投资学英文第7版TestBank答案chap016Word文件下载.docx

投资学英文第7版TestBank答案chap016Word文件下载.docx

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Easy

Rationale:

Durationiscalculatedbydiscountingthebond'

scashflowsatthebond'

syieldtomaturityand,exceptforzero-couponbonds,isalwayslessthantimetomaturity.

2.Ceterisparibus,thedurationofabondispositivelycorrelatedwiththebond'

A）timetomaturity.

B）couponrate.

C）yieldtomaturity.

ADifficulty:

Moderate

Durationisnegativelycorrelatedwithcouponrateandyieldtomaturity.

3.Holdingotherfactorsconstant,theinterest-rateriskofacouponbondishigherwhenthebond'

s:

A）term-to-maturityislower.

B）couponrateishigher.

C）yieldtomaturityislower.

D）currentyieldishigher.

CDifficulty:

Thelongerthematurity,thegreatertheinterest-raterisk.Thelowerthecouponrate,thegreatertheinterest-raterisk.Thelowertheyieldtomaturity,thegreatertheinterest-raterisk.Theseconceptsarereflectedinthedurationrules;

durationisameasureofbondpricesensitivitytointerestratechanges（interest-raterisk）.

4.The"

modifiedduration"

usedbypractitionersisequaltotheMacaulayduration

A）timesthechangeininterestrate.

B）times（oneplusthebond'

syieldtomaturity）.

C）dividedby（oneminusthebond'

D）dividedby（oneplusthebond'

D*=D/（l+y）

5.Giventhetimetomaturity,thedurationofazero-couponbondishigherwhenthediscountrateis

A）higher.

B）lower.

C）equaltotheriskfreerate.

D）Thebond'

sdurationisindependentofthediscountrate.

Thedurationofazero-couponbondisequaltothematurityofthebond.

6.Theinterest-rateriskofabondis

A）theriskrelatedtothepossibilityofbankruptcyofthebond'

sissuer.

B）theriskthatarisesfromtheuncertaintyofthebond'

sreturncausedbychangesininterestrates.

C）theunsystematicriskcausedbyfactorsuniqueinthebond.

D）AandBabove.

E）A,B,andCabove.

BDifficulty:

Changinginterestrateschangethebond'

sreturn,bothintermsofthepriceofthebondandthereinvestmentofcouponpayments.

7.Whichofthefollowingtwobondsismorepricesensitivetochangesininterestrates?

1）Aparvaluebond,X,witha5-year-to-maturityanda10%couponrate.

2）Azero-couponbond,Y,witha5-year-to-maturityanda10%yield-to-maturity.

A）BondXbecauseofthehigheryieldtomaturity.

B）BondXbecauseofthelongertimetomaturity.

C）BondYbecauseofthelongerduration.

D）Bothhavethesamesensitivitybecausebothhavethesameyieldtomaturity.

E）Noneoftheabove

Durationisthebestmeasureofbondpricesensitivity;

thelongerthedurationthehigherthepricesensitivity.

8.Holdingotherfactorsconstant,whichoneofthefollowingbondshasthesmallestpricevolatility?

A）5-year,0%couponbond

B）5-year,12%couponbond

C）5year,14%couponbond

D）5-year,10%couponbond

E）Cannottellfromtheinformationgiven.

Duration（andthuspricevolatility）islowerwhenthecouponratesarehigher.

9.Whichofthefollowingisnottrue?

A）Holdingotherthingsconstant,thedurationofabondincreaseswithtimetomaturity.

B）Giventimetomaturity,thedurationofazero-coupondecreaseswithyieldtomaturity.

C）Giventimetomaturityandyieldtomaturity,thedurationofabondishigherwhenthecouponrateislower.

D）Durationisabettermeasureofpricesensitivitytointerestratechangesthanistimetomaturity.

E）Alloftheabove.

Thedurationofazero-couponbondisequaltotimetomaturity,andisindependentofyieldtomaturity.

10.Thedurationofa5-yearzero-couponbondis

A）smallerthan5.

B）largerthan5.

C）equalto5.

D）equaltothatofa5-year10%couponbond.

Durationofazero-couponbondequalsthebond'

smaturity.

11.Thebasicpurposeofimmunizationisto

A）eliminatedefaultrisk.

B）produceazeronetinterest-raterisk.

C）offsetpriceandreinvestmentrisk.

D）AandB.

E）BandC.

EDifficulty:

Whenaportfolioisimmunized,priceriskandreinvestmentriskexactlyoffseteachotherresultinginzeronetinterest-raterisk.

12.Thedurationofaparvaluebondwithacouponrateof8%andaremainingtimetomaturityof5yearsis

A）5years.

B）5.4years.

C）4.17years.

D）