复旦大学财务管理期中考试题

1、复旦大学管理学院20152016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:一开卷姓名 学号 专业题号12345678910总分得分选择题123456789101112819202122232425262728293033738394041424344454647484950判断题123456789101112131415、选择题（每题1.5分，共75 分）1. Con sider a bond with a face value of $1,000, a coup on rate of 6%, a yield to

2、maturity of8%, and ten years to maturity. This bonds duration is:A. 8.7 yearsB. 7.6 yearsC. 0.1 yearsD. 6.5 years2. A bo nd with a face value of $1,000, coupon rate of 0%, yield to maturity of 9%, an d ten years to maturity. This bonds duration is:A. 6.7 yearsB. 7.5 yearsC. 9.6 yearsD. 10.0 years3.

3、A bond with duration of 10 years has yield to maturity of 10%. This bonds volatility is:A. 9.09%B. 6.8%C. 14.6%D. 6.0%4. If a bonds volatility is 10% and the interest rate goes down by 0.75% (points)then theprice of the bond:A. decreases by 10%B. decreases by 7.5%C. in creases by 7.5%D. in creases b

4、y 0.75%5. Volatility of a bond is give n by:I) Durati on/ (1 + yield)II) Slope of the curve relating the bond price to the interest rateIII) Yield to maturityA. I o nlyB. II o nlyC. III on lyD. I and II only6. The value of a com mon stock today depe nds on:A. Number of shares outsta nding and the nu

5、 mber of shareholdersB. The expected future divide nds and the disco unt rateC. The Wall Street an alystsD. Prese nt value of the future earnings per share7. Deluxe Compa ny expects to pay a divide nd of $2 per share at the end of year-1, $3 per share at the end of year-2 and the n be sold for $32 p

6、er share. If the required rate on the stock is 15%, what is the curre nt value of the stock?A. $28.20B. $32.17C. $32.00D. None of the give n an swers8. Casino Inc. is expected to pay a divide nd of $3 per share at the end of year-1 (D1) and these divide nds are expected to grow at a con sta nt rate

7、of 6% per year forever. If the required rate of retur n on the stock is 18%, what is curre nt value of the stock today?A. $25B. $50C. $100D. $549. R&D Tech no logy Corporati on has just paid a divide nd of $0.50 per share. The divide nds are expected to grow at 24% per year for the n ext two years a

8、nd 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. $1.11B. $7.71C. $8.82D. None of the above10. Which of the following formulas regarding earnings to price ratio is true:A. EPS/Po = r1 + (PVGO/PoB. EPS/Po = r1 - (PVGO/P

9、o)C. EPS/Po = r + (PVGO/Po)D. EPS/Po = r + (1 + (PVGO/Po)/r11. Which of the following investment rules does not use the time value of the money con cept?A. Net prese nt valueB. I nternal rate of returnC. The payback periodD. All of the above use the time value con cept12. The net prese nt value of a

10、 project depe nds upon:A. compa nys choice of acco un ti ng methodB. man agers tastes and prefere ncesC. projects cash flows and opport un ity cost of capitalD. all of the above13. The payback period rule:A. Varies the cut-off point with the interest rate.B. Determines a cut-off point so that all pr

11、ojects 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: C 0 = -1000, C1 = +600 ,C 2 = +400, and C 3 = +1500, calculate the payback period.A. One yearB. Two yearsC.

12、 Three yearsD. None of the above15. Given the following cash flows for project Z: C 0 = -1,000, C 1 = 600, C 2 = 720 and C 3 = 2000, calculate the disco un ted payback period for the project at a disco unt rate of 20%.A. 1 yearB. 2 yearsC. 3 yearsD. None of the above16. Given the following cash flow

13、s for Project M: C 0 = -1,000, C 1 = +200, C 2 = +700, C 3 = +698, calculate the IRR for the project.A. 23%B. 21%C. 19%D. None of the above17. Driscoll Company is considering investing in a new project. The project will need an in itial in vestme nt of $2,400,000 and will gen erate $1,200,000 (after

14、-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 duri ng the period 1900-2006?A. Com mon stocksB. Government bondsC. Treasury billsD. None of the give n an swers19. Which of the followi ng

15、 provides a correct measure of the opport unity cost of capital regardless of the tim ing of the cash flows?A. Arithmetic averageB. Geometric averageC. Hyperbolic meanD. None of the above20. Market risk is also called:I) systematic risk, II) un diversifiable risk. Ill) firm specific risk.A. I o nlyB

16、. II o nlyC. III on lyD. I and II only21. As the nu mber of stocks in a portfolio is in creased:A. Unique risk decreases and approaches to zeroB. Market risk decreasesC. Unique risk decreases and becomes equal to market riskD. Total risk approaches to zero22. Stock M and Stock N have had the followi

17、ng returns for the past three years of -12%, 10%, 32%; and 15%, 6%, 24% respectively. Calculate the covarianee between the two securities.A. -99B. +99C. +250D. None of the above23. The range of values that correlation coefficients can take can be:A. zero to +1B. -1 to +1C. - infinity to +infinityD.

