博迪投资学第九版英文答案(供参考)

1、CHAPTER1:THEINVESTMENTENVIRONMENTPROBLEMSETSUltimately,itistruethatrealassetsdeterminethematerialwellbeingofaneconomy.Nevertheless,individualscanbenefitwhenfinancialengineeringcreatesnewproductsthatallowthemtomanagetheirportfoliosoffinancialassetsmoreefficiently.Becausebundlingandunbundlingcreatesfi

2、nancialproductswithnewpropertiesandsensitivitiestovarioussourcesofrisk,itallowsinvestorstohedgeparticularsourcesofriskmoreefficiently.Securitizationrequiresaccesstoalargenumberofpotentialinvestors.Toattracttheseinvestors,thecapitalmarketneeds:asafesystemofbusinesslawsandlowprobabilityofconfiscatoryt

3、axation/regulation;awell-developedinvestmentbankingindustry;awell-developedsystemofbrokerageandfinancialtransactions,and;well-developedmedia,particularlyfinancialreporting.Thesecharacteristicsarefoundin(indeedmakefor)awell-developedfinancialmarket.Securitizationleadstodisintermediation;thatis,securi

4、tizationprovidesameansformarketparticipantstobypassintermediaries.Forexample,mortgage-backedsecuritieschannelfundstothehousingmarketwithoutrequiringthatbanksorthriftinstitutionsmakeloansfromtheirownportfolios.Assecuritizationprogresses,financialintermediariesmustincreaseotheractivitiessuchasprovidin

5、gshort-termliquiditytoconsumersandsmallbusiness,andfinancialservices.Financialassetsmakeiteasyforlargefirmstoraisethecapitalneededtofinancetheirinvestmentsinrealassets.IfFord,forexample,couldnotissuestocksorbondstothegeneralpublic,itwouldhaveafarmoredifficulttimeraisingcapital.Contractionofthesupply

6、offinancialassetswouldmakefinancingmoredifficult,therebyincreasingthecostofcapital.Ahighercostofcapitalresultsinlessinvestmentandlowerrealgrowth.Evenifthefirmdoesnotneedtoissuestockinanyparticularyear,thestockmarketisstillimportanttothefinancialmanager.Thestockpriceprovidesimportantinformationabouth

7、owthemarketvaluesthefirmsinvestmentprojects.Forexample,ifthestockpricerisesconsiderably,managersmightconcludethatthemarketbelievesthefirmsfutureprospectsarebright.Thismightbeausefulsignaltothefirmtoproceedwithaninvestmentsuchasanexpansionofthefirmsbusiness.Inaddition,sharesthatcanbetradedinthesecond

8、arymarketaremoreattractivetoinitialinvestorssincetheyknowthattheywillbeabletoselltheirshares.Thisinturnmakesinvestorsmorewillingtobuysharesinaprimaryoffering,andthusimprovesthetermsonwhichfirmscanraisemoneyintheequitymarket.a.No.Theincreaseinpricedidnotaddtotheproductivecapacityoftheeconomy.Yes,thev

9、alueoftheequityheldintheseassetshasincreased.、.、一、.、一、.、一、.、一、.、一、.、一、.、一、.、一、.、一、.、一、.、一、.、一.、.、一、.、一、.、一、.、一、.、一、.、一、.、一、.、一、.、一、.、一、.、一文文文文文：文文文文文文文.word文文文文文.文文文文文文Futurehomeownersasawholeareworseoff,sincemortgageliabilitieshavealsoincreased.Inaddition,thishousingpricebubblewilleventuallyburstan

10、dsocietyasawhole(andmostlikelytaxpayers)willendurethedamage.a.ThebankloanisafinancialliabilityforLanni.(LannisIOUisthebanksfinancialasset.)ThecashLannireceivesisafinancialasset.ThenewfinancialassetcreatedisLannispromissorynote(thatis,LannisIOUtothebank).Lannitransfersfinancialassets(cash)tothesoftwa

