2023年投资学期末题库答案和分析

TUTORIAL–SESSION01CHAPTER01Discusstheagencyproblem.Discussthesimilaritiesanddifferencesbetweenrealandfinancialassets.Discussthefollowingongoingtrendsastheyrelatetothefieldofinvestments:globalization,financialengineering,securitization,andcomputernetworks.CHAPTER02Usethefollowingtoanswerquestions1to3:Considerthefollowingthreestocks: 1. Theprice-weightedindexconstructedwiththethreestocksis A) 30 B) 40 C) 50 D) 60 E) 70Answer:BDifficulty:EasyRationale:($40+$70+$10)/3=$40. 2. Thevalue-weightedindexconstructedwiththethreestocksusingadivisorof100is A) 1.2 B) 1200 C) 490 D) 4900 E) 49Answer:

C

Difficulty:

Moderate

Rationale:

The

sum

of

the

value

of

the

three

stocks

divided

by

100

is

490:

[($40

x

200)

+

($70

x

500)

+

($10

x

600)]

/100

=

490 3. Assumeatthesepricesthevalue-weightedindexconstructedwiththethreestocksis490.WhatwouldtheindexbeifstockBissplit2for1andstockC4for1? A) 265 B) 430 C) 355 D) 490 E) 1000Answer:DDifficulty:ModerateRationale:Value-weightedindexesarenotaffectedbystocksplits.4. Aninvestorpurchasesonemunicipalandonecorporatebondthatpayratesofreturnof8%and10%,respectively.Iftheinvestorisinthe20%marginaltaxbracket,hisorheraftertaxratesofreturnonthemunicipalandcorporatebondswouldbe________and______,respectively. A) 8%and10% B) 8%and8% C) 6.4%and8% D) 6.4%and10% E) 10%and10% Answer:BDifficulty:ModerateRationale:rc=0.10(1-0.20)=0.08,or8%;rm=0.08(1-0)=8%.5. A5.5%20-yearmunicipalbondiscurrentlypricedtoyield7.2%.Forataxpayerinthe33%marginaltaxbracket,thisbondwouldofferanequivalenttaxableyieldof: A) 8.20%. B) 10.75%. C) 11.40%. D) 4.82%. E) noneoftheabove.Answer:BDifficulty:ModerateRationale:0.072=rm(1-t);0.072=rm/(0.67);rm=0.1075=10.75%6. Inorderforyoutobeindifferentbetweentheaftertaxreturnsonacorporatebondpaying8.5%andatax-exemptmunicipalbondpaying6.12%,whatwouldyourtaxbracketneedtobe? A) 33% B) 72% C) 15% D) 28% E) Cannottellfromtheinformationgiven.0612=.085(1-t);(1-t)=0.72;t=.287. Supposeaninvestorisconsideringacorporatebondwitha7.17%before-taxyieldandamunicipalbondwitha5.93%before-taxyield.Atwhatmarginaltaxratewouldtheinvestorbeindifferentbetweeninvestinginthecorporateandinvestinginthemuni? A) 15.4% B) 23.7% C) 39.5% D) 17.3% E) 12.4%tm=1-(5.93%/7.17%)=17.29%Usethefollowingtoanswerquestions8to9: 8. Basedontheinformationgiven,foraprice-weightedindexofthethreestockscalculate: A) therateofreturnforthefirstperiod(t=0tot=1). B) thevalueofthedivisorinthesecondperiod(t=2).AssumethatStockAhada2-1splitduringthisperiod. C) therateofreturnforthesecondperiod(t=1tot=2).A.Theprice-weightedindexattime0is(70+85+105)/3=86.67.Theprice-weightedindexattime1is(72+81+98)/3=83.67.Thereturnontheindexis83.67/86.67-1=-3.46%.B.Thedivisormustchangetoreflectthestocksplit.Becausenothingelsefundamentallychanged,thevalueoftheindexshouldremain83.67.Sothenewdivisoris(36+81+98)/83.67=2.57.Theindexvalueis(36+81+98)/2.57=83.67.C.Therateofreturnforthesecondperiodis83.67/83.67-1=0.00% 9. Basedontheinformationgivenforthethreestocks,calculatethefirst-periodratesofreturn(fromt=0tot=1)on