投资学第10版习题答案05

Chapter5-Risk,Return,andtheHistoricalRecord5-1Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.CHAPTER5:RISK,RETURN,ANDTHEHISTORICALRECORDPROBLEMSETS1.TheFisherequationpredictsthatthenominalratewillequaltheequilibriumrealrateplustheexpectedinflationrate.Hence,iftheinflationrateincreasesfrom3%to5%whilethereisnochangeintherealrate,thenthenominalratewillincreaseby2%.Ontheotherhand,itispossiblethatanincreaseintheexpectedinflationratewouldbeaccompaniedbyachangeintherealrateofinterest.Whileitisconceivablethatthenominalinterestratecouldremainconstantastheinflationrateincreased,implyingthattherealratedecreasedasinflationincreased,thisisnotalikelyscenario.2.Ifweassumethatthedistributionofreturnsremainsreasonablystableovertheentirehistory,thenalongersampleperiod(i.e.,alargersample)increasestheprecisionoftheestimateoftheexpectedrateofreturn;thisisaconsequenceofthefactthatthestandarderrordecreasesasthesamplesizeincreases.However,ifweassumethatthemeanofthedistributionofreturnsischangingovertimebutwearenotinapositiontodeterminethenatureofthischange,thentheexpectedreturnmustbeestimatedfromamorerecentpartofthehistoricalperiod.Inthisscenario,wemustdeterminehowfarback,historically,togoinselectingtherelevantsample.Here,itislikelytobedisadvantageoustousetheentiredatasetbackto1880.3.Thetruestatementsare(c)and(e).Theexplanationsfollow.Statement(c):Let=theannualstandarddeviationoftheriskyinvestmentsand1=thestandarddeviationofthefirstinvestmentalternativeoverthetwo-yearperiod.Then:21Therefore,theannualizedstandarddeviationforthefirstinvestmentalternativeisequalto:221Chapter5-Risk,Return,andtheHistoricalRecord5-2Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.Statement(e):Thefirstinvestmentalternativeismoreattractivetoinvestorswithlowerdegreesofriskaversion.Thefirstalternative(entailingasequenceoftwoidenticallydistributedanduncorrelatedriskyinvestments)isriskierthanthesecondalternative(theriskyinvestmentfollowedbyarisk-freeinvestment).Therefore,thefirstalternativeismoreattractivetoinvestorswithlowerdegreesofriskaversion.Notice,however,thatifyoumistakenlybelievedthattimediversificationcanreducethetotalriskofasequenceofriskyinvestments,youwouldhavebeentemptedtoconcludethatthefirstalternativeislessriskyandthereforemoreattractivetomorerisk-averseinvestors.Thisisclearlynotthecase;thetwo-yearstandarddeviationofthefirstalternativeisgreaterthanthetwo-yearstandarddeviationofthesecondalternative.4.Forthemoneymarketfund,yourholding-periodreturnforthenextyeardependsonthelevelof30-dayinterestrateseachmonthwhenthefundrollsovermaturingsecurities.Theone-yearsavingsdepositoffersa7.5%holdingperiodreturnfortheyear.Ifyouforecastthattherateonmoneymarketinstrumentswillincreasesignificantlyabovethecurrent6%yield,thenthemoneymarketfundmightresultinahigherHPRthanthesavingsdeposit.The20-yearTreasurybondoffersayieldtomaturityof9%peryear,whichis150basispointshigherthantherateontheone-yearsavingsdeposit;however,youcouldearnaone-yearHPRmuchlessthan7.5%onthebondiflong-terminterestratesincreaseduringtheyear.IfTreasurybondyieldsriseabove9%,thenthepriceofthebondwillfall,andtheresultingcapitallosswillwipeoutsomeorallofthe9%returnyouwouldhaveearnedifbondyieldshadremainedunchangedoverthecourseoftheyear.5.a.Ifbusinessesreducetheircapitalspending,thentheyarelikelytodecreasetheirdemandforfunds.ThiswillshiftthedemandcurveinFigure5.1totheleftandreducetheequilibriumrealrateofinterest.b.Increasedhouseholdsavingwillshiftthesupplyoffundscurvetotherightandcauserealinterestratestofall.c.OpenmarketpurchasesofU.S.TreasurysecuritiesbytheFederalReserveBoardareequivalenttoanincreaseinthesupplyoffunds(ashiftofthesupplycurvetotheright).TheFEDbuystreasurieswithcashfromitsownaccountoritissuescertificateswhichtradelikecash.Asaresult,thereisanincreaseinthemoneysupply,andtheequilibriumrealrateofinterestwillfall.Chapter5-Risk,Return,andtheHistoricalRecord5-3Copyright©2014McGraw-HillEducation.Allrightsreserved.NoreproductionordistributionwithoutthepriorwrittenconsentofMcGraw-HillEducation.6.a.The“Inflation-Plus”CDisthesaferinvestmentbecauseitguaranteesthepurchasingpoweroftheinvestment.Usingtheapproximationthattherealrateequalsthenominalrateminustheinflationrate,theCDprovidesarealrateof1.5%regardlessoftheinflationrate.b.Theexpectedreturndependsontheexpectedrateofinflationoverthenextyear.Iftheexpectedrateofinflationislessthan3.5%thentheconventionalCDoffersahigherrealreturnthantheinflation-plusCD;iftheexpectedrateofinflationisgreaterthan3.5%,thentheoppositeistrue.c.Ifyouexpecttherateofinflationtobe3%overthenextyear,thentheconventionalCDoffersyouanexpectedrealrateofreturnof2%,whichis0.5%higherthantherealrateontheinflation-protectedCD.Butunlessyouknowthatinflationwillbe3%withcertainty,theconventionalCDisalsoriskier.Thequestionofwhichisthebetterinvestmentthendependsonyourattitudetowardsriskversusreturn.Youmightchoosetodiv