8006 Exam Question 1

What would be the expected return on a stock with a beta of 1.2, when the risk free rate is 3% and the broad market index is expected to earn 8%?
  • 8006 Exam Question 2

    A portfolio comprising a long call and a short put option has the same payoff as:
  • 8006 Exam Question 3

    Which of the following is NOT true about a fixed rate bond:
    I. The higher the coupon, the lower the duration
    II. The higher the coupon, the lower the convexity
    III. If the bond is callable, it has negative modified duration
    IV. If the bond is callable, the bond has negative convexity
  • 8006 Exam Question 4

    Which of the following statements is true in relation to an American style option:
    I. Put-call parity applies to American options
    II. An American put will never be cheaper than a European put
    III. An American put option should never be exercised early for a non-dividend paying stock IV. An American put option is always at least as valuable as its intrinsic value
  • 8006 Exam Question 5

    Which of the following statements are true?
    I. Macaulay duration of a coupon bearing bond is unaffected by changes in the curvature of the yield curve.
    II. The numerical value for modified duration will be different for bonds with identical nominal coupons and maturity but different compounding frequencies.
    III. When rates are expressed as continuously compounded, modified duration and Macaulay duration are the same.
    IV. Convexity is higher for a bond with a lower coupon when compared to a similar bond with a higher coupon.