2025年CFA二級考試模擬卷考試時(shí)間：______分鐘總分：______分姓名：______請根據(jù)以下題目要求回答問題。1.Ananalystisevaluatingthefinancialperformanceofacompany.Thecompanyreportednetincomeof$50millionfortheyear.Thecompany'sdepreciationexpensefortheyearwas$10million.Thecompanysoldapieceofequipmentforagainof$2millionduringtheyear.Thecompany'snetcashflowfromoperatingactivitiesfortheyearisclosestto:a)$50millionb)$58millionc)$60million2.Acompanyhascurrentassetsof$200millionandcurrentliabilitiesof$100million.Thecompany'sworkingcapitalis:a)$100millionb)$200millionc)$300million3.Thepriceofanon-dividendpayingstockisexpectedtoincreasefrom$50to$60overthenextsixmonths.Therisk-freerateis2%perannum.Thetheoreticalpriceofacalloptionwithastrikepriceof$55andasix-monthmaturityisclosestto:a)$2.42b)$3.15c)$5.004.Aninvestorholdsaportfolioconsistingof60%stocksand40%bonds.Theexpectedreturnofthestocksis12%,theexpectedreturnofthebondsis6%,andthecorrelationcoefficientbetweenthereturnsofstocksandbondsis0.2.Theexpectedreturnoftheportfolioisclosestto:a)6.0%b)8.4%c)9.6%5.Acompany'sequitybetais1.5.Therisk-freerateis4%andthemarketriskpremiumis6%.UsingtheCapitalAssetPricingModel(CAPM),therequiredrateofreturnonthecompany'sequityisclosestto:a)10.0%b)11.0%c)16.5%6.Whichofthefollowingstatementsregardingtheefficientmarkethypothesis(EMH)ismostaccurate?a)Inanefficientmarket,securitypricesreflectallavailableinformation,anditisimpossibletoconsistentlyachievereturnsabovethemarketaverage.b)Inanefficientmarket,securitypricesaredrivenprimarilybyinvestorsentimentandemotions.c)Inanefficientmarket,allinvestorshavethesamelevelofinformationandthesamerisktolerance.7.Acompanyhasadebt-to-equityratioof0.8.Thecompany'stotaldebtisclosestto:a)40%b)50%c)160%8.Ananalystisevaluatingacompany'sfinancialleverage.Thecompanyhastotalassetsof$500million,totalliabilitiesof$200million,andshareholders'equityof$300million.Thecompany'sdebt-to-assetratioisclosestto:a)20%b)40%c)60%9.Astockhasanexpectedreturnof15%andastandarddeviationof20%.Themarketportfoliohasanexpectedreturnof10%andastandarddeviationof15%.Thebetaofthestockisclosestto:a)0.50b)1.00c)1.5010.Acompany'sinventoryturnoverratiois5.Thecompany'scostofgoodssoldfortheyearis$200million.Thecompany'saverageinventoryfortheyearisclosestto:a)$20millionb)$40millionc)$100million11.Ananalystisevaluatingacompany'sprofitability.Thecompany'sreturnonassets(ROA)is8%anditstotalassetsare$500million.Thecompany'snetincomeisclosestto:a)$40millionb)$50millionc)$80million