固定收益证券投资：分析和估值(一)及答案解析.doc

1、固定收益证券投资：分析和估值(一)及答案解析(总分：53.00，做题时间：90 分钟)一、B单项选择题/B(总题数：1，分数：53.00)The investor would prefer the municipal bond because the taxable-equivalent yield is greater than the yield on the corporate bond: 6.4%6.375%.（分数：53.00）(1).Assume a city issues a $ 5 million bond to build a new arena. The bond pays

2、 8 percent semiannual interest and will mature in 10 years. Current interest rates are 9 percent. What is the pres ent value of this bond and what will the bonds value be in seven years from today? Present Value Value in 7 Years from Today A. 4674802 4931276 B. 5339758 4871053 C. 4674802 4871053 A.

3、B. C. （分数：1.00）A.B.C.D.(2).An investor has the following options available to them:They can buy a 10% semi annual coupon, 10 - year bond for $1000.The coupons can be reinvested at 12%.They estimate the bond will be sold in 3 years $1050.Based on this information, what would be the average annual rat

4、e of return over the 3 years? A. 11.5%. B. 13.5%. C. 10.0%.（分数：1.00）A.B.C.D.(3).A bond has a par value of $1000, a time to maturity of 20 years, a coupon rate of 10 percent with interest paid annually, a current price of $ 850, and a yield to maturity (YTM) of 12 percent. If the interest payments ar

5、e reinvested at 10 percent, the realized compounded yield on this bond is: A. 10.00%. B. 12.0%. C. 10.9%.（分数：1.00）A.B.C.D.(4).A non-callable bond with 18 years remaining maturity has an annual coupon of 7 percent and a $1000 par value. The current yield to maturity on the bond is 8 percent. Which of

6、 the following is closest to the effective duration of the bond? A. 9.63. B. 11.89. C. 8.24.（分数：1.00）A.B.C.D.(5).If a bond has a convexity of 120 and a modified duration of 10, what is the convexity adjustment associated with a 25 basis point interest rate decline? A. -2.875%. B. -2.125%. C. +0.075%

7、.（分数：1.00）A.B.C.D.(6).If interest rates fall, the: A. callable bonds price rises faster than that of a noncallable but otherwise identical bond. B. callable bonds price rises more slowly than that of a noncallable but otherwise identical bond. C. value of call option embedded in the callable bond fa

8、ils.（分数：1.00）A.B.C.D.(7).For an option-flee bond, if yields increase by 200 basis points, the parts of the total estimated percentage price change attributable to duration and the convexity adjustment, respectively, will most likely be: Part of the total estimated percentage price change attributabl

9、e to duration Part of the total estimated percentage price change attributable to the convexity adjustment A. Negative Positive B. Negative Negative C. Positive Positive A. B. C. （分数：1.00）A.B.C.D.(8).An investor gathered the following information about two 7 percent annual-pay, option-free bonds:Bon

10、d R has 4 years to maturity and is priced to yield 6 percentBond S has 7 years to maturity and is priced to yield 6 percentBoth bonds have a par value of $1000.Given a 50 basis point parallel upward shift in interest rates, what is the value of the two-bond portfolio? A. $2044. B. $2030. C. $2086.（分

11、数：1.00）A.B.C.D.(9).The six-month Treasury bill has a yield to maturity of 5 percent. The one-year Treasury bill, with zero coupon, has a yield to maturity of 6 percent. If a Treasury note with a maturity of 1.5 years and a coupon rate of 6 percent is priced at 97.32, whats the implied spot rate of 1

12、.5 years? A. 7.00%. B. 7.50%. C. 8.00%.（分数：1.00）A.B.C.D.(10).Which of the following statements concerning arbitrage-free bond prices is FALSE? A. The riskier the bond, the greater is its credit spread. B. It is not possible to strip coupons from U. S. Treasuries and resell them. C. The determination

13、 of spot rates is usually done using risk-free securities.（分数：1.00）A.B.C.D.(11).Consider a $ 1000 - face value, 12 - year, 8% , semiannual coupon bond with a YTM of 10.45%. The change in value for a decrease in yield of 38 basis points is: A. $21.18 B. $22.76. C. $23.06.（分数：1.00）A.B.C.D.(12).If a $1

14、000 bond has a 14 percent coupon rate and a current market price of 950, what is the current market yield? A. 14.74%. B. 14.00%. C. 15.36%.（分数：1.00）A.B.C.D.(13).If market rates do not change, as time passes the price of a zero-coupon bond will: A. approach zero. B. approach the purchase price. C. ap

15、proach par.（分数：1.00）A.B.C.D.(14).The 3-year annual spot rate is 7%, the 4-year annual spot rate is 7.5%, and the 5-year annual spot rate is 8%. Based on the pure expectations theory of interest rates, the 1-year implied forward rate in four years is closest to: A. 10.00%. B. 7.75%. C. 9.00%.（分数：1.00

16、）A.B.C.D.(15).A bond with an 8 percent semi-annual coupon and 10-year maturity is currently priced at $904.52 to yield 9.5 percent. If the yield declines to 9 percent, the bonds price will increase to $934.96, and if the yield increases to 10 percent, the bonds price will decrease to $875.38. Estima

