硕士生《投资学》作业

2017投资学作业

第一次投资学作业

一、单项选择题

请将前三章Multiple Choice答案填入下表：

（请注意：第一、二章Multiple Choice题目来自于各章思考题，第三章题目如下所示） 1 2 3 4 5 6 7 8 9 10 Chapter1 D C B C B C A C B A Chapter2 D A B A C C D A B Chapter3 B 第三章选择题（共10题，其中第9、10题来自于教材第三章课后CFA Problems）： 1.Underwriting is one of the services provided by ____. A) the SEC B) investment bankers C) publicly traded companies D) FDIC

2. Under firm commitment underwriting the ______ assumes the full risk that the

shares cannot be sold to the public at the stipulated offering price. A) red herring B) issuing company C) initial stockholder D) underwriter

3. Explicit costs of an IPO tend to be around ______ of the funds raised. A) 1% B) 7% C) 15% D) 25%

4. Barnegat Light sold 200,000 shares in an initial public offering. The

underwriter's explicit fees were $70,000. The offering price for the shares was $25, but immediately upon issue, the share price jumped to $41. What is the best estimate of the total cost to Barnegat Light of the equity issue? A) $ 70,000 B) $3,200,000 C) $3,270,000 D) $8,200,000

5. A red herring becomes a prospectus when _____. A) the preliminary registration statement is approved by the SEC B) the IPO is seasoned

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2017投资学作业

C) the offering is seasoned D) none of the above

6.The computer-linked price quotation system for the OTC is called __________. A) CRSP B) DAX C) NASDAQ D) the Big Board

7. Purchases of new issues of stock take place __________. A) at the desk of the Fed B) in the primary market C) in the secondary market D) none of the above

8. Under firm commitment underwriting the ______ assumes the full risk that the

shares cannot be sold to the public at the stipulated offering price. A) red herring

B) issuing company C) initial stockholder D) underwriter

9. 教材第三章课后CFA Problems中的2。 10. 教材第三章课后CFA Problems中的3。

二、计算题（请用英文回答）

第二章课后problem set中的9、10。

9 The total before-tax income is $4. After the 70% exclusion for preferred stock dividends, the taxable income is: 0.30 × $4 = $1.20

Therefore, taxes are: 0.30 × $1.20 = $0.36 After-tax income is: $4.00 – $0.36 = $3.64

Rate of return is: $3.64/$40.00 = 9.10%

10 10. a. You could buy: $5,000/$67.32 = 74.27 shares

b. Your annual dividend income would be: 74.27 × $1.52 = $112.89 c. The price-to-earnings ratio is 11 and the price is $67.32. Therefore:

$67.32/Earnings per share = 11 ? Earnings per share = $6.12

d. General Dynamics closed today at $67.32, which was $0.47 higher than yesterday’s

price. Yesterday’s closing price was: $66.85

第三章课后problem set中的4、11、12。

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2017投资学作业

A market order is an order to execute the trade immediately at the best possible price. The

emphasis in a market order is the speed of execution (the reduction of execution uncertainty). The disadvantage of a market order is that the price it will be executed at is not known ahead of time; it thus has price uncertainty.

11. The total cost of the purchase is: $40 × 500 = $20,000

You borrow $5,000 from your broker, and invest $15,000 of your own funds.

Your margin account starts out with equity of $15,000.

a. (i) Equity increases to: ($44 × 500) – $5,000 = $17,000

Percentage gain = $2,000/$15,000 = 0.1333 = 13.33% (ii) With price unchanged, equity is unchanged.

Percentage gain = zero (iii) Equity falls to ($36 × 500) – $5,000 = $13,000

Percentage gain = (–$2,000/$15,000) = –0.1333 = –13.33%

The relationship between the percentage return and the percentage change in the price of

the stock is given by:

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a. The gain or loss on the short position is: (–500 ??ΔP) Invested funds = $15,000 Therefore: rate of return = (–500 ??ΔP)/15,000 The rate of return in each of the three scenarios is: (i)

rate of return = (–500 ??$4)/$15,000 = –0.1333 =

–13.33% (ii) rate of return = (–500 ??$0)/$15,000 = 0%

(iii) rate of return = [–500 ??(–$4)]/$15,000 = +0.1333 = +13.33%

b. Total assets in the margin account equal:

$20,000 (from the sale of the stock) + $15,000 (the initial margin) = $35,000 Liabilities are 500P. You will receive a margin call when:

$35,000 ??500P = 0.25 ??when P = $56 or higher

500P

c.

