证券投资学英文第7版课后答案：chap016

《证券投资学英文第7版课后答案：chap016》由会员分享，可在线阅读，更多相关《证券投资学英文第7版课后答案：chap016（29页珍藏版）》请在装配图网上搜索。

1、Multiple Choice Questions1.The duration of a bond is a function of the bonds A)coupon rate. B)yield to maturity. C)time to maturity. D)all of the above. E)none of the above. Answer: D Difficulty: Easy Rationale: Duration is calculated by discounting the bonds cash flows at the bonds yield to maturit

2、y and, except for zero-coupon bonds, is always less than time to maturity.2.Ceteris paribus, the duration of a bond is positively correlated with the bonds A)time to maturity. B)coupon rate. C)yield to maturity. D)all of the above. E)none of the above. Answer: A Difficulty: Moderate Rationale: Durat

3、ion is negatively correlated with coupon rate and yield to maturity.3.Holding other factors constant, the interest-rate risk of a coupon bond is higher when the bonds: A)term-to-maturity is lower. B)coupon rate is higher. C)yield to maturity is lower. D)current yield is higher. E)none of the above.

4、Answer: C Difficulty: Moderate Rationale: The longer the maturity, the greater the interest-rate risk. The lower the coupon rate, the greater the interest-rate risk. The lower the yield to maturity, the greater the interest-rate risk. These concepts are reflected in the duration rules; duration is a

5、 measure of bond price sensitivity to interest rate changes (interest-rate risk).4.The modified duration used by practitioners is equal to the Macaulay duration A)times the change in interest rate. B)times (one plus the bonds yield to maturity). C)divided by (one minus the bonds yield to maturity).

6、D)divided by (one plus the bonds yield to maturity). E)none of the above. Answer: D Difficulty: Moderate Rationale: D* = D/(1 + y)5.Given the time to maturity, the duration of a zero-coupon bond is higher when the discount rate is A)higher. B)lower. C)equal to the risk free rate. D)The bonds duratio

7、n is independent of the discount rate. E)none of the above. Answer: D Difficulty: Moderate Rationale: The duration of a zero-coupon bond is equal to the maturity of the bond.6.The interest-rate risk of a bond is A)the risk related to the possibility of bankruptcy of the bonds issuer. B)the risk that

8、 arises from the uncertainty of the bonds return caused by changes in interest rates. C)the unsystematic risk caused by factors unique in the bond. D)A and B above. E)A, B, and C above. Answer: B Difficulty: Moderate Rationale: Changing interest rates change the bonds return, both in terms of the pr

9、ice of the bond and the reinvestment of coupon payments.7.Which of the following two bonds is more price sensitive to changes in interest rates?1) A par value bond, X, with a 5-year-to-maturity and a 10% coupon rate.2) A zero-coupon bond, Y, with a 5-year-to-maturity and a 10% yield-to-maturity. A)B

10、ond X because of the higher yield to maturity. B)Bond X because of the longer time to maturity. C)Bond Y because of the longer duration. D)Both have the same sensitivity because both have the same yield to maturity. E)None of the above Answer: C Difficulty: Moderate Rationale: Duration is the best m

11、easure of bond price sensitivity; the longer the duration the higher the price sensitivity.8.Holding other factors constant, which one of the following bonds has the smallest price volatility? A)5-year, 0% coupon bond B)5-year, 12% coupon bond C)5 year, 14% coupon bond D)5-year, 10% coupon bond E)Ca

12、nnot tell from the information given. Answer: C Difficulty: Moderate Rationale: Duration (and thus price volatility) is lower when the coupon rates are higher.9.Which of the following is not true? A)Holding other things constant, the duration of a bond increases with time to maturity. B)Given time t

13、o maturity, the duration of a zero-coupon decreases with yield to maturity. C)Given time to maturity and yield to maturity, the duration of a bond is higher when the coupon rate is lower. D)Duration is a better measure of price sensitivity to interest rate changes than is time to maturity. E)All of

14、the above. Answer: B Difficulty: Moderate Rationale: The duration of a zero-coupon bond is equal to time to maturity, and is independent of yield to maturity.10.The duration of a 5-year zero-coupon bond is A)smaller than 5. B)larger than 5. C)equal to 5. D)equal to that of a 5-year 10% coupon bond.

