[試題] 97下 林煜宗 投資學 期末考
課程名稱︰投資學
課程性質︰系必修
課程教師︰林煜宗
開課學院：管理學院
開課系所︰財金系
考試日期（年月日）︰2009/6/18
考試時限（分鐘）：100 分鐘
是否需發放獎勵金：是
（如未明確表示，則不予發放）
試題 :
試卷及答案卷皆須簽名後交回。
請用大寫 A、B、C、D 作答。
1. When all investors analyze securities in the same way and share the same
economic view of the world we say they have _____________________.
a. Heterogeneous expectations
b. Equal risk aversion
c. Asymmetric information
D. Homogeneous expectations
2. In the context of the capital asset pricing model, the systematic measure
of risk is __________.
a. Unique risk
B. Beta
c. Standard deviation of returns
d. Variance of returns
3. If enough investors decide to purchase stocks they are likely to drive up
stock prices thereby causing _____________ and ____________.
A. Expected returns to fall; risk premiums to fall
b. Expected returns to rise; risk premiums to fall
c. Expected returns to rise; risk premiums to rise
d. Expected returns to fall; risk premiums to rise
4. Arbitrage is based on the idea that __________.
A. Assets with identical risks must have the same expected rate of return
b. Securities with similar risk should sell at different prices
c. The expected returns from equally risky assets are different
d. Markets are perfectly efficient
5. The graph of the expected return beta relationship in the CAPM context is
called the __________.
a. CML
b. CAL
C. SML
d. Term Structure
Use the following to Answer questions 6&7:
為一張 SML 的 圖
6. What is the expected return on the market?
a. 0%
b. 5%
C. 10%
d. 15%
7. What is the alpha of a portfolio with a beta of 2 and actual return of
15%?
A. 0%
b. 13%
c. 15%
d. 17%
8. According to the CAPM, what is the expected market return given an
expected return on a security of 14.6%, a stock beta of 1.2, and a risk free
interest rate of 5.0%?
a. 4.0%
b. 8.0%
C. 13.0%
d. 16.0%
9. The risk premium for exposure to aluminum commodity prices is 4% and the
firm has a beta relative to aluminum commodity prices of 0.6. The risk
premium for exposure to GDP changes is 6% and the firm has a beta relative to
GDP of 1.2. If the risk free rate is 4.0%, what is the expected return on
this stock?
a. 10.0%
b. 11.5%
C. 13.6%
d. 14.0%
10. The two factor model on a stock provides a risk premium for exposure to
market risk of 8%, a risk premium for exposure to interest rate of (-2.3%),
and a risk free rate of 3.0%. What is the expected return on the stock?
A. 8.7%
b. 11.0%
c. 13.3%
d. 15.2%
11. The weak form of the EMH states that ________ must be reflected in the
current stock price.
A. All security price and volume data
b. All publicly available information
c. All information including inside information
d. All costless information
12. The semi-strong form of the EMH states that ________ must be reflected in
the current stock price.
a. All security price and volume data
B. All publicly available information
c. All information including inside information
d. All costless information
13. The strong form of the EMH states that ________ must be reflected in the
current stock price.
a. All security price and volume data
b. All publicly available information
C. All information including inside information
d. All costless information
14. A Japanese firm issued and sold a pound denominated bond in the United
Kingdom. A U.S. firm issued bonds denominated in dollars but sold the bonds
in Japan. Which one of the following statements is correct?
a. Both bonds are examples of Eurobonds
b. The Japanese bond is a Eurobond and the U.S. bond is termed a foreign bond
C. The U.S. bond is a Eurobond and the Japanese bond is termed a foreign bond
d. Neither bond is a Eurobond
15 Bonds rated _____ or better by Standard and Poor's are considered
investment grade.
a. AA
B. BBB
c. BB
d. CCC
16. _______ bonds represent a novel way of obtaining insurance from capital
markets against specified disasters.
a. Asset backed bonds
b. TIPS
C. Catastrophe
d. Pay in Kind
17. A convertible bond has a par value of $1,000 but its current market price
is $975. The current price of the issuing company's stock is $28 and the
conversion ratio is 35 shares. The bond's market conversion value is
__________.
a. $1,000
b. $880
c. $933
D. $980
18. A zero-coupon bond has a yield to maturity of 5% and a par value of
$1,000. If the bond matures in 16 years, it should sell for a price of
__________ today.
A. $458.00
b. $641.00
c. $789.00
d. $1,100.00
19. The duration of a perpetuity varies _______ with interest rates.
a. Directly
B. Inversely
c. Convexly
d. Randomly
20. You find a 5 year AA Xerox bond priced to yield 6%. You find a similar
risk 5 year Canon bond priced to yield 6.5%. To take advantage of this you
should do which of the following?
