课程名称︰投资学 课程性质︰必修 课程教师︰林煜宗 开课学院：管理学院 开课系所︰财金系 考试日期（年月日）︰2009/4/16 考试时限（分钟）：100 是否需发放奖励金：是 试题 : 财金系九十七学年度第二学期 投资学期中考 2009/4/16 14:30~16:10 答案请写在答案卷上 ; 试题及答案卷请签名後交回 1. Real assets in the economy include all but which one of the following? a. Land b. Buildings c. Knowledge d. Common stock 2. Which of the following is not a money market security? a. U.S. Treasury bill b. Six month maturity certificate of deposit c. Common stock d. Bankers acceptance 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 construction starts with selecting attractively priced securities. a. Bottom-up b. Top-down c. Upside-down d. Side-to-side 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. The Dow Jones Industrial Average is __________ a. price weighted average b. A value weight and average c. An equally weighted average d. An unweighted average 8. 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 9. The Standard and Poors 500 is a(n) __________ weighted index. a. Equally b. Price c. Value d. Share 10. In a ______________ index changes in the value of the stock with the greatest market value will move the index value the most everything else equal. a. Value weighted index b. Equal weighted index c. Price weighted index d. Bond price index 11. 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. 7.50% d. 11.00% 12. Annual percentage rates can be converted to effective annual rates by means of the following formula: a. (1+(APR/n))n - 1 b. (APR)(n) c. (APR/n) d. (periodic rate)(n) 13. 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 14. The reward/variability ratio is given by __________. a. the slope of the capital allocation line b. the second derivative of the capital allocation line c. the point at which the second derivative of the investor's indifference curve reaches zero d. portfolio excess return 15. Historical returns have generally been __________ for stocks of small firms as/than for stocks of large firms. a. the same b. lower c. higher d. There is no evidence of a systematic relationship between returns on small firm stocks and returns on small firm stocks 16. In the mean-standard deviation graph, the line that connects the risk-free rate and the optimal risky portfolio, P, is called __________. a. the capital allocation line b. the indifference curve c. the investor's utility line d. the security market line 17. Consider a treasury bill with a rate of return of 5% and the following risky securities: Security A: E(r) = .15; variance = .0400 Security B: E(r) = .10; variance = .0225 Security C: E(r) = .12; variance = .1000 Security D: E(r) = .13; variance = .0625 The investor must develop a complete portfolio by combining the risk-free asset with one of the securities mentioned above. The security the investor should choose as part of his complete portfolio to achieve the best CAL would be __________. a. security A b. security B c. security C d. security D 18. The holding period return on a stock was 25%. Its ending price was $18 and its beginning price was $16. Its cash dividend must have been __________. a. $0.25 b. $1.00 c. $2.00 d. $4.00 19. 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 20. Risk that can be eliminated through diversification is called ______ risk. a. Unique b. Firm-specific c. Diversifiable d. All of the above 21. The _______ decision should take precedence over the _____ decision. a. Asset allocation, stock selection b. Choice of fad, mutual fund selection c. Stock selection, asset allocation d. Stock selection, mutual fund selection 22. The risk that can be diversified away is ___________. a. Beta b. Firm specific risk c. Market risk d. Systematic risk 23. 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 24. 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 25. 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 26. A stock has a correlation with the market of 0.45. The standard deviation of the market is 21% and the standard deviation of the stock is 35%. What is the stock's beta? a. 1.00 b. 0.75 c. 0.60 d. 0.55 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 12%? a. .5 b. .7 c. 1.2 d. 1.4 29. According to the capital asset pricing model, __________. a. All securities' returns must lie on the capital market line b. All securities' returns must lie on the security market line c. The slope of the security market line must be less than the market risk premium d. Any security with a beta of 1 must have an excess return of zero 30. 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 31. 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% 32. According to the CAPM, what is the market risk premium given an expected return on a security of 13.6%, a stock beta of 1.2, and a risk free interest rate of 4.0%? a. 4.0% b. 4.8% c. 6.6% d. 8.0% Use the following to answer questions 33-34 An investor can design a risky portfolio based on two stocks, A and B. Stock A has an expected return of 18% and a standard deviation of return of 20%. Stock B has an expected return of 14% and a standard deviation of return of 5%. The correlation coefficient between the returns of A and B is 0.50. The expected return of efficient portfolio is 16%. 33. The proportion of the efficient portfolio that should be invested in stock A is __________. 34.. The standard deviation on the efficient portfolio is__________. 某公司股本10亿元，现拟现金增资4亿元 每股现金认购价为14元。除权前每股收盘价为20元，试问 35.除权後涨停板价为__________ 36.除权後跌停板价为__________ 37.设融资比率为50%，整户维持率为140%，则股价下跌_____%时 即需追缴保证金 38.设融券成数为90%，整户维持率为120%，则股价上涨_____%时 即需追缴保证金 39.目前股票上市，需资本额最少__________亿元 40.今有证券20种，如拟求取效率前缘时，需估计__________个inputs --

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