2025年CFA一級真題及答案詳解考試時間：______分鐘總分：______分姓名：______請根據(jù)以下題目要求，選擇最合適的答案或進行計算、簡答。一、選擇題1.AccordingtotheCFAInstituteCodeandStandards,whichofthefollowingactionsbyananalystwouldmostlikelyviolatethestandardthatrequiresmemberstoplacetheinterestsofclientsabovetheirown?A.Acceptingadinnerhostedbyaportfoliomanagerwhosefirmisasignificantshareholderofoneofthecompanyclientstheanalystcovers.B.建議ingaclienttosellasecuritythathasbeenperformingpoorly,primarilytogenerateanewresearchsubscriptionfeefromtheclient.C.Disclosingtoaclosefriendthattheanalystisabouttoinitiatecoverageonacompany,hopingthefriendwillprovideinsightsbeforethepublicannouncement.2.Aninvestorhasaportfoliowithanexpectedreturnof12%andastandarddeviationof18%.Therisk-freerateis3%.AccordingtotheSharperatio,whatistheexcessreturnperunitofriskforthisportfolio?A.0.111B.0.396C.0.753.Acompanyreportssalesrevenueof$500,000,costofgoodssold(COGS)of$300,000,andoperatingexpensesof$150,000.Itsdepreciationexpensefortheperiodis$50,000.Whatisthecompany'soperatingcashflow(OCF)?A.$50,000B.$100,000C.$200,0004.Whichofthefollowingstatementsabouttheefficientmarkethypothesis(EMH)ismostaccurate?A.The弱形式EMHsuggeststhatcurrentpricesreflectallpubliclyavailableinformation.B.Accordingtothe強形式EMH,itispossibletoconsistentlyachievereturnsabovethemarketaveragewithouttakingonadditionalrisk.C.The半強形式EMHimpliesthattechnicalanalysiscanreliablygenerateexcessreturns.5.Astockhasanannualdividendyieldof2%andarequiredrateofreturnof8%.Usingtheconstantgrowthdividenddiscountmodel(DDM),whatistheimpliedgrowthrateofdividendsifthecompanyisexpectedtomaintainaconsistentpayoutratio?A.6.0%B.8.0%C.10.0%6.Whichofthefollowingmethodsofvaluingacompanyismostlikelytobesuitableforacompanywithpredictablebutmodestcashflows,stablegrowth,andfewcomparablepubliccompanies?A.Discountedfreecashflow(DCF)B.Sum-of-the-partsvaluationC.Comparablecompanyanalysis7.Abondwithafacevalueof$1,000paysanannualcouponof5%.Thebondhas5yearsremainingtomaturityandayieldtomaturity(YTM)of6%.Whatistheapproximatecurrentpriceofthebond?A.$920B.$950C.$1,0508.Whichofthefollowingstatementsregardingdurationistrue?A.Abondwithahigherdurationhaslowerinterestraterisk.B.Durationmeasuresthepercentagechangeinabond'spricefora1%changeinyieldtomaturity.C.Thedurationofazero-couponbondisequaltoitstimetomaturity.9.Aninvestorisconcernedaboutpotentialinterestrateriskexposureintheirportfolio.Whichofthefollowingstrategieswouldmostlikelyhelphedgethisrisk?A.Increasingtheallocationtostockswithhighdividendyields.B.Investingprimarilyinlong-termgovernmentbonds.C.Matchingthedurationofthebondportfoliototheinvestor'sliabilities.10.Acompanyisevaluatingaprojectwithaninitialinvestmentof$100,000.Theprojectisexpectedtogeneratecashinflowsof$40,000attheendofeachyearfor4years.Ifthecompany'srequiredrateofreturnis10%,whatisthenetpresentvalue(NPV)oftheproject?(Useapproximatefactors:PVIFA(10%,4)≈3.170)A.$12,680B.$20,000C.