投资学第7版Test Bank答案23.docx
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投资学第7版Test Bank答案23.docx
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投资学第7版TestBank答案23
MultipleChoiceQuestions
1.Whichoneofthefollowingstockindexfutureshasamultiplierof$250timestheindexvalue?
A)Russell2000
B)S&P500Index
C)Nikkei
D)DAX-30
E)NASDAQ100
Answer:
BDifficulty:
Easy
Rationale:
Themultiplierisusedtocalculatecontractsettlements.SeeTable23.1.
2.Whichoneofthefollowingstockindexfutureshasamultiplierof$10timestheindexvalue?
A)Russell2000
B)DowJonesIndustrialAverage
C)Nikkei
D)DAX-30
E)NASDAQ100
Answer:
BDifficulty:
Easy
Rationale:
Themultiplierisusedtocalculatecontractsettlements.SeeTable23.1.
3.Whichoneofthefollowingstockindexfutureshasamultiplierof$500timestheindexvalue?
A)Russell2000
B)FTSE100
C)Nikkei
D)DAX-30
E)NASDAQ100
Answer:
ADifficulty:
Easy
Rationale:
Themultiplierisusedtocalculatecontractsettlements.SeeTable23.1.
4.Whichoneofthefollowingstockindexfutureshasamultiplierof$100timestheindexvalue?
A)Russell2000
B)S&P500Index
C)Nikkei
D)DAX-30
E)NASDAQ100
Answer:
EDifficulty:
Easy
Rationale:
Themultiplierisusedtocalculatecontractsettlements.SeeTable23.1.
5.Whichoneofthefollowingstockindexfutureshasamultiplierof10eurostimestheindex?
A)CAC40
B)DJEuroStoxx-50
C)Nikkei
D)DAX-30
E)AandB
Answer:
EDifficulty:
Easy
Rationale:
Themultiplierisusedtocalculatecontractsettlements.SeeTable23.1.
6.YoupurchasedoneS&P500Indexfuturescontractatapriceof950andclosedyourpositionwhentheindexfutureswas947,youincurred:
A)alossof$1,500.
B)againof$1,500.
C)alossof$750.
D)againof$750.
E)Noneoftheabove.
Answer:
CDifficulty:
Moderate
Rationale:
(-$950+$947)X250=-$750.
7.YoutookashortpositionintwoS&P500futurescontractsatapriceof910andclosedthepositionwhentheindexfutureswas892,youincurred:
A)againof$9,000.
B)alossof$9,000.
C)alossof$18,000.
D)againof$18,000.
E)Noneoftheabove.
Answer:
ADifficulty:
Easy
Rationale:
($910-$892)X250X2=$9,000
8.Ifastockindexfuturescontractisoverpriced,youwouldexploitthissituationby:
A)sellingboththestockindexfuturesandthestocksintheindex.
B)sellingthestockindexfuturesandsimultaneouslybuyingthestocksintheindex.
C)buyingboththestockindexfuturesandthestocksintheindex.
D)buyingthestockindexfuturesandsellingthestocksintheindex.
E)Noneoftheabove.
Answer:
BDifficulty:
Moderate
Rationale:
Ifoneperceivesoneassettobeoverpricedrelativetoanotherasset,onesellstheoverpricedassetandbuystheotherone.
9.ForeignExchangeFuturesmarketsare__________andtheForeignExchangeForwardmarketsare__________.
A)informal;formal
B)formal;formal
C)formal;informal
D)informal;informal
E)organized;unorganized
Answer:
CDifficulty:
Easy
Rationale:
Theforwardmarketinforeignexchangeisanetworkofbanksandbrokersallowingcustomerstoenterforwardcontractstopurchaseorsellcurrencyinthefutureatacurrentlyagreeduponrateofexchange.ThecurrencyfuturesmarketsareformalmarketsestablishedbytheChicagoMercantileExchangewherecontractsarestandardizedastosizeanddailymarkingtomarketisobserved.Aclearinghouseisalsoinvolved.
10.Supposethattherisk-freeratesintheUnitedStatesandintheUnitedKingdomare4%and6%,respectively.Thespotexchangeratebetweenthedollarandthepoundis$1.60/BP.Whatshouldthefuturespriceofthepoundforaone-yearcontractbetopreventarbitrageopportunities,ignoringtransactionscosts.
A)$1.60/BP
B)$1.70/BP
C)$1.66/BP
D)$1.63/BP
E)$1.57/BP
Answer:
EDifficulty:
Moderate
Rationale:
$1.60(1.04/1.06)=$1.57/BP.
11.Supposethattherisk-freeratesintheUnitedStatesandintheUnitedKingdomare5%and4%,respectively.Thespotexchangeratebetweenthedollarandthepoundis$1.80/BP.Whatshouldthefuturespriceofthepoundforaone-yearcontractbetopreventarbitrageopportunities,ignoringtransactionscosts?
A)$1.62/BP
B)$1.72/BP
C)$1.82/BP
D)$1.92/BP
E)noneoftheabove
Answer:
CDifficulty:
Moderate
Rationale:
$1.80(1.05/1.04)=$1.82/BP.
12.Supposethattherisk-freeratesintheUnitedStatesandintheJapanare5.25%and4.5%,respectively.Thespotexchangeratebetweenthedollarandtheyenis$0.008828/yen.Whatshouldthefuturespriceoftheyenforaone-yearcontractbetopreventarbitrageopportunities,ignoringtransactionscosts?
A)$0.009999/yen
B)$0.009981/yen
C)$0.008981/yen
D)$0.008891/yen
E)noneoftheabove
Answer:
DDifficulty:
Moderate
Rationale:
$0.008828(1.0525/1.045)=$0.008891/yen.
