投资学课程练习题
东财《证券投资学》课程考试复习题参考答案要点
东财《证券投资学》课程考试复习题参考答案一、单项选择题（下列每小题的备选答案中，只有一个符合题意的正确答案，多选、错选、不选均不得分。
本题共60个小题，每小题1分）1. （）是股份有限公司的最高权利机构。
A .董事会B .股东大会C .总经理D .监事会【答案】B2. 以下不是股票基本特征的是()A .期限性B .风险性C .流动性D .永久性【答案】A3. 与优先股相比，普通股票的风险( )A .较小B .相同C .较大D .不能确定【答案】C4. 注册地在内地、上市地在香港的股票是（）。
A .H股B .B股C .N股D .S股【答案】A5. 债券能为投资者带来一定收入，即债权投资的报酬是指债券的( )。
A .偿还性B .流动性C .安全性D .收益性【答案】D6. 下列债券中风险最小的是( )。
A .国债B .政府担保债券C .金融债券D .公司债券【答案】A7. 证券投资基金反映的是( )关系。
A .产权B .所有权C .债权债务D .委托代理【答案】D8. 开放式基金的交易价格取决于( )。
A .每一基金份额总资产值的大小B .市场供求C .每一基金份额净资产值的大小D .基金面值的大小【答案】C9. 积极成长型基金会将基金资产主要投资于（）。
A .蓝筹股或者是具有长期升值潜力的普通股B .具有高成长潜力的小公司股票或者是具备良好前景的公司股票C .会把一半的资金投资于债券，另一半的资金投资于股票D .股息和红利水平较高的绩优股、资信度高的政府公债和公司债等【答案】B10. 依法持有并保管基金资产的是( )。
A .基金持有人B .基金管理人C .基金托管人D .证券交易所【答案】C11. 看涨期权的买方对标的金融资产具有( )的权利。
A .买入B .卖出C .持有D .以上都不是【答案】A12. 认沽权证实质上是一种普通股票的( )。
A .远期合约B .期货合约C .看跌期权D .看涨期权【答案】C13. 可转换证券实质上是一种普通股票的( )。
《投资学》试题及答案(五)
绝密★启用前学院学年第一学期期末考试级专业（本/专科）《投资学》试卷B注：需配备答题纸的考试，请在此备注说明“请将答案写在答题纸上，写在试卷上无效”。
一、单项选择题（共15 题，请将正确答案的代号填写在指定位置，每小题2分，共30分）1.研究和发现股票的( )，并将其与市场价格相比较，进而决定投资策略是证券研究人员、投资管理人员的主要任务。
A．票面价值B．账面价值 C．内在价值 D．清算价值2.下列不属于证券市场显著特征的选项是( )。
A．证券市场是价值直接交换的场所 B．证券市场是价值实现增值的场所C．证券市场是财产权利直接交换的场所 D．证券市场是风险直接交换的场所3. A股票的β系数为1.5，B股票的β系数为0.8，则（）。
A．A股票的风险大于B股票 B．A股票的风险小于B股票C．A股票的系统风险大于B股票 D．A股票的非系统风险大于B股票4. 某只股票年初每股市场价值是30元，年底的市场价值是35元，年终分红5元，则该股票的收益率是（）。
A．10% B.14.3% C.16.67% D.33.3%5.某一国家借款人在本国以外的某一国家发行以该国货币为面值的债券属（）。
A．欧洲债券B．扬基债券 C．亚洲债券 D．外国债券6、市场风险也可解释为。
()A. 系统风险，可分散化的风险B. 系统风险，不可分散化的风险C. 个别风险，不可分散化的风险D. 个别风险，可分散化的风险7.如果某可转换债券面额为l 000元，规定其转换比例为50，则转换价格为（）元。
A．10 B．20 C．50 D．1008. 根据马柯威茨的证券组合理论，下列选项中投资者将不会选择（）组合作为投资对象。
A．期望收益率18%、标准差32% B．期望收益率12%、标准差16%C．期望收益率11%、标准差20% D．期望收益率8%、标准差11%9．就单根K线而言，反映多方占据绝对优势的K线形状是（）。
A．带有较长上影线的阳线 B．光头光脚大阴线 C．光头光脚大阳线 D．大十字星10．某公司股票每股收益0.72元，股票市价14.4元，则股票的市盈率为（）。
投资练习题（含答案）
投资练习题（含答案）1、The efficient frontier of risky assets isA)the portion of the investment opportunity set that lies above the global minimum variance portfolio.B)the portion of the investment opportunity set that represents the highest standard deviations.C)the portion of the investment opportunity set which includes the portfolios with the lowest standard deviation.D)the set of portfolios that have zero standard deviation.E)both A and B are true.2、The Capital Allocation Line provided by a risk-free security and N risky securities is ______A) the line that connects the risk-free rate and the global minimum-variance portfolio of the risky securities.B) the line that connects the risk-free rate and the portfolio of the risky securities that has the highest expected return on the efficient frontier.C) the line tangent to the efficient frontier of risky securities drawn from the risk-free rate.D) the horizontal line drawn from the risk-free rate.E) none of the above.3、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) greater than zero.B) equal to zero.C) equal to the sum of the securities' standard deviations.D) equal to -1.E) none of the above.4、Which of the following statements is (are) true regarding the variance of a portfolio of two risky securities?A) The higher the coefficient of correlation between securities, the greater the reduction in the portfolio variance.B) There is a linear relationship between the securities' coefficient of correlation and the portfolio variance.C) The degree to which the portfolio variance is reduced depends on the degree of correlation between securities.D) A and B.E) A and C.5、Efficient portfolios of N risky securities are portfolios thatA) are formed with the securities that have the highest rates of return regardless of their standard deviations.B) have the highest rates of return for a given level of risk.C) are selected from those securities with the lowest standard deviations regardless of their returns.D) have the highest risk and rates of return and the highest