課程名稱︰投資學 課程性質︰必修 課程教師︰陳其美 開課學院：管理學院 開課系所︰財金系 考試日期（年月日）︰99.06.24 考試時限（分鐘）：15:30-15:50 (20mins) 是否需發放獎勵金：是 （如未明確表示，則不予發放） 試題 : Closed-book, 4 points each. 1.(T) Mortgage-backed collateralized debt obligation were an investment disaster in 2007. These were formed by pooling subprime mortgage loans made to individual whose credit standing did not allow them to qualify for conventional mortgages. When home prices stalled and interest rates reset to market levels, home foreclosures soared and investors in these securities lost billions of dollars. 2.(T) Floating-rate bonds pay a coupon rate at a fixed premium over a reference short-term interest rate. 3.(T) Options can be used either to level up an investor's exposure to an asset price or to provide insurance against volatility of asset prices. Popular option strategies include covered calls, protective puts, straddles, spreads, and collars. 4.(T) A down-and-out option is one type of barrier option that automatically expires worthless if and when the stock price falls below some barrier price. A down-and-in option will not providea payoff unless the stock price falls below some barrier at least once before the option expires. 5.(T) The theory of normal backwardation suggeststhat the futures price will be bid down to a level below the expected spot price and will rise over time. The contango theory holds exactly the opposite; it holds that the natural hedgers in commodity futures are the purchasers of the commodity. 6.(T) The cleaninghouse acts an intermediary between each pair of futures traders, acting as the short position for each long, and as the long position for each short. In this way traders need not be concerned about the performance of the trader on the opposite side of the contract. Traders post margins to guarantee their own performances on the contracts. 7.(T) The expectations hypothesis holds that forward interest rates are unbiased estimates of expected future interest rates. However, there are good reasons to believe that forward rates differ from expected short rates because of a liquidity premium. 8.(T) Empirical evidence from the US shows that term premiums are generally positive and a downward-sloping yield curve might signal anticipated declines in interest rates, possibly associated with an impending recession. 9.(T) If net present value of a firm's investment project is negetive, then the PVGO can be negative. Such a firm would be subject to takeover. 10.(T) In equity valuation an alternative approach to the dividend discount model values the firm by discounting the free cash flow to the firm (which is the after-tax cash flow that accrues from the firm's operations, net of investments in capital and net working capital) at the weighted average cost of capital. To obtain the market value of then-existing debt is then subtracted from the firm value. 開燈有解答 --

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