15、E)none of the above. Answer: C Difficulty: Easy Rationale: Duration of a zero-coupon bond equals the bonds maturity.11.The basic purpose of immunization is to A)eliminate default risk. B)produce a zero net interest-rate risk. C)offset price and reinvestment risk. D)A and B. E)B and C. Answer: E Diff

16、iculty: Moderate Rationale: When a portfolio is immunized, price risk and reinvestment risk exactly offset each other resulting in zero net interest-rate risk.12.The duration of a par value bond with a coupon rate of 8% and a remaining time to maturity of 5 years is A)5 years. B)5.4 years. C)4.17 ye

17、ars. D)4.31 years. E)none of the above. Answer: D Difficulty: Moderate Rationale: Calculations are shown below.Yr.CFPV of CF08%Weight * Yr.1$80$80/1.08 = $74.070.0741 * 1 = 0.07412$80$80/(1.08)2 = $68.590.0686 * 2 = 0.13723$80$80/(1.08)3 = $63.510.0635 * 3 = 0.19054$80$80/(1.08)4 = $58.800.0588 * 4

18、= 0.23525$1,080$1,080/(1.08)5 = $735.030.7350 * 5 = 3.6750Sum$1000.004.3120 yrs. (duration)13.The duration of a perpetuity with a yield of 8% is A)13.50 years. B)12.11 years. C)6.66 years. D)cannot be determined. E)none of the above. Answer: A Difficulty: Easy Rationale: D = 1.08/0.08 = 13.50 years.

19、14.A seven-year par value bond has a coupon rate of 9% and a modified duration of A)7 years. B)5.49 years. C)5.03 years. D)4.87 years. E)none of the above. Answer: C Difficulty: Difficult Rationale: Calculations are shown below.Yr.CFPV of CF9%Weight * Yr.1$90$82.570.0826 X 1 = 0.08262$90$75.750.0758

20、 X 2 = 0.15163$90$69.500.0695 X 3 = 0.20854$90$63.760.0638 X 4 = 0.25525$90$58.490.0585 X 5 = 0.29256$90$53.660.0537 X 6 = 0.32227$1,090$596.260.5963 X 7 = 4.1741Sum$1000.005.4867 years (duration)modified duration = 5.4867 years/1.09 = 5.03 years.15.Par value bond XYZ has a modified duration of 6. W

21、hich one of the following statements regarding the bond is true? A)If the market yield increases by 1% the bonds price will decrease by $60. B)If the market yield increases by 1% the bonds price will increase by $50. C)If the market yield increases by 1% the bonds price will decrease by $50. D)If th

22、e market yield increases by 1% the bonds price will increase by $60. E)None of the above. Answer: A Difficulty: Moderate Rationale: = -D*-$60 = -6(0.01) X $1,00016.Which of the following bonds has the longest duration? A)An 8-year maturity, 0% coupon bond. B)An 8-year maturity, 5% coupon bond. C)A 1

23、0-year maturity, 5% coupon bond. D)A 10-year maturity, 0% coupon bond. E)Cannot tell from the information given. Answer: D Difficulty: Moderate Rationale: The longer the maturity and the lower the coupon, the greater the duration17.Which one of the following par value 12% coupon bonds experiences a

24、price change of $23 when the market yield changes by 50 basis points? A)The bond with a duration of 6 years. B)The bond with a duration of 5 years. C)The bond with a duration of 2.7 years. D)The bond with a duration of 5.15 years. E)None of the above. Answer: D Difficulty: Difficult Rationale: DP/P

25、= -D X D(1+y) / (1+y); -.023 = -D X .005 / 1.12; D = 5.15.18.Which one of the following statements is true concerning the duration of a perpetuity? A)The duration of 15% yield perpetuity that pays $100 annually is longer than that of a 15% yield perpetuity that pays $200 annually. B)The duration of

26、a 15% yield perpetuity that pays $100 annually is shorter than that of a 15% yield perpetuity that pays $200 annually. C)The duration of a 15% yield perpetuity that pays $100 annually is equal to that of 15% yield perpetuity that pays $200 annually. D)the duration of a perpetuity cannot be calculate

27、d. E)None of the above. Answer: C Difficulty: Easy Rationale: Duration of a perpetuity = (1 + y)/y; thus, the duration of a perpetuity is determined by the yield and is independent of the cash flow.19.The two components of interest-rate risk are A)price risk and default risk. B)reinvestment risk and

28、 systematic risk. C)call risk and price risk. D)price risk and reinvestment risk. E)none of the above. Answer: D Difficulty: Easy Rationale: Default, systematic, and call risks are not part of interest-rate risk. Only price and reinvestment risks are part of interest-rate risk.20.The duration of a c