17、te the percentage price change for a 100 basis point change in rates. A. 4. 35%. B. 2. 13%. C. 6.58%.（分数：1.00）A.B.C.D.(16).A bond with a 12 percent coupon, 10 years to maturity and selling at 88 has a YTM of: A. between 10% and 12%. B. between 13% and 14%. C. over 14%.（分数：1.00）A.B.C.D.(17).Consider

18、a 10 percent, 10 - year bond sold to yield 8 percent. One year passes and interest rates remained unchanged (8 percent). What will have happened to the bonds price during this period? A. It will have decreased. B. It will have increased. C. It will have remained constant.（分数：1.00）A.B.C.D.(18).Why sh

19、ould effective duration, rather than modified duration, be used when bonds contain embedded options? A. Effective duration considers expected changes in cash flows. B. Modified duration considers expected changes in cash flows. C. Either could be used if the bond has embedded options.（分数：1.00）A.B.C.

20、D.(19).Which of the following statements concerning the current yield is CORRECT? It: A. is of great interest to conservative bond investors seeking current income. B. is of great interest to aggressive bond investors seeking capital gains. C. shows the rate of return an investor will receive by hol

21、ding a bond to maturity.（分数：1.00）A.B.C.D.(20).Three years ago, at the advice of her financial planner, an investor purchased a $1000 face, 4.50%, semiannual coupon bond with seven years to maturity priced to yield 6.50% for $888.94. The reinvestment income that must be generated over the life of the

22、 bond for the investor to realize a yield of 6.5% is closest to: A. $72. B. $76. C. $80.（分数：1.00）A.B.C.D.(21).Suppose you have a three-security portfolio containing bonds A, B and C. The effective portfolio duration is 5.9. The market values of bonds A, B and C are $60, $25 and $80, respectively.The

23、 durations of bonds A and C are 4. 2 and 6.2, respectively. Which of the following amounts is closest to the duration of bond B? A. 9.0. B. 1.4. C. 7.1.（分数：1.00）A.B.C.D.(22).Consider a bond , par value $100 , that pays an annual coupon of 5 percent and that has three years remaining until maturity.

24、Suppose the term structure of interest rates is flat at 6 percent. How much does the bond price change if the term structure of interest rates shifts down by 1 percent instantaneously? A. -2.67. B. 2.67. C. 0.00.（分数：1.00）A.B.C.D.(23).What is the duration of a floating rate bond that has six years re

25、maining to maturity and has semi-annual coupon payments. Assume a flat-term structure of 6 percent. Which of the following is closest to the correct duration? A. 0.500. B. 6.000. C. 12.000.（分数：1.00）A.B.C.D.(24).One of the most commonly used yield spread measures is the nominal spread. Which of the f

26、ollowing is a limitation of nominal spread? The nominal spread assumes: A. an upward sloping yield curve. B. a downward sloping yield curve. C. a flat yield curve.（分数：1.00）A.B.C.D.(25).A semiannual-pay bond is callable in five years at $1080. The bond has an 8% coupon and 15 years to maturity. If an

27、 investor pays $ 895 for the bond today, what are the yield to call (YTC) and the yield to maturity (YTM), respectively? YTC YTM A. 10.77% 9.31% B. 12.07% 9.31% C. 10.77% 10.21% A. B. C. （分数：1.00）A.B.C.D.(26).Which of the following statements about a bonds cash flows is TRUE? The appropriate discoun

28、t rate is a function of: A. the risk-free rate plus the return on the market. B. the risk-free rate plus the risk premium. C. only the risk premium.（分数：1.00）A.B.C.D.(27).What is the probable change in price of a 30-year semiannual 6.5 percent coupon, $1000 par value bond yielding 8 percent when the

29、nominal risk-free rate changes from 5 percent to 4 percent? A. $106.34. B. $107.31. C. $102.57.（分数：1.00）A.B.C.D.(28).Assume that an option-free 5 percent coupon bond with annual coupon payments has two years to maturity. A callable bond that is the same in every respect as the option-free bond is pr

30、iced at 91.76. With the term structure flat at 6 percent, what is the value of the embedded call option? A. -8.24. B. 4.58. C. 6.41.（分数：1.00）A.B.C.D.(29).Consider the following two statements about put-able bonds:Statement 1: As yields fall, the price of put-able bonds will rise less quickly than si

31、milar option-free bonds (beyond a critical point) due to the decrease in value of the embedded put option.Statement 2: As yields rise, the price of put-able bonds will fall more quickly than similar option-free bonds (beyond a critical point) due to the increase in value of the embedded put option.Y

32、ou should: A. agree with statement 1 and disagree with statement 2. B. agree with statement 1 and agree with statement 2. C. disagree with statement 1 and disagree with statement 2.（分数：1.00）A.B.C.D.(30).You are considering the purchase of a three-year annual coupon bond with a par value of $1000 and

33、 a coupon rate of 5.5 percent. You have determined that the spot rate for year 1 is 5.2 percent, the spot rate for year two is 5.5 percent, and the spot rate for year three is 5.7 percent. What would you be willing to pay for the bond now? A. $937.66. B. $995.06. C. $1000.00.（分数：1.00）A.B.C.D.(31).Bo

