第七章 投资学 习题答案.doc

1. 10.The low correlations between the U.S. and the U.K., and the U.S. and Japan, confirm the benefit of global diversification.(1.0分)A.TureB.False2. 9.An index constructed using small-cap growth stocks would be referred to as a style index .(1.0分)A.TureB.False3. 8.The S&P 500 stock index is an example of an equally-weighted index.(1.0分)A.TureB.False4. 7.A value-weighted index contains an automatic adjustment for stock splits.(1.0分)A.TureB.False5. 6.In a value-weighted index the highest priced stock carries the greatest weight.(1.0分)A.TureB.False6. 5.Security market indexes have been used to create index funds and exchange traded funds.(1.0分)A.TureB.False7. 4.The DJIA has been criticized because when a stock in the index splits there are more shares outstanding and the importance of the stock in the index increases.(1.0分)A.a)TrueB.b)False8. 3.The Dow-Jones Industrial Average (DJIA) is a value- weighted average.(1.0分)A.a)TureB.b)False9. 2.A price-weighted indicator series is the geometric average of the current prices of the sampled securities.(1.0分)A.TureB.False10. 1.An aggregate market index can be used as a benchmark to judge the performance of professional money managers.(1.0分)A.TureB.False11. 25.USE THE FOLLOWING INFORMATION FOR THE NEXT 12 PROBLEMS 31-Dec-0331-Dec-0331-Dec-0431-Dec-04StockPriceSharesPriceSharesW$ 75.00 10000$ 50.00 30000X$ 150.00 5000$ 65.00 15000Y$ 25.00 20000$ 35.00 20000Z$ 40.00 25000$ 50.00 25000Stocks W and X had 3 for 1 splits on December 31, 2003 at the end of trading Calculate the percentage return in the price weighted series for the period Dec 31, 2003 to Dec 31, 2004.(1.0分)A.a) 42.86%B.b) 20.00%C.c) 21.76%D.d) 33.33%E.e) 40.00%12. 24.USE THE FOLLOWING INFORMATION FOR THE NEXT 12 PROBLEMS 31-Dec-0331-Dec-0331-Dec-0431-Dec-04StockPriceSharesPriceSharesW$ 75.00 10000$ 50.00 30000X$ 150.00 5000$ 65.00 15000Y$ 25.00 20000$ 35.00 20000Z$ 40.00 25000$ 50.00 25000Stocks W and X had 3 for 1 splits on December 31, 2003 at the end of trading Calculate the price weighted series for Dec 31, 2004(1.0分)A.a) 121.25B.b) 119.25C.c) 100.0D.d) 72.5E.e) 103.5713. 23.USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM 31-Dec-0331-Dec-0331-Dec-0431-Dec-04StockPriceSharesPriceSharesW$ 75.00 10000$ 50.00 30000X$ 150.00 5000$ 65.00 15000Y$ 25.00 20000$ 35.00 20000Z$ 40.00 25000$ 50.00 25000Stocks W and X had 3 for 1splits on December 31, 2003 at the end of trading Calculate the price weighted series for December 31, 2003 after the splits.(1.0分)A.a) 72.5B.b) 100.0C.c) 119.25D.d) 121.25E.e) 103.5714. 22.USE THE FOLLOWING INFORMATION FOR THE NEXT 12 PROBLEMS 31-Dec-0331-Dec-0331-Dec-0431-Dec-04StockPriceSharesPriceSharesW $ 75.00 10000 $ 50.00 30000X $ 150.00 5000 $ 65.00 15000Y $ 25.00 20000 $ 35.00 20000Z $ 40.00 25000 $ 50.00 25000Stocks W and X had 3 for 1 splits on December 31, 2003 at the end of trading.Calculate the price weighted series for Dec 31, 2003, prior to the splits. (1.0分)A.a)103.57B.b) 100.0C.c) 72.5D.d) 121.25E.e) 119.2515. 21.Correlations between U.S. investment grade bonds and high yield bonds are(1.0分)A.a) Low because of the equity characteristics of high yield bonds.B.b) Low because yields on investment grade bonds are determined by systematic interest rate variables.C.c) High because of the equity characteristics of high yield bonds.D.d) High because yields on investment grade bonds are determined by systematic interest rate variables.E.e) None of the above.16. 20.Correlations between U.S. investment grade bonds are(1.0分)A.a) Low because of the equity characteristics of high yield bonds.B.b) Low because yields on investment grade bonds are determined by systematic interest rate variables.C.c) High because of the equity characteristics of high yield bonds.D.d) High because yields on investment grade bonds are determined by systematic interest rate variables.E.e) None of the above.17. 