Download GTU (Gujarat Technological University) MBA (Master of Business Administration) 2018 Winter 3rs Sem 2830203 Previous Question Paper

Seat No.: ________ Enrolment No.___________

GUJARAT TECHNOLOGICAL UNIVERSITY

MBA (PART TIME) ? SEMESTER 3 ? EXAMINATION ? WINTER 2018

Subject Code: 2830203 Date:11/12/2018

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.

Q. No. Question Text and Option 6

Q.1 (a)

The aggressive investor buys more

1.

A. Money market

instruments

B. Gold

C. Equity Shares D. Options and Futures

2.

An investor gets 15 per cent return from X?s stock. The inflation rate is 7

percent. His real rate of return is

A. 7.48% B. 8%

C. 2.5% D 7.84%

3.

If the company?s net profit is Rs. 240 million and Equity capital is Rs. 240

million with a face value of shares equivalent to Rs. 2, what is the earning

per share?

A. Rs. 3 B. Re. 1

C. Rs. 2 D. Rs.2.5

4.

Which of the following statement defines an efficient market?

A. Information is fully

reflected in the stock

prices.

B. the stock exchange is fully automated

C. the market is

regulated by

regulatory authorities

D. Free entry and exit of investors.

5.

The value of the bond depends on

A. the coupon rate B. the expected YTM

C. years to maturity D. all the above

6.

Diversification reduces:

A. interest rate risk

B. market risk

C. unique risk D. Active in portfolio management

Q.1 (b) Short Definitions

1. Market risk premium

2. S&P CNX Nifty

3. The Dow Theory

4. Alpha

04

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Seat No.: ________ Enrolment No.___________

GUJARAT TECHNOLOGICAL UNIVERSITY

MBA (PART TIME) ? SEMESTER 3 ? EXAMINATION ? WINTER 2018

Subject Code: 2830203 Date:11/12/2018

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.

Q. No. Question Text and Option 6

Q.1 (a)

The aggressive investor buys more

1.

A. Money market

instruments

B. Gold

C. Equity Shares D. Options and Futures

2.

An investor gets 15 per cent return from X?s stock. The inflation rate is 7

percent. His real rate of return is

A. 7.48% B. 8%

C. 2.5% D 7.84%

3.

If the company?s net profit is Rs. 240 million and Equity capital is Rs. 240

million with a face value of shares equivalent to Rs. 2, what is the earning

per share?

A. Rs. 3 B. Re. 1

C. Rs. 2 D. Rs.2.5

4.

Which of the following statement defines an efficient market?

A. Information is fully

reflected in the stock

prices.

B. the stock exchange is fully automated

C. the market is

regulated by

regulatory authorities

D. Free entry and exit of investors.

5.

The value of the bond depends on

A. the coupon rate B. the expected YTM

C. years to maturity D. all the above

6.

Diversification reduces:

A. interest rate risk

B. market risk

C. unique risk D. Active in portfolio management

Q.1 (b) Short Definitions

1. Market risk premium

2. S&P CNX Nifty

3. The Dow Theory

4. Alpha

04

2

Q.1 (c) Write a Short note on Investment and various Investment Avenues

available to Investors.

04

Q.2 (a) Define and Differentiate Technical analysis from Fundamental analysis. 07

(b) Consider two stocks A and B

Stocks Expected return % Standard Deviation%

Stock A 14% 22%

Stock B 20% 35%

The returns on the stocks are perfectly negatively correlated.

What is the expected return of a portfolio comprising of the stocks A

and B when the portfolio is constructed to drive the standard deviation

of the portfolio return to zero?

07

OR

(b) The following information is available:

Stock

P

Stock

Q

Efficient return 14% 20%

Standard deviation 25% 40%

Correlation

coefficient

0.40

a. What is the covariance between stocks P and Q?

What is the expected return and risk of a portfolio in which P and Q are

equally weighted?

07

Q.3 (a) Explain the Difference between SML and CML . 07

(b) The returns on the equity stock of Auto Electricals Limited and the

market portfolio over an 11 year period are given below:

Year RA RM

1 15 12

2 -6 1

3 18 14

4 30 24

5 12 16

6 25 30

7 2 -3

8 20 24

9 18 15

10 24 22

11 8. 12

(a) Calculate the beta for the stock of Auto Electricals Limited.

Establish the characteristic line for the stock of Auto Electricals

Limited.

07

OR

Q.3 (a) Write a Short note on Capital Asset Pricing Model 07

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Seat No.: ________ Enrolment No.___________

GUJARAT TECHNOLOGICAL UNIVERSITY

MBA (PART TIME) ? SEMESTER 3 ? EXAMINATION ? WINTER 2018

Subject Code: 2830203 Date:11/12/2018

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.

Q. No. Question Text and Option 6

Q.1 (a)

The aggressive investor buys more

1.

A. Money market

instruments

B. Gold

C. Equity Shares D. Options and Futures

2.

