2025年CFA《權(quán)益投資》專(zhuān)項(xiàng)訓(xùn)練試卷考試時(shí)間：______分鐘總分：______分姓名：______試卷內(nèi)容1.Acompanyisexpectedtopayadividendof$2.00persharenextyear.Therequiredrateofreturnis12%,andthecompany'sdividendsareexpectedtogrowataconstantrateof5%peryearindefinitely.WhatistheintrinsicvalueofthestockusingtheGordonGrowthModel?2.CompareandcontrasttheDiscountedCashFlow(DCF)valuationmethodwiththeComparableCompaniesAnalysismethod.Describetheprimaryinputsandassumptionsforeachmethodanddiscussthemajorlimitationsofusingeitherapproach.3.Explaintheconceptofmarketefficiency.DescribethethreeformsofmarketefficiencyaccordingtotheEfficientMarketHypothesis(EMH)andprovideanexampleillustratingtheimplicationsofeachform.4.Astockhasabetaof1.2.Therisk-freerateis3%,andtheexpectedreturnonthemarketportfoliois10%.AccordingtotheCapitalAssetPricingModel(CAPM),whatistherequiredrateofreturnforthisstock?5.Definethefollowingfinancialratios:a)ReturnonEquity(ROE)b)Debt-to-EquityRatioc)InventoryTurnover6.Acompanyhasthefollowingfinancialdataforthemostrecentyear:NetIncome:$50millionDividendsPaid:$10millionAdditiontoRetainedEarnings:$40millionTotalDebt:$200millionTotalEquity:$300millionCalculatethefollowing:a)EarningsPerShare(EPS)ifthenumberofoutstandingsharesis20million.b)Thecompany'sDebt-to-EquityRatio.c)Ifthecompany'sinventoryis$50millionandcostofgoodssoldis$200million,calculatetheInventoryTurnoverRatio.7.Describethepurposeofdiversificationinportfoliomanagement.Explainhowdiversificationcanreduceportfoliorisk.8.Whatistheprimarydifferencebetweenagrowthstockandavaluestock?Providecharacteristicsofeachtypeofstockanddiscussfactorsaninvestormightconsiderwhendecidingbetweeninvestinginagrowthstockversusavaluestock.9.Explaintheroleofoptionsinequityinvesting.Describeaprotectiveputstrategyanddiscussthepotentialbenefitsandrisksofusingthisstrategy.10.Acompanyoperatesinthetechnologysector.Describethekeyfactorsananalystshouldconsiderwhenconductinganindustryanalysisforthissector.Includementionsofindustrystructure,competitivedynamics,andpotentialregulatoryinfluences.11.Explainthedifferencebetweenhorizontalanalysisandverticalanalysisofacompany'sfinancialstatements.Describetheinformationeachtypeofanalysisprovidestoaninvestor.12.Youareanalyzingtwocompaniesinthesameindustry.CompanyAhasaP/Eratioof15andCompanyBhasaP/Eratioof25.Withoutadditionalinformation,whatcanyouinferaboutthemarket'sexpectationsforthesetwocompanies?DiscussthepotentialreasonsforthedifferenceintheirP/Eratios.13.Acompanyisexpectedtogeneratefreecashflowsof$100millionnextyear.Thesefreecashflowsareexpectedtogrowatarateof8%peryearforthenextthreeyears,andthenlevelofftoaconstantgrowthrateof4%indefinitely.Thecompany'sweightedaveragecostofcapital(WACC)is10%.Calculatetheintrinsicvalueofthecompanyusingatwo-stagediscountedcashflowmodel.14.Discussthefactorsthatcanaffectacompany'scostofequitycapital.Explainhowacompany'sfinancialleverage,marketrisk,anddividendpolicycaninfluenceitsrequiredrateofreturn.15.Describethestepsinvolvedinestimatingacompany'sfuturedividendsusingaperpetualgrowthmodel.Discussthesensitivityoftheestimateddividendandthevaluationtochangesintheassumedgrowthrate.---試卷答案1.IntrinsicValue=D1/(k-g)=$2.00/(0.12-0.05)=$2.00/0.07=$28.57**解析思路：*應(yīng)用戈登增長(zhǎng)模型（股利固定增長(zhǎng)模型），將預(yù)期下一期股利（D1）、必要回報(bào)率（k）和股利固定增長(zhǎng)率（g）代入公式計(jì)算內(nèi)在價(jià)值。