[試題] 98下 林煜宗 投資學 期中考
課程名稱︰投資學
課程性質︰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）︰2010/4/20
考試時限（分鐘）：100
是否需發放獎勵金：是
試題 :
財金系九十八學年度第二學期 投資學期中考 2010/4/20 14:30~16:10
答案請寫在答案卷上 ; 試題及答案卷請簽名後交回
1. __________ assets generate net income to the economy and __________ assets
define allocation of income among investors.
A. Financial, financial
B. Financial, real
C. Real, financial
D. Real, real
2. Which of the following are financial assets?
I. Debt securities
II. Equity securities
III. Derivative securities
A. I only
B. I and II only
C. II and III only
D. I, II and III
3. Asset allocation refers to the _________.
A. allocation of the investment portfolio across broad asset classes
B. analysis of the value of securities
C. choice of specific assets within each asset class
D. none of the answers define asset allocation
4. Security selection refers to the ________.
A. allocation of the investment portfolio across broad asset classes
B. analysis of the value of securities
C. choice of specific securities within each asset class
D. top down method of investing
5. __________ portfolio management calls for holding diversified portfolios
without spending effort or resources attempting to improve investment
performance through security analysis.
A. Active
B. Momentum
C. Passive
D. Market timing
6. After much investigation an investor finds that Intel stock is currently
under priced. This is an example of ______.
A. asset allocation
B. security analysis
C. top down portfolio management
D. passive management
7. Currently the Dow Jones Industrial Average is computed by _________.
A. adding the prices of 30 large "blue-chip" stocks and dividing by 30
B. calculating the total market value of the 30 firms in the index and
dividing by 30
C. measuring the current total market value of the 30 stocks in the index
relative to the total value on the previous day
D. adding the prices of 30 large "blue-chip" stocks and dividing by a divisor
adjusted for stock splits and large stock dividends
8. The Standard and Poors 500 is a(n) __________ weighted index.
A. equally
B. price
C. value
D. share
9. You put up $50 at the beginning of the year for an investment. The value
of the investment grows 4% and you earn a dividend of $3.50. Your HPR was
____.
A. 4.00%
B. 3.50%
C. 7.00%
D. 11.00%
10. The market risk premium is defined as __________.
A. the difference between the return on an index fund and the return on
Treasury bills
B. the difference between the return on a small firm mutual fund and the
return on the Standard and Poor's 500 index
C. the difference between the return on the risky asset with the lowest
returns and the return on Treasury bills
D. the difference between the return on the highest yielding asset and the
lowest yielding asset
11. The rate of return on _____ is known at the beginning of the holding
period while the rate of return on ____ is not known until the end of the
holding period.
A. risky assets, Treasury bills
B. Treasury bills, risky assets
C. excess returns, risky assets
D. index assets, bonds
12. A portfolio with a 25% standard deviation generated a return of 15% last
year when T-bills were paying 4.5%. This portfolio had a Sharpe measure of
____.
A. 0.22
B. 0.60
C. 0.42
D. 0.25
13. Consider the following two investment alternatives. First, a risky
portfolio that pays 15% rate of return with a probability of 40% or 5% with a
probability of 60%. Second, a treasury bill that pays 6%. The risk premium on
the risky investment is _________.
A. 1%
B. 3%
C. 6%
D. 9%
14. You have $500,000 available to invest. The risk-free rate as well as your
borrowing rate is 8%. The return on the risky portfolio is 16%. If you wish
to earn a 22% return, you should _________.
A. invest $125,000 in the risk-free asset
B. invest $375,000 in the risk-free asset
C. borrow $125,000
D. borrow $375,000
15. The return on the risky portfolio is 15%. The risk-free rate as well as
the investor's borrowing rate is 10%. The standard deviation of return on the
risky portfolio is 20%. If the standard deviation on the complete portfolio
is 25%, the expected return on the complete portfolio is _________.
A. 6.00%
B. 8.75 %
C. 10.00%
D. 16.25%
16. Risk that can be eliminated through diversification is called ______
risk.
A. unique
B. firm-specific
C. diversifiable
D. all of the above
17. Adding additional risky assets to the investment opportunity set will
generally move the efficient frontier _____ and to the ______.
A. up, right
B. up, left
C. down, right
D. down, left
18. Which of the following statistics cannot be negative?
A. Covariance
B. Variance
C. E[r]
D. Correlation coefficient
19. Consider an investment opportunity set formed with two securities that
are perfectly negatively correlated. The global minimum variance portfolio
has a standard deviation that is always _________.
A. equal to the sum of the securities standard deviations
B. equal to -1
C. equal to 0
D. greater than 0
20. A portfolio is composed of two stocks, A and B. Stock A has a standard
deviation of return of 24% while stock B has a standard deviation of return
of 18%. Stock A comprises 60% of the portfolio while stock B comprises 40% of
the portfolio. If the variance of return on the portfolio is .0380, the
correlation coefficient between the returns on A and B is _________.