A) amarket-value-weightedindex. B) anequally-weightedindex. C) ageometricindex.A.Thetotalmarketvalueattime0is$70*200+$85*500+$105*300=$88,000.Thetotalmarketvalueattime1is$72*200+$81*500+$98*300=$84,300.Thereturnis$84,300/$88,000-1=-4.20%.B.ThereturnonStockAforthefirstperiodis$72/$70-1=2.86%.ThereturnonStockBforthefirstperiodis$81/$85-1=-4.71%.ThereturnonStockCforthefirstperiodis$98/$105-1=-6.67%.Thereturnonanequallyweightedindexofthethreestocksis(2.86%-4.71%-6.67%)/3=-2.84%C.Thegeometricaveragereturnis[(1+.0286)(1-.0471)(1-.0667)](1/3)-1=[(1.0286)(0.9529)(0.9333)]0.3333-1=-2.92%Discusstheadvantagesanddisadvantagesofcommonstockownership,relativetootherinvestmentalternatives.CHAPTER031. Assumeyoupurchased200sharesofXYZcommonstockonmarginat$70persharefromyourbroker.Iftheinitialmarginis55%,howmuchdidyouborrowfromthebroker? A) $6,000 B) $4,000 C) $7,700 D) $7,000 E) $6,300Answer:EDifficulty:ModerateRationale:200shares*$70/share*(1-0.55)=$14,000*(0.45)=$6,300. 2. Yousoldshort200sharesofcommonstockat$60pershare.Theinitialmarginis60%.Yourinitialinvestmentwas A) $4,800. B) $12,000. C) $5,600. D) $7,200. E) noneoftheabove.Answer:DDifficulty:ModerateRationale:200shares*$60/share*0.60=$12,000*0.60=$7,2003. Youpurchased100sharesofABCcommonstockonmarginat$70pershare.Assumetheinitialmarginis50%andthemaintenancemarginis30%.Belowwhatstockpricelevelwouldyougetamargincall?Assumethestockpaysnodividend;ignoreinterestonmargin. A) $21 B) $50 C) $49 D) $80 E) noneoftheaboveAnswer:BDifficulty:DifficultRationale:100shares*$70*.5=$7,000*0.5=$3,500(loanamount);0.30=(100P-$3,500)/100P;30P=100P-$3,500;-70P=-$3,500;P=$50.4. Youpurchased100sharesofcommonstockonmarginat$45pershare.Assumetheinitialmarginis50%andthestockpaysnodividend.Whatwouldthemaintenancemarginbeifamargincallismadeatastockpriceof$30?Ignoreinterestonmargin. A) 0.33 B) 0.55 C) 0.43 D) 0.23 E) 0.25Answer:EDifficulty:DifficultRationale:100shares*$45/share*0.5=$4,500*0.5=$2,250(loanamount);X=[100($30)-$2,250]/100($30);X=0.25. 5. Youpurchased300sharesofcommonstockonmarginfor$60pershare.Theinitialmarginis60%andthestockpaysnodividend.Whatwouldyourrateofreturnbeifyousellthestockat$45pershare?Ignoreinterestonmargin. A) 25% B) -33% C) 44% D) -42% E) –54%Answer:DDifficulty:DifficultRationale:300($60)(0.60)=$10,800investment;300($60)=$18,000*(0.40)=$7,200loan;Proceedsaftersellingstockandrepayingloan:$13,500-$7,200=$6,300;Return=($6,300-$10,800)/$10,800=-41.67%. 6. Assumeyousellshort100sharesofcommonstockat$45pershare,withinitialmarginat50%.Whatwouldbeyourrateofreturnifyourepurchasethestockat$40/share?Thestockpaidnodividendsduringtheperiod,andyoudidnotremoveanymoneyfromtheaccountbeforemakingtheoffsettingtransaction. A) 20% B) 25% C) 22% D) 77% E) noneoftheaboveAnswer:CDifficulty:ModerateRationale:Profitonstock=($45-$40)*100=$500,$500/$2,250(initialinvestment)=22.22%7. YouwanttopurchaseXYZstockat$60fromyourbrokerusingaslittleofyourownmoneyaspossible.Ifinitialmarginis50%andyouhave$3000toinvest,howmanysharescanyoubuy? A) 100shares B) 200shares C) 50shares D) 500shares E) 25sharesAnswer:ADifficulty:ModerateRationale:.5=[(Q*$60)-$3,000]/(Q*$60);$30Q=$60Q-$3,000;$30Q=$3,000;Q=100.8. Youbuy300sharesofQualitycorpfor$30pershareanddepositinitialmarginof50%.ThenextdayQualitycorp'spricedropsto$25pershare.Whatisyouractualmargin? A) 