金融市场与金融机构基础

1、Foundations of Financial Markets and Institutions, 4e (Fabozzi/Modigliani/Jones)Chapter 9 Properties and Pricing of Financial AssetsMultiple Choice Questions1 Properties of Financial Assets1) Which of the below is NOT one of the eleven properties of financial assets?A) moneynessB) multiplicity and d

2、enominationC) reversibilityD) cash flowAnswer: BComment: The eleven properties of financial assets are (1) moneyness, (2) divisibility and denomination, (3) reversibility, (4) cash flow, (5) term to maturity, (6) convertibility, (7) currency, (8) liquidity, (9) return predictability, (10) complexity

3、, and (11) tax status.Diff: 2Topic: 9.1 Properties of Financial AssetsObjective: 9.1 the many key properties of financial assets: moneyness; divisibility and denomination; reversibility; cash flow and return; term to maturity; convertibility; currency; liquidity; return predictability or risk; compl

4、exity; and tax status2) Which of the below is NOT one of the eleven properties of financial assets?A) convertibilityB) currencyC) liquidity predictabilityD) tax statusAnswer: CComment: The eleven properties of financial assets are (1) moneyness, (2) divisibility and denomination, (3) reversibility,

5、(4) cash flow, (5) term to maturity, (6) convertibility, (7) currency, (8) liquidity, (9) return predictability, (10) complexity, and (11) tax status.Diff: 2Topic: 9.1 Properties of Financial AssetsObjective: 9.1 the many key properties of financial assets: moneyness; divisibility and denomination;

6、reversibility; cash flow and return; term to maturity; convertibility; currency; liquidity; return predictability or risk; complexity; and tax status3) Which of the below are THREE of the eleven properties of financial assets?A) return predictability, complexity, and tax statusB) convertibility, cur

7、rency, liquidityC) liquidity, reversibility, and cash flowD) money, divisibility, and denominationAnswer: DComment: The 11 properties of financial assets are (1) moneyness, (2) divisibility and denomination (these are only ONE property and not TWO), (3) reversibility, (4) cash flow, (5) term to matu

8、rity, (6) convertibility, (7) currency, (8) liquidity, (9) return predictability, (10) complexity, and (11) tax status.Diff: 2Topic: 9.1 Properties of Financial AssetsObjective: 9.1 the many key properties of financial assets: moneyness; divisibility and denomination; reversibility; cash flow and re

9、turn; term to maturity; convertibility; currency; liquidity; return predictability or risk; complexity; and tax status4) Which of the below statements is TRUE?A) Near money is a financial asset that is used as a medium of exchange or in settlement of transactions.B) In the United States, money consi

10、sts of currency and a very few forms of deposits that permit check writing.C) Near money is very close to money in that it can be transformed into money at little cost, delay, or risk.D) Faraway money, in the case of the United States, includes (i) time and savings deposits and (ii) a security issue

11、d by the U.S. government called a Treasury bill.Answer: CComment: Money is a financial asset that is used as a medium of exchange or in settlement of transactions. In the United States, money consists of currency and all forms of deposits that permit check writing. Near money, in the case of the Uni

12、ted States, includes (i) time and savings deposits and (ii) a security issued by the U.S. government called a Treasury bill. Diff: 2Topic: 9.1 Properties of Financial AssetsObjective: 9.1 the many key properties of financial assets: moneyness; divisibility and denomination; reversibility; cash flow

13、and return; term to maturity; convertibility; currency; liquidity; return predictability or risk; complexity; and tax status5) _ relates to the minimum size in which a financial asset can be liquidated and exchanged for money.A) ReversibilityB) DenominationC) ConvertibilityD) DivisibilityAnswer: DDi

14、ff: 1Topic: 9.1 Properties of Financial AssetsObjective: 9.1 the many key properties of financial assets: moneyness; divisibility and denomination; reversibility; cash flow and return; term to maturity; convertibility; currency; liquidity; return predictability or risk; complexity; and tax status6)

15、Reversibility is referred to as _.A) the cost of investing in a financial asset and then getting out of it but not back into cash again.B) the cost of investing in a financial asset instead of investing in cash.C) one-way costD) turnaround costAnswer: DComment: Reversibility refers to the cost of in