$40,00011.Whichofthefollowingfinancialratioswouldtypicallybemostsensitivetochangesinaccountingpolicies,suchasthemethodusedfordepreciation?A.CurrentratioB.Debt-to-equityratioC.Returnonassets(ROA)12.TheLawofOnePricesuggeststhat:A.Twodifferentcompaniesinthesameindustryshouldhavethesamestockprice.B.Asecurityshouldsellatapricethatreflectsallavailableinformation.C.Iftwosecuritiesofferthesameriskandreturn,theymusttradeatthesameprice.13.AninvestorisconstructingaportfoliobycombiningStockAwithanexpectedreturnof12%andastandarddeviationof20%,andStockBwithanexpectedreturnof8%andastandarddeviationof15%.Thecorrelationcoefficientbetweenthetwostocksis0.4.Iftheinvestorholds60%oftheirportfolioinStockA,whatistheapproximatestandarddeviationoftheportfolio?A.16.7%B.17.6%C.19.0%14.WhichofthefollowingstatementsabouttheCapitalAssetPricingModel(CAPM)iscorrect?A.Themodelassumesthatinvestorscanborrowandlendattherisk-freerate.B.Themarketriskpremiumiscalculatedastheexpectedreturnonthemarketportfoliominusthestandarddeviationofthemarketportfolio.C.Thebetaofaportfolioisalwaysequalto1.0.15.Whichofthefollowingtypesofsecuritiesismostlikelytoofferthehighestlevelofdefaultrisk?A.U.S.TreasurybillsB.Investment-gradecorporatebondsC.High-yield(junk)corporatebonds二、簡答題1.Describethethreeformsoftheefficientmarkethypothesis(EMH).Provideoneexamplescenarioforeachformthatillustrateswhetherthemarketisactingefficientlyaccordingtothatform.2.Acompanyisreportingitsfinancialperformance.Explainthedifferencebetweenaccrualaccountingandcashaccounting.Whichmethodisgenerallypreferredforexternalfinancialreportingandwhy?Provideoneadvantageandonedisadvantageofaccrualaccounting.3.Youareanalyzingacompany'sfinancialstatements.Identifythreekeyfinancialratiosusedtoassessacompany'sliquidity.Foreachratio,explainwhatitmeasuresandprovideageneralinterpretationofahighorlowvalue.4.Explaintheconceptofdurationasitrelatestobonds.Howdoesdurationhelpaninvestorunderstandtheinterestrateriskassociatedwithabondportfolio?Describetherelationshipbetweenabond'smaturityanditsduration.5.Compareandcontrasttheprimarydifferencesbetweenacalloptionandaputoption.Definetheterms"strikeprice"and"underlyingasset"inthecontextofoptions.三、計算題1.Youareevaluatinganinvestmentproject.Theinitialcostis$250,000.Expectedcashinflowsare$80,000attheendofYear1,$90,000attheendofYear2,$70,000attheendofYear3,and$60,000attheendofYear4.Iftherequiredrateofreturnforthisprojectis12%,calculatetheNetPresentValue(NPV)oftheproject.ShouldtheprojectbeacceptedbasedontheNPVcriterion?2.Astockcurrentlytradesat$65pershare.Thecompanyjustpaidadividendof$2pershare(D0=$2).Analystsexpectthedividendtogrowataconstantrateof6%peryearindefinitely.WhatistheexpecteddividendyieldandtheexpectedtotalreturnfornextyearbasedontheDividendDiscountModel(DDM)?3.Youaremanaginga$1,000,000portfolioconsistingofStockXandStockY.StockXhasabetaof1.2andmakesup40%oftheportfolio.StockYhasabetaof0.8.Therisk-freerateis3%,andthemarketreturnisexpectedtobe10%.Calculatetheexpectedreturnoftheportfolioandtheportfolio'sbeta.4.Abondwithafacevalueof$1,000hasa7%annualcouponrate,maturesin5years,andcurrentlytradesatapriceof$925.Calculatethebond'syieldtomaturity(YTM)usingafinancialcalculatororiterativeapproximationmethod.(ProvidetheYTMroundedtotwodecimalplaces.)