110年 - 110 國立臺灣大學_碩士班招生考試_財務金融研究所甲組:財務管理#105783

選擇題 (13)

1.Which of the following statements is false regarding the investment decision rules? (A) The internal rate of return (IRR) rule works for a stand-alone project if all of the project's negative cash flows precede its positive cash flows. (B) There are situations in which IRRs do not exist. (C)If a change in the timing of the cash flows does not affect the net present value (NPV), then the change in timing will not impact the IRR. (D)The incremental IRR tells us the discount rate at which it becomes profitable to switch from one project to the other. (E)Problems arise using the IRR rule when the mutually exclusive investments have different scales.

2. ABC Corp. is planning on investing in a new project. The new project will involve the purchase of some new machinery costing S450,000, and ABC Corp, expects its cash inflows as follows.
The discount rate for this project is 12%. The profitability index for the new project is closest to: (A)0.85 (B)2.22 (C) 0.88 (D) 0.65 (E)1.22

3. Suppose that XY2 Corp. is currently an unlevered firm with 12% cost of equity. XYZ Corp. is considering borrowing funds at a cost of 6% and using these funds to repurchase existing stocks. Assuming perfect capital markets, if XYZ Corp. borrows until it achieves a debt-to-asset ratio of 40%, then what is its levered cost of equity? (A)15.6% (B)9.6% (C) 12.0%(D)14.4% (E)16.0%

4. Assuming that the corporate tax rate is 40%, the personal tax rate on income from equity is 20% and that on interest income is 30%. The effective tax advantage of debt is closest to: (A)31.43% (B)26.67% (C) 33.33% (D) 40.00% (E)14.29%

5. Which of the following statements is false regarding the corporate payout policy? (A)Because long-term investors can defer the capital gains tax until they sell, there is a tax advantage for share repurchases over dividends. (B) Managers are much Iess committed to dividend payments than to share repurchases. (C) The dividend-capture theory states that in absence of transaction costs, investors can trade shares at the time of the dividend so that non-taxed investors receive the dividend. (D)Differences in tax preferences create clientele effects, in which the dividend policy of a firm is optimized for the tax preference of its investor clientelc. (E)While many investors have a tax preference for share repurchases rather than dividends, the strength of that preference depends on the difference between the dividend tax rate and the capital gain tax rate that they face.

複選題
1. Professor Samuel considers investments in bond market as a major part of the endowment operation. Which of following one(s) is a security in bond market? (A) T-bill (B) Municipal bonds (C) Accounting receivable (D) Corporate bond (E) Treasure notes

2. Professor Samuel wishes to avoid a bias of investment that means that investors are too slow in updating their beliefs in response to evidence. This bias could be known as ________bias? (A) conservatism (B) regret avoidance (C) overconfidence (D) framing (E) anchoring

複選題
3. As the second category of investment, Professor Samuel considers stocks with low P/E ratios, which generally indicate that the companies tend to ________，ceteris paribus. (A) grow quickly (B) grow slowly (C) be undervalued (D) be overvalued (E) has high price risk

複選題
4. Considering a constant growth model of stock valuation, & is the discount rate, b is the retention ratio, g is the growth rate, then P/E ratio is (A) Present value to earnings ratio (B) Price to earnings ratio (C) a ratio of b/(k-g) (D) a ratio of (1-b)＞/(k-g) (E) equal to 17.14 if k= 12.5%, 6-60%, and g=9%.

複選題
5. Professor Samue! wants to know more about equity valuation. In a standard stock valuation model, the price of a stock should be a direct function of________ (A) cash dividend payout ratio (B) stock dividend payout ratio (C) discount rate (D) earnings (E) book liability

複選題
6. Professor Samuel hopes the capital market is an efficient capital market. Which of following(s) is a correct statement of the efficient market hypothesis (EMH). (A) EMH implies that uninformed investors cannot earn positive return in the capital market (B) EMH implies that uninformed investors can earn positive abnormal retum in the capital market (C) The assu umed information set of a strong form of EMH is larger that of a weak form of EMH. (D) The assumed information set of a semi-strong form of EMH is larger that of a weak form of EMH. (E) Semi-strong forn of EMH implies that a randomn selected portfolio earns statistically similar retums as a professional managed fund, where the fund managers do not have inside information.

複選題

7. As the third category of investment, Professor Samuel considers mutual fund investment. If a mutual fund, which is also a portfolio p consists of N stocks {x1, .... XN}, with equal weights and heterogeneous returns {r,..,r_N). Its variance could (A) be smaller when N is larger (B) is a quadratic fomm of average of variances of ri to rv. (C) converge to zero when N approaches infinite (D) converge to the average of covariances between r_i and r_j (i≠j)when N approaches the infinite (E) is appropriately equal to unsystematic risk when N approaches the infinite

複選題
8. Which of following(s) is potential mutual fund expense that Professor Samuel could pay to the mutual fund company? (A) Front-end load (B) Back-end load (C) 12b-1 fees (D) Fund manager's compensation (E) Management fees

申論題 (7)

1. In a highly levered firm with risky debt, shareholders (firm management) may make decisions which lead to the agency costs of leverage. Briefly discuss one of the possible decisions shareholders make to exploitdebtholders.(十分,答案以六行為限,否則不予計分)

2.The underpricing of initial public offering (IPO) stocks is one of the well-kno financial economists document in corporate finance. Define IPO underpricing and brietly discuss the own empirical puzzle possible reason(s) for such phenomenon.(十分,答案以六行為限,否則不予計分)

3.Explain (also with graph) that the equity of a firm can be viewed as a call option.(五分,答案以四行為限,否則不予計分,繪圖不在此限)

a. Draw Security Market Line (SML). [2%]

b. Draw another SML on the same graph to reflect an RFR of 9% and an RM of 17%. [3%]

a. Please compute abnormal return, and state whether this investment strategy can earn abnormal return [2%]

b. Does this stock portfolio on averagely include low P/E stocks? Why or why not? [3%]

110年 - 110 國立臺灣大學_碩士班招生考試_財務金融研究所甲組:財務管理#105783

試卷資訊

選擇題 (13)

申論題 (7)