16、vesting in a financial asset and then getting out of it and back into cash again. Consequently, reversibility is also referred to as turnaround cost or round-trip cost.Diff: 2Topic: 9.1 Properties of Financial AssetsObjective: 9.1 the many key properties of financial assets: moneyness; divisibility

17、and denomination; reversibility; cash flow and return; term to maturity; convertibility; currency; liquidity; return predictability or risk; complexity; and tax status7) The _, the greater the probability of the market maker _ in excess of a stated bound between the time of buying and reselling the

18、financial asset.A) greater the variability; incurring a lossB) lesser the variability; incurring a lossC) lesser the variability; incurring a large gainD) greater the variability; incurring no loss or gainAnswer: AComment: The greater the variability, the greater the probability of the market maker

19、incurring a loss in excess of a stated bound between the time of buying and reselling the financial asset. Diff: 2Topic: 9.1 Properties of Financial AssetsObjective: 9.1 the many key properties of financial assets: moneyness; divisibility and denomination; reversibility; cash flow and return; term t

20、o maturity; convertibility; currency; liquidity; return predictability or risk; complexity; and tax status8) The return that an investor will realize by holding a financial asset depends on all the _ that the financial asset will pay its owners; this includes dividends on shares and coupon payments

21、on bonds.A) stock distributions B) cash distributions C) cash convertibilityD) liquid inventoriesAnswer: BDiff: 1Topic: 9.1 Properties of Financial AssetsObjective: 9.1 the many key properties of financial assets: moneyness; divisibility and denomination; reversibility; cash flow and return; term to

22、 maturity; convertibility; currency; liquidity; return predictability or risk; complexity; and tax status9) Return _ is a basic property of financial assets, in that it is a major determinant of their value.A) convertibilityB) divisibilityC) predictability D) complexityAnswer: CDiff: 1Topic: 9.1 Pro

23、perties of Financial AssetsObjective: 9.1 the many key properties of financial assets: moneyness; divisibility and denomination; reversibility; cash flow and return; term to maturity; convertibility; currency; liquidity; return predictability or risk; complexity; and tax status10) A _ asset is one t

24、hat provides options for the issuer or the investor, or both, and so represents a combination of simpler assets.A) complexB) taxableC) predictable and divisibleD) liquidAnswer: ADiff: 1Topic: 9.1 Properties of Financial AssetsObjective: 9.1 the many key properties of financial assets: moneyness; div

25、isibility and denomination; reversibility; cash flow and return; term to maturity; convertibility; currency; liquidity; return predictability or risk; complexity; and tax status2 Principles of Pricing of Financial Assets1) The fundamental principle of finance is that the true or correct price of an

26、asset equals the _ of all cash flows that the owner of the asset expects to receive during its life.A) present valueB) future valueC) projected valueD) asset valueAnswer: ADiff: 1Topic: 9.2 Principles of Pricing of Financial AssetsObjective: 9.7 the principles that reveal how the properties of an as

27、set affect its value, either through the discount rate or through its expected cash flow2) The correct price for a financial asset can be expressed as follows: P = + where _.A) P = the price of the cash flowB) CFt = the financial asset in year t (t = 1, ,N)C) N = the maturity of the financial assetD

28、) r = the appropriate cash rateAnswer: CComment: The correct price for a financial asset can be expressed as follows: P = + whereP = the prince of the financial asset; CFt = the cash flow in year t (t = 1, ,N); N = the maturity of the financial asset; and, r = the appropriate discount rate.Diff: 2To

29、pic: 9.2 Principles of Pricing of Financial AssetsObjective: 9.5 the principles of valuing complex financial assets3) The appropriate discount rate, r, is the return that the market or the consensus of investors requires on the asset. A convenient (but approximate) expression for the appropriate dis

30、count rate is this: r = RR + IP + DP + MP + LP + EPP where _.A) IP= the real rate of interest, which is the reward for not consuming and for lending to other users.B) MP = the maturity risk premium, which is the reward for taking on the risk of default in the case of a loan or bond or the risk of lo

