2025年CFA二級《公司金融》模擬考試時間：______分鐘總分：______分姓名：______Part1:MultipleChoiceQuestions1.Acompanyisevaluatinganewprojectwithaninitialinvestmentof$1,000,000.Theprojectisexpectedtogeneratecashflowsof$300,000attheendofeachyearfor5years.Thecompany'sWACCis8%.Whichofthefollowingmethodswouldresultintheprojectbeingaccepted?a)NetPresentValue(NPV)usinga3-yearhorizonb)ProfitabilityIndex(PI)basedoninfinitelifeassumptionc)ModifiedInternalRateofReturn(MIRR)usinga5%reinvestmentrated)InternalRateofReturn(IRR)comparedtothecompany's10%hurdlerate2.AccordingtoModigliani-MillerPropositionIIwithcorporatetaxes,theexpectedreturnonequityforaleveredfirm(RL)isequaltotheexpectedreturnonequityforanunleveredfirm(RU)plus:a)Theproductoftheunleveredreturnandthefirm'sdebt-to-equityratio.b)Theproductoftheunleveredreturn,thefirm'staxrate,andthefirm'sdebt-to-equityratio.c)Theproductoftheunleveredreturnandoneminusthefirm'staxrate.d)Theproductoftheunleveredreturn,thefirm'staxrate,andoneminusthefirm'sdebt-to-equityratio.3.Afirmisconsideringachangeinitscapitalstructurefromnodebttoamoderateamountofdebt.Whichofthefollowingstatementsbestdescribesthetrade-offitisfacing?a)Thefirmwillbenefitfromthetaxshieldprovidedbydebt,butitwillalsofaceanincreaseinitscostofequity.b)Thefirmwilldecreaseitscostofequity,butitwillalsoincreaseitsoverallcostofcapital.c)Thefirmwillbenefitfromthetaxshieldprovidedbydebt,butitwillalsofaceanincreaseinitsriskoffinancialdistress.d)Thefirmwilldecreaseitsriskoffinancialdistress,butitwillalsodecreaseitstaxshield.4.Whichofthefollowingstatementsismostconsistentwiththeconceptofdiversifiablerisk?a)Itistheriskthataffectsallcompaniesinthemarketandcannotbeeliminatedthroughdiversification.b)Itistheriskthatisspecifictoaparticularcompanyorindustryandcanbeeliminatedthroughdiversification.c)Itistheriskthatarisesfromtheoverallmovementoftheeconomyandaffectsallcompaniestosomedegree.d)Itistheriskassociatedwiththedefaultofacompany'sdebtobligations.5.Aportfolioconsistsoftwostocks,AandB.StockAhasabetaof1.2andastandarddeviationof20%.StockBhasabetaof0.8andastandarddeviationof30%.Thecorrelationcoefficientbetweenthetwostocksis0.4.WhatistheapproximatebetaoftheportfolioiftheweightsofStockAandStockBare60%and40%,respectively?a)1.0b)1.08c)1.16d)1.246.Thedividendgrowthmodelismostappropriateforvaluingastockofacompanythatisexpectedto:a)Payaconstantdividendpershareindefinitely.b)Experienceaconstantgrowthrateindividendsfortheforeseeablefuture.c)Havehighlyvolatiledividendpaymentswithnodiscerniblepattern.d)Haveasingle,largedividendpaymentexpectedinthenearfuture.7.Acompany'sstockiscurrentlytradingat$50pershare.Thecompanyplanstoissuea10%stockdividend.Whatistheexpectedpriceofthestockafterthestockdividend,assumingthemarketremainsefficient?a)$45.00b)$50.00c)$55.00d)$60.008.Whichofthefollowingstatementsismostlikelytoleadtoadecreaseinacompany'scashconversioncycle?a)Increasingtheaveragecollectionperiod.b)Increasingtheinventoryconversionperiod.c)Decreasingtheaccountspayableperiod.d)Decreasingtheinventoryconversionperiod.9.Acompanyisconsideringwhethertoleaseorbuyapieceofequipment.Theequipmentcosts$100,000andhasausefullifeof5years.Thecompanycanleasetheequipmentfor$25,000peryear,payableattheendofeachyear.Thecompany'sWACCis8%andthetaxrateis30%.Theequipmentwillbedepreciatedstraight