standard deviations.E) have the lowest standard deviations and the lowest rates of return.6、As diversification increases, the total variance of a portfolio approaches ____________.A) 0 B) 1 C) the variance of the market portfolioD) infinity E) none of the above7、The index model was first suggested by ____________.A) Graham B) Markowitz C) Miller D) SharpeE) none of the above8、.A single-index model uses __________ as a proxy for the systematic risk factor.A) a market index, such as the S&P 500B) the current account deficitC) the growth rate in GNPD) the unemployment rateE) none of the above9、According to the index model, covariances among security pairs areA) due to the influence of a single common factor represented by the market index returnB) extremely difficult to calculateC) related to industry-specific eventsD) usually positiveE) A and D10、In a factor model, the return on a stock in a particular period will be related to _________.A) firm-specific events B) macroeconomic events C) the error termD) both A and B E) neither A nor B11、Which of the following statement(s) is (are) true regarding the selection of a portfolio from those that lie on the Capital Allocation Line?A) Less risk-averse investors will invest more in the risk-free security and less in the optimal risky portfolio than more risk-averse investors.B) More risk-averse investors will invest less in the optimal risky portfolio and more in the risk-free security than less risk-averse investors.C) Investors choose the portfolio that maximizes their expected utility.D) A and C.E) B and C.12、An investor who wishes to form a portfolio that lies to the right of the optimal risky portfolio on the Capital Allocation Line must:A) lend some of her money at the risk-free rate and invest the remainder in the optimal risky portfolio.B) borrow some money at the risk-free rate and invest in the optimal risky portfolio.C) invest only in risky securities.D) such a portfolio cannot be formed.E) B and C13、Portfolio theory as described by Markowitz is most concerned with:A) the elimination of systematic risk.B) the effect of diversification on portfolio risk.C) the identification of unsystematic risk.D) active portfolio management to enhance returns.E) none of the above.14、The measure of risk in a Markowitz efficient frontier is:A) specific risk.B) standard deviation of returns.C) reinvestment risk.D) beta.E) none of the above.15、A statistic that measures how the returns of two risky assets move together is:A) variance. B) standard deviation. C) covariance. D) correlation.E) C and D.16、Rosenberg and Guy found that __________ helped topredict a firm's beta.A) the firm's financial characteristicsB) the firm's industry groupC) firm sizeD) both A and BE) A, B and C all helped to predict betas.17、If a firm's beta was calculated as 0.6 in a regression equation, Merrill Lynch would state the adjusted beta at a numberA) less than 0.6 but greater than zero.B) between 0.6 and 1.0.C) between 1.0 and 1.6.D) greater than 1.6.E) zero or less.18、The beta of Exxon stock has been estimated as 1.2 by Merrill Lynch using regression analysis on a sample of historical returns. The Merrill Lynch adjusted beta of Exxon stock would be ___________.A) 1.20 B) 1.32 C) 1.13 D) 1.0 E) none of the above19、Consider the single-index model. The alpha of a stock is 0%. The return on the market index is 16%. The risk-free rate of return is 5%. The stock earns a return that exceeds the risk-free rate by 11% and there are no firm-specific events affecting the stock performance. Theβ of the stock is _______.A) 0.67 B) 0.75 C) 1.0 D) 1.33 E) 1.5020、Suppose you forecast that the market index will earn a return of 15% in the coming year. Treasury bill s are yielding 6%. The unadjusted β of Mobil stock is 1.30. A reasonab le forecast of the return on Mobil