博迪《投资学》(第9版)

博迪_投资学第九版_英文答案

CHAPTER 1: THE INVESTMENT ENVIRONMENT

PROBLEM SETS

1. Ultimately, it is true that real assets determine the material well being of an

economy. Nevertheless, individuals can benefit when financial engineering creates new products that allow them to manage their portfolios of financial assets more

efficiently. Because bundling and unbundling creates financial products with new properties and sensitivities to various sources of risk, it allows investors to hedge

particular sources of risk more efficiently.

2. Securit

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第3章 证券是如何交易的

一、习题

1．分别致电一个综合服务经纪人和一个折扣经纪人，询问执行下列交易的交易成本： a ．现在买入100股IBM 的股票，并在6个月后卖出

b ．买入100份6个月期的IBM 股票的平价看涨期权，并在6个月后卖出

答：不同的情况下该问题会有不同的答案。

2．谁设定场外交易市场中的买方报价和卖方报价？你认为是交易活跃的股票的买卖价差大还是交易不活跃的股票的买卖价差大？

答：交易商设定买方报价和卖方报价。交易不活跃的股票的买卖价差大，交易活跃的股票买卖的买卖价差小。

3．假设你卖空100股IBM 的股票，其当前价格为每股120美元。

a ．你可能遭受的最大损失是多少？

b ．假如卖空时你同时设定了128美元的止购指令，你的最大损失又将是多少？

答：a ．损失（收益）=股票卖空时价格—股票现行价格。由于在理论上股票价格存在无限上涨的空间，因此，在理论上投资者的损失是无限的。

b ．如果设定了128美元的止购指令，则最大可能损失为每股8美元，总计800美元，如果IBM 的股价上升至128美元以上，则将执行止购指令，限制卖空带来的损失。

4．市场委托指令具有 。

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a ．价格的不确定性，执行的确定性

b ．价格和执行的均不

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第17章 宏观经济分析与行业分析

一、习题

1．经济急剧衰退时，应该采取什么样的货币政策和财政政策？

答：降低利率的扩张性（放松）货币政策将有助于刺激投资和对耐用消费品的支出。扩张性财政政策（即降低税收，增加政府支出和福利转移支付）将直接刺激总需求。

2．如果你比其他投资者更相信美元会大幅贬值，那么你对美国汽车产业有何投资建议？ 答：美元的急剧贬值会使进口汽车变得更昂贵，美国的汽车对外国的消费者则变得更便宜了。这将使得美国的汽车行业获益。

3．选择一个行业，列举决定其未来3年业绩的因素并预期其未来业绩。

答：答案不惟一。

4．证券评估“自下而上”和“自上而下”方法的差异是什么？“自上而下”方法的优势在哪里？

答：证券评估“自上而下”的方法开始于全球和国内的经济分析。在给定宏观经济的预期表现的情况下，遵循“自上而下”方法的分析家将会试图寻找一个可能表现良好的行业或部门。最后，分析会集中于行业或部门内可能表现良好的特定企业。“自下向上”的方法通常强调个别公司股票的基本面分析，它主要是基于这样一种信念，即无论行业或宏观经济的前景好坏，被低估的股票都将表现良好。

“自上而下”方法的主要优势是它提供了一种在每一水平下，将经济和金融变量的影响

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纳入到

投资学精要(博迪)(第五版)习题答案英文版chapter7

Essentials of Investments (BKM 5th Ed.)

Answers to Selected Problems – Lecture 4

Note: The solutions to Example 6.4 and the concept checks are provided in the text.

23. In the regression of the excess return of Stock ABC on the market, the square of the

correlation coefficient is 0.296, which indicates that 29.6% of the variance of the excesss return of ABC is explained by the market (systematic risk).

3. E(Rp) = Rf + βp[E(RM) - Rf]

0.20 = 0.05 + β(0.15 - 0.05)

β = 0.15/0.10 = 1.5

6. a) False: β=0 impl

投资学精要(博迪)(第五版)习题答案英文版chapter7

Essentials of Investments (BKM 5th Ed.)

