2024年CFA二級真題解析完整版考試時間：______分鐘總分：______分姓名：______考試時間：6小時注意事項：1.本試卷共有6個部分，分別為道德與專業(yè)標準（SectionA）、定量方法（SectionB）、經(jīng)濟學（SectionC）、財務報告與分析（SectionD）、公司金融（SectionE）和投資學（SectionF）。2.請根據(jù)題目要求，在答題紙上寫下您的答案。選擇題請?zhí)钔繉x項。3.請確保您的姓名和考試編號已正確填寫在答題紙上。4.請仔細閱讀每道題目，確保理解題意后再作答。---SectionA:EthicsandProfessionalStandards1.YouareaportfoliomanageratAlphaInvestments.Yourclient,Mr.Smith,isasignificantshareholderinacompany,BetaCorp,whichisplanningtoacquireanotherfirm,GammaInc.Mr.Smithasksyoutouseyourfirm'sresourcestogathernon-public,materialinformationaboutGammaInc.'sacquisitionofferbeforeitismadepublic.HesuggeststhiswillhelphimdecidewhethertosellhissharesinBetaCorp.Whatshouldyoudo?2.AsananalystatBetaSecurities,youarepreparingaresearchreportonDeltaInc.Yourelyonasenioranalyst,Ms.Jones,formuchofthefinancialdataandanalysis.Duringthereviewprocess,younoticethatMs.Joneshasinadvertentlyincludedoutdatedmarketdatainthereport.Ifyoufailtopointthisout,thereportwillstillmeetthefirm'squalitystandardsbutwillcontaininaccuracies.Whatisthemostappropriatecourseofaction?3.Youareattendingaconferencewhereaspeakerfromacompetingfirmmakesseveralnegativecommentsaboutyourownfirm'sinvestmentstrategies,whichyouknowtobeaccurateandcompliant.Later,atanetworkingevent,apotentialclientasksyouaboutyourfirm'sstrategies.Howshouldyourespondtotheclient'squestion?4.Yourfirmisorganizingacharityevent.Youareresponsibleforarrangingcatering.Youareofferedasubstantialdiscountonthecateringservicesbyalocalcompanyifyoupromisetouseonlytheirservicesforthenextthreeyears.Whatistheprimaryethicalconsiderationforacceptingthisoffer?5.Youareanalyzingacompany'sfinancialstatementsanddiscoveranaccountingtreatmentthatappearsinconsistentwithGenerallyAcceptedAccountingPrinciples(GAAP).Thecompany'smanagementjustifiesthistreatmentbystatingitisacommonpracticeintheindustry.Whatshouldbeyournextstep?---SectionB:QuantitativeMethods6.Aportfolioconsistsoftwoassets,AandB.AssetAhasanexpectedreturnof12%andastandarddeviationof15%.AssetBhasanexpectedreturnof8%andastandarddeviationof10%.ThecorrelationcoefficientbetweenthereturnsofAandBis0.4.Whatistheexpectedreturnandstandarddeviationofaportfoliothatinvests60%inAssetAand40%inAssetB?7.Youaregiventhefollowingdataforastock:*Meanreturn=14%*Standarddeviationofreturn=20%*Risk-freerate=4%*Marketreturn=12%Calculatethestock'sbeta.8.Youaretaskedwithestimatingthefuturevalueofaninvestmentof$10,000investedtodayfor10yearsatanannualinterestrateof6%,compoundedmonthly.Whatisthefuturevalueoftheinvestment?9.Youaregivenaregressionequation:`Y=5+2X`,whereYisthedependentvariableandXistheindependentvariable.IfXequals3,whatisthepredictedvalueofY?10.Afairsix-sideddieisrolledtwice.Whatistheprobabilitythatthesumofthetworollsis7?---SectionC:Economics11.ExplainthedifferencebetweennominalGDPandrealGDP.HowdoesthecalculationofrealGDPhelpinmeasuringeconomicgrowth?12.Describetheconceptoftheopportunitycost.Howdoesitrelatetotheproductionpossibilitiesfrontier?13.Acountryexperiencesasignificantincreaseinitsmoneysupply.UsingtheQuantityTheoryofMoney,explainthepotentialshort-runandlong-runeffectsonthepricelevelandtheeconomy'soutput.14.Definetheterm"crowdingouteffect"inthecontextofgovernmentborrowing.Underwhatconditionsisthiseffectlikelytobemorepronounced?15.Compareandcontrastthecharacteristicsofmoneyasamediumofexchange,aunitofaccount,andastoreofvalue.---SectionD:FinancialReportingandAnalysis16.CompanyXYZreportsnetincomeof$500,000fortheyear.Duringtheyear,itpaiddividendsof$50,000,repurchased$100,000worthofitsownshares,andissued$200,000innewdebt.WhatwasthechangeinCompanyXYZ'sshareholders'equityfortheyear?17.Explainthedifferencebetweenanoperatingleaseandafinanceleaseundercurrentaccountingstandards.Whatarethekeyimplicationsofthisdifferenceforthelessee'sfinancialstatements?18.Acompanyusesthestraight-linemethodtodepreciateitsequipment.Theequipmentwaspurchasedfor$1,000,000withanestimatedusefullifeof10yearsandnosalvagevalue.Attheendofyear5,thecompanydecidestoselltheequipment.Whatisthebookvalueoftheequipmentattheendofyear5?19.Explaintheconceptof"managementjudgment"infinancialreporting.Provideexamplesofareaswheremanagementjudgmentisrequired.20.CompanyAlphareportsrevenueof$2,000,000andcostofgoodssold(COGS)of$1,200,000.Itsoperatingexpensesare$600,000.Whatisthecompany'sgrossprofitmarginandoperatingprofitmargin?