2025年CFA二級《權益投資》預測題考試時間：______分鐘總分：______分姓名：______一、UsingthefollowinginformationforPQRInc.,calculateitsWeightedAverageCostofCapital(WACC).Thecompanyhasnodebt,10millionsharesoutstanding,andasharepriceof$50.Themarketriskpremiumis6%,andtheequitybetais1.2.Thecompany'srequiredrateofreturnonequityiscurrently12%.二、DescribethemainassumptionsoftheConstantGrowthDCFmodel.Whataretheprimarylimitationsofthismodelwhenvaluingacompany?三、CompanyXYZjustreporteditsannualearningspershare(EPS)of$2.00.Analystsexpectearningstogrowatarateof8%forthenexttwoyears,thentransitiontoalong-termgrowthrateof4%indefinitely.Thecompany'spayoutratiois60%,anditscurrentstockpriceis$30.UsingtheDividendDiscountModel(DDM),calculatetheimpliedrequiredrateofreturnonequityforXYZstock.Assumealldividendsarereinvestedduringthehigh-growthphase.四、Youareanalyzingtwocompaniesinthesameindustry:CompanyAandCompanyB.CompanyAhasaP/Eratioof15andearningspershare(EPS)of$3.CompanyBhasaP/Eratioof20andEPSof$2.50.Ignoringdifferencesinriskandgrowthprospects,calculatetheimpliedstockpriceforCompanyB.五、Explaintheconceptofmarketefficiency.WhatarethethreeformsoftheEfficientMarketHypothesis(EMH)?ProvideanexampleofananomalythatchallengesthestrongformofEMH.六、Aportfoliomanagerisconstructingaportfoliousingtwostocks:StockXandStockY.StockXhasanexpectedreturnof12%andabetaof1.5.StockYhasanexpectedreturnof8%andabetaof1.0.Themanagerwantstheportfoliotohaveabetaof1.2.Iftheportfolioconsistsof$600,000investedinStockXand$400,000investedinStockY,isthemanagerachievingthedesiredportfoliobeta?Ifnot,whatadjustmentsshouldbemadetotheinvestmentproportionstoachieveabetaof1.2?七、Definetheterm"valueinvesting".Describetwocommonvalueinvestingstrategiesandthetypesofsecuritiesthatmightbetargetedbyeachstrategy.八、CompanyMNOisconsideringissuingequitytofundanewproject.Theprojectrequiresaninvestmentof$100millionandisexpectedtogenerateannualfreecashflowsof$20millioninperpetuity.Ifthecompany'sWACCis10%,shouldCompanyMNOproceedwiththeprojectbasedonthisinformationalone?Justifyyouranswer.九、Describetheconceptofa"payoutratio".AcompanyhasanEPSof$4.00,apayoutratioof40%,andaretentionratioof60%.Ifthecompany'srequiredrateofreturnonequityis11%anditexpectsearningstogrowataconstantrateof5%,whatistheimpliedvaluepershareusingtheConstantGrowthDDM?