投资管理习题一.docx

1、投资管理习题一投资分析与组合管理课程练习一得 分评阅人一、单选题（本大题共25小题，每小题1分，共25分）（备注请将答案写在题目上方的答题纸上，写在其它地方不给分）12345bcccb678910dcdcd1112131415cbcad1617181920ccaab2122232425ccacb1. The rate of exchange between future consumption (future dollars) and current consumption (current dollars) is a. the real rate of interest.b. the pur

2、e rate of interest.c. the risk-free rate of interest.d. the nominal rate of interest.2. Which of the following is not a financial investment?a. Buying shares in a retail company.b. Borrowing money to buy a house.c. Buying a new computer system for your office.d. Depositing money in a bank.3. Which o

3、f the following describes the term risk averse?a. Being willing to take a fair gamble.b. Not willing to take on any risk.c. Choosing the less risky of two equal payoffs.d. Always choosing low risk low return investments.4. You have $1000 to invest in a bank, which has offered you 6% interest compoun

4、ded monthly. How much would you have at the end of the year if you placed $1000 in the bank?a. 1060.b. 1060.90.c. 1061.68.d. 1061.83.5. The holding period yield (HPY) is equal to the holding period return (HPR) minus a. 0.b. 1.c. 2.d. 3.6. Which of the following is not a risk in international operat

5、ions?a. Government regulations.b. Manufacturing locations.c. Capital structure decision.d. Dividend decision. 7. The security market line (SML)a. tells us the price of a security in the market.b. indicates the amount of unsystematic risk for a given return .c. describes the relationship between risk

6、 and return as being positive.d. indicates the correlation between the risk free asset and the market.8. The Important strategic decisions that should be addressed in an investment policy statement include?a. The asset classes that are to be deemed appropriate for investment in the target portfolio.

7、b. The allowable range of asset mixes.c. The allowable risk level for individual securities within asset classes.d. All of above are true statements.9. Which of the following statements regarding risk-averse investor is TRUE?a. They only care about the rate of return.b. They accept investments that

8、are fair game.c. They only accept risk investments that offer risk premiums over the risk-free rate.d. Both “a” and “b” are true statements.10. Liquidity isa. The ease with which an asset can be sold.b. The ability to sell an asset at or very near its fair market value.c. The degree of inflation pro

9、tection an asset provides.d. Both “a” and “b” are true statements.11. The presence of risk means that:a. Investors will lose money.b. More than one outcome is possible.c. The standard deviation of the payoffs is larger than the expected return.d. Terminal wealth will be less than initial wealth.12.

10、The _ assumes that current security prices fully reflect all public information.a. the weak-form EMHb. the semistrong-form EMHc. the strong-form EMHd. the full-form EMH13. Portfolio theory as described by Markowitz is most concerned with:a. The identification of unsystematic risk.b. The elimination

11、of systematic risk.c. The effect of diversification on portfolio risk.d. None of the above is correct.14. A portfolio holding 90% of its assets in an S&P 500 index fund and 10% in Treasury bills is most sensitive to:a. Systematic risk.b. Unsystematic risk.c. Interest-rate risk.d. Reinvestment risk.1

12、5. The efficient frontier of risky assets is?a. The set of portfolios that have zero standard deviation.b. The portion of the investment opportunity set that has the highest Sharpe ratio.c. The portion of the investment opportunity set that represents the highest reward-to-volatility ratio.d. Both “

13、b” and “c” are true statements.16. Which of the following would best explain the change from a straight to a kinked capital market line?a. Reward-to-volatility increasing .b. Investors risk tolerance decreasing.c. Borrowing rate exceeding lending rate.d. None of the above is correct.17. Which of the

14、 following is TRUE about risk and return?a. The higher the nominal return, the lower the risk.b. The reward to bearing risk is measured by the standard deviation.c. An increase in the risk of an investment should, result in an increase in the return.d. Real returns often exceed nominal returns when

15、risk is involved.18. Beta can be viewed as a standardized measure of a. Systematic risk.b. Unsystematic risk.c. Interest-rate risk.d. Reinvestment risk.19. The arbitrage pricing theory developed by a. Ross.b. Markowitz.c. Sharpe.d. Black.20. The three-step approach think the valuation process should

