課程名稱︰投資學 課程性質︰財金系必修 課程教師︰林煜宗 開課學院：管理學院 開課系所︰財金系 考試日期（年月日）︰2010/6/22 考試時限（分鐘）： 14:30-16:10 是否需發放獎勵金： 是 （如未明確表示，則不予發放） 試題 : 1. 景氣對策信號綜合指數為32分時乃 Ａ）紅燈 Ｂ）黃紅燈 B Ｃ）綠燈 Ｄ）黃藍燈 2. 「工業生產指數」是「臺灣景氣指標」的哪一類指標？ Ａ）落後指標 Ｂ）同時指標 B Ｃ）領先指標 Ｄ）以上皆非 3.『工業及服務業加班工時 』是景氣指標的 (A)落後指標 (B) 同時指標 C (C) 領先指標 (D) 綜合指標 4. 一支個股，當天最高價49元，收盤價47元，開盤價47元，最低價為46元，該個股 型態為： Ａ）Ｔ字線 Ｂ）倒Ｔ字線 D Ｃ）一字線 Ｄ）十字線 5. 漲跌比率ADR一般採用10日ADR，當ADR為0.73時，已知UP（上漲累計家數）為1679家， 求DOWN（下跌累計家數）為多少家？ (A)1225家 (B) 1679家 C (C) 2300家 (D)2904家 6. The moving average generates buy signal(s) A. on days 3, 11 and 15 B. on days 2 and 16 C. on days 5, 9 and 13 D. on no days 7.8為圖 7. The moving average generates sell signals A. on days 3, 11 and 15 B. on days 7, 15, and 18 C. on days 5, 9 and 13 C D. on day 16 8. If enough investors decide to purchase stocks they are likely to drive up stock prices thereby causing _____________ and ___________. A. expected returns to fall; risk premiums to fall B. expected returns to rise; risk premiums to fall C. expected returns to rise; risk premiums to rise D. expected returns to fall; risk premiums to rise A 9. According to the capital asset pricing model, a security with a _________. A. negative alpha is considered a good buy B. positive alpha is considered overpriced C. positive alpha is considered underpriced D. zero alpha is considered a good buy C 10. Research has revealed that regardless of what the current estimate of a firm's beta is, it will tend to move closer to ______ over time. A. 1 B. 0 C. -1 D. 0.5 A 11. Consider the single factor APT. Portfolio A has a beta of 1.3 and an expected return of 21%. Portfolio B has a beta of 0.7 and an expected return of 17%. The risk-free rate of return is 8%. 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 B 12. 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 A 13. The risk-free rate is 4%. The expected market rate of return is 11%. If you expect stock X with a beta of .8 to offer a rate of return of 12 percent, then you should _________. A. buy stock X because it is overpriced B. buy stock X because it is underpriced C. sell short stock X because it is overpriced D. sell short stock X because it is underpriced B 14. The SML is valid for _______________ and the CML is valid for ______________. A. only individual assets; well diversified portfolios only B. only well diversified portfolios; only individual assets C. both well diversified portfolios and individual assets; both well diversified portfolios and individual assets D. both well diversified portfolios and individual assets; well diversified portfolios only D 15. 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 C 16. Bonds issued in the currency of the issuer's country but sold in other national markets are called _____________. A. Eurobonds B. Yankee bonds C. Samurai bonds D. foreign bonds A 17. Consider two bonds, A and B. Both bonds presently are selling at their par value of $1,000. Each pay interest of $120 annually. Bond A will mature in 5 years while bond B will mature in 6 years. If the yields to maturity on the two bonds change from 12% to 14%, _________. A. both bonds will increase in value but bond A will increase more than bond B B. both bonds will increase in value but bond B will increase more than bond A C. both bonds will decrease in value but bond A will decrease more than bond B D. both bonds will decrease in value but bond B will decrease more than bond D 18. In an era of particularly low interest rates, which of the following bonds is most likely to be called? A. Zero coupon bonds B. Coupon bonds selling at a discount C. Coupon bonds selling at a premium D. Floating rate bonds C 19. A convertible bond has a par value of $1,000 but its current market price is $950. The current price of the issuing company's stock is $19 and the conversion ratio is 40 shares. The bond's conversion premium is _________. A. $50.00 B. $190.00 C. $200.00 D. $240.00 B Conversion Premium = 950 - 40(19) = 190.00 20. A bond's price volatility _________ at a/an _________ rate as maturity increases. A. increases; increasing B. increases; decreasing C. decreases; increasing D. decreases; decreasing B 21. The duration of a 5-year zero coupon bond is ____ years. A. 4.5 B. 5.0 C. 5.5 D. 3.5 B 22. You own a bond that has a duration of 6 years. Interest rates are currently 7% but you believe the Fed is about to increase interest rates by 25 basis points. Your predicted price change on this bond is ________. A. +1.40% B. -1.40% C. -2.51% D. +2.51% B %岛P = (-6) = -1.40% 23. A perpetuity pays $100 each and every year forever. The duration of this perpetuity will be __________ if its yield is 9%. A. 7 B. 9 C. 9.39 D. 12.11 D 24. If a firm increases its plowback ratio this will probably result in a(n) _______ P/E ratio. A. higher B. lower C. unchanged D. unable to