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投资学TBChap015
Chapter15
TheTermStructureofInterestRates
MultipleChoiceQuestions
1.
Thetermstructureofinterestratesis
A.
therelationshipbetweentheratesofinterestonallsecurities.
B.
therelationshipbetweentheinterestrateonasecurityanditstimetomaturity.
C.
therelationshipbetweentheyieldonabondanditsdefaultrate.
D.
Alloftheoptions
E.
Noneoftheoptions
2.
TreasurySTRIPSare
A.
securitiesissuedbytheTreasurywithverylongmaturities.
B.
extremelyriskysecurities.
C.
createdbysellingeachcouponorprincipalpaymentfromawholeTreasurybondasaseparatecashflow.
D.
createdbypoolingmortgagepaymentsmadetotheTreasury.
3.
ThevalueofaTreasurybondshould
A.
beequaltothesumofthevalueofSTRIPScreatedfromit.
B.
belessthanthesumofthevalueofSTRIPScreatedfromit.
C.
begreaterthanthesumofthevalueofSTRIPScreatedfromit.
D.
Alloftheoptions.
4.
IfthevalueofaTreasurybondwashigherthanthevalueofthesumofitsparts（STRIPPEDcashflows）youcould
A.
profitbybuyingthestrippedcashflowsandreconstitutingthebond.
B.
notprofitbybuyingthestrippedcashflowsandreconstitutingthebond.
C.
profitbybuyingthebondandcreatingSTRIPS.
D.
notprofitbybuyingthestrippedcashflowsandreconstitutingthebondandprofitbybuyingthebondandcreatingSTRIPS.
E.
Noneoftheoptions
5.
IfthevalueofaTreasurybondwaslowerthanthevalueofthesumofitsparts（STRIPPEDcashflows）youcould
A.
profitbybuyingthestrippedcashflowsandreconstitutingthebond.
B.
notprofitbybuyingthestrippedcashflowsandreconstitutingthebond.
C.
profitbybuyingthebondandcreatingSTRIPS.
D.
notprofitbybuyingthestrippedcashflowsandreconstitutingthebondandprofitbybuyingthebondandcreatingSTRIPS.
E.
Noneoftheoptions
6.
IfthevalueofaTreasurybondwaslowerthanthevalueofthesumofitsparts（STRIPPEDcashflows）
A.
arbitragewouldprobablyoccur.
B.
arbitragewouldprobablynotoccur.
C.
theFEDwouldadjustinterestrates.
D.
Noneoftheoptions
7.
IfthevalueofaTreasurybondwashigherthanthevalueofthesumofitsparts（STRIPPEDcashflows）
A.
arbitragewouldprobablyoccur.
B.
arbitragewouldprobablynotoccur.
C.
theFEDwouldadjustinterestrates.
D.
Noneoftheoptions
8.
Bondstrippingandbondreconstitutionofferopportunitiesfor______,whichcanoccurifthe_________isviolated.
A.
arbitrage;lawofoneprice
B.
arbitrage;restrictivecovenants
C.
hugelosses;lawofoneprice
D.
hugelosses;restrictivecovenants
9.
______canoccurif_____.
A.
arbitrage;thelawofonepriceisnotviolated
B.
arbitrage;thelawofonepriceisviolated
C.
risklesseconomicprofit;thelawofonepriceisnotviolated
D.
risklesseconomicprofit;thelawofonepriceisviolated
E.
arbitrageandrisklesseconomicprofit;thelawofonepriceisviolated
10.
Theyieldcurveshowsatanypointintim
A.
therelationshipbetweentheyieldonabondandthedurationofthebond.
B.
therelationshipbetweenthecouponrateonabondandtimetomaturityofthebond.
C.
therelationshipbetweenyieldonabondandthetimetomaturityonthebond.
D.
Alloftheoptions
E.
Noneoftheoptions
11.
Aninvertedyieldcurveimpliesthat
A.
long-terminterestratesarelowerthanshort-terminterestrates.
B.
long-terminterestratesarehigherthanshort-terminterestrates.
C.
long-terminterestratesarethesameasshort-terminterestrates.
D.
intermediateterminterestratesarehigherthaneithershort-orlong-terminterestrates.
E.
Noneoftheoptions
12.
Anupwardslopingyieldcurveisa（n）_______yieldcurve.
A.
normal
B.
humped
C.
inverted
D.
flat
E.
Noneoftheoptions
13.
Accordingtotheexpectationshypothesis,anupwardslopingyieldcurveimpliesthat
A.
interestratesareexpectedtoremainstableinthefuture.
B.
interestratesareexpectedtodeclineinthefuture.
C.
interestratesareexpectedtoincreaseinthefuture.
D.
interestratesareexpectedtodeclinefirst,thenincrease.
E.
interestratesareexpectedtoincreasefirst,thendecrease.
14.
Whichofthefollowingisnotproposedasanexplanationforthetermstructureofinterestrates?
A.