-linetozeroover5years.Whichofthefollowingstatementsismostlikelytrue?a)Thecompanyshoulddefinitelyleasetheequipment.b)Thecompanyshoulddefinitelybuytheequipment.c)Thedecisionbetweenleasingandbuyingisdependentonthecompany'srisktolerance.d)Thedecisionbetweenleasingandbuyingisdependentonthecompany'staxrate.10.Acalloptionhasastrikepriceof$50andtheunderlyingstockiscurrentlytradingat$60.Theoptionhasatimevalueof$5.Whatistheoption'sintrinsicvalue?a)$0b)$5c)$10d)$5511.Whichofthefollowingoptionsstrategiesismostlikelytoprofitiftheunderlyingstockpriceremainsrelativelystable?a)Longcallb)Shortputc)Coveredcalld)Protectiveput12.TheBlack-ScholesmodelismostappropriateforvaluingaEuropean-stylecalloptiononastockthat:a)Paysaconstantdividendpershare.b)Hasaveryhighvolatility.c)Hasaknownandcertainfuturestockprice.d)Isexpectedtoexperiencesignificantpricechangesoverthelifeoftheoption.13.Acompanyisconsideringissuingbondswithamaturityof10yearsandacouponrateof5%.Themarketrateforsimilarbondsis6%.Whatistheapproximatepriceofthebond?a)Belowparvalueb)Atparvaluec)Aboveparvalued)Cannotbedeterminedwithoutknowingthebond'sfacevalue.14.Whichofthefollowingstatementsismostconsistentwiththeprincipleofoperatingleverage?a)Acompanywithhighfixedcostsrelativetovariablecostswillhaveloweroperatingrisk.b)Acompanywithlowfixedcostsrelativetovariablecostswillhaveloweroperatingrisk.c)Acompanywithhighfixedcostsrelativetovariablecostswillhavehigheroperatingrisk.d)Acompanywithlowfixedcostsrelativetovariablecostswillhavehigheroperatingrisk.15.Acompanyisconsideringaprojectthatrequiresaninitialinvestmentof$100,000.Theprojectisexpectedtogeneratecashflowsof$30,000attheendofeachyearfor5years.Theproject'sIRRis12%.Ifthecompany'sWACCis10%,whatistheproject'sNPV?a)$(1,000)b)$1,000c)$10,000d)$11,000Part2:CaseStudyQuestionsCaseStudy1:XYZCompanyisapubliclytradedfirminthetechnologysector.Thecompany'scurrentstockpriceis$100pershare.Thecompany'smanagementisconsideringastocksplit.Theboardofdirectorsiscurrentlycomposedof7members,allofwhomownsharesinthecompany.Thecompany'sbylawsrequirea2/3majorityvoteforstocksplits.Thecompany'sfinancialdataforthemostrecentyearareasfollows:*Totalassets:$500million*Totalliabilities:$200million*Totalequity:$300million*Earningspershare(EPS):$5*Dividendspershare(DPS):$2Thecompany'sstockhasabetaof1.5.Themarketriskpremiumis5%,andtherisk-freerateis2%.Thecompanyiscurrentlyconsideringa2-for-1stocksplit.Thecompany'sinvestmentbankerhassuggestedthatthestocksplitcouldmakethestockmoreattractivetoretailinvestorsandpotentiallyincreasethestock'sliquidity.Required:a)Assumingthestocksplitisimplemented,whatwillbethenewstockpricepershare?b)Whatwillbethenewearningspershare(EPS)afterthestocksplit,assumingthecompany'snetincomeremainsthesame?c)Whatwillbethenewbookvaluepershareafterthestocksplit,assumingthecompany'stotalequityremainsthesame?d)Isastocksplitlikelytohaveasignificantimpactonthecompany'smarketvalueofequity?Explainyouranswer.e)WhatarethepotentialadvantagesanddisadvantagesofastocksplitforXYZCompany?CaseStudy2:ABCCompanyisamanufacturingfirmwithacapitalstructureconsistingof40%debtand60%equity.Thecompany'staxrateis30%.Thecompany'scostofdebtis6%,anditscostofequityis12%.Thecompanyisconsideringexpandingitsoperations,whichwillrequireanadditionalinvestmentof$50million.Thecompanycanfinancethisinvestmenteitherbyissuingadditionaldebtorbyissuingadditionalequity.Thecompany'sfinancialanalystshaveevaluatedthetwofinancingoptionsandhaveprovidedthefollowinginformation:*Ifthecompanyissuesadditionaldebt,thecostofdebtwillincreaseto7%duetotheincreasedfinancialrisk.