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︰2005/4/21
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36題，每題3分。
1. Which of the following is not a money market instrument?
A) treasury bill
B) commercial paper
C) preferred stock
D) banker's acceptance
2. 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
3. If the market prices of the 30 stocks in the Dow Jones Industrial Average
all change by the same dollar amount on a given day (ignoring the stock
splits), which stock will have the greatest impact on the average?
A) the one with the highest price
B) the one with the lowest price
C) all 30 stocks will have the same impact
D) the answer cannot be determined by the information given
4. The Standard and Poors 500 is a(n) [ ] weighted index.
A) equally
B) price
C) value
D) none of the above
5. Of the alternatives available, [ ] typically have the highest standard
deviation of returns.
A) commercial paper
B) corporate bonds
C) stocks
D) treasury bills
6. If you purchase a stock for $50, receive dividends of $2, and sell the stock
at the end of the year for $55, what is your holding period return?
A) 5% B) 10% C) 14% D) 18%
7. The dollar weighted return is the same as the [ ].
A) difference between cash inflows and cash outflows
B) arithmetic average return
C) geometric average return
D) internal rate of return
8. The risk-free rate is usually approximated by [ ].
A) the return on bank savings accounts
B) the return on Treasury bills
C) the return on money market mutual funds
D) None of the above
9. The capital allocation line is also the [ ].
A) investment opportunity set formed with a risky asset and a risk-free
asset
B) investment opportunity set formed with two risky assets
C) line on which lie all portfolios that offer the same utility to a
particular investor
D) line on which lie all portfolios with the same expected rate of return
and different standard deviations
10. Historical returns have generally been [ ] for stocks of small firms
as/than for stocks of large firms.
A) the same
B) lower
C) higher
D) There is no evidence of a systematic relationship between returns on
small firm stocks and returns on small firm stocks
11. 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
12. You invest $100 in a complete portfolio. The complete portfolio is composed
of a risky asset with an expected rate of return of 12% and a standard
deviation of 15% and a treasury bill with a rate of return of 5%. [ ] of
your money should be invested in the risky asset to form a portfolio with
an expected rate of return of 9%.
A) 87% B) 77% C) 67% D) 57%
13. You have $500,000 available to invest. The risk-free rate as well as your
borrowing rate is 8%. The return on the risky portfolio is 16%. If you wish
to earn a 22% return, you should [ ].
A) invest $125,000 in the risk-free asset
B) invest $375,000 in the risk-free asset
C) borrow $125,000
D) borrow $375,000
14. The return on the risky portfolio is 15%. The risk-free rate as well as the
investor's borrowing rate is 10%. The standard deviation of return on the
risky portfolio is 20%. If the standard deviation on the complete portfolio
is 25%, the expeted return on the complete portfolio is [ ].
A) 6.00% B) 8.47% C) 10.00% D) 16.00% E) 以上皆非
15. 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
16. 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
17. Beta is a measure of [ ].
A) firm specific risk
B) diversifiable risk
C) market risk
D) unique risk
18. 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 atandard deviations
B) equal to -1
C) equal to 0
D) greater than 0
19. An investor can design a risky portfolio based on two stocks, A and B.
Stock A has an expected return of 18% and a standard deviation of return of
20%. Stock B has an expected return of 14% and a standard deviatin of
return of 5%. The correlation coefficient between the returns of A and B is
50%. The risk-free rate of return is 10%.
The proportion of the optimal risky portfolio that should be invested in
stock A is [ ].
A) 0%
B) 40%
C) 60%
D) 100%
20. An investor can design a risky portfolio based on two stocks, A and B. The
standard deviation of return on stock A is 20% while the standard deviation
on stock B is 15%. The correlation coefficient between the return on A and
B is 0%. The expected return on stock A is 20% while on stock B it is 10%.
The proportion of the minimum variance portfolio that would be invested in
stock B is [ ].
A) 6% B) 50% C) 64% D) 100%
21. 設融資比率為50％，整戶維持率為140％，則股價下跌[ ]％時，則需追繳保證金。
22. 設融券成數為80％，整戶維持率為120％，則股價上漲[ ]％時，則需追繳保證金。
23. 設每股股價為＄50，融資比率為60％，則股價上漲至＄60時，整戶維持率為[ ]％。
24. 設某股股價為＄100，融券成數為90％，則股價上漲至＄140時，整戶維持率為[ ]％。
25. 設某股股價為＄30，盈餘配股率為每千股配400股，則除權後股價為[ ]。
26. 設某股股價為＄40，公司原資本額10億元，現擬現金增資3億元，每股現金增資認購為
＄30，則除權後股價為＄[ ]元。
27. Consider the CAPM. The risk-free rate is 5% and the expectd return on the
market is 15%. What is the beta on a stock with an expected return of 12%?
A) .5 B) .7 C) 1.2 D) 1.4
28. Research has revealed that regardless of what the current extimate of a
firm's beta is, it will tend to move closer to [ ] over time.
A) 1 B) 0 C) -1 D) None of the above
29. According to the capital asset pricing model, [ ].
A) all securities must lie on the capital market line
B) all securities must lie on the security market line
C) underpriced securities lie below the security market line
D) overpriced securities lie above the security market line
30. Consider the single factor APT. Portfolio A has a beta of 1.3 and an
expected return of 21%. Porfolio 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 factor2. 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. Consider the one-factor APT. The standard deviation of return on a
well-diversified portfolio is 20%. The standard deviation on the factor
portfolio is 12%. The beta of the well-diversified portfolio is
approximately [ ].
A) .60 B) 1.00 C) 1.67 D) 3.20
33. The CAPM is a [ ] factor model, whereas the APT is a [ ] factor model.
A) 1；2
B) 1；3
C) 1；4
D) 1；potentially many
34. The strong form EMH states that [ ] must be reflected in the stock price.
A) all market trading data
B) all publicly available information
C) all information including inside information
D) none of the above
35. A chartist is likely to believe in the value of doing [ ].
A) fundamental analysis
B) technical analysis
C) both a and b
D) neither a nor b
36. The primary objective of fundamental analysis is to identify [ ] firms.
A) good
B) bad
C) mis-priced
D) well managed
解答：
1～5 CACCC
6～10 CDBAC
11～15 ADDEA
16～20 BCCAC
21～26 30 50 200 135.714 21.429 37.692
27～31 BABBC
32～36 CDCBC
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