2025年CFA二級重點題考試時間：______分鐘總分：______分姓名：______試卷內(nèi)容一、選擇題1.Aninvestmentmanagerisanalyzingthecapitalstructureofacompany.Thecompanyhaspreferredstockwithaparvalueof$100andadividendrateof8%.Thepreferredstockiscurrentlytradingat$95.Thecostofpreferredstockforthecompanyisclosestto:A.8.00%B.8.42%C.10.53%2.AportfoliomanagerisevaluatingtheperformanceofastockusingtheFama-Frenchthree-factormodel.Thestockhadanalphaof1.2%,abetaof1.1,asensitivitytothesizefactor(SMB)of0.3,andasensitivitytothevaluefactor(HML)of-0.2.Themarketriskpremiumis5%,andtherisk-freerateis2%.Theportfoliomanager'sestimateofthestock'sexpectedreturn,accordingtotheFama-Frenchmodel,isclosestto:A.12.1%B.12.7%C.13.2%3.Ananalystisvaluingacompanyusingatwo-stagedividenddiscountmodel(DDM).Thecompanyisexpectedtopayadividendof$2.00thisyear(D1).Dividendsareexpectedtogrowatarateof5%forthenextthreeyears(g1).Afterthreeyears,dividendsareexpectedtogrowataconstantrateof3%indefinitely(g2).Therequiredrateofreturnonthestockis10%.Theintrinsicvalueofthestocktoday(P0)isclosestto:A.$25.80B.$27.34C.$28.924.Acompanyisconsideringissuing$1millionin5-yearfloating-ratenoteswithacouponrateofLIBOR+1%.Thecompanyalsohas$1millionin5-yearfixed-ratenoteswithacouponrateof6%.IfLIBORincreasesby1percentagepoint,thenetinterestexpense(beforetax)forthecompanywill:A.Decreaseby$10,000B.Increaseby$10,000C.Increaseby$50,0005.Aninvestorislongacalloptionwithastrikepriceof$50andapremiumof$2.Theunderlyingstockiscurrentlytradingat$55.Theinvestor'sbreak-evenpointfortheoptionstrategyisclosestto:A.$47.00B.$52.00C.$57.006.Afundmanagerisconstructingaportfolioofinternationalstocks.ThemanagerisconsideringincludingstocksfromCountryAandCountryB.TheexpectedreturnofCountryAstocksis12%,andthestandarddeviationis15%.TheexpectedreturnofCountryBstocksis8%,andthestandarddeviationis10%.ThecorrelationcoefficientbetweenthereturnsofCountryAandCountryBstocksis-0.4.TheweightsofCountryAandCountryBstocksintheportfolioare60%and40%,respectively.Theexpectedreturnandstandarddeviationoftheportfolioareclosestto:A.ExpectedReturn:10.8%,StandardDeviation:9.0%B.ExpectedReturn:10.8%,StandardDeviation:8.5%C.ExpectedReturn:11.2%,StandardDeviation:8.5%7.Aninvestorisconsideringinvestinginamutualfundthatchargesafront-endloadof5%.Theinvestorexpectstoinvest$100,000andholdtheinvestmentfor10years.Themutualfundhasanexpenseratioof1.5%.Iftheinvestor'sexpectedannualreturnonthefundis8%,thenetpresentvalue(NPV)oftheinvestment,ignoringtaxes,isclosestto:A.$69,840B.$70,820C.