投资学英文第7版TestBank谜底chap016新版Word下载.docx

投资学英文第7版TestBank谜底chap016新版Word下载.docx

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ADifficulty:

Moderate

Durationisnegativelycorrelatedwithcouponrateandyieldtomaturity.

3.Holdingotherfactorsconstant,theinterest-rateriskofacouponbondishigherwhenthe

bond'

s:

A）term-to-maturityislower.

B）couponrateishigher.

C）yieldtomaturityislower.

D）currentyieldishigher.

CDifficulty:

Thelongerthematurity,thegreatertheinterest-raterisk.Thelowerthe

couponrate,thegreatertheinterest-raterisk.Thelowertheyieldtomaturity,thegreater

theinterest-raterisk.Theseconceptsarereflectedinthedurationrules;

durationisa

measureofbondpricesensitivitytointerestratechanges（interest-raterisk）.

4.The"

modifiedduration"

usedbypractitionersisequaltothe

Macaulayduration

A）timesthechangeininterestrate.

C）dividedby（oneminusthebond'

syieldtomaturity）.

D）dividedby（oneplusthebond'

D*=D/（1+y）

5.Giventhetimetomaturity,thedurationofazero-couponbondishigherwhenthe

discountrateis

A）higher.

B）lower.

C）equaltotheriskfreerate.

D）Thebond'

sdurationisindependentofthediscountrate.

Thedurationofazero-couponbondisequaltothematurityofthebond.

6.Theinterest-rateriskofabondis

A）theriskrelatedtothepossibilityofbankruptcyofthebond'

sissuer.

B）theriskthatarisesfromtheuncertaintyofthebond'

sreturncausedbychangesin

interestrates.

C）theunsystematicriskcausedbyfactorsuniqueinthebond.

D）AandBabove.

E）A,B,andCabove.

BDifficulty:

Changinginterestrateschangethebond'

sreturn,bothintermsofthepriceof

thebondandthereinvestmentofcouponpayments.

7.Whichofthefollowingtwobondsismorepricesensitivetochangesininterestrates?

1）Aparvaluebond,X,witha5-year-to-maturityanda10%couponrate.

2）Azero-couponbond,Y,witha5-year-to-maturityanda10%yield-to-maturity.

A）BondXbecauseofthehigheryieldtomaturity.

B）BondXbecauseofthelongertimetomaturity.

C）BondYbecauseofthelongerduration.

D）Bothhavethesamesensitivitybecausebothhavethesameyieldtomaturity.

E）Noneoftheabove

Durationisthebestmeasureofbondpricesensitivity;

thelongertheduration

thehigherthepricesensitivity.

8.Holdingotherfactorsconstant,whichoneofthefollowingbondshasthesmallestprice

volatility?

A）5-year,0%couponbond

B）5-year,12%couponbond

C）5year,14%couponbond

D）5-year,10%couponbond

E）Cannottellfromtheinformationgiven.

Duration（andthuspricevolatility）islowerwhenthecouponratesarehigher.

9.Whichofthefollowingisnottrue?

A）Holdingotherthingsconstant,thedurationofabondincreaseswithtimeto

maturity.

B）Giventimetomaturity,thedurationofazero-coupondecreaseswithyieldto

C）Giventimetomaturityandyieldtomaturity,thedurationofabondishigherwhen

thecouponrateislower.

D）Durationisabettermeasureofpricesensitivitytointerestratechangesthanistime

tomaturity.

E）Alloftheabove.

Thedurationofazero-couponbondisequaltotimetomaturity,andis

independentofyieldtomaturity.

10.Thedurationofa5-yearzero-couponbondis

A）smallerthan5.

B）largerthan5.

C）equalto5.

D）equaltothatofa5-year10%couponbond.

Durationofazero-couponbondequalsthebond'

smaturity.

11.Thebasicpurposeofimmunizationisto

A）eliminatedefaultrisk.

B）produceazeronetinterest-raterisk.

C）offsetpriceandreinvestmentrisk.

D）AandB.

E）BandC.

EDifficulty:

Whenaportfolioisimmunized,priceriskandreinvestmentriskexactly

offseteachotherresultinginzeronetinterest-raterisk.

12.Thedurationofaparvaluebondwithacouponrateof8%andaremainingtimeto

A）5years.

B）5.4years.

D）4.31years.

Calculationsareshownbelow.

Yr.CFPVofCF@08%Weight*Yr.

1$80$80/1.08=$74.070.0741*1=0.074122$80$80/（1.08）=$68.590.0686*2=0.137233$80$80/（1.08）=$63.510.0635*3=0.190544$80$80/（1.08）=$58.800.0588*4=0.235255$1,080$1,080/（1.08）=$735.030.7350*5=3.6750

Sum$1000.004.3120yrs.（duration）

13.Thedurationofaperpetuitywithayieldof8%is

A）13.50years.

