111年 - 111 國立臺北大學_日間學士班轉學生招生考試試題_金融與合作經營學系日間學士班3年級：財務管理#147594

一. A game of chance offers the following odds and payoffs. Each play of the game costs $50, so the net profit per play is the payoff less $50. | Probability | Payoff | Net profit | | --- | --- | --- | | 0.1 | $ 500 | $ 450 | | 0.5 | $ 100 | $ 50 | | 0.4 | $ 0 | $ -50 | What are the expected cash payoff and expected rate of return? (5 分) Calculate the variance and standard deviation of this rate of return? (5 分)

二. A portfolio contains equal investments in 10 stocks. Five have beta of 1.3; the remainder have a beta of 1.6. What is the portfolio beta? (5 分)

三. 請敘述股利政策的 Miller and Modigliani(1961)“股利無關論”(dividend irrelevance theory)與 Lintner and Gorden 的“一鳥在手理論”(bird-in-the-hand theory)與“所得稅差異論”(tax preference theory)。(15 分)

四. 請說明資本結構的抵換理論 (Trade-off theory) 和融資順位理論 (Pecking order Theory) 並說明其差異與假設。(15 分)

五. 請敘述 Fama 所提出的三種不同型式的效率市場並說明其反應何種資訊集合? (10 分)

六. 請說明如何利用證券市場線 (security market line) 證明資本資產定價理論 (CAPM) 為真? (10 分)

七. 請敘述內部報酬率法 (Internal Rate of Return) 的缺陷並詳述修正的方法 (包含公式) (10 分)

八. A bond's rating provides a guide to its price. As we write this in 2009, Aaa bonds yield 5.45% and Baa bonds yield 8.67%. If some bad news causes a 10% five year bond to be unexpectedly downrated from Aaa to Baa, what would be the effect on the bond price? (Assure annual coupons with face value $1,000.) (10 分)

九. 若甲公司於第 0 期所發放的股利為每股$5，前三年股利有超額成長率 30%，之後成長率變為 6%，而在折現率為 16% 的情況下，請問現在股價應為多少? (10 分)

十. 請說明無股利的買賣權平價公式並證明之 (5 分)