$71,7908.Acompanyisevaluatingacapitalbudgetingprojectwithaninitialinvestmentof$1million.Theprojectisexpectedtogeneratecashinflowsof$400,000attheendofeachofthenextthreeyears.Thecompany'sweightedaveragecostofcapital(WACC)is10%.Thepaybackperiodfortheprojectisclosestto:A.2.25yearsB.2.50yearsC.2.75years9.Ananalystiscoveringacompanyinthetechnologysector.Thecompanyrecentlyreportedearningspershare(EPS)of$2.00.Thecompany'sprice-to-earnings(P/E)ratiois25.Theanalystestimatesthatthecompany'sEPSwillgrowatarateof15%peryearforthenextfiveyears.Theintrinsicvalueofthestocktoday,basedontheanalyst'sestimates,isclosestto:A.$45.00B.$50.00C.$55.0010.Acompanyhasabondissuewithafacevalueof$1,000,acouponrateof5%,andamaturityof10years.Thebondiscurrentlytradingatayieldtomaturity(YTM)of6%.Thecurrentyieldofthebondisclosestto:A.4.50%B.5.00%C.5.50%二、情景分析題11.Aninvestmentanalystisevaluatingtwostocks,StockXandStockY,bothinthesameindustry.Theanalysthascollectedthefollowinginformation:StockX:Beta=1.2,ExpectedReturn=14%StockY:Beta=0.9,ExpectedReturn=11%Therisk-freerateis3%,andthemarketriskpremiumis8%.a.UsingtheCapitalAssetPricingModel(CAPM),calculatetherequiredrateofreturnforeachstock.b.Whichstockistheanalystmorelikelytorecommend,basedontherequiredrateofreturn?Explainyouranswer.c.Theanalystbelievesthatthebetaestimatesforthetwostocksareaccurate.Ifthemarketriskpremiumincreasesto10%,whatwillbethenewrequiredratesofreturnforStockXandStockY?12.Aportfoliomanagerismanagingadiversifiedportfolioofstocksandbonds.Theportfoliocurrentlyhasavalueof$10million.Theportfolioconsistsofthefollowingassets:AssetValueBetaStockA$4,000,0001.3StockB$2,000,0000.8BondC$3,000,0000.0Themanagerwantstoaddanewasset,AssetD,whichisexpectedtohaveabetaof1.1.Themanagerwantsthebetaoftheentireportfoliotodecreaseto1.0.ThevalueofAssetDshouldbeclosestto:A.$1,000,000B.$1,500,000C.$2,000,000Explainyouranswer.13.Acompanyisconsideringissuing$500millionin10-yearconvertiblebonds.Thebondshaveaconversionpriceof$50pershareandareconvertibleintocommonstock.Thecompany'scurrentstockpriceis$40pershare.Thebondshaveacouponrateof6%.Thecompanyalsohas$500millionin10-yearnon-convertiblebondswithacouponrateof7%.Therequiredrateofreturnonthecompany'sdebtis8%.a.Calculatetheestimatedvalueoftheconvertiblebonds,assumingtheyareconvertedintocommonstockimmediately.Thecompany'scommonstockhasabetaof1.1,therisk-freerateis2%,andthemarketriskpremiumis6%.b.Comparetheestimatedvalueoftheconvertiblebondstothevalueofthenon-convertiblebonds.Whatarethepotentialadvantagesanddisadvantagesofissuingconvertiblebondsforthecompany?c.Ifthecompany'sstockpriceincreasesto$60pershare,whatwillbetheestimatedvalueoftheconvertiblebonds?14.Aninvestorisconsideringinvestinginacompanythatisexpectedtoexperiencehighgrowthinthenextfewyears,followedbyastablegrowthphase.Thecompanyisnotcurrentlypayingdividends,buttheinvestorexpectsthecompanytostartpayingdividendsintwoyears.Theexpecteddividendinyear2(D2)is$1.00,anddividendsareexpectedtogrowatarateof20%peryearforthenexttwoyears(g1),andthenataconstantrateof5%indefinitely(g2).Therequiredrateofreturnonthestockis12%.a.Calculatetheintrinsicvalueofthestocktoday(P0)usingatwo-stagedividenddiscountmodel(DDM).b.Thestockiscurrentlytradingat$25.Whatistheimpliedrequiredrateofreturnforthestock,assumingtheDDMiscorrect?c.Discussthefactorsthatcouldexplainthedifferencebetweenthecalculatedintrinsicvalueandthecurrentmarketprice.15.Acompanyhasabondissuewithafacevalueof$1,000,acouponrateof8%,andamaturityof15years.Thebondiscurrentlytradingatayieldtomaturity(YTM)of7%.a.Calculatethecurrentyieldofthebond.b.Calculatethemodifieddurationofthebond.c.IftheYTMisexpectedtoincreaseby1percentagepoint,whatistheapproximatepercentagechangeinthepriceofthebond?d.ThecompanyisconsideringrefinancingthebondiftheYTMdecreasesto6%.CalculatethenewcurrentyieldandmodifieddurationofthebondattheYTMof6%.Basedonyourcalculations,shouldthecompanyrefinancingthebond?三、道德與專業(yè)標準題16.Aninvestmentanalystiscoveringacompanyinthepharmaceuticalindustry.Theanalysthasalongpositioninthecompany'sstockandhasbuiltastrongrelationshipwiththecompany'sCEO.TheCEOrecentlyprovidedtheanalystwithnon-publicinformationsuggestingthatthecompany'supcomingquarterlyearningswillbesignificantlyhigherthanwhatwaspreviouslyanticipated.Theanalystisconsideringusingthisinformationtogeneratea"hottip"reporttoclients,whichcouldgenerateasignificantfee.a.IdentifytherelevantethicalprinciplesfromtheCFAInstituteCodeandStandardsthatarepotentiallyviolatedinthisscenario.b.Describethepotentialconsequencesfortheanalyst,theclient,andthecompanyiftheanalystactsonthisinformation.c.WhatarethestepstheanalystshouldtaketoaddressthisethicaldilemmainaccordancewiththeCFAInstituteCodeandStandards?17.Aportfoliomanagerismanagingaportfolioofstocksforaclient.Theportfolioisheavilyinvestedinacompanythatisfacingsignificantlegalchallenges.Theportfoliomanager'sfriend,whoworksforalawfirmrepresentingthecompany,callstheportfoliomanagerandexpressesconcernsaboutthelegalcase,suggestingthatthecompanywillultimatelyprevailandthestockpricewillnotbesignificantlyaffected.Thefriendaskstheportfoliomanagertoholdontothestockandnotsellit,asdoingsowouldbedetrimentaltothecompanyanditsemployees.a.Identifythepotentialconflictsofinterestinthisscenario.b.Describethestepstheportfoliomanagershouldtaketoaddressthefriend'srequestandensurethattheclient'sinterestsareprotectedinaccordancewiththeCFAInstituteCodeandStandards.c.Discusstheimportanceofmaintainingindependenceandobjectivityintheinvestmentdecision-makingprocess.試卷答案一、選擇題1.B*解析：成本ofpreferredstock=年股息/當前股價=(100*8%)/95=0.0842=8.42%2.B*解析：預期回報=無風險利率+Beta*市場風險溢價+SensitivitytoSMB*SMB系數(shù)+SensitivitytoHML*HML系數(shù)=2%+1.1*5%+0.3*0+(-0.2)*0=2%+5.5%=7.5%+1.2%=12.7%3.C*解析：P0=D1/(k-g1)+[D1*(1+g1)^3/(k-g2)]/(1+k)^3=2/(0.10-0.05)+[2*(1+0.05)^3/(0.10-0.03)]/(1+0.10)^3=2/0.05+[2*1.157625/0.07]/1.331=40+[2.31525/0.07]/1.331=40+33.0357/1.331≈40+24.778=64.778/1.331≈28.924.B*解析：LIBOR增加1個百分點，浮動利率債券的利息支出增加1,000,000*1%=$10,000。固定利率債券的利息支出不變。因此，凈利息支出增加$10,000-$0=$10,000。5.B*解析：看漲期權盈虧平衡點=行權價+權利金=50+2=$52.006.A*解析：預期回報=wA*E(RA)+wB*E(RB)=0.6*12%+0.4*8%=7.2%+3.2%=10.8%*解析：標準差=sqrt[wA^2*σA^2+wB^2*σB^2+2*wA*wB*σA*σB*ρ]=sqrt[(0.6^2*0.15^2)+(0.4^2*0.10^2)+2*0.6*0.4*0.15*0.10*(-0.4)]=sqrt[0.0576*0.0225+0.16*0.01+2*0.6*0.4*0.15*0.10*(-0.4)]=sqrt[0.001296+0.0016-0.00336]=sqrt[0.000536]≈0.0924=9.0%7.B*解析：NPV=[-F(1+r)^-n+Σ[CFt/(1+r)^t]]/(1+r)^n=[-100,000*(1+0.08)^-10+Σ[100,000*(1-(1+0.08)^-10)/0.08/(1+0.08)^10]]/(1+0.08)^10=[-100,000*0.463193+100,000*6.710081*0.463193]/2.158925=[-46,319.30+31,027.64]/2.158925=-15,291.66/2.158925≈-70,820.40(注意：這里計算的是不考慮手續(xù)費和費用的基礎投資價值，實際NPV會因費用而更低。題目要求忽略稅收和費用，故按此簡化模型計算)8.A*解析：累計現(xiàn)金流入：年末0；第1年末4萬；第2年末8萬；第3年末12萬。第2年末累計現(xiàn)金流入12萬>初始投資1百萬。第1年末累計現(xiàn)金流入8萬<初始投資1百萬。Paybackperiod=1+(100-8)/4=1+92/4=1+23=2.25years9.B*解析：根據(jù)P/Eratio=Price/EPS，當前股價=25*2.00=$50.00。假設未來五年EPS增長符合預期，股價也會按此增長率增長。intrinsicvalue=CurrentPrice*(1+g)^5=50*(1+0.15)^5=50*2.011357≈$100.57(此題計算結果與選項差異較大，可能題目設置或選項有誤。若嚴格按照題意，B選項最接近最終預期價值，但中間步驟計算結果為$100.57)10.C*解析：Currentyield=AnnualCouponPayment/CurrentBondPrice=(1000*5%)/1000/1.06=50/943.396=0.05299≈5.50%二、情景分析題11.a.RequiredrateofreturnforStockX=3%+1.2*8%=3%+9.6%=12.6%*解析：根據(jù)CAPM:E(Ri)=Rf+βi*(E(Rm)-Rf)。E(RX)=3%+1.2*8%=12.6%*RequiredrateofreturnforStockY=3%+0.9*8%=3%+7.2%=10.2%*解析：根據(jù)CAPM:E(Ri)=Rf+βi*(E(Rm)-Rf)。E(RY)=3%+0.9*8%=10.2%b.TheanalystismorelikelytorecommendStockX,asithasahigherexpectedreturn(14%)comparedtoitsrequiredrateofreturn(12.6%).ThisindicatesthatthestockispotentiallyundervaluedaccordingtotheCAPM,offeringahigherrisk-adjustedreturn.*解析：推薦股票應看其預期回報與要求回報的比較。股票X的預期回報(14%)高于其要求回報(12.6%)，表明其可能被低估，風險調(diào)整后收益更高，故更可能推薦。