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）︰2010/4/20 考试时限（分钟）：100 是否需发放奖励金：是 试题 : 财金系九十八学年度第二学期 投资学期中考 2010/4/20 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. __________ 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.发行量加权股价指数以55年全年股价平均数为基期 37 . 设融资比率为60％，整户维持率为140％，则股价下跌 16 %时，则需追缴保证金。 P’/60=1.4 → P’=84 38.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 除权後跌停板价为__________ 17.05 ((20+14X0.4)/1.4)X0.93=18.2857X0.93=17.005 39.目前股票上市，需资本额最少__________亿元 6 40. 设某股股价为＄30，盈余配股率为每千股配300股，则除权後跌停板价为21.5______ 。 30/1.3=23.0769 → 21.462 → 21.5 ※ 编辑: IAmAwesome 来自: 140.112.218.166 (05/17 12:46) ※ 编辑: IAmAwesome 来自: 140.112.218.166 (05/17 23:28)