Download JNTUH MBA 3rd Sem 2018 Jan Security Analysis And Portfolio Management Question Paper

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Question Paper Code: CMB404

MBA III Semester End Examinations (Regular) - January, 2018

Regulation: R16

Security Analysis And Portfolio Management

(MASTER OF BUSINESS MANAGEMENT)

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Time: 3 Hours

Max Marks: 70

Answer ONE Question from each Unit

All Questions Carry Equal Marks

All parts of the question must be answered in one place only

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UNIT I

1. (a) Explain the forms of efficient market hypothesis. [7M]
   (b) What is stock market? Write the functions of stock exchange. [7M]
2. (a) Write a brief note on National Stock Exchange and Bombay Stock Exchange. [7M]
   (b) Explain the different investment avenues. [7M]

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UNIT II

1. (a) Write the assumptions of CAPM Model. [7M]
   (b) Mr. Suresh is considering the purchase of two stocks X and Y for the next year. The returns of the securities depend on the next year's state of the market. The estimated rates of return are shown in the Table 1. [7M]

   Table 1

   State of the market	Probability of occurrence	Return of X	Return of Y
   recession	0.30	12%	10%
   average	0.40	14%	12%
   boom	0.30	16%	18%

   1. Find out the Individual Return and Risk
   2. Find out the Portfolio Return by considering equal proportion

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   3. Find out the Co variances and correlation
   4. Find out the portfolio Risk by considering equal proportion
2. (a) Explain the arbitrage pricing theory. [7M]
   (b) Estimate the stock return by using the arbitrage model. The expected return of the market is 18% and the equity's beta is 1.5. The risk free rate of interest is 9% and market risk and sensitivity index is given in Table 2. [7M]

   Table 2

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   security	market risk	sensitivity index
   inflation	8%	1.2
   industrial production	3%	0.95
   risk premium	5%	1.1
   interest rate	4%	0.8

UNIT - III

1. (a) Explain the risks involved with bonds. [7M]
   (b) Explain the different bond theories with example. [7M]
2. (a) Mention the types of bonds. Explain in detail. [7M]
   

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   (b) i. Determine the price of Rs.1000 zero coupon bond with yield to maturity of 20% and 8 years to maturity.
   ii. What is the YTM of this bond if its price is Rs.250.

UNIT – IV

1. (a) Write the differences between futures and option contracts. [7M]
   (b) Design a SWAP diagram from the Table 3 shown below. [7M]

   Table 3

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   company	fixed interest rate	floating interest rate
   A	10%	LI+.2
   B	11.2%	LI+.6

2. (a) Explain the types of derivatives. [7M]
   (b) Explain the steps to design interest rate SWAP. [7M]

UNIT V

1. (a) Write the advantages of mutual funds. [7M]
   

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   (b) The Table 4 is provided regarding the performance of the funds namely ICICI, BIRLA and FRANKLIN for a period of one-year. The risk free rate of interest is 10%. Rank them with the help of Sharpe's and Treynor's index. [7M]

   Table 4

   funds	Rp	SD	Beta
   ICICI	27	5	0.56
   BIRLA	25	8	0.74
   FRANKLIN	23	3.5	0.89

2. (a) Explain the concept of net asset value. [7M]
   (b) Franklin fund, T-bill and NSE nifty have the following returns over past 5 years given in Table 5. What is the predictive ability of the fund? [7M]

   Table 5

   Year	Franklin fund %	T-bill %	NSE nifty %
   1	9	6	6
   2	-6	10	-5
   3	14	8	11
   4	12	7	10
   5	16	9	13

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