课程名称︰投资学 课程性质︰系必修 课程教师︰林煜宗 开课学院：管理学院 开课系所︰财金系 考试日期（年月日）︰2009/6/18 考试时限（分钟）：100 分钟 是否需发放奖励金：是 （如未明确表示，则不予发放） 试题 : 试卷及答案卷皆须签名後交回。 请用大写 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: 为一张 SML 的 图 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 ※ 编辑: icyhacker 来自: 140.112.222.102 (06/26 00:12)