16、 be a. bottom-up.b. top-down.c. bottom-middle-up.d. None of the above is correct.21. The income earned on reinvestment of the interim interest payments is referred to as a. interest-on-reinvestment.b. interest-on-investment.c. interest-on-interest.d. interest-on-interest.22. The process intended to

17、eliminate interest rate risk is referred to asa. hedger. b. diversification.c. immunization.d. portfolio.23. Switching from one industry group to another over the course of a busi ness cycle is known as a. rotation strategy.b. active strategy.c. positive strategy.d. buy and hold strategy.24. A portf

18、olio holding 10% of its assets in an S&P 500 index fund and 90% in Treasury bills is most sensitive to:a. Systematic risk.b. Unsystematic risk.c. Interest-rate risk.d. Reinvestment risk.25. Which of the following fund has least risk?a. stock index.b. bond.c. growth.d. industry.得 分评阅人二、判断题（本大题共25小题，每

19、小题1分，共25分）（备注只回答对或错，对打，错打，请将答案写在题目上方的答题纸上，写在其它地方不给分。）123456789101112131415161718192021222324251. The security market line (SML) reflects the combination of risk and return available on alternative investments. 2. Individuals in the early-to-middle years of their working careers are in the consolidat

20、ion phase.3. A bond trades at$110.50 in the market; it has a coupon of 9% which has just been paid and the next payment will be in exactly one year. The bond has exactly five years until maturity (at $100).The bonds yield to maturity is 5.59%.4. The forward rates that are implied by the current spot

21、 rate structure often turn out to be poor predictors of the actual rates that appear in future periods.5. Company shareholders to the company are paid by the company in the form of capital gains.6. Shareholders are entitled to vote for the directors.7. The equity of a company listed on a stock marke

22、t has limited liability.8. Price earnings ratios can be used as an indicator of future growth prospects.9. Gibbons share price is 206, and it has just paid a 10 dividend which has a growth rate of 3%.The company cost of capital is 4.85%. Gibbons share price is overvalued.10. A company p/e ratio is t

23、he payout ratio divided by earnings per share.11. Bison Telecom has a p/e ratio of 40. The stock market as a whole has a p/e ratio of 25. The telecoms sector has a p/e of 60. The media companies sector has a p/e of 30. These facts indicate Bison is doing better than media companies.12. For expenses

24、to be considered operations cash outlays, theymust be paid in cash the year the expense is declared.13. Cash flows are more important than earnings for investment appraisal purposes because do not reflect timing of payments accurately.14. Equity claims have a higher priority than debt claims for cas

25、h payments.15. The figures to use in the WACC calculation are book values of debt and equity.16. Interest tax shields are simply the corporate tax rate multiplied by the expected interest payment in each period.17. The security market line (SML) indicates the correlation between the risk free asset

26、and the market.18. Portfolio risk is less than the average risk of the securities in it.19. The more positive the relation between securities the greater the gain will be from diversification.20. If we add a share with a beta of 1.15 to the market portfolio, the risk of the portfolio will definitely

27、 go up.21. The strong-form EMH assumes that current security prices fully reflect all public information.22. Portfolio theory as described by Markowitz is most concerned with the elimination of systematic risk.23. The efficient frontier of risky assets is the set of portfolios that have zero standar

28、d deviation.24. Beta can be viewed as a standardized measure of systematic risk.25. The income earned on reinvestment of the interim interest payments is referred to as interest-on-investment.得 分评阅人三、分析计算题（本大题共2小题，每小题10分，共20分）1 .You have calculated the following annual rate of return for both X and

29、Y, calculate the correlation coefficient (show your calculating process).YearXY19993820006102001814200251220039132004111538-416-41616610-11-24281411242512-24000913241121115416391242343475.677122.652.385.67R I j =5.67/（2.65）（2.38）=0.8982Noren is considering undertaking a project. Noren is financed by

30、 80% equity and 20%. Noren estimates that the project risk is the same as its own and plans to finance it in the same proportions as it is financed itself. The projects cash flows are expected to be $200，000 for the next four years. At the end of the fourth year the government will purchase the ongoing project from the company for $4m.Norens equity beta is 1.4 and the beta of its debt is 0.2. The risk free rate of interest is 4.5%and the stock market