Soal UTS IPM B - 3 [PDF]

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UNIVERSITAS INDONESIA FAKULTAS EKONOMI DAN BISNIS DEPARTEMEN AKUNTANSI PROGRAM STUDI S1



UJIAN TENGAH SEMESTER DARING SEMESTER GENAP 2019/2020 INVESTASI DAN PASAR MODAL DOSEN : Darminto & Gede Harja Wasista, Helen Riyani Tansil & Arman Hendiyanto SIFAT UJIAN : OPEN BOOKS TANGGAL : 7 April 2020 WAKTU : 150 menit Instruksi Ujian: Panduan umum: 1. Mahasiswa diharuskan menyalin dan melengkapi, serta menyertakan Surat Pernyataan Kejujuran Akademik (terlampir) dalam berkas digital jawaban ujian yang dikirimkan dan diupload 2. Pastikan koneksi internet lancar untuk memastikan jawaban terkirim melalui email atau media lain sesuai kesepakatan bersama (misal upload ke emas.ui.ac.id). 3. Waktu ujian maksimum 2.5 jam (13:00-15:30) dengan tambahan 15 menit untuk pengumpulan jawaban (upload file jawaban di EMAS atau kirim jawaban melalui email paling lambat jam 15:45). Keterlambatan pengiriman jawaban akan dikenakan penalti bahkan didiskualifikasi. Panduan khusus: 1. Soal terdiri dari soal Pilihan Ganda (25%) dan Essay (75%). 2. Dalam halaman jwaban diberi infomasi mengenai nomor soal yang dijawab. 3. Jawaban dibuat dari file kosong (blank) Ms. Words atau ditulis tangan dalam kertas kosong. Jika file jawaban tidak dapat dibuka dan/atau tidak terbaca oleh dosen, maka jawaban tidak akan dinilai. 4. File Ms. Words dituliskan dengan format Nama Dosen_Nama Mahasiswa_NPM, contoh: AuliaRahmah_Raden Andi Armanto_060000285X. 5. Jawaban soal ujian dan Surat Pernyataan Kejujuran akademik yang telah menjadi satu file PDF dikumpulkan melalui EMAS atau email dosen kelas masing-masing. 6. Pastikan jawaban sudah ter-upload di EMAS dan/atau terkirim melalui email (foto/print screen tampilan di EMAS atau cek di folder sent sebagai bukti di kemudian hari) sebelum jatuh tempo. Jika tidak ada di EMAS dan/ atau email dosen maka tidakakan dinilai.



LO: a. Understand the unique nature of financial institutions and their role in the financial system. Problem 1. Multiple Choice. (Weight 25%) Choose the right answer and write down the letter in front it on your answer sheet.



1. Which one of the following is a true statement regarding the Dow Jones Industrial Average? A. It is a value-weighted average of 30 large industrial stocks. B. It is a price-weighted average of 30 large industrial stocks. C. It is a price-weighted average of 100 large stocks traded on the New York Stock Exchange. D. It is a value-weighted average of all stocks traded on the New York Stock Exchange. 2. Which one of the following is a true statement regarding corporate bonds? A. A corporate callable bond gives its holder the right to exchange it for a specified number of the company's common shares. B. A corporate debenture is a secured bond. C. A corporate convertible bond gives its holder the right to exchange it for a specified number of the company's common shares. D. Holders of corporate bonds have voting rights in the company. 3. The purchase of a futures contract gives the buyer _________. A. the right to buy an item at a specified price B. the right to buy an item at a specified price C. the obligation to buy an item at a specified price D. the obligation to sell an item at a specified price 4. If you thought prices of stock would be rising over the next few months, you might want to __________________ on the stock. A. purchase a call option B. purchase a put option C. sell a futures contract D. place a short-sale order 5. Initial public offerings (IPOs) are usually ___________ relative to the levels at which their prices stabilize after they begin trading in the secondary market. A. overpriced B. correctly priced C. Underpriced D. mispriced, but without any particular bias 6. In a __________ underwriting arrangement, the underwriter assumes the full risk that shares may not be sold to the public at the stipulated offering price. A. best-efforts B. firm-commitment C. private placement D. none of these options 7. The bid-ask spread exists because of ______________. A. market inefficiencies B. discontinuities in the markets



C. D.



the need for dealers to cover expenses and make a profit lack of trading in thin markets



8. Consider the following limit order book in an order book market. The last trade in the stock occurred at a price of $40.00. If a market buy order for 100 shares comes in, at what price will it be filled?



