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 台湾大学博士班入学考试试题 (转贴) -- 借本试题做海归黄埔军校入学考试, 高人大比武现在开始! |
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安普若
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加入时间: 2004/02/21
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来自: 中国美国的飞机上
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作者：安普若 在 海归黄埔军校 发贴, 来自【海归网】 http://www.haiguinet.com
国立台湾大学八十七学年度博士班入学考试试题
科目：财务管理
1. 财务管理所谓的「代理人问题」(Agency problem)约可分为那两类？试分别说明：
(a) 成因(20%)
(b) 可能解决之道(20%)
(c) 公司理财常同时发放现金股利及进行权益融资。此种看似矛盾的现象有学者指出可用「代理人问题」解释。试说明其要点(10%)
(第1.题请在试卷纸上单页范围内作答)
2. Levered, Inc., and Unlevered, Inc., are identical companies with identical business risk. Their earnings are perfectly correlated. Each company is expected to earn $96 million per year in perpetuity, and each company distributes all its earnings. Levered's debt has a market value of $275 million and provides a return of 8 percent. Levered's stock sells for $100 per share and there are 4.5 millioi,. outstandin- shares. Unlevered has only 10 million outstanding shares worth $80 each. Unlevered has no debt. There are no taxes. Which stock is a better investment? Explain. Can you find any arbitrage opportunity? (20 points)
3. You are designing and marketing a call option on the TSMC stock with three months to expire. The underlying stock pays no dividends in the next three months and its current price is 110 NT dollars per share. You believe that it has 50% chance of increasing to 120 NT dollars and 50% chance of decreasing to 100 NT dollars. The risk-free interest rate is 2% for three months. Suppose you plan to market this option with the exercise price set at 110 NT dollars.
(a) What would be the fair price for this call option? Describe the specific steps you use.
(b) As you change the exercise price to suite different customers, how would you price this option differently?
(c) A new report makes you believe that the TSMC stock price has 80% chance of decreasing to 100 NT dollars and only 20% chance
(30 points)
作者：安普若 在 海归黄埔军校 发贴, 来自【海归网】 http://www.haiguinet.com
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 台湾大学博士班入学考试试题 (转贴) -- 借本试题做海归黄埔军校入学考试, 高人大比武现在开始! -- 安普若 - (3376 Byte) 2003-9-28 周日, 11:57 (1674 reads)
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