19.Low correlations between the S&P 500 stock index and the MSCI EAFE suggest (1.0分)A.a) That investors should diversify investment portfolios.B.b) That investors should invest only in U.S. stocks.C.c) That investors should invest only in Europe.D.d) That investors should invest only is Asia.E.e) Nothing.18. 18.Which of the following are factors that make it difficult to create and maintain a bond index?(1.0分)A.a) The universe of bonds is broader than stocks.B.b) The universe of bonds is constantly changing due to new issues, bond maturities, calls, and bond sinking funds.C. c)There can be difficulties in correctly pricing bond issues.D.d) Choices a and c.E.e) Choices a, b and c.19. 17.The Value Line Composite Average is based on percent price changes which has been computed using(1.0分)A.a) An arithmetic mean.B.b) A harmonic average.C.c) A geometric mean.D.d) An expected average.E.e) A logarithmic average.20. 16.Which of the following indexes includes the most comprehensive list of stocks?(1.0分)A. a) New York Stock Exchange Composite IndexB.b) Standard and Poors 500 Composite IndexC.c) American Stock Exchange Market Value IndexD.d) Nasdaq CompositeE. e) Dow Jones Industrial Average21. 15.An example of a value-weighted stock market indicator series is the(1.0分)A.a) Dow Jones Industrial Average.B.b) Nikkei-Dow Jones Average.C.c) Value Line Index.D.d) American Stock Exchange Index.E.e) Lehman Brothers Index.22. 14.What effect does a stock substitution or stock split have on a price-weighted series, such as DJIA?(1.0分)A.a) Divisor will increase/decrease, index remains the same.B.b) Index will increase/decrease, divisor remains the same.C.c) Index and divisor will remain the same.D.d) Index and divisor will both reflect the changes (immediately).E.e) Not enough information provided.23. 13.A properly selected sample for use in constructing a market indicator series will consider the samples source, size and(1.0分)A.a) Value.B.b) Average beta.C.c) Breadth.D.d) Variability.E.e) Dividend record.24. 12.Which of the following is not a use of security market indicator series?(1.0分)A.a) To use as a benchmark of individual portfolio performanceB.b) To develop an index portfolioC.c) To determine unsystematic riskD.d) To determine factors influencing aggregate security price movementsE.e) To determine systematic risk25. 11.The correlations among the U.S. investment-grade-bond series were very high because all rates of return for investment-grade bonds over time are impacted by common macroeconomic variables.(1.0分)A.TureB.False26. Use the following information for the problem 31-Dec-0331-Dec-0331-Dec-0431-Dec-04StockPriceSharesPriceSharesW$75.00 10000$50.00 30000X$150.00 5000$65.00 15000Y$25.00 20000$35.00 20000Z$40.00 25000$50.00 25000Stocks W and X had 3 for 1 splits on December 31, 2003 at the end of trading Calculate the price weighted series for December 31, 2003 after the splits.(1.0分)A.72.5B.100C.119.25D.121.25E.103.5727. 39. Price Shares COMPANYA B C A B C Day 1 12 23 52 500 350 250Day 2102255500*350250Day 3826511000350250*Day 4925191000350750*Split at Close of Day 2 *Split at Close of Day 3Calculate a Standard & Poors Index for Day 3 if the base period is Day 1 with an initial index value is 100.(1.0分)A.a) 90.351B.b) 91.035C.c) 95.234D.d) 101.628E.e) 110.35128. 38. Price Shares COMPANYA B C A B C Day 1 12 23 52 500 350 250Day 2102255500*350250Day 3826511000350250*Day 4925191000350750*Split at Close of Day 2 *Split at Close of Day 3Calculate a Dow Jones Industrial Index for Day 4.(1.0分)A.a)11.2389B. b)21.3343C.c)31.2389D.d) 41.6890E.e) None of the above29. 37. Price Shares COMPANYA B C A B C Day 1 12 23 52 500 350 250Day 2102255 500*350250Day 3826511000350250*Day 4925191000350750*Split at Close of Day 2 *Split at Close of Day 3Calculate a Dow Jones Industrial Index for Day 1.