Theexpectationstheory
B.
Theliquiditypreferencetheory
C.
Thesafetyofprincipaltheory
D.
Modernportfoliotheory
E.
Theexpectationstheoryandtheliquiditypreferencetheory
15.
Theexpectationstheoryofthetermstructureofinterestratesstatesthat
A.
forwardratesaredeterminedbyinvestors'expectationsoffutureinterestrates.
B.
forwardratesexceedtheexpectedfutureinterestrates.
C.
yieldsonlong-andshort-maturitybondsaredeterminedbythesupplyanddemandforthesecurities.
D.
Alloftheoptions
E.
Noneoftheoptions
16.
Supposethatallinvestorsexpectthatinterestratesforthe4yearswillbeasfollows:
Whatisthepriceof3-yearzero-couponbondwithaparvalueof$1,000?
A.
$863.83
B.
$816.58
C.
$772.18
D.
$765.55
E.
Noneoftheoptions
17.
Supposethatallinvestorsexpectthatinterestratesforthe4yearswillbeasfollows:
Ifyouhavejustpurchaseda4-yearzero-couponbond,whatwouldbetheexpectedrateofreturnonyourinvestmentinthefirstyeariftheimpliedforwardratesstaythesame?
（Parvalueofthebond=$1,000）
A.
5%
B.
7%
C.
9%
D.
10%
E.
Noneoftheoptions
18.
Supposethatallinvestorsexpectthatinterestratesforthe4yearswillbeasfollows:
Whatisthepriceofa2-yearmaturitybondwitha10%couponratepaidannually?
（Parvalue=$1,000）
A.
$1,092
B.
$1,054
C.
$1,000
D.
$1,073
E.
Noneoftheoptions
19.
Supposethatallinvestorsexpectthatinterestratesforthe4yearswillbeasfollows:
Whatistheyieldtomaturityofa3-yearzero-couponbond?
A.
7.03%
B.
9.00%
C.
6.99%
D.
7.49%
E.
Noneoftheoptions
20.
Thefollowingisalistofpricesforzero-couponbondswithdifferentmaturitiesandparvalueof$1,000.
Whatis,accordingtotheexpectationstheory,theexpectedforwardrateinthethirdyear?
A.
7.00%
B.
7.33%
C.
9.00%
D.
11.19%
E.
Noneoftheoptions
21.
Thefollowingisalistofpricesforzero-couponbondswithdifferentmaturitiesandparvalueof$1,000.
Whatistheyieldtomaturityona3-yearzero-couponbond?
A.
6.37%
B.
9.00%
C.
7.33%
D.
10.00%
E.
Noneoftheoptions
22.
Thefollowingisalistofpricesforzero-couponbondswithdifferentmaturitiesandparvalueof$1,000.
Whatisthepriceofa4-yearmaturitybondwitha12%couponratepaidannually?
（Parvalue=$1,000.）
A.
$742.09
B.
$1,222.09
C.
$1,000.00
D.
$1,141.92
E.
Noneoftheoptions
23.
Anupwardslopingyieldcurve
A.
maybeanindicationthatinterestratesareexpectedtoincrease.
B.
mayincorporatealiquiditypremium.
C.
mayreflecttheconfoundingoftheliquiditypremiumwithinterestrateexpectations.
D.
Alloftheoptions
E.
Noneoftheoptions
24.
The"break-even"interestrateforyearnthatequatesthereturnonann-periodzero-couponbondtothatofann-1-periodzero-couponbondrolledoverintoaone-yearbondinyearnisdefinedas
A.
theforwardrate.
B.
theshortrate.
C.
theyieldtomaturity.
D.
thediscountrate.
E.
Noneoftheoptions
25.
Whencomputingyieldtomaturity,theimplicitreinvestmentassumptionisthattheinterestpaymentsarereinvestedatthe
A.
couponrate.
B.
currentyield.
C.
yieldtomaturityatthetimeoftheinvestment.
D.
prevailingyieldtomaturityatthetimeinterestpaymentsarereceived.
E.
theaverageyieldtomaturitythroughouttheinvestmentperiod.
26.
Giventhebonddescribedabove,ifinterestwerepaidsemi-annually（ratherthanannually）,andthebondcontinuedtobepricedat$850,theresultingeffectiveannualyieldtomaturitywouldbe
A.
lessthan12%.
B.
morethan12%.
C.
12%.
D.
Cannotbedetermined
E.
Noneoftheoptions
27.
Forwardrates____________futureshortratesbecause____________.
A.
areequalto;theyarebothextractedfromyieldstomaturity
B.
areequalto;theyareperfectforecasts
C.
differfrom;theyareimperfectforecasts
D.
differfrom;forwardratesareestimatedfromdealerquoteswhilefutureshortratesareextractedfromyieldstomaturity
E.
areequalto;althoughtheyareestimatedfromdifferentsourcestheybothareusedbytraderstomakepurchasedecisions
28.
The
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