycleboom.C) anincreaseintheexpectedinflationrate.D) adecreaseintheexpectedinflationrate.InFigure4.2,onepossibleexplanationfortheincreaseintheinterestratefromi1toi2isa(n)in.A) increase;theexpectedinflationrateB) decrease;theexpectedinflationrate

43、C) increase;economicgrowthD) decrease;economicgrowthSolution:YearstoMaturityYieldtoMaturityCurrentPrice35$1,054.4637$1,000.0067$1,000.0095$1,142.1699$880.10Whenyieldtomaturityisabovethecouponrate,theband'scurrentpriceisbelowitsfacevalue.Theoppositeholdstruewhenyieldtomaturityisbelowthecouponrate

44、.Foragivenmaturity,thebond'scurrentpricefallsasyieldtomaturityrises.Foragivenyieldtomaturity,abond'svaluerisesasitsmaturityincreases.Whenyieldtomaturityequalsthecouponrate,abond'scurrentpriceequalsitsfacevalueregardlessofyearstomaturity.Solution:Tofindyouryieldtomaturity,Perpetuityvalue=

45、PMT/I.So,15625=1250/I.I=0.08Theanswertothefinalpart,usingafinancialcalculator:N=20;I=8;PMT=1250;FV=0ComputePV:PV=12,272.69Solution:a.Youwillreceive160,reinvestedthatfor1.5years,and170reinvestedfor0.5years.Thenyouwillselltheremainingcashflows,discountedat12%.Thisgivesyou:180230160x(1.12)1.5+170x(1.12

46、)o.5+=$720.5 1.121.5b.Thisisthesameaspart(a),buttherateisnow11%.180230160x(1.11).5+170x(1.11.5+=$710.5 1.111.5Noticethatthisisonly$0.05differentfrompart(a).c. Thedurationiscalculatedasfollows:Year1234SumPayments160.00170.00180.00230.00PVofPayments142.86135.52128.12146.17552.67TimeWeightedPVof142.86271.05384.36584.68PaymentsTimeWeightedPVof0.260.490.701.062.50PaymentsDividedbyP