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

1. 請畫出風險愛好者、風險中立者、風險趨避者的效用函數，橫軸為風險，縱軸為期望報酬率。(10分)

(1) If the one-year discount factor is .912, what is the one-year interest rate?

(2) If the two-year interest rate is \( 10.8\% \), what is the two-year discount factor?

(3) Given these one- and two-year discount factors, calculate the two-year annuity factor.

(4) If the PV of $10 a year for three years is $25.65, what is the three-year annuity factor?

(5) From your answers to (3) and (4), calculate the three-year discount factor.

3. 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? (5分)

4. 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)

5. Consider a three-factor APT model. The factors and associated risk premiums are : (5分)

A stock with average exposure of b=1.5 to changes in GNP and long-term interest rates, but negative exposure of b= -2.5 to the energy factor. With the risk-free interest rate is 4%, please calculate expected rate of return on the stock.

6. 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) 

(1)請問上述成果對我們金融系(所)的發展有何助益？(3分)

(2) 請問上述成果對我們金融系(所)的學生有何好處？(3分)

(3) 由於碳排放和氣候變遷有密切關係，碳排放課題日益受各國政府重視。Matsumura 等學者 (2014)發表於頂級學術期刊(Accounting Review)之文章摘要：「Using hand-collected carbon emissions data for 2006 to 2008 that were voluntarily disclosed to the Carbon Disclosure Project by S&P 500 firms. We find that, on average, for every additional thousand metric tons of carbon emissions, firm value decreases by $212,000. We also find that the median value of firms that disclose their carbon emissions is about $2.3 billion higher than that of comparable non-disclosing firms. Our results indicate that the markets penalize all firms for their carbon emissions, but a further penalty is imposed on firms that do not disclose emissions information.」請說明上述摘要之大意 (8 分)

①預期會大漲時比較適合採用何種投資策略？(2分)

②預期會小漲時比較適合採用何種投資策略？(2分)

③預期會小跌時比較適合採用何種投資策略？(2分)

④預期會大跌時比較適合採用何種投資策略？(2分)

(2)政府實施存款保險以保障存款人權益，存款人得到此保障似免費得到一個？(可能答案：買權、期貨、信用交換、賣權、買權+賣權)(2分)

(3) 若 \( S \) 為股價、\( C \) 為買權價格、\( P \) 為賣權價格、存款到期時的金額為 \( K \)，折現率 \( e^{rt} \)。依據上述變數定義寫出Put-Call Parity(2分)

(4) Put-Call Parity 主要原理是運用四種投資理財推導所得，請說明其原理：結合哪兩種理財方式的報酬，會等於結合另兩種理財之報酬。(四種投資理財方式為：買股票、存款、買買權、買賣權)(4分)

(1)造成公司現金流出流入之活動有三類：營業活動、投資活動和？(2分)

(2)哪一報表用於說明資產負債表之期初現金與期末現金差異？(2分)

(3)公司增加舉債可增加股東權益報酬率的條件是？(2分)

(4)公司的淨利可以保留下來與支付(Payout)給股東，請問支付給股東現金的方式主要有兩種包括：發放現金股利和？(2分)

(5)公司之內部資金來源主要有兩種，包括保留盈餘和？(2分)

①台積電這麼大公司，理應可以快收款、慢付款，但其應付帳款天數卻小於應收帳款天數，顯示台積電對自己與對供應商(顧客)的態度是？(2分)

②存貨天數為幾天？(2分)

③淨營業週期(從付現到收現)為幾天？(2分)

④存貨周轉次數？(2分)

⑤應收帳款周轉次數？(2分)