stock for the coming year is _________ if youuse Merrill Lynch adjusted betas.A) 15.0% B) 15.5% C) 16.0% D) 16.8% E) none of the above21、The unsystematic risk of a specific securityA) is likely to be higher in an increasing market.B) results from factors unique to the firm.C) depends on market volatility.D) cannot be diversified away.E) none of the above.22、Which statement about portfolio diversification is correct?A) Proper diversification can reduce or eliminate systematic risk.B) The risk-reducing benefits of diversification do not occur meaningfully until at least 50-60 individual securities have been purchased.C) Because diversification reduces a portfolio's total risk, it necessarily reduces the portfolio's expected return.D) Typically, as more securities are added to a portfolio, total risk would be expected to decrease at a decreasing rate.E) None of the above statements is correct.23、Given an optimal risky portfolio with expected return of 12% and standard deviation of 23% and a risk free rate of 3%, what is the slope of the best feasible CAL?A) 0.64 B) 0.39 C) 0.08 D) 0.35 E) 0.3624、Given an optimal risky portfolio with expected return of 13% and standard deviation of 26% and a risk free rate of 5%, what is the slope of the best feasible CAL?A) 0.60 B) 0.14 C) 0.08 D) 0.36 E) 0.3125、The individual investor's optimal portfolio is designated by:A) The point of tangency with the indifference curve and the capital allocation line.B) The point of highest reward to variability ratio in the opportunity set.C) The point of tangency with the opportunity set and the capital allocation line.D) The point of the highest reward to variability ratio in the indifference curve.E) None of the above.26、The single-index modelA) greatly reduces the number of required calculations, relative to those required by the Markowitz model.B) enhances the understanding of systematic versus nonsystematic risk.C) greatly increases the number of required calculations, relative to those required by the Markowitz model.D) A and B. E) B and C.27、The Security Characteristic Line (SCL)A) plots the excess return on a security as a function of the excess return on the market.B) allows one to estimate the beta of the security.C) allows one to estimate the alpha of the security.D) all of the above. E) none of the above.28、The expected impact of unanticipated macroeconomic events on a security's return during the period isA) included in the security's expected return. B) zero.C) equal to the risk free rate. D) proportional to the firm's beta. E) infinite.29、Covariances between security returns tend to beA) positive because of SEC regulations.B) positive because of Exchange regulations.C) positive because of economic forces that affect many firms.D) negative because of SEC regulationsE) negative because of economic forces that affect many firms.30、One “cost” of the single-index model is that itA) is virtually impossible to apply.B) prohibits specialization of efforts within the security analysis industry.C) requires forecasts of the money supply.D) is legally prohibited by the SEC.E) allows for only two kinds of risk -- macro risk and micro risk.1 2 3 4 5 6 7 8 9 10A CBC B CD AE D11 12 13 14 15 16 17 18 19 20E E B B E E B C C D21 22 23 24 25 26 27 28 29 30B D B E A D D BC E。
投资学：书上习题及答案
1、投资者有面值1000元、每年息票收入为75元（按年支付）的3年期债券。
息票从现在到一年后做第一次支付。
现在债券价格为975.48元。
已知折现率为10％，那么投资者是保存还是出售这个债券？
解：由债券估值公式可知，债券的理论价格是：
元；
但是这种债券的市场价格是
元，说明这种债券在市场上被高估了，因此投资者应该出售这个债券。
1．一投资者以保证金购买某公司股票1000股，每股40元，原始保证金为50%，最低保证金为30%。
如果股价下跌到30元，实际保证金是多少？在价格下跌到何价位或以下时，会收到补交保证金的通知？
2．一投资者以每股30元卖空某公司1000股股票，原始保证金为50%。
（1）他的保证金账户中有多少资产？
（2）如果股价上涨到35元和下降到28元时，实际保证金是多少？
（3）如果最低保证金为35%，股价上涨到多少时，投资者会收到补交保证金的通知？
3．如果股票的股息为5元，其预期年增长率为6％，而应得回报率
为14%，那么它的内在价值是多少?
4．某公司现时每股股息为2元，预期前3年股息年平均增长率为10%，3年后预期年平均增长率为4％，投资者的应得回报率为8％，那么股票的内在价值是多少?