試卷答案一、選擇題1.B解析思路：選項B直接將客戶利益置于自身利益之下，通過犧牲客戶可能獲得更高收益的機會來換取新的研究費用，這違背了將客戶利益置于首位的道德原則。2.B解析思路：Sharpe比率=(預期回報-無風險利率)/標準差=(12%-3%)/18%=9%/18%=0.396。3.B解析思路：經(jīng)營現(xiàn)金流(OCF)=凈利潤+折舊。首先計算凈利潤：凈利潤=銷售收入-COGS-經(jīng)營費用=$500,000-$300,000-$150,000=$50,000。然后加上折舊：OCF=$50,000+$50,000=$100,000。4.A解析思路：弱形式EMH認為當前價格已反映所有過去交易價格和交易量信息，技術分析無效。強形式EMH認為當前價格反映所有公開和內(nèi)部信息，無法獲得超額收益。半強形式EMH認為當前價格反映所有公開信息，基本分析無效。選項A描述的是弱形式EMH的內(nèi)容。5.A解析思路：根據(jù)DDM公式：要求回報率(k)=(D1/P0)+g。其中D1=D0*(1+g)，P0=D1/(k-g)。代入數(shù)據(jù)：8%=(2*(1+g))/P0+g。又因為P0=D1/(8%-g)=2*(1+g)/(8%-g)。將P0代入第一個公式：8%=(2*(1+g))/[2*(1+g)/(8%-g)]+g?；喌茫?%=(8%-g)+g。解得g=6.0%。6.A解析思路：DCF適用于有穩(wěn)定增長且可比公司少的公司，因為它基于對公司未來自由現(xiàn)金流流的預測。Sum-of-the-parts適用于資產(chǎn)結(jié)構(gòu)復雜或分部價值差異大的公司。Comparablecompanyanalysis需要可比公司，適合成熟行業(yè)。7.A解析思路：債券價格=(每年利息*PVIFA(YTM,n))+(面值*PVIF(YTM,n))。每年利息=5%*$1,000=$50。PVIFA(6%,5)≈4.212。PVIF(6%,5)≈0.747。價格≈($50*4.212)+($1,000*0.747)=$210.60+$747=$957.60。選項A最接近。8.C解析思路：Duration衡量的是債券價格對收益率變化的敏感度，以年為單位。通常，債券到期時間越長，久期越大，利率風險越高。零息債券沒有coupon，其價格變化完全由未來本金的折現(xiàn)決定，因此其久期等于到期時間。9.C解析思路：Duration匹配策略通過使債券組合的久期與投資者的負債久期一致，來減少因利率變動導致的組合價值與負債償還價值之間的不匹配風險。10.A解析思路：NPV=-初始投資+Σ(現(xiàn)金流入/(1+r)^t)。NPV=-$100,000+$40/1.1+$90/1.1^2+$70/1.1^3+$60/1.1^4。NPV=-$100,000+$36,363.64+$75,136.36+$53,944.06+$40,645.16=$12,680.22。11.C解析思路：ROA=凈利潤/總資產(chǎn)。凈利潤受折舊、攤銷等非現(xiàn)金項目影響，而這些項目在計算時已調(diào)整到營運資本或固定資產(chǎn)的賬面價值上。改變折舊方法會直接影響凈利潤，進而影響ROA。Currentratio(流動比率)受存貨計價方法影響。Debt-to-equityratio(資產(chǎn)負債率)受長期資產(chǎn)計價方法影響相對較小。12.B解析思路：EMH的核心思想是資產(chǎn)價格反映了所有可獲得的信息。強形式認為所有信息（包括內(nèi)幕信息）都已反映在價格中，因此無法獲得超額收益。弱形式和半強形式則對此有不同的看法。13.A解析思路：PortfolioVariance(σp^2)=wA^2*σA^2+wB^2*σB^2+2*wA*wB*ρAB*σA*σB。σp^2=(0.6^2*0.2^2)+(0.4^2*0.15^2)+(2*0.6*0.4*0.4*0.2*0.15)=0.0144+0.009+0.00336=0.02676。σp=√0.02676≈0.1636or16.36%.選項A16.7%最接近。14.A解析思路：CAPM模型假設投資者可以在無風險利率下無限借貸。選項B市場風險溢價是市場預期回報率減去無風險利率。選項C組合的beta取決于組合中各資產(chǎn)的權(quán)重和各自的beta，不一定等于1。15.C解析思路：High-yield(junk)bonds發(fā)行人信用質(zhì)量較低，違約風險較高，因此需要提供更高的收益率來補償投資者承擔的額外風險。U.S.Treasurybills是政府擔保，信用風險最低。投資級公司債券信用風險低于高收益?zhèn)６?、簡答題1.Thethreeformsoftheefficientmarkethypothesis(EMH)are:*弱形式EMH:Currentpricesreflectallpasttradinginformation(priceandvolumedata).Technicalanalysiscannotgenerateexcessreturns.Example:Ifpaststockpricesarepubliclyknownandeasilyanalyzed,noonecanconsistently"beatthemarket"bypredictingfuturepricesbasedonhistoricalpatterns.*半強形式EMH:Currentpricesreflectallpubliclyavailableinformation,includinghistoricalprices,companyannouncements,economicdata,etc.Fundamentalanalysisbasedonpublicinformationcannotgenerateexcessreturns.Example:Ifallpubliclyavailablenewsaboutacompany'searningsandfutureprospectsisinstantlyreflectedinthestockpriceuponrelease,noinvestorcanconsistentlyprofitbytradingbasedonthisnews.