Download GTU (Gujarat Technological University) MBA (Master of Business Administration) 2016 Summer 3rd Sem 2830203 Security Analysis And Portfolio Management Previous Question Paper
Seat No.: ________ Enrolment No.___________
GUJARAT TECHNOLOGICAL UNIVERSITY
MBA ? SEMESTER 3 ? EXAMINATION ? SUMMER 2016
Subject Code: 2830203 Date: 09/05/2016
Subject Name: Security Analysis and Portfolio Management
Time: 10.30 AM TO 01.30 PM Total Marks: 70
Instructions:
1. Attempt all questions.
2. Make suitable assumptions wherever necessary.
3. Figures to the right indicate full marks.
Q1 Answer the following multiple choice questions: 06
Which of the following terms represent an upper price limit for a stock
based on the quantity of the willing seller?
1.
A. Support B. Trend line
C. Resistance D. Channel
A main difference between real and nominal return proceeds is that,
2.
A. A real return adjust for
inflation and nominal
return do not
B. Real return use actual cash
flows and nominal use expected
cash flows
C. Real return adjust for
commissions and
nominal returns do not
D Real returns show highest
possible return and nominal
show lowest possible return
Non-systematic risk is further more identified as
3. A. No diversifiable risk B. Market risk
C. Random risk D. Company specific risk
Suppose you have 20 stocks and you want to derive efficient frontier,
how many co-variances do you have to calculate?
4. A. 90 B. 190
C. 20 D. 400
Mr X is just retired as a government officer. Which investment would
grade upper most with regard to protection is,
5. A. Preferred stock B. Real estate
C. Common stock D. Government bonds
Consider two stock in portfolio A and B
E (R) S.D.
A 15% 10%
B 20% 30%
If the returns of the two stocks perfectly negatively correlated what is
the weightage of two stocks that risk of portfolio driven down to zero?
6. A. 75% and 25% B. 60% and 40%
C. 80% and 20% D. 66.67% and 33.33%
Q.1 (b) Explain the meaning of the following terms: 04
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Seat No.: ________ Enrolment No.___________
GUJARAT TECHNOLOGICAL UNIVERSITY
MBA ? SEMESTER 3 ? EXAMINATION ? SUMMER 2016
Subject Code: 2830203 Date: 09/05/2016
Subject Name: Security Analysis and Portfolio Management
Time: 10.30 AM TO 01.30 PM Total Marks: 70
Instructions:
1. Attempt all questions.
2. Make suitable assumptions wherever necessary.
3. Figures to the right indicate full marks.
Q1 Answer the following multiple choice questions: 06
Which of the following terms represent an upper price limit for a stock
based on the quantity of the willing seller?
1.
A. Support B. Trend line
C. Resistance D. Channel
A main difference between real and nominal return proceeds is that,
2.
A. A real return adjust for
inflation and nominal
return do not
B. Real return use actual cash
flows and nominal use expected
cash flows
C. Real return adjust for
commissions and
nominal returns do not
D Real returns show highest
possible return and nominal
show lowest possible return
Non-systematic risk is further more identified as
3. A. No diversifiable risk B. Market risk
C. Random risk D. Company specific risk
Suppose you have 20 stocks and you want to derive efficient frontier,
how many co-variances do you have to calculate?
4. A. 90 B. 190
C. 20 D. 400
Mr X is just retired as a government officer. Which investment would
grade upper most with regard to protection is,
5. A. Preferred stock B. Real estate
C. Common stock D. Government bonds
Consider two stock in portfolio A and B
E (R) S.D.
A 15% 10%
B 20% 30%
If the returns of the two stocks perfectly negatively correlated what is
the weightage of two stocks that risk of portfolio driven down to zero?
6. A. 75% and 25% B. 60% and 40%
C. 80% and 20% D. 66.67% and 33.33%
Q.1 (b) Explain the meaning of the following terms: 04
2
1. Circuit breaker
2. Anchoring
3. Short sell
4. Regret aversion
Q.1 (c) Write a note of IPO investments. 04
Q.2 (a) Define investments. Discuss the various marketable and non-marketable
investment avenues available to investors.
