投资学第7版Test Bank答案16Word文档下载推荐.docx

投资学第7版Test Bank答案16Word文档下载推荐.docx

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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/（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）years.

C）years.

D）years.

Calculationsareshownbelow.

Yr.

CF

PVofCF@08%

Weight*Yr.

1

$80

$80/=$

*1=

2

$80/2=$

*2=

3

$80/3=$

*3=

4

$80/4=$

*4=

5

$1,080

$1,080/5=$

*5=

Sum

$

yrs.（duration）

13.Thedurationofaperpetuitywithayieldof8%is

A）years.

D）cannotbedetermined.

D==years.

14.Aseven-yearparvaluebondhasacouponrateof9%andamodifieddurationof

A）7years.

Difficult

PVofCF@9%

$90

X1=

X2=

X3=

X4=

X5=

6

X6=

7

$1,090

X7=

years（duration）

modifiedduration=years/=years.

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=-6X$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）Thebondwithadurationofyears.

D）Thebondwithadurationofyears.

DP/P=-DX[D（1+y）/（1+y）];

=-DX[.005/];

D=.

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.

C）thecompositionofbondindexesisconstantlychanging.

E）bothAandBaretrue.

Alloftheabovearetruestatementsaboutbondindexes.

22.Youhaveanobligationtopay$1,488infouryearsand2months.Inwhichbondwouldyouinvestyour$1,000toaccumulatethisamount,with