投资学第7版test bank答案5Word格式.docx
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A）defaultrisk
B）foreignexchangerisk
C）marketrisk
D）politicalrisk
DDifficulty:
Alloftheabovefactorsarepoliticalinnature,andthusareexamplesofpoliticalrisk.
3.__________aremutualfundsthatinvestinonecountryonly.
CDifficulty:
Mutualfundsthatinvestinthestocksofonecountryonlyarecalledsingle-countryfunds.
4.Theperformanceofaninternationallydiversifiedportfoliomaybeaffectedby
A）countryselection
B）currencyselection
C）stockselection
Alloftheabovefactorsmayaffecttheperformanceofaninternationalportfolio.
5.Overtheperiod2001-2005,mostcorrelationsbetweentheU.S.stockindexandstock-indexportfoliosofothercountrieswere
A）negative
B）positivebutlessthan.9
C）approximatelyzero
D）.9orabove
BDifficulty:
Moderate
Correlationcoefficientsweretypicallybelow.9,whilecorrelationsbetweenwell-diversifiedU.S.marketportfoliosweretypicallyabove.9.SeeTable25.10.
6.The__________indexisawidelyusedindexofnon-U.S.stocks.
A）CBOE
B）DowJones
C）EAFE
TheEurope,Australia,FarEast（EAFE）indexcomputedbyMorganStanleyisawidelyusedindexofnon-U.S.stocks.
7.The__________equitymarkethadthehighestaveragelocalcurrencyreturnbetween2001and2005.
A）Russian
B）Norwegian
C）U.K.
D）U.S.
SeeTable25.9.
8.The__________equitymarkethadthehighestaverageU.S.dollarreturnbetween2001and2005.
B）Finnish
C）Columbian
9.The__________equitymarkethadthehighestaverageU.S.dollarstandarddeviationbetween2001and2005.
A）Turkish
C）Indonesian
10.The__________equitymarkethadthehighestaveragelocalcurrencystandarddeviationbetween2001and2005.
11.In2005,theU.S.equitymarketrepresented__________oftheworldequitymarket.
A）19%
B）60%
C）43%
D）39%
SeeTable25.1.
12.ThestraightforwardgeneralizationofthesimpleCAPMtointernationalstocksisproblematicbecause__________.
A）inflationriskperceptionsbydifferentinvestorsindifferentcountrieswilldifferasconsumptionbasketsdiffer
B）investorsindifferentcountriesviewexchangerateriskfromtheperspectiveofdifferentdomesticcurrencies
C）taxes,transactioncostsandcapitalbarriersacrosscountriesmakeitdifficultforinvestortoholdaworldindexportfolio
E）noneoftheabove.
AlloftheabovefactorsmakeabroadgeneralizationoftheCAPMtointernationalstocksproblematic.
13.Theyieldona1-yearbillintheU.K.is8%andthepresentexchangerateis1pound=U.S.$1.60.Ifyouexpecttheexchangeratetobe1pound-U.S.$1.50ayearfromnow,thereturnaU.S.investorcanexpecttoearnbyinvestinginU.K.billsis
A）-6.7%
B）0%
C）8%
D）1.25%
r（US）=[1+r（UK）]F0/E0-1;
[1.08][1.50/1.60]-1=1.25%.
14.Supposethe1-yearrisk-freerateofreturnintheU.S.is5%.Thecurrentexchangerateis1pound=U.S.$1.60.The1-yearforwardrateis1pound=$1.57.Whatistheminimumyieldona1-yearrisk-freesecurityinBritainthatwouldinduceaU.S.investortoinvestintheBritishsecurity?
A）2.44%
B）2.50%
C）7.00%
D）7.62%
1.05=（1+r）X[1.57/1.60]-1;
r=7.0%.
15.Theinterestrateona1-yearCanadiansecurityis8%.ThecurrentexchangerateisC$=US$0.78.The1-yearforwardrateisC$=US$0.76.Thereturn（denominatedinU.S.$）thataU.S.investorcanearnbyinvestingintheCanadiansecurityis__________.
A）3.59%
B）4.00%
C）5.23%
D）8.46%
1.08[0.76/0.78]=x-1;
x=5.23%.
