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respect是什么意思投资学第7版testbank答案16

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2021-01-20 08:15
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省电-respect是什么意思

2021年1月20日发(作者:鬼的英文)

Multiple Choice Questions



1.
The duration of a bond is a function of the bond's







Answer: D Difficulty: Easy



Rationale: Duration is calculated by discounting the bond's cash flows
at the bond's yield to maturity and, except for zero- coupon bonds, is
always less than time to maturity.



2.
Ceteris
paribus,
the
duration
of
a
bond
is
positively
correlated
with
the
bond's







Answer: A Difficulty: Moderate



Rationale: Duration is negatively correlated with coupon rate and yield
to maturity.



3.
Holding other factors constant, the interest- rate risk of a coupon bond
A) time to maturity.

B) coupon rate.

C) yield to maturity.

D) all of the above.

E) none of the above.

A) coupon rate.

B) yield to maturity.

C) time to maturity.

D) all of the above.

E) none of the above.

is higher when the bond's:







Answer: C Difficulty: 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 price
sensitivity to interest rate changes (interest-rate risk).

A) term-to-maturity is lower.

B) coupon rate is higher.

C) yield to maturity is lower.

D) current yield is higher.

E) none of the above.



4.
The
duration







Answer: D Difficulty: Moderate



Rationale: D* = D/(1 + y)

A) times the change in interest rate.

B) times (one plus the bond's yield to maturity).

C) divided by (one minus the bond's yield to maturity).

D) divided by (one plus the bond's yield to maturity).

E) none of the above.



5.
Given the time to maturity, the duration of a zero-coupon bond is higher
when the discount rate is







Answer: D Difficulty: Moderate



Rationale: The duration of a zero-coupon 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
bond's
issuer.

B) the risk that arises
from
the uncertainty of
the bond's return caused
A) higher.

B) lower.

C) equal to the risk free rate.

D) The bond's duration is independent of the discount rate.

E) none of the above.

by changes in interest rates.





Answer: B Difficulty: Moderate



Rationale:
Changing
interest
rates
change
the
bond's
return,
both
in
terms
of the price of the bond and the reinvestment of coupon payments.

C) the unsystematic risk caused by factors unique in the bond.

D) A and B above.

E) A, B, and C above.



7.
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 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.



Answer: C Difficulty: Moderate



Rationale: Duration is the best 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







Answer: C Difficulty: Moderate

A) 5-year, 0% coupon bond

B) 5-year, 12% coupon bond

C) 5 year, 14% coupon bond

D) 5-year, 10% coupon bond

E) Cannot tell from the information given.

E) None of the above



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) 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 maturity.



Answer: B Difficulty: Moderate



Rationale:
The
duration
of
a
zero-coupon
bond
is
equal
to
time
to
maturity,
and is independent of yield to maturity.

E) All of the above.



10.
The duration of a 5-year zero-coupon bond is







Answer: C Difficulty: Easy



Rationale: Duration of a zero-coupon bond equals the bond's maturity.

A) 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.



11.
The basic purpose of immunization is to







Answer: E Difficulty: Moderate



Rationale:
When
a
portfolio
is
immunized,
price
risk
and
reinvestment
risk
exactly 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 to maturity of 5 years is




A) 5 years.

B) years.

C) years.

A) 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.




D) years.

E) none of the above.

Answer: D Difficulty: Moderate



Rationale:

Calculations are shown below.

Yr.

1

2

3

4

5

Sum

CF

$$80

$$80

$$80

$$80

PV of CF@08%

$$80/ = $$

$$80/
= $$

$$80/
3
= $$

$$80/
4
= $$

2
Weight * Yr.

* 1 =

* 2 =

* 3 =

* 4 =

* 5 =

yrs. (duration)

$$1,080

$$1,080/
5
= $$


$$




13.
The duration of a perpetuity with a yield of 8% is







Answer: A Difficulty: Easy



Rationale: D = = years.

A) years.

B) years.

C) years.

D) cannot be determined.

E) none of the above.



14.
A
seven-year
par
value
bond
has
a
coupon
rate
of
9%
and
a
modified
duration
of







Answer: C Difficulty: Difficult



Rationale:

Calculations are shown below.

Yr.

