投资学期末试题库答案和分析(一)

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TUTORIAL – SESSION 01

CHAPTER 01

1. Discuss the agency problem.

2. Discuss the similarities and differences between real and financial assets.

3. Discuss the following ongoing trends as they relate to the field of investments:

globalization, financial engineering, securitization, and computer networks.

CHAPTER 02

Use the following to answer questions 1 to 3:

Consider the following three stocks:

1. The price-weighted index constructed with the three stocks is A) 30 B) 40 C) 50 D) 60 E) 70

Answer: B Difficulty: Easy Rationale: ($40 + $70 + $10)/3 = $40.

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2. The value-weighted index constructed with the three stocks using a divisor of 100 is A) 1.2 B) 1200 C) 490 D) 4900 E) 49

Answer: 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. Assume at these prices the value-weighted index constructed with the three stocks is 490. What would the index be if stock B is split 2 for 1 and stock C 4 for 1?

A) 265 B) 430 C) 355 D) 490 E) 1000

Answer: D Difficulty: Moderate

Rationale: Value-weighted indexes are not affected by stock splits. 4.

An investor purchases one municipal and one corporate bond that pay rates of return of 8% and 10%, respectively. If the investor is in the 20% marginal tax bracket, his or her after tax rates of return on the municipal and corporate bonds would be ________ and ______, respectively.

A) 8% and 10% B) 8% and 8% C) 6.4% and 8% D) 6.4% and 10% E) 10% and 10%

Answer: B Difficulty: Moderate

Rationale: rc = 0.10(1 - 0.20) = 0.08, or 8%; rm = 0.08(1 - 0) = 8%.

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A 5.5% 20-year municipal bond is currently priced to yield 7.2%. For a taxpayer in the 33% marginal tax bracket, this bond would offer an equivalent taxable yield of:

A) 8.20%. B) 10.75%. C) 11.40%. D) 4.82%.

E) none of the above.

Answer: B Difficulty: Moderate

Rationale: 0.072 = rm (1-t); 0.072 = rm / (0.67); rm = 0.1075 = 10.75% 6.

In order for you to be indifferent between the after tax returns on a corporate bond paying 8.5% and a tax-exempt municipal bond paying 6.12%, what would your tax bracket need to be? 7.

Suppose an investor is considering a corporate bond with a 7.17% before-tax yield and a municipal bond with a 5.93% before-tax yield. At what marginal tax rate would the investor be indifferent between investing in the corporate and investing in the muni?

A) 15.4% B) 23.7% C) 39.5% D) 17.3% E) 12.4% A) 33% B) 72% C) 15% D) 28%

E) Cannot tell from the information given

.0612 = .085(1-t); (1-t) = 0.72; t = .28

tm = 1 - (5.93%/7.17%) = 17.29%

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Use the following to answer questions 8 to 9:

8. Based on the information given, for a price-weighted index of the three stocks calculate:

A) the rate of return for the first period (t=0 to t=1).

B) the value of the divisor in the second period (t=2). Assume that Stock

A had a 2-1 split during this period.

C) the rate of return for the second period (t=1 to t=2).

weighted index at time 1 is (72 + 81 + 98)/3 = 83.67. The return on the index is 83.67/86.67 - 1 = -3.46%.

A. The price-weighted index at time 0 is (70 + 85 + 105)/3 = 86.67. The price-

B. The divisor must change to reflect the stock split. Because nothing else

fundamentally changed, the value of the index should remain 83.67. So the new divisor is (36 + 81 + 98)/83.67 = 2.57. The index value is (36 + 81 + 98)/2.57 = 83.67.

C. The rate of return for the second period is 83.67/83.67 - 1 = 0.00%

9. Based on the information given for the three stocks, calculate the first-period rates of return (from t=0 to t=1) on A) a market-value-weighted index. B) an equally-weighted index. C) a geometric index.

$88,000. The total market value at time 1 is $72 * 200 + $81 * 500 + $98 * 300 = $84,300. The return is $84,300/$88,000 - 1 = -4.20%.

B. The return on Stock A for the first period is $72/$70 - 1 = 2.86%. The return on

Stock B for the first period is $81/$85 - 1 = -4.71%. The return on Stock C for the first period is $98/$105 - 1 = -6.67%. The return on an equally weighted index of the three stocks is (2.86% - 4.71% - 6.67%)/3 = -2.84%

C. The geometric average return is [(1+.0286)(1-.0471)(1-.0667)](1/3)-1 =

[(1.0286)(0.9529)(0.9333)]0.3333 -1 = -2.92%

A. The total market value at time 0 is $70 * 200 + $85 * 500 + $105 * 300 =

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