复旦大学财务管理期中考试题

PAGEPAGE11复旦大学管理学院2015～2016□A课程名称： 财务管理 课程代码： 969.003.1.01 题号1得分学号：专业：2345678910总分开课院系： 管理学院会计系 考试形式题号1得分学号：专业：2345678910总分选择题1234567891011121314151617181920212223242526272829303132333435363738394041424344454647484950判断题123456789101112131415一、选择题（每题1.5分，共75分）Considerabondwithafacevalueof$1,000,acouponrateof6%,ayieldtomaturityof8%,andtenyearstomaturity.Thisbond'sdurationis:8.7years7.6years0.1years6.5yearsAbondwithafacevalueof$1,000,couponrateof0%,yieldtomaturityof9%,andtenyearstomaturity.Thisbond'sdurationis:6.7years7.5years9.6years10.0yearsAbondwithdurationof10yearshasyieldtomaturityof10%.Thisbond'svolatilityis:A.9.09%B.6.8%C.14.6%D.6.0%Ifabond'svolatilityis10%andtheinterestrategoesdownby0.75%(points)thenthepriceofthebond:decreasesby10%decreasesby7.5%increasesby7.5%increasesby0.75%Volatilityofabondisgivenby:Duration/(1+yield)SlopeofthecurverelatingthebondpricetotheinterestrateYieldtomaturityIonlyIIonlyIIIonlyIandIIonlyThevalueofacommonstocktodaydependson:NumberofsharesoutstandingandthenumberofshareholdersTheexpectedfuturedividendsandthediscountrateTheWallStreetanalystsPresentvalueofthefutureearningspershareDeluxeCompanyexpectstopayadividendof$2pershareattheendofyear-1,$3pershareattheendofyear-2andthenbesoldfor$32pershare.Iftherequiredrateonthestockis15%,whatisthecurrentvalueofthestock?A.$28.20B.$32.17C.$32.00D.NoneofthegivenanswersCasinoInc.isexpectedtopayadividendof$3pershareattheendofyear-1andthesedividendsareexpectedtogrowataconstantrateof6%peryearforever.Iftherequiredrateofreturnonthestockis18%,whatiscurrentvalueofthestocktoday?A.$25B.$50C.$100D.$54R&DTechnologyCorporationhasjustpaidadividendof$0.50pershare.Thedividendsareexpectedtogrowat24%peryearforthenexttwoyearsandat8%peryearthereafter.Iftherequiredrateofreturninthestockis16%(APR),calculatethecurrentvalueofthestock.A.$1.11B.$7.71C.$8.82D.NoneoftheaboveWhichofthefollowingformulasregardingearningstopriceratioistrue:EPS/Po=r[1+(PVGO/Po]EPS/Po=r[1-(PVGO/Po)]EPS/Po=[r+(PVGO/Po)]EPS/Po=[r+(1+(PVGO/Po)]/rWhichofthefollowinginvestmentrulesdoesnotusethetimevalueofthemoneyconcept?NetpresentvalueInternalrateofreturnThepaybackperiodAlloftheaboveusethetimevalueconceptThenetpresentvalueofaprojectdependsupon:company'schoiceofaccountingmethodmanager'stastesandpreferencesproject'scashflowsandopportunitycostofcapitalalloftheaboveThepaybackperiodrule:Variesthecut-offpointwiththeinterestrate.Determinesacut-offpointsothatallprojectsacceptedbytheNPVrulewillbeacceptedbythepaybackperiodrule.Requiresanarbitrarychoiceofacut-offpoint.BothAandC.GiventhefollowingcashflowsforprojectA:C0=-1000,C1=+600,C2=+400,andC3=+1500,calculatethepaybackperiod.OneyearTwoyearsThreeyearsNoneoftheaboveGiventhefollowingcashflowsforprojectZ:C0=-1,000,C1=600,C2=720andC3=2000,calculatethediscountedpaybackperiodfortheprojectatadiscountrateof20%.1year2years3yearsNoneoftheaboveGiventhefollowingcashflowsforProjectM:C0=-1,000,C1=+200,C2=+700,C3=+698,calculatetheIRRfortheproject.A.23%B.