(1.0分)A. 13.000 B.19.000 C. 29.000 D.87.000E.100.00030. 36.You are given the following information regarding prices for a sample of stocks: PRICE Stock Number of Shares T T + 1 A 1,000,000 50 60B 10,000,000 30 35C 25,000,000 20 25Construct an unweighted series (arithmetic mean) assuming $1,000 is invested in each stock. What is the percentage change in wealth for this portfolio?(1.0分)A.a) 1.21%B.b) 20.00%C.c) 20.56%D.d) 21.76%E.e) 33.33%31. 35.You are given the following information regarding prices for a sample of stocks: PRICE Stock Number of Shares T T + 1 A 1,000,000 50 60B 10,000,000 30 35C 25,000,000 20 25Using a value-weighted series approach, what is the percentage change in the series for the period from T to T + 1.(1.0分)A.a) 1.22%B.b) 20.00%C.c) 20.55%D.d) 21.76%E.e) 33.33%32. 34.You are given the following information regarding prices for a sample of stocks: PRICE Stock Number of Shares T T + 1 A 1,000,000 50 60 B 10,000,000 30 35 C 25,000,000 20 25Using a price-weighted series approach, what is the percentage change in the series for the period from T to T + 1.(1.0分)A.a) 1.20%B.b) 20.00%C.c) 21.76%D.d) 33.33%E.e) 40.00%33. USE THE FOLLOWING INFORMATION FOR THE NEXT 12 PROBLEMS 31-Dec-0331-Dec-0331-Dec-0431-Dec-04StockPriceSharesPriceSharesW$ 75.00 10000$ 50.00 30000X$ 150.00 5000$ 65.00 15000Y$ 25.00 20000$ 35.00 20000Z$ 40.00 25000$ 50.00 25000Stocks W and X had 3 for 1splits on December 31, 2003 at the end of trading Calculate the percentagereturn in the unweighted index (geometric mean) for the period Dec 31, 2003 to Dec 31, 2004. Assume a base index value of 100. The base year is Dec 31, 2003(1.0分)A.a) 46.05%B.b) 21.25%C.c) 51.25%D.d) 48.75%E.e) 100.25%34. 32.USE THE FOLLOWING INFORMATION FOR THE NEXT 12 PROBLEMS 31-Dec-0331-Dec-0331-Dec-0431-Dec-04StockPriceSharesPriceSharesW$ 75.00 10000$ 50.00 30000X$ 150.00 5000$ 65.00 15000Y$ 25.00 20000$ 35.00 20000Z$ 40.00 25000$ 50.00 25000Stocks W and X had 3 for 1 splits on December 31, 2003 at the end of trading Calculate the unweighted index (geometric mean) for Dec 31, 2004. Assume a base index value of 100. Thebase year is Dec 31, 2003.(1.0分)A.a) 146.05B.b) 121.25C.c) 151.25D.d) 148.75E.e) 100.2535. 31.USE THE FOLLOWING INFORMATION FOR THE NEXT 12 PROBLEMS 31-Dec-0331-Dec-0331-Dec-0431-Dec-04StockPriceSharesPriceSharesW$ 75.00 10000$ 50.00 30000X$ 150.00 5000$ 65.00 15000Y$ 25.00 20000$ 35.00 20000Z$ 40.00 25000$ 50.00 25000Stocks W and X had 3 for 1 splits on December 31, 2003 at the end of trading Calculate the unweighted index for Dec 31, 2003, after the splits. Assume a base index value of 100. Thebase year is Dec 31, 2003(1.0分)A.a) 110.0B.b) 200.0C.c) 100.0D.d) 120.0E.e) 150.036. 30.USE THE FOLLOWING INFORMATION FOR THE NEXT 12 PROBLEMS 31-Dec-0331-Dec-0331-Dec-0431-Dec-04StockPriceSharesPriceSharesW$ 75.00 10000$ 50.00 30000X$ 150.00 5000$ 65.00 15000Y$ 25.00 20000$ 35.00 20000Z$ 40.00 25000$ 50.00 25000Stocks W and X had 3 for 1splits on December 31, 2003 at the end of trading Calculate the unweighted index for Dec 31, 2003, prior to the splits. Assume a base index value of 100.The base year is Dec 31, 2003(1.0分)A.a) 100.0B.b) 200.0C.c) 150.0D.d) 120.0E.e) 175.037. 29.USE THE FOLLOWING INFORMATION FOR THE NEXT 12 PROBLEMS 31-Dec-0331-Dec-0331-Dec-0431-Dec-04StockPriceSharesPriceSharesW$ 75.00 10000$ 50.00 30000X$ 150.00 5000$ 65.00 15000Y$ 25.00 20000$ 35.00 20000Z$ 40.00 25000$ 50.00 25000Stocks W and X had 3 for 1 splits on December 31, 2003 at the end of trading Calculate the percentage return in the value weighted index for the period Dec 31, 2003 to Dec 31, 2004.(1.0分)A.a) 12.68%B.b) 47.50%C.c) 21.76%D.d) 33.33%E.e) 40.00%38. 28.USE THE FOLLOWING INFORMATION FOR THE NEXT 12 PROBLEMS 31-Dec-0331-Dec-0331-Dec-0431-Dec-04StockPriceSharesPriceSharesW$ 75.00 10000$ 50.00 30000X$ 150.00 5000$ 65.00 15000Y$ 25.00 20000$ 35.