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1) the average depth of the limit order book is _____.
a.lower for the large stocks in the s&p 500 index than for the smaller stocks in the
russell 2000 index
b.higher for the large stocks in the s&p 500 index than for the smaller stocks in the
russell 2000 index
c.about the same for both the large stocks in the s&p 500 index and the smaller stocks
in the russell 2000 index
d.unrelated to the sizes of the stocks in the indexes
2) 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 is the contribution of asset allocation to relative performance?
a.-.18%
b..18%
c.-.15%
d..15%
3) which of the following statements is (are) correct?
a.if a market is weak-form efficient, it is also semistrong- and strong-form efficient.
b.if a market is semistrong-form efficient, it is also strong-form efficient.
c.if a market is strong-form efficient, it is also semistrong- but not weak-form efficient.
d.if a market is strong-form efficient, it is also semistrong- and weak-form efficient.
4) for an investor concerned with maximizing liquidity, which of the following
investments should be avoided?
a.real estate
b.bonds
c.domestic stocks
d.international stocks
5) in a 1988 study, fama and french found that the return on the aggregate stock market
was __________ when the dividend yield was higher.
a.higher
b.lower
c.unaffected
d.more skewed
6) an american put option gives its holder the right to _________.
a.buy the underlying asset at the exercise price on or before the expiration date
b.buy the underlying asset at the exercise price only at the expiration date
c.sell the underlying asset at the exercise price on or before the expiration date
d.sell the underlying asset at the exercise price only at the expiration date
7) which of the following beliefs would not preclude charting as a method of portfolio
management?
a.the market is strong-form efficient.
b.the market is semistrong-form efficient.
c.the market is weak-form efficient.
d.stock prices follow recurring patterns.
8) assume the risk-free interest rate is 10% and is equal to the fund's benchmark, the
portfolio's net asset value is $100, and the fund's standard deviation is 20%. also assume
a time horizon of 1 year.
what is the exercise price on the incentive fee?
a.$100
b.$105
c.$110
d.$115
9) the term quality of earnings refers to ________.
a.how well reported earnings conform to gaap
b.the realism and sustainability of reported earnings
c.whether actual earnings matched expected earnings
d.how well reported earnings fit a trend line of earnings growth
10) the possibility that you are too conservative and your money doesn't grow fast
enough to keep pace with inflation is called ________.
a.purchasing power risk
b.liquidity risk
c.timing risk
d.market risk
11)
all exchange rates are expressed as units of foreign currency that can be purchased with
one u.s. dollar. answer the following about decomposing the manager's performance.
what is the difference in return of the manager's portfolio due to stock selection?
a.1.15%
b.3.25%
c.5.45%
d.6.13%
12) all other things equal, which of the following has the longest duration?
a.a 21-year bond with a 10% coupon yielding 10%
b.a 20-year bond with a 10% coupon yielding 11%
c.a 21-year zero-coupon bond yielding 10%
d.a 20-year zero-coupon bond yielding 11%
13) on monday morning you sell one june t-bond futures contract at 97:27, that is, for
$97,843.75. the contract's face value is $100,000. the initial margin requirement is
$2,700, and the maintenance margin requirement is $2,000 per contract. use the
following price data to answer the following questions.
after monday's close the balance on your margin account will be ________.
a.$2,700
b.$2,000
c.$3,137.50
d.$2,262.50
14) according to tobin's separation property, portfolio choice can be separated into two
independent tasks consisting of __________ and __________.
a.identifying all investor imposed constraints; identifying the set of securities that
conform to the investor's constraints and offer the best risk-return trade-offs
b.identifying the investor's degree of risk aversion; choosing securities from industry
groups that are consistent with the investor's risk profile
c.identifying the optimal risky portfolio; constructing a complete portfolio from t-bills
and the optimal risky portfolio based on the investor's degree of risk aversion
d.choosing which risky assets an investor prefers according to the investor's
risk-aversion level; minimizing the cal by lending at the risk-free rate
15) which of the following is used to measure directly the average standard of living
across countries?
a.real gdp
b.nominal gdp
c.purchasing power parity
d.gdp per person
16) a bond that has no collateral is called a _________.
a.callable bond
b.debenture
c.junk bond
d.mortgage
