投资学TBChap015.docx

1、投资学TBChap015Chapter 15The Term Structure of Interest RatesMultiple Choice Questions1.The term structure of interest rates isA.the relationship between the rates of interest on all securities.B.the relationship between the interest rate on a security and its time to maturity.C.the relationship betwee

2、n the yield on a bond and its default rate.D.All of the optionsE.None of the options2.Treasury STRIPS areA.securities issued by the Treasury with very long maturities.B.extremely risky securities.C.created by selling each coupon or principal payment from a whole Treasury bond as a separate cash flow

3、.D.created by pooling mortgage payments made to the Treasury.3.The value of a Treasury bond shouldA.be equal to the sum of the value of STRIPS created from it.B.be less than the sum of the value of STRIPS created from it.C.be greater than the sum of the value of STRIPS created from it.D.All of the o

4、ptions.4.If the value of a Treasury bond was higher than the value of the sum of its parts (STRIPPED cash flows) you couldA.profit by buying the stripped cash flows and reconstituting the bond.B.not profit by buying the stripped cash flows and reconstituting the bond.C.profit by buying the bond and

5、creating STRIPS.D.not profit by buying the stripped cash flows and reconstituting the bond and profit by buying the bond and creating STRIPS.E.None of the options5.If the value of a Treasury bond was lower than the value of the sum of its parts (STRIPPED cash flows) you couldA.profit by buying the s

6、tripped cash flows and reconstituting the bond.B.not profit by buying the stripped cash flows and reconstituting the bond.C.profit by buying the bond and creating STRIPS.D.not profit by buying the stripped cash flows and reconstituting the bond and profit by buying the bond and creating STRIPS.E.Non

7、e of the options6.If the value of a Treasury bond was lower than the value of the sum of its parts (STRIPPED cash flows)A.arbitrage would probably occur.B.arbitrage would probably not occur.C.the FED would adjust interest rates.D.None of the options7.If the value of a Treasury bond was higher than t

8、he value of the sum of its parts (STRIPPED cash flows)A.arbitrage would probably occur.B.arbitrage would probably not occur.C.the FED would adjust interest rates.D.None of the options8.Bond stripping and bond reconstitution offer opportunities for _, which can occur if the _ is violated.A.arbitrage;

9、 law of one priceB.arbitrage; restrictive covenantsC.huge losses; law of one priceD.huge losses; restrictive covenants9._ can occur if _.A.arbitrage; the law of one price is not violatedB.arbitrage; the law of one price is violatedC.riskless economic profit; the law of one price is not violatedD.ris

10、kless economic profit; the law of one price is violatedE.arbitrage and riskless economic profit; the law of one price is violated10.The yield curve shows at any point in timA.the relationship between the yield on a bond and the duration of the bond.B.the relationship between the coupon rate on a bon

11、d and time to maturity of the bond.C.the relationship between yield on a bond and the time to maturity on the bond.D.All of the optionsE.None of the options11.An inverted yield curve implies thatA.long-term interest rates are lower than short-term interest rates.B.long-term interest rates are higher

12、 than short-term interest rates.C.long-term interest rates are the same as short-term interest rates.D.intermediate term interest rates are higher than either short- or long-term interest rates.E.None of the options12.An upward sloping yield curve is a(n) _ yield curve.A.normalB.humpedC.invertedD.fl

13、atE.None of the options13.According to the expectations hypothesis, an upward sloping yield curve implies thatA.interest rates are expected to remain stable in the future.B.interest rates are expected to decline in the future.C.interest rates are expected to increase in the future.D.interest rates a

14、re expected to decline first, then increase.E.interest rates are expected to increase first, then decrease.14.Which of the following is not proposed as an explanation for the term structure of interest rates?A.The expectations theoryB.The liquidity preference theoryC.The safety of principal theoryD.

15、Modern portfolio theoryE.The expectations theory and the liquidity preference theory15.The expectations theory of the term structure of interest rates states thatA.forward rates are determined by investors expectations of future interest rates.B.forward rates exceed the expected future interest rate

16、s.C.yields on long- and short-maturity bonds are determined by the supply and demand for the securities.D.All of the optionsE.None of the options16.Suppose that all investors expect that interest rates for the 4 years will be as follows:What is the price of 3-year zero-coupon bond with a par value o

17、f $1,000?A.$863.83B.$816.58C.$772.18D.$765.55E.None of the options17.Suppose that all investors expect that interest rates for the 4 years will be as follows:If you have just purchased a 4-year zero-coupon bond, what would be the expected rate of return on your investment in the first year if the im

18、plied forward rates stay the same? (Par value of the bond = $1,000)A.5%B.7%C.9%D.10%E.None of the options18.Suppose that all investors expect that interest rates for the 4 years will be as follows:What is the price of a 2-year maturity bond with a 10% coupon rate paid annually? (Par value = $1,000)A

19、.$1,092B.$1,054C.$1,000D.$1,073E.None of the options19.Suppose that all investors expect that interest rates for the 4 years will be as follows:What is the yield to maturity of a 3-year zero-coupon bond?A.7.03%B.9.00%C.6.99%D.7.49%E.None of the options20.The following is a list of prices for zero-co

20、upon bonds with different maturities and par value of $1,000.What is, according to the expectations theory, the expected forward rate in the third year?A.7.00%B.7.33%C.9.00%D.11.19%E.None of the options21.The following is a list of prices for zero-coupon bonds with different maturities and par value

21、 of $1,000.What is the yield to maturity on a 3-year zero-coupon bond?A.6.37%B.9.00%C.7.33%D.10.00%E.None of the options22.The following is a list of prices for zero-coupon bonds with different maturities and par value of $1,000.What is the price of a 4-year maturity bond with a 12% coupon rate paid

22、 annually? (Par value = $1,000.)A.$742.09B.$1,222.09C.$1,000.00D.$1,141.92E.None of the options23.An upward sloping yield curveA.may be an indication that interest rates are expected to increase.B.may incorporate a liquidity premium.C.may reflect the confounding of the liquidity premium with interes

23、t rate expectations.D.All of the optionsE.None of the options24.The break-even interest rate for year n that equates the return on an n-period zero-coupon bond to that of an n - 1 - period zero-coupon bond rolled over into a one-year bond in year n is defined asA.the forward rate.B.the short rate.C.

24、the yield to maturity.D.the discount rate.E.None of the options25.When computing yield to maturity, the implicit reinvestment assumption is that the interest payments are reinvested at theA.coupon rate.B.current yield.C.yield to maturity at the time of the investment.D.prevailing yield to maturity a

25、t the time interest payments are received.E.the average yield to maturity throughout the investment period.26.Given the bond described above, if interest were paid semi-annually (rather than annually), and the bond continued to be priced at $850, the resulting effective annual yield to maturity woul

26、d beA.less than 12%.B.more than 12%.C.12%.D.Cannot be determinedE.None of the options27.Forward rates _ future short rates because _.A.are equal to; they are both extracted from yields to maturityB.are equal to; they are perfect forecastsC.differ from; they are imperfect forecastsD.differ from; forward rates are estimated from dealer quotes while future short rates are extracted from yields to maturityE.are equal to; although they are estimated from different s