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）︰99.05.06 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.(F) When the market price breaks through the moving average line from below, it is taken by technicians as a bearish signal. Two popular length of the moving average are 200 days and 53 weeks. 2.(T) The trick of fundamental analysis is not to identify firms that are good, but to find firms that are better than everyone else's estimate. However, the effcient market hypothesis predicts that most fundamental analysis is doomed to failure. 3.(T) There are two major predictions of the CAPM: (1) the market portfolio is mean-varience efficient, and (2) the security market line accurately describes the risk-return trade-off. The central problem in testing the former prediction is that the hypothesized market portfolio, which includes all risky assets that can be held by investors, is unobservable. 4.(T) Compared to the full-blown Markowitz model, the single index model implies that only a much smaller number of parameters must be estimated. To implement the Markowitz model for the nearly 3000 securities traded at NYSE we need to estimate about 4.5 million parameters, but we only need to estimate 9002 parameters when using the single index model. 5.(F) An insurance company can reduce the standard deviation of its rate of return by selling more uncorrelated policies. Similarly, investing in stocks for the long run rather than for the short run can reduce risk. 6.(T) While Sharpo ratio is an adequate measure of the risk-return trade-off for diversified portfolios, it is inadequated when applied to individual assets that may be held as part of large diversified portfolios. The Sharpe ratio for any given portfolio will vary systematically with the assumed investment holding period. 7.(F) Mutual funds free the individual of many of the administrative burdens of owning individual securities and they allow the individual to gain full control over the timing of capital gains realizations. However, mutual funds also incur management fees and other expenses. 8.(F) Buying on margin means borrowing money from a broker to buy more securities than can be purchased with one's own money alone. It may magnity the upside risk. Short-selling means borrowing the securities sold through a broker, and the broker may require that more cash or securities be deposited by short-seller. 9.(F) According to default risk, corporate bonds are classfied into debentures, subordinated debentures, and secured bonds, and the latter have a lower-priority claim to the firm's assets in the event of bankruptpy. 10.(T) 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. 開燈有答案 --

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