课程名称︰投资学 课程性质︰必修 课程教师︰林煜宗 开课学院：管理 开课系所︰财金系 考试日期（年月日）︰2011/4/19 考试时限（分钟）：100 是否需发放奖励金：是 感谢 1. Real assets in the economy include all but which one of the following? A. Land B. Buildings C. Consumer durables D. Common stock 2. __________ 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 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. __________ portfolio construction starts with selecting attractively priced securities. A. Bottom-up B. Top-down C. Upside-down D. Side-to-side 5. Firms that specialize in helping companies raise capital by selling securities to the public are called _________. A. pension funds B. investment banks C. savings banks D. REITs ? 6. Security selection refers to _________. A. choosing specific securities within each asset-class B. deciding how much to invest in each asset-class C. deciding how much to invest in the market portfolio versus the riskless asset D. deciding how much to hedge 7. In calculating the Dow Jones Industrial Average, the adjustment for a stock split occurs _________. A. automatically B. by adjusting the divisor C. by adjusting the numerator D. by adjusting the market value weights 8. The Standard and Poors 500 is a(n) __________ weighted index. A. equally B. price C. value D. share 9. If you want to measure the performance of your investment in a fund, including the timing of your purchases and redemptions you should calculate the __________. A. geometric average return B. arithmetic average return C. dollar weighted return D. index return 10. Rank the following from highest average historical return to lowest average historical return from 1926-2008. I. Small stocks II. Long term bonds III. Large stocks IV. T-bills A. I, II, III, IV B. III, IV, II, I C. I, III, II, IV D. III, I, II, IV 11. Suppose you pay $9,700 for a $10,000 par Treasury bill maturing in three months. What is the holding period return for this investment? A. 3.01% B. 3.09% C. 12.42% D. 16.71% 12. The excess return is the _________. A. rate of return that can be earned with certainty B. rate of return in excess of the Treasury bill rate C. rate of return to risk aversion D. index return 13. Both investors and gamblers take on risk. The difference between an investor and a gambler is that an investor _______. A. is normally risk neutral B. requires a risk premium to take on the risk C. knows he or she will not lose money D. knows the outcomes at the beginning of the holding period 14. 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 15. 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% 16. 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% 17. The _______ decision should take precedence over the _____ decision. A. asset allocation, stock selection B. bond selection, mutual fund selection C. stock selection, asset allocation D. stock selection, mutual fund selection 18. An investor's degree of risk aversion will determine his or her ______. A. optimal risky portfolio B. risk-free rate C. optimal mix of the risk-free asset and risky asset D. capital allocation line 19. Which of the following statistics cannot be negative? A. Covariance B. Variance C. E[r] D. Correlation coefficient 20. Diversification is most effective when security returns are _________. A. high B. negatively correlated C. positively correlated D. uncorrelated 21. 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 22. Consider two perfectly negatively correlated risky securities, A and B. Security A has an expected rate of return of 16% and a standard deviation of return of 20%. B has an expected rate of return of 10% and a standard deviation of return of 30%. The weight of security B in the minimum variance portfolio is _________. A. 10% B. 20% C. 40% D. 60% 23. 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% 24. Stock A has a beta of 1.2 and Stock B has a beta of 1. The returns of Stock A are ______ sensitive to changes in the market as the returns of Stock B. A. 20% more B. slightly more C. 20% less D. slightly less 25. According to Tobin's separation property, portfolio choice can be separated into two independent tasks consisting of __________ and __________. A. identifying all investor imposed constraints; identifying the set of securities that conform to the investor's constraints and offer the best risk-return tradeoffs B. identifying the investor's degree of risk aversion; choosing securities from industry groups that are consistent with the investor's risk profile C. identifying the optimal risky portfolio; constructing a complete portfolio from T-bills and the optimal risky portfolio based on the investor's degree of risk aversion D. choosing which risky assets an investor prefers according to their risk aversion level; minimizing the CAL by lending at the risk-free rate 26. 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 27. 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 28. 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 29. Empirical results estimated from historical data indicate that betas _________. A. are always close to zero B. are constant over time C. of all securities are always between zero and one D. seem to regress toward one over time 30. You have a $50,000 portfolio consisting of Intel, GE and Con Edison. You put $20,000 in Intel, $12,000 in GE and the rest in Con Edison. Intel, GE and Con Edison have betas of 1.3, 1.0 and 0.8 respectively. What is your portfolio beta? A. 1.048 B. 1.033 C. 1.000 D. 1.037 31. Consider the single factor APT. Portfolio A has a beta of 0.2 and an expected return of 13%. Portfolio B has a beta of 0.4 and an expected return of 15%. The risk-free rate of return is 10%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio __________ and a long position in portfolio _________. A. A, A B. A, B C. B, A D. B, B 32. Consider the one-factor APT. The variance of the return on the factor portfolio is .08. The beta of a well-diversified portfolio on the factor is 1.2. The variance of the return on the well-diversified portfolio is approximately _________. A. .1152 B. .1270 C. .1521 D. .1342 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. 下列那种事件为无系统风险? A)通货膨胀率变动 B) 汇率变动 C) 元首更替 D)新产品研发 D 35. 今有证券30种，如拟求取效率前缘时，需估计_________个inputs。 495 36. 台湾股票市场最常用之股价指数为 。 发行量加权股价指数 37. 设融券成数为90％，整户维持率为150％，则股价上涨 %时，即需追缴保证金。 (100+90)/P’=1.5 → P’=126.67 26.67 38. 某公司股本10亿元，现拟现金增资5亿元，每股现金认购价为14元。除权前每股收盘价为20元，试问除权後跌停板价为________元。 16.75 ((20+14*0.5)/1.5)*0.93=18*0.93=16.74 39. 设某股股价为＄30，盈余配股率为每千股配250股，则除权後涨停板价为______元。 30/1.25=24 24*1.07= 25.68 → 25.65 40. 目前股票上柜，需资本额最少_________元。 0.5亿元 -- ... --

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