5．某公司现在每股股息为3元，股息年平均增长率为6％，应得回报率为l0％，计算3年后的股价和现时的内在价值。
投资练习题
投资练习题1、The efficient frontier of risky assets isA)the portion of the investment opportunity set that lies above the global minimum variance portfolio.B)the portion of the investment opportunity set that represents the highest standard deviations.C)the portion of the investment opportunity set which includes the portfolios with the lowest standard deviation.D)the set of portfolios that have zero standard deviation.E)both A and B are true.2、The Capital Allocation Line provided by a risk-free security and N risky securities is ______A) the line that connects the risk-free rate and the global minimum-variance portfolio of the risky securities.B) the line that connects the risk-free rate and the portfolio of the risky securities that has the highest expected return on the efficient frontier.C) the line tangent to the efficient frontier of risky securities drawn from the risk-free rate.D) the horizontal line drawn from the risk-free rate.E) none of the above.3、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) greater than zero.B) equal to zero.C) equal to the sum of the securities' standard deviations.D) equal to -1.E) none of the above.4、Which of the following statements is (are) true regarding the variance of a portfolio of two risky securitiesA) The higher the coefficient of correlation between securities, the greater the reduction in the portfolio variance.B) There is a linear relationship between the securities' coefficient of correlation and the portfolio variance.C) The degree to which the portfolio variance is reduced depends on the degree of correlation between securities.D) A and B.E) A and C.5、Efficient portfolios of N risky securities are portfolios thatA) are formed with the securities that have the highest rates of return regardless of their standard deviations.B) have the highest rates of return for a given level of risk.C) are selected from those securities with the lowest standard deviations regardless of their returns.D) have the highest risk and rates of return and the highest standard deviations.E) have the lowest standard deviations and the lowest rates of return.6、As diversification increases, the total variance of a portfolio approaches ____________.A) 0 B) 1 C) the variance of the market portfolioD) infinity E) none of the above7、The index model was first suggested by ____________.A) Graham B) Markowitz C) Miller D) SharpeE) none of the above8、.A single-index model uses __________ as a proxy for the systematic risk factor.A) a market index, such as the S&P 500B) the current account deficitC) the growth rate in GNPD) the unemployment rateE) none of the above9、According to the index model, covariances among security pairs areA) due to the influence of a single common factor represented by the market index returnB) extremely difficult to calculateC) related to industry-specific eventsD) usually positiveE) A and D10、In a factor model, the return on a stock in a particular period will be related to _________.A) firm-specific events B) macroeconomic events C) the error termD) both A and B E) neither A nor B11、Which of the following statement(s) is (are) true regarding the selection ofa portfolio from those that lie on the Capital Allocation LineA) Less risk-averse investors will invest more in the risk-free security and less in the optimal risky portfolio than more risk-averse investors.B) More risk-averse investors will invest less in the optimal risky portfolio and more in the risk-free security than less risk-averse investors.C) Investors choose the portfolio that maximizes their expected utility.D) A and C.E) B and C.12、An investor who wishes to form a portfolio that lies to the right of the optimal risky portfolio on the Capital Allocation Line must:A) lend some of her money at the risk-free rate and invest the remainder in the optimal risky portfolio.B) borrow some money at the risk-free rate and invest in the optimal risky portfolio.C) invest only in risky securities.D) such a portfolio cannot be formed.E) B and C13、Portfolio theory as described by Markowitz is most concerned with:A) the elimination of systematic risk.B) the effect of diversification on portfolio risk.C) the identification of unsystematic risk.D) active portfolio management to enhance returns.E) none of the above.14、The measure of