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Course: FIN 367, Spring 2008
School: University of Texas
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-60.00 35.00 30.00 25.00 20.00 15.00 Series2 10.00 5.00 0.00 -40.00 -20.00 -5.00 0.00 20.00 40.00 60.00 -10.00 200.00 150.00 100.00 50.00 0.00 -60.00 -40.00 -20.00 0.00 20.00 40.00 60.00 -50.00 -100.00 Year Small Stocks 1926 -8.91 1927 32.23 1928 45.02 1929 -50.81 1930 -45.69 1931 -49.17 1932 10.95 1933 187.82 1934 25.13 1935 68.44 1936 84.47 1937 -52.71 1938 24.69 1939 -0.10 1940 -11.81 1941...

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-60.00 35.00 30.00 25.00 20.00 15.00 Series2 10.00 5.00 0.00 -40.00 -20.00 -5.00 0.00 20.00 40.00 60.00 -10.00 200.00 150.00 100.00 50.00 0.00 -60.00 -40.00 -20.00 0.00 20.00 40.00 60.00 -50.00 -100.00 Year Small Stocks 1926 -8.91 1927 32.23 1928 45.02 1929 -50.81 1930 -45.69 1931 -49.17 1932 10.95 1933 187.82 1934 25.13 1935 68.44 1936 84.47 1937 -52.71 1938 24.69 1939 -0.10 1940 -11.81 1941 -13.08 1942 51.01 1943 99.79 1944 60.53 1945 82.24 1946 -12.80 1947 -3.09 1948 -6.15 1949 21.56 1950 45.48 1951 9.41 1952 6.36 1953 -5.68 1954 65.13 1955 21.84 1956 3.82 1957 -15.03 1958 70.63 1959 17.82 1960 -5.16 1961 30.48 1962 -16.41 1963 12.20 1964 18.75 1965 37.67 1966 -8.08 1967 103.39 1968 50.61 1969 -32.27 1970 -16.54 1971 18.44 1972 -0.62 1973 -40.54 1974 -29.74 1975 69.54 1976 54.81 1977 22.02 1978 22.29 1979 43.99 1980 35.34 1981 7.79 1982 27.44 1983 34.49 1984 -14.02 1985 28.21 1986 3.40 1987 -13.95 1988 21.72 1989 8.37 1990 -27.08 1991 50.24 1992 27.84 1993 20.30 1994 -3.34 1995 33.21 1996 16.50 1997 22.40 1998 -2.50 1999 21.26 Table 6.2 : Rates of Return 1926-2001 Long-Term T- IntermediateLarge Stock Bonds Term T12.21 4.54 4.96 35.99 8.11 3.34 39.29 -0.93 0.96 -7.66 4.41 5.89 -25.90 6.22 5.51 -45.56 -5.31 -5.81 -9.14 11.89 8.44 54.56 1.03 0.35 -2.32 10.15 9.00 45.67 4.98 7.01 33.55 6.52 3.77 -36.03 0.43 1.56 29.42 5.25 5.64 -1.06 5.90 4.52 -9.65 6.54 2.03 -11.20 0.99 -0.59 20.80 5.39 1.81 26.54 4.87 2.78 20.96 3.59 1.98 36.11 6.84 3.60 -9.26 0.15 0.69 4.88 -1.19 0.32 5.29 3.07 2.21 18.24 6.03 2.22 32.68 -0.96 0.25 23.47 -1.95 0.36 18.91 1.93 -1.74 1.63 3.83 3.63 52.55 4.88 1.73 31.44 -1.34 -0.52 6.45 -5.12 -0.90 -11.14 9.46 7.84 43.78 -3.71 -1.29 12.95 -3.55 -1.26 0.19 13.78 11.98 27.63 0.19 2.23 -8.79 6.81 7.38 22.63 -0.49 1.79 16.67 4.51 4.45 12.50 -0.27 1.27 -10.25 3.70 5.14 24.11 -7.41 0.16 11.00 -1.20 2.48 -8.33 -6.52 -2.10 4.10 12.69 13.93 14.17 17.47 8.71 19.14 5.55 3.80 -14.75 1.40 2.90 -26.40 5.53 6.03 37.26 8.50 6.79 23.98 11.07 14.20 -7.26 0.90 1.12 6.50 -4.16 0.32 18.77 9.02 4.29 32.48 13.17 0.83 -4.98 3.61 6.09 22.09 6.52 33.39 22.37 -0.53 5.44 6.46 15.29 14.46 32.00 32.68 23.65 18.40 23.96 17.22 5.34 -2.65 1.68 16.86 8.40 6.63 31.34 19.49 14.82 -3.20 7.13 9.05 30.66 18.39 16.67 7.71 7.79 7.25 9.87 15.48 12.02 1.29 -7.18 -4.42 37.71 31.67 18.07 23.07 -0.81 3.99 33.17 15.08 7.69 28.53 13.02 8.62 21.04 -8.74 0.41 T-Bills 3.19 3.12 3.21 4.74 2.35 0.96 1.16 0.07 0.60 -1.59 -0.95 0.35 0.09 0.02 0.00 0.06 0.26 0.35 -0.07 0.33 0.37 0.50 0.81 1.10 1.20 1.49 1.66 1.82 0.86 1.57 2.46 3.14 1.54 2.95 2.66 2.13 2.72 3.12 3.54 3.94 4.77 4.24 5.24 6.59 6.50 4.34 3.81 6.91 7.93 5.80 5.06 5.10 7.15 10.45 11.57 14.95 10.71 8.85 10.02 7.83 6.18 5.50 6.44 8.32 7.86 5.65 3.54 2.97 3.91 5.58 5.50 5.32 5.11 4.80 Inflation -1.12 -2.26 -1.16 0.58 -6.40 -9.32 -10.27 0.76 1.52 2.99 1.45 2.86 -2.78 0.00 0.71 9.93 9.03 2.96 2.30 2.25 18.13 8.84 2.99 -2.07 5.93 6.00 0.75 0.75 -0.74 0.37 2.99 2.90 1.76 1.73 1.36 0.67 1.33 1.64 0.97 1.92 3.46 3.04 4.72 6.20 5.57 3.27 3.41 8.71 12.34 6.94 4.86 6.70 9.02 13.29 12.52 8.92 3.83 3.79 3.95 3.80 1.10 4.43 4.42 4.65 6.11 3.06 2.90 2.75 2.67 2.54 3.32 1.70 1.61 2.68