With a $1 dividend, the short position must now pay on the borrowed shares: ($1/share ??500 shares) = $500. Rate of return is now:

[(–500 ??ΔP) – 500]/15,000 (i)

rate of return = [(–500 ??$4) – $500]/$15,000 = –0.1667 =

–16.67% (ii) rate of return = [(–500 ??$0) – $500]/$15,000 = –0.0333 = –3.33%

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2017投资学作业

(iii) rate of return = [(–500) ??(–$4) – $500]/$15,000 = +0.1000 = +10.00%

Total assets are $35,000, and liabilities are (500P + 500). A margin call will be issued when:

35,000 ??500P ??500 = 0.25 ??when P = $55.20 or higher

500P

三、问答题（请用中文和英文双语回答）

美国浑水公司成功地卖空了很多“中国概念股”：

（1） 查找资料，请你给出 对“中国概念股”的概念界定和“中国概念股”标

准的英文对应词汇。请以表格的形式，列出在美国的全部“中国概念股”，包括已经在美国退市的公司。

（2） 浑水公司曾经卖空过哪些“中国概念股”，请以表格的形式列出。浑水公

司的操作策略和盈利模式。

（3） “尽职调查”和一般的证券“基本分析”有什么联系和区别？浑水公司的

“尽职调查”有什么独特的地方？

(1)中国概念股——The china-concept stocks

1、概念股是依靠某一种题材比如资产重组概念，三通概念等支撑价格。中国概念股就是外资因为看好中国经济成长而对所有在海外上市的中国股票的称呼。也有称中国概念股是“就是为了使人相信其谎言而编造的一切谎言”。

2、概念股是与业绩股相对而言的。业绩股需要有良好的业绩支撑。概念股则是依靠某一种题材比如资产重组概念，三通概念等支撑价格。

互联网上市公司-美股 股票名称 百度 网易 阿里巴巴 携程网 搜狐 奇虎360 新浪 前程无忧 唯品会 畅游 完美世界

涨跌额 3.99 1.24 0.3 0.35 0.88 1.34 -0.05 -0.3 -0.32 0.2 0.02 涨跌幅 1.92% 1.10% 0.37% 0.55% 1.41% 2.27% -0.15% -0.84% -1.11% 0.71% 0.11% 收盘价 211.86 113.92 82.2 63.55 62.88 60.38 35.92 35.22 28.58 28.3 18.53 4

2017投资学作业

优酷土豆 陌陌 当当网 搜房网

互联网上市公司-港股 -0.86 0.07 -0.2 -0.02 -5.13% 0.64% -2.22% -0.29% 15.9 10.99 8.81 6.98 股票名称 腾讯控股 太平洋网最新价 151.7 涨跌额 -1.4 涨跌幅 -0.91% 收盘价 151.7 4.04 0 0.00% 4.04 络 新意网集2.73 0.02 0.74% 2.73 团 联想集团 网龙 慧聪网 12.7 22.7 14.4 0.06 0 -0.12 0.48% 0.00% -0.83% 12.7 22.7 14.4 (2)

浑水公司曾经卖空过的中国概念股： 公司名称 展讯通信 东方纸业 绿诺公司 中国高速频道 多元水务 嘉汉林业 分众传媒 时间 美国东部时间2011年6月28 2010年 2010年9月 2011年2月3日 2011年4月4日 2011年6月 操作策略：从浑水公司的一系列操作来看，其对中概股的“狙击”大致分为两步：即对上市公司进行调研并发现问题；事先进行“裸卖空”并发布证据，在市场跟进股价大跌时买进股

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2017投资学作业

票平仓获利。

Operation strategy： From a series of operations of muddy water companies, the shares \can be divided into two steps: the listed company to conduct research and find out the problems in advance; \take profits.

获利模式：浑水公司的盈利模式并非一家独创，在美国等国外资本市场类似浑水公司这样的机构，数不胜数。这类公司通常的做法是寻找“问题公司”，卖出该公司股票，建立仓位，然后发布做空报告，在公司的股价下跌中获得盈利。而在整个过程中同样存在着一条脉络清晰的利益链，包括律师事务所、审计机构、会计事务所、研究机构和对冲基金等。

Profit model: Muddy waters of the company's profit model is not an original, in the United States and other foreign capital markets like muddy water companies such institutions, countless. The company's usual practice is to look for \then issue a short report, in the company's share price decline in profitability. In the whole process, there is a clear chain of interests, including law firms, audit institutions, accounting firms, research institutions and hedge funds.

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