行为金融学4课后习题答案.docVIP

PAGE 2 | Page PAGE ?2010 Cengage Learning. All Rights Reserved. May not be scanned, copied or duplicated, or posted to a publicly available website, in whole or in part. Chapter 4: Discussion Questions and Problems 1. Differentiate the following terms/concepts: a. Momentum and reversal With momentum we observe positive correlation in returns, whereas with reversal we observe negative correlation in returns. b. Value and growth stocks Stock prices for value stocks are low relative to accounting measures such as earnings, cash flow, or book value, whereas stock prices for growth (or glamour) stocks are low relative to earnings, cash flow, and book value, at least in part because the market anticipates high future growth. c. Fundamental risk and noise-trader risk Fundamental risk arises because of the potential for rational revaluation as new information arrives and noise-trader risk arises because mispricing can become more severe in the short run. d. Carve-out and stub value A carve-out is an offering of shares in a subsidiary company. Stub value is the implied stand-alone value of the parent company without the subsidiary. 2. Refer back to the set of exchange rates in the “Support 3: There are no limits to arbitrage” section earlier in the chapter. Describe a profitable arbitrage strategy if x = 105. The trick is to go the correct direction around the triangle. Since $1 should only get you ￥102.85, take $1 and convert to ￥105. Then convert to €, ending up with 105/159.34=€6590. Then convert to dollars: .6590/.6455=$1.02 vs. the initial dollar. 3. Arbitrage is limited because the wealth of arbitrageurs is limited. Discuss this statement in the context of those who are managing their own money and those who are managing other people’s money. When you managing your own money, you are subject to fundamental risk and noise-trader risk. Plus such arbitrageurs will normally have a very limited pool of capital to use for arbitrage purposes.