CFA历考题以及相关资料 Quiz 16.doc

16: Asset Valuation: Derivative Investments1.A: IntroductionQuestion ID: 13922Hedgers in the futures market usually:A.only trade in futures market.B.only trade in cash market.C.trade in neither cash nor futures markets.D.trade in both cash and futures markets. DQuestion ID: 13920Any rational price for a financial instrument should:A.be low enough for most investors to afford.B.be always increasing.C.provide no opportunity for arbitrage.D.provide an opportunity for investors to make a profit. CQuestion ID: 24778Which of the following statements about options and their underlying assets is FALSE?A.The value of an option, in comparison to its underlying asset, has the potential of creating an arbitrage opportunity.B.The owner of the option is legally required to engage in a transaction involving the asset.C.The holder of a long position on an option is the only party with the right to initiate a transaction involving the asset.D.The seller of the option is legally required to engage in a transaction involving the asset.BThe option writer is required to honor the terms of the contract if called upon by the buyer to do so. The option buyer has the discretion to exercise the contract or not.Question ID: 24852Which of the following statements about forward and future contracts is FALSE?A.A future requires the contract purchaser to receive delivery of the good at a specified time.B.A predetermined price to be paid for a good is a necessary requirement in the terms of a forward contract.C.The future value of a financial derivative depends on the value of its underlying asset.D.The primary difference between forwards and futures is that only futures are considered financial derivatives. DForwards and futures are similar and serve similar needs. Both are considered types of financial derivatives in that payoffs depend on another financial instrument or asset. The primary difference is that forwards are designed for the needs of the particular parties entering the contract, where futures are standardized contracts.Question ID: 24775Which of the following relationships between arbitrage and efficient markets is least accurate?A.The concept of rationally priced financial instruments preventing arbitrage opportunities is the basis behind the no-arbitrage principle.B.Momentary deviations from market efficiency can create an arbitrage opportunity.C.Investors acting on arbitrage opportunities help keep markets efficient.D.Market efficiency refers to the low cost of trading derivatives because of the lower expense to traders.DMarket efficiency refers to the concept of all relevant information being reflected in an assets price, not the low cost of trading derivatives. One necessary criterion for efficient markets is instantaneous adjustment of market values. Arbitrage, by trading on a price difference between identical assets, causes an imbalance between demand and supply that instantaneously corrects the pricing difference. Question ID: 13963Which of the following is TRUE about the no-arbitrage principle?A.No arbitrage activity is allowed in the financial market.B.You have to pay some transaction fees for trading financial assets.C.You cannot make excess profit without taking any risk.D.No one can make a profit in a bear market. CQuestion ID: 24774Which of the following statements about arbitrage opportunities is TRUE?A.Engaging in arbitrage requires a large amount of capital for the investment.B.When an opportunity exists to profit from arbitrage, it usually lasts for several trading days.C.Pricing errors in securities are instantaneously corrected by the first arbitrageur to recognize them.D.There can never be an opportunity to make profits from arbitrage.CArbitrage is the opportunity to trade in identical assets that are momentarily selling for different prices. Arbitrageurs act quickly to make a riskless profit, causing the price discrepancy to be instantaneously corrected. No capital is required, because opposite trades are made simultaneously.Question ID: 13977Futures contracts differ from forward contracts in which of the following ways?A.Performance of each party in a futures transaction is guaranteed by a clearinghouse.B.All of these choices are correct.C.Futures contracts require a daily settling of any gains or loses.D.Futures contracts are standardized. BQuestion ID: 13980Which of the following statements accurately describes how futures contracts differ from forward contracts?A.Futures contracts are standardized.B.Futures contracts require a daily settling of gains and losses.C.All of these choices are correct.D.The performance of counterparties to a futures contract is guaranteed by a clearinghouse. CQuestion ID: 24858When a call option on a future is exercised, the buyer receives:A.a short position in the underlying future.B.an option to purchase the underlying future.C.the physical good.D.a long position in the underlying future and a cash payment.DThe underlying asset, of a call option on a future, is the futures contract. When a call futures option is exercised, the buyer receives a long position in the future and a cash payment equal to the cash settlement price minus the exercise price of the futures option. Since the underlying asset is not a physical good, no physical good is received when the call option on a future is exercised.Question ID: 24855Which of the following statements about swap agreements is FALSE?A.They are standardized agreements, similar to futures.B.Counterparties are the principles who engage in a swap agreement.C.They allow for the exchange of different sets of future cash flows.D.Interest rate and currency are common types of swaps.AA swap is an agreement between two or more counterparties to exchange (swap) cash flows over a specified future period. Swaps are flexible because, unlike futures, they are custom tailored to meet the needs of the specific counterparties involved in the agreement. Common types are interest rate and foreign currency swaps.Question ID: 24856Which of the following requires the purchase of the underlying asset at a specified price?A.Purchasing a call option.B.Writing a put option.C.Writing a call option.D.Purchasing a put option.BA put is an option to sell a specified asset at a specified price at the put buyers discretion. The writer of a put agrees to purchase the asset if the buyer exercises the option. A call gives the buyer an option to purchase a specified asset and the call writer an obligation to sell the asset if the option is exercised.Question ID: 24864MBT Corporation recently announced a 15 percent increase in earnings per share (EPS) over the previous period. The consensus expectation of financial analysts had been an increase in EPS of 10 percent. After the earnings announcement the value of MBT common stock increased each day for the next five trading days, as analysts and investors gradually reacted to the better than expected news. This gradual change in the