07
(b) What do you mean by efficient market hypothesis? Also explain the
forms of market efficiency.
07
OR
(b) A highly volatile stock earns the following returns over six year periods
R1= 10%, R2= 30%, R3=15%, R4=-0.12, R5=35%, R6=12%
Calculate and interpret the following values:
1. Arithmetic mean
2. Cumulative wealth index
3. Standard deviation
07
Q.3 (a) What are the basic assumption and inputs required for CAPM? Explain
CML and SML. Also establish intra-relation between them.
07
(b) The earning of a company has been growing at 15% over the past several
years and is expected to increase at this rate for next seven years and
thereafter at 9% in perpetuity it is currently earning Rs 4 per share and
paying Rs 2 per dividend. What shall be present value of share with
discount rate of 12% for the first seven years and 10% thereafter?
07
OR
Q.3 (a) Select an industry of your choice and do the industry analysis in the
current economic scenario.
07
(b) The following table gives analyst expected return on two stocks for
particular market:
Market return Aggressive stock Defensive stock
8% 3% 10%
25% 40% 20%
1. What are the betas of the stocks?
2. What is the expected return on each stock if market return is
equally likely to be 8% and 25%?
3. If the risk free rate is 9% and market return is equally likely to
be 8% or 25%, what is SML?
4. What is the alpha of two stocks?
07
Q.4 (a) Write a note on the following:
1. Technical analysis
2. Dow theory and components
07
(b) The rates of return on stock X and market portfolio for last 12
months are given below:
07
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Seat No.: ________ Enrolment No.___________
GUJARAT TECHNOLOGICAL UNIVERSITY
MBA ? SEMESTER 3 ? EXAMINATION ? SUMMER 2016
Subject Code: 2830203 Date: 09/05/2016
Subject Name: Security Analysis and Portfolio Management
Time: 10.30 AM TO 01.30 PM Total Marks: 70
Instructions:
1. Attempt all questions.
2. Make suitable assumptions wherever necessary.
3. Figures to the right indicate full marks.
Q1 Answer the following multiple choice questions: 06
Which of the following terms represent an upper price limit for a stock
based on the quantity of the willing seller?
1.
A. Support B. Trend line
C. Resistance D. Channel
A main difference between real and nominal return proceeds is that,
2.
A. A real return adjust for
inflation and nominal
return do not
B. Real return use actual cash
flows and nominal use expected
cash flows
C. Real return adjust for
commissions and
nominal returns do not
D Real returns show highest
possible return and nominal
show lowest possible return
Non-systematic risk is further more identified as
3. A. No diversifiable risk B. Market risk
C. Random risk D. Company specific risk
Suppose you have 20 stocks and you want to derive efficient frontier,
how many co-variances do you have to calculate?
4. A. 90 B. 190
C. 20 D. 400
Mr X is just retired as a government officer. Which investment would
grade upper most with regard to protection is,
5. A. Preferred stock B. Real estate
C. Common stock D. Government bonds
Consider two stock in portfolio A and B
E (R) S.D.
A 15% 10%
B 20% 30%
If the returns of the two stocks perfectly negatively correlated what is
the weightage of two stocks that risk of portfolio driven down to zero?
6. A. 75% and 25% B. 60% and 40%
C. 80% and 20% D. 66.67% and 33.33%
Q.1 (b) Explain the meaning of the following terms: 04
2
1. Circuit breaker
2. Anchoring
3. Short sell
4. Regret aversion
Q.1 (c) Write a note of IPO investments. 04
Q.2 (a) Define investments. Discuss the various marketable and non-marketable
investment avenues available to investors.
07
(b) What do you mean by efficient market hypothesis? Also explain the
forms of market efficiency.
07
OR
(b) A highly volatile stock earns the following returns over six year periods
R1= 10%, R2= 30%, R3=15%, R4=-0.12, R5=35%, R6=12%
Calculate and interpret the following values:
1. Arithmetic mean
2. Cumulative wealth index
3. Standard deviation
07
Q.3 (a) What are the basic assumption and inputs required for CAPM? Explain
CML and SML. Also establish intra-relation between them.