Answers to Selected Problems – Lecture 4

Note: The solutions to Example 6.4 and the concept checks are provided in the text.

23. In the regression of the excess return of Stock ABC on the market, the square of the

correlation coefficient is 0.296, which indicates that 29.6% of the variance of the excesss return of ABC is explained by the market (systematic risk).

3. E(Rp) = Rf + βp[E(RM) - Rf]

0.20 = 0.05 + β(0.15 - 0.05)

β = 0.15/0.10 = 1.5

6. a) False: β=0 impl

可编辑

CHAPTER 10: ARBITRAGE PRICING THEORY

AND MULTIFACTOR MODELS OF RISK AND RETURN

PROBLEM SETS

1. The revised estimate of the expected rate of return on the stock would

be the old estimate plus the sum of the products of the unexpected

change in each factor times the respective sensitivity coefficient: revised estimate = 12% + [(1 2%) + (0.5 3%)] = 15.5%

2. The APT factors must correlate with major sources of uncertainty, i.e.,

sources of uncertainty that are of concern to many investors.

Researchers should investigate factors th

可编辑

CHAPTER 10: ARBITRAGE PRICING THEORY

AND MULTIFACTOR MODELS OF RISK AND RETURN

PROBLEM SETS

1. The revised estimate of the expected rate of return on the stock would

be the old estimate plus the sum of the products of the unexpected

change in each factor times the respective sensitivity coefficient: revised estimate = 12% + [(1 2%) + (0.5 3%)] = 15.5%

2. The APT factors must correlate with major sources of uncertainty, i.e.,

sources of uncertainty that are of concern to many investors.

Researchers should investigate factors th

CHAPTER 6: CAPITAL ALLOCATION TO RISKY ASSETS PROBLEM SETS

1. (e) The first two answer choices are incorrect because a highly

risk averse investor would avoid portfolios with higher risk

premiums and higher standard deviations. In addition, higher or

lower Sharpe ratios are not an indication of an investor's

tolerance for risk. The Sharpe ratio is simply a tool to

absolutely measure the return premium earned per unit of risk.

2. (b) A higher borrowing rate is a consequence of the risk of the

borr owers’ default. In perfect m

课程类别：专业基础课 开课学期：第四、五学期 指定教材： 吴晓求，《证券投资学》，中国人民大学出版社，2009年 参考教材：

兹维。波迪，《投资学》中国人民大学出版社 21世纪证券系列教材：吴晓求主编：《证券市场概论》、《证券投资分析》、《公司发行与承销》、《公司并购原理》、《证券投资基金》等

教学目的：

证券投资学作为一门专业基础课，是引领人们进入金融学术殿堂的概论性课程。通过学习本课程使学生掌握关于证券投资的基础知识、有价证券价格决定及证券组合基础理论；掌握证券投资的基本分析的理论和方法，了解证券投资技术分析的基本原理；正确理解证券市场的基本功能，了解证券监管现的基本理论。

导 论

开放的经济体系与现代金融体系；

经济体系的经济特征：经济全球化、市场一体化和资产证券化；实质经济与虚拟经济；现代金融的作用；传统金融与现代金融的区别；现代金融体系与资本市场；中国资本市场的可持续性发展；中国金融崛起的两个外部条件；发展资本市场的重要性。

第一章 证券投资工具 第一节 投资概述

1 ．投资的定义和目的

投资是货币转化为资本的过程。

投资的目的有

Chapter 9 The Capital Asset Pricing Model

Multiple Choice Questions

1. In the context of the Capital Asset Pricing Model (CAPM) the relevant measure of risk

is A) unique risk. B) beta. C) standard deviation of returns. D) variance of returns. E) none of the above.

Answer: B Difficulty: Easy Rationale: Once, a portfolio is diversified, the only risk remaining is systematic risk,

which is measured by beta.

2. According to the Capital Asset Pricing Model (CAPM) a well diversified portfolio's rate

of re