21%C.19%D.NoneoftheaboveDriscollCompanyisconsideringinvestinginanewproject.Theprojectwillneedaninitialinvestmentof$2,400,000andwillgenerate$1,200,000(after-tax)cashflowsthreeyears.CalculatetheIRRfortheproject.A.14.5%B.18.6%C.20.2%D.23.4%Whichportfoliohashadthehighestaverageriskpremiumduringtheperiod1900-2006?CommonstocksGovernmentbondsTreasurybillsNoneofthegivenanswersWhichofthefollowingprovidesacorrectmeasureoftheopportunitycostofcapitalregardlessofthetimingofthecashflows?ArithmeticaverageGeometricaverageHyperbolicmeanNoneoftheaboveMarketriskisalsocalled:I)systematicrisk,II)undiversifiablerisk,III)firmspecificrisk.IonlyIIonlyIIIonlyIandIIonlyAsthenumberofstocksinaportfolioisincreased:UniqueriskdecreasesandapproachestozeroMarketriskdecreasesUniqueriskdecreasesandbecomesequaltomarketriskTotalriskapproachestozeroStockMandStockNhavehadthefollowingreturnsforthepastthreeyearsof-12%,10%,32%;and15%,6%,24%respectively.Calculatethecovariancebetweenthetwosecurities.A.-99B.+99C.+250D.NoneoftheaboveTherangeofvaluesthatcorrelationcoefficientscantakecanbe:zeroto+1-1to+1-infinityto+infinityzeroto+infinityInthecaseofaportfolioofN-stocks,theformulaforportfoliovariancecontains:NvariancetermsN(N-1)/2variancetermsN2variancetermsNoneoftheaboveThe"beta"isameasureof:UniqueriskTotalriskMarketriskNoneoftheaboveThecorrelationcoefficientbetweenstockAandthemarketportfoliois+0.6.Thestandarddeviationofreturnofthestockis30%andthatofthemarketportfoliois20%.Calculatethebetaofthestock.A.1.1B.1.0C.0.9D.0.6Thedistributionofreturns,measuredoverashortintervaloftime,likedailyreturns,canbeapproximatedby:NormaldistributionLognormaldistributionBinomialdistributionnoneoftheaboveNormalandlognormaldistributionsarecompletelyspecifiedby:meanstandarddeviationthirdmomentIonlyIandIIonlyIIonlyIIIonlyFloridaCompany(FC)andMinnesotaCompany(MC)arebothservicecompanies.Theirhistoricalreturnforthepastthreeyearsare:FC:-5%,15%,20%;MC:8%,8%,20%.Calculatethestandarddeviation(S.D.)ofreturnforFCandMC.A.FC:10%MC:12%B.FC:18.7%MC:9.8%C.FC:13.2%MC:6.9%D.Noneoftheabove FloridaCompany(FC)andMinnesotaCompany(MC)arebothservicecompanies.Theirhistoricalreturnforthepastthreeyearsare:FC:-5%,15%,20%;MC:8%,8%,20%.Whatisthevarianceoftheportfoliowith50%ofthefundsinvestedinFCand50%inMC(approximately)?A.85.75B.111.50C.55.75D.NoneoftheaboveInvestmentsAandBbothofferanexpectedrateofreturnof12%.IfthestandarddeviationofAis20%andthatofBis30%,theninvestorswould:PreferAtoBPreferBtoAPreferaportfolioofAandBCannotanswerwithoutknowinginvestor'sriskpreferencesTheefficientportfolios:haveonlyuniqueriskprovidehighestreturnsforagivenlevelofriskprovidetheleastriskforagivenlevelofreturnshavenoriskatallIonlyIIandIIIonlyIVonlyIIonly Bycombininglendingandborrowingattherisk-freeratewiththeefficientportfolios,wecanI)videahigherexpectedreturnforanylevelofriskexceptthetangentialportfolioIonlyIandIIonlyI,II,andIIInoneoftheaboveSupposeyouinvestequalamountsinaportfoliowithanexpectedreturnof16%andastandarddeviationofreturnsof20%andarisk-freeassetwithaninterestrateof4%;calculatethestandarddeviationofthereturnsontheresultingportfolio:8%B.10%C.20%D.noneoftheaboveThecorrelationbetweentheefficientportfolioandtherisk-freeassetis:A.