1) a __________ gives its holder the right to sell an asset for a specified exercise price
on or before a specified expiration date.
a.call option
b.futures contract
c.put option
d.interest rate swap
2) which one of the following represents local consumption smoothing?
i. saving during your working years for retirement
ii. borrowing money to buy a car
iii. putting off a vacation for a year until you can afford it
a.i only
b.ii and iii only
c.i and ii only
d.i, ii, and iii
3) portfolio performance is often decomposed into various subcomponents, such as the
return due to:
i. broad asset allocation across security classes
ii. sector weightings within equity markets
iii. security selection with a given sector
the one decision that contributes most to the fund performance is _____.
a.i
b.ii
c.iii
d.all contribute equally to fund performance.
4) the risk-free rate in the united states is 2.5%, and the risk-free rate in europe is 3.2%.
if the spot rate of dollars per euro is 1.32, what is the likely forward rate in terms of
dollars per euro?
a.1.30
b.1.31
c.1.32
d.1.33
5) the table presents the actual return of each sector of the manager’s portfolio in
column (1), the fraction of the portfolio allocated to each sector in column (2), the
benchmark or neutral sector allocations in column (3), and the returns of sector indexes
in column 4.
what was the bogey’s return in the month?
a.2.07%
b.2.21%
c.2.24%
d.4.8%
6) if you place an order to buy or sell a share of a mutual fund during the trading day,
the order will be executed at _____.
a.the nav calculated at the market close at 4 pm new york time
b.the real time nav
c.the nav delayed 15 minutes
d.the nav calculated at the opening of the next day’s trading
7) unemployment describes the condition where:
a.equipment and machinery are going unused.
b.a person cannot get a job, but is willing to work and is actively seeking work.
c.a person does not have a job, regardless of whether or not they want one.
d.any resource sits idle.
8) the price of a stock is $55 at the beginning of the year and $50 at the end of the year.
if the stock paid a $3 dividend and inflation was 3%, what is the real holding-period
return for the year?
a.-3.64%
b.-6.36%
c.-6.44%
d.-11.74%
9) in the black-scholes model, if an option is not likely to be exercised, both n(d1) and
n(d2) will be close to ______. if the option is definitely likely to be exercised, n(d1) and
n(d2) will be close to ______.
a.1; 0
b.0; 1
c.-1; 1
d.1; -1
10) investor a bought a call option that expires in 6 months. investor b wrote a put
option with a 9-month maturity. all else equal, as the time to expiration approaches, the
value of investor a’s position will _______ and the value of investor b’s position will
_______.
a.increase; increase
b.increase; decrease
c.decrease; increase
d.decrease; decrease
11) rose hill trading company is expected to have eps in the upcoming year of $6. the
expected roe is 18%. an appropriate required return on the stock is 14%. if the firm has
a plowback ratio of 70%, its intrinsic value should be _________.
a.$20.93
b.$69.77
c.$128.57
d.$150
12)
_______________ percent of the variance is explained by this regression.
a.12
b.35
c.4.05
d.80