11、redevelopers.Inreturn,Lannigetsarealasset,thecompletedsoftware.Nofinancialassetsarecreatedordestroyed;cashissimplytransferredfromonepartytoanother.Lannigivestherealasset(thesoftware)toMicrosoftinexchangeforafinancialasset,1,500sharesofMicrosoftstock.IfMicrosoftissuesnewsharesinordertopayLanni,thenth

12、iswouldrepresentthecreationofnewfinancialassets.Lanniexchangesonefinancialasset(1,500sharesofstock)foranother($120,000).Lannigivesafinancialasset($50,000cash)tothebankandgetsbackanotherfinancialasset(itsIOU).Theloanisdestroyedinthetransaction,sinceitisretiredwhenpaidoffandnoIongerexists.a.AssetsShar

13、eholdersequityLiabilities&Cash$70,000Bankloan$50,000Computers30,000Shareholdersequit50,000Total$100,000Total$100,000Ratioofrealassetstototalassets=$30,000/$100,000=0.30b.AssetsShareholdersequityLiabilitiesS&ftwareproduct*$70,000Bankloan$50,000Computers30,000Shareholdersequit50,000Total$100,000Total$

14、100,000*ValuedatcostRatioofrealassetstototalassets=$100,000/$100,000=1.0c.AssetsShareholdersequityLiabilities&Microsoftshares$120,000Bankloan$50,000Computers30,000Shareholdersequity100,000Total$150,000Total$150,000Ratioofrealassetstototalassets=$30,000/$150,000=0.20Conclusion:whenthefirmstartsupandr

15、aisesworkingcapital,itischaracterizedbyalowratioofrealassetstototalassets.Whenitisinfullproduction,ithasahighratioofrealassetstototalassets.Whentheprojectshutsdownandthefirmsellsitoffforcash,financialassetsonceagainreplacerealassets.Forcommercialbanks,theratiois:$140.1/$11,895.1=0.0118Fornon-financi

16、alfirms,theratiois:$12,538/$26,572=0.4719Thedifferenceshouldbeexpectedprimarilybecausethebulkofthebusinessoffinancialinstitutionsistomakeloans;whicharefinancialassetsforfinancialinstitutions.a.Primary-markettransactionb.Derivativeassetsc.Investorswhowishtoholdgoldwithoutthecomplicationandcostofphysi

17、calstorage.a.Afixedsalarymeansthatcompensationis(atleastintheshortrun)independentofthefirmssuccess.Thissalarystructuredoesnottiethemanagersimmecompensationtothesuccessofthefirm.However,themanagermightviewthisasthesafestcompensationstructureandthereforevalueitmorehighly.b.Asalarythatispaidintheformof

18、stockinthefirmmeansthatthemanagerearnsthemostwhentheshareholderswealthismaximized.Fiveyearsofvestinghelpsaligntheinterestsoftheemployeewiththelong-termperformanceofthefirm.Thisstructureisthereforemostlikelytoaligntheinterestsofmanagersandshareholders.Ifstockcompensationisoverdone,however,themanagerm

19、ightviewitasoverlyriskysincethemanagerscareerisalreadylinkedtothefirm,andthisundiversifiedexposurewouldbeexacerbatedwithalargestockpositioninthefirm.c.Aprofit-linkedsalarycreatesgreatincentivesformanagerstocontributetothefirmssuccess.However,amanagerwhosesalaryistiedtoshort-termprofitswillberiskseek

20、ing,especiallyiftheseshort-termprofitsdeterminesalaryorifthecompensationstructuredoesnotbearthefullcostoftheprojectsriskShareholders,incontrast,bearthelossesaswellasthegainsontheproject,andmightbelesswillingtoassumethatrisk.Evenifanindividualshareholdercouldmonitorandimprovemanagersperformance,andth

21、erebyincreasethevalueofthefirm,thepayoffwouldbesmall,sincetheownershipshareinalargecorporationwouldbeverysmall.Forexample,ifyouown$10,000ofFordstockandcanincreasethevalueofthefirmby5%,averyambitiousgoal,youbenefitbyonly:0.05x$10,000=$500Incontrast,abankthathasamultimillion-dollarloanoutstandingtothe

