投资学第7版TestBank答案16.docx

1、投资学第7版TestBank答案16投资学第7版TestBank答案16 编辑整理：尊敬的读者朋友们：这里是精品文档编辑中心，本文档内容是由我和我的同事精心编辑整理后发布的，发布之前我们对文中内容进行仔细校对，但是难免会有疏漏的地方，但是任然希望（投资学第7版TestBank答案16）的内容能够给您的工作和学习带来便利。同时也真诚的希望收到您的建议和反馈，这将是我们进步的源泉，前进的动力。本文可编辑可修改，如果觉得对您有帮助请收藏以便随时查阅，最后祝您生活愉快 业绩进步，以下为投资学第7版TestBank答案16的全部内容。Multiple Choice Questions 1. The du

2、ration of a bond is a function of the bonds A） coupon rate. B） yield to maturity。 C） time to maturity. D） all of the above。 E) none of the above。 Answer: D Difficulty: Easy Rationale: Duration is calculated by discounting the bonds cash flows at the bonds yield to maturity and， except for zero-coupo

3、n bonds， is always less than time to maturity. 2。 Ceteris paribus, the duration of a bond is positively correlated with the bonds A) time to maturity. B) coupon rate. C） yield to maturity. D） all of the above。 E） none of the above. Answer: A Difficulty: Moderate Rationale: Duration is negatively cor

4、related with coupon rate and yield to maturity。 3. Holding other factors constant， the interestrate risk of a coupon bond is higher when the bonds: A） termto-maturity is lower。 B) coupon rate is higher. C） yield to maturity is lower. D) current yield is higher。 E） none of the above. Answer: C Diffic

5、ulty： Moderate Rationale： The longer the maturity， the greater the interest-rate risk. The lower the coupon rate， the greater the interest-rate risk. The lower the yield to maturity， the greater the interest-rate risk。 These concepts are reflected in the duration rules; duration is a measure of bond

6、 price sensitivity to interest rate changes （interestrate risk）. 4。 The modified duration used by practitioners is equal to the Macaulay duration A) times the change in interest rate。 B） times （one plus the bonds yield to maturity）。 C) divided by （one minus the bonds yield to maturity）。 D） divided b

7、y (one plus the bonds yield to maturity). E) none of the above。 Answer： D Difficulty: Moderate Rationale： D = D/(1 + y） 5。 Given the time to maturity， the duration of a zerocoupon bond is higher when the discount rate is A） higher. B） lower。 C） equal to the risk free rate。 D) The bonds duration is i

8、ndependent of the discount rate. E) none of the above. Answer： D Difficulty: Moderate Rationale： The duration of a zerocoupon bond is equal to the maturity of the bond。 6。 The interest-rate risk of a bond is A) the risk related to the possibility of bankruptcy of the bonds issuer. B) the risk that a

9、rises from the uncertainty of the bonds return caused by changes in interest 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： Moderate Rationale： Changing interest rates change the bonds return, both in terms of the p

10、rice of the bond and the reinvestment of coupon payments。 7. Which of the following two bonds is more price sensitive to changes in interest rates? 1) A par value bond, X， with a 5year-to-maturity and a 10 coupon rate。2) A zerocoupon bond, Y， with a 5-year-to-maturity and a 10% yieldto-maturity. A)

11、Bond X because of the higher yield to maturity。 B) Bond X because 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 above Answer: C Difficulty: Moderate Rationale: Duration is the b

12、est measure of bond price sensitivity； the longer the duration the higher the price sensitivity。 8. Holding other factors constant, which one of the following bonds has the smallest price volatility? A) 5-year, 0 coupon bond B） 5year， 12% coupon bond C) 5 year， 14% coupon bond D） 5-year, 10% coupon

13、bond E) Cannot tell from the information given。 Answer： C Difficulty: Moderate Rationale： 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 to maturity。 B

14、) Given time to maturity, the duration of a zero-coupon decreases with yield to maturity。 C) Given time to maturity and yield to maturity， the duration of a bond is higher when the coupon rate is lower. D） Duration is a better measure of price sensitivity to interest rate changes than is time to mat

15、urity. E) All of the above。 Answer: B Difficulty： Moderate Rationale: The duration of a zerocoupon bond is equal to time to maturity, and is independent of yield to maturity。 10。 The duration of a 5-year zerocoupon bond is A） smaller than 5. B） larger than 5。 C) equal to 5。 D） equal to that of a 5ye