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University of Texas - FIN - 367
35.0030.0025.0020.0015.00Series210.005.000.00 -60.00 -40.00 -20.00 -5.00 0.00 20.00 40.00 60.00-10.00200.00150.00100.0050.000.00 -60.00 -40.00 -20.00 0.00 20.00 40.00 60.00-50.00-100.00Year Small Stocks 1926 -8.91 192
University of Texas - FIN - 367
Chapter 15 Options ValuationOption Values Intrinsic value - profit that could be made if the option was immediately exercised Call: stock price - exercise price Put: exercise price - stock price Time value - the difference between the option p
University of Texas - FIN - 367
Finance 367 Professor Bing Han Spring 2008 Data Analysis #2The data you need to do this problem set is contained in an Excel file named DataPS1.xls which contains the series of historical holding period returns in the text in Table 5.3. (for your c
University of Texas - FIN - 367
Chapter 7 Capital Asset Pricing Theory (CAPM)Capital Asset Pricing Model (CAPM) Equilibrium model that underlies all modern financial theory Derived using principles of diversification with simplified assumptions Markowitz, Sharpe, Lintner and M
University of Texas - FIN - 367
Brief Introduction Options MarketsOption Terminology Buy - Long Sell - Short Call: the right to buy Put: the right to sell Key Elements Exercise or Strike Price Premium or Price Maturity or Expiration.Market and Exercise Price Relationsh
University of Texas - FIN - 367
Suggested Solutions to Chap 10 Exercises Fin 367 Spring 2008 Professor Bing HanChapter 10:1.The percentage bond price change is: Durationy 1 y7.1940.0050 1.100.0327 or a 3.27% decline2.Computation of duration: a. YTM = 6% (1) (2) Ti
University of Texas - FIN - 367
Suggested Solutions to Chap 9 Exercises Fin 367 Spring 2008 Professor Bing HanChapter 9: 4. The bond price will be lower. As time passes, the bond price, which is now above par value, will approach par. If the yield curve is upward sloping, you cann
University of Texas - FIN - 367
Suggested Solutions to Chap 8 Exercises Fin 367 Spring 2008 Professor Bing HanChapter 8: 4. c. This is a classic filter rule, which would appear to contradict the weak form of the efficient market hypothesis. The P/E ratio is public information so t
University of Texas - FIN - 367
Chapter 8 Selected Problems: From textbooks1, P269 #4 2, P270 #7 3, P270 #9 4, P271 #17Additional multiple choice questions:1. The weak form EMH states that _ must be reflected in the stock price. A) all market trading data B) all publicly avail
University of Texas - FIN - 367
Chapter 7 Selected Problems: From textbooks1, P234 #1 2, P234 #7 3, P235 #10 4, P236 #19Additional multiple choice questions: 1. According to the capital asset pricing model, a well-diversified portfolio's rate of return is a function of _. A) mar
University of Texas - FIN - 367
Suggested Solutions to Selected Problems for Chap 6 Fin 367 Spring 2008 Professor Bing HanChapter 6:3. a. The mean return should be equal to the value computed in the spreadsheet. The fund's return is 3% lower in a recession, but 3% higher in a boo
University of Texas - FIN - 367
