廈門大學(xué)《廈門大學(xué)《公司財(cái)務(wù) 學(xué) 年 專主考教師 （ASECTIONA:MultipleChoice(50Thecorrelationofthereturnsofarisk- treasurybondwiththereturnsofthegeneralstockmarketwillbeequaltoequalto-equaltobetween-1.0and+1.0,dependingontheyield-to-maturityoftheTreasuryWhichofthefollowingstatementsabouttheuseofhistoricaldataisCorrelationsandriskmeasurestendtobefairlystableand,therefore,pastdatacanbeassumedtoreasonablyrepresentthefuture.Historicalaveragereturnsaregoodpredictorsofthefuture,buttherateofreturninanygivenyearshouldnotbereliedontopredictthefuture.Inordertoexaminereturnpatterns,aminimumof20-30yearsofdataisAlloftheabovestatementsareWhichofthefollowingisnotadeterminantoftheriskofatheamountofmoneyinvestedineachassetinthethedegreetowhichthereturnsoftheassetsintheportfoliomovetheexpectedreturnsontheindividualassetsinthethenumberofassetsintheSecurityAisexpectedtoreturn12%accordingtoCAPM.SecurityBisexpectedtoreturn15%accordingtotheCAPM.Whichofthefollowingis(are)true?SecurityBisabetterinvestmentthanSecurityAsinceitoffersahigherSecurityAmusthaveahigherdegreeoftotalriskthanSecuritySecurityBmusthaveahigherdegreeofmarketriskthanSecurityBothAandCareTheslopeoftheSecurityMarketLine(SML)isindicativethecurrent,relevantrisk-thelevelofinvestorrisktheriskoftheindividualsecurityorportfolioofsecuritiesbeingthecurrentlevelofThemostdifficultCAPMinputstoestimatethemarketbetaofthetherisk-interesttheequitythestandardAllelsebeingequal,whichofthefollowingbondswouldyouexpecttosellforthehighest B)A+C)BB+ D)BBBWhichbondwouldmostlikelypossessthehighestdegreeofinterestrate8%couponrate,10yearsto10%couponrate,10yearsto8%couponrate,20yearsto10%couponrate,20yearstoAllelseequal,whichofthefollowingbondswouldbeexpectedtosellforthelowestputable B)convertibleC)callable D) lizedstraightAfirmshoulduseasmuchnon-financialliabilityfinancingasitcan,thereisanoperationallinkagearbitrageurscaneasilyandquicklyundochoicesthatareitsrisk-adjustedcostofcapitalisbelowthatofothersourcesofNoneoftheaboveistrue;afirmshouldtrytolimittheamountofnon-financialliabilityfinancingituses.“Survivorshipbias”referstothefacttheinvestmentsindustryishigh-stress,andfewinvestmentmanagerslastmorethan10-15poorerperformingmutualfundsdisappear,sothatwhenaveragereturnsarecalculated,theyarebasedonthefundsthatremain,whichcausestheresultstobeupward-biased.itismorelikelythata willremaininexistenceifithasalargebankrolltosupportitthrougheconomicdownturns.thoseystswhomanageto ehighlyvisible,e.g.gettinginterviewedontalkshows,aremorelikelytosurviveandthriveintheindustry.Whichofthefollowingstatementsis(are)trueaboutriskTheeffectiverisk-aversionofagroupofinvestorsislessthantheriskaversionofanysingleRisk-averseinvestorsshouldacceptonlyfairRisk-averseinvestorswouldbeindifferentbetweeninvestinginarisk-investmentthatwillearn4%orariskyassetthathasa50%chanceofearning8%anda50%chanceofreturning0%.BothAandBareIfthecorrelationofthereturnsoftwoassetsis100%,ifoneasset’sreturnincreasesby10%,theotherasset’sreturnwillalsoincreasebyexactlyifoneasset’sreturnincreasesby10%,theotherasset’sreturnwillusually,butnotalways,alsoincrease.ifoneasset’sreturnincreasesby10%,theotherasset’sreturnwillalsoincrease,butnotnecessarilyby10%.ifoneasset’sreturnincreasesby10%,theotherasset’sreturnwilldecreasebyexactlyWhichofthefollowingstatementsaboutmergersisMostmergersresultinaddedvaluebecausetheresultantfirmismorediversifiedthantheindividualfirmswerebeforethemerger.Amergerwilladdvalueonlyifsynergiesexist,whichiswhymostmergerstakeWhendecidingonamerger,theacquiringfirmshoulduseitsowncostofcapitaltoevaluatethevalueoftheacquisition.NoneoftheaboveisatrueWhichofthefollowingstatementsabout“realoptions”isTheexistenceofarealoptioncanlowerthecostofcapitalassociatedwithaTheexistenceofarealoptionmaychangethemagnitude,butnottheuncertainty,underlyingexpectedfuturecashflowsfromtheproject.TheexistenceofarealoptionmayeitherincreaseordecreasethevalueoftheRealoptionsareveryrareinWhichofthefollowingstatementsisBondcovenantsservetoprotectbondholdersattheexpenseoffirmAlthoughbondcovenantsmayservetoizefirmvalue,theydestroyshareholderBondcovenantscanservetoizefirmvalue,whichmeansshareholdervalueisalsoNoneoftheaboveisatrueTheadvantageoftheadjustedpresentvaluevaluationmethodisitmakesiteasiertodeterminehowanextradollarofdebtwillincreasefirmvaluethandotheothertwomethods.itmakesiteasiertodeterminehowatargetratiochangeincapitalstructurewillaffectthefirmvaluethandotheothertwomethods.itmakesitlesslikelythatyouwilluseanincorrectexpectedcashflowinyourcalculationthandotheothertwomethods.itmakesiteasiertodeterminehowanextrapercentageindebtwillincreasefirmvaluethandotheothertwomethods.WhichofthefollowingstatementsregardingcapitalstructuredecisionsinaworldwithtaxesisFirmswithhighermarginaltaxrateswillnotreceiveasmuchbenefitfromusingdebtasfirmswithlowermarginaltaxrates.Evenifthesameamountofinvestmentdollarsisrequired,oneprojectmayofferahighertaxshelterthananotherproject.Eveninaworldwithtaxes,theinvestmentandfinancingdecisionscanremainNoneoftheaboveisatrueWhichofthefollowingstatementsistrueinaperfectM&MThevalueofafirmisindependentofitscashflowrights,butnotofitscontrolLeveredequityisriskierthanfullownershipofthefirm,andfullownershipofafirmisriskierthanthedebtofafirm.Theleveredequityofafirmwillnormallyofferalowerexpectedreturnthanfullownershipofafirm.ThevalueofafirmisindependentofbothitscashflowanditscontrolThecostofdebtforafirmequaltotheinterestratequotedbytheequaltotheexpectedrateofreturnontheequaltothepromisedrateofreturnontheAlloftheabovecouldbetrue;itdependsonseveralAbond’spromisedrateofreturnwilllessthanitsexpectedrateofreturn,butgreaterthantheexpectedreturnonlessthanorequaltoitsexpectedrateofreturn,butgreaterthantheexpectedreturngreaterthanorequaltoitsexpectedrateofgreaterthanorequaltothefirm’soverallweightedaveragecostofInModiglianiandMiller’sperfectcapitalstructurecanonlyaffectthevalueofafirmifpoorcontrolarrangementsexistwithinthatstructure.managersshoulddecideonhowaninvestmentwillbefinancedpriortodecidingwhethertoundertakethatinvestment.badcapitalstructureswillcreatearbitrageopportunitiesandwillthereforebeimmedia BothAandBaretrueIfafirmcanbethoughtofasatubofwholemilkthatafarmercanseparateintocreamandskimmilk,theskimmilkwouldrepresentthefirmasifitwereallequitydebtoftheleveredequityoftheex-postfirmWhichofthefollowingstatementsisThemarketportfoliocontainsmoreofthesmalleststocksandlessofthelargerForthemarketportfolio,theinvestmentineachsecurityisproportionaltoitsmarketBecausethemarketportfolioisdefinedasthetotalsupplyofsecurities,theproportionsshouldcorrespondexactlytotheproportionofthetotalmarketthateachsecurityrepresents.MarketcapitalizationisthetotalmarketvalueoftheoutstandingsharesofaWhichofthefollowingstatementsisThetangentportfolioisefficientandthat,onceweincludetherisk-investment,allefficientportfoliosarecombinationsoftherisk-investmentandthetangentportfolio.Theoptimalportfolioofriskyinvestmentsdependsonhowconservativeoraggressivetheinvestoris.Bycombiningtheefficientportfoliowiththerisk-investment,aninvestorwillearnthehighestpossibleexpectedreturnforanylevelofvolatilityherorsheiswillingtobear.Theefficientportfolioisthetangentportfolio,theportfoliowiththehighestSharperatiointheeconomy.SECTIONB(30Note:ThereareTHREEquestionsinthissectionandyouareexpectedtochooseTWOquestionstoanswer.Assumeyouboughta$400,000house,usingan80%interest-onlymortgage.TransactionCostsassociatedwiththepurchaseamountedto$4,000.Youestimateanetbenefitof$2,000permonthfromowningthehome(e.g.,theenjoymentofhomeownershipandthetaxdeductibilityoftheinterestexpenselessthecashoutflowsassociatedwiththemortgagepayments,propertytaxes,etc.)Attheendofayear,youreceiveajobtransferandaredtosellyourhome.Unfortunay,youremployerdoesn’tprovideanyaidinthismatter,andmarketvalueshavedeclined.Therealestatecommissionis6%andothertransactioncostsassociatedwiththesaleamountedtoabout1%ofthesellingpriceof$375,000.Assumetheappropriatecostofcapitaltouseis8%ayear.WhatisyourNPVonyourinvestment?[Total15Goingtoyourschoolhasatotaladditionalandopportunitycostsof$30,000thisyearandupfront.With90%probability,youarelikelytograduatefromyourschool.Ifyoudonotgraduate,youhavelosttheentiresum.Graduatingfromtheschoolwillincreaseyour40-yearlifetimeannualsalarybyroughly$5,000peryear,butmoresowhenthestockmarketrateofreturnishigherthanitisnow.Forargument’ssake,assumethatyour ebetais1.5,therisk-rateis3%,andtheequitypremiumis5%.Whatisthevalueofyour[Total15Consider followingMarket-Asset--Asset--ComputethemarketbetasforassetsXandComputethecorrelationsofassetsXandYwithAssumethatyouwereholdingonlyM.Younowaresellingoff10%ofyourportfoliotoreceitwith10%ofeitherXorY.WouldanMXportfoliooranMYportfolioberiskier?Isthecorrelationindicativeofwhichofthesetwoportfoliosendedupriskier?Isthemarketbetaindicative?[Total15SECTIONC(20Note:ThereareFIVEquestionsinthissectionandyouareexpectedtochooseTWOquestionstoanswer.Asabelieverinefficientmarkets,whatwouldyoulikelyanswerwhenhereticsclaimthattheycanrejectmarketefficiencybecausetheyhavefoundassetsthatpaytoomuchfortheirrisk?[Total10Iftheyneedcashfromabondinvestmentin20years,doesaprevailinginterestrateincreasecauseo