复旦大学财务管理期中考试题

复旦大学管理学院

2015～2016学年第二学期期中考试试卷

□A卷

课程名称：__财务管理 _________ 课程代码：__969.003.1.01___ 开课院系：__管理学院会计系_________考试形式：______开卷_______ 姓名：学号：专业：

一、选择题（每题1.5分，共75分）

1.Consider a bond with a face value of $1,000, a coupon rate of 6%, a yield to maturity of

8%, and ten years to maturity. This bond's duration is:

A. 8.7 years

B. 7.6 years

C. 0.1 years

D. 6.5 years

2. A bond with a face value of $1,000, coupon rate of 0%, yield to maturity of 9%, and ten

years to maturity. This bond's duration is:

A. 6.7 years

B. 7.5 years

C. 9.6 years

D. 10.0 years

3. A bond with duration of 10 years has yield to maturity of 10%. This bond's volatility is:

A. 9.09%

B. 6.8%

C. 14.6%

D. 6.0%

4.If a bond's volatility is 10% and the interest rate goes down by 0.75% (points) then the

price of the bond:

A. decreases by 10%

B. decreases by 7.5%

C. increases by 7.5%

D. increases by 0.75%

5.Volatility of a bond is given by:

I) Duration/ (1 + yield)

II) Slope of the curve relating the bond price to the interest rate

III) Yield to maturity

A. I only

B. II only

C. III only

D. I and II only

6.The value of a common stock today depends on:

A. Number of shares outstanding and the number of shareholders

B. The expected future dividends and the discount rate

C. The Wall Street analysts

D. Present value of the future earnings per share

7.Deluxe Company expects to pay a dividend of $2 per share at the end of year-1, $3 per

share at the end of year-2 and then be sold for $32 per share. If the required rate on the stock is 15%, what is the current value of the stock?

A. $28.20

B. $32.17

C. $32.00

D. None of the given answers

8.Casino Inc. is expected to pay a dividend of $3 per share at the end of year-1 (D1) and

these dividends are expected to grow at a constant rate of 6% per year forever. If the required rate of return on the stock is 18%, what is current value of the stock today?

A. $25

B. $50

C. $100

D. $54

9.R&D Technology Corporation has just paid a dividend of $0.50 per share. The dividends

are expected to grow at 24% per year for the next two years and at 8% per year thereafter.

If the required rate of return in the stock is 16% (APR), calculate the current value of the stock.

A. $1.11

B. $7.71

C. $8.82

D. None of the above

10.Which of the following formulas regarding earnings to price ratio is true:

A. EPS/Po = r[1 + (PVGO/Po]

B. EPS/Po = r[1 - (PVGO/Po)]

C. EPS/Po = [r + (PVGO/Po)]

D. EPS/Po = [r + (1 + (PVGO/Po)]/r

11.Which of the following investment rules does not use the time value of the money

concept?

A. Net present value

B. Internal rate of return

C. The payback period

D. All of the above use the time value concept

12. The net present value of a project depends upon:

A. company's choice of accounting method

B. manager's tastes and preferences

C. project's cash flows and opportunity cost of capital

D. all of the above

13. The payback period rule:

A. Varies the cut-off point with the interest rate.

B. Determines a cut-off point so that all projects accepted by the NPV rule will be

accepted by the payback period rule.

C. Requires an arbitrary choice of a cut-off point.

D. Both A and C.

14.Given the following cash flows for project A: C0 = -1000, C1 = +600 ,C2 = +400, and C3 =

+1500, calculate the payback period.

A. One year

B. Two years

C. Three years

D. None of the above

15.Given the following cash flows for project Z: C0 = -1,000, C1 = 600, C2 = 720 and C3 =

2000, calculate the discounted payback period for the project at a discount rate of 20%.

A. 1 year

B. 2 years

C. 3 years

D. None of the above

16.Given the following cash flows for Project M: C0 = -1,000, C1 = +200, C2 = +700, C3 =

+698, calculate the IRR for the project.

A. 23%

B. 21%

C. 19%

D. None of the above

17.Driscoll Company is considering investing in a new project. The project will need an

initial investment of $2,400,000 and will generate $1,200,000 (after-tax) cash flows for three years. Calculate the IRR for the project.

