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1 * 50 : ; : (Journalof Finance JF) (Fama1970) ISI JF JF 50 : ; JF 2014 ; ; 50 ; 50 ; 4 (Markowitz1952) (Sharpe1964) 1952) (Markowitz1952) : (Vickrey1961) ; * : :gjysdu@126.comfmqin@sdu.edu.cn : ( ) ( ) 118

2 - - : ( ) - ; ; ( 1984) (Rol1984) 1998) (Odean1998) (Prospecttheory) S ( 1991) (Lee & Ready1991) ; : ; 23% ; (standingorder) 12 (ticktest) ; 85% ; ; 5 ; 5 ; ; 1998) ; (Danieletal1998) 1977) 119

3 MM MM ( (Merton H.Miler1977) 1985) (Merton H.Mileretal1985) (Fisherian) 1977) (Leland & Pyle1977) : (dead-weightcosts) ( 1988) (Titman & Wessels1988) ; ; 1984) (Myers1984) (PeckingOrderTheory) ; : 1988) (Bakeretal1988) 120

4 : 1993) (Frootetal1993) ( 1991) (Harris & Raviv1991) ; ( ; 1993) (Jensen1993) : 1992) (Rajan1992) : : : ( 1994) (Petersen & Rajan1994) 121

5 1997) (LaPortaetal 1997) 49 ( 1995) (Rajan & Zingales1995) 49 ( ) 1999) (La Portaetal1999) : 27 ; ; ( 1997) (Shleifer & Vishny1997) 2002) (LaPortaetal2002) ;

6 2002) (Claessensetal2002) ( ) ( 1961) : ; 8 (Vickrey ) : 500 ( 2003) (Anderson & Reeb ) : 500 : 18% 1964) (Sharpe1964) : (CEO) - CEO (CAPM) ; ; 123

7 CAPM MM ( : 1965) ( 1976) (Lintner1965) (Black & Cox1976) (1964) ; (1974) ; (1964) CAPM ( 1987) (Merton1987) 1968) (Altman1968) 22 / / / / / 94% ( 1987) (Hul& White1987) : 1974) (Merton1974) ; B-S(Black-Scholes) ; ; 124

8 B-S ; 1992) (Chanetal1992) (GMM) IPO ; 1979 ( IPO 1997) (Bakshietal1997) : ( 1968) B-S (Jensen1968) :(1) (marketmodel) (CAPM) ;(2) ;(3) B-S ( ) ; : 1999) (Hong & Stein1999) : : 1970) (Fama1970) : ; (momentumtraders) ; ; ( ) 125

9 ; ( 1989) (Schwert1989) ) (Edward M.Miler1977) (CAPM) IPO ( 1990) IPO ( (Carter & Manaster1990) 1985) IPO (DeBondt& Thaler1985) IPO IPO IPO IPO IPO IPO :I 1991) (Fama1991) ; 1996) (Black1986) 126

10 1993) (Glostenetal1993) GARCH-M :(1) IPO 1991) (Riter1991) ;(3) IPO GARCH-M GARCH-M ; ; ( 1992) (Fama & French1992) 1993) (Engle & Ng1993) ARCH ; EGARCH : ( 1993) ARCH (Jegadeesh & Titman 1993) ( ( ) ( 1994) ) 3 12 ( ) (Lakonishoketal1994) : ;(2)

11 ICAPM APT ( 1995) (Fama & French1995) (Shleifer & Vishny1997) ; ; ( 1995) (Loughran & Riter1995) (Carhart1997) IPO( SEO) IPO 5% ; SEO 5 7% ; 80 ( : 1996) ( 1997) 1997) ( 2002) (Fama & French1996) CAPM (E/P) (Forbes& Rigobon2002) ( ) ;

12 ; MM MM 2014 : : 500 ( 2003) : 1999) 1977) : ( 2002) 4 : ( 1965) : 1988) ( 1991) 1992) ( ) : ; CAPM ICAPM APT ; - : 129