risk in a Markowitz efficient frontier is:A) specific risk.B) standard deviation of returns.C) reinvestment risk.D) beta.E) none of the above.15、A statistic that measures how the returns of two risky assets move together is:A) variance. B) standard deviation. C) covariance. D)correlation.E) C and D.16、Rosenberg and Guy found that __________ helped topredict a firm's beta.A) the firm's financial characteristicsB) the firm's industry groupC) firm sizeD) both A and BE) A, B and C all helped to predict betas.17、If a firm's beta was calculated as 0.6 in a regression equation, Merrill Lynch would state the adjusted beta at a numberA) less than but greater than zero.B) between and .C) between and .D) greater than .E) zero or less.18、The beta of Exxon stock has been estimated as by Merrill Lynch using regression analysis on a sample of historical returns. The Merrill Lynch adjusted beta of Exxon stock would be ___________.A) B) 1.32 C) D) E) none of the above19、Consider the single-index model. The alpha of a stock is 0%. The return on the market index is 16%. The risk-free rate of return is 5%. The stock earns a return that exceeds the risk-free rate by 11% and there are no firm-specific events affecting the stock performance. The β of the stock is _______.A) B) 0.75 C) D) E)20、Suppose you forecast that the market index will earn a return of 15% in the coming year. Treasury bills are yielding 6%. The unadjusted β of Mobil stock is . A reasonable forecast of the return on Mobil stock for the coming year is _________ if you use Merrill Lynch adjusted betas.A) % B) % C) % D) % E) none of the above21、The unsystematic risk of a specific securityA) is likely to be higher in an increasing market.B) results from factors unique to the firm.C) depends on market volatility.D) cannot be diversified away.E) none of the above.22、Which statement about portfolio diversification is correctA) Proper diversification can reduce or eliminate systematic risk.B) The risk-reducing benefits of diversification do not occur meaningfully until at least 50-60 individual securities have been purchased.C) Because diversification reduces a portfolio's total risk, it necessarily reduces the portfolio's expected return.D) Typically, as more securities are added to a portfolio, total risk would be expected to decrease at a decreasing rate.E) None of the above statements is correct.23、Given an optimal risky portfolio with expected return of 12% and standard deviation of 23% and a risk free rate of 3%, what is the slope of the best feasible CALA) B) 0.39 C) D) E)24、Given an optimal risky portfolio with expected return of 13% and standard deviation of 26% and a risk free rate of 5%, what is the slope of the best feasible CALA) B) 0.14 C) D) E)25、The individual investor's optimal portfolio is designated by:A) The point of tangency with the indifference curve and thecapital allocation line.B) The point of highest reward to variability ratio in the opportunity set.C) The point of tangency with the opportunity set and the capital allocation line.D) The point of the highest reward to variability ratio in the indifference curve.E) None of the above.26、The single-index modelA) greatly reduces the number of required calculations, relative to those required by the Markowitz model.B) enhances the understanding of systematic versus nonsystematic risk.C) greatly increases the number of required calculations, relative to those required by the Markowitz model.D) A and B. E) B and C.27、The Security Characteristic Line (SCL)A) plots the excess return on a security as a function of the excess return on the market.B) allows one to estimate the beta of the security.C) allows one to estimate the alpha of the security.D) all of the above. E) none of the above.28、The expected impact of unanticipated macroeconomic events on a security's return during the period isA) included in the security's expected return. B) zero.C) equal to the risk free rate. D) proportional to the firm's beta.E) infinite.29、Covariances between security returns tend to beA) positive because of SEC regulations.B) positive because of Exchange regulations.C) positive because of economic forces that affect many firms.D) negative because of SEC regulationsE) negative because of economic forces that affect many firms.30、One “cost” of the single-index model is that itA) is virtually impossible to apply.B) prohibits specialization of efforts within the security analysis industry.C) requires forecasts of the money supply.D) is legally prohibited by the SEC.E) allows for only two kinds of risk -- macro risk and micro risk.。
