課程名稱︰投資學 課程性質︰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）︰2012/5/1 考試時限（分鐘）：100 是否需發放獎勵金：是 （如未明確表示，則不予發放） 試題 : 1. Real assets in the economy include all but which one of the following? A. Land B. Buildings C. Consumer durables D. Common stock 2. 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 3. 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 4. The value of a derivative security _________. A. depends on the value of other related security B. affects the value of a related security C. is unrelated to the value of a related security D. can only be integrated by calculus professors 5. In securities markets, there should be a risk-return trade-off with higher-risk assets having _________ expected returns than lower-risk assets. A. higher B. lower C. the same D. Can't tell from the information given 6. __________ portfolio construction starts with asset allocation. A. Bottom-up B. Top-down C. Upside-down D. Side-to-side 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 Dow Jones Industrial Average is _________. A. a price weighted average B. a value weight and average C. an equally weighted average D. an unweighted average 9. 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 10. 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% 11. The complete portfolio refers to the investment in _________. A. the risk-free asset B. the risky portfolio C. the risk-free asset and the risky portfolio combined D. the risky portfolio and the index 12. An investment earns 10% the first year, 15% the second year and loses 12% the third year. Your total compound return over the three years was ______. A. 41.68% B. 11.32% C. 3.64% D. 13.00% (1.10)(1.15)(1 - .12) = 11.32% 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. During the 1926 to 2008 period the Sharpe ratio was greatest for which of the following asset classes? A. Small U.S. stocks B. Large U.S. stocks C. Long-Term U.S. Treasury Bonds D. Bond World portfolio return in U.S. dollars 15. 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 16. 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 17. 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% 18. Asset A has an expected return of 20% and a standard deviation of 25%. The risk free rate is 10%. What is the reward-to-variability ratio? A. .40 B. .50 C. .75 D. .80 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. Firm specific risk is also called __________ and __________. A. systematic risk, diversifiable risk B. systematic risk, non-diversifiable risk C. unique risk, non-diversifiable risk D. unique risk, diversifiable risk 21. On a standard expected return vs. standard deviation graph investors will prefer portfolios that lie to the _____________ of the current investment opportunity set. A. left and above B. left and below C. right and above D. right and below 22. 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 23. Consider two perfectly negatively correlated risky securities, A and B. Security A has an expected rate of return of 16% and a standard deviation of return of 20%. B has an expected rate of return of 10% and a standard deviation of return of 30%. The weight of security B in the minimum variance portfolio is _________. A. 10% B. 20% C. 40% D. 60% 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. 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 26. The expected return on the optimal risky portfolio is _________. A. 14.0% B. 15.6% C. 16.4% D. 18.0% 27. The standard deviation of return on the optimal risky portfolio is _________. A. 0% B. 5% C. 7% D. 20% 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 17%? A. .5 B. .7 C. 1 D. 1.2 17% = 5% + [15% - 5%]刍s; 刍s = 1.2 29. In a world where the CAPM holds which one of the following is not a true statement regarding the capital market line? A. The capital market line always has a positive slope B. The capital market line is also called the security market line C. The capital market line is the best attainable capital allocation line D. The capital market line is the line from the risk-free rate through the market portfolio 30. 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 31. Consider the multi-factor APT with two factors. Portfolio A has a beta of 0.5 on factor 1 and a beta of 1.25 on factor 2. The risk premiums on the factors 1 and 2 portfolios are 1% and 7% respectively. The risk-free rate of return is 7%. The expected return on portfolio A is __________ if no arbitrage opportunities exist. A. 13.5% B. 15.0% C. 16.25% D. 23.0% 32. 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 33. The risk premium for exposure to exchange rates is 5% and the firm has a beta relative to exchanges rates of 0.4. The risk premium for exposure to the consumer price index is -6% and the firm has a beta relative to the CPI of 0.8. If the risk free rate is 3.0%, what is the expected return on this stock? A. 0.2% B. 1.5% C. 3.6% D. 4.0% Return = .03 + 0.4(0.05) + 0.8(-.06) = .002 34 計算發行量加權股價指數時,何種股票之影響力最大? A) 股本越大 B) 股本越小 C) 股本不大不小且股價越低 D) 以上皆非 35 設融券成數為90％，整戶維持率為150％，則股價上漲 --------%時 即需追繳保證金 26.67 (100+90)/P’=1.5 → P’=126.67 36.某公司股本10億元，現擬現金增資5億元 每股現金認購價為14元。除權前每股收盤價為20元，試問 除權後跌停板價為__________元。 16.75 ((20+14X0.5)/1.5)X0.93=18X=16.74 37. 設某股股價為＄30，盈餘配股率為每千股配300股，則除權後跌停板價為______。 21.5 30/1.3=23.0769 → 21.462 → 21.5 38.目前股票上市，需資本額最少__________億元 6 39.設融資比率為50%，整戶維持率為140%，則股價下跌_____%時 即需追繳保證金 30% P’/50=1.4 →P’= 70 →100-70=30 40.今有證券20種，如擬運用極小化微分法求取效率前緣時，需估計________個inputs 230 選擇題答案: 01 02 03 04 05 D A　C A A 06 07 08 09 10 B D A B D 11 12 13 14 15 C B B B A 16 17 18 19 20 C B A C D 21 22 23 24 25 A A C C B 26 27 28 29 30 A B D B B 31 32 33 34 C B A A --

※ 發信站: 批踢踢實業坊(ptt.cc) ◆ From: 140.112.25.105