课程名称：投资学 课程性质︰必修 课程教师︰陈其美 开课学院：管理学院 开课系所︰财金系 考试日期（年月日）︰2010/11/25 考试时限（分钟）：20分钟 是否需发放奖励金：是 （如未明确表示，则不予发放） Instructions. Do not talk to anyone during this exam. Part I is a closed-book section, and Part II is an open-book section. The TA will announce when you work on Part I, and when you can work on Part II. Feel free to use the restrooms after the TA announces that you can work on Part II. Do not ask questions during this exam. If you fell that a problem was not stated clearly, then write down your assumptions on your solution shhets, and your assumptions will be taken into account when your solution sheets are graded. Good luck, folks! Part I, True-False Questions. You have 20 minutes to finish this closed-book section. 1.() In the U.S. CDs issued in denominations greater than $100,000 can usually be sold to another investor, but the market for CDs thin out for maturities of 3 months or more. CDs are insured for up to $100,000 by the Federal Deposit Insurance Corporation. (page 26) 2.() In the U.S. the SEC is the administrative agency responsible for broad oversight of the securities markets, but it shares responsibility with other regulatory agencies such as CFTC (which regulates trading in futures markets) and the Federal Reserve (which sets margin requirements on stocks and stock options and regulates bank lending to security market participants). Moreover, the SEC delegates mucho of its work to exchanges. (pages 77-78) 3.() An active investment-management strategy is an attempt to improve investment performance either by identifying mispriced securities or by timing the performance of broad asset classes. (page 11) 4.() In the U.S. Wilshire 5000 index is the most inclusive index of the performance of U.S. equities. The average annual return on Wilshire 5000 index was higher than that of the average actively managed equity mutual fund from 1971 to 2007. (page 102) 5. () The U.S. historical record shows that the skew of the large stock portfolio is significantly negative but the skew of the U.S. government bond portfolio is slightly positive. The most recent 40 years show no kurtosis for the large stock index, and only a small value for small stocks. (page 138) 6.() It is risk sharing, that is, the distribution of a fixed amount of risk among many investors, rather than risk pooling, that explains the insurance industry. (page 220) 7.() A portfolio manager having identified an underpriced portfolio P can take a long position in that portfolio P and a short position in the tracking portfolio for P. This strategy is valuable ifP is reasonably well-diversified. (page 272) 8.() The consumption-based CAPM is a single-factor model in which the market portfolio excess return is replaced by that of a consumption-tracking portfolio . Unlike the traditional CAPM, the consumption based CAPM incorporates consumption-hedgin considerations and changing investment opportunities in a single-factor framework. (page 311) 9.() Proponents of behavioral finance argue that various limits to arbitrage mean that even if prices do not equal intrinsic value, it still may be difficult to exploit the mispricing, and as a result, the failure of traders to beat the market may not be proof that markets are in fact efficient. (page 404) 10.() The APT is a multifactor index model that gives rise to a multifactor security market line in which the risk premium of an asset is determined by the exposure to each systematic risk factor, and by a risk premium associated with each factor's tracking portfolio. Ans: All answers are TRUE --

※ 发信站: 批踢踢实业坊(ptt.cc) ◆ From: 114.25.248.155 ※ 编辑: gaga19900329 来自: 114.25.248.155 (11/25 22:59)