2025年CFA二級(jí)《EquityInvestments》真題集考試時(shí)間：______分鐘總分：______分姓名：______Section1:MultipleChoiceQuestions1.AnanalystisevaluatingtheintrinsicvalueofStockAusingatwo-stagedividenddiscountmodel.Thecompanyisexpectedtogrowitsdividendsatarateof10%peryearforthenext5years,afterwhichthegrowthrateisexpectedtodeclinetoaconstantrateof5%peryearforever.TherequiredrateofreturnforStockAis12%.Thecompanyjustpaidadividendof$2pershare.WhatistheestimatedintrinsicvalueofStockA?a)$35.54b)$42.29c)$49.53d)$57.152.Acompanyhasaprofitmarginof15%,anassetturnoverof2,andafinancialleverageof1.5.Whatisthecompany'sreturnonequity(ROE)?a)22.5%b)30%c)37.5%d)45%3.Whichofthefollowingstatementsismostlikelytrueaboutastockthatiscurrentlyovervaluedaccordingtotheanalyst'smodel?a)Thestock'spriceistradingaboveitsintrinsicvalue,anditisexpectedtoexperienceasignificantpricedeclineinthenearfuture.b)Thestock'spriceistradingbelowitsintrinsicvalue,anditisexpectedtoexperienceasignificantpriceincreaseinthenearfuture.c)Thestock'spriceistradingatitsintrinsicvalue,anditisexpectedtoexperiencesteadygrowthinthenearfuture.d)Thestock'spriceistradingaboveitsintrinsicvalue,butitisnotexpectedtoexperienceasignificantpricedeclineinthenearfuture.4.Aninvestorisconsideringaddingastocktotheirportfolio.Thestockhasabetaof1.2,therisk-freerateis3%,andthemarketriskpremiumis8%.WhatistherequiredrateofreturnforthestockaccordingtotheCapitalAssetPricingModel(CAPM)?a)9.6%b)11.4%c)13.2%d)15%5.Acompany'sstockhasavolatilityof30%peryear.Therisk-freerateis2%peryear.Whatistheimpliedvolatilityofaone-yearEuropeancalloptiononthecompany'sstockwithastrikepriceof$50andacurrentpriceof$55?a)20.1%b)24.5%c)28.9%d)33.3%6.Ananalystisevaluatingtwostocks,StockXandStockY.StockXhasahigherbetaandahigherexpectedreturnthanStockY.Whichofthefollowingstatementsismostlikelytrue?a)StockXisriskierthanStockY,anditoffersahigherrisk-adjustedreturn.b)StockXislessriskythanStockY,anditoffersalowerrisk-adjustedreturn.c)Therelationshipbetweenriskandreturnisnotclearbasedontheinformationprovided.d)StockXandStockYhavethesamerisk-adjustedreturn.7.Acompany'sstockhasaprice-to-earnings(P/E)ratioof20.Thecompany'searningsareexpectedtogrowatarateof10%peryear.Whatistheimpliedgrowthrateofthecompany'sstockprice?a)5%b)10%c)15%d)20%8.Aninvestorisconsideringaddingastocktotheirportfolio.Thestockhasabetaof1.5,therisk-freerateis2%,andthemarketriskpremiumis5%.Theinvestor'srequiredrateofreturnforthestockis12%.Whatistheinvestor'sbeta-adjustedreturnonthestock?a)10.5%b)11.25%c)12%d)12.75%9.Ananalystisevaluatingthefinancialhealthofacompany.Whichofthefollowingratiosismostlikelytoindicateastrongliquidityposition?a)Debt-to-equityratiob)Currentratioc)Returnonassetsd)Price-to-bookratio10.Acompanyisconsideringissuingnewstocktofinanceanewproject.Whichofthefollowingstatementsismostlikelytrueabouttheimpactofissuingnewstockonthecompany'sexistingshareholders?a)Thenumberofsharesoutstandingwillincrease,andtheearningspershare(EPS)willdecrease.b)Thenumberofsharesoutstandingwilldecrease,andtheearningspershare(EPS)willincrease.c)Thenumberofsharesoutstandingwillincrease,andtheearningspershare(EPS)willremainunchanged.d)Thenumberofsharesoutstandingwilldecrease,andtheearningspershare(EPS)willremainunchanged.Section2:ShortAnswerQuestions11.Explainthedifferencebetweenagrowthstockandavaluestock.Provideoneexampleofeachtypeofstock.12.Describethethreeformsofmarketefficiency.Provideanexampleofeachform.13.Explaintheconceptofportfoliodiversification.Howdoesdiversificationhelptoreducerisk?14.Acompany'sstockhasabetaof1.0.Therisk-freerateis3%andthemarketriskpremiumis7%.Whatistherequiredrateofreturnforthecompany'sstockaccordingtotheCapitalAssetPricingModel(CAPM)?Ifthecompany'sstockiscurrentlytradingat$50pershareandthenextexpecteddividendis$2pershare,whatistheimpliedgrowthrateofthecompany'sdividends?15.DescribetheprocessofvaluingacompanyusingtheDiscountedCashFlow(DCF)model.WhatarethemaininputsrequiredforaDCFvaluation?Section3:CaseStudyQuestions16.Youareanequityanalystcoveringthetechnologysector.Youareevaluatingtwocompanies,CompanyTandCompanyU,bothofwhichareexpectedtogrowtheirearningsatarateof15%peryearforthenextfiveyears.Afterfiveyears,thegrowthrateisexpectedtodeclinetoaconstantrateof5%peryearforever.CompanyThasaP/Eratioof25,whileCompanyUhasaP/Eratioof20.Therequiredrateofreturnforbothcompaniesis10%.Basedonthisinformation,whichcompanyismoreundervalued?Explainyourreasoning.17.Youaremanagingastockportfoliowithatotalvalueof$1million.Yourportfolioconsistsofthefollowingstocks:|Stock|NumberofShares|PriceperShare|Beta||------------|------------------|-----------------|-------||StockA|1,000|$50|1.2||StockB|2,000|$100|0.8||StockC|3,000|$25|1.5|Therisk-freerateis2%andthemarketriskpremiumis8%.Whatistheexpectedreturnofyourportfolio?Whatistheportfolio'sbeta?Youareconsideringaddinganewstock,StockD,toyourportfolio.StockDhasapricepershareof$50,abetaof1.0,andanexpectedreturnof10%.Ifyouadd1,000sharesofStockDtoyourportfolio,whatwillbethenewexpectedreturnandbetaofyourportfolio?18.Youareaninvestorconsideringbuyingacalloptiononacompany'sstock.Thestockiscurrentlytradingat$100pershare,andthecalloptionhasastrikepriceof$110andanexpirationdateofoneyearfromtoday.Therisk-freerateis2%peryear.Theimpliedvolatilityofthecalloptionis30%.UsingtheBlack-Scholesmodel,estimatethefairvalueofthecalloption.Assumethestockpaysnodividends.19.Youareanalyzingacompany'sfinancialstatementsandhavecalculatedthefollowingratios:|Ratio|Value||-------------------------|-------------||Profitmargin|10%||Assetturnover|2||Financialleverage|1.5||Currentratio|2||Debt-to-equityratio|0.5|Basedontheseratios,whatarethestrengthsandweaknessesofthecompany'sfinancialposition?20.Acompanyisconsideringissuingnewstocktofinanceanewproject.Theprojectisexpectedtogenerateareturnof12%.Thecompany'scurrentcostofequityis10%.Ifthecompanyissuesnewstock,thecostofequityisexpectedtoincreaseto11%.Shouldthecompanyissuenewstocktofinancetheproject?Explainyourreasoning.試卷答案Section1:MultipleChoiceQuestions1.b)$42.29解析：使用現(xiàn)金流折現(xiàn)模型，將未來(lái)現(xiàn)金流折現(xiàn)到當(dāng)前值。前五年的現(xiàn)金流使用增長(zhǎng)率為10%的公式計(jì)算，后期的現(xiàn)金流使用增長(zhǎng)率為5%的公式計(jì)算。然后將所有現(xiàn)金流相加，得到股票的內(nèi)在價(jià)值。2.c)37.5%解析：使用杜邦分析公式，ROE=利潤(rùn)率x資產(chǎn)周轉(zhuǎn)率x杠桿率。將給定的利潤(rùn)率、資產(chǎn)周轉(zhuǎn)率和杠桿率代入公式，計(jì)算得到ROE。3.a)Thestock'spriceistradingaboveitsintrinsicvalue,anditisexpectedtoexperienceasignificantpricedeclineinthenearfuture.解析：如果股票的當(dāng)前價(jià)格高于其內(nèi)在價(jià)值，則該股票被認(rèn)為是高估的。高估的股票通常預(yù)計(jì)其價(jià)格將下跌，以向其內(nèi)在價(jià)值回歸。4.b)11.4%解析：使用資本資產(chǎn)定價(jià)模型（CAPM）公式，要求回報(bào)率=無(wú)風(fēng)險(xiǎn)利率+Betax市場(chǎng)風(fēng)險(xiǎn)溢價(jià)。將給定的Beta、無(wú)風(fēng)險(xiǎn)利率和市場(chǎng)風(fēng)險(xiǎn)溢價(jià)代入公式，計(jì)算得到要求回報(bào)率。5.c)28.9%解析：使用Black-Scholes模型計(jì)算期權(quán)價(jià)格，其中需要估計(jì)期權(quán)的隱含波動(dòng)率。通過(guò)迭代計(jì)算，找到使模型價(jià)格接近實(shí)際期權(quán)價(jià)格的波動(dòng)率，即為隱含波動(dòng)率。6.a)StockXisriskierthanStockY,anditoffersahigherrisk-adjustedreturn.解析：根據(jù)資本資產(chǎn)定價(jià)模型，預(yù)期回報(bào)率與風(fēng)險(xiǎn)（Beta）成正比。因此，如果StockX具有更高的Beta和更高的預(yù)期回報(bào)率，則它比StockY風(fēng)險(xiǎn)更高，并且提供了更高的風(fēng)險(xiǎn)調(diào)整回報(bào)。7.b)10%解析：如果P/E比率反映了市場(chǎng)對(duì)未來(lái)盈利增長(zhǎng)的預(yù)期，則P/E比率可以被視為隱含增長(zhǎng)率的代理指標(biāo)。在這種情況下，P/E比率等于隱含增長(zhǎng)率。8.a)10.5%解析：首先，使用CAPM公式計(jì)算Stock的預(yù)期回報(bào)率。然后，使用股票的Beta和預(yù)期回報(bào)率計(jì)算Beta調(diào)整后的回報(bào)率。Beta調(diào)整后的回報(bào)率是投資者根據(jù)股票的系統(tǒng)性風(fēng)險(xiǎn)所期望的回報(bào)率。9.b)Currentratio解析：流動(dòng)比率衡量公司償還短期債務(wù)的能力。較高的流動(dòng)比率表明公司擁有足夠的流動(dòng)資產(chǎn)來(lái)覆蓋其流動(dòng)負(fù)債，從而表明較強(qiáng)的流動(dòng)性狀況。10.a)Thenumberofsharesoutstandingwillincrease,andtheearningspershare(EPS)willdecrease.解析：發(fā)行新股會(huì)增加發(fā)行在外的股票數(shù)量，從而稀釋每股收益（EPS）。這是因?yàn)楣镜目偸找姹环謹(jǐn)偟礁嗟墓善鄙稀ection2:ShortAnswerQuestions11.Growthstocksareexpectedtogrowatanabove-averageratecomparedtoothercompaniesinthemarket.Valuestocksarestocksthatappeartobetradingforlessthantheirintrinsicorbookvalue.AnexampleofagrowthstockisAppleInc.,andanexampleofavaluestockisBankofAmericaCorp.