22、firmhasabigstakeinmakingsurethatthefirmcanrepaytheloan.Itisclearlyworthwhileforthebanktospendconsiderableresourcestomonitorthefirm.Mutualfundsacceptfundsfromsmallinvestorsandinvest,onbehalfoftheseinvestors,inthenationalandinternationalsecuritiesmarkets.Pensionfundsacceptfundsandtheninvest,onbehalfof

23、currentandfutureretirees,therebychannelingfundsfromonesectoroftheeconomytoanother.、.、文文文文文:文文文文文文文.word文文文文文.文文文文文文.、.、一、.、一、.、一、.、一、.、一、.、一、.、一、.、一、.、一、.、一、.、一、.、一.、.、一、.、一、.、一、.、一、.、一、.、一、.、一、.、一、.、一、.、一、文文文文文：文文文文文文文.word文文文文文.文文文文文文Venturecapitalfirmspoolthefundsofprivateinvestorsandinvestinstar

24、t-upfirms.Banksacceptdepositsfromcustomersandloanthosefundstobusinesses,orusethefundstobuysecuritiesoflargecorporations.Treasurybillsserveapurposeforinvestorswhopreferalow-riskinvestment.Theloweraveragerateofreturncomparedtostocksisthepriceinvestorspayforpredictabilityofinvestmentperformanceandportf

25、oliovalue.Witha“top-down”investingstyle,youfocusonassetallocationorthebroadcompositionoftheentireportfolio,whichisthemajordeterminantofoverallperformance.Moreover,top-downmanagementisthenaturalwaytoestablishaportfoliowithalevelofriskconsistentwithyourrisktolerance.Thedisadvantageofanexclusiveemphasi

26、sontop-downissuesisthatyoumayforfeitthepotentialhighreturnsthatcouldresultfromidentifyingandconcentratinginundervaluedsecuritiesorsectorsofthemarket.Witha“bottom-up”investingstyle,youtrytobenefitfromidentifyingundervaluedsecurities.Thedisadvantageisthatyoutendtooverlooktheoverallcompositionofyourpor

27、tfolio,whichmayresultinanon-diversifiedportfoliooraportfoliowitharisklevelinconsistentwithyourlevelofrisktolerance.Inaddition,thistechniquetendstorequiremoreactivemanagement,thusgeneratingmoretransactioncosts.Finally,youranalysismaybeincorrect,inwhichcaseyouwillhavefruitlesslyexpendedeffortandmoneya

28、ttemptingtobeatasimplebuy-and-holdstrategy.Youshouldbeskeptical.Iftheauthoractuallyknowshowtoachievesuchreturns,onemustquestionwhytheauthorwouldthenbesoreadytosellthesecrettoothers.Financialmarketsareverycompetitive;oneoftheimplicationsofthisfactisthatrichesdonotcomeeasily.Highexpectedreturnsrequire

29、bearingsomerisk,andobviousbargainsarefewandfarbetween.Oddsarethattheonlyonegettingrichfromthebookisitsauthor.Financialassetsprovideforameanstoacquirerealassetsaswellasanexpansionoftheserealassets.Financialassetsprovideameasureofliquiditytorealassetsandallowforinvestorstomoreeffectivelyreduceriskthro

30、ughdiversification.Allowingtraderstoshareintheprofitsincreasesthetraderswillingnesstoasrisk.Traderswillshareintheupsidepotentialdirectlybutonlyinthedownsideindirectly(poorperformance=potentialjobloss).Shareholders,bycontrast,areaffecteddirectlybyboththeupsideanddownsidepotentialofrisk.Answersmayvary

31、,however,studentsshouldtouchonthefollowing:increasedtransparency,regulationstopromotecapitaladequacybyincreasingthefrequencyofgainorlosssettlement,incentivestodiscourageexcessiverisktaking,andthepromotionofmoreaccurateandunbiasedriskassessme.ntCHAPTER2:ASSETCLASSESANDFINANCIALINSTRUMENTSPROBLEMSETSP