1

2

3

CF

$$90

$$90

$$90

PV of CF@9%

$$

$$

$$

Weight * Yr.

X 1 =

X 2 =

X 3 =

A) 7 years.

B) years.

C) years.

D) years.

E) none of the above.

4

5

6

7

Sum


$$90

$$90

$$90

$$1,090


$$

$$

$$

$$

$$

X 4 =

X 5 =

X 6 =

X 7 =

years (duration)

modified duration = years/ = years.



15.
Par
value
bond
XYZ
has
a
modified
duration
of
6.

Which
one
of
the
following
statements regarding the bond is
true



A) If the market yield increases by 1% the bond's price will decrease by
$$60.


B) If the market yield increases by 1% the bond's price will increase by
$$50.


C) If the market yield increases by 1% the bond's price will decrease by
$$50.


D) If the market yield increases by 1% the bond's price will increase by
$$60.



Answer: A Difficulty: Moderate



Rationale: = -D*-$$60 = -6 X $$1,000

E) None of the above.



16.
Which of the following bonds has the longest duration







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%
coupon
bonds
experiences
a
price
change of $$23 when the market yield changes by 50 basis points







Answer: D Difficulty: Difficult



Rationale: DP/P = -D X [D(1+y) / (1+y)]; = -D X [.005 / ]; D = .

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 years.

D) The bond with a duration of years.

E) None of the above.

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.



18.
Which one of the following statements is
true
concerning the duration of
a perpetuity


A) The
duration
of
15%
yield
perpetuity
that
pays
$$100
annually
is
longer
than that of a 15% yield perpetuity that pays $$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 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 interest-rate risk are







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
interest-rate 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.





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

C) will decrease as the yield to maturity decreases.

D) all of the above are true.

E) none of the above is true.

A) 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.


A) the number of bonds included in the major indexes is so large that it
would be difficult 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 true.

E) both A and B are true.

Answer: D Difficulty: Moderate



Rationale: 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
would
you
invest
your
$$1,000
to
accumulate
this
amount,
with
relative
certainty, even if the yield on the bond declines to % immediately after
you purchase the bond







Answer: B Difficulty: Difficult



Rationale: When duration
=
horizon date, one is
immunized, or protected,
against one interest rate change. The zero has D = 5. Since the other
bonds have the same coupon and yield, solve for the closest value of T
that gives D
=
years.
=
)/.10 -
[
+ T(.]
/ =
.68

T - .68 +
.68
=
.68
T = T = T [ln ] = ln T = years, so choose the 5-year 10% coupon
bond.



23.
Duration measures




A) weighted average time until a bond's half- life.

B) weighted average time until cash flow payment.

C) the time required to recoup one's investment, assuming the bond was
purchased for $$1,000.



D) A and C.

E) B and C.

A) a 6-year; 10% coupon par value bond

B) a 5-year; 10% coupon par value bond

C) a 5-year; zero-coupon bond

D) a 4-year; 10% coupon par value bond

E) none of the above


Answer: E Difficulty: Moderate



Rationale: B and C are true, as one receives coupon payments throughout
the
life
of
the
bond
(for
coupon
bonds);
thus,
duration
is
less
than
time
to maturity (except for zeros).



24.
Duration


A) assesses the time element of bonds in terms of both coupon and term
to maturity.



B) allows structuring a portfolio to avoid interest-rate risk.

C) is a direct comparison between bond issues with different levels of
risk.




Answer: D Difficulty: Moderate



Rationale:
Duration
is
a
weighted
average
of
when
the
cash
flows
of
a
bond
are received; thus both coupon and time to maturity are considered. If
the duration of the portfolio equals the investor's horizon date, the
investor is protected against interest rate changes.

D) A and B.

E) A and C.



25.
Identify the bond that has the longest duration (no calculations
necessary).







Answer: C Difficulty: Moderate



Rationale:
The
lower
the
coupon,
the
longer
the
duration.

The
zero-coupon
bond is the ultimate low coupon bond, and thus would have the longest
duration.



26.
When interest rates decline, the duration of a 10-year bond selling at
a premium







Answer: A Difficulty: Moderate



Rationale: The relationship between interest rates and duration is an
inverse one.



