2025年CFA二級估值建模真題（含答案）考試時間：______分鐘總分：______分姓名：______試卷內(nèi)容1.YouaregiventhefollowinginformationforacompanynamedAlphaInc.:*Projectedfreecashflowfornextyear(Year1)is$100million.*Projectedgrowthrateforfreecashflowsforthenextfiveyears(Years1-5)is8%peryear.*AfterYear5,thecompany'slong-termgrowthrateisexpectedtobe3%peryear.*Thecompany'sweightedaveragecostofcapital(WACC)is10%.CalculatethepresentvalueofthefreecashflowsforYears1through5usingthetwo-stagedividenddiscountmodel(DDM).AssumethecompanywilldistributeallavailablefreecashflowstartinginYear1.2.YouareanalyzingBetaCorpusingthecomparablecompaniesapproach.Youhavegatheredthefollowingdataforthreecomparablecompanies:*CompanyA:Price/Earnings(P/E)ratio=20,Growthrate=5%*CompanyB:Price/Earnings(P/E)ratio=15,Growthrate=6%*CompanyC:Price/Earnings(P/E)ratio=18,Growthrate=5.5%BetaCorphasanexpectedgrowthrateof6%andanearningspershare(EPS)of$2.CalculateBetaCorp'sestimatedequityvaluepershareusingaweightedaverageP/Eratiobasedonmarketcapitalizationweightsforthecomparablecompanies.AssumeBetaCorphas10millionsharesoutstanding.3.GammaInc.isconsideringaprojectthatrequiresaninitialinvestmentof$500million.Theprojectisexpectedtogeneratefreecashflowsof$150millioninYear1,$200millioninYear2,and$250millioninYear3.Thecompany'sWACCis9%.a.CalculatetheNetPresentValue(NPV)oftheproject.b.CalculatetheInternalRateofReturn(IRR)oftheproject.c.Basedonyourcalculationsinpartsaandb,shouldGammaInc.accepttheproject?Explainyourreasoning.4.YouaregiventhefollowinginformationforDeltaCorp:*Currentstockprice=$50pershare.*Expecteddividendnextyear(D1)=$2pershare.*Requiredrateofreturn(k)=12%.*Growthrate(g)=5%peryear,expectedtobeconstantindefinitely.Usingtheconstantgrowthdividenddiscountmodel(DDM),calculateDeltaCorp'sestimatedequityvaluepershare.5.YouareanalyzingthebondsofEpsilonInc.Thebondshaveafacevalueof$1,000,acouponrateof6%,andmaturein10years.Thecurrentmarketpriceofthebondis$950.Calculatetheyieldtomaturity(YTM)ofthebond.Assumeannualcouponpayments.6.YouaregiventhefollowingdataforZetaCorp:*Equitybeta=1.2.*Risk-freerate=3%.*Marketriskpremium=5%.CalculatetherequiredrateofreturnonZetaCorp'sequityusingtheCapitalAssetPricingModel(CAPM).7.Youareusingthecomparablecompaniesapproachtovalueacompany.Youhaveidentifiedthreecomparablecompaniesandcalculatedthefollowingenterprisevalue/EBITDAratiosandexpectedgrowthrates:*Company1:EV/EBITDAratio=10x,Growthrate=7%*Company2:EV/EBITDAratio=12x,Growthrate=8%*Company3:EV/EBITDAratio=11x,Growthrate=7.5%Thetargetcompanyhasanexpectedgrowthrateof8%andanEBITDAof$200million.CalculatetheestimatedenterprisevalueofthetargetcompanyusingaweightedaverageEV/EBITDAratiobasedonmarketcapitalizationweightsofthecomparablecompanies.Assumethetargetcompanyhasnodebtandnocash.8.Youaregiventhefollowinginformationforacompany:*Currentpricepershare=$40.*Expecteddividendnextyear(D1)=$2.*Requiredrateofreturn(k)=10%.Thecompany'smanagementisconsideringastocksplit.Iftheyimplementa2-for-1stocksplit,whatwillbetheexpecteddividendpershare(D1)forthenextyear,assumingthepayoutratioremainsconstant?9.Youareanalyzingacompanyusingthetwo-stagefreecashflowtoequitymodel.Youhavedeterminedthefollowing:*Freecashflowtoequity(FCFE)fornextyear(Year1)=$100million.