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Essay Questions (Total 100 marks)
Answer Four Questions only.
Question 1
Discuss the extreme portfolio strategy that you will adopt in the Australian equity market. Note that there exists two competing theories and you must support your answer with the academic literature in the field. Your discussion must provide further explanation as to what contributes to the success of this strategy.
(25 Marks)
Question 2
Explain the difference between warrants and options. Discuss whether there is any evidence of momentum profits in these markets? If you identify any gap in this literature, clarify how you will bridge this gap.
(25 Marks)1455780998 http://www.ukassignment.org/daixieEssay/daixieaozhouessay/
Question 3
Should there be a terrorist attack in Pakistan, what should investors do with their Japanese industrial portfolios? What are the implications of changing asset pricing models in the calculation of the expected returns?
(25 Marks)
Question 4
Given the risk shifting behavior in Australia, Malaysia and other countries discuss whether a tournament behavior exists in Hong Kong. Your answer must include the Taylor (2003) hypotheses.
(25 Marks)
Question 5
Behavioural finance recognizes that some traders do not trade on the basis of finance fundamentals and tend to trade irrationally. Using the existing finance literature, identify a country where such behaviour is suspected (you must explain why you have selected this country). The market that you have identified must not have any formal test conducted on these irrational behaviours. Hence, your task will be to develop and discuss a theoretical model that will capture such irrational behaviours in that market.
(25 Marks)
Question 6
Discuss the application of the Black/Scholes model to price options in the Australian electricity market.
(25 Marks)
Question 7
“The buy write strategy violates the efficient market hypothesis.” Discuss whether you agree or disagree with this statement. Explain how you would test this hypothesis?
(25 Marks)
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Formula Sheet
BEit = + IEit + it BEit = + it
BEi = -
Rpt -RFt = αp + βp (RMt - RFt) + Sp (SMBt) + Hp (HMLt) + ept
(2L/1L) > (2w/1w) RTNjMy = [(1+rj1y) (1+rj2y)… (1+rjMy)] –1#p#分页标题#e#
RARjMy =
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