+1-10cannotbecalculatedInthepresenceofarisk-freeasset,theinvestor'sjobisto:investinthemarketportfoliofindaninteriorportfoliousingquadraticprogrammingborroworlendattherisk-freeratereadandunderstandMarkowitz'sportfoliotheoryIandIIonlyIandIIIonlyIIandIVonlyIVonlyBetaofthemarketportfoliois:ZeroB.+0.5C.-1.0D.+1.0ThegraphicalrepresentationofCAPM(CapitalAssetPricingModel)iscalled:CapitalMarketLineCharacteristicLineSecurityMarketLineNoneoftheaboveIfthebetaofExxonMobilis0.65,risk-freerateis4%andthemarketrateofreturnis14%,calculatetheexpectedrateofreturnfromExxon:A.12.6%B.10.5%C.13.1%D.6.5%Ifastockisoverpriceditwouldplot:AbovethesecuritymarketlineBelowthesecuritymarketlineOnthesecuritymarketlineOntheY-axisCostofcapitalisthesameascostofequityforfirms:financedentirelybydebtfinancedbybothdebtandequityfinancedentirelybyequitynoneoftheaboveUsingthecompanycostofcapitaltoevaluateaprojectis:AlwayscorrectAlwaysincorrectCorrectforprojectsthatareaboutasriskyastheaverageofthefirm'sotherassetsIonlyIIonlyIIIonlyIandIIIonlyWhichofthefollowingtypesofprojectshavethehighestrisk?SpeculationventuresNewproductsExpansionofexistingbusinessCostimprovement,(knowntechnology)ThemarketvalueofCharterCruiseCompany'sequityis$15million,andthemarketvalueofitsrisk-freedebtis$5million.Iftherequiredrateofreturnontheequityis20%andthatonthedebtis8%,calculatethecompany'scostofcapital.(Assumenotaxes.)A.20%B.17%C.14%D.NoneoftheaboveThemarketvalueofXYZCorporation'scommonstockis40millionandthemarketvalueoftherisk-freedebtis60million.Thebetaofthecompany'scommonstockis0.8,andtheexpectedmarketriskpremiumis10%.IftheTreasurybillrateis6%,whatisthefirm'scostofcapital?(Assumenotaxes.)A.9.2%B.14%C.8.1%D.NoneoftheaboveOnagraphwithcommonstockreturnsontheY-axisandmarketreturnsontheX-axis,theslopeoftheregressionlinerepresentsthe:AlphaBetaR-squaredAdjustedbetaAnexampleofdiversifiableriskthatshouldbeignoredwhenanalyzingprojectriskwouldincludeCommoditypricechangesLaborcostsStockpricefluctuationsRiskofgovernmentnon-approvalAfudgefactormightinclude:CommoditypricechangesLaborcostsStockpricefluctuationsRiskofgovernmentnon-approvalGenerally,thevaluetousefortherisk-freeinterestrateis:Short-termTreasurybillrateLong-termCorporatebondrateMedium-termCorporatebondratenoneoftheaboveWhichofthefollowingtypeofprojectshasaveragerisk?SpeculationventuresNewproductsExpansionofexistingbusinessCostimprovement二、判断题Thecompanycostofcapitalisthecorrectdiscountrateforanyprojectundertakenbythecompany.Itisgenerallymoreaccuratetoestimatean"industrybeta"foraportfolioofcompaniesinthesameindustrythantoestimatebetaforasinglecompany.Firmswithhighoperatingleveragetendtohavehigherassetbetas.Firmswithcyclicalrevenuestendtohavelowerassetbetas.IftheexpectedreturnofstockAis12%andthatofstockBis1