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

Download JNTUH (Jawaharlal Nehru Technological University Hyderabad) MBA Third Year (3rd Year) 2018 Jan Security Analysis And Portfolio Management Question Paper.

HallTicketNo QuestionPaperCode:CMB404
.
.
MBAIIISemesterEndExaminations(Regular)-January,2018
Regulation: .?R16
SecurityAnalysisAndPortfolioManagement
(MASTEROFBUSINESSMANAGEMENT)
Time: 3Hours MaxMarks: 70
AnswerONEQuestionfromeachUnit
AllQuestionsCarryEqualMarks
Allpartsofthequestionmustbeansweredinoneplaceonly
UNIT?I
1. (a) Explaintheformsofe?cientmarkethypothesis. [7M]
(b) Whatisstockmarket?Writethefunctionsofstockexchange. [7M]
2. (a) WriteabriefnoteonNationalStockExchangeandBombayStockExchange. [7M]
(b) Explainthedi?erentinvestmentavenues. [7M]
UNIT?II
3. (a) WritetheassumptionsofCAPMModel. [7M]
(b) Mr.SureshisconsideringthepurchaseoftwostocksXandYforthenextyear.Thereturnsof
thesecuritiesdependonthenextyear?sstateofthemarket. Theestimatedratesofreturnare
shownintheTable1. [7M]
Table1
Stateofthemarket Probabilityofoccurrence ReturnofX ReturnofY
recession 0.30 12% 10%
average 0.40 14% 12%
boom 0.30 16% 18%
i. FindouttheIndividualReturnandRisk
ii. FindoutthePortfolioReturnbyconsideringequalproportion
iii. FindouttheCovariancesandcorrelation
iv. FindouttheportfolioRiskbyconsideringequalproportion
4. (a) Explainthearbitragepricingtheory. [7M]
(b) Estimatethestockreturnbyusingthearbitragemodel.Theexpectedreturnofthemarketis
18%andtheequity?sbetais1.5.Theriskfreerateofinterestis9%andmarketriskandsensitivity
indexisgiveninTable2. [7M]
Page1of3
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HallTicketNo QuestionPaperCode:CMB404
.
.
MBAIIISemesterEndExaminations(Regular)-January,2018
Regulation: .?R16
SecurityAnalysisAndPortfolioManagement
(MASTEROFBUSINESSMANAGEMENT)
Time: 3Hours MaxMarks: 70
AnswerONEQuestionfromeachUnit
AllQuestionsCarryEqualMarks
Allpartsofthequestionmustbeansweredinoneplaceonly
UNIT?I
1. (a) Explaintheformsofe?cientmarkethypothesis. [7M]
(b) Whatisstockmarket?Writethefunctionsofstockexchange. [7M]
2. (a) WriteabriefnoteonNationalStockExchangeandBombayStockExchange. [7M]
(b) Explainthedi?erentinvestmentavenues. [7M]
UNIT?II
3. (a) WritetheassumptionsofCAPMModel. [7M]
(b) Mr.SureshisconsideringthepurchaseoftwostocksXandYforthenextyear.Thereturnsof
thesecuritiesdependonthenextyear?sstateofthemarket. Theestimatedratesofreturnare
shownintheTable1. [7M]
Table1
Stateofthemarket Probabilityofoccurrence ReturnofX ReturnofY
recession 0.30 12% 10%
average 0.40 14% 12%
boom 0.30 16% 18%
i. FindouttheIndividualReturnandRisk
ii. FindoutthePortfolioReturnbyconsideringequalproportion
iii. FindouttheCovariancesandcorrelation
iv. FindouttheportfolioRiskbyconsideringequalproportion
4. (a) Explainthearbitragepricingtheory. [7M]
(b) Estimatethestockreturnbyusingthearbitragemodel.Theexpectedreturnofthemarketis
18%andtheequity?sbetais1.5.Theriskfreerateofinterestis9%andmarketriskandsensitivity
indexisgiveninTable2. [7M]
Page1of3
Table2
security marketrisk sensitivityindex
in?ation 8% 1.2
ndustrialproduction 3% 0.95
riskpremium 5% 1.1
interestrate 4% 0.8
UNIT?III
5. (a) Explaintherisksinvolvedwithbonds. [7M]
(b) Explainthedi?erentbondtheorieswithexample. [7M]
6. (a) Mentionthetypesofbonds.Explainindetail. [7M]
(b) i. DeterminethepriceofRs.1000zerocouponbondwithyieldtomaturityof20%and8years
tomaturity.