07
(b) The earning of a company has been growing at 15% over the past several
years and is expected to increase at this rate for next seven years and
thereafter at 9% in perpetuity it is currently earning Rs 4 per share and
paying Rs 2 per dividend. What shall be present value of share with
discount rate of 12% for the first seven years and 10% thereafter?
07
OR
Q.3 (a) Select an industry of your choice and do the industry analysis in the
current economic scenario.
07
(b) The following table gives analyst expected return on two stocks for
particular market:
Market return Aggressive stock Defensive stock
8% 3% 10%
25% 40% 20%
1. What are the betas of the stocks?
2. What is the expected return on each stock if market return is
equally likely to be 8% and 25%?
3. If the risk free rate is 9% and market return is equally likely to
be 8% or 25%, what is SML?
4. What is the alpha of two stocks?
07
Q.4 (a) Write a note on the following:
1. Technical analysis
2. Dow theory and components
07
(b) The rates of return on stock X and market portfolio for last 12
months are given below:
07
3
Month 1 2 3 4 5 6 7 8 9 10 11 12
Return
on
stock
(%)
13 17 24 15 14 18 16 6 10 13 14 20
Return
on
market
(%)
14 13 12 7 9 15 18 7 3 16 8 10
1. Calculate and interpret the beta stock ? X.
2. What is characteristic line for stock ? X?
OR
Q.4 (a) Write a note on the following:
1. Single index model
2. Arbitrage pricing theory
07
(b) Calculate the systematic and unsystematic risks for the given securities
from the following data.
Average
Return (%)
Standard
deviation
Beta
Tata power 33.90 126.34 0.36
Mahindra &
Mahindra
25.09 106.70 0.74
Market index
(Nifty)
28.63 39.52 1
Correlation
coefficient
0.90
r
2
0.81
07
Q.5 Mr. X has recently completed MBA Finance from GTU as major
in finance and he has been hired as a financial planner by a leading
financial corporation. His boss has assigned him the task of
investing Rs 10,00,000 for a client who has been asked to consider
only the following investment alternatives, Stock A and Stock B.
The research wing of the company has developed the probability
distribution for the state of the economy and estimated value of
rate of return under each state of economy. The following
information is available for your research purpose:
State of
Economy
Probability Stock A Stock B
1 0.20 5 20
2 0.30 15 14
3 0.40 18 35
4 0.10 02 10
1. What are expected returns and standard deviations of returns for
stock A and B? What is your recommendation of client in terms
of variability for the two stocks? Which stock is more consistent?
Justify your answers.
14
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Seat No.: ________ Enrolment No.___________
GUJARAT TECHNOLOGICAL UNIVERSITY
MBA ? SEMESTER 3 ? EXAMINATION ? SUMMER 2016
Subject Code: 2830203 Date: 09/05/2016
Subject Name: Security Analysis and Portfolio Management
Time: 10.30 AM TO 01.30 PM Total Marks: 70
Instructions:
1. Attempt all questions.
2. Make suitable assumptions wherever necessary.
3. Figures to the right indicate full marks.
Q1 Answer the following multiple choice questions: 06
Which of the following terms represent an upper price limit for a stock
based on the quantity of the willing seller?
1.
A. Support B. Trend line
C. Resistance D. Channel
A main difference between real and nominal return proceeds is that,
2.
A. A real return adjust for
inflation and nominal
return do not
B. Real return use actual cash
flows and nominal use expected
cash flows
C. Real return adjust for
commissions and
nominal returns do not
D Real returns show highest
possible return and nominal
show lowest possible return
Non-systematic risk is further more identified as
3. A. No diversifiable risk B. Market risk
C. Random risk D. Company specific risk
Suppose you have 20 stocks and you want to derive efficient frontier,
how many co-variances do you have to calculate?
4. A. 90 B. 190
C. 20 D. 400
Mr X is just retired as a government officer. Which investment would
grade upper most with regard to protection is,
5. A. Preferred stock B. Real estate
C. Common stock D. Government bonds
Consider two stock in portfolio A and B
E (R) S.D.
A 15% 10%
B 20% 30%
If the returns of the two stocks perfectly negatively correlated what is
the weightage of two stocks that risk of portfolio driven down to zero?
