投资学第7版Test Bank答案16.doc

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1、MultipleChoiceQuestions1.Thedurationofabondisafunctionofthebond'sA)couponrate.B)yieldtomaturity.C)timetomaturity.D)alloftheabove.E)noneoftheabove.Answer:DDifficulty:EasyRationale:Durationiscalculatedbydiscountingthebond'scashflowsatthebond'syieldtomaturityand,exceptforzero-c

2、ouponbonds,isalwayslessthantimetomaturity.2.Ceterisparibus,thedurationofabondispositivelycorrelatedwiththebond'sA)timetomaturity.B)couponrate.C)yieldtomaturity.D)alloftheabove.E)noneoftheabove.Answer:ADifficulty:ModerateRationale:Durationisnegativelycorrelatedwithcouponratea

3、ndyieldtomaturity.3.Holdingotherfactorsconstant,theinterest-rateriskofacouponbondishigherwhenthebond's:A)term-to-maturityislower.B)couponrateishigher.C)yieldtomaturityislower.D)currentyieldishigher.E)noneoftheabove.Answer:CDifficulty:ModerateRationale:Thelongerthematurity,th

4、egreatertheinterest-raterisk.Thelowerthecouponrate,thegreatertheinterest-raterisk.Thelowertheyieldtomaturity,thegreatertheinterest-raterisk.Theseconceptsarereflectedinthedurationrules;durationisameasureofbondpricesensitivitytointerestratechanges(interest-raterisk).4.The"modi

5、fiedduration"usedbypractitionersisequaltotheMacaulaydurationA)timesthechangeininterestrate.B)times(oneplusthebond'syieldtomaturity).C)dividedby(oneminusthebond'syieldtomaturity).D)dividedby(oneplusthebond'syieldtomaturity).E)noneoftheabove.Answer:DDifficulty:ModerateRational

6、e:D*=D/(1+y)5.Giventhetimetomaturity,thedurationofazero-couponbondishigherwhenthediscountrateisA)higher.B)lower.C)equaltotheriskfreerate.D)Thebond'sdurationisindependentofthediscountrate.E)noneoftheabove.Answer:DDifficulty:ModerateRationale:Thedurationofazero-couponbondisequ

7、altothematurityofthebond.6.Theinterest-rateriskofabondisA)theriskrelatedtothepossibilityofbankruptcyofthebond'sissuer.B)theriskthatarisesfromtheuncertaintyofthebond'sreturncausedbychangesininterestrates.C)theunsystematicriskcausedbyfactorsuniqueinthebond.D)AandBabove.E)A,B,a

8、ndCabove.Answer:BDifficulty:ModerateRationale:Changinginterestrateschangeth