An investor gets 15 per cent return from X?s stock. The inflation rate is 7

percent. His real rate of return is

A. 7.48% B. 8%

C. 2.5% D 7.84%

3.

If the company?s net profit is Rs. 240 million and Equity capital is Rs. 240

million with a face value of shares equivalent to Rs. 2, what is the earning

per share?

A. Rs. 3 B. Re. 1

C. Rs. 2 D. Rs.2.5

4.

Which of the following statement defines an efficient market?

A. Information is fully

reflected in the stock

prices.

B. the stock exchange is fully automated

C. the market is

regulated by

regulatory authorities

D. Free entry and exit of investors.

5.

The value of the bond depends on

A. the coupon rate B. the expected YTM

C. years to maturity D. all the above

6.

Diversification reduces:

A. interest rate risk

B. market risk

C. unique risk D. Active in portfolio management

Q.1 (b) Short Definitions

1. Market risk premium

2. S&P CNX Nifty

3. The Dow Theory

4. Alpha

04

2

Q.1 (c) Write a Short note on Investment and various Investment Avenues

available to Investors.

04

Q.2 (a) Define and Differentiate Technical analysis from Fundamental analysis. 07

(b) Consider two stocks A and B

Stocks Expected return % Standard Deviation%

Stock A 14% 22%

Stock B 20% 35%

The returns on the stocks are perfectly negatively correlated.

What is the expected return of a portfolio comprising of the stocks A

and B when the portfolio is constructed to drive the standard deviation

of the portfolio return to zero?

07

OR

(b) The following information is available:

Stock

P

Stock

Q

Efficient return 14% 20%

Standard deviation 25% 40%

Correlation

coefficient

0.40

a. What is the covariance between stocks P and Q?

What is the expected return and risk of a portfolio in which P and Q are

equally weighted?

07

Q.3 (a) Explain the Difference between SML and CML . 07

(b) The returns on the equity stock of Auto Electricals Limited and the

market portfolio over an 11 year period are given below:

Year RA RM

1 15 12

2 -6 1

3 18 14

4 30 24

5 12 16

6 25 30

7 2 -3

8 20 24

9 18 15

10 24 22

11 8. 12

(a) Calculate the beta for the stock of Auto Electricals Limited.

Establish the characteristic line for the stock of Auto Electricals

Limited.

07

OR

Q.3 (a) Write a Short note on Capital Asset Pricing Model 07

3

(b) Assume the following hold:

Risk free Return 7%

Expected Return on the market 13%

Standard deviation on the market 20%

The expected return and risk for the following portfolios:

(a) 60% of the investible wealth in the market portfolio, 40% in

the riskless assets.

(b) 125% of the investible wealth in the market portfolio.

07

Q.4 (a) What are the rules of Duration in Bonds? 07

(b) A Rs. 100 par value bond bears a coupon rate of 12 percent and

matures after 6 years. Interest is payable semi ? annually. Compute

the value of the bond if the required rate of return is 16 percent,

compounded semiannually.

07

OR

Q.4 (a) Briefly explain the different types of market orders. 07

(b) A Zero coupon bond of Rs. 10,000 has a term to maturity of eight years

and a market yield of 10 % at the time of issue:

(a) What is the issue price?

(b) What is the duration of the bond?

(c) What is the modified duration of the bond?

What is the % change in the price of the bond, if the yield declines by

0.5 percentage points?

07

Q.5 Consider the following information for three mutual funds P, Q and R

and the market.

Mutual fund Mean Return Standard

deviation

Beta

P 15% 20% 0.90

Q 17% 24% 1.10

R 19% 27% 1.20

Market Index 16% 20% 1.00

The mean risk-free rate is 10 percent.

Calculate the Treynor?s measure, Sharpe?s measure, Jensen?s measure

and M Squared for the three mutual funds and the market index.

14

OR

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Seat No.: ________ Enrolment No.___________

GUJARAT TECHNOLOGICAL UNIVERSITY

MBA (PART TIME) ? SEMESTER 3 ? EXAMINATION ? WINTER 2018

Subject Code: 2830203 Date:11/12/2018

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.

Q. No. Question Text and Option 6

Q.1 (a)

The aggressive investor buys more

1.

A. Money market

instruments

B. Gold

C. Equity Shares D. Options and Futures

2.

An investor gets 15 per cent return from X?s stock. The inflation rate is 7

percent. His real rate of return is

A. 7.48% B. 8%

C. 2.5% D 7.84%

3.

If the company?s net profit is Rs. 240 million and Equity capital is Rs. 240

million with a face value of shares equivalent to Rs. 2, what is the earning

per share?

A. Rs. 3 B. Re. 1

C. Rs. 2 D. Rs.2.5

4.

Which of the following statement defines an efficient market?

A. Information is fully

reflected in the stock

prices.