*GrowthrateforFCFEforthenextthreeyears(Years1-3)=10%peryear.*Long-termgrowthrateafterYear3=5%peryear.*Requiredrateofreturnonequity(ke)=12%.Calculatetheestimatedequityvaluepershareofthecompany.Assumethecompanyhas20millionsharesoutstanding.10.Youaregiventhefollowinginformationforacompany:*Marketvalueofequity=$1billion.*Marketvalueofdebt=$500million.*Totalassets=$1.5billion.*Bookvalueofequity=$800million.Calculatethecompany'senterprisevalue(EV).11.Youareanalyzingthefinancialstatementsofacompany.Youobservethatitsdebt-to-equityratiohasbeenincreasingoverthepastfewyears.Whatarethepotentialimplicationsofthistrendforthecompany'sfinancialriskanditscostofcapital?12.Youareusingthe先例交易分析(precedenttransactionsanalysis)approachtovalueacompany.Youhaveidentifiedthreeprecedenttransactionsandcalculatedthefollowingenterprisevalue/EBITDAmultiplesandtransactionpremiumsovertherespectivecompanies'EBITDA:*Transaction1:Multiple=8x,Premium=20%*Transaction2:Multiple=9x,Premium=25%*Transaction3:Multiple=10x,Premium=30%ThetargetcompanyhasanEBITDAof$300million.Calculatetheestimatedenterprisevalueofthetargetcompanyusingaweightedaveragemultiplebasedontransactionsizeweightsandaweightedaveragepremium.13.Acompanyisexpectedtopayadividendof$3persharenextyear(D1).Therequiredrateofreturnonthecompany'sstockis15%.Thecompany'sdividendgrowthrateisexpectedtobe8%forthenexttwoyears,andthen5%indefinitely.Calculatetheestimatedstockpriceofthecompanyusingthedividenddiscountmodel.14.Youaregiventhefollowingdataforabond:*Facevalue=$1,000.*Couponrate=5%.*Timetomaturity=5years.*Yieldtomaturity(YTM)=6%.Calculatethecurrentmarketpriceofthebond.Assumeannualcouponpayments.15.Youareanalyzingacompany'sstock.Thecompany'scurrentstockpriceis$60pershare.Thecompany'smanagementhasannouncedastockbuybackplantorepurchase10millionsharesat$50pershare.Thecompanyhasatotalof100millionsharesoutstandingbeforethebuyback.Whatistheexpectedimpactofthisstockbuybackonthecompany'searningspershare(EPS),assumingthecompany'snetincomeremainsunchanged?16.Youareusingtheconstantgrowthdividenddiscountmodel(DDM)tovalueacompany.Youhavedeterminedthefollowing:*Expecteddividendnextyear(D1)=$2pershare.*Requiredrateofreturn(k)=10%.*Growthrate(g)=6%peryear,expectedtobeconstantindefinitely.Calculatetheestimatedequityvaluepershareofthecompany.17.Youaregiventhefollowinginformationforacompany:*Netincome=$200million.*Interestexpense=$50million.*Taxes=$40million.*Capitalexpenditures=$100million.*Depreciation=$30million.*Increaseinworkingcapital=$20million.Calculatethecompany'sfreecashflow(FCF).18.Youareanalyzingtwocompaniesusingthecomparablecompaniesapproach.Youhavegatheredthefollowingdata:*CompanyX:Price/Sales(P/S)ratio=3x,Growthrate=7%*CompanyY:Price/Sales(P/S)ratio=4x,Growthrate=8%CompanyZ,thetargetcompany,hasanexpectedgrowthrateof8%andsalespershareof$10.CalculatetheestimatedequityvaluepershareofCompanyZusingaweightedaverageP/SratiobasedonmarketcapitalizationweightsofCompaniesXandY.AssumeCompanyZhas20millionsharesoutstanding.19.Youaregiventhefollowinginformationforacompany:*Currentstockprice=$80pershare.*Expecteddividendnextyear(D1)=$4pershare.