股票Y的預期回報(11%)低于其要求回報(10.2%)，表明其可能被高估。c.NewrequiredrateofreturnforStockX=3%+1.2*10%=3%+12%=15.0%*解析：根據(jù)CAPM，若市場風險溢價變?yōu)?0%，則StockX的新要求回報=3%+1.2*10%=15.0%*NewrequiredrateofreturnforStockY=3%+0.9*10%=3%+9%=12.0%*解析：根據(jù)CAPM，若市場風險溢價變?yōu)?0%，則StockY的新要求回報=3%+0.9*10%=12.0%12.B*解析：當前組合的Beta=(4M*1.3+2M*0.8+3M*0.0)/10M=(5.2+1.6+0)/10=6.8/10=0.68*解析：設AssetD的值為V_D。新組合的總價值為10M+V_D。新組合的Beta=(5.2+1.6+0+V_D*1.1)/(10M+V_D)。*解析：要求新組合Beta為1.0，因此：(5.2+1.6+V_D*1.1)/(10M+V_D)=1.0*解析：6.8+1.1*V_D=10M+V_D=>6.8+0.1*V_D=1M=>0.1*V_D=1M-6.8=932,000=>V_D=9,320,000*解析：V_D=$9,320,000。選項B($1,500,000)不正確，選項A($1,000,000)不正確，選項C($2,000,000)不正確。（注意：此題按上述解析，正確答案應為$9,320,000，不在給定選項中，可能題目或選項有誤）13.a.Valueofconvertiblebonds=Valueofcommonstockifconverted=D2*(P0*(1+g1)^1/(k-g1))*(1+g1)^2/(k-g2)=1*(P0*1.05/(0.12-0.05))*1.1025/(0.12-0.03)=(P0*1.05/0.07)*1.1025/0.09=P0*1.05*1.1025/(0.07*0.09)=P0*1.160625/0.0063=P0*184.9603*解析：使用DCF計算股票價值，然后用該價值作為可轉(zhuǎn)換債券的價值。P0=D2*(1+g1)/(k-g1)*(1+g1)^2/(k-g2)=1*(1.05/(0.12-0.05))*1.1025/(0.12-0.03)=1*(1.05/0.07)*1.1025/0.09=15.00*12.25=183.75*解析：Valueofconvertiblebonds=183.75*184.9603≈$33,960.98*b.Theestimatedvalueoftheconvertiblebonds($33,960.98)ishigherthanthevalueofthenon-convertiblebonds.Advantagesofissuingconvertiblebondsincludelowerinterestcosts(duetotheconversionfeature),potentialtoreducethenumberofsharesoutstandinginthefuture,andpotentiallyeasieraccesstocapital.Disadvantagesincludedilutionofearningspershareifthebondsareconverted,potentialforhighercostofcapitalifthebondsareperceivedasriskierthanstraightdebt,andcomplexityinaccountingandvaluation.*解析：比較債券價值，可轉(zhuǎn)債價值(約$33,960.98)高于非可轉(zhuǎn)債。優(yōu)點：利息成本較低、未來可能減少股本、可能更容易獲得資本。缺點：若轉(zhuǎn)換則稀釋每股收益、可能因風險被認為更高而成本更高、會計和估值復雜。*c.Ifthestockpriceincreasesto$60pershare,P0=60.Valueofconvertiblebonds=60*184.9603≈$110,976.18*解析：若股價漲至60，則P0=60，重新計算可轉(zhuǎn)債價值。14.a.P0=D2/(k-g1)+[D2*(1+g1)^2/(k-g2)]/(1+k)^2=1/(0.12-0.20)+[1*(1+0.20)^2/(0.12-0.05)]/(1+0.12)^2=1/(-0.08)+[1*1.44/0.07]/1.2544=-12.5+[20.5714/1.2544]=-12.5+16.4389≈3.9389*解析：使用兩階段DDM模型。P0=D2/(k-g1)+[D2*(1+g1)^2/(k-g2)]/(1+k)^2=1/(0.12-0.20)+[1*1.44/(0.12-0.05)]/1.2544=-12.5+[20.5714/1.2544]=-12.5+16.4389=3.9389*b.Impliedrequiredrateofreturn(k)canbefoundbysolvingtheDDMequation:25=1/(k-0.20)+[1*(1+0.20)^2/(k-0.05)]/(1+k)^2.Thisequationrequiresiterativecalculationorfinancialcalculator.Approximatek≈11.0%*解析：用已知的股價25反推要求的回報率k。方程為25=1/(k-0.20)+[1*1.44/(k-0.05)]/(1+k)^2。需要迭代計算或金融計算器，大約為11.0%。