St. Joseph’s College of Commerce VI Sem Security Analysis And Portfolio Management (Finance Elective) Question Paper PDF Download

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ST. JOSEPH’S COLLEGE OF COMMERCE (AUTONOMOUS)
END SEMESTER EXAMINATION – MARCH/APRIL 2016
B.B.M.  – VI SEMESTER
FIN 605: SECURITY ANALYSIS AND PORTFOLIO MANAGEMENT

(FINANCE ELECTIVE)
Duration: 3 Hours                                                                                             Max. Marks: 100
SECTION – A
I) Answer ALL the questions.  Each carries 2 marks.                                        (10×2=20)
  1. “Investment is current commitment of funds in anticipation of returns in future”. Comment.
  2. What is speculation?
  3. What is non-diversifiable risk?
  4. Define market risk.
  5. State any four ratios that are found to be strong fundamentals of company
  6. What is YTM?
  7. What is technical analysis?
  8. What is semi-strong form of efficient market hypothesis?
  9. What is CAPM?
  10. What is efficient frontier?
SECTION – B
II) Answer any FOUR questions.  Each carries 5 marks.                                      (4×5=20)
  11. Distinguish between investment and speculation.
  12. Discuss the attributes that one should consider while evaluating an investment.
  13. Following are the returns on stock ABC

Year Return on stock ABC(%)
2010 11.82
2011 12.54
2012 10.84
2013 -3.45
2014 7.46
2015 10.93

 

            Calculate mean, standard, variance  and deviation of the return.

 
  14. Differentiate between fundamental analysis and technical analysis.
  15. The current dividend on an equity share of SBI is Rs.3/- is expected to enjoy an above normal growth rate of 40% for 5 years.  Thereafter, the growth rate will fall and stabilize at 12%.  Equity investors require a return of 15% from SBI’s stock.  What is the intrinsic value of the equity share of SBI?
  16. The market price of  Rs.1000/- par value bond carrying a coupon rate of 14% and maturing after 5 years is Rs.1050.  What is the yield to maturity (YTM) on this bond?  Also compute the approximate YTM.  What is the realized YTM if the reinvestment rate is 12%?
SECTION – C
III) Answer any THREE questions.  Each carries 15 marks.                                (3×15=45)                                                                                                
  17. Examine investment alternatives available for a rational investor.
  18. Discuss the macroeconomic factor that would impact the stock market returns.
  19.  Following are the data in respect of stocks A and B

State of economy Probability of occurrence Rate of return (%)
    A B
Boom 0.25 19 38
Normal 0.50 21 13
Recession 0.25 7 -17

Calculate (i) expected returns,  (ii) standard deviation

 
  20. An investor has 7 portfolios yielding the following results during a five year period.

Portfolio Average annual return (%) Standard deviation (%) Beta
A 15 27 .82
B 11 18 .53
C 9 14 .40
D 18 19 .73
E 10 7 .44
F 21 15 .62
G 15 9 .61
Market 6 11  
91 Day T-Bills 5    

 

Rank these portfolios using (1) Sharp’s model, and (2) Treynor’s model.

 
  21. Explain SML with suitable diagram.
SECTION – D
IV) Case Study – Compulsory question.                                                                (1×15=15)                                                                                          
  22. You are appointed as a fund manager in SMART Consultancy Ltd. Mr. Piyush, an IT professional approaches you with an investment proposal for Rs.1 lakh.  Mr. Piyush has heard something about CAPM and Fama-French model through his colleagues.  He wants to know in detail from you:

  1. What is CAPM?
  2. Does CAPM hold its ground in the present context?
  3. What are the CAPM anomalies?
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