31、ss of principal for other assets.C) LP = the liquidity premium, which is the reward for not consuming and for lending to other users.D) EP= the exchange-rate risk premium, which is the reward for investing in an asset that is not denominated in the investors home currency.Answer: DComment: The appro

32、priate discount rate, r, is the return that the market or the consensus of investors requires on the asset. A convenient (but approximate) expression for the appropriate discount rate is this: r = RR + IP + DP + MP + LP + EP whereRR = the real rate of interest, which is the reward for not consuming

33、and for lending to other users;IP = the inflation premium, which is the compensation for the expected decline in the purchasing power of the money lent to borrowers;DP = the default risk premium, which is the reward for taking on the risk of default in the case of a loan or bond or the risk of loss

34、of principal for other assets;MP = the maturity premium, which is the compensation for lending money for long periods of time;LP = the liquidity premium, which is the reward for investing in an asset that may not be readily converted to cash at a fair market value; and,EP= the exchange-rate risk pre

35、mium, which is the reward for investing in an asset that is not denominated in the investors home currency.Diff: 2Topic: 9.2 Principles of Pricing of Financial AssetsObjective: 9.2 the components of an assets discount rate or required rate of return4) DP is the default risk premium, which is the _.A

36、) reward for investing in an asset that may not be readily converted to cash at a fair market value.B) reward for taking on the risk of default in the case of a loan or bond or the risk of loss of principal for other assets.C) compensation for lending money for long periods of time.D) reward for inv

37、esting in an asset that is not denominated in the investors home currency.Answer: BComment: DP is the default risk premium, which is the reward for taking on the risk of default in the case of a loan or bond or the risk of loss of principal for other assets.MP is the maturity premium, which is the c

38、ompensation for lending money for long periods of time.LP is the liquidity premium, which is the reward for investing in an asset that may not be readily converted to cash at a fair market value.EP is the exchange-rate risk premium, which is the reward for investing in an asset that is not denominat

39、ed in the investors home currency.Diff: 1Topic: 9.2 Principles of Pricing of Financial AssetsObjective: 9.4 how the discount rate is structured to encompass the components of an assets risk5) Assume that the market thinks the real rate is 2.00%, the inflation premium is 2.70%, the bonds default risk

40、 justifies a premium of 2.10%, the maturity premium is 0.50%, and the liquidity premium is 1.10%. Since the cash flows are denominated in euros, the foreign-exchange rate premium is 1.50%. What is the discount rate?A) 8.90%B) 9.70%C) 9.90%D) None of theseAnswer: CComment: We have: RR = 2.00%, IP = 2

41、.70%, DP = 2.01%, MP = 0.50%, LP = 1.01%, EP = 1.50%. Thus, we have this value for the discount rate: r = 2.0% + 2.7% + 2.1% + 0.5% + 1.1% + 1.5% = 9.90% or 0.0990.Diff: 2Topic: 9.2 Principles of Pricing of Financial AssetsObjective: 9.4 how the discount rate is structured to encompass the component

42、s of an assets risk6) Suppose the cash flows for a bonds coupon payment for years 1 through 4 are $100. That is, CFt = $100 for t (t = 1, . ,4). Further assume the the discount rate is 9.00% and at the end of year the bond will pay back the bonds par value of $1,000. To the nearest dollar, what is t

43、he correct price for this bond?A) $866B) $932C) $1,012D) $1,032Answer: DComment: The correct price for the bond can be expressed as follows: P = + . + where P = the prince of thebond; CFt = the cash flow in year t (t = 1, , N); N = the maturity of the bond; and, r = the appropriate discount rate. In

44、serting our given values, where CF1 = CF2 = CF3 = $100, CFN = CF4 = $1,000 + $100 = $1,100 and r = 9.00% or 0.09, we have:P = + + + = $91.7431 + 84.168 + $77.21835 + $779.2677 = $1,032.40.Diff: 3Topic: 9.2 Principles of Pricing of Financial AssetsObjective: 9.7 the principles that reveal how the pro

