金融学试题C卷.doc

国际商学院2010-2011学年度第二学期金融学期末考试试卷(C)警 示中山大学授予学士学位工作细则第六条：“考试作弊不授予学士学位。”姓名 学号 专业 成绩 Single Choice Questions(2 points per question, 12 point maximum)1. An investment strategy of investing more than your wealth (net worth) in the market portfolio should have a beta:A: equal to zero;B: less than one;C: equal to one;D: more than one.2. In a typical loan amortization schedule with equal installment payment each period, the dollar amount of interest paid each period:A: increases with each payment;B: decrease with each payment;C: remains constant with each payment;D: none of the above3. Which of the following financial intermediary is most likely to finance a start-up firm?A: an insurance company;B: a venture capital firm;C: a commercial bank;D: a mutual fund4. In project selection, which of the following principle is the most appropriate one:A: always select the project with shortest payback period;B: always select the project with the largest net present value;C: always select the project with the highest internal rate of return;D: none of the above5. The term “capital structure” refers to: A: long-term debt, preferred stock, and common equity;C: current assets and current liabilities; C: total assets minus total liabilities;D: shareholders equity6. Which of the followings best describes the term structure of interest rate (the yield curve)?A: the current yields on treasury securities with different maturities;B: the coupon rates on treasury securities with different maturities;C: the yield to maturity of treasury securities with different maturities;D: the current yields on zero-coupon bonds with different maturitiesCalculation questions(本部分每题12分，要求从中选4题应答，如5题都应答，则取得较高分的4题的得分将作为本部分的得分计入总成绩，即本部分的最高分为48分，多答不扣分)Group I:1. You are considering the purchase of an apartment with a total price of $1 million. A bank offers you a 20-year mortgage for 70% of the total price of the apartment with equal installment payment at the end of each month. The effective annual rate is 7.4%. A: Assuming that your monthly salary is $6,000 now, and expected to grow 5% annually. What percentage is your monthly salary to your monthly mortgage payment eight year from now? (Note: please show the calculation detail)B: If you can afford to pay $5,000 per month, how many years would it take to pay off the loan?2. You are evaluating a new project for your firm. The project requires cash investment of $1 million at the start, and a $400,000 maintaining fee at the third year. After-tax cash inflows of $400,000, $600,000, $500,000, and $500,000 are expected in year 1 through year 4, respectively. All the above cash inflows and outflows are in nominal term. After year 4, the project will be terminated with a $500,000 salvage value. The real required rate of return for the project is 10%, and the inflation rate for the next four year is expected to be 2% annually.What are the payback period, net present value, and the nominal internal rate of return of the project?3. You are currently 20 year old, plans to start to work two year from now (at age 22). You expect to retire at age 60 and live to age 80. Your labor income is $60,000 per year during your working years, and you intend to maintain a constant level of real consumption spending over the next 60 years. You also expect to give an amount of $300,000 to your child at age 50. Assume not tax, no growth in real salary, and a real interest rate of 3% per year.A: What is the value of your human capital now (at age 20)?B: What will be your permanent income at age 35?4. Suppose the most efficient risky portfolio to combine with a riskless asset paying 5% is a portfolio with an expected return of 12% and a standard deviation of 10%.A:What is the expected return and risk of a leveraged investment where for each $100 of your own funds you borrow $50 at the riskless rate and invest the entire $150 in the optimal risky portfolio? B:What is the reward-to-risk ratio of the efficient trade-off line?5. The Matti Company is an all-equity financed firm with a market capitalization rate of 15% per year. Its latest EPS (earnings per share) was $4. The company paid out 25% of its earnings in cash dividend and is expected to maintain this 25% payout ratio in the next four years. The rate of return on new investment is expected to be 20% annually in the next four years. Starting 5 year from now, the firms rate of return on new investment is expected to fall to 15%, and the company is expected to start paying out 60% of its earnings in cash dividend, which it will continue to do forever after.A: What is the intrinsic value per share of Matti?B: suppose that the actual market price of a share is $41.84. By how much would you have to adjust the rate of return on new investment staring from the fifth year to justify this observed price (assuming that other things remain the same)? Answer and explanation questions(本部分每题10分，要求从中选4题应答，如6题都应答，则取得较高分的4题的得分将作为本部分的得分计入总成绩，即本部分的最高分为40分，多答不扣分)1. What is (are) the main difference(s) between an active portfolio strategy and a passive portfolio strategy? How would you apply the CAPM to a passive portfolio strategy? (you might use figures for assistance)2. Empirical evidence has shown that the CAPM model did not seem to fit the real world financial data well enough. What might be the potential explanations?3. What might be the moral hazard problem between shareholders and creditors in a firm with significant amounts of debt? Give one example.4. What might be the agency costs in a firms capital structure decision? Who bear these costs? Why? 5. In general, there are three ways of transferring risk to others: hedging, insuring, and diversify