B）12.11years.

C）6.66years.

D）cannotbedetermined.

D=1.08/0.08=13.50years.

14.Aseven-yearparvaluebondhasacouponrateof9%andamodifieddurationof

B）5.49years.

D）4.87years.

E）noneoftheabove.

Difficult

Yr.CFPVofCF@9%Weight*Yr.

1$90$82.570.0826X1=0.0826

2$90$75.750.0758X2=0.1516

3$90$69.500.0695X3=0.2085

4$90$63.760.0638X4=0.2552

5$90$58.490.0585X5=0.2925

6$90$53.660.0537X6=0.3222

7$1,090$596.260.5963X7=4.1741

Sum$1000.005.4867years（duration）

modifiedduration=5.4867years/1.09=5.03years.

15.ParvaluebondXYZhasamodifieddurationof6.Whichoneofthefollowing

statementsregardingthebondistrue?

A）Ifthemarketyieldincreasesby1%thebond'

spricewilldecreaseby$60.

B）Ifthemarketyieldincreasesby1%thebond'

spricewillincreaseby$50.

C）Ifthemarketyieldincreasesby1%thebond'

spricewilldecreaseby$50.

D）Ifthemarketyieldincreasesby1%thebond'

spricewillincreaseby$60.

E）Noneoftheabove.

=-D*-$60=-6（0.01）X$1,000

16.Whichofthefollowingbondshasthelongestduration?

A）An8-yearmaturity,0%couponbond.

B）An8-yearmaturity,5%couponbond.

C）A10-yearmaturity,5%couponbond.

D）A10-yearmaturity,0%couponbond.

Thelongerthematurityandthelowerthecoupon,thegreatertheduration

17.Whichoneofthefollowingparvalue12%couponbondsexperiencesapricechangeof

$23whenthemarketyieldchangesby50basispoints?

A）Thebondwithadurationof6years.

B）Thebondwithadurationof5years.

C）Thebondwithadurationof2.7years.

E）Noneoftheabove.

DP/P=-DX[D（1+y）/（1+y）];

-.023=-DX[.005/1.12];

D=5.15.

18.Whichoneofthefollowingstatementsistrueconcerningthedurationofaperpetuity?

A）Thedurationof15%yieldperpetuitythatpays$100annuallyislongerthanthatofa

15%yieldperpetuitythatpays$200annually.

B）Thedurationofa15%yieldperpetuitythatpays$100annuallyisshorterthanthat

ofa15%yieldperpetuitythatpays$200annually.

C）Thedurationofa15%yieldperpetuitythatpays$100annuallyisequaltothatof

D）thedurationofaperpetuitycannotbecalculated.

Durationofaperpetuity=（1+y）/y;

thus,thedurationofaperpetuityis

determinedbytheyieldandisindependentofthecashflow.

19.Thetwocomponentsofinterest-rateriskare

A）priceriskanddefaultrisk.

B）reinvestmentriskandsystematicrisk.

C）callriskandpricerisk.

D）priceriskandreinvestmentrisk.

Default,systematic,andcallrisksarenotpartofinterest-raterisk.Only

iceandreinvestmentrisksarepartofinterest-raterisk.pr

20.Thedurationofacouponbond

A）doesnotchangeafterthebondisissued.

B）canaccuratelypredictthepricechangeofthebondforanyinterestratechange.

C）willdecreaseastheyieldtomaturitydecreases.

D）alloftheabovearetrue.

E）noneoftheaboveistrue.

Durationchangesasinterestratesandtimetomaturitychange,canonly

predictpricechangesaccuratelyforsmallinterestratechanges,andincreasesasthe

yieldtomaturitydecreases.

21.Indexingofbondportfoliosisdifficultbecause

A）thenumberofbondsincludedinthemajorindexesissolargethatitwouldbe

difficulttopurchasethemintheproperproportions.

B）manybondsarethinlytradedsoitisdifficulttopurchasethematafairmarketprice.

C）thecompositionofbondindexesisconstantlychanging.

E）bothAandBaretrue.

Alloftheabovearetruestatementsaboutbondindexes.

22.Youhaveanobligationtopay$1,488infouryearsand2months.

Inwhichbondwould

youinvestyour$1,000toaccumulatethisamount,withrelativecertainty,evenifthe

yieldonthebonddeclinesto9.5%immediatelyafteryoupurchasethebond?

A）a6-year;

10%couponparvaluebond

B）a5-year;

C）a5-year;

zero-couponbond

D）a4-year;

E）noneoftheabove

An