2025年CFA三級權(quán)益投資模擬試卷（含答案）考試時(shí)間：______分鐘總分：______分姓名：______SectionA:MultipleChoiceQuestionsChoosethebestanswerforeachofthefollowingquestions.1.AnanalystisvaluingacompanyusingtheDividendDiscountModel(DDM).Whichofthefollowingassumptionsismostcriticalwhenapplyingatwo-stageDDM?A)Thecompanywillmaintainaconstantpayoutratiooverthehigh-growthandstable-growthphases.B)Thecompany'srequiredrateofreturnisconstantoverboththehigh-growthandstable-growthphases.C)Thecompany'ssupernormalgrowthrateissustainableindefinitely.D)Thestable-growthrateisequaltothecompany'sprofitmargin.2.Acompanyoperatesinanindustrywithsignificantbarrierstoentry.AccordingtoPorter'sFiveForcesmodel,thisfactormostlikelyindicates:A)Increasedthreatofnewentrants.B)Decreasedbargainingpowerofsuppliers.C)Increasedintensityofcompetitiverivalry.D)Decreasedthreatofsubstituteproductsorservices.3.Ananalystusesthe可比公司分析法(ComparableCompanyAnalysis)tovalueacompany.Whichofthefollowingadjustmentsistypicallymadetothetargetcompany'sprice-to-earnings(P/E)ratiowhenusingapeergroupwithdifferentpayoutratios?A)Scalethetargetcompany'sP/Eratioupordownbasedonthedifferenceinpayoutratios.B)IgnorethepayoutratiodifferenceasitdoesnotaffecttheP/Emultiple.C)Adjustthetargetcompany'searningsbythedifferenceinpayoutratiosbeforeapplyingtheP/Emultiple.D)UseadifferentindustryP/Ebenchmarktoavoidthepayoutratioissue.4.Thebetaofastockmeasuresits:A)Totalriskrelativetothemarket.B)Systematicriskrelativetothemarket.C)Unsystematicriskrelativetothemarket.D)Financialleveragerelativetothemarket.5.Aportfoliomanagerwantstoinvestinastockthathasahigherbetathanthemarket.Whichofthefollowingactionswouldallowtheportfoliotoachievethisobjective?A)Investinginastockwithanegativealpha.B)Investinginastockwithabetalessthan1.C)Investinginastockwithabetagreaterthan1.D)Investinginastockwithalowerrequiredrateofreturnthanthemarket.6.AnanalystisvaluingacompanyusingaDiscountedCashFlow(DCF)model.Whichofthefollowinginputsisconsideredtheleastvolatileandthusmoststableforthelong-termgrowthrate(g)assumption?A)Historicalearningsgrowthrate.B)Industrygrowthrate.C)Company'shistoricalsalesgrowthrate.D)Company'sprojectedsupernormalgrowthrate.7.AccordingtotheEfficientMarketHypothesis(EMH)initssemi-strongform:A)Allpublicinformationisalreadyreflectedinstockprices.B)Onlyhistoricalpriceandvolumedataarereflectedinstockprices.C)Technicalanalysiscanconsistentlygenerateabnormalreturns.D)Insiderinformationcanconsistentlyleadtoabnormalreturns.8.Acompanyhasabetaof1.2.Therisk-freerateis3%,andthemarketriskpremiumis5%.WhatistherequiredrateofreturnforthecompanyaccordingtotheCapitalAssetPricingModel(CAPM)?A)3%B)6%C)8%D)9%9.Whichofthefollowingisgenerallyconsideredasignofstrongfinancialhealthforacompany?A)Highcurrentratioandlowquickratio.B)Highdebt-to-equityratioandlowinterestcoverageratio.C)Lowgrossmarginandhighoperatingmargin.D)Highinventoryturnoverandlowdayssalesoutstanding(DSO).10.Ananalystisevaluatinganinvestmentinacompany'scommonstock.Whichofthefollowingstatementsisgenerallytrue?A)Ifthestock'sprice-to-sales(P/S)ratioishigh,itimpliesthestockisundervalued.B)Ahighdividendyieldalwaysindicatesafinanciallystablecompany.C)TheP/Eratioismoreusefulforvaluingcompanieswithnegativeearnings.D)Comparingacompany'sP/EratiotoitsownhistoricalP/Eratioisalwaysinformative.SectionB:ProblemQuestionsShowallcalculationsandroundyouranswerstotwodecimalplaceswhereapplicable.11.Youareanalyzingacompanyandestimateitsfreecashflowforthenextfiveyearsasfollows:Year1:$100million,Year2:$120million,Year