A. B. C. D.



Limit buy orders Price Shares



Limit sell orders Price Shares



$39.75 700 $39.50 1,700 $39.25 2.100



$40.25 200 $40.50 1.300



$39.75 $40.00 $40.25 $40.375



9. You short-sell 200 shares of Fly Fishing Co., now selling for $50 per share. If you want to limit your loss to $1,500, you should place a stop-buy order at ____. A. $57.50 B. $62.50 C. $42.50 D. $ 7.50 10. You purchased 250 shares of common stock on margin for $25 per share. The initial margin is 65%, and the stock pays no dividend. Your rate of return would be __________ if you sell the stock at $32 per share. Ignore interest on margin. A. 35% B. 39% C. 43% D. 28%



11. Investors who want to liquidate their holdings in a closed-end fund may ___________________. A. sell their shares back to the fund at a discount if they wish B. sell their shares on the open market C. sell their shares back to the fund at net asset value D. sell their shares back to the fund at a premium 12. Consider a mutual fund with $300 million in assets at the start of the year and 12 million shares outstanding. If the gross return on assets is 18% and the total expense ratio is 2% of the year-end value, what is the rate of return on the fund? A. 15.64% B. 16.67% C. 17.25%



D. 17.5% 13. A mutual fund has $50 million in assets at the beginning of the year and 1 million shares outstanding throughout the year. Throughout the year assets grow at 12%. The fund imposes a 12b-1 fee on all shares equal to 1%. The fee is imposed on year-end asset values. If there are no distributions, what is the end-of-year NAV for the fund? A. $50 B. $55.44 C. $56.12 D. $54.55 14. Both investors and gamblers take on risk. The difference between an investor and a gambler is that an investor _______. A. is normally risk neutral B. knows he or she will not lose money C. knows the outcomes at the beginning of the holding period D. requires a risk premium to take on the risk 15. Historically, small-firm stocks have earned higher returns than large-firm stocks. When viewed in the context of an efficient market, this suggests that ___________. A. small firms are better run than large firms B. government subsidies available to small firms produce effects that are discernible in stock market statistics C. small firms are riskier than large firms D. small firms are not being accurately represented in the data LO: b. Explain core concepts in investments, including risk, return, risk premium, risk aversion, efficient diversification, capital asset pricing and arbitrage pricing theory and the efficient market hypothesis. Problem 2. Risk and Returns (Weight 25%) A stock has had the following year-end prices and dividends for the year paid at the end of the year. Year 2015 2016 2017 2018 2019



End-of-Year Price Rp.6.100 Rp.6.400 Rp.7.200 Rp.6.300 Rp.6.900



Dividend Paid at Year End Rp.72 Rp.78 Rp.86 Rp.95



An investors buy 3 shares at the end 2015, buy another 2 shares at the end of 2016, sell 1 share at the end of 2017, hold the rest in 2018 and the sell all the 4 shares at the end of 2019.



a. What are the arithmetic average and geometric average time-weighted rate of returns for the investor? b. What is the money-weighted rate of returns? (Hint: Draw a time line and carefully plot the cash flows at the end of the years or the same as at the beginning of the following years). Problem 3. Portfolio theory and the CAPM (Weight 25%) 1. Suppose the risk-free rate is 6%, and the expected return on the market is 14%. Return on ABC stock with a beta of 1.2 would be 17%. a. Draw graph with SML line and show where the ABC stock would lie. b. Explain the price and expected return on this stock based on the graph. 2. You estimate that your risk-aversion coefficient is 1.8. You learn that SPN offers a 6% rate, and the standard deviation of the market portfolio is 15%. a. Calculate your expected rate of return b. How does your expected rate of return differ with another investor who is more risktolerant than yourself? Lo: c. Explain basic investment analysis, valuation and management, for various financial products available in the financial market, including fixed income, equity and derivative securities. Problem 4. Bonds Analysis. (Weight 25%) 1. You will be paying IDR11.700.000 a year in tuition expenses at the end of the next two years. Bonds currently yield 7%. a. What is the present value and duration of your obligation? b. What maturity zero-coupon bond would immunize your obligation? c. Suppose you buy a zero-coupon bond with value and duration equal to your obligation. Now suppose that rates immediately increase to 8%. What happens to your net position, that is, to the difference between the value of the bond and that of your tuition obligation? What if rates fall to 6%? 2. A 2-year bond with par value of IDR1,000,000 making annual coupon payment of IDR110,000 is priced at IDR1,000,000 a. What is the yield to maturity of the bond? b. What will be the realized compound yield to maturity if the one-year interest rate next year turns out to be: (1) 9% (2) 11% (3) 13%



SURAT PERNYATAAN KEJUJURAN AKADEMIK Dalam ujian mata kuliah Investasi dan Pasar Modal, Nama : NPM : Saya menyatakan dengan sejujurnya bahwa: 1. Saya tidak menerima dan atau tidak memberikan bantuan dalam bentuk apapun kepada mahasiswa lain dalam mengerjakan soal ujian. 2. Saya tidak melakukan plagiasi atas pekerjaan orang lain dan mengakuinya sebagai pekerjaan saya 3. Saya memahami bahwa segala tindakan kecurangan akan mendapatkan hukuman sesuai dengan aturan akademik yang berlaku pada Fakultas Ekonomi dan Bisnis Universitas Indonesia



Depok, 7 April 2020 Ttd.



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