投资练习题(含答案)
1、The efficient frontier of risky assets isA)the portion of the investment opportunity set that lies above the global minimum variance portfolio、B)the portion of the investment opportunity set that represents the highest standard deviations、C)the portion of the investment opportunity set which includes the portfolios with the lowest standard deviation、D)the set of portfolios that have zero standard deviation、E)both A and B are true、2、The Capital Allocation Line provided by a risk-free security and N risky securities is ______A) the line that connects the risk-free rate and the global minimum-variance portfolio of the risky securities、B) the line that connects the risk-free rate and the portfolio of the risky securities that has the highest expected return on the efficient frontier、C) the line tangent to the efficient frontier of risky securities drawn from the risk-free rate、D) the horizontal line drawn from the risk-free rate、E) none of the above、3、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) greater than zero、B) equal to zero、C) equal to the sum of the securities' standard deviations、D) equal to -1、E) none of the above、4、Which of the following statements is (are) true regarding the variance of a portfolio of two risky securities?A) The higher the coefficient of correlation between securities, the greater the reduction in the portfolio variance、B) There is a linear relationship between the securities' coefficient of correlation and the portfolio variance、C) The degree to which the portfolio variance is reduced depends on the degree of correlation between securities、D) A and B、E) A and C、5、Efficient portfolios of N risky securities are portfolios thatA) are formed with the securities that have the highest rates of return regardless of their standard deviations、B) have the highest rates of return for a given level of risk、C) are selected from those securities with the lowest standard deviations regardless of their returns、D) have the highest risk and rates of return and the highest standard deviations、E) have the lowest standard deviations and the lowest rates of return、6、As diversification increases, the total variance of a portfolio approaches ____________、A) 0 B) 1 C) the variance of the market portfolioD) infinity E) none of the above7、The index model was first suggested by ____________、A) Graham B) Markowitz C) Miller D) SharpeE) none of the above8、、A single-index model uses __________ as a proxy for the systematic risk factor、A) a market index, such as the S&P 500B) the current account deficitC) the growth rate in GNPD) the unemployment rateE) none of the above9、According to the index model, covariances among security pairs areA) due to the influence of a single mon factor represented by the market index returnB) extremely difficult to calculateC) related to industry-specific eventsD) usually positiveE) A and D10、In a factor model, the return on a stock in a particular period will be related to _________、A) firm-specific events B) macroeconomic events C) the error termD) both A and B E) neither A nor B11、Which of the following statement(s) is (are) true regarding the selection of a portfolio from those that lie on the Capital Allocation Line?A) Less risk-averse investors will invest more in the risk-free security and less in the optimal risky portfolio than more risk-averse investors、B) More risk-averse investors will invest less in the optimal risky portfolio and more in the risk-free security than less risk-averse investors、C) Investors choose the portfolio that maximizes their expected utility、D) A and C、E) B and C、12、An investor who wishes to form a portfolio that lies to the right of the optimal risky portfolio on the Capital Allocation Line must:A) lend some of her money at the risk-free rate and invest the remainder in the optimal risky portfolio、B) borrow some money at the risk-free rate and invest in the optimal risky portfolio、C) invest only in risky securities、D) such a portfolio cannot be formed、E) B and C13、Portfolio theory as described by Markowitz is most concerned with:A) the elimination of systematic