投资学英文第7版TestBank谜底chap016新版.docx

1、投资学英文第7版TestBank谜底chap016新版投资学英文第 7 版 TestBank 谜底 chap016 新版 Multiple Choice Questions1.The duration of a bond is a function of the bondsA)coupon rate.B)yield to maturity.C)time to maturity.D)all of the above.E)none of the above.Answer: D Difficulty: EasyRationale: Duration is calculated by discount

2、ing the bonds cash flows at the bondsield to maturity and, except for zero-coupon bonds, is always less than time to maturity.y2.Ceteris paribus, the duration of a bond is positively correlated with the bondsA)time to maturity.B)coupon rate.C)yield to maturity.D)all of the above.Answer: A Difficulty

3、: ModerateRationale: Duration is negatively correlated with coupon rate and yield to maturity.3.Holding other factors constant, the interest-rate risk of a coupon bond is higher when thebonds:A)term-to-maturity is lower.B)coupon rate is higher.C)yield to maturity is lower.D)current yield is higher.E

4、)none of the above.Answer: C Difficulty: ModerateRationale: The longer the maturity, the greater the interest-rate risk. The lower thecoupon rate, the greater the interest-rate risk. The lower the yield to maturity, the greaterthe interest-rate risk. These concepts are reflected in the duration rule

5、s; duration is ameasure of bond price sensitivity to interest rate changes (interest-rate risk).4.The modified duration used by practitioners is equal to theMacaulay durationA)times the change in interest rate.C)divided by (one minus the bonds yield to maturity).D)divided by (one plus the bonds yiel

6、d to maturity).E)none of the above.Answer: D Difficulty: ModerateRationale: D* = D/(1 + y)5.Given the time to maturity, the duration of a zero-coupon bond is higher when thediscount rate isA)higher.B)lower.C)equal to the risk free rate.D)The bonds duration is independent of the discount rate.E)none

7、of the above.Answer: D Difficulty: ModerateRationale: The duration of a zero-coupon bond is equal to the maturity of the bond.6.The interest-rate risk of a bond isA)the risk related to the possibility of bankruptcy of the bonds issuer.B)the risk that arises from the uncertainty of the bonds return c

8、aused by changes ininterest rates.C)the unsystematic risk caused by factors unique in the bond.D)A and B above.E)A, B, and C above.Answer: B Difficulty: ModerateRationale: Changing interest rates change the bonds return, both in terms of the price ofthe bond and the reinvestment of coupon payments.7

9、.Which of the following two bonds is more price sensitive to changes in interest rates?1) A par value bond, X, with a 5-year-to-maturity and a 10% coupon rate.2) A zero-coupon bond, Y, with a 5-year-to-maturity and a 10% yield- to-maturity.A)Bond X because of the higher yield to maturity.B)Bond X be

10、cause of the longer time to maturity.C)Bond Y because of the longer duration.D)Both have the same sensitivity because both have the same yield to maturity.E)None of the aboveAnswer: C Difficulty: ModerateRationale: Duration is the best measure of bond price sensitivity;the longer the durationthe hig

11、her the price sensitivity.8.Holding other factors constant, which one of the following bonds has the smallest pricevolatility?A)5-year, 0% coupon bondB)5-year, 12% coupon bondC)5 year, 14% coupon bondD)5-year, 10% coupon bondE)Cannot tell from the information given.Answer: C Difficulty: ModerateRati

12、onale: Duration (and thus price volatility) is lower when the coupon rates are higher.9.Which of the following is not true?A)Holding other things constant, the duration of a bond increases with time tomaturity.B)Given time to maturity, the duration of a zero-coupon decreases with yield tomaturity.C)

13、Given time to maturity and yield to maturity, the duration of a bond is higher whenthe coupon rate is lower.D)Duration is a better measure of price sensitivity to interest rate changes than is timeto maturity.E)All of the above.Answer: B Difficulty: ModerateRationale: The duration of a zero-coupon b

14、ond is equal to time to maturity, and isindependent of yield to maturity.10.The duration of a 5-year zero-coupon bond isA)smaller than 5.B)larger than 5.C)equal to 5.D)equal to that of a 5-year 10% coupon bond.E)none of the above.Answer: C Difficulty: EasyRationale: Duration of a zero-coupon bond eq

15、uals the bonds maturity.11.The basic purpose of immunization is toA)eliminate default risk.B)produce a zero net interest-rate risk.C)offset price and reinvestment risk.D)A and B.E)B and C.Answer: E Difficulty: ModerateRationale: When a portfolio is immunized, price risk and reinvestment risk exactly

16、offset each other resulting in zero net interest-rate risk.12.The duration of a par value bond with a coupon rate of 8% and a remaining time toA)5 years.B)5.4 years.D) 4.31 years.E)none of the above.Answer: D Difficulty: ModerateRationale:Calculations are shown below.Yr. CF PV of CF08% Weight * Yr.1