13 ownershipandfirmperformance:evidencefromthes&p 500 Journalof Finance58(3): AltmanE.I.(1968) Financialratiosdiscriminantanaly- sisandthepredictionofcorporatebankruptcy Journal of Finance23(4): BakerG.P.M.C.Jensen & K.J.Murphy(1988) Com- pensationandincentives:practicevs.theory Journal CAPM of Finance43(3): BakshiG.C.Cao & Z.Chen(1997) Empiricalperform- anceofalternativeoption pricing models Journalof Finance52(5): BlackF.& J.C.Cox(1976) Valuingcorporatesecuri- ties:someefectsofbondindentureprovisions Journal of Finance31(2): BlackF.(1986) Noise Journalof Finance41(3): CarhartM.M.(1997) Onpersistenceinmutualfundper- formance Journalof Finance52(1): CarterR.& S.Manaster(1990) Initialpublicoferings andunderwriterreputation Journalof Finance45(4): ChanK.C.G.A.KarolyiF.A.Longstaf & A.B.Sanders (1992) Anempiricalcomparisonofalternativemodelsof theshort-terminterestrate Journalof Finance47(3): ClaessensS.S.DjankovJ.P.H.Fan & L.H.P.Lang(2002) Disentanglingtheincentiveandentrenchmentefectsoflarge shareholdings Journalof Finance57(6): DanielK.D.Hirshleifer & A.Subrahmanyam (1998) Investor psychology and security market under- and overreactions Journalof Finance53(6): ; DeBondtW.F.M.& R.Thaler(1985) Doesthestockmar- ketovereact Journalof Finance40(3): EngleR.F.& V.K.Ng(1993) Measuringandtesting theimpactofnewsonvolatility Journalof Finance48 (5): FamaE.F.(1970) Eficientcapitalmarkets:Areviewoftheo- ryandempiricalwork Journalof Finance25(2): FamaE.F.(1991) Eficientcapitalmarkets:I Jour- nalof Finance46(5): FamaE.F.&K.R.French(1992) Thecross-sectionofexpec- tedstockreturns Journalof Finance47(2): FamaE.F.& K.R.French(1995) Sizeandbook-to-market factorsinearningsandreturns Journalof Finance50(1): FamaE.F.& K.R.French(1996) Multifactorexplanationsof assetpricinganomalies Journalof Finance51(1): : ForbesK.J.& R.Rigobon(2002) Nocontagiononly AndersonR.C.& D.M.Reeb(2003) Founding-family interdependence:measuringstockmarketcomovements 130

