推 vchenkoshe :Do not talk to anyone during this exam. 11/26 00:22
課程名稱：投資學
課程性質︰必修
課程教師︰陳其美
開課學院：管理學院
開課系所︰財金系
考試日期（年月日）︰2010/11/25
考試時限（分鐘）：20分鐘
是否需發放獎勵金：是
（如未明確表示，則不予發放）
Instructions. Do not talk to anyone during this exam. Part I is a closed-book
section, and Part II is an open-book section. The TA will announce when you
work on Part I, and when you can work on Part II. Feel free to use the
restrooms after the TA announces that you can work on Part II. Do not ask
questions during this exam. If you fell that a problem was not stated clearly,
then write down your assumptions on your solution shhets, and your assumptions
will be taken into account when your solution sheets are graded. Good luck,
folks!
Part I, True-False Questions. You have 20 minutes to finish this closed-book
section.
1.() In the U.S. CDs issued in denominations greater than $100,000 can usually
be sold to another investor, but the market for CDs thin out for maturities of
3 months or more. CDs are insured for up to $100,000 by the Federal Deposit
Insurance Corporation. (page 26)
2.() In the U.S. the SEC is the administrative agency responsible for broad
oversight of the securities markets, but it shares responsibility with other
regulatory agencies such as CFTC (which regulates trading in futures markets)
and the Federal Reserve (which sets margin requirements on stocks and stock
options and regulates bank lending to security market participants). Moreover,
the SEC delegates mucho of its work to exchanges. (pages 77-78)
3.() An active investment-management strategy is an attempt to improve
investment performance either by identifying mispriced securities or by timing
the performance of broad asset classes. (page 11)
4.() In the U.S. Wilshire 5000 index is the most inclusive index of the
performance of U.S. equities. The average annual return on Wilshire 5000 index
was higher than that of the average actively managed equity mutual fund from
1971 to 2007. (page 102)
5. () The U.S. historical record shows that the skew of the large stock
portfolio is significantly negative but the skew of the U.S. government bond
portfolio is slightly positive. The most recent 40 years show no kurtosis for
the large stock index, and only a small value for small stocks. (page 138)
6.() It is risk sharing, that is, the distribution of a fixed amount of risk
among many investors, rather than risk pooling, that explains the insurance
industry. (page 220)
7.() A portfolio manager having identified an underpriced portfolio P can take
a long position in that portfolio P and a short position in the tracking
portfolio for P. This strategy is valuable ifP is reasonably well-diversified.
(page 272)
8.() The consumption-based CAPM is a single-factor model in which the market
portfolio excess return is replaced by that of a consumption-tracking portfolio
. Unlike the traditional CAPM, the consumption based CAPM incorporates
consumption-hedgin considerations and changing investment opportunities in a
single-factor framework. (page 311)
9.() Proponents of behavioral finance argue that various limits to arbitrage
mean that even if prices do not equal intrinsic value, it still may be
difficult to exploit the mispricing, and as a result, the failure of traders
to beat the market may not be proof that markets are in fact efficient.
(page 404)
10.() The APT is a multifactor index model that gives rise to a multifactor
security market line in which the risk premium of an asset is determined by
the exposure to each systematic risk factor, and by a risk premium associated
with each factor's tracking portfolio.
Ans: All answers are TRUE
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※ 編輯: gaga19900329 來自: 114.25.248.155 (11/25 22:59)