I%26SM%20Past%20exam%20questions - THE UNIVERSITY OF...

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1 THE UNIVERSITY OF EDINBURGH The Management School Investment and Securities Markets (Hons) past examination questions TOPIC 1 ASSET PRICING MODELS 1. “Arbitrage Pricing Theory is superior to the Capital Asset Pricing Model”. To what extent would you support this statement? 2. Are the reports of beta’s death premature? TOPIC 2 MARKET EFFICIENCY 1. Compare and contrast the “noise trader” and “efficient markets” approaches to pricing in financial markets. 2. “There are two aspects to an efficient market - informational efficiency and rational fundamental valuation.” Discuss. TOPIC 3 INTERNATIONAL DIVERSIFICATION 1. (i) Discuss briefly the advantages and disadvantages of a UK investing institution internationalising its investment portfolio. [60 marks] (ii) Have the benefits of international diversification been in decline? [40 marks] [Total - 100 marks] 2. You are the investment manager of a large UK self-administered final salary pension scheme, which is currently invested 60% in the UK equity market, 20% in developed overseas equity markets and 20% in UK gilts. One of the trustees has proposed that part of the UK equity portfolio be sold and the proceeds reinvested overseas in emerging equity markets. Draft a report to the trustees discussing this proposal. TOPIC 4 CLOSED-END FUNDS
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2 1. Most investment trusts stand at a discount to net asset value. Is this consistent with market efficiency? 2.
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This note was uploaded on 04/03/2008 for the course MSE ISM taught by Professor Andrewadams during the Fall '07 term at University of Edinburgh.

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I%26SM%20Past%20exam%20questions - THE UNIVERSITY OF...

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