risk、B) the effect of diversification on portfolio risk、C) the identification of unsystematic risk、D) active portfolio management to enhance returns、E) none of the above、14、The measure of risk in a Markowitz efficient frontier is:A) specific risk、B) standard deviation of returns、C) reinvestment risk、D) beta、E) none of the above、15、A statistic that measures how the returns of two risky assets move together is:A) variance、B) standard deviation、C) covariance、D)correlation、E) C and D、16、Rosenberg and Guy found that __________ helped to predict a firm's beta、A) the firm's financial characteristicsB) the firm's industry groupC) firm sizeD) both A and BE) A, B and C all helped to predict betas、17、If a firm's beta was calculated as 0、6 in a regression equation, Merrill Lynch would state the adjusted beta at a numberA) less than 0、6 but greater than zero、B) between 0、6 and 1、0、C) between 1、0 and 1、6、D) greater than 1、6、E) zero or less、18、The beta of Exxon stock has been estimated as 1、2 by Merrill Lynch using regression analysis on a sample of historical returns、The Merrill Lynch adjusted beta of Exxon stock would be ___________、A) 1、20 B) 1、32 C) 1、13 D) 1、0 E) none of the above19、Consider the single-index model、The alpha of a stock is 0%、The return on the market index is 16%、The risk-free rate of return is 5%、The stock earns a return that exceeds the risk-free rate by 11% and there are no firm-specific events affecting the stock performance、The β of the stock is _______、A) 0、67 B) 0、75 C) 1、0 D) 1、33 E) 1、5020、Suppose you forecast that the market index will earn a return of 15% in the ing year、Treasury bills are yielding 6%、The unadjusted β of Mobil stock is 1、30、 A reasonable forecast of the return on Mobil stock for the ing year is _________ if you use Merrill Lynch adjusted betas、A) 15、0% B) 15、5% C) 16、0% D) 16、8% E) none of the above21、The unsystematic risk of a specific securityA) is likely to be higher in an increasing market、B) results from factors unique to the firm、C) depends on market volatility、D) cannot be diversified away、E) none of the above、22、Which statement about portfolio diversification is correct?A) Proper diversification can reduce or eliminate systematic risk、B) The risk-reducing benefits of diversification do not occur meaningfully until at least 50-60 individual securities have been purchased、C) Because diversification reduces a portfolio's total risk, it necessarily reduces the portfolio's expected return、D) Typically, as more securities are added to a portfolio, total risk would be expected to decrease at a decreasing rate、E) None of the above statements is correct、23、Given an optimal risky portfolio with expected return of 12% and standard deviation of 23% and a risk free rate of 3%, what is the slope of the best feasible CAL?A) 0、64 B) 0、39 C) 0、08 D) 0、35 E) 0、3624、Given an optimal risky portfolio with expected return of 13% and standard deviation of 26% and a risk free rate of 5%, what is the slope of the best feasible CAL?A) 0、60 B) 0、14 C) 0、08 D) 0、36 E) 0、3125、The individual investor's optimal portfolio is designated by:A) The point of tangency with the indifference curve and the capital allocation line、B) The point of highest reward to variability ratio in the opportunity set、C) The point of tangency with the opportunity set and the capital allocation line、D) The point of the highest reward to variability ratio in the indifference curve、E) None of the above、26、The single-index modelA) greatly reduces the number of required calculations, relative to those required by the Markowitz model、B) enhances the understanding of systematic versus nonsystematic risk、C) greatly increases the number of required calculations, relative to those required by the Markowitz model、D) A and B、E) B and C、27、The Security Characteristic Line (SCL)A) plots the excess return on a security as a function of the excess return on the market、B) allows one to estimate the beta of the security、C) allows one to estimate the alpha of the security、D) all of the above、 E) none of the above、28、The expected impact of unanticipated macroeconomic events on a security's return during the period isA) included in the security's expected return、B) zero、C) equal to the risk free rate、D) proportional to the firm's beta、E) infinite、29、Covariances between security returns tend to beA) positive because of SEC regulations、B) positive because of Exchange regulations、C) positive because of economic forces that affect many firms、D) negative because of SEC regulationsE) negative because of economic forces that affect many firms、30、One “cost” of the single-index model is that itA) is virtually impossible to apply、B) prohibits specialization of efforts within the security analysis industry、C) requires forecasts of the money supply、D) is legally prohibited by the SEC、E)。
