Hong Kong University of Science and Technology
October 16, 2013
Investment Analysis (FINA3104)
Mid-Term Exam
Note: all the data, numbers are annualized
Question 1 (15points) Buying on Margin
You want to buy 1000 shares of GE trading at 20$ per share. As t
Hong Kong University of Science and Technology
December 10, 2013
Investment Analysis (FINA3104)
Final-Term Exam (combined)
Note: all the data, numbers are annualized
Question 1 (15 points) CAPM
Stocks XYZ has an expected return of 12% and risk of Stock AB
Fixed Income Sample Exam Questions
1. If zero rates (also known as discount rates) are positive for any maturity, the
discount function dt, which gives the present value of a dollar receivable at time t
in the future,
A. Must be between 0 and 1
B. Must be
Hong Kong University of Science and Technology
December 10, 2013
Investment Analysis (FINA3104)
Final-Term Exam
Note: all the data, numbers are annualized
Question 1 (5points) Efficient Market Hypothesis
Matthews Corporation has a beta of 1.2. The annuali
Midterm Review
FINA 3104: Investment Analysis and
Portfolio Management
The Hong Kong University of
Science & Technology
Fei Ding
Midterm Announcements
Midterm Exam: Friday Mar. 27 in class
You MUST come to your registered section to take
the exam.
Materia
Hong Kong University of Science and Technology
FINA 3104: Investment Analysis and Portfolio Management
Fall 2011
Instructor: Prof. Darwin Choi
Midterm Examination
Date: October 24, 2011
Registered Lecture Section (circle one 1 point for correct answer)
L2
Hong Kong University of Science and Technology
FINA 3104: Investment Analysis and Portfolio Management
Fall 2014
Instructor: Prof. Darwin Choi
Midterm Examination
Date: October 23, 2014
Registered Lecture Section (circle one 1 point for correct answer)
L3
Factor and Index Models
FINA 3104: Investment Analysis and
Portfolio Management
The Hong Kong University of
Science & Technology
Fei Ding
Recap from Last Lecture
CAPM In Brief Implications & Uses
CAPM Assumptions
Market Portfolio as General Equilibrium
Ma
Exam Review (I)
FINA3104 Investment Analysis and
Portfolio Management
Francis Lau
Department of Finance
All rights reserved.
Page-2
Question 1
If you believe in the
form of the
Efficient Market Hypothesis (EMH), you believe
that stock prices reflect all
Hong Kong University of Science and Technology
FINA 3104: Investment Analysis and Portfolio Management
Fall 2013
Instructor: Prof. Darwin Choi
Midterm Examination
Date: October 24, 2013
Registered Lecture Section (circle one 1 point for correct answer)
L3
FINA3104
Investment analysis and portfolio
management
Homework 1
Wong Tsz Hin Janson 20041608
Problem 1:
(A)i)
ii)
iii)
iv)
(C) The calculation in part(b) ignores dividend yield which is one important source
of returns.
Problem2
(A) Unbiased estimate of t
Hong Kong University of Science and Technology
FINA 3104: Investment Analysis and Portfolio Management
Fall 2012
Instructor: Prof. Darwin Choi
Homework Assignment 1 Empirical Properties of Returns & Returns Utility
Suggested Solution
Problem 1 Extracting
Hong Kong University of Science and Technology
October 24, 2011
Investment Analysis (FINA3104)
Mid-Term Exam
Note: all the data, numbers are annualized
Question 1 (15 points) Buying on Margin
You want to buy 1000
THE HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY
FINA 3104: Investment Analysis and Portfolio Management
Spring 2013
Homework Assignment 4 Fixed-Income Securities and Futures Market
Due by May 8, 2013, Wednesday, 12:00 noon
Each group please submits one
Hong Kong University of Science and Technology
FINA 3104: Investment Analysis and Portfolio Management
Fall 2013
Instructor: Prof. Darwin Choi
Midterm Examination
Date: October 24, 2013
Registered Lecture Section (circle one 1 point for correct answer)
L3
Hong Kong University of Science and Technology
FINA 3104: Investment Analysis and Portfolio Management
Fall 2012
Instructor: Prof. Darwin Choi
Midterm Examination
Date: October 30, 2012
Registered Lecture Section (circle one 1 point for correct answer)
L3
FINA 3104 Practice Problems
Fall 2011
Portfolio Performance Evaluation (Suggested Solution)
1. True or False
(a) Suppose two portfolios have the same average return, the same standard deviation of
returns, but portfolio A has a higher beta than portfolio
FINA 3104 Practice Problems
Fall 2011
Fixed-Income Securities (Suggested Solution)
1. True or False
(a) A coupon bond that pays interest semi-annually is selling at par value and has a coupon
rate of 5.6%. Without knowing the maturity, the discount rate o
HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY
FINA 3104: Investment Analysis and Portfolio Management
Spring 2013
Homework Assignment 1 Empirical Properties of Returns and Returns Utility
Due by 27 February 2013, Wednesday, 12:00 noon
Each group please s
Hong Kong University of Science and Technology
FINA 3104: Investment Analysis and Portfolio Management
Fall 2012
Instructor: Prof. Darwin Choi
Homework Assignment 3 Evaluating Fund Managers
Suggested Solution
Problem 1 Calculating Fund Managers Activeness
Hong Kong University of Science and Technology
FINA 3104: Investment Analysis and Portfolio Management
Fall 2012
Instructor: Prof. Darwin Choi
Homework Assignment 2 Testing the CAPM/ Single-Index Model
Suggested Solution
Problem 1 Betas
a) (You do not hav
Lecture 13, Supplementary File
Review, Linear Regression
Simple linear regression:
model: y = 0 + 1 x + , N(0, 2 );
observations: (x1 , y1 ), , (xn , yn )
Least squares point estimates of 0 (intercept), 1
(slope)
SXY
, b0 = y b1 x ,
SXX
P
P
where SXY =
FINA 3104:
Investment Analysis and Portfolio Management
Lecture 21
Options Valuation
Yingying LI
May 4, 2016
Outline of Todays Lecture
Put-Call Parity
Determinants of Call Prices
2
Payoffs
Consider two strategies
1. Buy Call and Lend PV(X) vs. 2. Buy Put
Lecture 19, Supplementary File (Optional), Covexity
Convexity
Lecture 19,
Supplementary File
(Optional),
Covexity
Because the price-yield relationship is convex, we need
the convexity adjustment.
Prices based on duration only will always underestimate
t
FINA 3104:
Investment Analysis and Portfolio Management
Lecture 9
The Capital Asset Pricing Model (CAPM)
Yingying LI
March 14, 2016
Course Intended Learning Outcomes
Once you have completed this course, you should be able to:
Allocate money across diffe
FINA 3104:
Investment Analysis and Portfolio Management
Lecture 13
Portfolio Performance Evaluation
Yingying LI
March 30, 2016
Outline of Todays Lecture
Performance Evaluation Overview
Six Performance Measures to Adjust for Risk
Application
Luck or Skill
FINA 3104:
Investment Analysis and Portfolio Management
Lecture 20
Options Markets
Yingying LI
April 27, 2016
Outline of Todays Lecture
Option Basics
Option Payoffs
Options as Building Blocks
2
Options Contracts (Options)
Call option: Gives the holder t
FINA 3104:
Investment Analysis and Portfolio Management
Lecture 16
The Efficient Market Hypothesis
and Behavioral Finance (continued)
Yingying LI
April 13, 2016
Outline of Todays Lecture
EMH, Implications
EMH vs Behavioral Finance
More Examples
Discussio