34、nd is selling at a discount relative to its par value. Which of the following relationships holds? A. yield to maturity coupon rate current yield. B. current yield coupon rate yield to maturity. C. coupon rate current yield yield to maturity.（分数：1.00）A.B.C.D.(32).Current spot rates are as follows:1-

35、 Year: 6.5%2 - Year: 7.0%3 - Year: 9.2%Which of the following is TRUE? A. For a 3 - year annual pay coupon bond, all cash flows can be discounted at 9.2% to find the bonds arbitrage-free value. B. The yield to maturity for 3 - year annual pay coupon bond can be found by taking the arithmetic average

36、 of the 3 spot rates. C. For a 3 - year annual pay coupon bond, the first coupon can be discounted at 6.5%, the second coupon can be discounted at 7.0% , and the third coupon plus maturity value can be discounted at 9.2% to find the bonds arbitrage-free value.（分数：1.00）A.B.C.D.(33).All else held equa

37、l, the duration of bonds selling at higher yields compared to bonds selling at lower yields will be: A. greater. B. lower. C. equal.（分数：1.00）A.B.C.D.(34).Calculate the current yield and the Yield-to-first Call on a bond with the following characteristics: 5 years to maturity $1000 face value 8.75% s

38、emi-annual coupon Priced to yield 9.25% = Callable at $1025 in two years Current Yield Yield-to-Call A. 8.93% 11.02% B. 9.83% 19.80% C. 12.67% 11.02% A. B. C. （分数：1.00）A.B.C.D.(35).Which of the following characteristics would create the least difficulty in estimating a bonds cash flows? A. Variable

39、coupon rate. B. Put-able bond. C. Non-callable bond.（分数：1.00）A.B.C.D.(36).An 11 percent coupon bond with annual payments and 10 years to maturity is callable in 3 years at a call price of $1100. If the bond is selling today for 975, the yield to call is: A. 14.97%. B. 10.26%. C. 10.00%.（分数：1.00）A.B.

40、C.D.(37).Answering an essay question on a midterm examination, a finance student writes these two statements: Statement 1: The value of a fixed income security is the sum of the present values of all its expected future coupon payments. Statement 2: The steps in the bond valuation process are to est

41、imate the bonds cash flows, determine the appropriate discount rate, and calculate the present value of the expected cash flows. Should the instructor mark these statements correct or incorrect? Statement 1 Statement 2 A. Correct Correct B. Correct Incorrect C. Incorrect Correct A. B. C. （分数：1.00）A.

42、B.C.D.(38).An investor gathered the following information on three zero-coupon bonds:1 - year, $600 par, zero-coupon bond valued at $5712 - year, $600 par, zero-coupon bond valued at $5443 - year, $10600 par, zero-coupon bond valued at $8901Given the above information, how much should an investor pa

43、y tbr a $10000 par, 3 - year, 6 percent, annual-pay coupon bond? A. $10000. B. $10600. C. $10016.（分数：1.00）A.B.C.D.(39).The one-year spot rate is 6 percent and the one-year forward rates starting in one, two and three years respectively are 6.5 percent, 6.8 percent and 7 percent. What is the four-yea

44、r spot rate? A. 6.51%. B. 6.58%. C. 6.57%.（分数：1.00）A.B.C.D.(40).Which of the following statements about duration is TRUE? A. The result of the formula for effective duration is for a 0.01% change in interest rates. B. A bonds percentage change in price and dollar change in price are both tied to the

45、 underlying price volatility. C. The formula for effective duration is: (price when yields fall - price when yields rise)/(initial price change in yield expressed as a decimal).（分数：1.00）A.B.C.D.(41).Given a required yield to maturity of 6 percent, what is the intrinsic value of a semi-annual pay cou

46、pon bond with an 8 percent coupon and 15 years remaining until maturity? A. $1196. B. $1202. C. $1095.（分数：1.00）A.B.C.D.(42).What value would an investor place on a 20 - year, $1000 face value, 10 percent annual coupon bond, if the investor required a 9 percent rate of return? A. $879. B. $920. C. $1

47、091.（分数：1.00）A.B.C.D.(43).What is the present value of a 7 percent semi-annual pay corporate bond with a $1000 face value and 20 years to maturity if it is yielding 6. 375 percent? If a municipal bond is yielding 4.16 percent and an investors marginal tax rate is 35 percent, would the investor prefe

48、r the corporate bond or the municipal bond? Value Investor preference A. $1121.23 municipal bond B. $1070.09 corporate bond C. $1070.09 municipal bond A. B. C. （分数：1.00）A.B.C.D.(44).An analyst has gathered the following information:Bond A is an 11 percent annual coupon bond currently trading at 106.

49、 385 and matures in 3 years. The yield-to-maturity (YTM) for Bond A is 8.50 percent.The YTM for a Treasury bond that matures in 3 - years is 7.65 percent. 1, 2, and 3 - year spot rates are 5.0 percent, 6.5 percent and 8.25 percent, respectively. Which of the following statements regarding spreads on bond