2025年CFA考試命題模擬試卷下載考試時間：______分鐘總分：______分姓名：______試卷內(nèi)容第一部分1.Aninvestorisconsideringaddingastocktotheirportfolio.Thestockhasanexpectedreturnof12%andastandarddeviationof20%.Theportfoliocurrentlyconsistsof70%stockswithastandarddeviationof15%and30%bondswithastandarddeviationof5%.Thecorrelationcoefficientbetweenthestock'sreturnandtheportfolio'sreturnis0.6.Whatistheexpectedreturnoftheportfolioiftheinvestoraddsthestockwitha10%weight?2.AcompanyreportsthefollowingfinancialdatafortheyearendedDecember31,2023:*SalesRevenue:$500,000*CostofGoodsSold:$300,000*GrossProfit:$200,000*OperatingExpenses:$100,000*InterestExpense:$20,000*IncomeTaxExpense:$30,000*PreferredDividends:$10,000Whatisthenetincomeavailabletocommonshareholders?3.Whichofthefollowingstatementsregardingtheefficientmarkethypothesis(EMH)ismostaccurate?A)Inanefficientmarket,stockpricesalwaysreflectallavailableinformation.B)Itispossibletoconsistentlyachievereturnsabovethemarketaveragebyexploitingmarketinefficiencies.C)Marketefficiencyimpliesthatallinvestorshavethesamelevelofinformation.D)Inanefficientmarket,tradingfrictionspreventpricesfromadjustingtonewinformation.4.Abondwithafacevalueof$1,000paysanannualcouponof5%.Thebondhasamaturityof10years.Ifthemarketyieldtomaturityis6%,whatistheapproximatepriceofthebond?5.TheLawofOnePricesuggeststhat:A)Allassetswiththesameriskshouldhavethesamereturn.B)Anasset'spriceshouldequalthepresentvalueofitsexpectedfuturecashflows.C)Iftwoidenticalgoodsaresoldindifferentmarkets,theyshouldsellforthesamepriceineachmarketwhenadjustedfortransportationcosts.D)Arbitrageopportunitiesexistwhenassetswiththesameriskofferdifferentreturns.6.Aportfoliomanageruseslinearregressiontodeterminetherelationshipbetweenthereturnsoftheirportfolioandthereturnsofthemarketindex.Theregressionequationis:PortfolioReturn=3%+1.2*MarketReturn.Thestandarddeviationoftheportfolioreturnsis15%,andthestandarddeviationofthemarketreturnsis10%.Whatisthebetaoftheportfolio?7.Whichofthefollowingisgenerallyconsideredaweaknessofthedividenddiscountmodel(DDM)?A)Itisdifficulttoestimatetherequiredrateofreturn.B)Itassumesthatthestock'svalueissolelybasedonitsdividendpayments.C)Itdoesnotconsidertheimpactofacompany'sdebtstructure.D)Itismostsuitableforvaluingcompaniesthatdonotpaydividends.8.Acompany'sinventoryturnoverratiois8timesperyear.Theaverageinventoryfortheyearis$200,000.Whatisthecostofgoodssoldfortheyear?9.ThespotexchangerateforUSD/EURis0.90,andthe90-dayforwardexchangerateis0.88.IfaninvestorexpectstheUSD/EURspotratetodecreaseinthefuture,whichofthefollowingstatementsismostaccurate?A)TheforwardrateisatapremiumfortheUSD.B)TheforwardrateisatadiscountfortheEUR.C)AninvestorcanlockinalowerexchangerateforbuyingUSDin90daysbyenteringintoaforwardcontract.D)TheforwardrateimpliesthatthemarketexpectstheUSD/EURspotratetoincreaseinthefuture.10.WhichofthefollowingstatementsabouttheCapitalAssetPricingModel(CAPM)iscorrect?A)Themarketriskpremiumiscalculatedasthedifferencebetweentherisk-freerateandtheexpectedreturnofthemarketportfolio.B)CAPMassumesthatallinvestorshavehomogeneousexpectationsaboutfuturereturns,risks,andcorrelations.C)Thebetaofaportfolioistheweightedaverageofthebetasoftheindividualassetsintheportfolio.D)AccordingtoCAPM,therequiredrateofreturnforanassetissolelydeterminedbyitscorrelationwiththemarketportfolio.