金融場(chǎng)與金融機(jī)構(gòu)基礎(chǔ)英文版答案

1、ANSWERSTOQUESTIONSFORCHAPTER9(Questionsareinboldprintfollowedbyanswers.)1. YourbrokerisrecommendingthatyoupurchaseU.S.governmentbonds.Hereistheexplanation:Listen,inthesetimesofuncertainty,withmanycompaniesgoingbankrupt,itmakessensetoplayitsafeandpurchaselong-termgovernmentbonds.TheyareissuedbytheU.S

2、.government,sotheyareriskfree.Howwouldyourespondtothebroker?U.S.Governmentbondsmaybefreeofdefaultrisk,buttheyarenotfreefrominterestraterisk,whichmaycausethebondpricetodecline,resultinginacapitallossshouldtheholderofbondsellitbeforematurity.Eventhenthereistheinflationpremiumrisk,whichmeansthattheprin

3、cipalmayhavelesspurchasingpoweratmaturitythanitdoestoday.2. Youjustinherited30,000sharesofacompanyyouhaveneverheardof,ABDCorporation.Youcallyourbrokertofindoutifyouhavefinallystruckitrich.Afterseveralminutes,shecomesbackonthetelephoneandsays:Idonthaveaclueabouttshares.Itstoobadtheyarenottradedinafin

4、ancialmarket.Thatwouldmakelifealoteasierforyou.Whatdoesshemeanbythis?Ifthesharesaretradedonthemarket,andifthemarketisefficient,thecurrentpricewoulddenotethevalueofthestock.Withoutmarketpriceinformation,sharevaluewouldhavetobeapproximatedthroughothertime-consumingandlessreliablemethods.3. Supposeyouo

5、wnabondthatpays$75yearlyincouponinterestandthatislikelytobecalledintwoyears(becausethefirmhasalreadyannouncedthatitwillredeemtheissueearly).Thecallpricewillbe$1,050.Whatisthepriceofyourbondnow,inthemarket,iftheappropriatediscountrateforthisassetis9%?Po=$75(PVIFA)2.09+$1050(PVIF)2.09=$75X1.7591+$1050

6、X.8417=$1015.724. YourbrokerhasadvisedyoutobuysharesofHungryBoyFastFoods,whichhaspaidadividendof$1.00peryearfor10yearsandwill(accordingtothebroker)continuetodosoformanyyears.Thebrokerbelievesthatthestock,whichnowhasapriceof$12,willbeworth$25pershareinfiveyears.Youhavegoodreasontothinkthatthediscount

7、rateforthisfirmsstockis22%peryear,becausethatratecompensatesthebuylepeotinentrisks.Isthestockspresentpriceagoodapproximationofitstruefinancialvalue?Po=$1(PVIFA)5.22+$25X(PVIF)5.22=.3715=$12.15Thepriceisright,infactthestockisslightlyundervalued.5. Youhavebeenconsideringazero-couponbond,whichpaysnoint

8、erestbutwillpayaprincipalof$1,000attheendoffiveyears.Thepriceofthebondisnow$712.99,anditsrequiredrateofreturnis7.0%.Thismorningsnewscontainedasurprisingdevelopment.Thegovernmentannouncedthattherateofinflationappearstobe5.5%insteadofthe4%thatmostpeoplehadbeenexpecting.(Supposemostpeoplehadthoughtther

9、ealrateofinterestwas3%.)Whatwouldbethepriceofthebond,oncethemarketbegantoabsorbthisnewinformationaboutinflation?Thenominalrequiredrateofreturnis(realrateplusinflation)ir+iforcurrently3%plus4%=7%.Ififbecomes5.5%thenthenewrequiredrateofreturnbecomes8.5%.Thepriceofthebondwouldthenbe$1000/(1.0855or$665.

10、05.6. Statethedifferenceinbasispointsbetweeneachofthefollowing:a. 5.5%and6.5%b. 7%and9%c. 6.4%and7.8%d. 9.1%and11.9%a. 100basispointsb. 200basispointsc. 140basispointsd. 280basispoints7.a. Doesariseof100basispointsinthediscountratechangethepriceofa20-yearbondasmuchasitchangesthepriceofafour-yearbond

11、,assumingthatbothbondshavethesamecouponrateandofferthesameyield?b. Doesariseof100basispointsinthediscountratechangethepriceofa4%couponbondasmuchasitchangesthepriceofa10%couponbond,assumingthatbothbondshavethesamematurityandofferthesameyield?c. Doesariseof100basispointsinthediscountratechangetheprice

12、ofa10-yearbondtothesameextentifthediscountrateis4%asitdoesifthediscountrateis12%?d. Thepriceofthe20-yearbondwillfallmorethanthatofthe4-yearbondbecausetherearemoreyearsforthenewdiscounttoapplytothecashflowsofthe20-yearbond.e. Thepriceofthelowcouponbondwillchangemoreduetothelowamountofcashflowsthatcan

13、bereinvestedatthehigherrate.f. Achangefromthe4%basewillleadtoalargerchangeinprice.8.Duringtheearly1980s,interestratesformanylong-termbondswereabove14%.Intheearly1990s,ratesonsimilarbondswerefarlower.Whatdoyouthinkthisdramaticdeclineinmarketinterestratesmeansforthepricevolatilityofbondsinresponsetoac

14、hangeininterestrates?Sincethedirectionoftheinterestratechangeisdownward,pricevolatilityshouldincrease.9.a. Whatisthecashflowofa6%couponbondthatpaysinterestannually,maturesinsevenyears,andhasaprincipalof$1,000?b. Assumingadiscountrateof8%,whatisthepriceofthisbond?c. Assumingadiscountrateof8.5%,whatis

15、thepriceofthisbond?d. Assumingadiscountrateof7.5%,whatisthepriceofthisbond?e. Whatisthedurationofthisbond,assumingthatthepriceistheoneyoucalculatedinpart(b)?f. Iftheyieldchangesby100basispoints,from8%to7%,byhowmuchwouldyouapproximatethepercentagepricechangetobeusingyourestimateofdurationinpart(e)?g.

16、 Whatistheactualpercentagepricechangeiftheyieldchangesby100basispoints?a.$60ayearinterestfor7yearsplus$1000principalinyear7foratotalof$1420incashflow.b.5.2064X$60+.583X$1000=$895.38c. 5.119X$60+.565X$1000=$872.14d. 5.297X$60+.603X$1000=$920.82e. D=$920-.82-$872.14=$48.68/8.95=5.44$895.38(0.85-.075)f

17、. Applyingtheformula-D(changeinyield)=-5.44(.01)orapriceincreaseof5.42%.g. Priceat8%=$895.88,at7%=$946.06,soactualpercentagechangeis($946.06-$895.88)/$895.88=5.6%.10. Whyisitimportanttobeabletoestimatethedurationofabondorbondportfolio?Toanswerthisquestion,wemustunderstandthatdurationisrelatedtoperce

18、ntagepricechange.Asimpleformulacanbeusedtocalculatetheapproximatedurationofabondorbondportfolio.Allweareinterestedinisthepercentpricechangeofabondwheninterestrateschangebyasmallamount.Tocontrolinterestraterisk,itisthusnecessarytobeabletomeasureit.Durationprovidesthatmeasure.Determiningthe11. Explainwhyyouagreeordisagreewiththefollowingstatement:durationofafinancialassetisasimpleprocess.Disagree.Determiningthedurationofafinancialass