答案和详解如下： 1.A 4 percent Treasury bond has 2.5 years to maturity. Spot rates are as follows: 6 month | 1 year | 1.5 years | 2 years | 2.5 years | 2% | 2.5% | 3% | 4% | 6% |
The note is currently selling for $976. Determine the arbitrage profit, if any, that is possible. A) $19.22. B) $43.22. C) no profit is possible as the present value of expected cash flows equals the current market price. D) $37.63. The correct answer was A)
2.Which of the following relationships between arbitrage and market efficiency is least accurate? A) Market efficiency refers to the low cost of trading derivatives because of the lower expense to traders. B) Investors acting on arbitrage opportunities help keep markets efficient. C) Momentary deviations from market efficiency can create an arbitrage opportunity. D) The concept of rationally priced financial instruments preventing arbitrage opportunities is the basis behind the no-arbitrage principle. The correct answer was A) Market efficiency is achieved when all relevant information is reflected in asset prices, and does not refer to the cost of trading. One necessary criterion for market efficiency is rapid adjustment of market values to new information. Arbitrage, trading on a price difference between identical assets, causes changes in demand for and supply of the assets that tends to eliminate the pricing difference. 3.Which of the following statements about arbitrage opportunities is TRUE? A) Pricing errors in securities are instantaneously corrected by the first arbitrageur to recognize them. B) There can never be an opportunity to make profits from arbitrage. C) When an opportunity exists to profit from arbitrage, it usually lasts for several trading days. D) Engaging in arbitrage requires a large amount of capital for the investment. The correct answer was A) Arbitrage 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. 4.Which of the following is NOT one of the conditions that must be met for a trade to be considered an arbitrage? A) There is no risk. B) There are no commissions. C) There is a guaranteed profit. D) There is no initial investment. The correct answer was B) In order to be considered arbitrage there must be no risk in the trade. It doesn’t matter if commissions are paid as long as the amount of the price discrepancy is enough to offset the amount paid in commissions. There must be a guaranteed profit in an arbitrage trade. In order to be considered arbitrage there must be no initial investment of one’s own capital. One must finance any cash outlay through borrowing. 5.Any rational quoted price for a financial instrument should: A) provide no opportunity for arbitrage. B) provide an opportunity for investors to make a profit. C) be low enough for most investors to afford. D) be always increasing. The correct answer was A) Since any observed pricing errors will be instantaneously corrected by the first person to observe them, any quoted price must be free of all known errors. This is the basis behind the text’s no-arbitrage principle, which states that any rational price for a financial instrument must exclude arbitrage opportunities. The no-arbitrage opportunity assumption is the basic requirement for rational prices in the financial markets. This means that markets and prices are efficient. That is, all relevant information is impounded in the asset’s price. With arbitrage and efficient markets, you can create the option and futures pricing models presented in the text. | 
发表于 2008-4-4 16:12
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