16、ar 10% coupon bond. E） none of the above。 Answer： C Difficulty: Easy Rationale: Duration of a zero-coupon bond equals the bonds maturity。 11. The basic purpose of immunization is to A） eliminate default risk. B） produce a zero net interest-rate risk. C） offset price and reinvestment risk。 D) A and B

17、. E) B and C。 Answer: E Difficulty： Moderate Rationale： When a portfolio is immunized, price risk and reinvestment risk exactly offset each other resulting in zero net interestrate risk. 12。 The duration of a par value bond with a coupon rate of 8% and a remaining time to maturity of 5 years is A) 5

18、 years。 B） 5。4 years。 C) 4。17 years。 D） 4。31 years。 E） none of the above。 Answer： D Difficulty: Moderate Rationale: Calculations are shown below.Yr。CFPV of CF08%Weight Yr.180$80/1。08 = 74.070.0741 1 = 0.0741280$80/（1.08)2 = $68.590.0686 2 = 0。137238080/(1.08）3 = $63.510。0635 3 = 0。1905480$80/(1.08）4

19、 = 58。800。0588 * 4 = 0.23525$1,080$1,080/（1.08)5 = 735。030.7350 5 = 3.6750Sum$1000.004。3120 yrs。 （duration） 13。 The duration of a perpetuity with a yield of 8% is A) 13。50 years. B） 12.11 years. C) 6。66 years。 D) cannot be determined. E） none of the above. Answer： A Difficulty: Easy Rationale: D = 1

20、.08/0。08 = 13.50 years. 14。 A sevenyear par value bond has a coupon rate of 9% and a modified duration of A） 7 years. B） 5.49 years. C） 5。03 years。 D） 4。87 years。 E) none of the above. Answer: C Difficulty: Difficult Rationale： Calculations are shown below。Yr。CFPV of CF9%Weight Yr。19082.570.0826 X 1

21、 = 0。08262$90$75.750。0758 X 2 = 0。1516390$69.500。0695 X 3 = 0。20854$9063。760。0638 X 4 = 0.255259058。490.0585 X 5 = 0。29256$9053.660。0537 X 6 = 0。32227$1,090$596.260。5963 X 7 = 4。1741Sum$1000.005。4867 years (duration）modified duration = 5。4867 years/1.09 = 5.03 years. 15。 Par value bond XYZ has a mod

22、ified duration of 6。 Which one of the following statements regarding the bond is true？ A) If the market yield increases by 1% the bonds price will decrease by 60。 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 de

23、crease 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: Moderate Rationale: = -D-$60 = 6(0。01) X $1，000 16。 Which of the following bonds has the longest duration？ A) An 8-year maturity， 0 coupon bond。 B） An 8year maturit

24、y， 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： Moderate Rationale: The longer the maturity and the lower the coupon, the greater the duration 17. Which one of the following par value 12

25、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 bond with a duration of 2。7 years。 D) The bond with a duration of 5.15 years. E） None of the above. Answer： D Difficu

26、lty： Difficult Rationale: 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 annually is longer than that of a 15 yield perpetuity that pays $

27、200 annually。 B） The duration of a 15% yield perpetuity that pays 100 annually is shorter than that of a 15 yield perpetuity that pays $200 annually. C) The duration of a 15 yield perpetuity that pays $100 annually is equal to that of 15% yield perpetuity that pays $200 annually. D) the duration of

28、a perpetuity cannot be calculated。 E） None of the above. Answer： C Difficulty： Easy Rationale: Duration of a perpetuity = （1 + y）/y； thus， the duration of a perpetuity is determined by the yield and is independent of the cash flow。 19。 The two components of interestrate risk are A) price risk and de

29、fault 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： Easy Rationale： Default, systematic, and call risks are not part of interest-rate risk。 Only price and reinvestment risks are part of in

30、terestrate risk. 20. The duration of a coupon bond A) 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) none of the above is true. Answer： E Difficulty: Easy Rationale： Duration changes as interest rates and time to maturity change, can only predict price changes accurately for small interest rate changes， and increases as the yield to maturity decreases。 21。 Indexing of bond portfolios is difficult because A） the num