Deemed University 2010 M.B.A University: Lingayas University Term: IV Title of the : SAMP - Question Paper

Roll No. ..

 

Lingayas University, Faridabad

MBA 2^nd Year (Term IV)

Examination Nov, 2010

SAPM (BA - 230)

[Time: 3 Hours] [Max. Marks: 100]

 

Before answering the question, candidate should ensure that they have been supplied the correct and complete question paper. No complaint in this regard, will be entertained after examination.

 

Note: Attempt five questions in all. Attempt any two questions from Section A and any two question from Section B. Section C is compulsory.

 

SECTION A

 

Q-1. (a) Briefly discuss the five fundamental factors that influence the risk premium of an investment. (10)
(b) You are considering of acquiring shares of common stock in Medison Bear Corporation. Your rate of return expectations are as follow:

Possible Rate of Return Probability

-0.10 - 0.3

0 - 0.1

0.1 - 0.3

0.25 - 0.3

 

Compute the expected return E(Ri) and associated risk on your investment in Mdison Bear. (10)

 

Q-2. (a) Explain the shape of the efficient frontier. Why are investors utility curves important in selection of a portfolio an efficient frontier? (15)
(b) What is Markowitz theory. (5)

 

Q-3. (a) What is the relation between covariance and the correlation coefficient? (10)
(b) How does the SML differ from the CML? (10)

 

SECTION B

 

Q-4. (a) What is Arbitrage Pricing Theory (APT) and what are its similarities and differences relative to the CAPM. (15)
(b) Write the Markowitz formulae of risk and return. (5)

 

 

 

 

Q-5. (a) What are YTM and YTC? How do we find these values for a Bond? (10)

(b) What is a bond duration? How it is calculated? (10)

 

Q-6. (a) Discuss the technical and fundamental analysis in the context of EMH. (10)

(b) You expect an RFR of 10 percent and the market return (Rm) of 14 percent. Compute the expected (required) return of the following stocks, and plot them on SML graph. (10)

 

Stock Beta E (Ri)

U 0.85

N 1.25

D -0.20

 

Q-7. Explain the top-down (three step) approach for the security valuation in detail. (20)

 

SECTION C

 

Q-8. Given the over all Efficient Market Hypothesis (EMH). What is the three sub hypothesis and what are the implications of each of them? (20)