27.
An
8%,
30-year
corporate
bond
was
recently
being
priced
to
yield
10%.

The
A) increases.

B) decreases.

C) remains the same.

D) increases at first, then declines.

E) decreases at first, then increases.

A) 20-year maturity with an 8% coupon.

B) 20-year maturity with a 12% coupon.

C) 15-year maturity with a 0% coupon.

D) 10-year maturity with a 15% coupon.

E) 12-year maturity with a 12% coupon.

Macaulay duration for the bond is years. Given this information, the
bond's modified duration would be________.

A)

B)

C)

D)

E) none of the above

Answer: C Difficulty: Easy
Rationale: D* = D/(1 + y); D* = =












28.
An
8%,
15-year
bond
has
a
yield
to
maturity
of
10%
and
duration
of

years.
If
the
market
yield
changes
by
25
basis
points,
how
much
change
will
there
be in the bond's price







Answer: A Difficulty: Moderate



Rationale:
ΔP/P = X / = %

A) %

B) %

C) %

D) %

E) none of the above



29.
One way that banks can reduce the duration of their asset portfolios is
through the use of







Answer: B Difficulty: Easy



Rationale:
One
of
the
gap
management
strategies
practiced
by
banks
is
the
issuance of adjustable rate mortgages, which reduce the interest rate
sensitivity of their asset portfolios.



30.
The duration of a bond normally increases with an increase in

A) fixed rate mortgages.

B) adjustable rate mortgages.

C) certificates of deposit.

D) short-term borrowing.

E) none of the above.







A) term to maturity.

B) yield to maturity.

C) coupon rate.

D) all of the above.

E) none of the above.

Answer: A Difficulty: Moderate



Rationale: The relationship between duration and term to maturity is a
direct one; the relationship between duration and yield to maturity and
to coupon rate is negative.



31.
Which one of
the
following is an
incorrect
statement
concerning duration




A) The higher the yield to maturity, the greater the duration

B) The higher the coupon, the shorter the duration.

C) The difference in duration is small between two bonds with different
coupons each maturing in more than 15 years.


D) The duration is the same as term to maturity only in the case of
zero-coupon bonds.



Answer: A Difficulty: Moderate



Rationale: The relationship
between
duration and yield
to maturity is
an
inverse
one;
as
is
the
relationship
between
duration
and
coupon
rate.

The
difference
in
the
durations
of
longer- term
bonds
of
varying
coupons
(high
coupon vs. zero) is considerable. Duration equals term to maturity only
with zeros.



32.
Immunization is not a strictly passive strategy because



A) it requires choosing an asset portfolio that matches an index.

B) there
is
likely
to
be
a
gap
between
the
values
of
assets
and
liabilities
in most portfolios.


C) it requires frequent rebalancing as maturities and interest rates
change.




Answer: C Difficulty: Moderate

D) durations of assets and liabilities fall at the same rate.

E) none of the above.

E) All of the statements are correct.



Rationale: As time passes the durations of assets and liabilities fall
at different rates, requiring portfolio rebalancing. Further, every
change in interest rates creates changes in the durations of portfolio
assets and liabilities.



33.
Contingent immunization




A) is a mixed-active passive bond portfolio management strategy.

B) is a strategy whereby the portfolio may or may not be immunized.

C) is a strategy whereby if and when some trigger point value of the
portfolio
is
reached,
the
portfolio
is
immunized
to
insure
an
minimum
required return.




Answer: E Difficulty: Easy



Rationale: Contingent immunization insures a minimum average rate of
return
over
time
by
immunizing
the
portfolio
if
and
when
the
value
of
the
portfolio
reaches
the
trigger
point
required
to
insure
that
rate
of
return.
Thus, the strategy is a combination active/passive strategy; but the
portfolio will be immunized only if necessary.

D) A and B.

E) A, B, and C.



34.
Some of the problems with immunization are



A) duration assumes that the yield curve is flat.

B) duration
assumes
that
if
shifts
in
the
yield
curve
occur,
these
shifts
are parallel.



C) immunization is valid for one interest rate change only.

D) durations
and
horizon
dates
change
by
the
same
amounts
with
the
passage
of time.



Answer: E Difficulty: Moderate



Rationale: Durations and horizon dates change with the passage of time,
but not by the same amounts.