十、CompareandcontrasttheCapitalAssetPricingModel(CAPM)andtheArbitragePricingTheory(APT).WhatarethekeyinputsrequiredfortheCAPM?IdentifyoneadvantageandonedisadvantageoftheAPTcomparedtotheCAPM.十一、CompanyJKLisevaluatinganinvestmentinanewtechnology.Thetechnologyrequiresaninitialinvestmentof$50millionandisexpectedtogeneratecashinflowsof$15millionattheendofyear1,$20millionattheendofyear2,and$25millionattheendofyear3.Ifthecompany'srequiredrateofreturnforthistypeofinvestmentis12%,whatistheNetPresentValue(NPV)ofthisinvestment?十二、Whatisthe"acquisitionpremium"?Whymightaacquiringcompanybewillingtopayanacquisitionpremiumwhenbuyinganothercompany?Discussthepotentialrisksassociatedwithpayinganacquisitionpremium.十三、Explaintheprincipleofdiversification.Howdoesdiversificationreduceportfoliorisk?Whatisthedifferencebetweenunsystematicriskandsystematicriskinthecontextofportfoliorisk?十四、Astockhasanexpectedreturnof14%andastandarddeviationof25%.Therisk-freerateis4%.CalculatetheSharpeRatioforthisstock.WhatdoestheSharpeRatiomeasure?十五、Describethe"dispositioneffect".Howmightthisbehavioralbiasimpactaninvestor'sportfolioperformance?試卷答案一、WACC=Re=12%(Sincethecompanyhasnodebt,WACCequalstherequiredrateofreturnonequity.)解析思路：由于公司沒有債務，其加權平均資本成本（WACC）等于其權益資本成本（Re）。題目直接給出了權益資本成本為12%，因此WACC也是12%。二、主要假設：1.公司未來現(xiàn)金流（股利）以一個恒定的速率永續(xù)增長。2.投資者要求的回報率（貼現(xiàn)率）大于股利增長rate。3.公司生命周期很長，或者投資者持有股票直至永遠。主要局限性：1.對高速增長的公司不適用，因為其增長rate很難長期維持。2.對負增長或零增長的公司不適用。3.模型對輸入?yún)?shù)（增長rate、貼現(xiàn)率）非常敏感。4.難以確定合適的永續(xù)增長rate。5.假設所有未來股利都可以用今天的股價反映，忽略了市場情緒等因素。解析思路：首先列出恒定增長模型（戈登增長模型）的核心假設。然后，分析該模型的應用限制，如對增長率的假設、對永續(xù)期的假設、對參數(shù)敏感性的問題等。三、計算：CurrentDividend(D0)=EPS*PayoutRatio=$2.00*60%=$1.20ExpectedDividendinYear1(D1)=D0*(1+g1)=$1.20*(1+8%)=$1.296ExpectedDividendinYear2(D2)=D1*(1+g1)=$1.296*(1+8%)=$1.40048ExpectedDividendinYear3(D3)=D2*(1+g2)=$1.40048*(1+4%)=$1.456392StockPriceattheendofYear2(P2)=D3/(Re-g2)=$1.456392/(Re-4%)ImpliedStockPriceToday(P0)=D1/(1+Re)+D2/(1+Re)^2+P2/(1+Re)^2$30=$1.296/(1+Re)+$1.40048/(1+Re)^2+[$1.456392/(Re-4%)]/(1+Re)^2求解Re：解析思路：首先，根據(jù)EPS和payoutratio計算當前股利（D0）。然后，根據(jù)增長rate計算未來兩年預期的股利（D1,D2）。第三年股利（D3）基于長期增長rate。由于長期增長rate小于要求回報率（否則股價無限高），需要計算第二年末的股票價格（P2），使用永續(xù)增長模型公式。最后，將所有未來現(xiàn)金流（D1,D2,P2）按要求回報率（Re）折現(xiàn)到今天，等于當前股價（$30），解出Re。四、計算：CompanyA'sEPS=$3.00CompanyA'sP/E=15CompanyA'sImpliedStockPrice=P/E*EPS_A=15*$3.00=$45.00CompanyB'sEPS=$2.50CompanyB'sImpliedStockPrice=CompanyA'sImpliedStockPrice*(EPS_B/EPS_A)=$45.00*($2.50/$3.00)=$37.50解析思路：利用可比公司A的P/Eratio和EPS計算其隱含股價。