ii. WhatistheYTMofthisbondifitspriceisRs.250. [7M]
UNIT?IV
7. (a) Writethedi?erencesbetweenfuturesandoptioncontracts. [7M]
(b) DesignaSWAPdiagramfromtheTable3shownbelow. [7M]
Table3
company ?xedinterestrate ?oatinginterestrate
A 10% LI+.2
B 11.2% LI+.6
8. (a) Explainthetypesofderivatives. [7M]
(b) ExplainthestepstodesigninterestrateSWAP. [7M]
UNIT?V
9. (a) Writetheadvantagesofmutualfunds. [7M]
(b) TheTable4is providedregarding theperformanceofthe fundsnamelyICICI,BIRLA and
FRANKLINforaperiodofone-year.Theriskfreerateofinterestis10%.Rankthemwiththe
helpofSharpe?sandTreynor?sindex. [7M]
Table4
funds Rp SD Beta
ICICI 27 5 0.56
BIRLA 25 8 0.74
FRANKLIN 23 3.5 0.89
Page2of3
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HallTicketNo QuestionPaperCode:CMB404
.
.
MBAIIISemesterEndExaminations(Regular)-January,2018
Regulation: .?R16
SecurityAnalysisAndPortfolioManagement
(MASTEROFBUSINESSMANAGEMENT)
Time: 3Hours MaxMarks: 70
AnswerONEQuestionfromeachUnit
AllQuestionsCarryEqualMarks
Allpartsofthequestionmustbeansweredinoneplaceonly
UNIT?I
1. (a) Explaintheformsofe?cientmarkethypothesis. [7M]
(b) Whatisstockmarket?Writethefunctionsofstockexchange. [7M]
2. (a) WriteabriefnoteonNationalStockExchangeandBombayStockExchange. [7M]
(b) Explainthedi?erentinvestmentavenues. [7M]
UNIT?II
3. (a) WritetheassumptionsofCAPMModel. [7M]
(b) Mr.SureshisconsideringthepurchaseoftwostocksXandYforthenextyear.Thereturnsof
thesecuritiesdependonthenextyear?sstateofthemarket. Theestimatedratesofreturnare
shownintheTable1. [7M]
Table1
Stateofthemarket Probabilityofoccurrence ReturnofX ReturnofY
recession 0.30 12% 10%
average 0.40 14% 12%
boom 0.30 16% 18%
i. FindouttheIndividualReturnandRisk
ii. FindoutthePortfolioReturnbyconsideringequalproportion
iii. FindouttheCovariancesandcorrelation
iv. FindouttheportfolioRiskbyconsideringequalproportion
4. (a) Explainthearbitragepricingtheory. [7M]
(b) Estimatethestockreturnbyusingthearbitragemodel.Theexpectedreturnofthemarketis
18%andtheequity?sbetais1.5.Theriskfreerateofinterestis9%andmarketriskandsensitivity
indexisgiveninTable2. [7M]
Page1of3
Table2
security marketrisk sensitivityindex
in?ation 8% 1.2
ndustrialproduction 3% 0.95
riskpremium 5% 1.1
interestrate 4% 0.8
UNIT?III
5. (a) Explaintherisksinvolvedwithbonds. [7M]
(b) Explainthedi?erentbondtheorieswithexample. [7M]
6. (a) Mentionthetypesofbonds.Explainindetail. [7M]
(b) i. DeterminethepriceofRs.1000zerocouponbondwithyieldtomaturityof20%and8years
tomaturity.
ii. WhatistheYTMofthisbondifitspriceisRs.250. [7M]
UNIT?IV
7. (a) Writethedi?erencesbetweenfuturesandoptioncontracts. [7M]
(b) DesignaSWAPdiagramfromtheTable3shownbelow. [7M]
Table3
company ?xedinterestrate ?oatinginterestrate
A 10% LI+.2
B 11.2% LI+.6
8. (a) Explainthetypesofderivatives. [7M]
(b) ExplainthestepstodesigninterestrateSWAP. [7M]
UNIT?V
9. (a) Writetheadvantagesofmutualfunds. [7M]
(b) TheTable4is providedregarding theperformanceofthe fundsnamelyICICI,BIRLA and
FRANKLINforaperiodofone-year.Theriskfreerateofinterestis10%.Rankthemwiththe
helpofSharpe?sandTreynor?sindex. [7M]
Table4
funds Rp SD Beta
ICICI 27 5 0.56
BIRLA 25 8 0.74
FRANKLIN 23 3.5 0.89
Page2of3
10. (a) Explaintheconceptofnetassetvalue. [7M]
(b) Franklinfund,T-billandNSEniftyhavethefollowingreturnsoverpast5yearsgiveninTable
5.Whatisthepredictiveabilityofthefund? [7M]
Table5
Year Franklinfund% T-bill% NSEnifty%
1 9 6 6
2 -6 10 -5
3 14 8 11
4 12 7 10
5 16 9 13
Page3of3
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