10. First Century Bank wants to earn an effective annual return on its consumer loans of 10 percent per year. The bank uses daily compounding on its loans. By law, what interest rate is the bank required to report to potential borrowers?
(A) 9.38%
(B) 9.53%
(C) 9.72%
(D) 10.00%

11. A Treasury bond is quoted at a price of 101:14 with a current yield of 7.236 percent. What is the coupon rate? (A) 7.20 percent (B) 7.28 percent (C) 7.30 percent (D) 7.34 percent

12. The variance of stock X’s return is 16%, the variance of market return is 6.25%, the correlation coefficient of return on stock X and market is 0.6, and according to CAPM, the beta of stock X is: (A) 0.88 (B) 0.96 (C) 1.0 (D) 1.2 共 3 頁，第 1 頁 Questions (13) ~ (16) Suppose that in the coming year, you expect Exxon-Mobil stock to have a volatility of 42% and a beta of 0.9, and Merck's stock to have a volatility of 24% and a beta of 1.1. The risk free interest rate is 4% and the market's expected return is 12%.

13. Which stock has the highest total risk? (A) Merck since it has a lower volatility (B) Merck since it has a higher Beta (C) Exxon-Mobil since it has a higher volatility (D) Exxon-Mobil since it has a lower beta

14. Which stock has the highest systematic risk? (A) Merck since it has a higher Beta (B) Exxon-Mobil since it has a lower beta (C) Exxon-Mobil since it has a higher volatility (D) Merck since it has a lower volatility

15. The optimal portfolio selection under the equilibrium of capital market is (A) The tangent point of the indifference curve and the efficient frontier (B) The tangent point of the CML and the indifference curve (C) The tangent point of the CML and the original efficient frontier (D) None of the above

16. The cost of capital for a project with the same beta as Exxon Mobil's stock is closest to: (A) 11.6% (B) 11.2% (C) 12.8% (D) 7.6%

17. Which of the following is NOT Sharpe ratio? (A) the measure of reward-to-volatility provided by a portfolio (B) the optimal portfolio will have the highest Sharpe ratio (C) it is the slope of the security market line (D) the tangent portfolio will have the highest Sharpe ratio

18. Which of the following is consistent with the portfolios on the Efficient Frontier? (A) Minimum risk is subject to fixed return. (B) Mean-Variance approach. (C) Maximum return is subject to fixed risk. (D) All of the above.

19. Which of the following statements is FALSE? (A) Securities that tend to move more than the market have betas lower than 0. (B) Securities whose returns tend to move in tandem with the market on average have a beta of 1. (C) Beta corresponds to the slope of the best fitting line in the plot of the securities excess returns versus the market excess return. (D) The statistical technique that identifies the bets-fitting line through a set of points is called linear regression.

20. There are two firms with different capital structure: one is levered and the other is unlevered. According to the MM irrelevant proposition, (A) The value of two firms is equal. (B) The cost of capital of levered equity increases with the firm’s debt-equity ratio increases. (C) The WACC is still constant. (D) All of the above.

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