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.

21. What is the definition of beta estimation for CAPM in linear regression? (A) All of the below (B) Systematic risk (C) The elasticity for the change of market’s return is relative to the change of the i security’s return. (D) Beta corresponds to the slope of the best-fitting line in the plot of the security’s excess returns versus the market excess return.

22. Bradshaw Manufacturing has just issued 12% bonds and received the net proceeds of $1000. The bonds will mature in 20 years and the firm’s marginal tax rate is 40%. What is the firm’s cost of debt? (A) 12% (B) 7.2% (C) 10% (D) 9.6%

23. Which of the following statements is FALSE? (A) Put-call parity gives the price of a European call option in terms of the price of a European put, the underlying stock, and a zero-coupon bond. (B) For a given strike price, the value of a call option is higher if the current price of the stock is higher, as there is a greater likelihood the option will end up in-the-money. (C) The value of an otherwise identical call option is higher if the strike price the holder must pay to buy the stock is higher. (D) Because a put is the right to sell the stock, puts with a lower strike price are less valuable. 共 3 頁，第 2 頁

24. You pay $3.25 for a call option on Luther Industries that expires in three months with a strike price of $40.00. Three months later, at expiration, Luther Industries is trading at $41.00 per share. Your profit per share on this transaction is closest to: (A) -$1.00 (B) $1.00 (C) -$2.25 (D) $2.25

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