Chapter 06 - Risk Aversion and Capital Allocation to Risky Assets
CHAPTER 6: RISK AVERSION AND CAPITAL ALLOCATION TO RISKY ASSETS
PROBLEM SETS 1. 2. (e) (b) A higher borrowing is a consequence of the risk of the borrowers default. In perfect markets with
Chapter 18
Long-Term Financing
Lecture Outline
Long-Term Financing Decision
Sources of Equity
Sources of Debt
Cost of Debt Financing
Measuring the Cost of Financing
Actual Effects of Exchange Rate Movements on Financing Costs
Assessing the Exchange Rate R
Chapter 8
Relationships Among Inflation,
Interest Rates, and Exchange Rates
Lecture Outline
Purchasing Power Parity (PPP)
Interpretations of PPP
Rationale Behind PPP Theory
Derivation of PPP
Using PPP to Estimate Exchange Rate Effects
Graphic Analysis of
Chapter 17
Multinational Cost of Capital and Capital Structure
Lecture Outline
Background on Cost of Capital
Comparing the Costs of Equity and Debt
Cost of Capital for MNCs
Cost of Capital Comparison Using the CAPM
Implications of the CAPM for an MNCs Ris
IFM -Madura
Multiple Choice
Identify the letter of the choice that best completes the statement or answers the question.
_
_
_
_
_
_
_
_
1. Which of the following theories identifies specialization as a reason for international business?
a. theory of comp
Chapter 11Managing Transaction Exposure
1. Assume zero transaction costs. If the 90-day forward rate of the euro is an accurate estimate of the spot
rate 90 days from now, then the real cost of hedging payables will be:
a. positive.
b. negative.
c. positi
Chapter 6
Government Influence on Exchange Rates
Lecture Outline
Exchange Rate Systems
Fixed Exchange Rate System
Freely Floating Exchange Rate System
Managed Float Exchange Rate System
Pegged Exchange Rate System
Classification of Exchange Rate Arrangeme
CHAPTER 10: ARBITRAGE PRICING THEORY AND MULTIFACTOR MODELS OF RISK AND
RETURN
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
Chapter 14 - Bond Prices and Yields
CHAPTER 14: BOND PRICES AND YIELDS
PROBLEM SETS 1. The bond callable at 105 should sell at a lower price because the call provision is more valuable to the firm. Therefore, its yield to maturity should be higher. Zero c
Chapter 15 - The Term Structure of Interest Rates
CHAPTER 15: THE TERM STRUCTURE OF INTEREST RATES
PROBLEM SETS. 1. In general, the forward rate can be viewed as the sum of the markets expectation of the future short rate plus a potential risk (or liquidi
Chapter 16 - Managing Bond Portfolios
CHAPTER 16: MANAGING BOND PORTFOLIOS
PROBLEM SETS 1. While it is true that short-term rates are more volatile than long-term rates, the longer duration of the longer-term bonds makes their prices and their rates of re
CHAPTER 24: PORTFOLIO PERFORMANCE EVALUATION
CHAPTER 24: PORTFOLIO PERFORMANCE EVALUATION
PROBLEM SETS
1.
As established in the following result from the text, the Sharpe ratio depends on both
alpha for the portfolio ( P ) and the correlation between the
Chapter 04 - Mutual Funds and other Investment Companies
Chapter 04
Mutual Funds and other Investment Companies
Multiple Choice Questions
1. Which one of the following statements regarding open-end mutual funds is false?
A. The funds redeem shares at net
Chapter 05 - Learning about Return and Risk from the Historical Record
Chapter 05
Learning about Return and Risk from the Historical Record
Multiple Choice Questions
1. Over the past year you earned a nominal rate of interest of 10 percent on your money.
EF4320: Homework03
Homework 3, Chapters 20 & 21 1. The intrinsic value of an in-the-money put option is equal to A. the stock price minus the exercise price. B. the put premium. C. zero. D. the exercise price minus the stock price. E. none of the above. 2
Chapter 11 - The Efficient Market Hypothesis
CHAPTER 11: THE EFFICIENT MARKET HYPOTHESIS
PROBLEM SETS 1. The correlation coefficient between stock returns for two non-overlapping periods should be zero. If not, one could use returns from one period to pre
Chapter 09 - The Capital Asset Pricing Model
CHAPTER 9: THE CAPITAL ASSET PRICING MODEL
PROBLEM SETS 1. E(rP) = rf + P [E(rM ) rf ] 18 = 6 + P(14 6) P = 12/8 = 1.5 2. If the securitys correlation coefficient with the market portfolio doubles (with all oth
CHAPTER 8: INDEX MODELS
CHAPTER 8: INDEX MODELS
PROBLEM SETS
1.
The advantage of the index model, compared to the Markowitz procedure, is the
vastly reduced number of estimates required. In addition, the large number of
estimates required for the Markowit
Chapter 06 - Risk Aversion and Capital Allocation to Risky Assets
Chapter 06
Risk Aversion and Capital Allocation to Risky Assets
Multiple Choice Questions
1. Which of the following statements regarding risk-averse investors is true?
A. They only care abo
Chapter 07 - Optimal Risky Portfolios
Chapter 07
Optimal Risky Portfolios
Multiple Choice Questions
1. Market risk is also referred to as
A. systematic risk, diversifiable risk.
B. systematic risk, nondiversifiable risk.
C. unique risk, nondiversifiable r
Chapter 8 Index Models
Multiple Choice Questions
1. As diversification increases, the total variance of a portfolio approaches
_.
A) 0
B) 1
C) the variance of the market portfolio
D) infinity
E) none of the above
Answer: C Difficulty: Easy
Rationale: As m
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 t
Chapter 10 Arbitrage Pricing Theory and Multifactor Models of Risk and
Return
Multiple Choice Questions
1. _ a relationship between expected return and risk.
A) APT stipulates
B) CAPM stipulates
C) Both CAPM and APT stipulate
D) Neither CAPM nor APT stipu
Chapter 11 - The Efficient Market Hypothesis
Chapter 11
The Efficient Market Hypothesis
Multiple Choice Questions
1. If you believe in the _ form of the EMH, you believe that stock prices reflect all
relevant information including historical stock prices
Chapter 14 - Bond Prices and Yields
Chapter 14
Bond Prices and Yields
Multiple Choice Questions
1. The current yield on a bond is equal to _.
A. annual interest divided by the current market price
B. the yield to maturity
C. annual interest divided by the
The Term Structure of Interest Rates
Multiple Choice Questions
1. The term structure of interest rates is:
A. The relationship between the rates of interest on all securities.
B. The relationship between the interest rate on a security and its time to mat
Chapter 2
International Flow of Funds
Lecture Outline
Balance of Payments
Current Account
Capital Account
International Trade Flows
Distribution of U.S. Exports and Imports
U.S. Balance of Trade Trend
Trade Agreements
Trade Disagreements
Factors Affecting
SEEM 6103 Financial Engineering for Engineering Managers
Lecture 5: Time series models, random
walks, and the efficient market
hypothesis
SEEM 6103
Semester A 2016/17
Dr. Lishuai Li
lishuai.li@cityu.edu.hk
1
TIME SERIES MODEL AND
TECHNICAL ANALYSIS
2
Intr