然后，假設B公司與其他公司類似（風險、增長等），其隱含股價可以通過EPS和A公司的P/Eratio進行比例推算。這里使用了EPS的比率。五、市場效率定義：市場效率是指在一個有效的市場中，資產(chǎn)價格能夠迅速且充分地反映所有可獲得的相關信息。EMHForms：1.弱式有效市場：價格已反映所有歷史價格和信息（如交易量、價格趨勢）。技術分析無效。2.半強式有效市場：價格已反映所有公開信息（如財務報表、新聞公告）。基本分析無效。3.強式有效市場：價格已反映所有公開和內(nèi)部信息。沒有任何信息來源能持續(xù)帶來超額回報。AnomalyExample：JanuaryEffect:Historically,stocks(especiallysmallcaps)tendtoexperiencehigherreturnsinthemonthofJanuary,oftenduetotax-losssellinginDecemberandsubsequent"windowdressing"byportfoliomanagers.Thiscontradictsthestrongform,asthispredictablepatternbasedoncalendartimeshouldbealreadyreflectedinpricesifthemarketweretrulystrong-formefficient.解析思路：首先定義市場效率。然后，按順序解釋三種有效市場假說的核心觀點。最后，提供一個挑戰(zhàn)強式有效市場的典型異?，F(xiàn)象例子，并簡要說明原因。六、計算：CurrentPortfolioBeta=(($600,000/($600,000+$400,000))*1.5)+(($400,000/($600,000+$400,000))*1.0)=(0.6*1.5)+(0.4*1.0)=0.9+0.4=1.3DesiredPortfolioBeta=1.2調(diào)整：Thecurrentportfoliobeta(1.3)ishigherthanthedesiredbeta(1.2).Toreducetheportfoliobeta,theproportionofthestockwiththelowerbeta(StockY)shouldbeincreased,ortheproportionofthestockwiththehigherbeta(StockX)shouldbedecreased.ExampleAdjustment:IncreaseinvestmentinStockYanddecreaseinStockX.Forinstance,ifinvestedinStockYincreasesto$500,000andStockXdecreasesto$500,000,thenewportfoliobeta=($500,000/$1,000,000*1.5)+($500,000/$1,000,000*1.0)=0.75+0.5=1.25.Furtheradjustmentneeded,orfindexactproportionssolving:x/1.5+(1-x)/1.0=1.2.解析思路：首先，計算當前投資組合的權重（$600k/($600k+$400k)=0.6和$400k/($600k+$400k)=0.4），然后乘以各自股票的Beta，加總得到當前組合Beta（1.3）。將此結(jié)果與目標Beta（1.2）比較。由于當前Beta高于目標，需要降低組合的整體Beta?？梢酝ㄟ^增加低Beta股票（Y）的權重或減少高Beta股票（X）的權重來實現(xiàn)。計算示例了第一種方法（增加Y的投入）。七、定義：價值投資是一種投資策略，旨在識別并購買那些當前市場價格低于其內(nèi)在價值的證券，并期望在未來某個時間點出售這些證券以獲得回報（即價格與價值的回歸）。策略：1.安全邊際（MarginofSafety）：購買價格顯著低于估算內(nèi)在價值的證券，為估算錯誤、未來不利變化或市場波動提供緩沖。2.逆向投資（Contrarianism）：傾向于在市場恐慌、悲觀時買入被低估的證券，在市場狂熱時賣出被高估的證券。目標證券：可能包括財務狀況穩(wěn)健但市場忽視的股票、擁有強大競爭優(yōu)勢（護城河）但估值較低的股票、處于困境但基本面有望改善的公司股票、或者具有高分紅yield且被認為被低估的股票。解析思路：首先給出價值投資的核心理念（尋找低估）。然后，描述兩種常見的價值投資方法：強調(diào)安全邊際的原則，以及作為逆向投資者的行為。最后，說明這類投資者通常關注尋找哪些類型的證券。八、計算/分析：NPV=-InitialInvestment+PVofFutureCashFlowsNPV=-$100,000,000+[$20,000,000/10%]=-$100,000,000+$200,000,000=$100,000,000決策：Yes,CompanyMNOshouldproceedwiththeproject.ThepositiveNPVof$100millionindicatesthattheprojectisexpectedtogeneratemorevaluethanitscost,creatingwealthfortheshareholders.