A. 0.583
B. 0.225
C. 0.327
D. 0.128
0.0380 = (.62)(.242) + (.42)(.182) + 2(.6)(.4)(.24)(.18) 钊; 钊 = 0.583
21. An investor can design a risky portfolio based on two stocks, A and B.
Stock A has an expected return of 21% and a standard deviation of return of
39%. Stock B has an expected return of 14% and a standard deviation of return
of 20%. The correlation coefficient between the returns of A and B is 0.4.
The risk-free rate of return is 5%.
The proportion of the optimal risky portfolio that should be invested in
stock B is approximately _________.
A. 29% B. 44% C. 56% D. 71%
WB = 71%
22. An investor can design a risky portfolio based on two stocks, A and B.
The standard deviation of return on stock A is 20% while the standard
deviation on stock B is 15%. The expected return on stock A is 20% while on
stock B it is 10%. The correlation coefficient between the return on A and B
is 0%. The expected return on the minimum variance portfolio is approximately
_________.
A. 10.00%
B. 13.60%
C. 15.00%
D. 19.41%
23. Semitool Corp has an expected excess return of 6% for next year. However
for every unexpected 1% change in the market, Semitool's return responds by a
factor of 1.2. Suppose it turns out the economy and the stock market do
better than expected by 1.5% and Semitool's products experience more rapid
growth than anticipated, pushing up the stock price by another 1%. Based on
this information what was Semitool's actual excess return?
A. 7.00%
B. 8.50%
C. 8.80%
D. 9.25%
6% + (1.5%)(1.2) + 1% = 8.8%
24. The term excess-return refers to ______________.
A. returns earned illegally by means of insider trading
B. the difference between the rate of return earned and the risk-free rate
C. the difference between the rate of return earned on a particular security
and the rate of return earned on other securities of equivalent risk
D. the portion of the return on a security which represents tax liability and
therefore cannot be reinvested
25. The values of beta coefficients of securities are __________.
A. always positive
B. always negative
C. always between positive 1 and negative 1
D. usually positive, but are not restricted in any particular way
26. The market value weighted average beta of firms included in the market
index will always be _____________.
A. 0
B. between 0 and 1
C. 1
D. There is no particular rule concerning the average beta of firms included
in the market index
27. Consider the CAPM. The risk-free rate is 5% and the expected return on
the market is 15%. What is the beta on a stock with an expected return of
17%?
A. .5
B. .7
C. 1
D. 1.2
17% = 5% + [15% - 5%]刍s; 刍s = 1.2
28. Consider the CAPM. The expected return on the market is 18%. The expected
return on a stock with a beta of 1.2 is 20%. What is the risk-free rate?
A. 2%
B. 6%
C. 8%
D. 12%
20% = rF + (18 - rF)(1.2); rF = 8%
29. The market portfolio has a beta of _________.
A. -1.0
B. 0
C. 0.5
D. 1.0
30. In a well diversified portfolio, __________ risk is negligible.
A. nondiversifiable
B. market
C. systematic
D. unsystematic
31. Investors require a risk premium as compensation for bearing
______________.
A. unsystematic risk
B. alpha risk
C. residual risk
D. systematic risk
32. According to the capital asset pricing model, fairly priced securities
have _________.
A. negative betas
B. positive alphas
C. positive betas
D. zero alphas
33. Security X has an expected rate of return of 13% and a beta of 1.15. The
risk-free rate is 5% and the market expected rate of return is 15%. According
to the capital asset pricing model, security X is _________.
A. fairly priced
B. overpriced
C. underpriced
D. None of the above
34. The most significant conceptual difference between the arbitrage pricing
theory (APT) and the capital asset pricing model (CAPM) is that the CAPM
_____________.
A. places less emphasis on market risk
B. recognizes multiple unsystematic risk factors
C. recognizes only one systematic risk factor
D. recognizes multiple systematic risk factors
35. You consider buying a share of stock at a price of $25. The stock is
expected to pay a dividend of $1.50 next year and your advisory service tells
you that you can expect to sell the stock in one year for $28. The stock's
beta is 1.1, rf is 6% and E[rm] = 16%. What is the stock's abnormal return?
A. 1%
B. 2%
C. -1%
D. -2%
Required return = 6% + (16% - 6%)(1.1) = 17%
Abnormal return = 18% - 17% = 1%
36.發行量加權股價指數以55年全年股價平均數為基期
37 . 設融資比率為60％，整戶維持率為140％，則股價下跌 16 %時，則需追繳保證金。
P’/60=1.4 → P’=84
38.某公司股本10億元，現擬現金增資4億元
每股現金認購價為14元。除權前每股收盤價為20元，試問
除權後跌停板價為__________ 17.05
((20+14X0.4)/1.4)X0.93=18.2857X0.93=17.005
39.目前股票上市，需資本額最少__________億元 6
40. 設某股股價為＄30，盈餘配股率為每千股配300股，則除權後跌停板價為21.5______
。 30/1.3=23.0769 → 21.462 → 21.5
※ 編輯: IAmAwesome 來自: 140.112.218.166 (05/17 12:46)
※ 編輯: IAmAwesome 來自: 140.112.218.166 (05/17 23:28)
推
05/18 00:38, , 1F
05/18 00:38, 1F
討論串 (同標題文章)
完整討論串 (本文為第 1 之 2 篇)：