CFA历年考题以及相关资料 Quiz 16

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1、16: Asset Valuation: Derivative Investments1.A: IntroductionQuestion ID: 13922Hedgers in the futures market usually:A.only trade in futures market.B.only trade in cash market.C.trade in neither cash nor futures markets.D.trade in both cash and futures markets. DQuestion ID: 13920Any rational price f

2、or a financial instrument should:A.be low enough for most investors to afford.B.be always increasing.C.provide no opportunity for arbitrage.D.provide an opportunity for investors to make a profit. CQuestion ID: 24778Which of the following statements about options and their underlying assets is FALSE

3、?A.The value of an option, in comparison to its underlying asset, has the potential of creating an arbitrage opportunity.B.The owner of the option is legally required to engage in a transaction involving the asset.C.The holder of a long position on an option is the only party with the right to initi

4、ate a transaction involving the asset.D.The seller of the option is legally required to engage in a transaction involving the asset.BThe option writer is required to honor the terms of the contract if called upon by the buyer to do so. The option buyer has the discretion to exercise the contract or

5、not.Question ID: 24852Which of the following statements about forward and future contracts is FALSE?A.A future requires the contract purchaser to receive delivery of the good at a specified time.B.A predetermined price to be paid for a good is a necessary requirement in the terms of a forward contra

6、ct.C.The future value of a financial derivative depends on the value of its underlying asset.D.The primary difference between forwards and futures is that only futures are considered financial derivatives. DForwards and futures are similar and serve similar needs. Both are considered types of financ

7、ial derivatives in that payoffs depend on another financial instrument or asset. The primary difference is that forwards are designed for the needs of the particular parties entering the contract, where futures are standardized contracts.Question ID: 24775Which of the following relationships between

8、 arbitrage and efficient markets is least accurate?A.The concept of rationally priced financial instruments preventing arbitrage opportunities is the basis behind the no-arbitrage principle.B.Momentary deviations from market efficiency can create an arbitrage opportunity.C.Investors acting on arbitr

9、age opportunities help keep markets efficient.D.Market efficiency refers to the low cost of trading derivatives because of the lower expense to traders.DMarket efficiency refers to the concept of all relevant information being reflected in an assets price, not the low cost of trading derivatives. On

10、e necessary criterion for efficient markets is instantaneous adjustment of market values. Arbitrage, by trading on a price difference between identical assets, causes an imbalance between demand and supply that instantaneously corrects the pricing difference. Question ID: 13963Which of the following

11、 is TRUE about the no-arbitrage principle?A.No arbitrage activity is allowed in the financial market.B.You have to pay some transaction fees for trading financial assets.C.You cannot make excess profit without taking any risk.D.No one can make a profit in a bear market. CQuestion ID: 24774Which of t

12、he following statements about arbitrage opportunities is TRUE?A.Engaging in arbitrage requires a large amount of capital for the investment.B.When an opportunity exists to profit from arbitrage, it usually lasts for several trading days.C.Pricing errors in securities are instantaneously corrected by

13、 the first arbitrageur to recognize them.D.There can never be an opportunity to make profits from arbitrage.CArbitrage is the opportunity to trade in identical assets that are momentarily selling for different prices. Arbitrageurs act quickly to make a riskless profit, causing the price discrepancy

14、to be instantaneously corrected. No capital is required, because opposite trades are made simultaneously.Question ID: 13977Futures contracts differ from forward contracts in which of the following ways?A.Performance of each party in a futures transaction is guaranteed by a clearinghouse.B.All of the

15、se choices are correct.C.Futures contracts require a daily settling of any gains or loses.D.Futures contracts are standardized. BQuestion ID: 13980Which of the following statements accurately describes how futures contracts differ from forward contracts?A.Futures contracts are standardized.B.Futures

16、 contracts require a daily settling of gains and losses.C.All of these choices are correct.D.The performance of counterparties to a futures contract is guaranteed by a clearinghouse. CQuestion ID: 24858When a call option on a future is exercised, the buyer receives:A.a short position in the underlyi

17、ng future.B.an option to purchase the underlying future.C.the physical good.D.a long position in the underlying future and a cash payment.DThe underlying asset, of a call option on a future, is the futures contract. When a call futures option is exercised, the buyer receives a long position in the f

18、uture and a cash payment equal to the cash settlement price minus the exercise price of the futures option. Since the underlying asset is not a physical good, no physical good is received when the call option on a future is exercised.Question ID: 24855Which of the following statements about swap agr

19、eements is FALSE?A.They are standardized agreements, similar to futures.B.Counterparties are the principles who engage in a swap agreement.C.They allow for the exchange of different sets of future cash flows.D.Interest rate and currency are common types of swaps.AA swap is an agreement between two o

20、r more counterparties to exchange (swap) cash flows over a specified future period. Swaps are flexible because, unlike futures, they are custom tailored to meet the needs of the specific counterparties involved in the agreement. Common types are interest rate and foreign currency swaps.Question ID:

