投資學(xué)10版習(xí)題答案15(參考版)
2025-07-01 18:35本頁面
【正文】 2014 McGrawHill Education. All rights reserved. No reproduction or distribution without the prior written consent of McGrawHill Education.。 f 4 = = %b. The conditions would be those that underlie the expectations theory of the term structure: risk neutral market participants who are willing to substitute among maturities solely on the basis of yield differentials. This behavior would rule out liquidity or term premia relating to risk.c. Under the expectations hypothesis, lower implied forward rates would indicate lower expected future spot rates for the corresponding period. Since the lower expected future rates embodied in the term structure are nominal rates, either lower expected future real rates or lower expected future inflation rates would be consistent with the specified change in the observed (implied) forward rate.4. The given rates are annual rates, but each period is a halfyear. Therefore, the per period spot rates are % on oneyear bonds and 2% on sixmonth bonds. The semiannual forward rate is obtained by solving for f in the following equation:This means that the forward rate is = % semiannually, or % annually.5. The present value of each bond’s payments can be derived by discounting each cash flow by the appropriate rate from the spot interest rate (., the pure yield) curve:Bond A: Bond B: Bond A sells for $ (., % of par value) less than the present value of its stripped payments. Bond B sells for $ less than the present value of its stripped payments. Bond A is more attractively priced.6. a. Based on the pure expectations theory, VanHusen’s conclusion is incorrect. According to this theory, the expected return over any time horizon would be the same, regardless of the maturity strategy employed.b. According to the liquidity preference theory, the shape of the yield curve implies that shortterm interest rates are expected to rise in the future. This theory asserts that forward rates reflect expectations about future interest rates plus a liquidity premium that increases with maturity. Given the shape of the yield curve and the liquidity premium data provided, the yield curve would still be positively sloped (at least through maturity of eight years) after subtracting the respective liquidity premiums:% – % = %% – % = %% – % = %% – % = %% – % = %% – % = %% – % = %% – % = %% – % = %7. The coupon bonds can be viewed as portfolios of stripped zeros: each coupon can stand alone as an independent zerocoupon bond. Therefore, yields on coupon bonds reflect yields on payments with dates corresponding to each coupon. When the yield curve is upward sloping, coupon bonds have lower yields than zeros with the same maturity because the yields to maturity on coupon bonds reflect the yields on the earlier interim coupon payments.8. The following table shows the expected shortterm interest rate based on the projections of Federal Reserve rate cuts, the term premium (which increases at a rate of % per 12 months), the forward rate (which is the sum of the expected rate and term premium), and the YTM, which is the geometric average of the forward rates.TimeExpected Short RateTerm PremiumForward Rate (annual)Forward Rate (semiannual)YTM(semiannual)0%%%%%6 months12 months18 months24 months30 months36 monthsThis analysis is predicated on the liquidity preference theory of the term structure, which asserts that the forward rate in any period is the sum of the expected short rate plus the liquidity premium.9. a. Fiveyear spot rat
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