Suggested Solutions to Selected Problems Chap 5 Fin 367 Spring 2008 Professor Bing HanChapter 5:4.E(r) = [0.3244%] + [0.414%] + [0.3(16%)] = 14% (16 14)2] = 540= [0.3(44 14)2] +[0 .4(14 14)2] + [0.3= 23.24% The mean is unchange
University of Texas - FIN - 367
Chapter 5 Selected Problems: From textbooks1, P154 #4 2, P154 #5 3, P157 #19Additional multiple choice questions:1. The holding period return on a stock is equal to _. A) the capital gain yield over the period plus the inflation rate B) the capi
University of Texas - FIN - 367
Finance 367 Spring 2008 Exam 3 (Practice)Your Name_, Last_ FirstYour Student ID number _Notes: 1, The total is 25 points. 2, Problems 1 through 16 are multiple choices. Each correct answer gives you 1 point. 2, For Short Essay and Calculati
University of Texas - FIN - 367
Finance 367 Spring 2008 Exam 2 (Practice) SolutionMultiple Choices:1. Historical records regarding returns on stocks, Treasury bonds, and Treasury bills between 1926 and 1998 show that _A_. A) stocks offered investors greater rates of return than
University of Texas - FIN - 367
Finance 367 Spring 2008 Exam 2 (Practice)Multiple Choices:1. Historical records regarding returns on stocks, Treasury bonds, and Treasury bills between 1926 and 1998 show that _. A) stocks offered investors greater rates of return than bonds and b
University of Texas - FIN - 367
Answers are on the next page 1. An American put option gives its holder the right to _. A) buy the underlying asset at the exercise price on or before the expiration date B) buy the underlying asset at the exercise price only at the expiration date C
University of Texas - FIN - 367
Chapter 3 and Chapter 4 Problems: From textbooks 1, P92 #7 2, P93 #12 3, P123 #8 4, P123 #10Additional multiple choice questions:1._ is called the Big Board. A) The American Stock Exchange B) The New York Stock Exchange C) The Pacific Stock Excha
University of Texas - FIN - 367
Finance 367 Professor Bing Han Spring 2008 Data Analysis #1The data you need to do this problem set is contained in an Excel file named DataPS1.xls which contains the series of historical holding period returns in the text in Table 5.3 (for your co
University of Texas - FIN - 367
Finance 367 Spring 2008 Exam 1 (practice)Multiple Choices:1. Which of the following is not a money market instrument? _ A) treasury bill B) commercial paper C) preferred stock D) banker's acceptance2._ is not a characteristic of a money market
University of Texas - FIN - 367
Suggested Solutions to Exercises #1 Chap 1-2 Fin 367 Spring 2008 Professor Bing HanSolution to #1 on P23 a. Cash is a financial asset because it is the liability of the federalgovernment. b. No. The cash does not directly add to the productive ca
University of Texas - FIN - 367
35.0030.0025.0020.0015.00Series210.005.000.00 -60.00 -40.00 -20.00 -5.00 0.00 20.00 40.00 60.00-10.00200.00150.00100.0050.000.00 -60.00 -40.00 -20.00 0.00 20.00 40.00 60.00-50.00-100.00Finance 367 Spring 2008: Answer
University of Texas - FIN - 367
Margin trading and short selling ExamplesStock Margin Trading Maximum margin is currently 50%; you can borrow up to 50% of the stock value Set by the Fed Maintenance margin: minimum amount equity in trading can be before additional funds must be
University of Texas - FIN - 367
Chapter 10 Selected Problems: From textbooks1, P346 #1 2, P346 #2 3, P346 #7 4, P347 #11Additional multiple choice questions:1. All other things equal, which of the following has the longest duration? A) a 30 year bond with a 10% coupon B) a 20 y