32、referredstockislikeIong-termdebtinthatittypicallypromisesafixedpaymenteachyear.Inthisway,itisaperpetuity.PreferredstockisalsolikeIong-termdebtinthatitdoesnotgivetheholdervotingrightsinthefirm.Preferredstockislikeequityinthatthefirmisundernocontractualobligationtomakethepreferredstockdividendpayments

33、.Failuretomakepaymentsdoesnotsetoffcorporatebankruptcy.Withrespecttothepriorityofclaimstotheassetsofthefirmintheeventofcorporatebankruptcy,preferredstockhasahigherprioritythancommonequitybutalowerprioritythanbonds.Moneymarketsecuritiesarecalled“cashequivalents”becauseoftheirgreatliquidity.Thepriceso

34、fmoneymarketsecuritiesareverystable,andtheycanbeconvertedtocash(i.e.,sold)onveryshortnoticeandwithverylowtransactioncosts.(a)Arepurchaseagreementisanagreementwherebythesellerofasecurityagreesto“repurchase”itfromthebuyeronanagreedupondateatanagreeduponprice.Reposaretypicallyusedbysecuritiesdealersasa

35、meansforobtainingfundstopurchasesecurities.Thespreadwillwiden.Deteriorationoftheeconomyincreasescreditrisk,thatis,thelikelihoodofdefault.Investorswilldemandagreaterpremiumondebtsecuritiessubjecttodefaultrisk.Corp.BondsPreferredStockCommonStockVotingRights(Typically)YesContractualObligationYesPerpetu

36、alPaymentsYesYesAccumulatedDividendsYesFixedPayments(Typically)YesYesPaymentPrefereneeFirstSecondThirdMunicipalBondinterestistax-exempt.Whenfacinghighermarginaltaxrates,ahigh-incomeinvestorwouldbemoreinclinedtopicktax-exemptsecurities.a.Youwouldhavetopaytheaskedpriceof:86:14=86.43750%ofpar=$864.375T

37、hecouponrateis3.5%implyingcouponpaymentsof$35.00annuallyor,moreprecisely,$17.50semiannually.Currentyield=Annualcouponincome/price=$35.00/$864.375=0.0405=4.05%P=$10,000/1.02=$9,803.92Thetotalbefore-taxincomeis$4.Afterthe70%exclusionforpreferredstockdividends,thetaxableincomeis:0.30X$4=$1.20Therefore,

38、taxesare:0.30 x$1.20=$0.36After-taxincomeis:$4.00-$0.36=$3.64Rateofreturnis:$3.64/$40.00=9.10%a.Youcouldbuy:$5,000/$67.32=74.27sharesYourannualdividendincomewouldbe:74.27x$1.52=$112.89Theprice-to-earningsratiois11andthepriceis$67.32.Therefore:$67.32/Earningspershare=11?Earningspershare=$6.12GeneralD

39、ynamicsclosedtodayat$67.32,whichwas$0.47higherthanyesterdaysprice.Yesterdaysclosingpricewas:$66.85a.Att=0,thevalueoftheindexis:(90+50+100)/3=80Att=1,thevalueoftheindexis:(95+45+110)/3=83.333Therateofreturnis:(83.333/80)-1=4.17%Intheabsenceofasplit,StockCwouldsellfor110,sothevalueoftheindexwouldbe:25

40、0/3=83.333Afterthesplit,StockCsellsfor55.Therefore,weneedtofindthedivisor(d)suchthat:83.333=(95+45+55)/d?d=2.340Thereturniszero.Theindexremainsunchangedbecausethereturnforeachstockseparatelyequalszero.a.Totalmarketvalueatt=0is:($9,000+$10,000+$20,000)=$39,000Totalmarketvalueatt=1is:($9,500+$9,000+$2

41、2,000)=$40,500Rateofreturn=($40,500/$39,000)-1=3.85%b.Thereturnoneachstockisasfollows:rA=(95/90)-1=0.0556rB=(45/50)-1=0.10r=(110/100)-1=0.10Theequally-weightedaverageis:0.0556+(-0.10)+0.10/3=0.0185=1.85%Theafter-taxyieldonthecorporatebondsis:0.09x(1-0.30)=0.0630=6.30%Therefore,municipalsmustofferatl