14 Journalof Finance57(5): FrootK.A.D.S.Scharfstein & J.C.Stein(1993) Risk management:coordinatingcorporateinvestmentandfinan- cingpolicies Journalof Finance48(5): GlostenL.R.R.Jagannathan& D.E.Runkle(1993) On therelationbetweentheexpectedvalueandthevolatility ofthenominalexcessreturnonstocks Journalof Fi- nance48(5): HongH.&J.C.Stein(1999) Aunifiedtheoryofunder- reactionmomentum tradingandoverreactioninasset markets Journalof Finance54(6): HarisM.& A.Raviv(1991) Thetheoryofcapitalstruc- ture Journalof Finance46(1): HulJ.& A.White(1987) Thepricingofoptionsonassetswith stochasticvolatilities Journalof Finance42(2): JegadeeshN.&S.Titman(1993) Returnstobuyingwinners andselinglosers:implicationsforstockmarketeficiency Journalof Finance48(1): JensenM.C.(1968) Theperformanceofmutualfundsinthe period Journalof Finance23(2): JensenM.C.(1993) The modernindustrialrevolution exitandthefailureofinternalcontrolsystems Journal of Finance48(3): LakonishokJ.A.Shleifer& R.W.Vishny(1994) Cont- rarianinvestmentextrapolationandrisk Journalof Finance49(5): LaPortaR.F.Lopez-De-SilanesA.Shleifer & R.W. Vishny(1997) Legaldeterminantsofexternalfinance Journalof Finance52(3): LaPortaR.F.Lopez-De-Silanes & A.Shleifer(1999) Cor- porateownershiparoundtheworld Journalof Finance54 (2): LaPortaR.F.Lopez-De-SilanesA.Shleifer & R.W. Vishny(2002) Investorprotectionandcorporatevalua- tion Journalof Finance57(3): LeeC.M.C.& M.J.Ready(1991) Inferingtradedirection fromintradaydata Journalof Finance46(2): LelandH.E.& D.H.Pyle(1977) Informationalasym- metriesfinancial structureand financialintermedia- tion Journalof Finance32(2): LintnerJ.(1965) Securitypricesriskand maximalgains fromdiversification Journalof Finance20(4): LoughranT.& J.R.Riter(1995) Thenewissuespuz- zle Journalof Finance50(1): MarkowitzH.(1952) Portfolioselection Journalof Finance7(1): MertonR.C.(1974) Onthepricingofcorporatedebt: Theriskstructureofinterestrates Journalof Finance 29(2): MertonR.C.(1987) Asimplemodelofcapitalmarketequi- librium withincompleteinformation Journalof Finance42 nance32(2): MilerE.M.(1977) Riskuncertaintyanddivergenceof opinion Journalof Finance32(4): MilerM.H.& K.Rock(1985) Dividendpolicyunder asymmetricinformation Journalof Finance 40(4): (3): MilerM.H.(1977) Debtandtaxes Journalof Fi MyersS.C.(1984) Thecapitalstructurepuzzle Jour- nalof Finance39(3): OdeanT.(1998) Areinvestorsreluctanttorealizetheir losses Journalof Finance53(5): PetersenM.A.& R.G.Rajan(1994) Thebenefitsoflend- ingrelationships:evidencefromsmalbusinessdata Jour- nalof Finance49(1):3-49. RajanR.G.(1992) Insidersandoutsiders:Thechoice betweeninformedandarm s-lengthdebt Journalof Finance47(4): RajanG.G.& L.Zingales(1995) Whatdoweknowabout capitalstructure Someevidencefrominternationaldata Journalof Finance50(5): RiterJ.R.(1991) Thelong-runperformanceofinitial publicoferings Journalof Finance46(1):3-27. RolR.(1984) Asimpleimplicitmeasureoftheefective bid-askspreadinaneficient market Journalof Fi- nance39(4): SchwertG.W.(1989) Whydoesstockmarketvolatilitychange overtime Journalof Finance44(5): SharpeW.F.(1964) Capitalassetprices:Atheoryof marketequilibriumunderconditionsofrisk Journalof Finance19(3): ShleiferA.& R.W.Vishny(1997) Asurveyofcorporate governance Journalof Finance52(2): ShleiferA.& R.W.Vishny(1997) Thelimitsofarbi- trage Journalof Finance52(1): TitmanS.& R.Wessels(1988) Thedeterminantsofcap- italstructurechoice Journalof Finance43(1):1-19. VickreyW.(1961) Counterspeculationauctionsandcom- petitivesealedtenders Journalof Finance16(1):8-37. ( : ) 131

14. 針對國內開放式組合型基金之敘述, 何者有誤? (A) 該種基金至少應投資於五個以上子基金 (B) 每個子基金最高投資上限不得超過本基金淨資產價值之 20% (C) 不得投資

14. 針對國內開放式組合型基金之敘述, 何者有誤? (A) 該種基金至少應投資於五個以上子基金 (B) 每個子基金最高投資上限不得超過本基金淨資產價值之 20% (C) 不得投資 105 年第 3 次投信投顧業務員資格測驗試題專業科目 : 投信投顧相關法規 ( 含自律規範 ) 請填入場證編號 : 注意 : 考生請在答案卡上作答, 共 50 題, 每題 2 分, 每一試題有 (A)(B)(C)(D) 選項, 本測驗為單一選擇題, 請依題意選出一個