determine D 25. The constant growth dividend discount model (DDM) can be used only when the ___________. A. growth rate is less than or equal to the required return B. growth rate is greater than or equal to the required return C. growth rate is less than the required return D. growth rate is greater than the required return C 26. You are considering acquiring a common share of Sahali Shopping Center Corporation that you would like to hold for one year. You expect to receive both $1.25 in dividends and $35 from the sale of the share at the end of the year. The maximum price you would pay for a share today is __________ if you wanted to earn a 12% return. A. $31.25 B. $32.37 C. $38.47 D. $41.32 B 27. The market capitalization rate on the stock of Aberdeen Wholesale Company is 10%. Its expected ROE is 12% and its expected EPS is $5.00. If the firm's plow-back ratio is 60%, its P/E ratio will be _________. A. 7.14 B. 14.29 C. 16.67 D. 22.22 B 28. Cache Creek Manufacturing Company is expected to pay a dividend of $3.36 in the upcoming year. Dividends are expected to grow at 8% per year. The riskfree rate of return is 4% and the expected return on the market portfolio is 14%. Investors use the CAPM to compute the market capitalization rate, and the constant growth DDM to determine the value of the stock. The stock's current price is $84.00. Using the constant growth DDM, the market capitalization rate is _________. A. 9% B. 12% C. 14% D. 18% B 29. Grott and Perrin, Inc. has expected earnings of $3 per share for next year. The firm's ROE is 20% and its earnings retention ratio is 70%. If the firm's market capitalization rate is 15%, what is the present value of its growth opportunities? A. $20 B. $70 C. $90 D. $115 B 30. Firms with higher expected growth rates tend to have P/E ratios that are ___________ the P/E ratios of firms with lower expected growth rates. A. higher than B. equal to C. lower than D. There is not necessarily any linkage between risk and P/E ratios A 31. Sanders, Inc., paid a $4.00 dividend per share last year and is expected to continue to pay out 60% of its earnings as dividends for the foreseeable future. If the firm is expected to generate a 13% return on equity in the future, and if you require a 15% return on the stock, the value of the stock is _________. A. $26.67 B. $35.19 C. $42.94 D. $59.89 C 32. A firm has PVGO of 0 and a market capitalization rate of 12%. What is the firm's P/E ratio? A. 12.00 B. 8.33 C. 10.25 D. 18.55 B P = E/k + 0; P/E = 1/0.12 = 8.33 33. All else the same, an ______ style option will be ______ valuable than a ______ style option. A. American, more, European B. American, less, European C. American, more, Canadian D. American, less, Canadian A 34. An Asian put option gives its holder the right to ____________. A. buy the underlying asset at the exercise price on or before the expiration date B. buy the underlying asset at a price determined by the average stock price during some specified portion of the option's life C. sell the underlying asset at the exercise price on or before the expiration date D. sell the underlying asset at a price determined by the average stock price during some specified portion of the option's life D 35. You purchase a call option on a stock. The profit at contract maturity of the option position is ___________ where X equals the option's strike price, ST is the stock price at contract expiration and C0 is the original purchase price of the option. A. Max(-C0, ST - X - C0) B. Min(-C0, ST - X - C0) C. Max(C0, ST - X + C0) D. Max(0, ST - X - C0) A 36. You buy a call option and a put option on General Electric. Both the call option and the put option have the same exercise price and expiration date. This strategy is called a _________. A. time spread B. long straddle C. short straddle D. money spread B 37. A __________ is an option valuation model based on the assumption that stock prices can move to only two values over any short time period. A. nominal model B. binomial model C. time model D. Black-Scholes model B 38. A 45 call option on a stock priced at $50 is priced at $6.50. This call has an intrinsic value of ______ and a time value of _____. A. $6.50; $0 B. $5.00; $1.50 C. $1.50; $5.00 D. $0; $6.50 B 39. Investor A bought a call option and Investor B bought a put option. All else equal if the interest rate increases the value of Investor A's position will ______ and the value of Investor B's position will _______. A. increase; increase B. increase; decrease C. decrease; increase D. decrease; decrease B 40. The percentage change in the stock call option price divided by the percentage change in the stock price is the __________ of the option. A. delta B. elasticity C. gamma D. theta B --

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