21、24856Which of the following requires the purchase of the underlying asset at a specified price?A.Purchasing a call option.B.Writing a put option.C.Writing a call option.D.Purchasing a put option.BA put is an option to sell a specified asset at a specified price at the put buyers discretion. The writ

22、er of a put agrees to purchase the asset if the buyer exercises the option. A call gives the buyer an option to purchase a specified asset and the call writer an obligation to sell the asset if the option is exercised.Question ID: 24864MBT Corporation recently announced a 15 percent increase in earn

23、ings per share (EPS) over the previous period. The consensus expectation of financial analysts had been an increase in EPS of 10 percent. After the earnings announcement the value of MBT common stock increased each day for the next five trading days, as analysts and investors gradually reacted to th

24、e better than expected news. This gradual change in the value of the stock is an example of:A.inefficient markets.B.market completeness. C.efficient markets.D.speculation.AA critical element of efficient markets is that asset prices respond immediately to any new information that will affect their v

25、alue. Large numbers of traders responding in similar fashion to the new information will create a temporary imbalance in supply and demand, and this will adjust asset market values.Question ID: 24862Which of the following statements about market completeness is TRUE?A.Completeness is not a desirable

26、 characteristic of financial markets.B.Traders can maximize their welfare by taking advantage of market imperfections due to a lack of completeness.C.Any and all identifiable risk return combinations may be obtained by trading available securities.D.A complete market is a theoretical ideal that all

27、tradable securities provide the maximum payoff.CA complete market is one in which any and all identifiable payoffs may be obtained by trading the securities available in the market. A complete market accommodates all identifiable risk return combinations, from highly speculative to highly conservati

28、ve. This is a desirable characteristic, because it enables market participants to maximize their welfare by enabling them to fulfil their trading needs. Question ID: 24860Financial derivatives contribute to market completeness by allowing traders to do all of the following EXCEPT: A.hedge positions

29、in other assets.B.narrow the amount of trading opportunities to a more manageable range.C.engage in high risk speculation.D.increase market efficiency through the use of arbitrage.BFinancial derivatives increase the opportunities to either speculate or hedge on the value of underlying assets. This a

30、dds to market completeness by increasing the range of identifiable payoffs that can be used by traders to fulfill their needs. Financial derivatives such as market index futures can also be easier and cheaper than trading in a diversified portfolio, thereby adding to the opportunities available to t

31、raders.Question ID: 24876Frank Jameson is a portfolio manager with 90 percent of the large-cap diversified mutual fund he controls invested in common stocks. Jameson is concerned the overall market will decline by a significant amount over the next two months due to a slowing of the general economy.

32、 Which of the following actions will provide a hedge for the mutual fund?A.Selling interest rate future contracts.B.Writing put options on the S&P 500.C.Purchasing put options on the Standard and Poors 500 Index (S&P 500).D.Purchasing call options on the S&P 500.CA put option guarantees the buyer ca

33、n sell the asset to the writer at the exercise price, on or before its expiration. Puts allow traders to earn a positive return when the underlying asset decreases in value. A diversified mutual fund can trade in S&P500 Index options, thereby closely matching the large-cap diversified portfolio. If

34、the market declines, some or all of the losses on the portfolio will be offset by gains on the index put options.Question ID: 24877Which of the following statements about arbitrage is FALSE?A.If an arbitrage opportunity exists, making a profit without risk is possible.B.Arbitrage is selling an asset

35、 and simultaneously buying the same asset for a lower price.C.No investment is required when engaging in arbitrage.D.Arbitrage can cause markets to be less efficient.DArbitrage is defined as the existence of riskless profit without investment and involves selling an asset and simultaneously buying t

36、he same asset for a lower price. Since the trades cancel each other, no investment is required. Because it is done simultaneously, a profit is guaranteed, making the transaction risk free. Arbitrage actually helps make markets more efficient because price discrepancies are immediately eradicated by

37、the actions of arbitrageurs.Question ID: 24874Ron Jensen is a speculator who does not currently own GHP Corporation common stock but believes it will increase in market value by 25 percent over the next month. Jensen can most likely achieve the highest percentage return on the expected stock price i

38、ncrease by:A.writing GHP put options.B.buying GHP call options.C.buying GHP put options.D.buying GHP common stock.BA call option allows the buyer to purchase the common stock at the exercise price. If the underlying stock increases in value the call will also gain in market value, often at a higher

39、percentage than the gain on the stock. The writer of a put option on GHP would also gain if the stock value increased by 25 percent, because the option would not be exercised and the writer would keep the premium. The writers gain, however, is limited to the premium, whereas the potential gain on th

40、e call is unlimited depending on the price rise of the underlying stock.Question ID: 24878Which of the following statements about derivatives is TRUE?A.Although forwards have terms that are not standardized, the clearinghouse of that exchange still takes the opposite position of each trade, thereby

41、protecting the counterparties from default risk.B.Although minimal, arbitragers face the risk of the market value of the underlying asset declining by an amount greater then what was protected with the hedge. C.When a call option on a future is exercised, the seller receives a short position in the

