Economics of Financial Markets
Multiple Choice Test
EXAMPLE
金融市场经济学代写 1). A rise in individual’s subjective discount factor will _____ the price of assets and, at any interest rate, ______ individual savings:
For each question, identify the statement that you believe to be correct. Note that some of the choices may be partly correct but you will only gain credit for the fully correct choice. You do not have to provide any explanation for your answer.
Section A
Each question is worth two marks
1). A rise in individual’s subjective discount factor will _____ the price of assets and, at any interest rate, ______ individual savings:
a) Decrease, increase
b) Increase, increase
c) Decrease, decrease
d) Increase, decrease
2). For the representative agent 2-period consumption-based CAPM (C-CAPM), an individual will buy more financial asset if her tax rate _____ in the current period and her subjective discount rate_____
a). Falls, falls
Falls, rises
c). Rises, falls
d). Rises, rises
3). An individual who wishes to smooth their consumption will
a). buy financial assets that pay high returns when labour income is low
b). buy the safe asset
c). increase saving
d). all of the above
4). 金融市场经济学代写
The impact of habit in the utility function is to ______ risk aversion at any
consumption level and _______ the volatility of the stochastic discount factor for a
specific volatility of consumption:
a) Increase, Increase
b) Increase, Reduce
c) Reduce, increase
d) Reduce, reduce
5). Survivorship bias ______ the long-run returns on firms with _____book/market ratio:
a). raises, high
b). raises, low
c). lowers, low
d). lowers, high
6). A _____ and ______ elasticity of intertemporal substitution means that an individual will reduce savings a lot when the real interest rate rises:
a). small, positive
b). small, negative
c). large, positive
d). large, negative
7). A contingent claim is an asset:
a). which pays one unit in one state and nothing in all other states
b). has an expected price equal to the stochastic discount factor for that state
c). can be used to form portfolios that replicate any asset
d). all of the above
8). 金融市场经济学代写
If an individual buys the contingent claims of a particular state they have ______income in a state and/or ______ Stochastic Discount Factor in that state
a). low, low
b). high, low
c). high, high
d). low, high
9). The concept of a portfolio which represent the Stochastic Discount Factor relies on
a). Complete markets and No arbitrage and Law of One Price
b). Complete markets, Contingent claims for all states and No Arbitrage
c). Contingent claims for all states, No Arbitrage and Law of one price
d). none of the above
10). The Rational Valuation Formula sets the price of a share equal to______, if the present value of the price at infinity is ______
a). the present value of the terminal price, infinite
b). the present value of all future dividends, infinite
c). the present value of the terminal price, zero
d). none of the above
11). Suppose we are in year 0 and that Si is the Stochastic Discount Factor for the year i, a zero coupon bond with a price of 100 at maturity that occurs in two years has a price at year zero, given by:
a). 100E(S1)
b). E(S1S2)
c). 100E(S1S2)
d). 100E(S2)
Section B
(each question is worth 4 marks)
12. 金融市场经济学代写
You are given the following information about consumption choice. The individual has a subjective discount factor of 0.9. The individual undertakes consumption to deliver a marginal utility of 4.5 in the current period. The expected marginal utility of consumption in the second period is 5. The expected payoff of the asset is 1. The marginal utility of consumption has a covariance with the payoff of the asset of zero. If the consumer is maximising utility over the two periods the price of the asset is:
a). 0.95
b). 1
c). 1.01
d). 0.9
13.
In a two state world you are told the following. The individual chooses consumption in the first period to deliver marginal utility of 1.6. In the second period they choose consumption in state 1 to deliver marginal utility of 3 and consumption in state 2 to deliver marginal utility of consumption of 2. The states have equal probabilities of occurring and the individual’s subjective discount factor is 0.8. The difference in the two contingent claim prices p(1)-p(2) is:
a). 0
b). 0.2
c). 0.25
d). 0.5
14.
A portfolio has the following properties. It has an expected return of 8% and a standard deviation of return of 50%. If you are told this is the SDF and it has a correlation of return with another asset of -0.8 which has a standard deviation of return of 20%. What is the expected gross return on the other asset?
a). 1.02
b). 1.05
c). 1
d). 1.01
15. 金融市场经济学代写
You are told the following. An asset with a (constant) growth rate of dividends of 5% and a current dividend of 100 has a price of 5250. The (constant) expected return on the asset is:
a). 3%
b). 5%
c). 7%
d). 8%
16.
You are given the following information. A firm which pays a constant dividend of 22 with an expected return of 10% announces it will not pay a dividend at the end of this year but will resume next paying next year. The price will fall by
a) 42
b) 22
c) 20
d) 15
17.
You are given the following information. An asset which pays a constant dividend of 10 and an expected return of 10%, has a price today of 110. The price next period is forecast to be 122 with probability π and 100 with probability 1-π. What is π if a rational bubble exists.
a). 1/3
b). 1/2
c). 2/3
d). 3/4
18.
You are told that a zero coupon bond with a payment of 1 unit has twenty years left to maturity. The price of the bond falls such that the log yield goes up from 3% to 6% with no change in the current one period log interest rate. You deduce that investors expect an average rise per period, in one period log interest rates, over the maturity of the bond given by:
a). 0.05%
b). 0.1%
c). 0.15%
d). None of the above
更多代写：计算机科学essay代写 英国Final exam代考 英国金融网课代上 英语Essay润色 英国留学paper范文 博弈论论文作业代写
