金融学试题A卷

国际商学院2010-2011学年度第二学期《金融学》期末考试一试卷(A)《中山大学授与学士学位工作细则》第六条：“考警告试舞弊不授与学士学位。”姓名学号专业成绩SingleChoiceQuestions(2pointsperquestion,12pointmaximum)CompanyXhasabetaof1.5.Therisk-freeinterestrateis6%perannum;andtheexpectedmarketpremiumis10%perannum.WhatisCompanyX’scostofequity?A:9%;B:12%;C:15%;D:21%.2.Iftheintrinsicvalueofashareofcommonstockismorethanitsmarketvalue,whichofthefollowingsisthemostreasonableconclusion?ThestockhasalowlevelofriskThestockoffersahighdividendpayoutratio.Themarketisundervaluingthestock.Themarketvalueisalwaysmorethantheintrinsicvalue.Whichofthefollowingstatementsonefficientmarkethypothesisistrue:Ifamarketisweak-formefficient,itmustbesemi-strongformefficient.Ifamarketissemi-strong-formefficient,itmustbeweak-formefficient.Ifamarketisstrong-forminefficient,itmustbesemi-strong-forminefficientIfamarketisstrong-formefficient,itcouldbesemi-strong-forminefficient.Whichofthefollowingsisawayofavoidinglossesthroughhedging?Purchaseaputoptiononastockyoudoown.Leaseacarwiththeoptiontopurchaseitinthreeyears.Enterintoaswapcontracttoexchangefixedexchangeinterestpaymentsforfloating-ratepaymentbecauseyouhavefloating-rateassets.第1页，共5页D:payareservationfeetoinsurethatyoucanpurchaseaflightticketfornotmorethan$200.Whichoftheflowingfeaturesofinsurancecontractsistocreateincentivesforinsuredpartiestocontrolsmallloss,butnotlargeloss?A:exclusions;B:copayments;C:caps;D:deductibles.Inacompanywithdispersedownership,sharesofthecompanyareownedbymanysmallinvestors,eachshareholdermaynothavetheincentivetomonitormanagement,becausethecostofmonitoringexceedsthebenefitfrommonitoring.ThisiscalledA:thefree-riderproblem;B:thefreecashflowproblem;D:themoralhazardproblem;D:theadverseselectionproblem.Calculationquestions(本部分每题12分，要求从中选4题应答，如6题都应答，则获得较高分的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)GroupI:MiaCompanyandSatuCompanyareidentical,differingonlyintheircapitalstructures.MiaisanunleveredfirmissuingonlystockswhereasSatuissuesstocksandbonds.EachfirmhasanannualEBITof$15millionforever.Thereisnottaxforeithercompany.Miapaysoutallitsyearlyearningsintheformofdividendsandhas1millionsharesoutstanding.Itsmarketcapitalizationrateis12%.Satuisidenticalexceptthat40%ofitsmarketvalueisinbondsandhas500,000sharesoutstanding.Satu’sbondsaredefault-freeperpetuitybondswithacouponrateof10%peryear.Therisk-freeinterestrateis10%.WhatisthevaluepershareofMiaandSatu,respectively?IfthemarketpriceofSatu’sstocksis$160pershare,isthereanarbitrageopportunity?Ifthereisanarbitrageopportunity,howwouldyoutakeadvantageofsuchopportunity?(showyourdetailedarbitragingstrategy)2.Youareconsideringthepurchaseofanapartmentwithatotalpriceof$1million.第2页，共5页Abankoffersyoua30-yearmortgagefor70%ofthetotalpriceoftheapartmentwithequalinstallmentpaymentattheendofeachmonth.Thenominal(stated)annualinterestrateis7.2%.Assumingthatyourmonthlysalaryis$6,000now,andexpectedtogrow5%annually.Whatpercentageisyourmonthlysalarytoyourmonthlymortgagepaymenttenyearfromnow?(Note:pleaseshowthecalculationdetail)Ifyoucanaffordtopay$6,000permonth,howmanyyearswouldittaketopayofftheloan?Youareevaluatinganewprojectforyourfirm.Theprojectrequirescashinvestmentof$1.1millionatthestart,anda$100,000maintainingfeeeachyearduringtheproject’slife.After-taxcashinflowsof$400,000,$600,000,$600,000,and$500,000areexpectedinyear1throughyear4,respectively.Alltheabovecashinflowsandoutflowsareinnominalterm.Afteryear4,theprojectwillbeterminatedwithzerosalvagevalue.Therealrequiredrateofreturnfortheprojectis10%,andtheinflationrateforthenextfouryearisexpectedtobe2%annually.Whatarethepaybackperiod,netpresentvalue,andthenominalinternalrateofreturnoftheproject?Youarecurrently20yearold,planstostarttoworktwoyearfromnow(atage22).Youexpecttoretireatage60andlivetoage80.Yourlaborincomeis$50,000peryearduringyourworkingyears,andyouintendtomaintainaconstantlevelofrealconsumptionspendingoverthenext60years.Assumenottax,nogrowthinrealsalary,andarealinterestrateof3%peryear.Whatisthevalueofyourhumancapitalnow(atage20)?Whatwillbeyourpermanentincomeatage30?Supposethatthetermstructureofrisklessinterestratesisasflows:Maturityyield(peryear)1year5%2year6%3year7%第3页，共5页Whatshouldbethemarketpriceofa3-year6%risklesscouponbondwithannualcouponpaymentand$1,000facevalue?A3-year10%couponbond(withannualcouponand$1,000facevalue)issuedbySamiCompanyisratedBAA,andiscurrentlytradingatamarketpriceof$992.Asidefromitsriskofdefault,theSamibondhasnototherfinanciallysignificantfeatures.HowmuchshouldaninvestorbewillingtopayforaguaranteeagainstSami’sdefaultingonthisbond?(Hind:withtheguarantee,theinvestorcanbeassuredofgettinghispromisedcouponandprincipal.)6.TheMattiCompanyisanall-equityfinancedfirmwithamarketcapitalizationrateof10%peryear.ItslatestEPS(earningspershare)was$5.Thecompanypaidout20%ofitsearningsincashdividendandisexpectedtomaintainthis20%payoutratiointhenextfiveyears.Therateofreturnonnewinvestmentisexpectedtobe15%annuallyinthenextfiveyears.Starting6yearfromnow,thefirm’srateofreturnonnewinvestmentisexpectedtofallto10%,andthecompanyisexpectedtostartpayingout50%ofitsearningsincashdividend,whichitwillcontinuetodoforeverafter.WhatistheintrinsicvaluepershareofMatti?WhatisthemarketpricepershareofMattioneyearfromnow(assumingitsmarketpriceisequaltoitsintrinsicvalue)?Answerandexplanationquestions(本部分每题10分，要求从中选4题应答，如6题都应答，则获得较高分的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)Whatistheefficientportfoliofrontierinportfolioselection?Howtoconstructtheoptimalportfolio(thebestrisk-rewardtrade-offline)withmanyriskyassets