35.
If a bond portfolio manager believes


A) in market efficiency, he or she is likely to be a passive portfolio
manager.


B) that
he
or
she
can
accurately
predict
interest
rate
changes,
he
or
she
is likely to be an active portfolio manager.


C) that
he
or
she
can
identify
bond
market
anomalies,
he
or
she
is
likely
to be a passive portfolio manager.




Answer: D Difficulty: Moderate



Rationale: If one believes that one can predict bond market anomalies,
one is likely to be an active portfolio manager.

D) A and B.

E) A, B, and C.

E) A, B, and C.



36.
According to experts, most pension funds are underfunded because







Answer: B Difficulty: Moderate



37.
Cash flow matching on a multiperiod basis is referred to as a







Answer: C Difficulty: Easy



Rationale: Cash flow matching on a multiperiod basis is referred to as
a dedication strategy.

A) immunization.

B) contingent immunization.

C) dedication.

D) duration matching.

E) rebalancing.

A) their liabilities are of shorter duration than their assets.

B) their assets are of shorter duration than their liabilities.

C) they continually adjust the duration of their liabilities.

D) they continually adjust the duration of their assets.

E) they are too heavily invested in stocks.



38.
Immunization through duration matching of assets and liabilities may be
ineffective or inappropriate because



A) conventional duration strategies assume a flat yield curve.

B) duration matching can only immunize portfolios from parallel shifts
in the yield curve.


C) immunization only protects the nominal value of terminal liabilities
and does not allow for inflation adjustment.




Answer: E Difficulty: Easy



Rationale: All of
the
above are correct
statements about the limitations
of immunization through duration matching.



39.
The curvature of the price- yield curve for a given bond is referred to
as the bond's







Answer: D Difficulty: Easy



Rationale: Convexity measures the rate of change of the slope of the
price-yield curve, expressed as a fraction of the bond's price.


A) modified duration.

B) immunization.

C) sensitivity.

D) convexity.

E) tangency.

D) both A and C are true.

E) all of the above are true.


40.
Consider a bond selling at par with modified duration of years and
convexity of 210. A 2 percent decrease in yield would cause the price
to increase by %, according to the duration rule. What would be the
percentage price change according to the duration-with-convexity rule


A) %


B) %


C) %


D) %


E) none of the above.


Answer: B Difficulty: Difficult



Rationale:
P/P = -D*
y + (1/2) * Convexity * (
210 * (.02)
2
= .212 + .042 = .254 %)

y)
2
; = * + (1/2) *


41.
A
substitution swap
is an exchange of bonds undertaken to







Answer: D Difficulty: Moderate



Rationale: A substitution swap is an example of bond price arbitrage,
undertaken when the portfolio manager attempts to profit from apparent
mispricing.



42.
A
rate anticipation swap
is an exchange of bonds undertaken to


A) shift portfolio duration in response to an anticipated change in
interest rates.


B) shift
between
corporate
and
government
bonds
when
the
yield
spread
is
out of line with historical values.





Answer: A Difficulty: Moderate



Rationale:
A
rate
anticipation
swap
is
pegged
to
interest
rate
forecasting,
and involves increasing duration when rates are expected to fall and
vice-versa.


C) profit from apparent mispricing between two bonds.

D) change the credit risk of the portfolio.

E) increase return by shifting into higher yield bonds.

A) change the credit risk of a portfolio.

B) extend the duration of a portfolio.

C) reduce the duration of a portfolio.

D) profit from apparent mispricing between two bonds.

E) adjust for differences in the yield spread.


43.
An
analyst
who
selects
a
particular
holding
period
and
predicts
the
yield
curve at the end of that holding period is engaging in







Answer: C Difficulty: Easy



Rationale: Horizon analysis involves selecting a particular holding
period and predicting the yield curve at the end of that holding period.
The holding period return for the bond can then be predicted.

A) a rate anticipation swap.

B) immunization.

C) horizon analysis.

D) an intermarket spread swap.

E) none of the above.

省电-respect是什么意思


省电-respect是什么意思


省电-respect是什么意思


省电-respect是什么意思


省电-respect是什么意思


省电-respect是什么意思


省电-respect是什么意思


省电-respect是什么意思



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