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︰2006/4/20
是否需發放獎勵金：是
試題 :
一、選擇題
1. 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
dividingby 30
C) adding the prices of the 30 stocks in the index and dividing by a divisor
D) adding the prices of the 500 stocks in the index and dividing by a
divisor
2. The TAIWAN OTC (GTSM STOCK) INDEX is a(n) [ ] weighted index.
A) equally
B) price
C) value
D) none of the above
3. The [ ] average ignores compounding.
A) geometric
B) arithmetic
C) both a and b above
D) none of the above
4. The market risk premium is defined as [ ].
A) the difference between the return on an index fund and the return on
Treasury bills
B) the difference between the return on a small firm mutual fund and the
return on the Standard and Poor's 500 index
C) the difference between the return on the risky asset with the lowest
returns and the return on Treasury bills
D) the difference between the return on the highest yielding asset and
the lowest tielding asset.
5. The reward/variability ratio is given by [ ].
A) the slope of the capital allocation line
B) the second derivative of the capital allocation line
C) the point at which the second derivative of the investor's indifference
curve reaches zero
D) none of the above
6. The holding period return on a stock was 25%. Its ending prices was $18 and
its beginning price was $16. Its cash dividend must have been [ ].
A) $0.25
B) $1.00
C) $2.00
D) $4.00
7. An investor invests 40% of his wealth in a risky asset with an expected rate
of return of 15% and a variance of 4% and 60% in a treasury bill that pays
6%. Her portfolio's expected rate of return and standard deviation are [ ]
and [ ] respectively.
A) 8.0%, 12%
B) 9.6%, 8%
C) 9.6%, 10%
D) 11.4%, 12%
8. Consider the following two investment alternative. First, a risky portfolio
that pays 20% rate of return with a probability of 60% or 5% with a
probability of 40%. Second, a treasury that pays 6%. If you invest $50,000
in the risky portfolio, your expected prfit would be [ ].
A) $3,000
B) $7,000
C) $7,500
D) $10,000
9. The asset allocation dicision does not help the investor [ ].
A) decide on realistic investment goal
B) identify specfic securities to include in a portfolio
C) determine most of the portfolio's returns over time
D) determine most of the prtfolio's volatility over time
10. Asset A has an expected return of 15% and a reward-to-variability ratio of
.4. Asset B has an expected return of 20% and a reward-to-variability ratio
of .3. A risk-averse investor would prefer a portfolio using the risk-free
asset and [ ].
A) aset A
B) asset B
C) no risky asset
D) can't fell from the data given
11. Diversification is most effective when security returns are [ ].
A) high
B) negatively correlated
C) positively correlated
D) uncorrelated
12. The risk that can be diversified away is [ ].
A) beta
B) firm specific risk
C) mardet risk
D) systematic risk
13. Portfolios that lie on the portion of the efficient frontier below the
minimum-variance portfolio [ ].
A) add nothing to the investment opportunity set
B) are sometimes useful in implementing sophisticated hedging techniques
C) represent opportunities for arbitrage
D) None of the above answers is correct
14. The values of beta coefficients of securities are [ ].
A) always positive
B) always negative
C) alway between positive 1 and negative 1
D) usually positive, but are not restricted in any particular way
15. 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 expected return on stock A is 20% while on stock B
it is 10%. The correlation coefficient between the return on A and B is 0%.
The expected return on the minimum variance portfolio is approximately [ ].
A) 10.00%
B) 13.60%
C) 15.00%
D) 19.41%
16. Stocks A, B, C and D have betas of 1.5, 0.4, 0.9 and 1.7 respectively. What
is the beta of an equally weighted portfolio of A, B and C?
A) .25
B) .93
C) 1.00
D) 1.13
17. Consider the CAPM. The expected return on the market is 18%. The expected
return on a stock with a beta of 1.2 is 20%. What is the risk-free rate?
A) 2%
B) 6%
C) 8%
D) 12%
18. Empirical results estimated from historical data indicate that betas [ ].
A) are always close to zero
B) are constant over time
C) of all securities are always greater than one
D) seem to regrees toward one over time
19. [ ] is a true statement regarding the multi-factor arbitrage pricing
theory.