*Growthrate(g)=5%peryear,expectedtobeconstantindefinitely.Calculatethecompany'srequiredrateofreturn(k)usingtheconstantgrowthdividenddiscountmodel(DDM).20.Youareanalyzingacompany'sstock.Thecompany'scurrentstockpriceis$100pershare.Thecompany'smanagementhasannounceda3-for-1stocksplit.Whatistheexpectedimpactofthisstocksplitonthecompany'sbookvaluepershare,assumingthecompany'stotalequityremainsunchanged?試卷答案1.FCF1=$100M;G=8%for5years;g=3%afterYear5;WACC=10%.PV(FCF1-5)=FCF1/(1+WACC)^1+FCF1*(1+G)/(1+WACC)^2+...+FCF1*(1+G)^4/(1+WACC)^5PV(FCF1-5)=$100/1.10+$100*1.08/1.10^2+$100*1.08^2/1.10^3+$100*1.08^3/1.10^4+$100*1.08^4/1.10^5PV(FCF1-5)=$100/1.10+$108/1.21+$116.64/1.331+$125.97/1.4641+$134.39/1.61051PV(FCF1-5)=$90.91+$89.26+$88.64+$86.04+$83.54=$438.39million.TerminalValue(TV)atYear5=FCF5*(1+g)/(WACC-g)=FCF1*(1+G)^5*(1+g)/(WACC-g)FCF5=FCF1*(1+G)^4=$100*1.08^4=$125.97million.TVatYear5=$125.97*(1+0.03)/(0.10-0.03)=$125.97*1.03/0.07=$125.97*14.7143=$1847.78million.PV(TV)atYear0=TV/(1+WACC)^5=$1847.78/1.61051=$1145.06million.TotalPV=PV(FCF1-5)+PV(TV)=$438.39+$1145.06=$1583.45million.2.CompanyMarketCapWeights:Assumearbitraryweightsforillustration(e.g.,basedonP/Eormarketcapifprovided,hereassumeequalweightsforsimplicityifnotgiven):w_A=w_B=w_C=1/3.AvgP/E=(20+15+18)/3=17x.TargetEquityValue=TargetEPS*AvgP/E=$2*17=$34pershare.TargetEquityValue(Total)=$34*10Mshares=$340M.EstimatedEnterpriseValue=TargetEquityValue+Debt-Cash=$340M+$0-$0=$340M.Alternatively,ifweightswerebasedonMarketCap,youwouldneedthemarketcapsofA,B,C,andBetaCorptocalculatetheweightsandthentheEV.Usingequalweightsasasimplifyingassumptionheregives$340million.3.a.NPV=-InitialInvestment+PV(FCFs)NPV=-$500M+$150/(1.09)^1+$200/(1.09)^2+$250/(1.09)^3NPV=-$500M+$150/1.09+$200/1.1881+$250/1.295029NPV=-$500M+$137.58+$168.29+$193.10=-$500M+$498.97=-$1.03million.b.IRRisthediscountratethatmakesNPV=0.0=-$500+$150/(1+IRR)+$200/(1+IRR)^2+$250/(1+IRR)^3UsingafinancialcalculatororsoftwaretosolveforIRR,wegetIRR≈8.46%.c.Decision:SinceNPV<0andIRR<WACC(8.46%<9%),theprojectshouldberejected.Theprojectisnotexpectedtoaddvaluetothecompany.4.UsingtheconstantgrowthDDM:P0=D1/(k-g)P0=$2/(0.12-0.05)=$2/0.07=$28.57pershare.5.Usingthebondpricingformula:P=C*[1-1/(1+y)^n]/y+F/(1+y)^nWhere:C=$1,000*6%=$60(annualcoupon),F=$1,000(facevalue),n=10(years),P=$950(marketprice),y=YTM.$950=$60*[1-1/(1+y)^10]/y+$1,000/(1+y)^10Solvingforyrequiresiterativemethodsorafinancialcalculator.Usingafinancialcalculator:N=10,PV=-950,PMT=60,FV=1000,CPTI/Y=6.41%(approx).6.UsingtheCAPMformula:Re=Rf+β*(Rm-Rf)Re=0.03+1.2*0.05=0.03+0.06=0.09or9.00%.7.CompanyMarketCapWeights(Assumeequalweightsforsimplicityifnotgiven):w_1=w_2=w_3=1/3.AvgEV/EBITDA=(10+12+11)/3=11x.TargetEnterpriseValue=TargetEBITDA*AvgEV/EBITDA=$200M*11=$2200M.Alternatively,ifweightswerebasedonmarketcapofthecomparables,youwouldneedthosevalues.Usingequalweightsasasimplifyingassumptionheregives$2200million.8.Aftera2-for-1stocksplit:*Numberofsharesoutstandingdoubles:10M*2=20Mshares.*TotalDividendPayoutremainsthesame:10Mshares*$2/share=$20Mtotalpayout.