6. A. 75% and 25% B. 60% and 40%
C. 80% and 20% D. 66.67% and 33.33%
Q.1 (b) Explain the meaning of the following terms: 04
2
1. Circuit breaker
2. Anchoring
3. Short sell
4. Regret aversion
Q.1 (c) Write a note of IPO investments. 04
Q.2 (a) Define investments. Discuss the various marketable and non-marketable
investment avenues available to investors.
07
(b) What do you mean by efficient market hypothesis? Also explain the
forms of market efficiency.
07
OR
(b) A highly volatile stock earns the following returns over six year periods
R1= 10%, R2= 30%, R3=15%, R4=-0.12, R5=35%, R6=12%
Calculate and interpret the following values:
1. Arithmetic mean
2. Cumulative wealth index
3. Standard deviation
07
Q.3 (a) What are the basic assumption and inputs required for CAPM? Explain
CML and SML. Also establish intra-relation between them.
07
(b) The earning of a company has been growing at 15% over the past several
years and is expected to increase at this rate for next seven years and
thereafter at 9% in perpetuity it is currently earning Rs 4 per share and
paying Rs 2 per dividend. What shall be present value of share with
discount rate of 12% for the first seven years and 10% thereafter?
07
OR
Q.3 (a) Select an industry of your choice and do the industry analysis in the
current economic scenario.
07
(b) The following table gives analyst expected return on two stocks for
particular market:
Market return Aggressive stock Defensive stock
8% 3% 10%
25% 40% 20%
1. What are the betas of the stocks?
2. What is the expected return on each stock if market return is
equally likely to be 8% and 25%?
3. If the risk free rate is 9% and market return is equally likely to
be 8% or 25%, what is SML?
4. What is the alpha of two stocks?
07
Q.4 (a) Write a note on the following:
1. Technical analysis
2. Dow theory and components
07
(b) The rates of return on stock X and market portfolio for last 12
months are given below:
07
3
Month 1 2 3 4 5 6 7 8 9 10 11 12
Return
on
stock
(%)
13 17 24 15 14 18 16 6 10 13 14 20
Return
on
market
(%)
14 13 12 7 9 15 18 7 3 16 8 10
1. Calculate and interpret the beta stock ? X.
2. What is characteristic line for stock ? X?
OR
Q.4 (a) Write a note on the following:
1. Single index model
2. Arbitrage pricing theory
07
(b) Calculate the systematic and unsystematic risks for the given securities
from the following data.
Average
Return (%)
Standard
deviation
Beta
Tata power 33.90 126.34 0.36
Mahindra &
Mahindra
25.09 106.70 0.74
Market index
(Nifty)
28.63 39.52 1
Correlation
coefficient
0.90
r
2
0.81
07
Q.5 Mr. X has recently completed MBA Finance from GTU as major
in finance and he has been hired as a financial planner by a leading
financial corporation. His boss has assigned him the task of
investing Rs 10,00,000 for a client who has been asked to consider
only the following investment alternatives, Stock A and Stock B.
The research wing of the company has developed the probability
distribution for the state of the economy and estimated value of
rate of return under each state of economy. The following
information is available for your research purpose:
State of
Economy
Probability Stock A Stock B
1 0.20 5 20
2 0.30 15 14
3 0.40 18 35
4 0.10 02 10
1. What are expected returns and standard deviations of returns for
stock A and B? What is your recommendation of client in terms
of variability for the two stocks? Which stock is more consistent?
Justify your answers.
14
4
2. If correlation coefficient of two stocks is 0.80 and investor wants
to invest 40% in stock A and remaining in stock B, what is the
expected return and risk of the portfolio of the two stocks?
OR
Q.5 Consider the following information for three mutual funds, X, Y and Z
and the market.
Mean return S.D. Beta
X 15% 20% 0.90
Y 17% 24% 1.10
Z 19% 27% 1.20
Market index 16 20 1.00
The mean risk free rate was 10%.
1 Calculate the Treynor measure, Sharpe measure and Jensen
measure for the three mutual funds and the market index.
2 Explain the real life application of the Treynor measure, Sharpe
measure and Jensen measure with reference to the above
question.
14
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This post was last modified on 19 February 2020