29、oupon bond A)does not change after the bond is issued. B)can accurately predict the price change of the bond for any interest rate change. C)will decrease as the yield to maturity decreases. D)all of the above are true. E)none of the above is true. Answer: E Difficulty: Easy Rationale: Duration chan

30、ges as interest rates and time to maturity change, can only predict price changes accurately for small interest rate changes, and increases as the yield to maturity decreases.21.Indexing of bond portfolios is difficult because A)the number of bonds included in the major indexes is so large that it w

31、ould be difficult to purchase them in the proper proportions. B)many bonds are thinly traded so it is difficult to purchase them at a fair market price. C)the composition of bond indexes is constantly changing. D)all of the above are true. E)both A and B are true. Answer: D Difficulty: Moderate Rati

32、onale: All of the above are true statements about bond indexes.22.You have an obligation to pay $1,488 in four years and 2 months. In which bond would you invest your $1,000 to accumulate this amount, with relative certainty, even if the yield on the bond declines to 9.5% immediately after you purch

33、ase the bond? A)a 6-year; 10% coupon par value bond B)a 5-year; 10% coupon par value bond C)a 5-year; zero-coupon bond D)a 4-year; 10% coupon par value bond E)none of the above Answer: B Difficulty: Difficult Rationale: When duration = horizon date, one is immunized, or protected, against one intere

34、st rate change. The zero has D = 5. Since the other bonds have the same coupon and yield, solve for the closest value of T that gives D = 4.2 years. 4.2 = (1.10)/.10 - (1.10) + T(.10-.10) / = 1.1; .68 (1.10) T - .68 + .68 = 1.1; .68 (1.10) T = 1.1; (1.10) T = 1.6176; T ln (1.10) = ln (1.6176); T = 5

35、.05 years, so choose the 5-year 10% coupon bond.23.Duration measures A)weighted average time until a bonds half-life. B)weighted average time until cash flow payment. C)the time required to recoup ones investment, assuming the bond was purchased for $1,000. D)A and C. E)B and C. Answer: E Difficulty

36、: Moderate Rationale: B and C are true, as one receives coupon payments throughout the life of the bond (for coupon bonds); thus, duration is less than time to maturity (except for zeros).24.Duration A)assesses the time element of bonds in terms of both coupon and term to maturity. B)allows structur

37、ing a portfolio to avoid interest-rate risk. C)is a direct comparison between bond issues with different levels of risk. D)A and B. E)A and C. Answer: D Difficulty: Moderate Rationale: Duration is a weighted average of when the cash flows of a bond are received; thus both coupon and time to maturity

38、 are considered. If the duration of the portfolio equals the investors horizon date, the investor is protected against interest rate changes.25.Identify the bond that has the longest duration (no calculations necessary). A)20-year maturity with an 8% coupon. B)20-year maturity with a 12% coupon. C)1

39、5-year maturity with a 0% coupon. D)10-year maturity with a 15% coupon. E)12-year maturity with a 12% coupon. Answer: C Difficulty: Moderate Rationale: The lower the coupon, the longer the duration. The zero-coupon bond is the ultimate low coupon bond, and thus would have the longest duration.26.Whe

40、n interest rates decline, the duration of a 10-year bond selling at a premium A)increases. B)decreases. C)remains the same. D)increases at first, then declines. E)decreases at first, then increases. Answer: A Difficulty: Moderate Rationale: The relationship between interest rates and duration is an

41、inverse one.27.An 8%, 30-year corporate bond was recently being priced to yield 10%. The Macaulay duration for the bond is 10.20 years. Given this information, the bonds modified duration would be_. A)8.05 B)9.44 C)9.27 D)11.22 E)none of the above Answer: C Difficulty: Easy Rationale: D* = D/(1 + y)

42、; D* = 10.2/(1.1) = 9.2728.An 8%, 15-year bond has a yield to maturity of 10% and duration of 8.05 years. If the market yield changes by 25 basis points, how much change will there be in the bonds price? A)1.85% B)2.01% C)3.27% D)6.44% E)none of the above Answer: A Difficulty: Moderate Rationale: P/

43、P = (-8.05 X 0.0025)/1.1 = 1.85%29.One way that banks can reduce the duration of their asset portfolios is through the use of A)fixed rate mortgages. B)adjustable rate mortgages. C)certificates of deposit. D)short-term borrowing. E)none of the above. Answer: B Difficulty: Easy Rationale: One of the

44、gap management strategies practiced by banks is the issuance of adjustable rate mortgages, which reduce the interest rate sensitivity of their asset portfolios.30.The duration of a bond normally increases with an increase in A)term to maturity. B)yield to maturity. C)coupon rate. D)all of the above.