2021-5《投资学》A卷及答案
2021-5《投资学》A卷及答案上海金融学院2021--2021 学年度第二学期《投资学》课程A卷代码：23330295（集中考试考试形式：闭卷考试用时: 90 分钟）考试时只能使用简单计算器(无存储功能)试题纸一、单项选择题（每题1分，共10分；在答题纸上相应位置填入正确选项前的英文字母）： 1、证券持有人面临预期收益不能实现，是证券的( )特征。
A、期限性B、收益性C、流通性D、风险性 2、证券交易所内证券交易的竞价原则是( )。
A、时间优先，客户优先B、价格优先，时间优先C、数量优先D、市价优先 3、以追求当期高收入为基本目标，以能带来稳定收入的证券为主要投资对象的证券投资基金是（）。
A、指数基金B、成长型基金C、收入型基金D、平衡型基金4、企业对其产品的未来需求的预期相对悲观，于是决定减少投资。
这往往会造成实际利率（）A、下降B、不变C、上升D、不确定 5、风险厌恶程度越强的投资者，其效用无差异曲线越（）A、平缓B、陡峭C、水平D、下倾 6、零贝塔值证券的期望收益率为（）。
A、市场收益率B、零收益率C、负收益率D、无风险收益率7、收益率曲线向右下方倾斜意味着在同一时点上，长期债券收益率( )短期债券收益率。
A、高于B、等于C、低于D、不能判断是否高于8、一张5年期零息票债券的久期是( )。
A、小于5年B、多于5年C、等于5年D、等同于一张5年期10%的息票债券9、考虑单指数模型，某只股票的阿尔法为0%。
市场指数的收益率为16%。
无风险收益率为5%。
尽管没有个别风险影响股票表现，这只股票的收益率仍超出无风险收益率11%。
那么这只股票的贝塔值是多少？（）1A、0.67B、0.75C、1.0D、1.3310、已知一张3年期零息票债券的收益率是7.2%，第一年、第二年的远期利率分别为6.1%和6.9%，那么第三年的远期利率应为多少？( )A、7.2%B、8.6%C、6.1%D、6.9%二、多项选择题（每题1分，共10分；在答题纸上相应位置填入正确选项前的英文字母）：1、( )是金融资产。
国本国际投资学题库
国本国际投资学题库————————————————————————————————作者：————————————————————————————————日期：10国本国际投资学习题库一、单项选择题1.下列国际投资方式中属于股权投资的是（ C ）。
A.技术授权B.管理合同C.合资经营D.合作经营2.下列关于证券组合有效集的条件正确的是（ C ）。
A. 在既定风险水平下取得最大收益并且在既定收益率水平下承担风险最大B. 在既定风险水平下取得最大收益或在既定收益率水平下承担风险最大C. 在既定风险水平下取得最大收益并且在既定收益率水平下承担风险最小D. 在既定风险水平下取得最大收益或在既定收益率水平下承担风险最小3.下列选项中不属于我国对外直接投资特点的是（ B ）A.我国对外投资规模总体规模偏小B.投资主体中大型国有企业占比逐渐上升C.我国的投资行业领域不断拓宽D.我国对外投资呈现向世界各地分散的趋势4.通过收购另一家已在海外证券市场上市的公司即空壳公司的全部或部分股份，取得上市公司的实际管理权，然后注入本国国内资产和业务，以达到海外间接上市目的的方式被称为（ D ）。
A.造壳上市B.换壳上市C.借壳上市D.买壳上市5.下列选项中不属于我国吸收外商直接投资特点的是（ C ）。
A.引资区域结构呈现“东重西轻”特点B.资金来源地日益多元化C.外资进入方式以跨国并购为主D.外商对华投资的独资化趋势日益明显6.将生产或经营过程中的某一个或几个环节交由其他实体完成的一种商业模式被称为（ A ）。
A.服务外包B.国际工程承包C.服务贸易D.产业转移7.下列选项中会增加国际投资风险的是（ B ）。
A.对东道国投资环境进行全面考察B.延长投资期限C.提高投资者的经营管理水平D.国际政治经济格局稳定8.外汇风险不包括（ C ）。
A.折算风险B.交易风险C. 技术风险D. 经济风险9.跨国公司规避国际业务中经营风险的方式不包括（ D ）。
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《投资学》课程练习题
一、选择题范例
1. 市场委托指令具有（）
A 价格的不确定性，执行的确定性
B 价格和执行的不确定性
C 执行的不确定性和价格的确定性
二、计算分析题（每题10分）
1. 假定你以保证金贷款的方式借入20000美元购买迪士尼公司的股票，该股票当前的市场价格为每股40美元，账户初始保证金比率要求为50%，维持保证金比率要求为35%，两天后该股票的价格跌至35美元。
（1）此时你会收到保证金催缴通知吗
（2）股价下跌至多少时，你会收到保证金催缴通知
2. 假定你拥有的风险资产组合的基本信息如下：
,。
（1）你的客户想要投资一定比例于你的风险资产组合，以获得8%的期望收益，那么他的投资比例需是多少
（2）他的组合标准差是多少
（3）另一个客户在标准差不超过12%的情况下最大化收益水平，他投资的比例是多少
3. 假定借款利率为9%，标普500指数的期望收益率为13%，标准差为25%，无风险利率为5%。
你的投资组合的期望收益为11%，标准
差为15%。
（1）考虑到更高的借款利率时画出你的客户的资本市场线，叠加两个无差异曲线，一是当客户借入资金时的；二是投资于市场指数基金和货币市场基金时的。
（2）在投资者选择既不借入资金也不贷出资金时其风险厌恶系数的范围是多少，即当y=1时的情形。
（3）贷出资金和借入资金的投资者分别最多愿意支付多少管理费4. 可行证券包括股票基金A、B和短期国库券，数据如下表所示。
期望收益（%）标准差（%）
A 10 20
B 30 60
短期国库券 5 0
假定A和B的相关系数为
（1）画出A和B构成的可行集
（2）找出最优风险组合P，计算期望收益和标准差。
（3）计算资本配置线斜率。
（4）风险厌恶系数A=5的投资者应如何投资
5. A、B、C三只股票的统计数据如下表所示：
股票 A B C
A
B
C
结合表中信息，请在等权重A和B的投资组合，与等权重B和C 的投资组合中做出选择，并说明理由。
6. 下表给出了一个由三只股票组成的金融市场，满足单指数模型。
股票市值（美元）平均超额收益率标准差（%）
A 3000 10 40
B 1940 2 30
C 1360 17 50
假定市场组合的标准差为25%，请问：
（1）市场指数投资组合的平均超额收益率为多少
（2）股票A和股票B之间的协方差是多少
（3）股票B与指数之间的协方差是多少
（4）将股票B的方差分解为市场和公司两个部分。
7. 假定无风险收益率为6%，市场的期望收益率为16%。
（1）一只股票今日的售价为50美元。
每年末将会支付每股股息6美元，值为，那么投资者预期年末该股的售价为多少
（2）你正准备买入一只股票，该股票预期的永久现金流为1000美元，但风险不能确定。
如果我认为该企业的值为，那么当实际值为1时，我实际支付的比该股票的真实价值高多少
（3）一只股票的期望收益率为4%，那么它的值为多少
8. 假定证券收益由单因素模型确定，即：
其中，表示证券的超额收益，表示市场超额收益。
无风险收益率为2%。
同样假设证券A、B和C，其数据如下表所示：
证券
A 10 25
B 12 10
C 14 20
（1）如果，计算证券A、B和C收益的方差。
（2）现在假定资产的种类无限多，并且与证券A、B和C具有相同的收益特征。
如果证券A是一个充分分散的投资组合，则该投资组合的超额收益方差的均值是多少那么只有B或C组成的投资组合呢（3）承接第（2）问，市场中是否存在套利机会如果存在套利机会，请用图表描述这一套利机会，并简要介绍如何实现这一套利机会。
9. 在未来两年年底，你要支付10000美元的学费，且债券当期的收益率为8%。
（1）你的债务的现值和久期分别是多少
（2）什么样期限的零息债券可以使你的债务免疫
（3）假设你购买一种零息债券，其价值和久期与你的债务相同。
现在假设市场利率立即上升到9%，则你的净头寸将会发生什么变化换句话说，你的学费债务和债券价值之间的差异会有什么变化如果市场
利率下降至7%，又会如何最后，请解释为什么学费债务和债券价值会存在差异
10. 假设你正在管理100万美元的资产组合，你的目标久期是10年，你可以从以下两种债券中做出选择：5年期的零息债券和终身年金，当期收益率都为5%。
（1）在你的资产组合中，你将持有两种债券各多少
（2）如果你现在的目标久期是9年，明年持有比例会发生什么变化
三、简答题范例
1. 什么是信用违约掉期（credit default swap, CDS）请简要回顾CDS 在2008年美国金融危机中扮演的角色
2. 有效市场假说中的半强势有效市场认为所有公共可得的信息都会迅速且准确地在证券价格上反映出来。
这表明投资者在信息公布出来之后不可能从购买证券中获得超额利润，因为证券价格已经完全反映了信息的全部效应。
（1）试找出两个现实中的例子以支持上述有效市场假说并给出说明。
（2）试找出两个现实中的例子驳斥上述有效市场假说并给出说明。
（3）简要说明投资者在半强势有效市场上仍然不能进行指数化投资的原因。