解析：增長(zhǎng)股預(yù)計(jì)其增長(zhǎng)速度將高于市場(chǎng)平均水平。價(jià)值股是那些交易價(jià)格似乎低于其內(nèi)在或賬面價(jià)值的股票。蘋果公司是一個(gè)增長(zhǎng)股的例子，而美國(guó)銀行公司是一個(gè)價(jià)值股的例子。12.Thethreeformsofmarketefficiencyareweakformefficiency,semi-strongformefficiency,andstrongformefficiency.Weakformefficiencymeansthatcurrentpricesreflectallpasttradinginformation.Semi-strongformefficiencymeansthatcurrentpricesreflectallpubliclyavailableinformation.Strongformefficiencymeansthatcurrentpricesreflectallinformation,bothpublicandprivate.解析：市場(chǎng)效率的三種形式是弱式效率、半強(qiáng)式效率和強(qiáng)式效率。弱式效率意味著當(dāng)前價(jià)格反映了所有過(guò)去交易的信息。半強(qiáng)式效率意味著當(dāng)前價(jià)格反映了所有公開可用的信息。強(qiáng)式效率意味著當(dāng)前價(jià)格反映了所有信息，包括公共信息和私人信息。13.Portfoliodiversificationistheprocessofcombiningdifferentinvestmentsinaportfoliotoreducerisk.Diversificationhelpstoreduceriskbecauseitreducestheimpactofanysingleinvestmentperformingpoorly.Bydiversifyingacrossdifferentassets,sectors,andgeographies,aninvestorcancreateaportfoliothatislesssensitivetomarketfluctuations.解析：投資組合多元化是將不同的投資組合在一起以降低風(fēng)險(xiǎn)的過(guò)程。多元化有助于降低風(fēng)險(xiǎn)，因?yàn)樗鼫p少了任何單個(gè)投資表現(xiàn)不佳的影響。通過(guò)跨不同的資產(chǎn)、部門和地理區(qū)域進(jìn)行多元化，投資者可以創(chuàng)建一個(gè)對(duì)市場(chǎng)波動(dòng)不太敏感的投資組合。14.Requiredrateofreturn=3%+1.0*7%=10%.Impliedgrowthrate=(P0-D1/P0)/D1=(50-2/50)/2=0.04=4%.解析：使用CAPM公式計(jì)算要求回報(bào)率。然后，使用P/E比率、當(dāng)前股價(jià)和下一期預(yù)期股息計(jì)算隱含增長(zhǎng)率。15.TheprocessofvaluingacompanyusingtheDiscountedCashFlow(DCF)modelinvolvesforecastingthecompany'sfuturefreecashflows,discountingthesecashflowsbacktotheirpresentvalueusingadiscountratethatreflectstheriskofthecashflows,andthensummingthesediscountedcashflowstoarriveatthecompany'sintrinsicvalue.ThemaininputsrequiredforaDCFvaluationaretheforecastedfreecashflows,thediscountrate,andtheterminalvalue.解析：使用現(xiàn)金流折現(xiàn)（DCF）模型評(píng)估公司價(jià)值的過(guò)程包括預(yù)測(cè)公司的未來(lái)自由現(xiàn)金流，使用反映現(xiàn)金流風(fēng)險(xiǎn)的折現(xiàn)率將這些現(xiàn)金流折現(xiàn)到其現(xiàn)值，然后將這些折現(xiàn)后的現(xiàn)金流相加以得出公司的內(nèi)在價(jià)值。DCF估值所需的主要輸入是預(yù)測(cè)的自由現(xiàn)金流、折現(xiàn)率和終值。Section3:CaseStudyQuestions16.CompanyUismoreundervalued.TheP/EratioofCompanyU(20)islowerthantheP/EratioofCompanyT(25),indicatingthatCompanyUistradingatalowerpricerelativetoitsearnings.Giventhatbothcompanieshavethesamegrowthrate,requiredrateofreturn,andgrowthrateafterfiveyears,thelowerP/EratioofCompanyUsuggeststhatitsstockismoreundervalued.解析：公司U更被低估。公司U的P/E比率（20）低于公司T的P/E比率（25），這表明公司U的交易價(jià)格相對(duì)于其收益較低?？紤]到兩家公司具有相同的增長(zhǎng)率、要求回報(bào)率和五年后的增長(zhǎng)率，公司U較低的P/E比率表明其股票更被低估。17.Expectedreturnoftheportfolio=(1,000*50*1.2+2,000*100*0.8+3,000*25*1.5)/