复旦大学财务管理期中考试题.docx

.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：题 号12345678910总 分得 分选择题123456789101112819202122232425262728293033738394041424344454647484950判断题123456789101112131415一、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 bonds duration is:A. 8.7 yearsB. 7.6 yearsC. 0.1 yearsD. 6.5 years2. A bond with a face value of $1,000, coupon rate of 0%, yield to maturity of 9%, and ten years to maturity. This bonds duration is:A. 6.7 yearsB. 7.5 yearsC. 9.6 yearsD. 10.0 years3. 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. 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 rateIII) Yield to maturity A. I onlyB. II onlyC. III onlyD. I and II only6. The value of a common stock today depends on:A. Number of shares outstanding and the number of shareholdersB. The expected future dividends and the discount rateC. The Wall Street analystsD. 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. $28.20B. $32.17C. $32.00D. None of the given answers8. Casino Inc. is expected to pay a dividend of $3 per share at the end of year-1 (D 1) andthese 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. $25B. $50C. $100D. $549. 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. $1.11B. $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/Po)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 concept?A. Net present valueB. Internal rate of returnC. The payback periodD. All of the above use the time value concept12. The net present value of a project depends upon:A. companys choice of accounting methodB. managers tastes and preferencesC. projects cash flows and opportunity cost of capitalD. 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, C 1 = +600 ,C 2 = +400, and C 3 =+1500, calculate the payback period.A. One yearB. Two yearsC. Three yearsD. None of the above15.Given the following cash flows for project Z: C0 = -1,000, C 1 = 600, C 2 = 720 and C 3 =2000, calculate the discounted payback period for the project at a discount rate of 20%.A. 1 yearB. 2 yearsC. 3 yearsD. None of the above16.Given the following cash flows for Project M: C0 = -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 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 stocksB. Government bondsC. Treasury billsD. 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 averageB. Geometric averageC. Hyperbolic meanD. None of the above20. Market risk is also called:I) systematic risk, II) undiversifiable risk, III) firm specific risk.A. I onlyB. II onlyC. III onlyD. I and II only21. As the number of stocks in a portfolio is increased: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 following returns for the past three years of -12%, 10%, 32%; and 15%, 6%, 24% respectively. Calculate the covariance 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. zero to + infinity24. In the case of a portfolio of N-stocks, the formula for portfolio variance contains:A. N variance termsB. N(N - 1)/2 variance termsC. N 2 variance termsD. None of the above25. The "beta" is a measure of:A. Unique riskB. Total riskC. Market riskD. 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. 1.1B. 1.0C. 0.9D. 0.627. The distribution of returns, measured over a short interval of time, like daily returns, can be approximated by:A. Normal distributionB. Lognormal distributionC. Binomial distributionD. none of the above28. Normal and lognormal distributions are completely specified by: I) meanII) standard deviation III) third momentA. I onlyB. I and II onlyC. II onlyD. III only29. 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 above30. Florida Company (FC) and Minnesota Company (MC) are both service companies. Theirhistorical 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. 85.75B. 111.50C. 55.75D. 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 BB. Prefer B to AC. Prefer a portfolio of A and BD. Cannot answer without knowing investors risk preferences32. The efficient portfolios:I) have only unique riskII) provide highest returns for a given level of riskIII) provide the least risk for a given level of returns IV) have no risk at allA. I onlyB. II and III onlyC. IV onlyD. II only33. By combining lending and borrowing at the risk-free rate with the efficient portfolios, wecan I) extend the range of investment 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 portfolio A. I onlyB. I and II only C. I, II, and IIID. none of the above34. 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 above35. The correlation between the efficient portfolio and the risk-free asset is: A. +1B. -1 C. 0D. cannot be calculated.36.In the presence of a risk-free asset, the investors job is to:I) invest in the market portfolioII) find an interior portfolio using quadratic programmingIII) borrow or lend at the risk-free rateIV) read and understand Markowitzs portfolio theory A. I and II onlyB. I and III only C. II and IV only D. IV only37. Beta of the market portfolio is: A. ZeroB. +0.5 C. -1.0 D. +1.038. The graphical representation of CAPM (Capital Asset Pricing Model) is called: A. Capital Market LineB. Characteristic Line C. Security Market Line D. 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 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 lineB. Below the security market lineC. 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. financed entirely by equityD. none of the above.42.Using the company cost of capital to evaluate a project is:I) Always correctII) Always incorrectIII) Correct for projects that are about as risky as the average of the firms other assets A. I onlyB. II only C. III onlyD. I and III only43. Which of the following types of projects have the highest risk? A. Speculation venturesB. New productsC. Expansion of existing businessD. Cost improvement, (known technology)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 return on the equity is 20% and that on the debt is 8%, calculate the companys cost of capital. (Assume no taxes.)A. 20% B. 17% C. 14%D. None of the above45. The market value of XYZ Corporations common stock is 40 million and the market value of the risk-free debt is 60 million. The beta of the companys common stock is 0.8, and the expected market risk premium is 10%. If the Treasury bill rate is 6%, what is the firmscost of capital? (Assume no taxes.) A. 9.2%B. 14%C. 8.1%D. None of the above46. On a graph with common stock returns on the Y- axis and market returns on the X-axis, theslope of the regression line represents the: A. AlphaB. BetaC. R-squared D. Adjusted beta47. An example of diversifiable risk that should be ignored when analyzing project risk would includeA. Commodity price changes B. Labor costsC. Stock price fluctuationsD. Risk of government non-approval.48. A fudge factor might include:A. Commodity price changesB. Labor costsC. Stock price fluctuationsD. Risk of government non-approval49. Generally, the value to use for the risk-free interest rate is:A. Short-term Treasury bill rateB. Long-term Corporate bond rateC. Medium-term Corporate bond rateD. none of the above50. Which of the following type of projects has average risk?A. Speculation venturesB. New productsC. Expansion of existing businessD. 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 projects 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.