B. the stock exchange is fully automated

C. the market is

regulated by

regulatory authorities

D. Free entry and exit of investors.

5.

The value of the bond depends on

A. the coupon rate B. the expected YTM

C. years to maturity D. all the above

6.

Diversification reduces:

A. interest rate risk

B. market risk

C. unique risk D. Active in portfolio management

Q.1 (b) Short Definitions

1. Market risk premium

2. S&P CNX Nifty

3. The Dow Theory

4. Alpha

04

2

Q.1 (c) Write a Short note on Investment and various Investment Avenues

available to Investors.

04

Q.2 (a) Define and Differentiate Technical analysis from Fundamental analysis. 07

(b) Consider two stocks A and B

Stocks Expected return % Standard Deviation%

Stock A 14% 22%

Stock B 20% 35%

The returns on the stocks are perfectly negatively correlated.

What is the expected return of a portfolio comprising of the stocks A

and B when the portfolio is constructed to drive the standard deviation

of the portfolio return to zero?

07

OR

(b) The following information is available:

Stock

P

Stock

Q

Efficient return 14% 20%

Standard deviation 25% 40%

Correlation

coefficient

0.40

a. What is the covariance between stocks P and Q?

What is the expected return and risk of a portfolio in which P and Q are

equally weighted?

07

Q.3 (a) Explain the Difference between SML and CML . 07

(b) The returns on the equity stock of Auto Electricals Limited and the

market portfolio over an 11 year period are given below:

Year RA RM

1 15 12

2 -6 1

3 18 14

4 30 24

5 12 16

6 25 30

7 2 -3

8 20 24

9 18 15

10 24 22

11 8. 12

(a) Calculate the beta for the stock of Auto Electricals Limited.

Establish the characteristic line for the stock of Auto Electricals

Limited.

07

OR

Q.3 (a) Write a Short note on Capital Asset Pricing Model 07

3

(b) Assume the following hold:

Risk free Return 7%

Expected Return on the market 13%

Standard deviation on the market 20%

The expected return and risk for the following portfolios:

(a) 60% of the investible wealth in the market portfolio, 40% in

the riskless assets.

(b) 125% of the investible wealth in the market portfolio.

07

Q.4 (a) What are the rules of Duration in Bonds? 07

(b) A Rs. 100 par value bond bears a coupon rate of 12 percent and

matures after 6 years. Interest is payable semi ? annually. Compute

the value of the bond if the required rate of return is 16 percent,

compounded semiannually.

07

OR

Q.4 (a) Briefly explain the different types of market orders. 07

(b) A Zero coupon bond of Rs. 10,000 has a term to maturity of eight years

and a market yield of 10 % at the time of issue:

(a) What is the issue price?

(b) What is the duration of the bond?

(c) What is the modified duration of the bond?

What is the % change in the price of the bond, if the yield declines by

0.5 percentage points?

07

Q.5 Consider the following information for three mutual funds P, Q and R

and the market.

Mutual fund Mean Return Standard

deviation

Beta

P 15% 20% 0.90

Q 17% 24% 1.10

R 19% 27% 1.20

Market Index 16% 20% 1.00

The mean risk-free rate is 10 percent.

Calculate the Treynor?s measure, Sharpe?s measure, Jensen?s measure

and M Squared for the three mutual funds and the market index.

14

OR

4

Q.5 Anand heads the portfolio management schemes division of

Phoenix Investment, a well-known financial services company.

Anand has been requested by Arrow technologies to give an

investment seminar to its senior managers interested in investing in

equities through the portfolio management schemes of Phoenix

investment. Manish, the contact person of Arrow Technologies,

suggested that the thrust of the seminar should be on equity

valuation. Anand has asked you to help him with his presentation.

To Illustrate the equity valuation process, you have been asked to

analyse Acme Pharmaceutical?s which manufactures formulations

and bulk drugs. In particular, you have to answer the following

questions:

(a) What is the general formula for valuing any stock,

irrespective of its dividend paying pattern?

(b) How is constant growth stock valued?

(c) What is the required return on the stock of Acme limited?

Assume that the risk free rate is 7 percent, market premium

is 6 percent, and the stock of Acme has a beta of 1.2.

(d) Assume that Acme Pharmaceuticals is a constant growth

company which paid a dividend of Rs. 5(Do=5), yesterday

and the dividend is expected to grow at the rate of 10

percent forever.

(i) What is the expected value of stock a year from

now?

(ii) What is the dividend yield and the capital gains

yield in the first year.

(d) If the stock is currently selling for Rs. 110, what is the

expected rate of return on the stock? Assume D0=Rs. 5

and g= 10 percent.

(e) Assume that Acme Pharmaceuticals is expected to grow at

a supernormal growth rate of 25 percent for the next 4

years, before returning to the constant growth of rate of 10

percent .what will be the present value of the stock under

these conditions?

14

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This post was last modified on 19 February 2020