投資學作業ch11

投資學作業ch11

Info iconThis preview shows pages 1–5. Sign up to view the full content.

View Full Document Right Arrow Icon
Chapter 11 Managing Fixed-Income Investments 1. A forecast of bond returns based largely on a prediction of the yield curve at the end of the investment horizon is called a __________. A. contingent immunization B. dedication strategy C. duration analysis D. horizon analysis h 2. Interest rate risk _________ at a _________ rate as maturity increases. A. increases; increasing B. increases; decreasing C. decreases; increasing D. decreases; decreasing h 3. An increase in a bond's yield to maturity results in a price decline which is ________ the price increase resulting from a decrease in yield of equal magnitude. A. greater than B. equivalent to C. smaller than D. The answer is indeterminate h 4. Interest rate risk increases as a bond's ___________. A. coupon rate increases B. coupon rate decreases C. maturity decreases D. default risk increases
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
5. ______________ is an important characteristic of the relationship between bond prices and yields. A. convexity B. concavity C. complexity D. linearity h 6. Bond prices are _______ sensitive to changes in yield when the bond is selling at a _______ initial yield to maturity. A. more; lower B. more; higher C. less; lower D. None of the above answers are correct h 7. The volume of interest rate swaps increased from almost zero in 1980 to approximately __________ in 1995. A. $100,000,000,000 B. $700,000,000,000 C. $3,000,000,000,000 D. $5,000,000,000,000 h 8. The pioneer of the duration concept was __________. A. Eugene Fama B. John Herzog C. Frederick Macaulay D. Harry Markowitz
Background image of page 2
9. A portfolio manager sells treasury bonds and buys corporate bonds because the spread between corporate and treasury bond yields is higher than its historical average. This is an example of __________ swap. A. a pure yield pick up B. a rate anticipation C. a substitution D. an intermarket spread h 10. The duration of a 5-year zero coupon bond is __________. A. 4.5 B. 5.0 C. 5.5 D. none of the above. h 11. A portfolio manager believes interest rates will drop and decides to sell short duration bonds and buy long duration bonds. This is an example of __________ swap. A. a pure yield pick up B. a rate anticipation C. a substitution D. an inter-market spread h 12. Target date immunization would primarily be of interest to __________. A. banks B. mutual funds C. pension funds
Background image of page 3

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
D. none of the above h 13. Duration is a concept which is useful in assessing a bond's __________. A. credit risk B. liquidity risk C. interest rate risk D. None of the above h 14. According to the duration relationship, the percent change in bond price resulting from a given change in interest rates, can be approximated as _______________ A. negative duration times percent change in yield to maturity B. duration times percent change in yield to maturity C. duration times 1 plus change in price D. None of the above h 15. Duration always __________ as time to maturity increases for _______________.
Background image of page 4
Image of page 5
This is the end of the preview. Sign up to access the rest of the document.

This note was uploaded on 08/06/2009 for the course BUSINESS 4444 taught by Professor Dr.dale during the Spring '09 term at University of Texas at Dallas, Richardson.

Page1 / 14

投資學作業ch11

This preview shows document pages 1 - 5. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online