发布时间 : 星期六 文章兹维博迪金融学第二版试题库7TB(1)更新完毕开始阅读
Short Problems
1. Suppose you have $20,000 in a bank account earning an interest rate of 4% per year. At the
same time you have an unpaid balance on your credit card of $7,000 on which you are paying an interest rate of 18% per year. What is the arbitrage opportunity you face?
Answer: You could take $7,000 out of your bank account and pay down your credit card balance. You would give up 4% per year in interest earnings ($280) but you would save 18% per year in interest expenses ($1,260). So the arbitrage opportunity is worth $980 per year.
2. Fill in the missing exchange rates in the following table:
U.S. Dollar Euro Danish Krone Japanese Yen U.S. Dollar $1 1.5576 0.2088 0.009594 Euro 0.6420 Danish Krone 4.7898 Japanese Yen 104.23
Answer: U.S. Dollar Euro Danish Krone Japanese Yen U.S. Dollar $1 1.5576 0.2088 0.009594 Euro 0.6420 1 Euro 0.1340 0.006159 Danish Krone 4.7898 7.46074 1 Krone 0.45954 Japanese Yen 104.23 162.35 21.761 Yen 1
3. You observe that the dollar price of the Mexican peso is $0.09618 and the dollar price of the
Canadian dollar is $0.9997. What must the exchange rate between the Mexican peso and the Canadian dollar be for there to be no arbitrage opportunity?
Answer: CAD/MXN = 0.09618 0.9997
= 0.096208 CAD/MXN
4. Suppose that the exchange rate is $0.2970 to the Israeli shekel. How could you make
arbitrage profits with $10,000 if the dollar price of gold is $200 per ounce and the shekel price is 750 ILS per ounce?
Answer: Take $10,000 and buy 50 ounces of gold at $200 per ounce. Sell 50 ounces of gold in Israel for 37,500 ILS (750 ILS per ounce). Take 37,500 ILS and exchange it into dollars worth $11,137.50. The arbitrage profit is $1,137.50.
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5. You are travelling in FarOut where you can buy 150 kranes (a krane being the unit of
currency in FarOut) with a U.S. dollar at official FarOut banks. Your tour guide has a relative who dabbles in the black market and this particular relative will sell you kranes for just $0.00685 each on the black market. How much would you gain or lose by exchanging $300 on the black market instead of going to the bank?
Answer: On the official market: $300 x 150 kranes = 45,000 kranes On the black market: $300 x 1/0.00685 kranes = 43,796 kranes Hence, you would lose 1,204 kranes.
6. A firm’s earnings per share are $5.50 and the industry average P/E multiple is 8. What
would be an estimate of the value of a share of the firm’s stock? Is it possible for firms being classified in the same industry to have different price/earnings multiples?
Answer:
Estimated value share of stock = firm’s EPS x Industry average P/E = $5.50 x 8 = $44.00
Firms classified as being in the same industry may have different opportunities for growth in the future and may therefore differ in their P/E multiples.
7. The P/E multiple of BHM Corporation is currently 5, while the P/E ratio of the S&P 500 is 10.
What reasons could account for this difference?
Answer:
? BHM’s reported earnings may be higher than they are expected to be in the future,
or they may be inflated due to special accounting methods used by BHM.
? BHM may be riskier than the S&P 500 either because it is in a relatively risky
industry or has a relatively higher debt ratio.
8. The price of Hubris Co. stock recently jumped when the CEO for the company announced an
increased dividend payment for the year. What might account for such a market reaction?
Answer: The market may believe the company’s future prospects look very bright (that is, higher earnings, less risk, sound growth, etc.) and that the company can sustain such an earnings growth.
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9. Assume that the worldwide risk-free real rate of interest is 4% per year. Denmark has an
expected rate of inflation of 9% per year and in Spain has an expected rate of inflation of 14% per year. Assuming there is no uncertainty about inflation, what are the implied nominal interest rates denominated in Kroner and Euros?
Answer: Denmark: nominal interest rate = (1.04) x (1.09) – 1 = 13.36% per year Spain: nominal interest rate = (1.04) x (1.14) –1 = 18.56% per year
10. Assume that the worldwide risk-free real rate of interest is 4% per year. The United Kingdom
has an expected rate of inflation of 8% per year and in Belgium it is 10% per year. Assuming there is no uncertainty about inflation, what are the implied nominal interest rates denominated in Pounds Sterling and Euros?
Answer: United Kingdom: nominal interest rate = (1.04) x (1.08) – 1 = 12.32% per year Belgium: nominal interest rate = (1.04) x (1.10) – 1 = 14.40% per year
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Longer Problems
1. Let’s assume that you have operated your own business for 18 years. For the most recent
fiscal year, sales were $15 million. Net Income for the most recent fiscal year was $1.5
million. The book value of your business was $11 million. Recently, a firm which is engaged in similar activities to your own was sold and the following information was made public:
Multiple of Book Value 0.8x Multiple of Net Income 11x Multiple of Sales 0.7x
a) How would you determine an appropriate range of value for your company?
b) It has come to your attention that your company has future investment opportunities
that would be less profitable than the competing company above. What does this say about the valuation of your company?
Answer: a) Multiple of Sales: 0.7x = $15 million x 0.7 = $10.5 million Multiple of Net Income: 11x = $1.5 million x 11 = $16.5 million Multiple of Book Value: 0.8x = $11 million x 0.8 = $8.8 million
b) The valuation of your company would be at the lower end of the range.
2. BHM stock is trading for $47 per share on the NYSE and $45 per share on the Sydney Stock
Exchange. Assume that the costs of buying and selling BHM stock are negligible.
a) How can you make an arbitrage profit?
b) Over time what would you expect to happen to stock prices in New York and Sydney? c) Now assume that the cost of buying and selling shares of BHM are 2% per
transaction. How does this affect your answers?
Answer: a) You could buy BHM stock in Sydney and simultaneously sell it in
New York. Your arbitrage profit would be $2 per share.
b) The prices would become equal.
c) There could remain a 2% discrepancy between the prices which
would be $1.84 in this instance.
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