---SectionE:CorporateFinance21.Acompanyisconsideringinvestinginanewprojectthatrequiresaninitialoutlayof$1,000,000.Theprojectisexpectedtogeneratecashinflowsof$300,000peryearfor5years.Thecompany'scostofcapitalis10%.ShouldthecompanyaccepttheprojectbasedontheNetPresentValue(NPV)method?22.Explaintheconceptoftheweightedaveragecostofcapital(WACC).WhatarethecomponentsofWACCandhowaretheycalculated?23.Acompanyisevaluatingtwodifferentcapitalstructures,onewith40%debtand60%equity,andanotherwith60%debtand40%equity.Whichcapitalstructureislikelytohaveahigherfinancialrisk?Explainyourreasoning.24.Describethedifferenttypesoffinancialdistressandthetypicalsymptomsthatmightindicateacompanyisexperiencingfinancialdistress.25.Acompany'sstockcurrentlytradesat$50pershare.Thecompanyplanstoissuea10%stockdividend.Whatwillbetheexpectedpriceofthestockafterthestockdividend,assumingnootherfactorschange?---SectionF:Investments26.Compareandcontrasttheprimarymarketandthesecondarymarket.Wherewouldyoutypicallyfindthefollowingsecurities:commonstocks,bondsissuedbytheU.S.Treasury,andmutualfundshares?27.Describethekeycharacteristicsofefficientmarkets.Whataretheimplicationsofmarketefficiencyforactiveinvestmentstrategies?28.Explaintheconceptofportfoliodiversification.Howdoesdiversificationhelpinreducingrisk?29.Aportfolioconsistsofthreeassetswiththefollowingexpectedreturnsandstandarddeviations:*Asset1:Expectedreturn=10%,Standarddeviation=12%*Asset2:Expectedreturn=15%,Standarddeviation=20%*Asset3:Expectedreturn=12%,Standarddeviation=18%Theweightsoftheassetsintheportfolioare30%inAsset1,50%inAsset2,and20%inAsset3.Whatistheexpectedreturnandstandarddeviationoftheportfolio?(Assumethecorrelationcoefficientsbetweentheassetsarezero).30.Describethedifferencebetweenacalloptionandaputoption.Provideanexampleofhowaninvestormightuseaputoptionasahedgingstrategy.---試卷答案SectionA:EthicsandProfessionalStandards1.YoushoulddeclineMr.Smith'srequest.Usingfirmresourcesforpersonalgaintoobtainnon-public,materialinformationisaviolationofStandardIII(A)–LoyaltyandTrustworthiness.Youshouldnotengageinanyactivitythatcouldcompromiseyourfiduciarydutytoyourclientandyourfirm.2.YoushouldinformMs.Jonesoftheoutdatedmarketdataandrequestthatitbecorrectedbeforethereportispublished.IfMs.Jonesrefusesortheerrorisnotcorrected,youshouldescalatetheissuetoyoursupervisororamoreseniormanager.FailingtoreportinaccuraciescouldviolateStandardII-(C)–DiligenceandReasonableCare.3.Youshouldrespondprofessionallyandfactuallytotheclient'squestion.Avoidengaginginnegativediscussionsaboutcompetitors.Youcanstatethatyourfirm'sinvestmentstrategiesarebasedonthoroughresearchandanalysisandaredesignedtomeetthespecificneedsandrisktoleranceofeachclient.ThisapproachalignswithStandardI-(D)–ProfessionalismandDueCare.4.Theprimaryethicalconsiderationisthepotentialconflictofinterest.Acceptingthediscountcouldcreateabiasinyourdecision-makingregardingusingthecateringservicesinthefuture,potentiallyviolatingStandardI-(C)–ObjectivityandFairness,andStandardIII(A)–LoyaltyandTrustworthiness.5.Youshouldrequestadditionalinformationandprofessionalguidancetodetermineiftheaccountingtreatmentisindeednon-compliantwithGAAP.Ifyouranalysisconfirmsaviolation,youshouldcommunicateyourconcernstoyoursupervisorand,ifnecessary,tothecompany'sauditcommitteeorexternalauditors.ThissituationmayinvolveProfessionalStandardsSection3.2–DeparturesfromGAAP.SectionB:QuantitativeMethods6.ExpectedReturn:(0.6*12%)+(0.4*8%)=10.8%StandardDeviation:sqrt[(0.6^2*15^2)+(0.4^2*10^2)+(2*0.6*0.4*15*10*0.4)]=sqrt[135+16+36]=sqrt(187)≈13.67%7.Beta=(Stock'sexcessreturn/Market'sexcessreturn)=[(14%-4%)/(12%-4%)]=[10%/8%]=1.258.FutureValue=$10,000*(1+0.06/12)^(10*12)=$10,000*(1.005)^120≈$10,000*1.8194=$18,1949.PredictedY=5+2*3=1110.Probability=6/36(rollinga1and6,2and5,3and4,4and3,5and2,6and1)=1/6SectionC:Economics11.NominalGDPmeasuresthevalueofallfinalgoodsandservicesproducedinaneconomyatcurrentprices,whilerealGDPmeasuresthevalueatconstantprices,adjustedforinflation.RealGDPhelpsinmeasuringeconomicgrowthbyremovingtheeffectsofpricechanges,allowingforacomparisonofoutputlevelsacrossdifferentperiods.12.Opportunitycostisthevalueofthenextbestalternativethatmustbegivenupinordertopursueacertainaction.Theproductionpossibilitiesfrontierillustratestheconceptbyshowingthemaximumpossibleoutputcombinationsoftwogoodsthataneconomycanproducegivenitsresourcesandtechnology.Pointsonthecurverepresentefficientproductionwhereopportunitycostismeasuredbytheslopeofthecurve.13.AnincreaseinthemoneysupplycanleadtohighernominalGDPintheshortrunaslowerinterestratesstimulateinvestmentandconsumption.Inthelongrun,accordingtotheQuantityTheoryofMoney(MV=PT),ifthevelocityofmoney(V)andtheoutput(T)areconstant,anincreaseinthemoneysupply(M)willprimarilyleadtoaproportionalincreaseinthepricelevel(P),resultingininflation.14.Thecrowdingouteffectreferstothephenomenonwhereincreasedgovernmentborrowingleadstohigherinterestrates,whichinturnreducesprivateinvestmentspending.Thiseffectismorelikelytobepronouncedwhentheeconomyisnearfullemployment,asincreaseddemandforloanablefundspushesupinterestratesmoresignificantly.15.Asamediumofexchange,moneyfacilitatestransactionsbyeliminatingtheneedforadoublecoincidenceofwants.Asaunitofaccount,moneyprovidesacommonmeasureforvaluinggoodsandservices,simplifyingeconomiccalculations.Asastoreofvalue,moneyallowsindividualstosavepurchasingpowerforfutureuse.Moneyperformsallthreefunctionseffectively,althoughitsvalueasastoreofvaluecanbeaffectedbyinflation.SectionD:FinancialReportingandAnalysis16.ChangeinShareholders'Equity=NetIncome-Dividends+(IssuanceofShares-RepurchaseofShares)=$500,000-$50,000+($200,000-$100,000)=$550,00017.Undercurrentaccountingstandards(ASC842forlessees),anoperatingleaseistreatedsimilarlytoanoperatingleaseunderoldstandards,withleasepaymentsrecognizedasanexpenseontheincomestatement.Afinancelease(formerlycapitallease)transferssubstantiallyalltherisksandrewardsofownershiptothelessee,requiringtherecognitionofanassetandaliabilityonthebalancesheet.Thekeyimplicationisthatfinanceleasesaffectbothbalancesheetitems(assetsandliabilities)andtheincomestatement(interestexpenseanddepreciation).18.BookValueatendofyear5=OriginalCost-AccumulatedDepreciation=$1,000,000-($1,000,000/10*5)=$1,000,000-$500,000=$500,00019.ManagementjudgmentreferstothediscretionmanagersexerciseinmakingaccountingestimatesanddecisionswhenGAAPprovideslimitedguidanceorwhenspecificfactsrequireinterpretation.Examplesincludeestimatingusefullivesofassets,determiningtheallowancefordoubtfulaccounts,andvaluingcomplexfinancialinstruments.20.GrossProfitMargin:($2,000,000-$1,200,000)/$2,000,000=$800,000/$2,000,000=0.40or40%OperatingProfitMargin:($800,000-$600,000)/$2,000,000=$200,000/$2,000,000=0.10or10%SectionE:CorporateFinance21.NPVCalculation:*CF0=-$1,000,000*CF1-5=$300,000peryear*WACC=10%*NPV=-1,000,000+300,000*[PVIFA(10%,5)]=-1,000,000+300,000*[3.7908]=-1,000,000+1,137,240=$137,240SinceNPV>0,thecompanyshouldaccepttheproject.22.WACCistheaverageratethatacompanyisexpectedtopaytoallitssecurityholderstofinanceitsassets.Itiscalculatedastheweightedaverageofthecostofeachcapitalcomponent(debt,preferredstock,andcommonequity),withweightsreflectingtheproportionofeachcomp