課程名稱︰投資學
課程性質︰系必修
課程教師︰林煜宗
開課系所︰財金系
考試時間︰2005.6
是否需發放獎勵金：是
試題 :
注意：可帶字典、翻譯機、計算機，可用鉛筆作答，試卷及答案卷皆須簽名後交回。
答案全部寫在答案紙上，共40題，每題2.5分。
1. 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）2300家 （D）2904家
2. 已知騰落指標（ADL）＝290，DOWN為2770，求UP為多少？
（A）2480家 （B）3060家 （C）2840家 （D）3600家
3. 葛蘭碧（Gran Ville）八大法則之移動平均線買進訊息，何者錯誤？
（A）平均線由下降轉為水平或上升，而股價從平均線下方穿破平均線時
（B）股價雖跌破平均線，不久又回到平均線上，而平均線短期仍是上升趨勢時
（C）股價趨勢走在平均線之上，股價突然下跌，但未跌破平均線，股價隨後又上升
（D）股價在上升且位於平均線之上，突然暴漲，離平均線越來越遠，但很有可能再趨
向平均線
4. 乖離率（BIAS），下列描述何者錯誤？
（A）上漲行情，乖離率常為負值
（B）下跌行情，乖離率常為負直
（C）上漲行情，乖離率常為正值
（D）乖離率與股價的報酬率相似
5. 「貨幣供給」是景氣指標的
（A）落後指標 （B）同時指標 （C）領先指標 （D）綜合指標
6. 當預期M1b年增率減緩，投資人將預期整體股價
（A）下跌 （B）上漲 （C）不一定上漲或下跌 （D）先跌後漲
7. 「景氣對策信號」由「綠燈」轉為「黃藍燈」時，政府財金政策應
（A）大幅緊縮 （B）適度放鬆 （C）適度緊縮 （D）以上皆非
8. 景氣對策綜合判斷分數32分的時候，屬於
（A）紅燈 （B）黃紅燈 （C）綠燈 （D）黃藍燈
9. Dollar denominated bonds sold by a German firm in the U.S. would be called
[ ].
A）Eurobonds B）Yankee bonds C）Samurai bonds D）Bulldog bonds
10. Bonds issued in the currency of one country but sold in other national
markets are called [ ].
A）Eurobonds B）Yankee bonds C） Samurai bonds D）Bulldog bonds
11. Which of the following would not generally be considered a determinant of
bond safety?
A) turnover ratios B) leverage ratios
C) liquidity ratios D) coverage ratios
12. A convertile 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
13. A coupon bond which pays interest annually, has a par value of $1,000,
matures in 5 years and has a yield to maturity of 12%. If the coupon rate
is 9%, the intrinsic value of the bond today will be [ ].
A) $855.55 B) $891.45 C) $926.00 D)$1,000.00
14. Consider a 7-year bond with a 9% coupon and a present yield to maturity of
12%. If interest rates remain constant, one year from now the price of this
bond will be [ ].
A) higher B) lower C) the same D) cannot be determined
15. All other things equal, which of the following has the longest duration?
A) a 20 year bond with a 10% coupon yielding 10%
B) a 20 year bond with a 10% coupon yielding 11%
C) a 20 year zero coupon bond yielding 10%
D) a 20 year zero coupon bond yielding 11%
16. In a substitution swap, one bond would be exchanged for another bond with
nearly identical [ ].
A) maturity B) coupon C) quality D) all of the above
17. Given its time to maturity the duration of a zero coupon bond is higher
when the discount rate is [ ].
A) higher B) lower C) equal to the risk free rate D) none of the above
18. A bond presently has a price of $1,030. The present yield on the bond is
8.00%. If the yield changes from 8.00% to 8.10%, the price of the bond will
go down to $1,020. The duration of this bond is [ ].