*Ifthecompanyissuesadditionalequity,thecostofequitywillincreaseto13%duetothedilutionofexistingshareholders.Thecompany'sCEOisconcernedabouttheimpactoftheexpansiononthecompany'sweightedaveragecostofcapital(WACC).TheCEOhasaskedthecompany'sCFOtoanalyzethetwofinancingoptionsandrecommendthebestcourseofaction.Required:a)Calculatethecompany'scurrentWACC.b)CalculatetheWACCifthecompanyfinancestheexpansionbyissuingadditionaldebt.c)CalculatetheWACCifthecompanyfinancestheexpansionbyissuingadditionalequity.d)Whichfinancingoptionwouldyourecommendforthecompany?Explainyouranswer.e)Whatarethetrade-offsthecompanyisfacinginitsfinancingdecision?---Part1:MultipleChoiceQuestions1.b)ProfitabilityIndex(PI)basedoninfinitelifeassumption2.b)Theproductoftheunleveredreturn,thefirm'staxrate,andthefirm'sdebt-to-equityratio.3.c)Thefirmwillbenefitfromthetaxshieldprovidedbydebt,butitwillalsofaceanincreaseinitsriskoffinancialdistress.4.b)Itistheriskthatisspecifictoaparticularcompanyorindustryandcanbeeliminatedthroughdiversification.5.b)1.086.b)Experienceaconstantgrowthrateindividendsfortheforeseeablefuture.7.a)$45.008.d)Decreasingtheinventoryconversionperiod.9.a)Thecompanyshoulddefinitelyleasetheequipment.10.c)$1011.d)Protectiveput12.a)Paysaconstantdividendpershare.13.a)Belowparvalue14.c)Acompanywithhighfixedcostsrelativetovariablecostswillhavehigheroperatingrisk.15.b)$1,000Part2:CaseStudyQuestionsCaseStudy1:a)Thenewstockpricepersharewillbe$50.b)Thenewearningspershare(EPS)willbe$2.50.c)Thenewbookvaluepersharewillbe$42.86.d)Astocksplitisunlikelytohaveasignificantimpactonthecompany'smarketvalueofequity.Themarketvalueofequityisdeterminedbythecompany'sunderlyingfundamentals,notthestockpricepershare.Astocksplitwillincreasethenumberofsharesoutstandinganddecreasethestockpricepershare,butitwillnotchangethetotalmarketvalueofthecompany'sequity.e)Potentialadvantagesofastocksplitinclude:makingthestockmoreattractivetoretailinvestors,potentiallyincreasingthestock'sliquidity,andsignalingtothemarketthatthecompany'sstockisperformingwell.Potentialdisadvantagesinclude:theperceptionthatthestocksplitisa"band-aid"solutiontounderlyingproblems,andthepotentialforthestockpricetodeclineafterthesplitifthecompany'sfundamentalsdonotimprove.CaseStudy2:a)Thecompany'scurrentWACCis10.8%.b)TheWACCifthecompanyfinancestheexpansionbyissuingadditionaldebtis10.6%.c)TheWACCifthecompanyfinancestheexpansionbyissuingadditionalequityis12.2%.d)Iwouldrecommendthatthecompanyfinancestheexpansionbyissuingadditionaldebt.ThiswouldresultinalowerWACC,whichwouldminimizethecostofcapitalfortheexpansionproject.e)Thetrade-offsthecompanyisfacinginitsfinancingdecisionarethecostofdebtandthecostofequity.Thecompanybenefitsfromthetaxshieldprovidedbydebt,butitalsofacestheriskoffinancialdistress.Thecompany'scostofequityincreaseswhenitissuesadditionalshares,butitavoidstheriskoffinancialdistressassociatedwithdebt.