45、perties of an asset affect its value, either through the discount rate or through its expected cash flow7) Suppose the cash flows for a financial assets payment for years 1 through 4 are $100. That is, CFt = $100 for t (t = 1, . ,4). Further assume the the discount rate is 8.00% and at the end of fo

46、ur years that the financial asset will pay $1,000 in addition to the $100. Finally, assume a brokers commission of $30 is imposed by brokers to buy or sell the bond. To the nearest dollar, what is the correct price for this financial asset?A) $1,014B) $1,000C) $994D) None of theseAnswer: AComment: T

47、he correct price for a financial asset can be expressed as follows: P = + where P = the prince of the financial asset; CFt = the cash flow in year t (t = 1, ,4); 4 years is the maturity of the financial asset; and, r = the appropriate discount rate. For this case we must subtract $30 at the beginnin

48、g (t = 0) and subtract out $30 at t = 4. Inserting our given values, where CF1 = CF2 = CF3 = $100, CF4 = $1,000 + $100 - $30 = $1,070, and r = 8.00% or 0.08, we have:P = -$30 + += -$30+ $92.59259 + $85.73388 + $79.38322 + $786.4819 = $1,014.19.Diff: 3Topic: 9.2 Principles of Pricing of Financial Ass

49、etsObjective: 9.7 the principles that reveal how the properties of an asset affect its value, either through the discount rate or through its expected cash flow8) Suppose the cash flows for a financial assets payment for years 1 through 5 are $80. That is, CFt = $80 for t (t = 1, . ,5). Further assu

50、me the the discount rate is 8.00% and at the end of the five years that the financial asset will pay back $1,000 in addition to the $80. Finally, assume a brokers commission of $30 is imposed by brokers to buy or sell the financial asset and that a government entity imposes a transfer tax of $20 on

51、each transaction. To the nearest dollar, what is the correct price for this financial asset?A) $912B) $914C) $916D) $918Answer: CComment: The correct price for a financial asset can be expressed as follows: P = + where P = the prince of the financial asset; CFt is the cash flow in year t (t = 1, ,5)

52、; 5 years is the maturity of the financial asset; and, r is the appropriate discount rate. For this case we must subtract $30 and $20 at the beginning (t = 0) and also subtract out $30 and $20 at t = 5. Inserting our given values, where CF1 = CF2 = CF3 = CF4 =$80, CF5 = $1,000 +$80 - $30 - $20 = $1,

53、030, and r = 8.00% or 0.08, we have:P = -$30 -$20 + + = -$30 -$20 + $74.0741 + $68.5871 + $63.5066 + $58.8024 + $701.0007 = $915.97. Diff: 3Topic: 9.2 Principles of Pricing of Financial AssetsObjective: 9.7 the principles that reveal how the properties of an asset affect its value, either through th

54、e discount rate or through its expected cash flow9) Suppose the cash flows for a financial assets payment for years 1 through 5 are $90. That is, CFt = $90 for t (t = 1, . ,5). Further assume the the discount rate is 7.00% and at the end of the five years that the financial asset will pay back $1,00

55、0 in addition to the $90. Finally, assume a brokers commission of $40 is imposed by brokers to buy or sell the financial asset and that a government entity imposes a transfer tax of $25 on each transaction. To the nearest dollar, what is the correct price for this financial asset?A) $962B) $971C) $9

56、86D) $1,002Answer: BComment: The correct price for a financial asset can be expressed as follows: P = + where P = the prince of the financial asset; CFt is the cash flow in year t (t = 1, ,5); 5 years is the maturity of the financial asset; and, r is the appropriate discount rate. For this case we m

57、ust subtract $40 and $25 at the beginning (t = 0) and also subtract out $30 and $20 at t = 5. Inserting our given values, where CF1 = CF2 = CF3 = CF4 =$90, CF5 = $1,000 +$90 - $40 - $25 = $1,025, and r = 7.00% or 0.07, we have:P = -$40 -$25 + + + + + = -$40 -$25 + $84.1121 + $78.6095 + $73.4668 + $68.6606 + $730.8108 = $970.66.Diff: 3Topic: 9.2 Principles of Pricing of Financial AssetsObjective: 9.7 the principles that reveal how the properties of an asset affect its