17、$80 $80/1.08 = $74.07 0.0741 * 1 = 0.0741 22 $80 $80/(1.08) = $68.59 0.0686 * 2 = 0.1372 33 $80 $80/(1.08) = $63.51 0.0635 * 3 = 0.1905 44 $80 $80/(1.08) = $58.80 0.0588 * 4 = 0.2352 55 $1,080 $1,080/(1.08) = $735.03 0.7350 * 5 = 3.6750Sum $1000.00 4.3120 yrs. (duration)13.The duration of a perpetui

18、ty with a yield of 8% isA)13.50 years.B)12.11 years.C)6.66 years.D)cannot be determined.E)none of the above.Answer: A Difficulty: EasyRationale: D = 1.08/0.08 = 13.50 years.14.A seven-year par value bond has a coupon rate of 9% and a modified duration ofB)5.49 years.D) 4.87 years.E) none of the abov

19、e.Answer: C Difficulty: DifficultRationale:Calculations are shown below.Yr. CF PV of CF9% Weight * Yr.1 $90 $82.57 0.0826 X 1 = 0.08262$90 $75.75 0.0758 X 2 = 0.15163$90 $69.50 0.0695 X 3 = 0.20854$90 $63.76 0.0638 X 4 = 0.25525$90 $58.49 0.0585 X 5 = 0.29256$90 $53.66 0.0537 X 6 = 0.32227$1,090 $59

20、6.26 0.5963 X 7 = 4.1741Sum $1000.00 5.4867 years (duration)modified duration = 5.4867 years/1.09 = 5.03 years.15.Par value bond XYZ has a modified duration of 6. Which one of the followingstatements regarding the bond is true?A)If the market yield increases by 1% the bonds price will decrease by $6

21、0.B)If the market yield increases by 1% the bonds price will increase by $50.C)If the market yield increases by 1% the bonds price will decrease by $50.D)If the market yield increases by 1% the bonds price will increase by $60.E)None of the above.Answer: A Difficulty: ModerateRationale: = -D*-$60 =

22、-6(0.01) X $1,00016.Which of the following bonds has the longest duration?A)An 8-year maturity, 0% coupon bond.B)An 8-year maturity, 5% coupon bond.C)A 10-year maturity, 5% coupon bond.D)A 10-year maturity, 0% coupon bond.E)Cannot tell from the information given.Answer: D Difficulty: ModerateRationa

23、le: The longer the maturity and the lower the coupon, the greater the duration17.Which one of the following par value 12% coupon bonds experiences a price change of$23 when the market yield changes by 50 basis points?A)The bond with a duration of 6 years.B)The bond with a duration of 5 years.C)The b

24、ond with a duration of 2.7 years.E) None of the above.Answer: D Difficulty: DifficultRationale: DP/P = -D X D(1+y) / (1+y); -.023 = -D X .005 / 1.12;D = 5.15.18.Which one of the following statements is true concerning the duration of a perpetuity?A)The duration of 15% yield perpetuity that pays $100

25、 annually is longer than that of a15% yield perpetuity that pays $200 annually.B)The duration of a 15% yield perpetuity that pays $100 annually is shorter than thatof a 15% yield perpetuity that pays $200 annually.C)The duration of a 15% yield perpetuity that pays $100 annually is equal to that of15

26、% yield perpetuity that pays $200 annually.D)the duration of a perpetuity cannot be calculated.E)None of the above.Answer: C Difficulty: EasyRationale: Duration of a perpetuity = (1 + y)/y; thus, the duration of a perpetuity isdetermined by the yield and is independent of the cash flow.19.The two co

27、mponents of interest-rate risk areA)price risk and default risk.B)reinvestment risk and systematic risk.C)call risk and price risk.D)price risk and reinvestment risk.E)none of the above.Answer: D Difficulty: EasyRationale: Default, systematic, and call risks are not part of interest-rate risk. Onlyi

28、ce and reinvestment risks are part of interest-rate risk.pr20.The duration of a coupon bondA)does not change after the bond is issued.B)can accurately predict the price change of the bond for any interest rate change.C)will decrease as the yield to maturity decreases.D)all of the above are true.E)no

29、ne of the above is true.Answer: E Difficulty: EasyRationale: Duration changes as interest rates and time to maturity change, can onlypredict price changes accurately for small interest rate changes, and increases as theyield to maturity decreases.21.Indexing of bond portfolios is difficult becauseA)

30、the number of bonds included in the major indexes is so large that it would bedifficult to purchase them in the proper proportions.B)many bonds are thinly traded so it is difficult to purchase them at a fair market price.C)the composition of bond indexes is constantly changing.D)all of the above are

31、 true.E)both A and B are true.Answer: D Difficulty: ModerateRationale: All of the above are true statements about bond indexes.22.You have an obligation to pay $1,488 in four years and 2 months.In which bond wouldyou invest your $1,000 to accumulate this amount, with relative certainty, even if theyield on the bond declines to 9.5% immediately after you purchase the bond?A)a 6-year; 10% coupon par value bondB)a 5-year; 10% coupon par value bondC)a 5-year; zero-coupon bondD)a 4-year; 10% coupon par value bondE)none of the aboveAn