2.DCFvaluationdiscountsacompany'sexpectedfuturefreecashflowstotheirpresentvalue.Itrequiresforecastsoffuturecashflowsandadiscountrate(WACC).TheComparableCompaniesAnalysismethodvaluesacompanybycomparingitsfinancialmetrics(likeP/E,P/B,EV/EBITDA)tothoseofsimilarpubliclytradedcompanies.Itreliesontheprincipleofmarketequivalence.KeyinputsforDCFincludecashflowprojections,WACC,andterminalgrowthrate.KeyinputsforComparablesincludeselectedcomparablecompanies,chosenmultiples,andpotentiallyadjustments.LimitationsofDCFincludethedifficultyandsubjectivityinforecastingfuturecashflowsandchoosingtheWACCandterminalgrowthrate.LimitationsofComparablesincludefindingtrulycomparablecompanies,potentialdifferencesingrowthprospectsorrisk,andmarketmultiplefluctuations.3.Marketefficiencyreferstothedegreetowhichstockpricesreflectallavailableinformation.TheEfficientMarketHypothesis(EMH)suggestspricesadjustrapidlytonewinformation.Thethreeformsare:WeakFormEfficiency-pricesreflectallpasttradinginformation(technicalanalysisunlikelytosucceed);Semi-StrongFormEfficiency-pricesreflectallpubliclyavailableinformation(includingfinancialstatements,news-fundamentalanalysisunlikelytoconsistentlybeatthemarket);StrongFormEfficiency-pricesreflectallinformation,bothpublicandprivate(insidertradingshouldprovidenoadvantage).Example:Underweakformefficiency,analyzinghistoricalpricechartswouldnotyieldconsistentlyprofitabletrades.Undersemi-strongformefficiency,announcementsofquarterlyearnings(publiclyavailable)wouldbeinstantlyreflectedinthestockprice,makingitimpossibletoconsistentlyearnexcessreturnsbytradingonthisnews.4.RequiredRateofReturn=Risk-FreeRate+Beta*(MarketReturn-Risk-FreeRate)=0.03+1.2*(0.10-0.03)=0.03+1.2*0.07=0.03+0.084=0.114or11.4%**解析思路：*應(yīng)用資本資產(chǎn)定價(jià)模型（CAPM）公式，將無(wú)風(fēng)險(xiǎn)利率、股票的貝塔系數(shù)和市場(chǎng)風(fēng)險(xiǎn)溢價(jià)（市場(chǎng)預(yù)期回報(bào)率減去無(wú)風(fēng)險(xiǎn)利率）代入計(jì)算所需回報(bào)率。5.a)ReturnonEquity(ROE)=NetIncome/AverageShareholderEquity.Itmeasuresacompany'sprofitabilityrelativetotheequityinvestedbyitsshareholders.b)Debt-to-EquityRatio=TotalDebt/TotalEquity.Itindicatestheproportionofacompany'sfinancingthatcomesfromdebtcomparedtoequity,reflectingitsfinancialleverage.c)InventoryTurnoverRatio=CostofGoodsSold(COGS)/AverageInventory.Itmeasureshowquicklyacompanysellsitsinventoryduringaperiod.6.a)EPS=NetIncome/NumberofOutstandingShares=$50million/20millionshares=$2.50pershare.b)Debt-to-EquityRatio=TotalDebt/TotalEquity=$200million/$300million=0.67or67%.c)InventoryTurnoverRatio=COGS/AverageInventory.Assuminginventoryfortheyearisthesameastheendinginventory($50million):InventoryTurnoverRatio=$200million/$50million=4times.7.Diversificationreducesportfolioriskbyspreadinginvestmentsacrossvariousassetsthatarenotperfectlycorrelated.Theideaisthatthepoorperformanceofoneassetcanbeoffsetbythegoodperformanceofothers.Itprimarilyreduces*unsystematicrisk*(specificriskassociatedwithindividualassetsorindustries),butdoesnoteliminate*systematicrisk*(marketriskaffectingtheentiremarket).Effectivediversificationinvolvesholdingalargenumberofunrelatedassets.8.Theprimarydifferenceliesingrowthexpectationsandvaluationmetrics.Agrowthstockisexpectedtogrowitsearningsatanabove-averageratecomparedtoitsindustryorthemarket,oftenreinvestingheavilyinexpansion.Investorstypicallypayahigherprice-to-earnings(P/E)ratio,anticipatingfuturehighgrowth.Avaluestockisperceivedasundervaluedbythemarketrelativetoitsfundamentals(likebookvalue,dividendyield,orintrinsicvaluebasedonmetricslikeP/BorP/E).Investorsseektobuythesestocksatapricelowerthantheirperceivedtrueworth,expectingthemarkettoeventuallyrecognizetheirvalue.Factorsincludeearningspotential,financialhealth,managementquality,andmarketsentimentvs.fundamentals.9.Optionsprovidetheholderwiththeright,butnottheobligation,tobuy(calloption)orsell(putoption)anunderlyingassetataspecifiedprice(strikeprice)withinaspecifiedtimeperiod.Aprotectiveputstrategyinvolvesbuyingaputoptiononastockthataninvestoralreadyowns.Thebenefitisthatitlimitsthepotentiallossontheunderlyingstocktothedifferencebetweenthestrikepriceandthestockpriceminusthepremiumpaidfortheput,providingdownsideprotection.Theriskisthepremiumpaidfortheputoption,whichislostifthestockpricerisessignificantlyorstaysabovethestrikeprice.10.Whenanalyzingthetechnologysector,ananalystshouldconsider:1)Industrystructureandcompetitivedynamics-assessingthelevelofcompetition,marketconcentration,barrierstoentry,andthethreatofsubstitutesornewentrants(Porter'sFiveForces).2)Technologicalinnovationanddisruption-evaluatingtherateoftechnologicalchange,R&Dspending,potentialforbreakthroughs,andtheriskofbeingdisruptedbynewtechnologies.3)Markettrendsandgrowthdrivers-identifyingkeytrendslikeAI,cloudcomputing,cybersecurity,andmobileinternet,andassessingtheirimpactondemand.4)Regulatoryenvironment-consideringgovernmentpoliciesrelatedtodataprivacy,antitrust,intellectualproperty,andsubsidiesortaxesaffectingthesector.5)Economicsensitivity-understandinghowsensitivetechcompaniesandthesectoraretoeconomiccycles.11.Horizontalanalysiscomparesacompany'sfinancialstatementitemsovermultipleperiods(e.g.,yearsorquarters)toidentifytrendsandchangesinperformance.Itinvolvescalculatingpercentagechangesordollaramountschangedovertime.Verticalanalysis(common-sizeanalysis)expresseseachlineitemonafinancialstatementasapercentageofabasefigurewithinthatsamestatement.Fortheincomestatement,thebaseistypicallytotalrevenue;forthebalancesheet,totalassetsortotalliabilitiesandequity.Horizontalanalysisshowschangesovertime,whileverticalanalysisshowsthecompositionoffinancialstatementsrelativetoabasefigure.12.ThedifferenceinP/Eratios(CompanyA:15,CompanyB:25)suggeststhemarketexpectsCompanyBtohavehigherfutureearningsgrowthcomparedtoCompanyA.AhigherP/Eratiooftenreflectsoptimismaboutfutureperformance.Potentialreasonsforthedifferenceinclude:CompanyBmayhavesuperiormanagement,innovativeproductsorservices,strongercompetitiveadvantages,bettermarketpositioning,orpotentiallyriskierprospects(investorsarewillingtopaymoreforhigherexpectedreturns/risk).However,withoutknowingthereasonbehindtheP/Edifference,thisinferenceisspeculative.13.Year1FCF:$100millionYear2FCF:$100million*(1+0.08)=$108millionYear3FCF:$108million*(1+0.08)=$116.64millionPVofFCFs(Years1-3):PV(Y1)=$100/(1.10)^1=$90.91millionPV(Y2)=$108/(1.10)^2=$90.91*(108/100)=$98.01millionPV(Y3)=$116.64/(1.10)^3=$90.91*(116.64/100)/1.10=$95.70millionTerminalValue(Year3):TV=FCFinYear4/(WACC-g_term)=FCFinYear3*(1+g_term)/(WACC-g_term)TV=$116.64*(1+0.04)/(0.10-0.04)=$116.64*1.04/0.06=$201.18millionPVofTerminalValue=$201.18/(1.10)^3=$171.06millionIntrinsicValue=PVofFCFs(Years1-3)+PVofTerminalValueIntrinsicValue=$90.91+$98.01+$95.70+$171.06=$455.68million*Note:Thevalueispershareifthecompanyonlyhasoneshareclass.Iftherearemultipleclasses,thetotalvaluewouldneedtobedividedbythenumberofsharesoutstanding.**解析思路：*應(yīng)用兩階段現(xiàn)金流折現(xiàn)模型。首先計(jì)算前三年（高速增長(zhǎng)期）的自由現(xiàn)金流及其現(xiàn)值。然后，計(jì)算第三年結(jié)束時(shí)的終值（基于永續(xù)增長(zhǎng)模型），并將終值折算到第三年的現(xiàn)值。最后，將前三年的現(xiàn)值和終值的現(xiàn)值相加，得到公司的內(nèi)在價(jià)值。14.Factorsaffectingacompany'scostofequitycapitalinclude:1)Risk-freerate:Anincreasegenerallyleadstoanincreaseinthecostofequity.2)Marketriskpremium:Ahigherexpectedreturnonthemarketminusthe