解析思路：使用凈現(xiàn)值（NPV）公式計算。項目初始投資為$100M，未來永續(xù)現(xiàn)金流為$20M，貼現(xiàn)率為10%。計算現(xiàn)值（$20M/0.10=$200M）。NPV=$200M-$100M=$100M。由于NPV為正，表明項目預期盈利，應予以采納。九、計算：PayoutRatio=40%=DPS/EPS=$1.60/$4.00.(Thisconfirmsthegivenpayoutratio).RetentionRatio=60%.RequiredRateofReturn(Re)=11%.GrowthRate(g)=RetentionRatio*ROE.AssumingROE=Reinthiscontextforsimplicity(thoughnotexplicitlygiven),g=60%*11%=6.6%.ImpliedValueperShare(P0)=D1/(Re-g)=(EPS*PayoutRatio)/(Re-g)=($4.00*40%)/(11%-6.6%)=$1.60/4.4%=$1.60/0.044=$36.36.解析思路：首先，利用已知的EPS和PayoutRatio確認DPS。然后，根據(jù)RetentionRatio和假設的ROE（此處簡化為等于Re）計算增長rate(g)。最后，應用ConstantGrowthDDM公式，用DPS($1.60)除以貼現(xiàn)率（Re）與增長rate（g）的差值（0.11-0.066=0.044），得到股價。十、比較：*CAPM:Asingle-factormodelsuggestingtheexpectedreturnonanassetequalstherisk-freerateplusariskpremium(betatimesthemarketriskpremium).Relativelysimple,widelyusedbutcriticizedforitssingle-factornatureanddifficultyinestimatingbetaaccurately.*APT:Amulti-factormodelsuggestingtheexpectedreturnonanassetdependsonmultiplesystematicriskfactors(e.g.,inflation,interestrates,industrialproduction,size,value)inadditiontothemarketriskfactor.Moreflexibleandpotentiallymorerealisticbuthardertoempiricallyidentifythespecificfactorsandtheirsensitivities(betas).CAPMInputs:Risk-freerate,Marketreturn(orMarketriskpremium),Asset'sBeta.AdvantageofAPT:Canpotentiallyexplainassetreturnsbetterbyincorporatingmorethanjustthemarketfactor.DisadvantageofAPT:Lacksacleartheoreticalfoundationforthefactorschosen,anditismoredifficulttoestimatethefactorsensitivitiesempirically.解析思路：對比CAPM和APT的核心思想、因素數(shù)量、優(yōu)缺點。明確CAPM需要的關鍵輸入（無風險利率、市場風險溢價、貝塔）。然后，分別指出APT相對于CAPM的一個優(yōu)勢（多因素解釋力）和一個劣勢（理論基礎薄弱、實證困難）。十一、計算：PVofYear1CashFlow=$15,000/(1+12%)^1=$15,000/1.12≈$13,392.86PVofYear2CashFlow=$20,000/(1+12%)^2=$20,000/1.2544≈$15,943.88PVofYear3CashFlow=$25,000/(1+12%)^3=$25,000/1.404928≈$17,790.08NPV=-$50,000,000+$13,392.86+$15,943.88+$17,790.08≈-$50,000,000+$47,126.82=-$44,873,118.解析思路：將未來三年的現(xiàn)金流量分別按照12%的貼現(xiàn)率折算到現(xiàn)值。然后將三年的現(xiàn)值加總，最后減去初始投資額，得到凈現(xiàn)值（NPV）。由于結(jié)果為負，表明項目按當前預測和貼現(xiàn)率計算是不經(jīng)濟的。十二、定義：收購溢價是指收購方為獲得目標公司的控制權而愿意支付的價格超過目標公司當前市場價值的部分。原因：1.協(xié)同效應（Synergy）：預期收購后可能實現(xiàn)成本節(jié)約、收入增加等價值增值。2.管理層激勵/代理問題：收購可能更換不稱職的管理層，或解決股東與管理層之間的沖突。3.市場時機：在市場低迷時收購可能以較低價格實現(xiàn)控制權。4.戰(zhàn)略價值：獲取關鍵技術、品牌、市場份額或