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

1. 請您用中文翻譯下段文字(摘錄自全球第 1 名的財金學術期刊之文獻：Starks, L. T., 2023, Presidential Address: Sustainable Finance and ESG Issues—Value versus Values. The Journal of Finance, 78(4), 1837-1872.) (此文作者 Starks, L. T.為美國財務學會理事長)：(本題 10 分)
While sustainable finance has been drawing increased attention from institutional and retail investors, regulators, politicians, corporate leaders, and employees, alike, there is no clear consensus on the meaning of sustainable finance or the acronyms(縮寫) associated with it—ESG(environmental, social, and governance), SRI (socially or sustainably responsible investing), and CSR(corporate social responsibility). The lack of clarity on the meaning of these terms leads to misunderstandings about how they affect investors, corporations, and asset markets, which can make it difficult to interpret evidence on investment behavior and to design related regulations.

(1) 為何 \( X \) 要乘 \( e^{-r(T-t)} \) ，而 \( S_{t} \) 不用乘 \( e^{-r(T-t)} \) ?

(2) \( \mathrm{N}(0) = ? \)

(3) 若 \( S_{t} \) 越高，则 \( c_{t} \) 越高或越低或不變或不一定？

(4) 若 \( X \) 越高，则 \( c_{t} \) 越高或越低或不變或不一定？

(5) 若 \( (\mathrm{T} - \mathrm{t}) \) 越長，則 \( c_{t} \) 越高或越低或不變或不一定？

(1) 流動比率(%)

(2) 營運資金(百萬元)

(3) 利息保障倍數(倍)

(4) 長期資金適合度(%)

(5) 營業週期(天)

(6) 資產周轉次數

(7) 股東權益報酬率(%)

(8) 稅後淨利率(%)

(9) 每股帳面價值(元)

(10) 本益比

(1) A公司經由利率交換獲得的好處為何？(單位bps)(3分)

(2) B公司經由利率交換獲得的好處為何？(單位bps)(3分)

(3) 金融機構執行此利率交換獲得的好處為何？(單位bps)(3分)

(4) 請問金融交換各方之交易利潤之和為零？(1分)

(1) If the discount rate is \( 7\% \), what is the PV of these future salary payments? (4分)

(2) If Mike saves \( 5\% \) of his salary each year and invests these savings at the interest rate of \( 4\% \), how much will he have saved by age 50? (4分)

(3) If Mike plans to spend these savings in even amount over the subsequent 20 years, how much can he spend each year? (4分)

(1) 請問兩檔股票的 \( \beta \) 值為何？(5分)

(2) 當市場報酬為 \( 5\% \) 或 \( 20\% \) 的機率相等，且國庫券利率水準為 \( 8\% \) 時，兩支股票的預期報酬率分別為何？(5分)

7. Heath食品公司債券還有7年到期，它的面額為1,000元，到期收益率是 \( 8\% \) ，每年付息一次，票面利率為 \( 9\% \) ，則它的當期收益率是多少？(8分)

8. 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)

9. 請分別敘述何謂強式、半強式與弱式效率市場並且說明如何檢驗強式、半強式與弱式效率市場？(10分)