3:$140million,Year4:$160million,Year5:$180million.AfterYear5,youexpectthefreecashflowtogrowataconstantrateof4%indefinitely.Thecompanyhasnodebtand50millionsharesoutstanding.Iftheweightedaveragecostofcapital(WACC)is10%,whatistheintrinsicvaluepershareusingtheDCFmodel?12.Acompanyhasthefollowingdata:Marketcapitalization=$1billion,Totaldebt=$200million,Totalequity=$800million,Netincome=$100million,Dividendspaid=$30million.Calculatethefollowing:a)EnterpriseValue(EV)b)Price/Earnings(P/E)ratioc)Price/Book(P/B)ratio(assumingbookvalueofequityisthemarketvalueofequityforthissimplifiedcalculation)13.Youareconsideringaddingastocktoyourportfolio.Thestockhasanexpectedreturnof12%andastandarddeviationof20%.Themarketportfoliohasanexpectedreturnof10%andastandarddeviationof15%.Therisk-freerateis5%.Calculatethestock'sbetaanditsalphaifthemarketportfolio'sreturnactuallyturnsouttobe11%.SectionC:EssayQuestionsPrepareawrittenresponseforeachofthefollowingquestions.Youranswersshouldbewell-structured,logicallypresented,anddemonstrateyourunderstandingoftherelevantconcepts.14.ExplainthekeystepsananalystshouldfollowwhenbuildingaDiscountedCashFlow(DCF)valuationmodelforacompany.DiscussthemainsourcesofpotentialerrorinaDCFanalysisandhowananalystcanmitigatethem.15.Acompanyisconsideringastrategicacquisitiontoenteranewmarket.Asananalyst,outlinethekeyfactorsyouwouldconsiderwhenevaluatingthepotentialsuccessandvalueimplicationsofthisacquisition.Discussthevariousvaluationmethodsyoucouldusetoassessthetargetcompanyandexplaintherationaleforchoosingaspecificmethodorcombinationofmethods.16.Discusstheroleofbehavioralfinanceinunderstandingequityinvestmentbehavior.Describetwocommonbehavioralbiasesthatcanimpactinvestordecision-makingandexplainhowthesebiasesmightleadtomarketinefficienciesormispricingsintheequitymarkets.試卷答案SectionA:MultipleChoiceQuestions1.A2.B3.A4.B5.C6.B7.A8.D9.D10.DSectionB:ProblemQuestions11.Calculation:PVofFCFs=$100/(1+0.10)^1+$120/(1+0.10)^2+$140/(1+0.10)^3+$160/(1+0.10)^4+$180/(1+0.10)^5PVofFCFs=$90.91+$102.88+$112.70+$121.67+$127.65=$555.71millionTerminalValue(TV)atendofYear5=FCFinYear6/(WACC-g)=$180*(1+0.04)/(0.10-0.04)=$288/0.06=$4,800millionPVofTV=$4,800/(1+0.10)^5=$2,925.26millionEnterpriseValue(EV)=PVofFCFs+PVofTV=$555.71+$2,925.26=$3,480.97millionIntrinsicValueperShare=EV/NumberofShares=$3,480.97million/50millionshares=$69.61Answer:$69.6112.Calculation:a)EnterpriseValue(EV)=MarketCapitalization+TotalDebt=$1,000million+$200million=$1,200millionb)Price/Earnings(P/E)ratio=MarketCapitalization/NetIncome=$1,000million/$100million=10.00c)Price/Book(P/B)ratio=MarketCapitalization/TotalEquity=$1,000million/$800million=1.25Answer:a)$1,200millionb)10.00c)1.2513.Calculation:a)Beta=(Stock'sexcessreturn)/(Marketportfolio'sexcessreturn)Stock'sexcessreturn=12%-5%=7%Marketportfolio'sexcessreturn=10%-5%=5%Beta=7%/5%=1.40b)Alpha=Stock'sactualreturn-[Risk-freerate+Beta*(Marketportfolio'sactualreturn-Risk-freerate)]Alpha=12%-[5%+1.40*(11%-5%)]Alpha=12%-[5%+1.40*6%]Alpha=12%-[5%+8.4%]Alpha=12%-13.4%=-1.40%Answer:a)1.40b)-1.40%SectionC:EssayQuestions14.KeystepsinbuildingaDCFmodel:1.Forecastfuturefreecashflows(FCFs)foraspecifiedperiod(e.g.,5-10years).Thisinvolvesprojectingrevenue,operatingexpenses,capitalexpenditures,andworkingcapitalchanges.2.Estimatetheterminalvalue(TV)ofthecompanybeyondtheforecastperiod,typicallyusingaperpetuitygrowthmodelorexitmultiplemethod.3.Determinetheappropriatediscountrate(WACC),whichreflectstheriskofthecompany'scashflows.Thisrequirescalculatingthecostofequity(usingCAPM,APT,orDDM)andthecostofdebt,weightedbytheirrespectiveproportionsinthecapitalstructure.4.DiscounttheforecastedFCFsandtheterminalvaluebacktothepresentvalueusingtheWACC.5.Sumthepresentvaluestoarriveattheenterprisevalue(EV).AdjustEVfornon-operatingassets/liabilitiesandnetdebttogetequityvalue.6.Dividetheequityvaluebythenumberofoutstandingsharestogettheintrinsicvaluepershare.Potentialerrorsandmitigation:*Forecastinaccuracies:Highlysubjective,especiallyfordistantyears.Mitigation:Useconservativeassumptions,sensitivityanalysis,basecaseandupside/downsidescenarios.*Inappropriatediscountrate:Usingaratetoohighortoolowdistortsthevaluation.Mitigation:Carefullyestimatethecostofequityanddebt,considertaxeffects,andusepeercomparisonsorsensitivityanalysis.*Over/underestimatingterminalgrowthrate:AffectstheTVsignificantly.Mitigation:Basethelong-termgrowthrateonsustainableindustrytrends(e.g.,GDPgrowthminusinflation),notcompany-specificexcessgrowth.*Ignoringworkingcapitalchanges:CansignificantlyimpactFCFs.Mitigation:Projectchangesinaccountsreceivable,payable,andinventoryaccurately.*Notadjustingfornon-operatingitems:Affectsequityvalue.Mitigation:Clearlyseparateoperatingfromnon-operatingassets/liabilities.15.Keyfactorsforevaluatinganacquisition:*Strategicfit:Doestheacquisitionalignwiththeacquiringcompany'slong-termstrategy,industryposition,andcapabilities?Considermarketaccess,technologytransfer,synergies(cost,revenue),andpotentialforcompetitiveadvantage.*Financialanalysis:Assessthetarget'sfinancialperformanceandprojections.Evaluatevaluationmultiples(P/E,EV/EBITDA),discountcashflowanalysis,andtheimpactontheacquirer'sfinancialmetrics(debt,equity,ROE).*Synergyrealization:Quantifyandqualifypotentialsynergies(e.g.,costsavingsfromeconomiesofscale,revenueenhancementsfrommarketextensionorproductlineaddition).Assessthetimingandriskofachievingthesesynergies.*Integrationplan:Evaluatethefeasibilityandpotentialdisruptionoftheintegrationprocess(organizationalstructure,culturalfit,managementretention,systems合并).Asmoothintegrationiscrucialforrealizingsynergies.*Regulatoryandlegalrisks:Considerpotentialantitrustconcerns,foreigninvestmentrestrictions,andthecomplexityoflegalduediligence.*Executionrisk:Assesstheacquirer'smanagementteam'sabilitytosuccessfullyexecutetheacquisitionandintegration.Valuationmethods:*ComparableCompanyAnalysis(CCA):Usevaluationmultiples(P/E,P/B,P/S,EV/EBITDA)fromcomparablepubliclytradedcompanies.Rationale:Reflectscurrentmarketvaluesandexpectationsforsimilarcompanies.Choosepeersbasedonindustry,size,growth,andprofitability.Adjustfordifferences.*PrecedentTransactionAnalysis:UsemultiplesfromrecentM&Atransactionsinthesameindustry.Rationale:Reflectswhatbuyerspaidinthemarket.Usefulforprivatecompaniesorwhenmarketconditionsarerelevant.Adjustfordeal-specificfactors(e.g.,financing,premiums).*DiscountedCashFlow(DCF):Valuethetargetbasedonitsexpectedfuturecashflows.Rationale:Fundamental,basedonintrinsicvaluedrivers.Mostcomprehensivebutalsomostsensitivetoassumptions.Appropriateforcompanieswithstablecashflowsorwhenstrategicfitrequiresadetailedanalysis.Choosingmethods:Oftenuseacombination(e.g.,DCFforthebasevalueandCCA/Precedentforarelativecheckandfinalvaluationrange).Therationaledependsondataavailability,quality,industrycharacteristics,andthepurposeofthevaluation(e.g.,purchasepricevs.minorityinterest).16.Behavioralfinancerole:Behavioralfinancestudieshowpsychologicalfactorsinfluenceinvestors'decisions,leadingtodeviationsfromrational,effic