1. 說明二項資金分離理論並說明其與資本市場線的關係(8分)

2. 請說明 Fama 提出的三種效率市場並且各自提出一種市場異常現象反駁效率市場假說(7分)

3. (1) 敘述「代理問題 (Agency Problems)」之意義。(4分)

(2) 「代理問題」會引發哪些成本？(4分)

4. 請說明如何形成效率前沿並且從而形成資本市場線(7分)

5. Epsilon Corp. is evaluating an expansion of its business. The cash-flow forecasts for the project are as follows: | Years | Cash Flow ($ millions) | | --- | --- | | 0 | -200 | | 1-10 | +50 | The firm's existing assets have a beta of 1.2. The risk-free interest rate is 4% and the expected return on the market portfolio is 12%. What is the project's NPV? (8分)

6. Consider a three-factor APT model. The factors and associated risk premiums are | Factor | Risk premium | | --- | --- | | Change in GDP | 8% | | Change in energy prices | -4% | | Change in long term interest rates | 5% | Calculate expected rates of return on the following stocks. The risk-free interest rate is 6%. (12分) (1) A stock whose return is uncorrelated with all three factors.

(2) A stock with average exposure to each factor (i.e., with b=1 for each).

(3) A pure-play energy stock with high exposure to the energy factor ( b =2) but zero exposure to the other two factors.

(4) An aluminum company stock with average sensitivity to changes in interest rates and GDP, but negative exposure of b = -1.6 to the energy factor. (The aluminum company is energy-intensive and suffers when energy prices rise.)

7. 2015 年聯合國 195 個成員國於氣候高峰會中通過的「巴黎協定」(Paris Agreement)，且金融穩定協會(Financial Stability Board)也制訂氣候攸關之財務風險揭露準則(Task Force on Climate-related Financial Disclosures, TCFD)。碳排放是導致氣候變遷的關鍵因素，我國金管會順應國際趨勢，於 2022 年頒布聚焦於碳排放盤查之「上市櫃公司永續發展路徑圖」，同時於 2023 年推動「永續投資生態圖」，希望擁有龐大資金的金融機構落實永續投資(Sustainable Investment)，促進我國企業及環境之永續發展。學術上發現金融機構的確能藉由永續投資促使企業減少碳排放。例如刊登於全球第 2 名財務學術期刊(Journal Financial Economics, JFE)的文 Azar, Duro, Kadach, and Ormazabal (2021)- The Big Three and corporate carbon emissions around the world. 即提供了強而穩健的證據。此文摘要為：「This paper examines the role of the "Big Three" (i.e.,BlackRock, Vanguard, and State Street Global Advisors) on the reduction of corporate carbon emissions around the world. Using novel data on engagements of the Big Three with individual firms, we find evidence that the Big Three focus their engagement effort on large firms with high CO₂ emissions in which these investors hold a significant stake. Consistent with this engagement influence being effective, we observe a strong and robust negative association between Big Three ownership and subsequent carbon emissions among MSCI index constituents, a pattern that becomes stronger in the later years of the sample period as the three institutions publicly commit to tackle Environmental, Social, and Governance (ESG) issues.」請以中文翻譯上述摘要。(10分)

115年 - 115 國立臺北大學_碩士班一般入學考試試題_金融與合作經營學系：財務管理#146899

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114年 - [無官方正解]114 國立嘉義大學_碩士班招生考試試題_財務金融學系：財務管理#144011

113年 - 113 國立臺北大學_碩士班一般入學考試試題_金融與合作經營學系：財務管理#146935

113年 - [無官方正解]113 國立嘉義大學_碩士班招生考試試題_財務金融學系：財務管理#144362

112年 - 112 國立臺北大學_碩士班一般入學考試試題_金融與合作經營學系：財務管理#146942

112年 - 112 國立嘉義大學_碩士班招生考試試題_財務金融學系：財務管理#144103

111年 - 111 國立臺北大學_碩士班一般入學考試試題_金融與合作經營學系：財務管理#146934

111年 - [無官方正解]111 國立嘉義大學_碩士班招生考試試題_財務金融學系/工程用計算機：財務管理#145445

110年 - [無官方正解]110 國立嘉義大學_碩士班招生考試試題_財務金融學系/工程用計算機：財務管理#145496