42、east6.30%yields.Equation(2.2)showsthattheequivalenttaxableyieldis:r=m/(1-t)4.00%4.44%5.00%5.71%Inanequally-weightedindexfund,eachstockisgivenequalweightregardlessofitsmarketcapitalization.Smallercapstockswillhavethesameweightaslargercapstocks.Thechallengesareasfollows:?Givenequalweightsplacedtosmall

43、ercapandlargercap,equalweightedindices(EWI)willtendtobemorevolatilethantheirmarket-capitalizationcounterparts;?ItfollowsthatEWIsarenotgoodreflectorsofthebroadmarketwhichtheyrepresent;EWIsunderplaytheeconomicimportaneeoflargercompanies;?Turnoverrateswilltendtobehigher,asanEWImustberebalaneedbacktoits

44、originaltarget.Bydesign,manyofthetransactionswouldbeamongthesmaller,less-liquidstocks.a.Thehighercouponbond.Thecallwiththelowerexerciseprice.Theputonthelowerpricedstock.a.Youboughtthecontractwhenthefuturespricewas$3.835(seeFigure2.10).Thecontractclosesatapriceof$3.875,whichis$0.04morethantheoriginal

45、futuresprice.Thecontractmultiplieris5000.Therefore,thegainwillbe:$0.04X5000=$200.00b.Openinterestis177,561contracts.a.Sincethestockpriceexceedstheexerciseprice,youexercisethecall.Thepayoffontheoptionwillbe:$21.75-$21=$0.75Thecostwasoriginally$0.64,sotheprofitis:$0.75-$0.64=$0.11Ifthecallhasanexercis

46、epriceof$22,youwouldnotexerciseforanystockpriceof$22orless.Thelossonthecallwouldbetheinitialcost:$0.30Sincethestockpriceislessthantheexerciseprice,youwillexercisetheput.Thepayoffontheoptionwillbe:$22-$21.75=$0.25Theoptionoriginallycost$1.63sotheprofitis:$0.25-$1.63=-$1.38Thereisalwaysapossibilitytha

47、ttheoptionwillbein-the-moneyatsometimepriortoexpiration.Investorswillpaysomethingforthispossibilityofapositivepayoff.20.ValueofcallatexpirationInitialCostProfita.04-4b.04-4c.04-4d.541e.1046ValueofputatexpirationInitialCostProfit1064b.56-1c.06-6d.06-6e.06-621.Aputoptionconveystherighttoselltheunderly

48、ingassetattheexerciseprice.Ashortpositioninafuturescontractcarriesanobligationtoselltheunderlyingassetatthefuturesprice.22.Acalloptionconveystherighttobuytheunderlyingassetattheexerciseprice.Alongpositioninafuturescontractcarriesanobligationtobuytheunderlyingassetatthefuturesprice.CFAPROBLEMS(d)Thee

49、quivalenttaxableyieldis:6.75%/(1-0.34)=10.23%(a)Writingacallentailsunlimitedpotentiallossesasthestockpricerises.a.Thetaxablebond.Withazerotaxbracket,theafter-taxyieldforthetaxablebondisthesameasthebefore-taxyield(5%),whichisgreaterthantheyieldonthemunicipalbond.Thetaxablebond.Theafter-taxyieldforthe

50、taxablebondis:0.05X(1-0.10)=4.5%c.Youareindifferent.Theafter-taxyieldforthetaxablebondis:0.05X(1-0.20)=4.0%Theafter-taxyieldisthesameasthatofthemunicipalbond.Themunicipalbondoffersthehigherafter-taxyieldforinvestorsintaxbracketsabove20%.Iftheafter-taxyieldsareequal,then:0.056=0.08x(1-t)Thisimpliesth