18、zero to + infinity24. In the case of a portfolio of N-stocks, the formula for portfolio varia nee contains:A. N varia nee termsB. N(N - 1)/2 varia nee termsC. N varianee termsD. None of the above25. The beta is a measure of:A. Unique riskB. Total riskC. Market riskD. None of the above26. The correla

19、tion coefficient between stock A and the market portfolio is +0.6. The standard deviatio n of retur n of the stock is 30% and that of the market portfolio is 20%. Calculate the beta of the stock.A. 1.1B. 1.0C. 0.9D. 0.627. The distribution of returns, measured over a short interval of time, like dai

20、ly returns, can be approximated by:A. Normal distributi onB. Log no rmal distributio nC. Bi no mial distributi onD. none of the above28. Normal and log normal distributio ns are completely specified by:I) meanII) sta ndard deviati onIII) third mome ntA. I o nlyB. I and II o nlyC. II o nlyD. III on l

21、y29. 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. N

22、one of the above30. Florida Compa ny (FC) and Minn esota Compa ny (MC) are both service compa ni es. Their historical return for the past three years are: FC: - 5%, 15%, 20%; MC: 8%, 8%, 20%. What is the varia nee of the portfolio with 50% of the fun ds in vested in FC and 50% in MC (approximately)?

23、A. 85.75B. 111.50C. 55.75D. None of the above31. 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 BB. Prefer B to AC. Prefer a portfolio of A and BD. Cannot an swer without knowing in ves

24、tors risk prefere nces32. The efficie nt portfolios:I) have only unique riskII) provide highest retur ns for a give n level of riskIII) provide the least risk for a give n level of retur nsIV) have no risk at allA. I o nlyB. II and III o nlyC. IV on lyD. II o nly33. By combi ning lending and borrowi

25、 ng at the risk-free rate with the efficie nt portfolios, we can I) exte nd the range of in vestme nt possibilitiesII) 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 portfolioA. I o nlyB.

26、I and II o nlyC. I, II, and IIID. none of the above34. Suppose you in vest equal amounts in a portfolio with an expected retur n 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 portf

27、olio:A. 8%B. 10%C. 20%D. none of the above35. The correlation between the efficient portfolio and the risk-free asset is:A. +1B. -1C. 0D. cannot be calculated36. In the presenee of a risk-free asset, the investors job is to:I) in vest in the market portfolioII) find an interior portfolio using quadr

28、atic programmingIII) borrow or lend at the risk-free rateIV) read and un dersta nd Markowitzs portfolio theoryA. I and II o nlyB. I and III onlyC. II and IV onlyD. IV on ly37. Beta of the market portfolio is:A. ZeroB. +0.5C. -1.0D. +1.038. The graphical representation of CAPM (Capital Asset Pricing

29、Model) is called:A. Cap ital Market LineB. Characteristic LineC. Security Market Li neD. None of the above39. 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 retur n from Exxon:A. 12.6%B. 10.5%C. 13.1%D. 6.5%40. If a stock

30、 is overpriced it would plot:A. Above the security market li neB. Below the security market li neC. On the security market lineD. On the Y-axis41. Cost of capital is the same as cost of equity for firms:A. financed entirely by debtB. financed by both debt and equityC. finan ced en tirely by equityD.

31、 none of the above42. Using the company cost of capital to evaluate a project is:I) Always correctII) Always in correctIII) Correct for projects that are about as risky as the average of the firms other assetsA. I o nlyB. II o nlyC. III on lyD. I and III o nly43. Which of the following types of proj

32、ects have the highest risk?A. Speculati on ven turesB. New productsC. Expa nsion of existi ng bus in essD. Cost improveme nt, (known tech no logy)44. The market value of Charter Cruise Companys equity is $15 million, and the market value of its risk-free debt is $5 million. If the required rate of r

33、eturn on the equity is 20% and that on the debt is 8%, calculate the compa nys cost of capital. (Assume no taxes.)A. 20%B. 17%C. 14%D. None of the above45. The market value of XYZ Corporati ons com mon stock is 40 millio n and the market value of the risk-free debt is 60 millio n. The beta of the co

34、mpa nys com mon stock is 0.8, and the expected market risk premium is 10%. If the Treasury bill rate is 6%, what is the firms cost of capital? (Assume no taxes.)A. 9.2%B. 14%C. 8.1%D. None of the above46. On a graph with com mon stock returns on the Y- axis and market returns on the X-axis, the slop

35、e of the regressi on line represe nts the:A. AlphaB. BetaC. R-squaredD. Adjusted beta47. An example of diversifiable risk that should be ignored when analyzing project risk would in cludeA. Commodity price cha ngesB. Labor costsC. Stock price fluctuatio nsD. Risk of gover nment non-approval48. A fud

36、ge factor might in elude:A. Commodity price cha ngesB. Labor costsC. Stock price fluctuatio nsD. Risk of gover nment non-approval49. Gen erally, the value to use for the risk-free in terest rate is:A. Short-term Treasury bill rateB. Lon g-term Corporate bond rateC. Medium-term Corporate bond rateD.

37、none of the above50. Which of the following type of projects has average risk?A. Speculati on ven turesB. New productsC. Expa nsion of existi ng bus in essD. Cost improveme nt二、判断题1. The company cost of capital is the correct discount rate for any project undertaken by the compa ny.2. It is gen eral

38、ly more accurate to estimate an in dustry beta for a portfolio of compa nies in the same in dustry tha n to estimate beta for a sin gle compa ny.3. Firms with high operati ng leverage tend to have higher asset betas.4. Firms with cyclical revenues tend to have lower asset betas.5. If the expected retur n of stock A is 12%