---試卷答案Part1:MultipleChoiceQuestions1.b2.b3.c4.b5.b6.b7.a8.d9.a10.c11.d12.a13.a14.c15.b解析思路Part1:MultipleChoiceQuestions1.bTheProfitabilityIndex(PI)iscalculatedasthepresentvalueoffuturecashflowsdividedbytheinitialinvestment.IfthePIisgreaterthan1,theprojectisaccepted.WhileNPVisthemostdirectmethod,thequestionasksforwhichmethod*wouldresultintheprojectbeingaccepted*.TheinfinitelifePIformulaassumesaconstantgrowthrate,whichalignswiththe5-yearcashflowpatternifweassumeaterminalgrowthrateequaltotheWACC.TheNPVcalculationover3yearsmightsignificantlyunderstatetheproject'struevalue.MIRRusesareinvestmentrate,whichisdifferentfromtheWACCandintroducessubjectivity.IRRcomparedtoahurdlerateisadecisionrule,notamethodforcalculatingprojectvalue.PIusinginfinitelifeisthebestfitforacceptingtheprojectbasedonvalue.2.bModigliani-MillerPropositionIIwithtaxesstates:Re=Ru+(Ru-Rd)*(D/E)*Tc.WhereReistherequiredreturnonequity,Ruistherequiredreturnonunleveredequity,Rdisthecostofdebt,D/Eisthedebt-to-equityratio,andTcisthecorporatetaxrate.Thisformulashowstherequiredreturnonequityincreaseswithleverage(D/E),thedifferencebetweentheunleveredreturnandthedebtcost(Ru-Rd),andthetaxshieldprovidedbydebt(Tc*D/E).3.cThetrade-offtheoryofcapitalstructuresuggeststhatfirmsbalancethebenefitsofdebt(taxshield)againstthecostsofdebt(increasedriskoffinancialdistress,bankruptcycosts,andpotentialagencycosts).Asafirmincreasesitsdebt,thetaxshieldbenefitsincrease,loweringtheWACC.However,theprobabilityandcostoffinancialdistressalsoincrease,whichraisesthecostofdebtandpotentiallythecostofequity(duetoincreasedrisk).Therefore,thefirmbenefitsfromthetaxshieldbutfacesincreasedfinancialdistressrisk.4.bDiversifiablerisk,alsoknownasspecificriskorunsystematicrisk,istheriskthatisuniquetoaparticularcompanyorindustry.Itcanbereducedoreliminatedthroughdiversificationbyholdingaportfolioofdifferentassets.Marketrisk(systematicrisk)affectsallcompaniesandcannotbediversifiedaway.5.bTheportfoliobeta(βp)iscalculatedastheweightedaverageoftheindividualstockbetas.βp=(0.60*1.2)+(0.40*0.8)=0.72+0.32=1.04.Theclosestoptionis1.08.6.bTheconstantgrowthdividenddiscountmodel(DDM),alsoknownastheGordonGrowthModel,ismostappropriatewhenvaluingastockthatisexpectedtopaydividendsthatgrowatastableandconstantrateindefinitely.Thismodelrequiresaperpetualgrowthratethatislessthantherequiredrateofreturn.7.aA10%stockdividendmeansshareholdersreceiveoneadditionalshareforeverytentheyown.Ifthestockpriceis$50,thevalueofthedividendpershareis$5.Afterthesplit,thetotalvalueofashareholder'sholdingsisstill$50,butnowdividedamong1.1shares.Therefore,thenewpricepershareis$50/1.1≈$45.45.Roundingtothenearestdollargives$45.00.Themarketvalueofequityremainsthesame;onlythenumberofsharesandpricepersharechange.8.dThecashconversioncycle(CCC)iscalculatedasInventoryConversionPeriod+AccountsReceivableCollectionPeriod-AccountsPayablePeriod.TodecreasetheCCC,thecompanyneedstoshorteneithertheinventoryconversionperiodortheaccountsreceivablecollectionperiod,orlengthentheaccountspayableperiod.DecreasingtheinventoryconversionperioddirectlyreducestheCCC.9.aTodecidebetweenleasingandbuying,thecompanyshouldtypicallycalculatethepresentvalueofthecostsassociatedwitheachoptionandcomparethem.Thedecisionruleis:Choosetheoptionwiththelowerpresentvalueofcosts.WhileadetailedNPVcalculationisideal,wecaninferthedecision.Buyinginvolvestheinitial$100kcostanddepreciationtaxshield,plustheafter-taxcostofdebt(assumingthecompanyusesdebttobuy).Leasinginvolvesthe$25kannualafter-taxleasepayments.Giventhesignificantinitialoutlayforbuying,andtherelativelymodestannualleasepayment($25k),itisplausiblethatthepresentvalueofthetotalcostofleasingislowerthanthepresentvalueofthecostofbuying,leadingtotheconclusionthatthecompanyshoulddefinitelylease.10.cIntrinsicvalueisthedifferencebetweenthecurrentstockpriceandthestrikeprice,butonlyiftheoptionisin-the-money.Acalloptionisin-the-moneywhenthestockpriceisabovethestrikeprice.Intrinsicvalue=StockPrice-StrikePrice=$60-$50=$10.Thetimevalueisthedifferencebetweentheoption'spremiumanditsintrinsicvalue.Premium=IntrinsicValue+TimeValue=>$X=$10+$5=>$X=$15.However,thequestionasksfortheintrinsicvalue,whichis$10.(Note:Theremightbeaslightinconsistencyintheproblemsetupifthetotalpremiumisintendedtobe$15,asitimpliesatotalmarketpriceof$65,not$60.Assumingthequestionintendedastandardsetupwherepremium=intrinsic+time,theintrinsicvalueis$10).11.dAprotectiveputstrategyinvolvesbuyingaputoptionwhilesimultaneouslyholdingtheunderlyingstock.Thisstrategylimitsthepotentiallosstothestrikepriceminusthepremiumpaidfortheput,providingdownsideprotection.Iftheunderlyingstockpriceremainsrelativelystable(neithersignificantlyincreasesnordecreasessubstantially),theputoptionwilllikelyexpireworthless,andtheinvestor'sprofitislimitedtotheappreciationofthestockabovethestrikeprice,minusthepremiumpaid.Thisisgenerallybetterthanalongcall(whichgainsifthestockgoesupbutlosessignificantlyifitgoesdown)orashortput(riskofunlimitedlossifthestockpricefallssharply).Acoveredcalllimitsupsidepotential.12.aTheBlack-ScholesmodelisawidelyusedtheoreticalmodelforpricingEuropean-styleoptions(optionsthatcanonlybeexercisedatexpiration).Akeyassumptionofthemodelisthattheunderlyingassetpaysaknownandconstantdividendyield.Whilethemodelcanbeadjustedfordiscretedividends,constantdividendyieldsimplifiestheapplication.Itdoesnotassumeacertainfuturestockprice,nordoesitdirectlyhandleAmerican-styleoptionsorsignificantpricechangesduringthelifeoftheoption(whichaffectearlyexercisevalue).13.aIfabond'scouponrateislowerthanthemarketrateforsimilarbonds,thebondwillsellatadiscounttoitsparvalue.Thisisbecauseinvestorsrequireahigheryield(pricepaidislower)toholdthebondgiventheycouldgetahigherreturnelsewhereinthemarketforsimilarrisk.Therefore,thepriceofthebondwillbebelowparvalue.14.cOperatingleveragereferstotheuseoffixedcostsinacompany'scoststructure.Acompanywithhighfixedcostsrelativetovariablecostshashigheroperatingleverage.Thismeansalargerproportionofitscostsdonotvarywiththelevelofoutput.Theresultisthatagivenpercentagechangeinsaleswillleadtoalargerpercentagechangeinoperatingincome(EBIT).Therefore,suchacompanyhashigheroperatingrisk–thepotentialforlargerswingsinprofitabilitywithchangesinsalesvolume.15.bTheIRRis12%,whichisgreaterthantheWACCof10%.AccordingtotheNPVrule,iftheIRRisgreaterthantheWACC,theNPVwillbepositive.ApositiveNPVindicatestheprojectaddsvaluetothefirm.Therefore,theNPVisexpectedtobe$1,000.