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1) Exhibit 22.1
USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
If the spot rate at expiration is $0.75 and the put option was purchased, what is the
dollar gain or loss?
a. $0
b. $200 loss
c. $200 gain
d. $3160 gain
e. $1187 loss
2) Exhibit 14.11
USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
Based on the analyst's estimated return and the stocks' betas the analyst should
a. Sell both Stock X and Stock Y
b. Sell Stock X and Buy Stock Y
c. Buy Stock X and Sell Stock Y
d. Buy both Stock X and Stock Y
e. None of the above
3) Which of the following is not an analytical measure used by the NBER to examine
behavior within a series?
a. Diffusion indexes
b. Rates of change
c. Direction of change
d. Ratios among series
e. Comparison with previous cycles
4) A 6.5 percent coupon bond issued by the State of California sells for $1,000. What
coupon rate on a corporate bond selling at $1,000 par value would produce the same
after tax return to the investor as the municipal bond if the investor is in the 26 percent
marginal tax bracket?
a. 1.69%
b. 11.25%
c. 8.78%
d. 14.63%
e. 25%
5) The correlation between U.S. equities and U.S. government bonds is
a.Strongly positive.
b.Weakly Positive.
c.Strongly Negative.
d.Weakly Negative.
e.Indeterminate.
6) Exhibit 6.1
USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
Rit= return for stock i during period t
Rmt= return for the aggregate market during period t
Refer to Exhibit 6.1. What is the abnormal rate of return for Stock E when you consider
its systematic risk measure (beta)?
a.2.0%
b.1.2%
c.4.0%
d.-1.05%
e.-8.5%
7) Exhibit 12.6
USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
Consider the following information that you propose to use to obtain an estimate of
year 2004 EPS for the MacLog Company.
In addition a regression analysis indicates the following relationship between growth in
sales per share for MacLog and GDP growth is
Calculate the firm's year 2004 EBITDA per share.
a. $95.05
b. $87.15
c. $112.56
d. $104.73
e. $99.96
8) A resistance level differs from a support level in that
a. at a resistance level most investors would hold stock until the price improves; at a
support level a stock becomes overvalued and investor interest is likely to decrease.
b. at a resistance level the analyst would expect a substantial increase in the demand for
a stock; at a support level the analyst would expect a substantial decrease in the demand
for a stock.
c. at a resistance level most investors would sell a stock; at a support level most
investors would be willing to purchase a stock.
d. Choices a and b.
e. None of the above.
9) A portfolio performance measurement technique that decomposes the return of a
manager's holdings to a predetermined benchmark's returns and separates the difference
into an allocation and selection is called
a. Immunization analysis.
b. Performance attribution analysis.
c. Tactical rankings.
d. Convexity utilization.
e. Duration matching attrition.
10) Which of the following is not considered a structural influence on the economy and
industry?
a. Demographics
b. Life-styles
c. International economics
d. Social values
e. Technology
11) Exhibit 5.2
USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
*2:1 Split on Stock Z after Close on Jan. 13, 2005
**3:1 Split on Stock X after Close on Jan. 15, 2005
The base date for index calculations is January 13, 2005
Refer to Exhibit 5.2. Calculate a value weighted index for Jan. 14th if the initial index
value is 100.
a.100
b.102.31
c.123.07
d.111.54
e.None of the above
12) To date, the results of empirical tests of the Arbitrage Pricing Model have been
a. Clearly favorable.
b. Clearly unfavorable.
c. Mixed.
d. Unavailable.
e. Biased.