University of Texas - FIN - 367
Suggested Solutions to Selected Chap 7 problems Fin 367 Spring 2008 Professor Bing HanChapter 7: 1. 7. a, c and d. a. The beta is the sensitivity of the stock's return to the market return. Call A the aggressive stock and D the defensive stock. Then
University of Texas - FIN - 367
Chapter 6 Selected Problems: From textbooks1, P191 #3 2, P193 #6 3, P193 #7 4, P193 #9Additional multiple choice questions:1. Risk that can be eliminated through diversification is called _ risk. A) unique B) firm-specific C) diversifiable D) all
University of Texas - FIN - 367
Finance 367 Spring 2008 Practice Exam 1 (Solution)Multiple Choices:1. Which of the following is not a money market instrument? _C_ A) treasury bill B) commercial paper C) preferred stock D) banker's acceptance2._D_ is not a characteristic of a
University of Texas - FIN - 367
Finance 367 Spring 2008 Exam 3 (Practice)Your Name_, Last_ FirstYour Student ID number _Notes: 1, The total is 25 points. 2, Problems 1 through 16 are multiple choices. Each correct answer gives you 1 point. 2, For Short Essay and Calculati
University of Texas - FIN - 367
Suggested Solutions to Selected Problems Chap 3-4 Fin 367 Spring 2008 Professor Bing HanSolution to Chap3 problems 7. a. You buy 200 shares of Telecom for $10,000 (you invest $5000, and borrow another $5000). These shares increase in value by 10%, o
University of Texas - FIN - 367
Chapter 1 and Chapter 2 Problems: From textbooks 1, P23 #1 2, P23 #4 3, P55 #1 4, P55 #6Additional multiple choice questions:1. Asset allocation refers to the _. A) allocation of the investment portfolio across broad asset classes B) analysis of
University of Texas - FIN - 374C
Chapter 11 Corporate Value and Value-Based ManagementANSWERS TO BEGINNING-OF-CHAPTER QUESTIONS11-1Operating assets include cash required for liquidity purposes, inventories, receivables, and fixed assets necessary to operate a business, while no
University of Texas - FIN - 374C
Chapter 25 Bankruptcy, Reorganization, and LiquidationANSWERS TO BEGINNING-OF-CHAPTER QUESTIONS25-1 Bankruptcies occur in firms of all sizes. Small firms, with fewer creditors, are often able to work out informal settlements and thus avoid the time
University of Texas - FIN - 374C
Chapter 16 Capital Structure Decisions: Part IIANSWERS TO BEGINNING-OF-CHAPTER QUESTIONS16-1Arbitrage is generally thought of as the process of buying an item in one market and simultaneously selling it at a higher price in another market and th
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CHAPTER 13Capital Budgeting: Estimating Cash Flows and Analyzing Risk1Estimating cash flows:Relevant cash flows Working capital treatment InflationRisk Analysis: Sensitivity Analysis, Scenario Analysis, and Simulation Analysis2Pro
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CHAPTER 18Initial Public Offerings, Investment Banking, and Financial Restructuring1Topics in Chapter Initial Public Offerings Investment Banking and Regulation The Maturity Structure of Debt Refunding Operations The Risk Structure of Deb
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M&A Tax Implications Example Given: $50M Purchase Price $30M BV of target's assets 40M appraised value of target's assets 35% Corp. tax rate Target has no debt What is implications to: 1) target shareholders 2) post-merger asset values 3) taxes to po
University of Texas - CH - 304k
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