A. 14.5%

B. 18.6%

C. 20.2%

D. 23.4%

18. Which portfolio has had the highest average risk premium during the period 1900-2006?

A. Common stocks

B. Government bonds

C. Treasury bills

D. None of the given answers

19.Which of the following provides a correct measure of the opportunity cost of capital

regardless of the timing of the cash flows?

A. Arithmetic average

B. Geometric average

C. Hyperbolic mean

D. None of the above

20.Market risk is also called:

I) systematic risk, II) undiversifiable risk, III) firm specific risk.

A. I only

B. II only

C. III only

D. I and II only

21.As the number of stocks in a portfolio is increased:

A. Unique risk decreases and approaches to zero

B. Market risk decreases

C. Unique risk decreases and becomes equal to market risk

D. Total risk approaches to zero

22.Stock M and Stock N have had the following returns for the past three years of -12%, 10%,

32%; and 15%, 6%, 24% respectively. Calculate the covariance between the two securities.

A. -99

B. +99

C. +250

D. None of the above

23.The range of values that correlation coefficients can take can be:

A. zero to +1

B. -1 to +1

C. - infinity to +infinity

D. zero to + infinity

24. In the case of a portfolio of N-stocks, the formula for portfolio variance contains:

A. N variance terms

B. N(N - 1)/2 variance terms

C. N2 variance terms

D. None of the above

25.The "beta" is a measure of:

A. Unique risk

B. Total risk

C. Market risk

D. None of the above

26.The correlation coefficient between stock A and the market portfolio is +0.6. The standard

deviation of return of the stock is 30% and that of the market portfolio is 20%. Calculate the beta of the stock.

A. 1.1

B. 1.0

C. 0.9

D. 0.6

27.The distribution of returns, measured over a short interval of time, like daily returns, can

be approximated by:

A. Normal distribution

B. Lognormal distribution

C. Binomial distribution

D. none of the above

28.Normal and lognormal distributions are completely specified by:

I) mean

II) standard deviation

III) third moment

A. I only

B. I and II only

C. II only

D. III only

29.Florida Company (FC) and Minnesota Company (MC) are both service companies. Their

historical return for the past three years are: FC: - 5%, 15%, 20%; MC: 8%, 8%, 20%.

Calculate the standard deviation (S.D.) of return for FC and MC.

A. FC: 10% MC: 12%

B. FC: 18.7% MC: 9.8%

C. FC: 13.2% MC: 6.9%

D. None of the above

30. Florida Company (FC) and Minnesota Company (MC) are both service companies. Their

historical return for the past three years are: FC: - 5%, 15%, 20%; MC: 8%, 8%, 20%.

What is the variance of the portfolio with 50% of the funds invested in FC and 50% in MC (approximately)?

A. 85.75

B. 111.50

C. 55.75

D. None of the above

31.Investments A and B both offer an expected rate of return of 12%. If the standard deviation

of A is 20% and that of B is 30%, then investors would:

A. Prefer A to B

B. Prefer B to A

C. Prefer a portfolio of A and B

D. Cannot answer without knowing investor's risk preferences

32. The efficient portfolios:

I) have only unique risk

II) provide highest returns for a given level of risk

III) provide the least risk for a given level of returns

IV) have no risk at all

A. I only

B. II and III only

C. IV only

D. II only

33. By combining lending and borrowing at the risk-free rate with the efficient portfolios, we

can I) extend the range of investment possibilities

II) change efficient set of portfolios from being curvilinear to a straight line.

III) provide a higher expected return for any level of risk except the tangential portfolio

A. I only

B. I and II only

C. I, II, and III

D. none of the above

34.Suppose you invest equal amounts in a portfolio with an expected return of 16% and a

standard deviation of returns of 20% and a risk-free asset with an interest rate of 4%;

calculate the standard deviation of the returns on the resulting portfolio:

A. 8%

B. 10%

C. 20%

D. none of the above

35.The correlation between the efficient portfolio and the risk-free asset is:

A. +1

B. -1

C. 0

D. cannot be calculated

36.In the presence of a risk-free asset, the investor's job is to:

