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）︰2014/06/17
考試時限（分鐘）：90mins
同學來信說版上考古題篇舊，就翻了ceiba幫助一下大家，也提醒大家以後多多PO文，前
人種樹!
試題 :
1. Consider the CAPM. The risk-free rate is 6% and the expected return on the
market is 18%. What is the expected return on a stock with a beta of 1.3? (D)
A. 6%
B. 15.6%
C. 18%
D. 21.6%
E[rs] = 6% + [18% - 6%](1.3) = 21.6%
2. If enough investors decide to purchase stocks they are likely to drive up
stock prices thereby causing _____________ and ___________. (A)
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
3. 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 _________. (B)
A. A, A
B. A, B
C. B, A
D. B, B
4. According to the CAPM, investors are compensated for all but which of the
following? (D)
A. Expected inflation
B. Systematic risk
C. Time value of money
D. Residual risk
5. If the beta of the market index is 1.0 and the standard deviation of the
market index increases from 12% to 18%, what is the new beta of the market
index? (B)
A. 0.8
B. 1.0
C. 1.2
D. 1.5
Market beta always equals to 1 regardless of market volatility.
6. According to the CAPM, what is the expected market return given an
expected return on a security of 15.8%, a stock beta of 1.2, and a risk free
interest rate of 5.0%? (D)
A. 5.0%
B. 9.0%
C. 13.0%
D. 14.0%
15.8 = 5.0 + 1.2 x (MRP), MRP = 9.0%, Expected market return = 5.0 + 9.0 =
14.0%
7. The risk premium for exposure to aluminum commodity prices is 4% and the
firm has a beta relative to aluminum commodity prices of 0.6. The risk
premium for exposure to GDP changes is 6% and the firm has a beta relative to
GDP of 1.2. If the risk free rate is 4.0%, what is the expected return on
this stock? (C)
A. 10.0%
B. 11.5%
C. 13.6%
D. 14.0%
Return = .04 + 0.6(0.04) + 1.2(.06) = .136
8. Bonds issued in the currency of the issuer's country but sold in other
national markets are called _____________. (A)
A. Eurobonds
B. Yankee bonds
C. Samurai bonds
D. foreign bonds
9. Bonds rated _____ or better by Standard and Poor's are considered
investment grade. (B)
A. AA
B. BBB
C. BB
D. CCC
10. 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%, _________. (D)
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 A
11. 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 _________. (B)
A. $50.00
B. $190.00
C. $200.00
D. $240.00
Conversion Premium = 950 - 40(19) = 190.00
12. A coupon bond which pays interest of $60 annually, has a par value of
$1,000, matures in 5 years, and is selling today at a $75.25 discount from
par value. The current yield on this bond is _________. (B)
A. 6.00%
B. 6.49%
C. 6.73%
D. 7.00%
13. A zero-coupon bond has a yield to maturity of 5% and a par value of
$1,000. If the bond matures in 16 years, it should sell for a price of
__________ today. (A)
A. $458.00
B. $641.00
C. $789.00
D. $1,100.00
PV0 =
14. A 1% decline in yield will have the least effect on the price of the bond
with a _________. (A)
A. 10-year maturity, selling at 80
B. 10-year maturity, selling at 100
C. 20-year maturity, selling at 80
D. 20-year maturity, selling at 100
15. A pension fund must pay out $1 million next year, $2 million the
following year and then $3 million the year after that. If the discount rate
is 8% what is the duration of this set of payments? (C)
A. 2.00 years
B. 2.15 years
C. 2.29 years
D. 2.53 years
16. The duration of a 5-year zero coupon bond is ____ years. (B)
A. 4.5
B. 5.0
C. 5.5
D. 3.5
17. Given its time to maturity the duration of a zero coupon bond is
_________. (D)
A. higher when the discount rate is higher
B. higher when the discount rate is lower
C. lowest when the discount rate is equal to the risk free rate
D. the same regardless of the discount rate
18. An increase in a bond's yield to maturity results in a price decline that
is ________ the price increase resulting from a decrease in yield of equal
magnitude. (C)
A. greater than
B. equivalent to
C. smaller than
D. The answer is indeterminate
19. A perpetuity pays $100 each and every year forever. The duration of this
perpetuity will be __________ if its yield is 9%. (D)
A. 7
B. 9
C. 9.39
D. 12.11
20. A bond with a 9-year duration is worth $1,080.00 and its yield to
maturity is 8%. If the yield to maturity falls to 7.84%, you would predict
that the new value of the bond will be _________. (C)
A. $1,035
B. $1,036
C. $1,094
D. $1,124
21. The value of internet companies is based primarily on _____. (C)
A. current profits
B. Tobin's q
C. growth opportunities
D. replacement cost
22. A firm has current assets which could be sold for their book value of $10
million. The book value of its fixed assets is $60 million but they could be
sold for $95 million today. The firm has total debt at a book value of $40
million but interest rate changes have increased the value of the debt to a
current market value of $50 million. This firm's market to book ratio is
________. (A)
A. 1.83
B. 1.50
C. 1.35
D. 1.46
23. An underpriced stock provides an expected return which is ____________
the required return based on the capital asset pricing model (CAPM). (C)