50% B) 40% C) 33% D) 60% E) 25%Answer:BDifficulty:ModerateRationale:AM=[300($25)-.5(300)($30)]/[300($25)]=.409. Yousoldshort100sharesofcommonstockat$45pershare.Theinitialmarginis50%.Yourinitialinvestmentwas A) $4,800. B) $12,000. C) $2,250. D) $7,200. E) noneoftheabove.Answer:CDifficulty:ModerateRationale:100shares*$45/share*0.50=$4,500*0.50=$2,25010. ListthreefactorsthatarelistingrequirementsfortheNewYorkStockExchange.Whydoestheexchangehavesuchrequirements?CHAPTER04 1. MultipleMutualFundshadyear-endassetsof$457,000,000andliabilitiesof$17,000,000.Therewere24,300,000sharesinthefundatyear-end.WhatwasMultipleMutual'sNetAssetValue? A) $18.11 B) $18.81 C) $69.96 D) $7.00 E) $181.07Answer:ADifficulty:ModerateRationale:(457,000,000-17,000,000)/24,300,000=$18.11 2. DiversifiedPortfolioshadyear-endassetsof$279,000,000andliabilitiesof$43,000,000.IfDiversified'sNAVwas$42.13,howmanysharesmusthavebeenheldinthefund? A) 43,000,000 B) 6,488,372 C) 5,601,709 D) 1,182,203 E) Noneoftheabove.Answer:CDifficulty:ModerateRationale:($279,000,000-43,000,000)/$42.13=5,601,708.996. 3. PinnacleFundhadyear-endassetsof$825,000,000andliabilitiesof$25,000,000.IfPinnacle'sNAVwas$32.18,howmanysharesmusthavebeenheldinthefund? A) 21,619,346,92 B) 22,930,546.28 C) 24,860,161.59 D) 25,693,645.25 E) Noneoftheabove.Answer:CDifficulty:ModerateRationale:($825,000,000-25,000,000)/$32.18=24,860,161.59.4. TheProfitabilityFundhadNAVpershareof$17.50onJanuary1,.OnDecember31ofthesameyearthefund'sNAVwas$19.47.Incomedistributionswere$0.75andthefundhadcapitalgaindistributionsof$1.00.Withoutconsideringtaxesandtransactionscosts,whatrateofreturndidaninvestorreceiveontheProfitabilityfundlastyear? A) 11.26% B) 15.54% C) 16.97% D) 21.26% E) 9.83%Answer:DDifficulty:ModerateRationale:R=($19.47-17.50+.75+1.00)/$17.50=21.26%5. PattyO'Furniturepurchased100sharesofGreenIslemutualfundatanetassetvalueof$42pershare.DuringtheyearPattyreceiveddividendincomedistributionsof$2.00pershareandcapitalgainsdistributionsof$4.30pershare.Attheendoftheyeartheshareshadanetassetvalueof$40pershare.WhatwasPatty'srateofreturnonthisinvestment? A) 5.43% B) 10.24% C) 7.19% D) 12.44% E) 9.18%（40-42+2+4.3）/42=10.24%6. Amutualfundhadyear-endassetsof$560,000,000andliabilitiesof$26,000,000.Therewere23,850,000sharesinthefundatyearend.Whatwasthemutualfund'sNetAssetValue? A) $22.87 B) $22.39 C) $22.24 D) $17.61 E) $19.25Answer:BDifficulty:ModerateRationale:(560,000,000-26,000,000)/23,850,000=$22.3897. Amutualfundhadyear-endassetsof$465,000,000andliabilitiesof$37,000,000.IfthefundNAVwas$56.12,howmanysharesmusthavebeenheldinthefund? A) 4,300,000 B) 6,488,372 C) 8,601,709 D) 7,626,515 E) Noneoftheabove.Answer:DDifficulty:ModerateRationale:($465,000,00037,000,000)/$56.12=7,626,5158. AmutualfundhadNAVpershareof$26.25onJanuary1,.OnDecember31ofthesameyearthefund'srateofreturnfortheyearwas16.4%.Incomedistributionswere$1.27andthefundhadcapitalgaindistributionsof$1.85.Withoutconsideringtaxesandtransactionscosts,whatendingNAVwouldyoucalculate? A) $27.44 B) $33.88 C) $24.69 D) $42.03 E) $16.62Answer:

A

Difficulty:

Moderate

Rationale:

.164

=

(P

-

$26.25

+

1.27

+

1.85)

/

$26.25;

P

=

$27.4359. Amutualfundshadaveragedailyassetsof$2.0billionon.Thefundsold$500millionworthofstockandpurchased$600millionworthofstockduringtheyear.Thefundsturnoverratiois___. A) 27.5% B) 12% C) 15% D) 25% E) 20%Answer:DDifficulty:ModerateRationale:500,000,000/2,000,000,000=25%10. Youpurchasedsharesofamutualfundatapriceof$20pershareatthebeginningoftheyearandpaidafront-endloadof5.75%.Ifthesecuritiesinwhichthefindinvestedincreasedinvalueby11%duringtheyear,andthefundsexpenseratiowas1.25%,yourreturnifyousoldthefundattheendoftheyearwouldbe____________. A) 4.33 B) 3.44 C) 2.45 D) 6.87 E) Noneoftheabove[20*(1-5.75%)*(1+11%-1.25%)-20]/20=0.034311. Listanddescribethemoreimportanttypesofmutualfundsaccordingtotheirinvestmentpolicyanduse.CHAPTER051. Overthepastyearyouearnedanominalrateofinterestof10percentonyourmoney.Theinflationratewas5percentoverthesameperiod.Theexactactualgrowthrateofyourpurchasingpowerwas A) 15.5%. B) 10.0%. C) 5.0%. D) 4.8%. E) 15.0%Answer:DDifficulty:ModerateRationale:r=(1+R)/(1+I)-1;1.10%/1.5%-1=4.8%.2. Youpurchasedashareofstockfor$20.Oneyearlateryoureceived$1asdividendandsoldthesharefor$29.Whatwasyourholdingperiodreturn? A) 45% B) 50% C) 5% D) 40% E) noneoftheaboveAnswer:

B

Difficulty:

Moderate

Rationale:

($1

+

$29

-

$20)/$20

=

0.5000,

or

50%.Usethefollowingtoanswerquestions3-5:YouhavebeengiventhisprobabilitydistributionfortheholdingperiodreturnforKMPstock: 3. WhatistheexpectedholdingperiodreturnforKMPstock? A) 10.40% B) 9.32% C) 11.63% D) 11.54% E) 10.88%Answer:ADifficulty:ModerateRationale:HPR=.30(18%)+.50(12%)+.20(-5%)=10.4% 4. WhatistheexpectedstandarddeviationforKMPstock? A) 6.91% B) 8.13% C) 7.79% D) 7.25% E) 8.85%Answer:BDifficulty:DifficultRationale:s=[.30(18-10.4)2+.50(12-10.4)2+.20(-5-10.4)2]1/2=8.13% 5. WhatistheexpectedvarianceforKMPstock? A) 66.04% B) 69.96% C) 77.04% D) 63.72% E) 78.45%ADifficulty:DifficultRationale:s=[.30(18-10.4)2+.50(12-10.4)2+.20(5-10.4)2]=66.04%6. YoupurchaseashareofBoeingstockfor$90.Oneyearlater,afterreceivingadividendof$3,yousellthestockfor$92.Whatwasyourholdingperiodreturn? A) 4.44% B) 2.22% C) 3.33% D) 5.56% E) noneoftheaboveAnswer:DDifficulty:ModerateRationale:HPR=(92-90+3)/90=5.56%7. Aninvestorpurchasedabond45daysagofor$985.Hereceived$15ininterestandsoldthebondfor$980.Whatistheholdingperiodreturnonhisinvestment? A) 1.52% B) 0.50% C) 1.02% D) 0.01% E) NoneoftheaboveAnswer:CDifficulty:EasyRationale:HPR=($15+980-985)/$985=.=approximately1.02%. 8. Overthepastyearyouearnedanominalrateofinterestof8percentonyourmoney.Theinflationratewas3.5percentoverthesameperiod.Theexactactualgrowthrateofyourpurchasingpowerwas A) 15.55%. B) 4.35%. C) 5.02%. D) 4.81%. E) 15.04%Answer:BDifficulty:ModerateRationale:r=(1+R)/(1+I)-1;1.08/1.035-1=4.35%.9. Overthepastyearyouearnedanominalrateofinterestof14percentonyourmoney.Theinflationratewas2percentoverthesameperiod.Theexactactualgrowthrateofyourpurchasingpowerwas A) 11.76%. B) 16.00%. C) 15.02%. D) 14.32%. E) noneoftheabove.10. Aninvestmentprovidesa2%returnsemi-annually,itseffectiveannualrateis A) 2%. B) 4%. C) 4.02% D) 4.04% E) noneoftheabove(1.02)2-1=4.04%11. Discusstherelationshipsbetweeninterestrates(bothrealandnominal),expectedinflationrates,andtaxratesoninvestmentreturns.12. Discusswhycommonstocksmustearnariskpremium.CHAPTER071. Marketriskisalsoreferredtoas A) systematicrisk,diversifiablerisk. B) systematicrisk,nondiversifiablerisk. C) uniquerisk,nondiversifiablerisk. D) uniquerisk,diversifiablerisk. E) noneoftheabove.Answer:BDifficulty:EasyRationale:Market,systematic,andnondiversifiableriskaresynonymsreferringtotheriskthatcannotbeeliminatedfromtheportfolio.Diversifiable,unique,nonsystematic,andfirm-specificrisksaresynonymsreferringtotheriskthatcanbeeliminatedfromtheportfoliobydiversification.2. Thevarianceofaportfolioofriskysecurities A) isaweightedsumofthesecurities'variances. B) isthesumofthesecurities'variances. C) istheweightedsumofthesecurities'variancesandcovariances. D) isthesumofthesecurities'covariances. E) noneoftheabove.Answer:

