金融市场经济学代写 C-CAPM代写 ECONOMICS代写

ECONOMICS OF FINANCIAL MARKETS

金融市场经济学代写 For the representative agent consumption-based capital asset pricing model (C-CAPM), the price of a financial asset is affected ____ by _____:

Section A Each question is worth two marks 金融市场经济学代写

Question 1

For the representative agent consumption-based capital asset pricing model (C-CAPM), the price of a financial asset is affected ____ by _____:

• none of the choices
• Negatively, the volatility of labour income of therepresentative agent
• Positively, risk aversion of the representative agent
• Negatively, the subjective discount factor

Question 2

According to the C-CAPM, with power utility and jointly lognormal consumption growth and asset returns, an asset’s risk premium will _____ and the risk-free interest rate will ______ if the variance of consumption growth increases

• Rise or Fall, Rise
• Fall, Fall
• Rise, Rise
• Rise or Fall, Fall

Question 3 金融市场经济学代写

For the utility function U(C)=(C^1-γ )/(1-γ) a low value of γ implies ______ risk aversion and _______ elasticity of intertemporal substitution

• High, Low
• Low, Low
• Low, High
• High, High

Question 4

Assuming power utility and lognormal consumption growth and the existence of a risk-fee asset, the Hansen-Jagannathan bound implies that the maximum value of the Sharpe ratio ______ if the volatility of consumption growth falls and it ______ if the parameter of risk aversion rises

• Falls, rises
• Rises, rises
• Falls, falls
• Falls, rises

Question 5 金融市场经济学代写

Habit in the utility function implies time varying risk aversion since

• All of the choices
• Habit is more variable than the risk-free rate
• Consumption and habit are negatively correlated
• Habit is less variable than consumption

Question 6

An increase in the price of a contingent claim in a particular state can be caused by

• a rise in the representative agent’s subjective discount factor
• all of the choices
• the marginal utility of consumption in that state rising
• the probability of that state occurring rising

Question 7 金融市场经济学代写

As the individual’s risk aversion increases she will ______ assets that replicate contingent claims in high labour income states and will _____ assets that replicate contingent claims in low labour income states.

• buy; sell
• none of the choices
• buy; not change
• not change, sell

Question 8

The Rational Valuation Formula implies that

• Asset prices will change as future expected returns change Asset prices will change as investors’ risk aversion changes
• Asset prices will change as future expected dividends change
• All of the choices

Question 9

Insert the correct words into the sentence:

Shiller’s demonstrated that asset prices are excessively volatile by showing that _____ has a lower variance than ______

• None of the choices
• Fundamental return, Actual return
• Actual Price, Fundamental price
• Fundamental price, Actual price

Question 10

The one period return on an n period maturity bond, between time t and (t+1), can be decomposed into the change in return on a ______ from t to (t+1) and the change in the return due to the ______ in maturity of the bond as !me moves from t to (t+1)

• One period bond, fall
• Constant n period bond, rise
• One period bond, rise
• Constant n period bond, fall

Question 11

The real SDF divided by the nominal SDF is

• The inverse of the gross rate of price inflation
• The gross rate of return on nominal bonds
• None of the choices
• The gross rate of price inflation

Section B (each ques!on is worth 4 marks) 金融市场经济学代写

Question 12

You are given the following information about consumption choice. The individual has a subjective discount factor of 0.8. An asset with a price of 88 has an expected pay-off of X at !me t+1. The individual has a Utility Function U=ln(C), where C is Consumption and undertakes consumption of 10/9 in the current period. The expected marginal utility of consumption in the second period is 0.99. The marginal utility of second period consumption has a covariance with the payoff on the asset of zero. If the consumer is maximising utility over the two periods the value of X is:

• 100
• 88
• 99
• 80

Question 13

You are given the following information. The individual chooses consumption in the first period to deliver a marginal utility of 0.4. In the second period there are two states of the world and state 1 occurs with probability 0.4. Consumption in state 1 is chosen to deliver marginal utility of 0.6, and consumption in state 2 to deliver marginal utility of consumption of Z. The individual’s subjective discount factor is 0.8. If the stochastic discount factor in state 1 is SDF₁ and that in state 2 is SDF₂ and you are told that SDF₁ /SDF₂ is equal to 0.8, what is Z if the individual is maximizing utility?

• 4
• 5
• 6
• 8

Question 14 金融市场经济学代写

14). An asset has a bubble of 40 today. The expected net return on the asset is R*?

You forecast the bubble will burst next year with probability 0.2 and have a value of 55 with probability 0.8. What is R* if this bubble satisfies the rational bubble condition?

• 5 percent
• 8 percent
• 10 percent
• 12 percent

Question 15

You are told the following. An asset has a (constant) growth rate of dividends of x%. The (constant) expected return on the asset is 10%. You calculate that the price to dividend ratio of this asset is 21. What is x?

• 8
• 5
• 10
• 6

Question 16 金融市场经济学代写

You are given the following information. A firm that pays a constant dividend of 100, due tomorrow, unexpectedly announces it will not pay a dividend but will resume paying next year. If the price is observed to fall by 80 what is the expected return on this asset?

• 10%
• 25%
• none of these choices
• 20%

Question 17

A firm is paying a current dividend of 12 and the constant growth rate of dividends is 1%. Currently the risk-free rate is 1% and you assess that the risk of investing in the firm requires a risk premium of 3%. New information leads you to reduce the risk premium to x%. The price of the share is observed to rise by 808. What is x?

• 1
• 5
• 5
• 2

Question 18

You buy a 5 year zero coupon bond that pays one unit at maturity. The price is 0.8.

You sell 4 year zero coupon bonds that pay one unit at maturity to cover the cost of this purchase. The price of the 4 year bonds is 0.84. What is the the implied forward rate of return from year 4 to 5?

• 5%
• 6%
• 3%
• 4%

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