42、underlying future plus pays cash to the holder of the option. D.The market value of a financial derivative is primarily a function of the relative demand and supply for that contract.CArbitrage is riskless, because the same asset is simultaneously bought and sold short, so profit is guaranteed and w

43、ith no investment required. Though true that forwards are not standardized, they are private contracts, do not trade on an exchange, and, therefore, there is a risk of default since no clearinghouse functions as the opposite trade. The market value of a financial derivative is directly tied to the m

44、arket value of its underlying asset, specifically, the assets market value relative to the exercise price. Question ID: 13921If an oil wholesaler expects to buy some gasoline for his customers in the future and wants to hedge his risk, he needs to:A.sell gasoline now.B.sell crude oil futures contrac

45、t.C.do nothing.D.buy crude oil futures contract. DQuestion ID: 13982Which of the following statements regarding the relationship between the clearinghouse and the futures exchange is CORRECT? The clearinghouse:A.must be a separate corporation.B.can be part of the futures exchange or a separate corpo

46、ration.C.None of these choices is correct.D.must be part of the futures exchange. BQuestion ID: 13981Which of the following statements about forward contracts is CORRECT? A long trader agrees to:A.take delivery, and a short trader agrees to take deliveryB.take delivery, and a short trader agrees to

47、make delivery.C.take delivery, and a short trader agrees to make delivery.D.make delivery, and a short trader agrees to take delivery. BQuestion ID: 13964Which of the following is the best interpretation of the no-arbitrage principle?A.There is no free money.B.The information flow is quick in the fi

48、nancial market.C.There is no way you can find an opportunity to make a profit.D.People can never beat the market. A1.B: Futures MarketsQuestion ID: 24879Which of the following activities in the futures market describes a short hedge?A.Intercon Bakery has a contract with several hotel chains to suppl

49、y a variety of bread products at a set contract price. To protect against their cost of wheat increasing they periodically purchase wheat futures.B.A trader who purchases commodity futures but closes out his position prior to the end of the trading day.C.A farmer with corn acreage who short sells co

50、rn futures.D.A trader who sells commodity futures short without owning the underlying asset.CA trader that sells a commodity future, on a commodity that trader owns long, is engaging in a short hedge. An example would be a firm that owns the asset but wants to reduce their risk by selling the asset

51、now at the current price. It is a hedge because if the underlying commoditys market value declines, the short position value will increase. Question ID: 13988If a farmer expects to sell his wheat in anticipation of a harvest and wants to hedge his risk, he needs to:A.sell wheat now.B.buy wheat now.C

52、.buy wheat futures contracts now.D.sell wheat futures contracts now. DQuestion ID: 24880Which of the following statements about speculators and hedgers in the futures market is TRUE?A.Hedging can allow a business to guard against a price increase in a commodity without sacrificing profit if the comm

53、odity price decreases.B.A speculator would use futures to take a long position in a commodity if its price is expected to decrease.C.A speculator would use futures to take a short position in a commodity if its price is expected to increase.D.Hedgers guard against market price changes that would cau

54、se a reduction in their operating profit.DThe purpose of hedging is to guard against price changes that could adversely affect operating profit. However, in protecting against profit reduction a hedge also sacrifices higher profit if the underlying asset increases in value, since the gain on the lon

55、g position will be offset by the loss on the short position. Speculators would take long positions if the underlying commodity value were expected to increase. Long (short) positions gain if the underlying asset value increases (decreases). Question ID: 13990If only one transaction occurs today for

56、both a buyer and a seller for a given futures contract, there MUST be:A.one open interest for that futures contract today.B.no trading volume today for that futures contract.C.one contract of trading volume for that contract today.D.no open interest for that contract today. CQuestion ID: 13991If bot

57、h the buyer and the seller of a futures contract are closing their existing position by trading the contract, the:A.volume will not be changed.B.open interest will decrease by one.C.volume will decrease by one.D.open interest will not be changed. BQuestion ID: 13994Which of the following statements

58、regarding the open interest in the option market is TRUE? It:A.always less than the trading volume.B.decreases if a trader writes a put position.C.decreases if a trader closes a put position.D.always greater than the trading volume. CQuestion ID: 13998If a trader buys 5 contracts of a put option to

59、close this position in writing the puts, and that is the only trade for this option contract that day, the open interest of that option contract:A.decreases by 10 contracts.B.increases by 5 contracts.C.increases by 10 contracts.D.decreases by 5 contracts. DQuestion ID: 24882Standardized futures cont

60、racts are an aid to increased market liquidity because:A.standardization results in less trading activity. B.uniformity of the contract terms broadens the market for the futures by appealing to a greater number of traders.C.standardization of the futures contract stabilizes the market price of the u

61、nderlying commodity. D.non-standardized forward contracts are not allowed to trade.BAlthough a forward may have value to someone other than the original counterparties, the non-standardized terms limit the level of interest, hence its marketability and liquidity. The standardized terms of a future give it far more flexibility to traders, giving rise to a strong secondary market and greater liquidity. Question ID: 24881Futures have greater market liquidity than f