a. Short the Canon bond and buy the Xerox bond
B. Buy the Canon bond and short the Xerox bond
c. Short both the Canon bond and the Xerox bond
d. Buy both the Canon bond and the Xerox bond
21. The duration of a 5-year zero coupon bond is ____ years.
a. 4.5
B. 5.0
c. 5.5
d. 3.5
22. A bond has a current price of $1,030. The yield on the bond is 8.00%. If
the yield changes from 8.00% to 8.10%, the price of the bond will go down to
$1,025.88. The modified duration of this bond is __________.
a. 4.32
B. 4.00
c. 3.25
d. 3.75
23. A bond with a 9 year duration is worth $1,080.00 and its yield to
maturity is 8%. If the yield to maturity falls to 7.84%, you would predict
that the new value of the bond will be __________.
a. $1,035
b. $1,036
C. $1,094
d. $1,124
24. Portfolio manager Peter Lynch would classify Coca-Cola as __________.
a. An asset play
b. A slow grower
C. A stalwart
d. A turnaround
25. The analysis of the determinants of firm value is called ______________.
A. Fundamental analysis
b. Technical analysis
c. Momentum analysis
d. Indexing
26. An example of a highly cyclical industry is __________.
A. The automobile industry
b. The tobacco industry
c. The pharmaceutical industry
d. The utility industry
27. If a firm increases its plowback ratio this will probably result in a(n)
_______ P/E ratio.
a. Higher
b. Lower
c. Unchanged
D. Unable to determine
28. The value of internet companies is based primarily on ______.
a. Current profits
b. Tobin's q
C. Growth opportunities
d. Replacement cost
29. Which one of the following is equal to the ratio of common shareholders'
equity to common shares outstanding?
A. Book value per share
b. Liquidation value per share
c. Market value per share
d. Tobin's Q
30. If a stock is correctly priced then you know that
a. The dividend payout ratio is optimal
b. The stock's required return is equal to the growth rate in earnings and
dividends
C. The sum of the stock's expected capital gain and dividend yield is equal
to the stock's required rate of return
d. The present value of growth opportunities is equal to the value of assets
in place
31. The constant growth dividend discount model (DDM) can be used only when
the ____________.
a. Growth rate is less than or equal to the required return
b. Growth rate is greater than or equal to the required return
C. Growth rate is less than the required return
d. Growth rate is greater than the required return
32. The market capitalization rate on the stock of Aberdeen Wholesale Company
is 10%. Its expected ROE is 12% and its expected EPS is $5.00. If the firm's
plow-back ratio is 40%, its P/E ratio will be __________.
a. 8.33
B. 11.54
c. 19.23
d. 50.00
33. Ace Ventura, Inc. has expected earnings of $5 per share for next year.
The firm's ROE is 15% and its earnings retention ratio is 40%. If the firm's
market capitalization rate is 10%, what is the present value of its growth
opportunities?
A. $25
b. $50
c. $75
d. $100
34. Annie's Donut Shops, Inc. has expected earnings of $3.00 per share for
next year. The firm's ROE is 18% and its earnings retention ratio is 60%. If
the firm's market capitalization rate is 12%, what is the value of the firm
excluding any growth opportunities?
A. $25.00
b. $50.00
c. $83.33
d. $208
35. Firms with higher expected growth rates tend to have P/E ratios that are
___________ the P/E ratios of firms with lower expected growth rates.
A. Higher than
b. Equal to
c. Lower than
d. There is not necessarily any linkage between risk and P/E ratios
36. A common stock pays an annual dividend per share of $1.60. The risk-free
rate is 5 percent and the risk premium for this stock is 4 percent. If the
annual dividend is expected to remain at $1.60 per share, what is the value
of the stock?
A. $17.78
b. $32.00
c. $40.00
d. None of the above
37. A(n) ______ option can only be exercised on the expiration date.
a. Mexican
b. Asian
c. American
D. European
38. At contract maturity the value of a call option is ___________ where X
equals the option's strike price and ST is the stock price at contract
expiration.
A. Max(0, ST -X)
b. Min(0, ST -X)
c. Max(0, X- ST)
d. Min(0, X- ST)
39. An American put option gives its holder the right to __________.
a. Buy the underlying asset at the exercise price on or before the expiration
date
b. Buy the underlying asset at the exercise price only at the expiration date
C. Sell the underlying asset at the exercise price on or before the
expiration date
d. Sell the underlying asset at the exercise price only at the expiration date
40. You invest in the stock of Valleyview Corp. and purchase a put option on
Valleyview Corp. This strategy is called a __________.
a. Long straddle
b. Naked put
C. Protective put
d. Short stroll
解答:
1 5
D B A A C
6 10
C A A C A
11 15
A B C C B
16 20
C D A B B
21 25
B B C C A
26 30
A D C A C
31 35
C B A A A
35 40
A D A C C
※ 編輯: icyhacker 來自: 140.112.222.102 (06/26 00:12)
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