3. Calculation questions (2 points for each small question, ***4 points)

1. The regression results of two (excess return) index models of stock A and stock B are as follows. During this period, the risk-free interest rate is 6% and the average market return rate is 14%. The excess return of the project is measured by exponential regression model.

Stock A

Stock B

Exponential regression model estimates

1%+1.2 (RM-RF)

2%+.8 (RM-RF)

R. Sigma (e)

1.3%

19.1%

Standard deviation of excess reserve

21.6%

24.9%

(1) Calculate the & Alpha, information ratio, Sharp measure, Tereno measure

(2) Which stock is the best for investors to choose in the following situations:

i. This is the only risky asset held by investors

ii. This stock will be combined with other bond assets of investors and is an independent component of the current market index fund

.

2. A company is considering acquiring another company, which is a horizontal merger (assuming that the target company and the acquiring company have the same risk level). The ratio of debt to equity market value of the target company is 1:1, and the annual EBIT is 5 million yuan. The ratio of debt to equity market value of the acquired company is 3:7. Assume that the capital structure remains unchanged after the acquisition company acquires the target company. The risk-free interest rate is 5%, the market risk premium is 8%, and the equity beta of the acquired company is 1.5. The corporate income tax is 3%, assuming that all debts are risk-free, both companies are zero-growth companies. Please make the following calculations according to the MM theory with tax:

(1) What is the capital cost of debt and equity of the target company?

(2) What is the debt value and equity value of the target company?

(3) How much should the high price paid by the acquisition company not be higher?

IV. Short answer questions (1 points for each small question, 2 points for * * *)

1. Basic functions of the financial futures market.

2. What are the automatic balance mechanisms of the open economy in operation?

V. Thesis (***45 points)

1. What is currency internationalization? Please analyze how to combine interest rate marketization, free convertibility of capital account and internationalization of RMB. (***2 points)

2. What will happen to the Phillips curve when people's expectations are considered? What is the policy significance of this change? (***25 points)

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