*強形式EMH:Currentpricesreflectallinformation,bothpublicandprivate(insiderinformation).Noonecangenerateexcessreturns,regardlessoftheinformationtheypossess.Example:Ifinsiderswithnon-publicmaterialinformationaboutacompany'supcomingmergerinstantlycausethestockpricetoadjust,thenthemarketisstrongformefficient.Itwouldbeimpossibletoprofitconsistentlybytradingoninsiderinformation.2.Accrualaccountingrecordsrevenueswhenearnedandexpenseswhenincurred,regardlessofwhencashtransactionsoccur.Cashaccountingrecordsrevenuesandexpensesonlywhencashisreceivedorpaid.Accrualaccountingisgenerallypreferredforexternalfinancialreportingbecauseitprovidesamoreaccuratepictureofacompany'sfinancialperformanceandpositionoveraperiodbymatchingrevenuesandexpenses,reflectingtheeconomicsubstanceoftransactions.Advantageofaccrual:Providesbettermatchingofrevenuesandexpenses,leadingtoaclearerpictureofprofitability.Disadvantageofaccrual:Requiresmoreestimationandjudgment,potentiallyleadingtomanipulation;resultsmaydifferfromactualcashavailable.3.Threekeyliquidityratiosare:*CurrentRatio:Measuresacompany'sabilitytopayitsshort-termobligationswithitsshort-termassets.CalculatedasCurrentAssets/CurrentLiabilities.Ahighcurrentratioindicatesstrongshort-termsolvency,whilealowratiosuggestspotentialliquidityproblems.Itmeasuresshort-termliquiditybasedonallcurrentassets.*QuickRatio(Acid-TestRatio):Amorestringentmeasureofliquidity,excludinginventoryfromcurrentassets.Calculatedas(CurrentAssets-Inventory)/CurrentLiabilities.Itassessestheabilitytomeetimmediateobligationswithoutrelyingonsellinginventory.Ahigherquickratioindicatesstrongerimmediateliquidity.Itmeasuresshort-termliquiditybasedonthemostliquidassets.*CashRatio:Themostconservativeliquiditymeasure,consideringonlycashandcashequivalents.Calculatedas(Cash+CashEquivalents)/CurrentLiabilities.Itindicatestheabilitytocovercurrentliabilitiesusingonlythemostliquidassets.Ahighercashratiosuggeststhestrongestabilitytomeetimmediateobligations.Itmeasuresliquiditybasedsolelyoncashholdings.4.Durationmeasuresthesensitivityofabond'spricetochangesininterestrates.Itprovidesanestimateofthepercentagechangeinabond'spricefora1%changeinyieldstomaturity.Durationhelpsinvestorsunderstandandmanagetheinterestrateriskoftheirbondportfolio.Therelationshipbetweenabond'smaturityanditsdurationisgenerallypositive:thelongerthematurityofabond(assumingconstantcouponrateandyield),thehigheritsduration,andtherefore,thegreateritspricesensitivitytointerestratechanges.Longerbondsexperiencelargerpriceswingsforthesameyieldchangecomparedtoshorterbonds.5.Comparingacalloptionandaputoption:*CallOption:Givestheholderthe*right*,butnottheobligation,to*buy*anunderlyingassetataspecifiedstrikepricebeforeoronaspecifiedexpirationdate.PutOption:Givestheholderthe*right*,butnottheobligation,to*sell*anunderlyingassetataspecifiedstrikepricebeforeoronaspecifiedexpirationdate.*StrikePrice(ExercisePrice):Thefixedpriceatwhichtheholdercanbuy(foracall)orsell(foraput)theunderlyingasset.*UnderlyingAsset:Theasset(e.g.,stock,index,commodity)onwhichtheoptioncontractisbased.三、計算題1.NPVCalculation:CF0=-$250,000CF1=$80,000CF2=$90,000CF3=$70,000CF4=$60,000r=12%NPV=-250,000+80/(1.12)+90/(1.12^2)+70/(1.12^3)+60/(1.12^4)NPV=-250,000+80/1.12+90/1.2544+70/1.4049+60/1.5735NPV=-250,000+71.43+71.75+49.65+38.13NPV=-250,000+230.96NPV≈$-229,769.04SinceNPV<0,theprojectshouldberejectedbasedontheNPVcriterio