完整word版投资学第7版Test Bank答案16Word下载.docx
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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/(1+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)4.31years.
Calculationsareshownbelow.
Yr.
CF
PVofCF@08%
Weight*Yr.
1
$80
$80/1.08=$74.07
0.0741*1=0.0741
2
$80/(1.08)2=$68.59
0.0686*2=0.1372
3
$80/(1.08)3=$63.51
0.0635*3=0.1905
4
$80/(1.08)4=$58.80
0.0588*4=0.2352
5
$1,080
$1,080/(1.08)5=$735.03
0.7350*5=3.6750
Sum
$1000.00
4.3120yrs.(duration)
13.Thedurationofaperpetuitywithayieldof8%is
A)13.50years.
B)12.11years.
C)6.66years.
D)cannotbedetermined.
D=1.08/0.08=13.50years.
14.Aseven-yearparvaluebondhasacouponrateof9%andamodifieddurationof
A)7years.
B)5.49years.
C)5.03years.
D)4.87years.
Difficult
PVofCF@9%
$90
$82.57
0.0826X1=0.0826
$75.75
0.0758X2=0.1516
$69.50
0.0695X3=0.2085
$63.76
0.0638X4=0.2552
$58.49
0.0585X5=0.2925
6
$53.66
0.0537X6=0.3222
7
$1,090
$596.26
0.5963X7=4.1741
5.4867years(duration)
modifiedduration=5.4867years/1.09=5.03years.
15.ParvaluebondXYZhasamodifieddurationof6.Whichoneofthefollowingstatementsregardingthebondistrue?
A)Ifthemarketyieldincreasesby1%thebond'
spricewilldecreaseby$60.
B)Ifthemarketyieldincreasesby1%thebond'
spricewillincreaseby$50.
C)Ifthemarketyieldincreasesby1%thebond'
spricewilldecreaseby$50.
D)Ifthemarketyieldincreasesby1%thebond'
spricewillincreaseby$60.
E)Noneoftheabove.
=-D*-$60=-6(0.01)X$1,000
16.Whichofthefollowingbondshasthelongestduration?
A)An8-yearmaturity,0%couponbond.
B)An8-yearmaturity,5%couponbond.
C)A10-yearmaturity,5%couponbond.
D)A10-yearmaturity,0%couponbond.
Thelongerthematurityandthelowerthecoupon,thegreatertheduration
17.Whichoneofthefollowingparvalue12%couponbondsexperiencesapricechangeof$23whenthemarketyieldchangesby50basispoints?
A)Thebondwithadurationof6years.
B)Thebondwithadurationof5years.
C)Thebondwithadurationof2.7years.
D)Thebondwithadurationof5.15years.
DP/P=-DX[D(1+y)/(1+y)];
-.023=-DX[.005/1.12];
D=5.15.
18.Whichoneofthefollowingstatementsistrueconcerningthedurationofaperpetuity?
A)Thedurationof15%yieldperpetuitythatpays$100annuallyislongerthanthatofa15%yieldperpetuitythatpays$200annually.
B)Thedurationofa15%yieldperpetuitythatpays$100annuallyisshorterthanthatofa15%yieldperpetuitythatpays$200annually.
C)Thedurationofa15%yieldperpetuitythatpays$100annuallyisequaltothatof15%yieldperpetuitythatpays$200annually.
D)thedurationofaperpetuitycannotbecalculated.
Durationofaperpetuity=(1+y)/y;
thus,thedurationofaperpetuityisdeterminedbytheyieldandisindependentofthecashflow.
19.Thetwocomponentsofinterest-rateriskare
A)priceriskanddefaultrisk.
B)reinvestmentriskandsystematicrisk.
C)callriskandpricerisk.
D)priceriskandreinvestmentrisk.
Default,systematic,andcallrisksarenotpartofinterest-raterisk.Onlypriceandreinvestmentrisksarepartofinterest-raterisk.
20.Thedurationofacouponbond
A)doesnotchangeafterthebondisissued.
B)canaccuratelypredictthepricechangeofthebondforanyinterestratechange.
C)willdecreaseastheyieldtomaturitydecreases.
D)alloftheabovearetrue.
E)noneoftheaboveistrue.
Durationchangesasinterestratesandtimetomaturitychange,canonlypredictpricechangesaccuratelyforsmallinterestratechanges,andincreasesastheyieldtomaturitydecreases.
21.Indexingofbondportfoliosisdifficultbecause
A)thenumberofbondsincludedinthemajorindexesissolargethatitwouldbedifficulttopurchasethemintheproperproportions.
B)manybondsarethinlytradedsoitisdifficulttopurchasethematafairmarketprice