12.Acompany'searningspershare(EPS)are$2.Thecompany'sbookvaluepershareis$20.Thecompany'sprice-to-book(P/B)ratioisclosestto:a)0.10b)10.0c)40.013.Acompany'sstockhasabetaof1.2.Therisk-freerateis3%andthemarketriskpremiumis5%.Thecompany'srequiredrateofreturnonequity,accordingtotheCapitalAssetPricingModel(CAPM),isclosestto:a)3.0%b)6.0%c)9.0%14.Aninvestorisconsideringbuyingabondwitha5%couponrate,a10-yearmaturity,andafacevalueof$1,000.Thebondiscurrentlytradingatapriceof$920.Thebond'syieldtomaturity(YTM)isclosestto:a)5.0%b)5.5%c)6.0%15.Acompany'saccountsreceivableturnoverratiois10.Thecompany'snetcreditsalesfortheyearare$500million.Thecompany'saverageaccountsreceivablefortheyearisclosestto:a)$30millionb)$50millionc)$100million16.Ananalystisevaluatingacompany'scapitalstructure.Thecompanyhastotaldebtof$200millionandshareholders'equityof$300million.Thecompany'sdebt-to-totalcapitalratioisclosestto:a)40%b)50%c)60%17.Astockhasanexpectedreturnof14%andastandarddeviationof18%.Therisk-freerateis2%.TheSharperatioofthestockisclosestto:a)0.50b)0.67c)1.0018.Acompany'sreturnonequity(ROE)is12%.Thecompany'sprofitmarginis6%.Thecompany'stotalassetturnoverisclosestto:a)0.50b)1.00c)2.0019.Aninvestorisconsideringbuyingacalloptiononastockwithastrikepriceof$50.Theoptionpremiumis$2.Thestockpriceiscurrently$48.Theinvestor'smaximumlosspershareisclosestto:a)$2b)$48c)$5020.Acompany'sdilutedearningspershare(EPS)is$3.Thecompany'sbasicearningspershare(EPS)is$3.20.Theimpactofdilutivesecuritiesonthecompany'searningspershareisclosestto:a)Dilutiveb)Anti-dilutivec)Neutral21.Ananalystisevaluatingacompany'scashflow.Thecompany'soperatingcashflowis$100million,investmentcashflowis-$50million,andfinancingcashflowis-$20million.Thecompany'sfreecashflow(FCF)isclosestto:a)$30millionb)$50millionc)$80million22.Acompany'sbondhasa7%couponrate,a15-yearmaturity,andafacevalueof$1,000.Thebond'syieldtomaturity(YTM)is6%.Thebond'scurrentpriceisclosestto:a)$870b)$1,000c)$1,13023.Aninvestorholdsaportfoliowithabetaof1.1.Therisk-freerateis3%andthemarketreturnis10%.Theexpectedreturnoftheportfolioisclosestto:a)3.0%b)6.0%c)10.3%24.Acompany'sinventoryturnoverratiois6.Thecompany'sdayssalesofinventory(DSI)isclosestto:a)15.3daysb)60.0daysc)120.0days25.Whichofthefollowingisgenerallyconsideredaweaknessofthedividenddiscountmodel(DDM)?a)TheDDMisdifficulttoapplytocompaniesthatdonotpaydividends.b)TheDDMrequirestheestimationoffuturedividends,whichcanbesubjective.c)TheDDMdoesnotconsiderthecompany'scapitalstructure.26.Acompany'sbondsareratedBBBbyS&P.Thebondsareconsideredtobe:a)Investment-gradeb)High-yieldc)Subprime27.Aninvestorisconsideringinvestinginamutualfundthatinvestsprimarilyinsmall-capstocks.Thefund'sexpenseratiois1.5%.Thefund'sportfolioturnoverrateis70%.Whichofthefollowingstatementsismostlikelyaccurate?a)Thefundislikelytohavehighportfolioturnoverandhighfees.b)Thefundislikelytohavelowportfolioturnoverandlowfees.c)Thefund'sperformanceislikelytobeheavilyinfluencedbymarkettiming.28.Ananalystisestimatingtheintrinsicvalueofacompany'sstockusingthediscountedcashflow(DCF)model.Theanalystexpectsthecompanytogeneratefreecashflowsof$100millionnextyear,$110millionintwoyears,and$120millioninthreeyears.Theterminalvalueisestimatedtobe$1,000million.Thediscountrateis10%.Theintrinsicvalueofthestockisclosestto:a)$800b)$900c)$1,00029.Acompany'sbondhasa6%couponrate,a5-yearmaturity,andafacevalueof$1,000.Thebond'syieldtomaturity(YTM)is7%.Thebond'scurrentpriceisclosestto:a)$920b)$950c)$98030.Aninvestorisconsideringbuyingaputoptiononastockwithastrikepriceof$60.Theoptionpremiumis$3.Thestockpriceiscurrently$62.Theinvestor'smaximumpotentialprofitpershareisclosestto:a)$3b)$60c)$63試卷答案1.c解析：凈現(xiàn)金流量來自經(jīng)營活動=凈利潤+非現(xiàn)金支出（折舊）-非經(jīng)營活動損益（資產(chǎn)出售收益）。=50+10-2=58million。2.a解析：營運(yùn)資本=流動資產(chǎn)-流動負(fù)債=200-100=100million。3.a解析：使用Black-Scholes模型近似計(jì)算，C=SN(d1)-Ke^(-rT)N(d2)，其中d1=[ln(S/K)+(r+σ^2/2)T]/(σ√T),d2=d1-σ√T。S=50,K=55,T=0.5,r=0.02,σ未知，但可使用隱含波動率方法或近似。此處假設(shè)已知或通過計(jì)算得σ約等于30%，代入公式計(jì)算得C約等于2.42。4.b解析：投資組合預(yù)期收益率=w_stocks*r_stocks+w_bonds*r_bonds=0.6*12%+0.4*6%=7.2%+2.4%=9.6%。注意題目給的是相關(guān)系數(shù)，計(jì)算預(yù)期收益率時(shí)用權(quán)重和預(yù)期收益率，不用相關(guān)系數(shù)。5.a解析：根據(jù)CAPM，要求回報(bào)率=無風(fēng)險(xiǎn)利率+β*市場風(fēng)險(xiǎn)溢價(jià)=4%+1.5*6%=4%+9%=13%。選項(xiàng)中最接近的是10.0%。6.a解析：有效市場假說認(rèn)為，在有效的市場中，所有可用信息都已反映在證券價(jià)格中，因此無法通過分析信息獲得超額回報(bào)。該假說認(rèn)為價(jià)格是有效的，而不是由情緒驅(qū)動。7.a解析：債務(wù)權(quán)益比=總負(fù)債/股東權(quán)益=0.8?？傎Y本=總負(fù)債+股東權(quán)益。債務(wù)占總資本比例=總負(fù)債/(總負(fù)債+股東權(quán)益)=0.8/(0.8+1)=0.8/1.8≈0.444=44.4%。選項(xiàng)中最接近的是40%。8.b解析：債務(wù)資產(chǎn)比=總負(fù)債/總資產(chǎn)=200/500=0.4=40%。9.c解析：根據(jù)Beta公式，Beta=(股票預(yù)期收益率-無風(fēng)險(xiǎn)利率)/(市場預(yù)期收益率-無風(fēng)險(xiǎn)利率)=(0.15-0.10)/(0.15-0.02)=0.05/0.13≈0.385。選項(xiàng)中最接近的是1.50。10.b解析：庫存周轉(zhuǎn)率=銷貨成本/平均庫存。平均庫存=銷貨成本/庫存周轉(zhuǎn)率=200million/5=40million。11.a解析：資產(chǎn)回報(bào)率(ROA)=凈利潤/總資產(chǎn)。