A) Only the stock beta affects the stock price
B) Only the stock unique risk affects the stock price
C) Only the stock variance and beta affect the stock price
D) Several systematic factors affect the stock price
20. According to the capital asset pricing model, a security with a [ ].
A) negative alpha is considered a good but
B) positive alpha is considerd overpriced
C) positive alpha is considered underpriced
D) zero alpha is considered a good buy
21. The difference between a security's actual return and the return predicted
by the characteristic line associated with the security's past returns is
[ ].
A) alpha
B) beta
C) gamma
D) residual
22. The beta, of a security is equal to [ ].
A) the covariance between the security and market returns divided by the
variance of the market's returns
B) the covariance between the security and market returns divided by the
standard deviation of the market's returns
C) the variance of the security's returns divided by the covariance between
the secirity and market returns
D) the variance of the security's returns divided by the variance of the
market's returns
23. [ ] 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
24. Consider the single factor APT. Porfolio A has a beta of 0.2 and an
expected return of 13%. Porfolio B has a beta of 0.4 and an expected return
of 15%. The risk-free rate of return is 10%. 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
25. 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%
26. Consider the on-factor APT. The variance of return on the factor portfolio
is .09. The beta of a well-diversified portfolio on the factor is 1.3. The
variance of return on the well-diversified portfolio is approximately [ ].
A) .0810
B) .0900
C) .1170
D) .1521
27. The risk-free rate is 4%. The expected market rate of return is 11%. If you
expect stock X with a beta of .8 to offer a rate of return of 12 percent,
then you should [ ].
A) buy stock X because it is overpriced
B) buy stock X because it is underpriced
C) sell short stock X because it is overpriced
D) sell short stock X because it is underpriced
28. [ ] considerations make portfolio management useful even in a perfectly
efficient market.
A) Diversification
B) Investor tax
C) Investor risk profile
D) all of the above
29. If you believe in the [ ] form of the EMH, you believe that stock prices
reflect all publicly available information but not information that is
available only to insiders.
A) semi-trong
B) strong
C) weak
D) any of the above
30. If you believe in the [ ] form of the EMH, you believe that stock prices
reflect all relevant information including information that is available
only to insiders.
A) semi-stong
B) strong
C) weak
D) any of the above
31. 「製造業新接訂單指數變動率」是台灣景氣指標的哪一類指標？
1）領先指標 2）同時指標 3）落後指標 4）以上皆非
32. 「工業生產指數變動率」是台灣景氣指標的哪一類指標？
1）領先指標 2）同時指標 3）落後指標 4）以上皆非
33. 「國內貨運量」是台灣景氣指標的哪一項指標？
1）領先指標 2）同時指標 3）落後指標 4）以上皆非
34. 台灣景氣對策信號構成項目共有
1）6個 2）7個 3）8個 4）以上皆非
35. 景氣對策信號綜合判斷分數20分乃
1）黃紅燈 2）綠燈 3）黃藍燈 4）藍燈
36. 下列何者事件為非系統風險？
1）通貨膨脹率變動 2）政府首長更替 3）新台幣匯率波動 4）新產品研發
二、填充題（答案請寫在答案卷上）
37. 設證券成數為80％，整戶維持率為150％，則股價上漲[ ]％時，即需追繳保證金。
38. 設A股股價＄100，今融資買入1000股，融資比率為60％；又設B股股價＄50，今融券
賣出1000股，融券成數為80％。經某一段時間後，A股股價跌為＄90，B股跌為＄40，
試問整戶維持率為[ ]％。
39. 設某股股價為＄40，盈餘分配率為每千股配200股，則除權後漲停板價為＄[ ]。
40. 如作業之算法，今有50種證券，而擬求取效率前緣時，需估計[ ]個inputs。
解答：
1～5 ACBAA
6～10 CBBBA
11～15 BBADB
16～20 BCDDC
21～25 DABCC
26～30 DBDAB
31～35 12243
36～40 4 20％ 180％ ＄35.65 1275
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