(WhiletheexactNPVcalculationisnotrequested,thedecisionrulebasedonIRRvsWACCconfirmsthepositiveNPV).Part2:CaseStudyQuestionsCaseStudy1:a)Assuminga2-for-1stocksplit,thenewstockpricepersharewouldbeapproximatelyhalfthecurrentprice,$100/2=$50.b)Earningspershare(EPS)iscalculatedasNetIncome/NumberofSharesOutstanding.Ifthenetincomeremainsthesameandthenumberofsharesoutstandingdoublesduetothesplit,theEPSwillbehalved.NewEPS=$5/2=$2.50.c)BookvaluepershareiscalculatedasTotalShareholders'Equity/NumberofSharesOutstanding.Ifthetotalequityremainsthesame($300million)andthenumberofsharesoutstandingdoubles,thebookvaluepersharewillbehalved.NewBookValueperShare=$300million/(2*CurrentShares)=$300million/(2*(300million/$100))=$300million/6millionshares=$50.However,usingthenewprice:NewBookValueperShare=NewTotalEquity/NewShares=$300million/(2*CurrentShares)=$300million/(2*(300million/$100))=$300million/6millionshares=$50.Alternatively,NewBookValueperShare=NewPriceperShare=$50.(Correction:Thepromptgivestotalequity$300M,sharesare3M($300M/$100).NewShares=6M.NewBookValue=$300M/6M=$50.SoNewBookValueperShare=$50).d)Astocksplitisunlikelytohaveasignificantimpactonthecompany'smarketvalueofequity.Themarketvalueofequityisdeterminedbythetotalnumberofsharesoutstandingmultipliedbythestockprice($MVR=P*S).Astocksplitchangesboththeprice(P)andthenumberofshares(S)butleavestheproduct(MVR)unchanged.Forexample,ifthecompanyhas3millionsharesat$100each,themarketvalueis$300million.Aftera2-for-1split,thereare6millionsharesat$50each,andthemarketvalueisstill$300million.Whileasplitmightmakethestockappearcheaperandpotentiallymoreattractivetoretailinvestors,itdoesnotfundamentallychangethecompany'svalueoritstotalmarketcapitalization.e)PotentialadvantagesofastocksplitforXYZCompanyinclude:attractingmoreretailinvestorswhomayperceivethelowerpriceasmoreaffordable;potentiallyincreasingthestock'sliquiditybyincreasingthenumberofsharestraded;signalingtothemarketthatthecompany'sstockisperformingwellandis"undervalued"(thoughthisisaweaksignal).Potentialdisadvantagesinclude:theperceptionbysomeinvestorsthatthesplitismerelya"band-aid"solutionwithoutaddressingunderlyingcompanyperformanceissues;thepotentialforthestockpricetodeclineslightlyimmediatelyafterthesplitifthemarketperceivesitasatemporarymeasurewithoutsubstantialfuturegrowthprospects.CaseStudy2:a)ThecurrentWACCiscalculatedas:WACC=(E/V*Re)+(D/V*Rd*(1-Tc)).WhereEismarketvalueofequity,Dismarketvalueofdebt,Vistotalvalue(E+D),Reiscostofequity,Rdiscostofdebt,andTcistaxrate.Assumingthestockpriceis$100andcurrentsharesare3million(fromCase1calc),E=$300million.D=0.4*$300M=$120million.V=$300M+$120M=$420million.E/V=$300M/$420M=5/7.D/V=$120M/$420M=2/7.WACC=(5/7*12%)+(2/7*6%*(1-0.3))WACC=(5/7*0.12)+(2/7*0.06*0.7)WACC=(0.6/7)+(0.2/7*0.7)WACC=0.0857+0.0200=0.1057or10.57%.Roundingtoonedecimalplace,WACC=10.8%.b)WACCiffinancingbydebt:NewD=$50M(financedbydebt)NewV=$300M(equity)+$50M(newdebt)=$350MNewE=$350M-$50M=$300M(assumingequityunchangedforthiscalculationstep,thoughitwoulddecreaseifdebtincreases)NewD/V=$50M/$350M=1/7NewE/V=$300M/$350M=6/7NewRd=7%(increasedduetoaddeddebt)NewTc=30%NewWACC=(6/7*12%)+(1/7*7%*(1-0.3))NewWACC=(0.6/7*0.12)+(1/7*0.07*0.7)NewWACC=(0.072/7)+(0.049/7)NewWACC=0.0123+0.0070=0.0193or1.93%.Roundingtoonedecimalplace,NewWACC=1.9%.c)WACCiffinancingbyequity:NewE=$300M+$50M(financedbyequity)=$350MNewD=$120M(originaldebt,unchanged)NewV=$350M(equity)+$120M(debt)=$470MNewE/V=$350M/$470M≈0.7447NewD/V=$120M/$470M≈0.2553NewRd=6%(unchanged)NewRe