*c.Factorscouldinclude:marketperceptionofthecompany'sgrowthprospects,changesintherequiredrateofreturnforsimilarstocks,industry-specificevents,macroeconomicfactors,orpotentialdiscrepanciesintheanalyst'sassumptions(e.g.,growthrates,terminalvalue).*解析：原因可能包括：市場對公司增長前景的預期變化、對類似股票要求回報率的變化、特定行業(yè)事件、宏觀經(jīng)濟因素，或分析師假設中的差異（如增長率、終值）。15.a.Currentyield=AnnualCouponPayment/CurrentBondPrice=(1000*8%)/1000/1.07=80/934.58=0.0856≈8.56%*解析：Currentyield=AnnualCouponPayment/MarketPrice=80/934.58*b.ModifiedDuration=MacaulayDuration/(1+YTM/n)=(ApproximateMacaulayDurationforannualpayments)/(1+7%/1)=ApproximateMacaulayDuration/1.07.ApproximateMacaulayDurationforan8%coupon,7%YTM,15yearbondisaround8.5years.ModifiedDuration≈8.5/1.07≈7.9*解析：ModifiedDuration=MacaulayDuration/(1+YTM/n)。年付息MacaulayDuration大約為8.5年。ModifiedDuration≈8.5/1.07≈7.9年。*c.Approximatepercentagechangeinprice=-ModifiedDuration*ChangeinYTM=-7.9*1%=-7.9%*解析：使用修正久期近似估計價格變動百分比。百分比變動≈-修正久期*YTM變動=-7.9*1%=-7.9%*d.Newcurrentyield=8%/1.06≈7.55%.NewModifiedDuration=ApproximateMacaulayDuration/(1+6%/1)=ApproximateMacaulayDuration/1.06≈8.5/1.06≈8.0.SincetheYTMdecreases,thepriceincreases.Approximatepercentagechangeinprice=-NewModifiedDuration*ChangeinYTM=-8.0*(-1%)=8.0%.Thecompanyshouldconsiderrefinancingifthenewbondyield(6%)issignificantlylowerthanthecurrentYTM(7%)andthecostofrefinancingislessthanthesavingsfromthelowerinterestpayments,consideringthepriceappreciationoftheexistingbond.Thepriceappreciationisapproximately8.0%.*解析：計算新YTM(6%)下的當前收益率和新修正久期。新當前收益率≈7.55%。新修正久期≈8.0。因YTM下降，價格上升。價格變動百分比≈-8.0*(-1%)=8.0%。公司應考慮再融資，如果新債券利率(6%)顯著低于當前YTM(7%)，且再融資成本低于節(jié)省的利息支付，同時考慮現(xiàn)有債券價格上漲(約8.0%)。三、道德與專業(yè)標準題16.a.Relevantethicalprinciplespotentiallyviolated:StandardIII(A)–DutytoActforClient'sBenefitandRefrainfromConflicts;StandardIV(A)–LoyaltyandPrudence;StandardVI(A)–DisclosureofConflicts.*解析：潛在違反的原則：標準III(A)-對客戶利益負責并避免利益沖突；標準IV(A)-忠誠與謹慎；標準VI(A)-披露沖突。b.Potentialconsequences:Materiallossofclients'assetsduetosuboptimalinvestmentdecisionsbasedoninsiderinformation;damagetotheanalyst'sreputationandcareer;potentiallegalactionagainsttheanalystandthefirm;disciplinaryactionbyCFAInstitute;harmtothecompany'sreputationiftheearningsannouncementisnegativelyimpactedbythemarketreactionbasedonthetip.*解析：后果：因基于內(nèi)幕信息做出非最優(yōu)投資決策導致客戶資產(chǎn)重大損失；分析師聲譽和職業(yè)生涯受損；可能面臨法律訴訟；CFA協(xié)會可能采取紀律處分措施；若市場因小道消息反應而影響公司業(yè)績公告，則損害公司聲譽。c.Stepstoaddressthedilemma:Refrainfromusingthenon-publicinformationforpersonalgainortocreatea"hottip";immediatelydisclosetherelationshiptothefirm'scompliancedepartment;followthefirm'sproceduresforhandlingpotentialconflicts