13.LetRUSbetheannualriskfreerateintheUnitedStates,RUKbetheriskfreerateintheUnitedKingdom,Fbethefuturespriceof$/BPfora1-yearcontract,andEthespotexchangerateof$/BP.Whichoneofthefollowingistrue?
A)ifRUS>RUK,thenE>F
B)ifRUS C)ifRUS>RUK,thenE D)ifRUS E)Thereisnoconsistentrelationshipthatcanbepredicted. Answer: CDifficulty: Difficult Rationale: IfRUS>RUK,then(1+RUS)/(1+RUK)>1andE 14.LetRUSbetheannualriskfreerateintheUnitedStates,RJbetheriskfreerateinJapan,Fbethefuturespriceof$/yenfora1-yearcontract,andEthespotexchangerateof$/yen.Whichoneofthefollowingistrue? A)ifRUS>RJ,thenE B)ifRUS C)ifRUS>RJ,thenE>F D)ifRUS E)Thereisnoconsistentrelationshipthatcanbepredicted. Answer: ADifficulty: Difficult Rationale: IfRUS>RJ,then(1+RUS)/(1+RJ)>1andE Usethefollowingtoanswerquestions15-18: Considerthefollowing: 15.Whatshouldbetheproperfuturespricefora1-yearcontract? A)1.703A$/$ B)1.654A$/$ C)1.638A$/$ D)1.778A$/$ E)1.686A$/$ Answer: BDifficulty: Moderate Rationale: 1.03/1.04(1.67A$/$)=1.654A$/$. 16.Ifthefuturesmarketpriceis1.63A$/$,howcouldyouarbitrage? A)BorrowAustralianDollarsinAustralia,convertthemtodollars,lendtheproceedsintheUnitedStatesandenterfuturespositionstopurchaseAustralianDollarsatthecurrentfuturesprice. B)BorrowU.SdollarsintheUnitedStates,convertthemtoAustralianDollars,lendtheproceedsinAustraliaandenterfuturespositionstosellAustralianDollarsatthecurrentfuturesprice. C)BorrowU.S.dollarsintheUnitedStatesandinvestthemintheU.S.andenterfuturespositionstopurchaseAustralianDollarsatthecurrentfuturesprice. D)BorrowAustralianDollarsinAustraliaandinvestthemthere,thenconvertbacktoU.S.dollarsatthespotprice. E)Thereisnoarbitrageopportunity. Answer: BDifficulty: Difficult Rationale: E0(1+rUS)-FO(1+rA);usetheU.S.$valuesforthecurrency: 0.5988(1.04)-0.6135(1.03)=-0.009153;whenrelationshipisnegative,actionbwillresultinarbitrageprofits. 17.Ifthemarketfuturespriceis1.69A$/$,howcouldyouarbitrage? A)BorrowAustralianDollarsinAustralia,convertthemtodollars,lendtheproceedsintheUnitedStatesandenterfuturespositionstopurchaseAustralianDollarsatthecurrentfuturesprice. B)BorrowU.S.dollarsintheUnitedStates,convertthemtoAustralianDollars,lendtheproceedsinAustraliaandenterfuturespositionstosellAustralianDollarsatthecurrentfuturesprice. C)BorrowU.S.dollarsintheUnitedStatesandinvestthemintheU.S.andenterfuturespositionstopurchaseAustralianDollarsatthecurrentfuturesprice. D)BorrowAustralianDollarsinAustraliaandinvestthemthere,thenconvertbacktoU.S.dollarsatthespotprice. E)Thereisnoarbitrageopportunity. Answer: ADifficulty: Difficult Rationale: 0.5988(1.04)-0.5917(1.03)=0.013301;whenthisrelationshipispositive;actionawillresultinarbitrageprofits. 18.Assumethecurrentmarketfuturespriceis1.66A$/$.Youborrow167,000A$andconverttheproceedstoU.S.dollarsandinvestthemintheU.Sattherisk-freerate.Yousimultaneouslyenteracontracttopurchase170,340A$atthecurrentfuturesprices(maturityof1year).Whatwouldbeyourprofit(loss)? A)Profitof630A$ B)Lossof2300A$ C)Profitof2300A$ D)Lossof630A$ E)Noneoftheabove Answer: ADifficulty: Difficult Rationale: [A$167,000/1.67x1.04x1.66]-(A$167,000x1.03)=A$630. 19.Whichofthefollowingareexamplesofinterestratefuturescontracts? A)corporatebonds. B)Treasurybonds. C)Eurodollars. D)BandC E)AandB Answer: DDifficulty: Easy Rationale: InterestratefuturesaretradedonTreasurybondsandEurodollars.Examplesthatusethesecontractstohedgearegiveninthetextbook. 20.Youholda$50millionportfolioofparvaluebondswithacouponrateof10percentpaidannuallyand15yearstomaturity.HowmanyT-bondfuturescontractsdoyouneedtohedgetheportfolioagainstanunanticipatedchangeintheinterestrateof0.18%? Assumethemarketinterestrateis10percentandthatT-bondfuturescontractscallfordeliveryofan8percentcoupon,paidannually20-year_______maturityT-bond. A)398contractslong B)524contractsshort C)1048contractsshort D)398contractsshort E)noneoftheabove Answer: DDifficulty: Difficult Rationale: 0.9864485X$50M=$49,322,429;$50,000,000-$49,322,429=$677,571lossonbonds;$100.00-$82.97=$17.03X100=$1703gainonf
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