value of the stock is an example of:A.inefficient markets.B.market completeness. C.efficient markets.D.speculation.AA critical element of efficient markets is that asset prices respond immediately to any new information that will affect their value. Large numbers of traders responding in similar fashion to the new information will create a temporary imbalance in supply and demand, and this will adjust asset market values.Question ID: 24862Which of the following statements about market completeness is TRUE?A.Completeness is not a desirable characteristic of financial markets.B.Traders can maximize their welfare by taking advantage of market imperfections due to a lack of completeness.C.Any and all identifiable risk return combinations may be obtained by trading available securities.D.A complete market is a theoretical ideal that all tradable securities provide the maximum payoff.CA complete market is one in which any and all identifiable payoffs may be obtained by trading the securities available in the market. A complete market accommodates all identifiable risk return combinations, from highly speculative to highly conservative. This is a desirable characteristic, because it enables market participants to maximize their welfare by enabling them to fulfil their trading needs. Question ID: 24860Financial derivatives contribute to market completeness by allowing traders to do all of the following EXCEPT: A.hedge positions in other assets.B.narrow the amount of trading opportunities to a more manageable range.C.engage in high risk speculation.D.increase market efficiency through the use of arbitrage.BFinancial derivatives increase the opportunities to either speculate or hedge on the value of underlying assets. This adds to market completeness by increasing the range of identifiable payoffs that can be used by traders to fulfill their needs. Financial derivatives such as market index futures can also be easier and cheaper than trading in a diversified portfolio, thereby adding to the opportunities available to traders.Question ID: 24876Frank Jameson is a portfolio manager with 90 percent of the large-cap diversified mutual fund he controls invested in common stocks. Jameson is concerned the overall market will decline by a significant amount over the next two months due to a slowing of the general economy. Which of the following actions will provide a hedge for the mutual fund?A.Selling interest rate future contracts.B.Writing put options on the S&P 500.C.Purchasing put options on the Standard and Poor's 500 Index (S&P 500).D.Purchasing call options on the S&P 500.CA put option guarantees the buyer can sell the asset to the writer at the exercise price, on or before its expiration. Puts allow traders to earn a positive return when the underlying asset decreases in value. A diversified mutual fund can trade in S&P500 Index options, thereby closely matching the large-cap diversified portfolio. If the market declines, some or all of the losses on the portfolio will be offset by gains on the index put options.Question ID: 24877Which of the following statements about arbitrage is FALSE?A.If an arbitrage opportunity exists, making a profit without risk is possible.B.Arbitrage is selling an asset and simultaneously buying the same asset for a lower price.C.No investment is required when engaging in arbitrage.D.Arbitrage can cause markets to be less efficient.DArbitrage is defined as the existence of riskless profit without investment and involves selling an asset and simultaneously buying the same asset for a lower price. Since the trades cancel each other, no investment is required. Because it is done simultaneously, a profit is guaranteed, making the transaction risk free. Arbitrage actually helps make markets more efficient because price discrepancies are immediately eradicated by the actions of arbitrageurs.Question ID: 24874Ron Jensen is a speculator who does not currently own GHP Corporation common stock but believes it will increase in market value by 25 percent over the next month. Jensen can most likely achieve the highest percentage return on the expected stock price increase by:A.writing GHP put options.B.buying GHP call options.C.buying GHP put options.D.buying GHP common stock.BA call option allows the buyer to purchase the common stock at the exercise price. If the underlying stock increases in value the call will also gain in market value, often at a higher percentage than the gain on the stock. The writer of a put option on GHP would also gain if the stock value increased by 25 percent, because the option would not be exercised and the writer would keep the premium. The writers gain, however, is limited to the premium, whereas the potential gain on the call is unlimited depending on the price rise of the underlying stock.Question ID: 24878Which of the following statements about derivatives is TRUE?A.Although forwards have terms that are not standardized, the clearinghouse of that exchange still takes the opposite position of each trade, thereby protecting the counterparties from default risk.B.Although minimal, arbitragers face the risk of the market value of the underlying asset declining by an amount greater then what was protected with the hedge. C.When a call option on a future is exercised, the seller receives a short position in the underlying future plus pays cash to the holder of the option. D.The market value of a financial derivative is primarily a function of the relative demand and supply for that contract.CArbitrage is riskless, because the same asset is simultaneously bought and sold short, so profit is guaranteed and with no investment required. Though true that forwards are not standardized, they are private contracts, do not trade on an exchange, and, therefore, there is a risk of default since no clearinghouse functions as the opposite trade. The market value of a financial derivative is directly tied to the market value of its underlying asset, specifically, the assets market value relative to the exercise price. Question ID: 13921If an oil wholesaler expects to buy some gasoline for his customers in the future and wants to hedge his risk, he needs to:A.sell gasoline now.B.sell crude oil futures contract.C.do nothing.D.buy crude oil futures contract. DQuestion ID: 13982Which of the following statements regarding the relationship between the clearinghouse and the futures exchange is CORRECT? The clearinghouse:A.must be a separate corporation.B.can be part of the futures exchange or a separate corporation.C.None of these choices is correct.D.must be part of the futures exchange. BQuestion ID: 13981Which of the following statements about forward contracts is CORRECT? A long trader agrees to:A.take delivery, and a short trader agrees to take deliveryB.take delivery, and a short trader agrees to make delivery.C.take delivery, and a short trader agrees to make delivery.D.make delivery, and a short trader agrees to take delivery. B