45、 E)none of the above. Answer: A Difficulty: Moderate Rationale: The relationship between duration and term to maturity is a direct one; the relationship between duration and yield to maturity and to coupon rate is negative.31.Which one of the following is an incorrect statement concerning duration?

46、A)The higher the yield to maturity, the greater the duration B)The higher the coupon, the shorter the duration. C)The difference in duration is small between two bonds with different coupons each maturing in more than 15 years. D)The duration is the same as term to maturity only in the case of zero-

47、coupon bonds. E)All of the statements are correct. Answer: A Difficulty: Moderate Rationale: The relationship between duration and yield to maturity is an inverse one; as is the relationship between duration and coupon rate. The difference in the durations of longer-term bonds of varying coupons (hi

48、gh coupon vs. zero) is considerable. Duration equals term to maturity only with zeros.32.Immunization is not a strictly passive strategy because A)it requires choosing an asset portfolio that matches an index. B)there is likely to be a gap between the values of assets and liabilities in most portfol

49、ios. C)it requires frequent rebalancing as maturities and interest rates change. D)durations of assets and liabilities fall at the same rate. E)none of the above. Answer: C Difficulty: Moderate Rationale: As time passes the durations of assets and liabilities fall at different rates, requiring portf

50、olio rebalancing. Further, every change in interest rates creates changes in the durations of portfolio assets and liabilities.33.Contingent immunization A)is a mixed-active passive bond portfolio management strategy. B)is a strategy whereby the portfolio may or may not be immunized. C)is a strategy

51、 whereby if and when some trigger point value of the portfolio is reached, the portfolio is immunized to insure an minimum required return. D)A and B. E)A, B, and C. Answer: E Difficulty: Easy Rationale: Contingent immunization insures a minimum average rate of return over time by immunizing the por

52、tfolio if and when the value of the portfolio reaches the trigger point required to insure that rate of return. Thus, the strategy is a combination active/passive strategy; but the portfolio will be immunized only if necessary.34.Some of the problems with immunization are A)duration assumes that the

53、 yield curve is flat. B)duration assumes that if shifts in the yield curve occur, these shifts are parallel. C)immunization is valid for one interest rate change only. D)durations and horizon dates change by the same amounts with the passage of time. E)A, B, and C. Answer: E Difficulty: Moderate Rat

54、ionale: Durations and horizon dates change with the passage of time, but not by the same amounts.35.If a bond portfolio manager believes A)in market efficiency, he or she is likely to be a passive portfolio manager. B)that he or she can accurately predict interest rate changes, he or she is likely t

55、o be an active portfolio manager. C)that he or she can identify bond market anomalies, he or she is likely to be a passive portfolio manager. D)A and B. E)A, B, and C. Answer: D Difficulty: Moderate Rationale: If one believes that one can predict bond market anomalies, one is likely to be an active

56、portfolio manager.36.According to experts, most pension funds are underfunded because A)their liabilities are of shorter duration than their assets. B)their assets are of shorter duration than their liabilities. C)they continually adjust the duration of their liabilities. D)they continually adjust t

57、he duration of their assets. E)they are too heavily invested in stocks. Answer: B Difficulty: Moderate 37.Cash flow matching on a multiperiod basis is referred to as a A)immunization. B)contingent immunization. C)dedication. D)duration matching. E)rebalancing. Answer: C Difficulty: Easy Rationale: C

58、ash flow matching on a multiperiod basis is referred to as a dedication strategy.38.Immunization through duration matching of assets and liabilities may be ineffective or inappropriate because A)conventional duration strategies assume a flat yield curve. B)duration matching can only immunize portfol

59、ios from parallel shifts in the yield curve. C)immunization only protects the nominal value of terminal liabilities and does not allow for inflation adjustment. D)both A and C are true. E)all of the above are true. Answer: E Difficulty: Easy Rationale: All of the above are correct statements about t

60、he limitations of immunization through duration matching.39.The curvature of the price-yield curve for a given bond is referred to as the bonds A)modified duration. B)immunization. C)sensitivity. D)convexity. E)tangency. Answer: D Difficulty: Easy Rationale: Convexity measures the rate of change of the slope of the price-yield curve, expressed as a fraction of the bonds price.40.Consider a bond selling at par with modified duration of 10.6 years and convexity of 210. A 2 percent decrease in yield would cause the price to increase by 21.2%, according to the duration rule.