A. less than
B. equal to
C. greater than
D. greater than or equal to
24. Ace Ventura, Inc. has expected earnings of $5 per share for next year.
The firm's ROE is 15% and its earnings retention ratio is 40%. If the firm's
market capitalization rate is 10%, what is the present value of its growth
opportunities? (A)
A. $25
B. $50
C. $75
D. $100
25. Cache Creek Manufacturing Company is expected to pay a dividend of $4.20
in the upcoming year. Dividends are expected to grow at the rate of 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 on the stock, and the constant growth DDM to determine the intrinsic
value of the stock. The stock is trading in the market today at $84.00. Using
the constant growth DDM and the CAPM, the beta of the stock is _________. (B)
A. 1.4
B. 0.9
C. 0.8
D. 0.5
26. Interior Airline is expected to pay a dividend of $3 in the upcoming
year. Dividends are expected to grow at the rate of 10% per year. The
risk-free rate of return is 4% and the expected return on the market
portfolio is 13%. The stock of Interior Airline has a beta of 4.00. Using the
constant growth DDM, the intrinsic value of the stock is _________. (A)
A. $10.00
B. $22.73
C. $27.78
D. $41.67
27. Ace Frisbee Corporation produces a good that is very mature in their
product life cycles. Ace Frisbee Corporation is expected to pay a dividend in
year 1 of $3.00, a dividend in year 2 of $2.00, and a dividend in year 3 of
$1.00. After year 3, dividends are expected to decline at the rate of 2% per
year. An appropriate required return for the stock is 8%. Using the
multistage DDM, the stock should be worth __________ today. (A)
A. $13.07
B. $13.58
C. $18.25
D. $18.78
28. A firm has PVGO of 0 and a market capitalization rate of 12%. What is the
firm's P/E ratio? (B)
A. 12.00
B. 8.33
C. 10.25
D. 18.55
P = E/k + 0; P/E = 1/0.12 = 8.33
29. All else the same, an ______ style option will be ______ valuable than a
______ style option. (A)
A. American, more, European
B. American, less, European
C. American, more, Canadian
D. American, less, Canadian
30. An Asian put option gives its holder the right to ____________. (D)
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
31. You write a put 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 P0 is the original premium of
the put option. (C)
A. Max(P0, X - ST - P0)
B. Min(-P0, X - ST - P0)
C. Min(P0, ST - X + P0)
D. Max(0, ST - X - P0)
32. 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 _________. (B)
A. time spread
B. long straddle
C. short straddle
D. money spread
33. You invest in the stock of Valleyview Corp. and purchase a put option on
Valleyview Corp. This strategy is called a _________. (C)
A. long straddle
B. naked put
C. protective put
D. short stroll
34. A covered call strategy benefits from what environment? (B)
A. Falling interest rates
B. Price stability
C. Price volatility
D. Unexpected events
35. Investor A bought a call option and Investor B bought a put option. All
else equal if the underlying stock price volatility increases the value of
Investor A's position will ______ and the value of Investor B's position will
_______. (A)
A. increase; increase
B. increase; decrease
C. decrease; increase
D. decrease; decrease
36. Hedge ratios for long calls are always __________. (B)
A. between -1 and 0
B. between 0 and 1
C. 1
D. greater than 1
37. The stock price of Bravo Corp. is currently $100. The stock price a year
from now will be either $160 or $60 with equal probabilities. The interest
rate at which investors invest in riskless assets at is 6%. Using the
binomial OPM, the value of a put option with an exercise price of $135 and an
expiration date one year from now should be worth __________ today. (C)
A. $34.09
B. $37.50
C. $38.21
D. $45.45
Answer:
目前股價S=100 , X=135
↗uS= =160
S=100
↘dS= =60
↗P+= Max(0 ,X- )=0
P=38.21
↘P-= Max(0 ,X- )=75
設risk-free rate rf = r =6%
HP由股票與Option組成之無風險pfo
=買h個股票及買入一個Put
h=+0.75
38. According to the put-call parity theorem, the payoffs associated with
ownership of a call option can be replicated by __________________. (B)
A. shorting the underlying stock, borrowing the present value of the exercise
price, and writing a put on the same underlying stock and with the same
exercise price
B. buying the underlying stock, borrowing the present value of the exercise
price, and buying a put on the same underlying stock and with the same
exercise price
C. buying the underlying stock, borrowing the present value of the exercise
price, and writing a put on the same underlying stock and with the same
exercise price
D. shorting the underlying stock, lending the present value of the exercise
price and buying a put on the same underlying stock and with the same
exercise price
39. For one-period case, given current stock price= S=100
u=1.25 Su=125 d=0.80 Sd=80X=100
= =Max(0 , -X) =25
= =Max(0 , -X)=0
By Binomial Option Pricing Model, C=14.02
What is the riskfree interest rate?
Ans: C=14.02=p /(1+r)=[(1+r-0.8)/(1.25-0.8)]=(25)/(1+r)
r=0.07=7%
40. The stock price of ABC Inc. is currently $105. The stock price a year
from now will be either $130 or $90 with equal probabilities. The interest
rate at which investors can borrow is 10%. Using the binomial OPM, what is
the hedge ratio of the Hedge Portfolio
fora call option with an exercise price of $110 and an expiration date 1 year
from now ?
ANS:
H=(20-0)/(130-90)=50