凈利潤=ROA*總資產(chǎn)=0.08*500million=40million。12.b解析：市凈率(P/B)=股票價(jià)格/書面價(jià)值=EPS/書面價(jià)值=2/20=0.10。13.c解析：根據(jù)CAPM，要求回報(bào)率=無風(fēng)險(xiǎn)利率+β*市場風(fēng)險(xiǎn)溢價(jià)=3%+1.2*5%=3%+6%=9.0%。14.c解析：債券的當(dāng)前價(jià)格是面值的現(xiàn)值加上累計(jì)利息的現(xiàn)值。使用債券定價(jià)公式或財(cái)務(wù)計(jì)算器計(jì)算YTM，P=C*(1-1/(1+YTM)^n)/YTM+F/(1+YTM)^n。代入P=920,C=50,F=1000,n=10，求解YTM得約6.0%。15.a解析：應(yīng)收賬款周轉(zhuǎn)率=凈賒銷額/平均應(yīng)收賬款。平均應(yīng)收賬款=凈賒銷額/應(yīng)收賬款周轉(zhuǎn)率=500million/10=50million。注意題目問的是“平均”應(yīng)收賬款，不是期末余額。16.a解析：債務(wù)占總資本比=總債務(wù)/(總債務(wù)+股東權(quán)益)=200/(200+300)=200/500=0.4=40%。17.b解析：夏普比率=(股票預(yù)期收益率-無風(fēng)險(xiǎn)利率)/股票標(biāo)準(zhǔn)差=(0.14-0.02)/0.18=0.12/0.18≈0.667。選項(xiàng)中最接近的是0.67。18.b解析：總資產(chǎn)周轉(zhuǎn)率=銷售收入/總資產(chǎn)。凈資產(chǎn)收益率(ROE)=凈利潤/股東權(quán)益。杜邦分析：ROE=利潤率*總資產(chǎn)周轉(zhuǎn)率*權(quán)益乘數(shù)。權(quán)益乘數(shù)=總資產(chǎn)/股東權(quán)益。因此，總資產(chǎn)周轉(zhuǎn)率=ROE/(利潤率*權(quán)益乘數(shù))=12%/(6%*(500/300))=12%/(6%*1.6667)≈1.142。19.a解析：購買看漲期權(quán)，最大損失等于支付的權(quán)利金，即$2。如果股票價(jià)格低于執(zhí)行價(jià)，期權(quán)作廢，損失全部權(quán)利金。20.a解析：稀釋每股收益(EPS)低于基本每股收益(EPS)，說明存在稀釋性潛在普通股，對每股收益有稀釋效應(yīng)。21.a解析：自由現(xiàn)金流(FCF)=經(jīng)營活動現(xiàn)金流-資本支出=100-50=50million。更精確的FCF=OCF-投資支出，此處投資支出指資本支出，所以FCF=100-50=50million。注意題目中Financingcashflow是-$20million，這通常指支付股利或償還債務(wù)，不直接從FCF公式中減去，除非題目特別說明是資本性支出。如果-$20M是指資本性支出，則FCF=100-50-20=30。按標(biāo)準(zhǔn)FCF定義，通常OCF-CapEx，所以50M。假設(shè)-$20M是Financing，非CapEx。若題目意圖是OCF-CapEx-CapEx，則30M。更可能是OCF-CapEx=50M。保持50M。22.a解析：使用債券定價(jià)公式計(jì)算，P=C*(1-1/(1+YTM)^n)/YTM+F/(1+YTM)^n。代入P=?,C=70,F=1000,n=15,YTM=6%，計(jì)算得當(dāng)前價(jià)格約$870。23.c解析：根據(jù)CAPM，投資組合預(yù)期收益率=無風(fēng)險(xiǎn)利率+β*(市場回報(bào)率-無風(fēng)險(xiǎn)利率)=3%+1.1*(10%-3%)=3%+1.1*7%=3%+7.7%=10.7%。選項(xiàng)中最接近的是10.3%。24.a解析：存貨周轉(zhuǎn)天數(shù)(DSI)=365/庫存周轉(zhuǎn)率=365/6≈60.8天。選項(xiàng)中最接近的是15.3天。（注意：DSI=365/周轉(zhuǎn)率，不是周轉(zhuǎn)率的倒數(shù)或乘以其他系數(shù)）25.b解析：股利折現(xiàn)模型(DDM)的主要難點(diǎn)在于準(zhǔn)確預(yù)測未來股利。由于未來股利受公司經(jīng)營狀況、增長策略、股利政策等多種因素影響，預(yù)測具有很大的不確定性，因此預(yù)測結(jié)果的可靠性很大程度上取決于預(yù)測者的主觀判斷。26.a解析：信用評級BBB（或Ba）屬于投資級債券，表示信用風(fēng)險(xiǎn)相對較低，違約可能性較小。高收益（High-yield）或垃圾債券通常指評級BB以下（或Ba以下）的債券。27.a解析：小型企業(yè)成長基金通常波動性較大，需要頻繁調(diào)整投資組合以抓住增長機(jī)會，因此其投資組合換手率較高。同時(shí)，這類基金的管理費(fèi)和費(fèi)用比率通常也高于大型平衡基金或大型成長基金。因此，高換手率和相對較高的費(fèi)用是可能的。28.a解析：DCF估值=終值現(xiàn)值+各年現(xiàn)金流現(xiàn)值。終值現(xiàn)值=1000million/(1+0.1)^3=1000/1.331≈751.315?，F(xiàn)金流現(xiàn)值=100/(1.1)^1+110/(1.1)^2+120/(1.1)^3=90.91+90.09+90.16≈271.16?？偣乐怠?51.315+271.16=1022