110年 - 110 國立政治大學_碩士班招生考試_財務管理系:財務管理#103314

選擇題 (9)

1.(4%) Consider a T-bill with a rate of return of 3% and the following risky securities: Security A: E(r) = 18%； Variance = 0.5 Security B: E(r) = 12%； Variance = 0.16 Security C: E(r)= 15%； Variance = 0.25 Security D: E(r) = 14%； Variance = 0.36 If a risk-averse investor would like to hold a complete portfolio formed with the risk-free asset and any one of the four risky securities, which set of portfolios will the investor always choose? (A) The set of portfolios formed with the T-bill and security A. (B) The set of portfolios formed with the T-bill and security B. (C) The set of portfolios formed with the T-bill and security C. (D) The set of portfolios formed with the T-bill and security D. (E) Cannot be determined.

2.(4%) Conventional utility functions are________ and defined in terms of ________, whereas prospect theory assumes that utility functions are________ and defined in terms of________. (A) concave； wealth； convex to losses and concave to gains； the change of wealth. (B) convex； the change of wealth； convex to losses and concave to gains； the change of wealth (C) convex to losses and concave to gains； the change of wealth； concave； wealth (D) convex to losses and concave to gains； wealth； concave； the change of wealth (E) concave； wealth； concave； the change of wealth

3.(4%) If the variance of a portfolio return can represent the total risk of the portfolio and the correlation coefficient between a balance fund and the market index is 0.6, what percentage of the balance fund's total risk is specific? (A)60% (B)36% (C)64% (D)40% (E) cannot be calculated due to limited information

4.(4%) ABC Inc. will remain in business for one more year. The probability of a boom year is 60 percent and the probability of recession is 40 percent. It is projected that the company will generate a total cash flow of $60 million in a boom year and S30 million in a recession year. The company's required debt payment at the end of the year is $50 million. The market value of the company's outstanding debt is $40 million. The company pays no taxes. What is the expected rate of return on the company's debt? (A) 5% (B) 20% (C) -4% (D) -16% (E) None of above

5.(4%) Edward just bought 1,000 shares of stock in Gampers Corporation. He will receive a $1 per share dividend at the end of his first year holding. At the end of second year holding, Gampers will pay a liquidating dividend of $50 per share. The require rate of return on Gampers stock is 10 percent. If Edward would rather have equal dividends in cach of next two years, show how he can accomplish this at the end of first year. (A) Sell 535.33 shares at $45.45. (B) Sell 590.165 shares at $41.23. (C) Sell 565.9117 shares at $41.23 (D) Sell 513.33 shares at $45.45. (E) Sell 552.5114 shares at $42.23.

6.(4%) Greenhouse Inc. has a current period cash flow of $2 million. The present value of the company's future cash flows is $30 million. The company is entirely financed with equity and has 800,000 shares outstanding. The board of director of Greenbouse Inc. decides to pay 40% of its current cash flow as cash dividends to its shareholders. Jenny currently owns 1,000 shares of Greenhouse stock. How much of additional shares she will have if she achieves a zero payout policy on her own? (A) 25.00 shares (B) 25.64 shares (C) 26.67 shares (D) 27.40 shares (E) None of above

7.(4%) Which statement is true regarding the capital market line? I. The capital market line is a capital allocation line from the risk-free rate through the market portfolio. II. The capital market line is the best attainable capital allocation line. III. The capital market line is also called the security market line. IV. The capital market line always has a positive slope. (A)I only (B) I and II (C) II and IV (D)I, II, and IV (E) I, II, III, and IV

8.(4%) Two portfolios have the following probability distributions of rate of return for the following one year.
What is the correlation coefficient between these two portfolios? (A)0.67 (B)-0.67 (C)-0.46 (D)-0.0024 (E) None of above

9.(4%) Based on the information provided in question 8, please answer the following question. You are considering investing $1,000 in a complete portfolio which is composed of stock fund and bond fund. To form a complete portfolio with an expected rate of return of 13.5%, you should invest approximately_________ in the stock fund. (A)150% (B)60% (C)55% (D)100% (E) None of above

申論題 (14)

(1) (5%) If the beta of corporate debt is zero, what is the required rate of return on equity holders for each of the two companies?

(2) (5%) Ifthe beta of corporate debt is 0.5, what is the required rate of return on equity holders for each of the two companies?

(3) (5%) Please discuss the source of the difference of the required rate of return on equity holders between two companies. Note: The answer for this sub-question should be written wihin 5 lines. Any information exceeds 5 lines will not be graded.

(1) (4%) Please show the incremental net income of the new investment for Yearl to Year 4.

(2) (6%) Suppose the appropriate discount rate is 5 percent. What is the NPV of the project?

(1) (5%) If the corporate tax rate is 40 percent, what is the value of firm?

(2) (5%) What will the value be if WenShan Corporation converts 50 percent of its total assets to debt?

(3) (5%) Please discuss advantages and disadvantages if WenShan Corporation use 100% of debt. Note: The answer for this sub-question should be written within 5 lines. Any information exceeds 5 lines will not be graded.

(1) (6%) Please fill the six performance measures for Fund A.

(2) (4%) An investor is considering to include Fund A or Fund B in his existing portfolio which is well diversified. Which measure should the investor use to make the decision? What is his decision?

(3) (4%) Please discuss the implication of the information ratio. Note: The answer for this sub-question should be written within 5 lines. Any information exceeds 5 lines will not be graded.

(1) (3%) What is the stock price per share if the firm does not undertake the new investment?

(2) (3%) What is the discounted payback period for the new investment?

(3) (4%) What is the stock price per share if the firm undertakes the new investment?

110年 - 110 國立政治大學_碩士班招生考試_財務管理系:財務管理#103314

試卷資訊

選擇題 (9)

申論題 (14)