課程名稱︰投資學
課程性質︰國企系必修
課程教師︰李志偉
開課學院：管理學院
開課系所︰國企系
考試日期（年月日）︰96/11/13
考試時限（分鐘）：180
是否需發放獎勵金：是
（如未明確表示，則不予發放）
試題 :
單選題(每題3.5分)
1. Which of the following is the most like a short-term collateralized loan?
A) certificate of deposit
B) repurchase agreement
C) banker's acceptance
D) commercial paper
2. The bid price of a treasury bill is __________.
A) the price at which the dealer in treasury bills is willing to sell the bill
B) the price at which the dealer in treasury bills is willing to buy the bill
C) greater than the ask price of the treasury bill expressed in dollar terms
D) the price at which the invester can buy the treasury bill
3. You purchased XYZ stock at $50 per share. The stock is currently selling at
$65. Your gains could be protected by placing a _________.
A) limit-buy order
B) limit-sell order
C) market order
D) stop-loss order
4. Which of the following is not a type of managed investment company?
A) unit investment trusts
B) closed-end funds
C) open-end funds
D) All of above are managed investment companies
5. A Treasury bill pays a 6% rate of return. A risk averse investor ______
invest in a risky portfolio that pays 12% with a probability of 40% or 2%
with a probability of 60% because________
A) might; she is rewarded a risk premium
B) would not; because she is not rewarded any risk premium
C) would not; because the risk premium is small
D) cannot be determined
6. 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
7. ____________ is a true statement regarding risk averse investors.
A) They only care about the rate of return
B) They accept investments that are fair games
C) They only accept investments that offer risk premium over the risk-free rate
D) They are willing to accept lower return and high risk
8. Adding additional risky assets will generally move the efficient frontier
__________ and to the _________.
A) up, right
B) up, left
C) down, right
D) down, left
9. An investor's degree of risk aversion will determine his ________.
A) optimal risky portfolio
B) risk-free rate
C) mix of risk-free asset and optimal risky asset
D) choice of risk free asset
10. The __________ is equal to the square root of the systematic variance
divided by the total variance.
A) covariance
B) correlation coefficient
C) standard deviation
D) reward-to-variability ratio
11. Rational risk-averse investor will always prefer portfolios ____________.
A) located on the efficient frontier to those located on the capital market
line.
B) located on the capital market line to those located on the efficient
frontier.
C) at or near the minimum variance point on the efficient frontier.
D) rational risk-averse investors prefer the risk-free asset to all other
asset choices.
12. The _______ decision should take precedence over the _________decision.
A) asset allocation, stock selection
B) choice of fad, mutual fund selection
C) stock selection, asset allocation
D) stock selection, mutual fund selection
13. An adjusted beta will be ______ than the unadjusted beta.
A) lower B) higher C) closer to 1 D) closer to 0
14. Fama and French claim that after controlling for firm size and the ratio
of book value to market value, beta is insignificant in explaining stock
returns. This claim is supported by _______.
A) their analysis of stock return beta
B) a strong theory and impeccable logic
C) all economics
D) all of the above
15. Consider the single factor APT. Portfolio A has a beta of 0.2 and an
expected return of 13%. Portfolio B has a beta of 0.4 and an expected return
of 15%. The risk-free rate of return is 10%. If you wawnted 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
16. 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 is 15%. According
to the capital asset pricing model, security X is __________.
A) fairly priced B) overpriced
C) underpriced D) None of above answers are correct
17. Your return will generally be higher using the ________ if you time
your transactions poorly and your return will generally be higher using
the __________ if you time your transactions well.
A) dollor-weighted return method, dollor-weighted return method
B) dollor-weighted return method, time-weighted return method
C) time-weighted return method, dollor-weighted return method
D) time-weighted return method, time-weighted return method
18. Consider the Sharpe and Treynor performance measures. When a pension
fund is large and has many managers, the __________ measure is better for
evaluating individual managers while the __________ measure is better for
evaluating the manager of a small fund with only one manager resposible
for all investments.
A) Sharpe, Sharpe B) Sharpe, Treynor
C) Treynor, Sharpe D) Treynor, Treynor
19. Mental accounting is a form of framing which is consistent with ______.
A) taking a very risky position with one investment account and a very
conservative position with another investment account
B) a tendency to hold losing stock positions for too short
D) all of above
(無C選項)
20. A high amount of the Put/Call ratio is considered as a ____________.
A) bearish signal by some contrarian
B) bullish signal by some technician
C) bearish signal by some technician
D) none of the above
計算題 (每題六分, 要計算過程)
1. You purchased 300 shares of common stock on margin for $50 per share.
The initial margin is 60% and the stock pays no dividend.
What would be your rate of return if you sell the stock at $40 per share?
Ignore interest on margin.
2. You are considering investing $1,000 in a complete portfolio.
The complete portfolio is composed of treasury bills that pay 5% and a risky
potfolio, P, constructed with 2 risky securities X and Y. The weight of X
and Y in P are 60% and 40% respectively. X has an expected rate of return
of 14% and Y has an expeced of return of 10%. To form a complete portfolio
with an expected rate of return of 11%, you should invest ____% of your
complete portfolio in treasury bills.
3. Which of the following portfolios cannot lie on the efficient frontier?
I, J, K, or L?
_________________________________________________
Portfolio Expected Return Standard deviation
-------------------------------------------------
I 8% 10%
J 16% 20%
K 15% 25%
L 25% 38%
_________________________________________________
4. If the simple CAPM is valid, which of the situations below are possible.
Consider each situation independently. (要計算過程)
A) ____________________________________
Portfolio Expected Return Beta
------------------------------------
A 15% 1.2
B 15% 1.0
____________________________________
B)
_________________________________________________
Portfolio Expected Return Standard Deviation
-------------------------------------------------
A 20% 30%
B 15% 35%
_________________________________________________
C)
____________________________________
Portfolio Expected Return Beta
------------------------------------
A 25% 1.5
B 5% 0.5
____________________________________
5. The average returns, standard deviations and betas for three funds are
given below along with data for the S&P500 index. The risk-free return
during the sample period is 6%.
______________________________________
Fund Avg. Return St.Dev. Beta
--------------------------------------
A 13.6% 40% 1.1
B 13.1% 25% 1.0
C 12.4% 30% 1.3
S&P500 12.0% 15% 1.0
______________________________________
You wish to evaluate the three mutual funds using the Jensen measure for
performance evaluation. The fund with the lowest Jensen measure of performance
is A, B, or C?
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