I) invest in the market portfolio

II) find an interior portfolio using quadratic programming

III) borrow or lend at the risk-free rate

IV) read and understand Markowitz's portfolio theory

A. I and II only

B. I and III only

C. II and IV only

D. IV only

37.Beta of the market portfolio is:

A. Zero

B. +0.5

C. -1.0

D. +1.0

38.The graphical representation of CAPM (Capital Asset Pricing Model) is called:

A. Capital Market Line

B. Characteristic Line

C. Security Market Line

D. None of the above

39.If the beta of Exxon Mobil is 0.65, risk-free rate is 4% and the market rate of return is 14%,

calculate the expected rate of return from Exxon:

A. 12.6%

B. 10.5%

C. 13.1%

D. 6.5%

40. If a stock is overpriced it would plot:

A. Above the security market line

B. Below the security market line

C. On the security market line

D. On the Y-axis

41.Cost of capital is the same as cost of equity for firms:

A. financed entirely by debt

B. financed by both debt and equity

C. financed entirely by equity

D. none of the above

https://www.360docs.net/doc/b28505022.html,ing the company cost of capital to evaluate a project is:

I) Always correct

II) Always incorrect

III) Correct for projects that are about as risky as the average of the firm's other assets

A. I only

B. II only

C. III only

D. I and III only

43.Which of the following types of projects have the highest risk?

A. Speculation ventures

B. New products

C. Expansion of existing business

D. Cost improvement, (known technology)

44.The market value of Charter Cruise Company's equity is $15 million, and the market value

of its risk-free debt is $5 million. If the required rate of return on the equity is 20% and that on the debt is 8%, calculate the company's cost of capital. (Assume no taxes.)

A. 20%

B. 17%

C. 14%

D. None of the above

45.The market value of XYZ Corporation's common stock is 40 million and the market value

of the risk-free debt is 60 million. The beta of the company's common stock is 0.8, and the expected market risk premium is 10%. If the Treasury bill rate is 6%, what is the firm's cost of capital? (Assume no taxes.)

A. 9.2%

B. 14%

C. 8.1%

D. None of the above

46.On a graph with common stock returns on the Y- axis and market returns on the X-axis, the

slope of the regression line represents the:

A. Alpha

B. Beta

C. R-squared

D. Adjusted beta

47.An example of diversifiable risk that should be ignored when analyzing project risk would

include

A. Commodity price changes

B. Labor costs

C. Stock price fluctuations

D. Risk of government non-approval

48. A fudge factor might include:

A. Commodity price changes

B. Labor costs

C. Stock price fluctuations

D. Risk of government non-approval

49.Generally, the value to use for the risk-free interest rate is:

A. Short-term Treasury bill rate

B. Long-term Corporate bond rate

C. Medium-term Corporate bond rate

D. none of the above

50.Which of the following type of projects has average risk?

A. Speculation ventures

B. New products

C. Expansion of existing business

D. Cost improvement

二、判断题

1.The company cost of capital is the correct discount rate for any project undertaken by the

company.

2.It is generally more accurate to estimate an "industry beta" for a portfolio of companies in the

same industry than to estimate beta for a single company.

3.Firms with high operating leverage tend to have higher asset betas.

4. Firms with cyclical revenues tend to have lower asset betas.

5.If the expected return of stock A is 12% and that of stock B is 14% and both have the same

variance, then investors would prefer stock B to stock A.

6. Beta measures the marginal contribution of a stock to the risk of a well-diversified portfolio.

7.Portfolios that offer the highest expected return for a given variance or standard deviation are

known as efficient portfolios.

8.The standard statistical measures of spread are beta and covariance.

9.Diversification reduces risk because prices of different securities do not move exactly together.

10.The average beta of all stocks in the market is zero.

11.The payback rule ignores all cash flows after the cutoff date.

12.The internal rate of return is the discount rate that makes the PV of a project's cash inflows

equal to zero.

13.The only payoff to the owners of common stocks is in the form cash dividends.

14. Short-term and long-term interest rates always move in parallel.

15.The duration of any bond is the same as its maturity.

三、问答题（5*2）

1.Briefly explain the difference between beta as a measure of risk and variance as a measure of

risk.

2、Briefly explain the meaning of PVGO, and explain why Microsoft experienced a significant drop in price when it announced its first ever regular dividend along with huge profits.