16.Supposethe1-yearrisk-freerateofreturnintheU.S.is4%andthe1-yearrisk-freerateofreturninBritainis7%.Thecurrentexchangerateis1pound=U.S.$1.65.A1-yearfutureexchangerateof__________forthepoundwouldmakeaU.S.investorindifferentbetweeninvestingintheU.S.securityandinvestingtheBritishsecurity.
A）1.6037
B）2.0411
C）1.7500
D）2.3369
1.04/1.07=x/1.65;
x=1.6037.
17.ThepresentexchangerateisC$=U.S.$0.78.TheoneyearfuturerateisC$=U.S.$0.76.Theyieldona1-yearU.S.billis4%.Ayieldof__________ona1-year__________CanadianbillwillmakeinvestorindifferentbetweeninvestingintheU.S.billandtheCanadianbill.
A）2.4%
B）1.3%
C）6.4%
D）6.7%
1.04=[（$0.76/$0.78）（1+r）]-1;
r=6.7%.
Usethefollowingtoanswerquestions18-19:
AssumethereisafixedexchangeratebetweentheCanadianandU.S.dollar.TheexpectedreturnandstandarddeviationofreturnontheU.S.stockmarketare18%and15%,respectively.TheexpectedreturnandstandarddeviationontheCanadianstockmarketare13%and20%,respectively.ThecovarianceofreturnsbetweentheU.S.andCanadianstockmarketsis1.5%.
18.Ifyouinvested50%ofyourmoneyintheCanadianstockmarketand50%intheU.S.stockmarket,theexpectedreturnonyourportfoliowouldbe__________.
A）12.0%
B）12.5%
C）13.0%
D）15.5%
18%（0.5）+13%（0.5）=15.5%.
19.Ifyouinvested50%ofyourmoneyintheCanadianstockmarketand50%intheU.S.stockmarket,thestandarddeviationofreturnofyourportfoliowouldbe__________.
A）12.53%
B）15.21%
C）17.50%
D）18.75%
Difficult
sP=[（0.5）2（15%）2+（0.5）2（20%）2+2（0.5）（0.5）（1.5）]1/2=12.53%.
20.ThemajorconcernthathasbeenraisedwithrespecttotheweightingofcountrieswithintheEAFEindexis
A）currencyvolatilitiesarenotconsideredintheweighting.
B）cross-correlationsarenotconsideredintheweighting.
C）inflationisnotrepresentedintheweighting.
D）theweightsarenotproportionaltotheassetbasesoftherespectivecountries.
SomearguethatcountriesshouldbeweightedinproportiontotheirGDPtoproperlyadjustforthetruesizeoftheircorporatesectors,sincemanyfirmsarenotpubliclytraded.
21.YouareaU.S.investorwhopurchasedBritishsecuritiesfor2,000poundsoneyearagowhentheBritishpoundcost$1.50.NodividendswerepaidontheBritishsecuritiesinthepastyear.YourtotalreturnbasedonU.S.dollarswas__________ifthevalueofthesecuritiesisnow2,400poundsandthepoundisworth$1.60.
A）16.7%
B）20.0%
C）28.0%
D）40.0%
（$3,840-$3,000）/$3,000=0.28,or28.0%.
22.U.S.investors
A）cantradederivativesecuritiesbasedonpricesinforeignsecuritymarkets.
B）cannottradeforeignderivativesecurities.
C）cantradeoptionsandfuturesontheNikkeistockindexof225stockstradedontheTokyostockexchangeandonFTSE（FinancialTimesShareExchange）indexesofU.K.andEuropeanstocks.
D）AandC.
U.S.investorscaninvestasindicatedinA,examplesofwhicharegiveninC.
23.Exchangeraterisk
A）resultsfromchangesintheexchangeratesinthecurrenciesoftheinvestorandthecountryinwhichtheinvestmentismade.
B）canbehedgedbyusingaforwardorfuturescontractinforeignexchange.
C）cannotbeeliminated.
E）AandB.
EDifficulty:
Althoughinternationalinvestinginvolvesriskresultingfromthechangingexchangeratesbetweencurrencies,thisriskcanbehedgedbyusingaforwardorfuturescontractinforeignexchange.
24.Internationalinvesting
A）cannotbemeasuredagainstapassivebenchmark,suchastheS&
P500.
B）canbemeasuredagainstawidelyusedindexofnon-U.S.stocks,theEAFEindex（Europe,Australia,FarEast）.
C）canbemeasuredagainstinternationalindexescomputedbyMorganStanley,SalomonBro
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