*ExpectedDividendperShare(D1)=TotalPayout/NewNumberofShares=$20M/20M=$1pershare.9.FCFE1=$100M;G=10%for3years;g=5%afterYear3;ke=12%.PV(FCFE1-3)=FCFE1/(1+ke)^1+FCFE1*(1+G)/(1+ke)^2+FCFE1*(1+G)^2/(1+ke)^3PV(FCFE1-3)=$100/1.12+$100*1.10/1.12^2+$100*1.10^2/1.12^3PV(FCFE1-3)=$100/1.12+$110/1.2544+$121/1.404928PV(FCFE1-3)=$89.29+$87.74+$86.06=$263.09million.FCFE3=FCFE1*(1+G)^2=$100*1.10^2=$121million.TerminalValue(TV)atYear3=FCFE3*(1+g)/(ke-g)=$121*(1+0.05)/(0.12-0.05)=$121*1.05/0.07=$127.05/0.07=$1814.29million.PV(TV)atYear0=TV/(1+ke)^3=$1814.29/1.404928=$1293.15million.TotalPV(EquityValue)=PV(FCFE1-3)+PV(TV)=$263.09+$1293.15=$1556.24million.EquityValueperShare=TotalEquityValue/SharesOutstanding=$1556.24M/20M=$77.81pershare.10.EnterpriseValue(EV)=MarketValueofEquity+MarketValueofDebt-CashandCashEquivalents.SinceTotalAssets=Equity+Debt,andTotalEquity=BookValueofEquity+CashandCashEquivalents(ifnotgivenseparately,oftenimpliedinthecontextorrequiresrearrangement:Cash=TotalAssets-Equity=$1.5B-$800M=$700M).EV=$1B+$500M-$700M=$1.3billion.11.Anincreasingdebt-to-equityratioindicatesthatthecompanyisfinancingmoreofitsassetswithdebtrelativetoequity.*FinancialRisk:Higherleverageincreasesfinancialriskbecausethecompanyhashigherfixedinterestpayments.Thiscanleadtogreatervulnerabilitytoeconomicdownturns,interestratechanges,andpotentialdifficultiesinobtainingfinancing.Italsoincreasestheriskofbankruptcyifthecompanycannotmeetitsdebtobligations.*CostofCapital:Asfinancialriskincreases,thecostofdebttypicallyrisesduetohigherperceivedriskbylenders.Furthermore,thecostofequitymayalsoincreaseasshareholdersdemandahigherreturntocompensatefortheaddedriskofowningariskierasset.Consequently,thecompany'soverallweightedaveragecostofcapital(WACC)islikelytoincrease,makingfutureinvestmentslessattractive.12.CompanyMarketCapWeights(Assumeequalweightsforsimplicityifnotgiven):w_T1=w_T2=w_T3=1/3.AvgMultiple=(8+9+10)/3=9x.AvgPremium=(20%+25%+30%)/3=25%.TargetEnterpriseValue=TargetEBITDA*(AvgMultiple*(1+AvgPremium))TargetEBITDA=$300M.TargetEnterpriseValue=$300M*(9*1.25)=$300M*11.25=$3375million.13.Usingthetwo-stageDDM:PV(D1)=D1/(1+k)^1=$3/1.15=$2.6087million.PV(D2)=D2/(1+k)^2=D1*(1+g1)/(1+k)^2=$3*1.08/1.15^2=$3.24/1.3225=$2.4442million.PV(D3)=D3/(1+k)^3=D2*(1+g1)/(1+k)^3=$3.24*1.08/1.15^3=$3.4992/1.520875=$2.3030million.TerminalValue(TV)atYear2=D3*(1+g2)/(k-g2)=D2*(1+g1)*(1+g2)/(k-g2)TVatYear2=$3.4992*(1+0.05)/(0.15-0.05)=$3.4992*1.05/0.10=$3.7241/0.10=$37.241million.PV(TV)atYear0=TV/(1+k)^2=$37.241/1.3225=$28.1609million.TotalEquityValue=PV(D1)+PV(D2)+PV(D3)+PV(TV)=$2.6087+$2.4442+$2.3030+$28.1609=$35.5188million.EquityValueperShare=TotalEquityValue/SharesOutstanding(Notprovided,sovalueispershare).14.Usingthebondpricingformula:P=C*[1-1/(1+y)^n]/y+F/(1+y)^nWhere:C=$1,000*5%=$50,F=$1,000,n=5,P=?(tobesolvedfory),y=YTM.$950=$50*[1-1/(1+y)^5]/y+$1,000/(1+y)^5Solvingforyrequiresiterativemethodsorafinancialcalculator.Usingafinancialcalculator:N=5,PV=-950,PMT=50,FV=1000,CPTI/Y=6.41%(approx).15.Beforebuyback:Shares=100M,Price=$60.MarketCap=100M*$60=$6B.Afterbuyback:Shares=100M-10M=90M,BuybackPrice=$50.Cashused=10M*$50=$500M.NewMarketCap=$6B-$500M=$5.5B.NewEquity=OldEquity-Cashused=(OldEquity+OldDebt)-$500M(assumingnodebtchangeinitially).EPS=NetIncome/SharesOutstanding.NewEPS=OldNetIncome/90M.OldEPS=OldNetIncome/100M.ImpactonEPS=NewEPS/OldEPS=(OldNetIncome/90M)/(OldNetIncome/100M)=100M/90M=10/9≈1.1111.EPSisexpectedtoincreasebyapp