A) -10.5 B) -8.5 C) 9.7 D) 10.5
19. The duration of a bond normally decreases with an increase in [ ].
A) term-to-maturity B) yield-to-maturity
C) coupon rate D) all of the above
20. To create a portfolio with a duration of 4 years, using a 5 year
zero-coupon bond and a 3 year 8% annual coupon bond with a yield to
maturity of 10%, one would have to invest [ ] of the portfolio value in
the zero-coupon bond.
A) 50% B) 55% C) 60% D)75%
Use the following to answer questions 21-23
Riskfree 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
S&P500 12.0% 15% 1.0
21. The Sharpe measure of performance for Fund A is [ ].
22. The Treynor measure of performance for Fund B is [ ].
23. The T^2 measure of performance for Fund B is [ ].
24. Porfolio manager Peter Lynch would classify Coca-Cola as [ ].
A) worse tasting than Pepsi-Cola B) a slow grower
C) a stalwart D) a turnaround
25. Capital goods industries such as equipment, transportation or construction
would be good investments during the [ ] stage of the business cycle.
A) Peak B) Contraction C) Trough D) Expansion
26. If the economy is going into a recession, a good industry to invest in
would be the [ ] industry.
A) automobile B) banking C) construcion D) movie
27. An analyst starts by examining the broad economic environment and then
considers the implications of the outside environment on the industry in
which the firm operates. Finally, the firm's position within the industry
is examined. This is called [ ] analysis.
A) bottom-up B) outside-inside C) top-down D) upside-down
28. In general, firms in the semiconductor industry will have a lower [ ]
than firms in the electric utility industry.
A) return on assets B) payout ratio C) growth rate D) none of the above
29. Firms in the semiconductor industry generally have lower [ ] than firms
in the electric utilities industry.
A) return on assets B) payout ratio C) growth rate D) all of the above
30. The constant growth dividend discount model (DDM) is valid only when [ ].
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
31. The mauket 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
32. Gagliardi Way Corporation has an expected ROE of 15%. Its dividend growth
rate will be [ ] if it follows a policy of paying 30% of earning in the
form of dividends.
A) 4.5% B) 10.5% C) 15.0% D) 30.0%
33. 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) $25 B) $50 C) $75 D) $100
34. Assuming all other factors remain unchanged, [ ] would increase a firm's
price/earnings ratio.
A) an increase in the dividend payout ratio
B) a reduction in investor risk aversion
C) an expected increase in the level of inflation
D) an increase in the yield on treasury bills
35. The P/E ratio will tend to be higher when the [ ].
A) ROE is lower B) Beta is lower
C) Plowback rate is higher D) All of the above
36. You purchase on IBM July 120 call contract for a primium of $5. You hold
the option until the expiration date when IBM stock sells for $123 per
share. You will realize a [ ] on the investment.
A) $200 profit B) $200 loss C) $300 profit D) $300 loss
37. An American 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 the exercise price only at the expiration
date
C) sell the underlying asset at the exercise price only on or before the
expiration date
D) sell the underlying asset at the exercise price only at the expiration
date
38. The writer of a put option [ ].
A) agrees to sell shareds at a set price
B) agrees to buy shares at a set price
C) acquires the opportunity to buy shares at a set price
D) acquires the opportunity to sell shares at a set price
39. A put option on Snapple Beverage has an exercise price of $30. The current
stock price of Snapple Beverage is $24.25. The put option is [ ].
A) at the money B) in the money C) out of the money D) none of the above
40. You invest in the stock of Valleyview Corp. and purchase a put option on
Valleyview Corp. This strategy is called a [ ].
A) long straddle B) naked put C) protective put D) short stroll
解答：
1.C 2.B 3.D 4.A 5.C 6.A 7.B 8.B 9.B 10.A
11.A 12.B 13.B 14.A 15.C/D 16.D 17.D 18.D 19.B/C 20.B
21. 0.19 22. 0.071 23. 0.011 24.C 25.C 26.D 27.C 28.B 29.B 30.C
31.B 32.B 33.A 34.B 35.B 36.B 37.C 38.B 39.B 40.C
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