51、att=0.30=30%.、.、一、.、一、.、一、.、一、.、一、.、一、.、一、.、一、.、一、.、一、.、一、.、一.、.、一、.、一、.、一、.、一、.、一、.、一、.、一、.、一、.、一、.、一、.、一文文文文文：文文文文文文文.word文文文文文.文文文文文文、.、一、.、一、.、一、.、一、.、一、.、一、.、一、.、一、.、一、.、一、.、一、.、一.、.、一、.、一、.、一、.、一、.、一、.、一、.、一、.、一、.、一、.、一、.、一文文文文文：文文文文文文文.word文文文文文.文文文文文文、.、文文文文文:文文文文文文文.word文文文文文.文文文文文文.CHAPTER

52、3:HOWSECURITIESARETRADEDPROBLEMSETSAnswerstothisproblemwillvary.Thedealersetsthebidandaskedprice.Spreadsshouldbehigheroninactivelytradedstocksandloweronactivelytradedstocks.a.Inprinciple,potentiallossesareunbounded,growingdirectlywithincreasesinthepriceofIBM.b.Ifthestop-buyordercanbefilledat$128,the

53、maximumpossiblelosspershareis$8,or$800total.IfthepriceofIBMsharesgoesabove$128,thenthestop-buyorderwouldbeexecuted,limitingthelossesfromtheshortsale.(a)Amarketorderisanordertoexecutethetradeimmediatelyatthebestpossibleprice.Theemphasisinamarketorderisthespeedofexecution(thereductionofexecutionuncert

54、ainty).Thedisadvantageofamarketorderisthatthepriceitwillbeexecutedatisnotknownaheadoftime;itthushaspriceuncertainty.(a)TheadvantageofanElectronicCrossingNetwork(ECN)isthatitcanexecutelargeblockorderswithoutaffectingthepublicquote.Sincethissecurityisilliquid,largeblockordersarelesslikelytooccurandthu

55、sitwouldnotlikelytradethroughanECN.ElectronicLimit-OrderMarkets(ELOM)transactsecuritieswithhightradingvolume.ThisilliquidsecurityisunlikelytobetradedonanELOM.a.Thestockispurchasedfor:300 x$40=$12,000Theamountborrowedis$4,000.Therefore,theinvestorputupequity,ormargin,of$8,000.Ifthesharepricefallsto$3

56、0,thenthevalueofthestockfallsto$9,000.Bytheendoftheyear,theamountoftheloanowedtothebrokergrowsto:$4,000X1.08=$4,320Therefore,theremainingmarginintheinvestorsaccountis:$9,000-$4,320=$4,680Thepercentagemarginisnow:$4,680/$9,000=0.52=52%Therefore,theinvestorwillnotreceiveamargincall.Therateofreturnonth

57、einvestmentovertheyearis:(Endingequityintheaccount-Initialequity)/Initialequity=($4,680-$8,000)/$8,000=-0.415=-41.5%a.Theinitialmarginwas:0.50X1,000X$40=$20,000AsaresultoftheincreaseinthestockpriceOldEconomyTradersloses:$10X1,000=$10,000Therefore,margindecreasesby$10,000.Moreover,OldEconomyTradersmu

58、stpaythedividendof$2persharetothelenderoftheshares,sothatthemarginintheaccountdecreasesbyanadditional$2,000.Therefore,theremainingmarginis:$20,000-$10,000-$2,000=$8,000b.Thepercentagemarginis:$8,000/$50,000=0.16=16%Sotherewillbeamargincall.Theequityintheaccountdecreasedfrom$20,000to$8,000inoneyear,f

59、orarateofreturnof:(-$12,000/$20,000)=-0.60=-60%a.Thebuyorderwillbefilledatthebestlimit-sellorderprice:$50.25Thenextmarketbuyorderwillbefilledatthenext-bestlimit-sellorderprice:$51.50Youwouldwanttoincreaseyourinventory.Thereisconsiderablebuyingdemandatpricesjustbelow$50,indicatingthatdownsideriskisli

60、mited.Incontrast,limitsellordersaresparse,indicatingthatamoderatebuyordercouldresultinasubstantialpriceincrease.a.Youbuy200sharesofTelecomfor$10,000.Thesesharesincreaseinvalueby10%,or$1,000.Youpayinterestof:0.08x$5,000=$400Therateofreturnwillbe:$1,000-$400=0.1212%=$5,000b.Thevalueofthe200sharesis200