国际商学院2010-2011学年度第二学期《金融学》期末考试试卷(A)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)pany X has a beta of 1.5. The risk-free interest rate is 6% per annum; and theexpected market premium is 10% per annum. What is Company X’s cost of equity?A: 9%; B: 12%; C: 15%; D: 21%.2.If the intrinsic value of a share of common stock is more than its market value,which of the followings is the most reasonable conclusion?A: The stock has a low level of riskB: The stock offers a high dividend payout ratio.C: The market is undervaluing the stock.D: The market value is always more than the intrinsic value.3.Which of the following statements on efficient market hypothesis is true:A: If a market is weak-form efficient, it must be semi-strong form efficient.B: If a market is semi-strong-form efficient, it must be weak-form efficient.C: If a market is strong-form inefficient, it must be semi-strong-form inefficient D: If a market is strong-form efficient, it could be semi-strong-form inefficient. 4.Which of the followings is a way of avoiding losses through hedging?A: Purchase a put option on a stock you do own.B: Lease a car with the option to purchase it in three years.C: Enter into a swap contract to exchange fixed exchange interest payments forfloating-rate payment because you have floating-rate assets.D: pay a reservation fee to insure that you can purchase a flight ticket for not more than $200.5.Which of the flowing features of insurance contracts is to create incentives forinsured parties to control small loss, but not large loss?A: exclusions; B: copayments; C: caps; D: deductibles.6.In a company with dispersed ownership, shares of the company are owned bymany small investors, each shareholder may not have the incentive to monitor management, because the cost of monitoring exceeds the benefit from monitoring.This is calledA: the free-rider problem; B: the free cash flow problem;D: the moral hazard problem; D: the adverse selection problem.Calculation questions (本部分每题12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48分，多答不扣分)Group I:1.Mia Company and Satu Company are identical, differing only in their capitalstructures. Mia is an unlevered firm issuing only stocks whereas Satu issues stocks and bonds. Each firm has an annual EBIT of $15 million forever. There is not tax for either company. Mia pays out all its yearly earnings in the form of dividends and has 1 million shares outstanding. Its market capitalization rate is 12%. Satu is identical except that 40% of its market value is in bonds and has 500,000 shares outstanding. Satu’s bonds are default-free perpetuity bonds with a coupon rate of 10% per year. The risk-free interest rate is 10%.A: What is the value per share of Mia and Satu, respectively?B: If the market price of Satu’s stocks is $160 per share, is there an arbitrage opportunity? If there is an arbitrage opportunity, how would you take advantage of such opportunity? (show your detailed arbitraging strategy)2.You are considering the purchase of an apartment with a total price of $1 million.A bank offers you a 30-year mortgage for 70% of the total price of the apartmentwith equal installment payment at the end of each month. The nominal (stated) annual interest rate is 7.2%.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 ten year from now? (Note: please show the calculation detail)B: If you can afford to pay $6,000 per month, how many years would it take to pay off the loan?3.You are evaluating a new project for your firm. The project requires cashinvestment of $1.1 million at the start, and a $100,000 maintaining fee each year during the project’s life. After-tax cash inflows of $400,000, $600,000, $600,000, 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 zero 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?4.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 $50,000 per year during your working years, and you intend to maintain a constant level of real consumption spending over the next 60 years. 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 30?5.Suppose that the term structure of riskless interest rates is as flows:A: What should be the market price of a 3-year 6% riskless coupon bond with annual coupon payment and $1,000 face value?B: A 3-year 10% coupon bond (with annual coupon and $1,000 face value) issued by Sami Company is rated BAA, and is currently trading at a market price of $992.Aside from its risk of default, the Sami bond has not other financially significant features. How much should an investor be willing to pay for a guarantee against Sami’s defaulting on this bond? (Hind: with the guarantee, the investor can be assured of getting his promised coupon and principal.)6.The Matti Company is an all-equity financed firm with a market capitalization rateof 10% per year. Its latest EPS (earnings per share) was $5. The company paid out 20% of its earnings in cash dividend and is expected to maintain this 20% payout ratio in the next five years. The rate of return on new investment is expected to be 15% annually in the next five years. Starting 6 year from now, the firm’s rate of return on new investment is expected to fall to 10%, and the company is expected to start paying out 50% 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: What is the market price per share of Matti one year from now (assuming its market price is equal to its intrinsic value)?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 the efficient portfolio frontier in portfolio selection? How to construct theoptimal portfolio (the best risk-reward trade-off line) with many risky assets and the riskless asset? (you might use figures for assistance)2.What is the market portfolio? Why is the market portfolio the optimalcombination of risky assets when the market is in equilibrium?3.Why might debt be used to alleviate the free cash flow problem betweenmanagement and shareholders?4.What is an indexing investment strategy? What is the main logic behind indexing?What are the advantages of indexing investment as compared to active investment?5.Should the average required rate of return be higher or lower in economicexpansion period than that in economic recession period? Why?6.In general, there are two kinds of arbitrage strategies, what are they? Give oneexample for each strategy.。