C

Difficulty:

Moderate

Rationale:

The

variance

of

a

portfolio

of

risky

securities

is

a

weighted

sum

taking

into

account

both

the

variance

of

the

individual

securities

and

the

covariances

between

securities.3. Otherthingsequal,diversificationismosteffectivewhen A) securities'returnsareuncorrelated. B) securities'returnsarepositivelycorrelated. C) securities'returnsarehigh. D) securities'returnsarenegativelycorrelated. E) BandC.Answer:

D

Difficulty:

Moderate

Rationale:

Negative

correlation

among

securities

results

in

the

greatest

reduction

of

portfolio

risk,

which

is

the

goal

of

diversification.4. TheCapitalAllocationLineprovidedbyarisk-freesecurityandNriskysecuritiesis A) thelinethatconnectstherisk-freerateandtheglobalminimum-varianceportfoliooftheriskysecurities. B) thelinethatconnectstherisk-freerateandtheportfoliooftheriskysecuritiesthathasthehighestexpectedreturnontheefficientfrontier. C) thelinetangenttotheefficientfrontierofriskysecuritiesdrawnfromtherisk-freerate. D) thehorizontallinedrawnfromtherisk-freerate. E) noneoftheabove.Answer:

C

Difficulty:

Moderate

Rationale:

The

Capital

Allocation

Line

represents

the

most

efficient

combinations

of

the

risk-free

asset

and

risky

securities.

Only

C

meets

that

definition.5. Whichofthefollowingstatementsis(are)trueregardingthevarianceofaportfoliooftworiskysecurities? A) Thehigherthecoefficientofcorrelationbetweensecurities,thegreaterthereductionintheportfoliovariance. B) Thereisalinearrelationshipbetweenthesecurities'coefficientofcorrelationandtheportfoliovariance. C) Thedegreetowhichtheportfoliovarianceisreduceddependsonthedegreeofcorrelationbetweensecurities. D) AandB. E) AandC.Answer:

C

Difficulty:

Moderate

Rationale:

The

lower

the

correlation

between

the

returns

of

the

securities,

the

more

portfolio

risk

is

reduced.Usethefollowingtoanswerquestions6-11:ConsiderthefollowingprobabilitydistributionforstocksAandB:6. TheexpectedratesofreturnofstocksAandBare_____and_____,respectively. A) 13.2%;9% B) 14%;10% C) 13.2%;7.7% D) 7.7%;13.2% E) noneoftheaboveAnswer:

C

Difficulty:

Easy

Rationale:

E(RA)

=

0.1(10%)

+

0.2(13%)

+

0.2(12%)

+

0.3(14%)

+

0.2(15%)

=

13.2%;

E(RB)

=

0.1(8%)

+

0.2