第二部分11.Acompanyisevaluatinganewprojectwiththefollowingcashflows:*InitialInvestment:-$500,000*Year1:$150,000*Year2:$200,000*Year3:$250,000*Year4:$300,000Ifthecompany'srequiredrateofreturnfortheprojectis10%,whatisthenetpresentvalue(NPV)oftheproject?12.Whichofthefollowingfinancialstatementsprovidesinformationaboutacompany'sliquidity,solvency,andprofitability?A)IncomeStatementB)StatementofCashFlowsC)BalanceSheetD)StatementofShareholders'Equity13.Thepriceofastockisexpectedtoincreasefrom$50to$60overthenextyear.Thestockpaysnodividends.Whatistheexpectedrateofreturnonthestock?14.Acompanyhastotalassetsof$1,000,000andtotalliabilitiesof$600,000.Whatisthecompany'sdebt-to-equityratio?15.Whichofthefollowingisameasureofacompany'sabilitytomeetitsshort-termobligations?A)Debt-to-EquityRatioB)TimesInterestEarnedRatioC)CurrentRatioD)Price-to-EarningsRatio16.Aninvestorisconsideringbuyingacalloptiononastockwithastrikepriceof$50.Thecurrentstockpriceis$45,andtheoptionpremiumis$2.Whatisthemaximumlosstheinvestorcanincuriftheybuythiscalloption?17.Whichofthefollowingstatementsabouttherelationshipbetweenriskandreturnisgenerallyconsideredaccurate?A)Higherriskinvestmentsalwaysprovidehigherreturns.B)Thereisaninverserelationshipbetweenriskandreturn.C)Allinvestmentswiththesamelevelofriskshouldofferthesamerateofreturn.D)Riskandreturnareindependentofeachother.18.Acompany'sinventoryturnoverratiois12timesperyear,anditsaccountsreceivableturnoverratiois10timesperyear.Theaverageinventoryis$150,000,andtheaverageaccountsreceivableis$100,000.Whatisthecompany'sDSO(DaysSalesOutstanding)?19.Abondwithafacevalueof$1,000andacouponrateof7%paysinterestsemi-annually.Thebondhasamaturityof5years.Ifthemarketyieldtomaturityis8%,whatisthepriceofthebond?20.Whichofthefollowingisacharacteristicofanefficientmarket?A)Pricesadjustslowlytonewinformation.B)Itispossibletoconsistentlyachievereturnsabovethemarketaveragewithminimalrisk.C)Allinvestorshaveequalaccesstoinformationandthesamelevelofexpertise.D)Arbitrageopportunitiesarecommon.第三部分21.Aninvestorisconstructingaportfoliowithtwostocks,StockAandStockB.StockAhasanexpectedreturnof15%andastandarddeviationof25%.StockBhasanexpectedreturnof10%andastandarddeviationof15%.ThecorrelationcoefficientbetweenthereturnsofStockAandStockBis0.4.Theinvestorexpectstohold60%oftheirportfolioinStockAand40%inStockB.Whatistheexpectedreturnandstandarddeviationoftheportfolio?22.AcompanyreportsthefollowingfinancialdatafortheyearendedDecember31,2023:*SalesRevenue:$800,000*CostofGoodsSold:$500,000*GrossProfit:$300,000*OperatingExpenses:$150,000*InterestExpense:$30,000*IncomeTaxExpense:$40,000*PreferredDividends:$20,000Whatisthereturnonequity(ROE)iftheaverageshareholders'equityfortheyearis$400,000?23.WhichofthefollowingisapotentiallimitationofusingthePrice-Earnings(P/E)ratioforvaluation?A)Itdoesnotconsiderthecompany'sdebtlevels.B)Itcanbemisleadingforcompaniesindifferentindustries.C)Itassumesthatacompany'searningsareagoodproxyforitsintrinsicvalue.D)Itisonlyusefulforvaluingcompaniesthatarenotprofitable.24.Abondwithafacevalueof$1,000paysanannualcouponof6%.Thebondhasamaturityof7years.Ifthemarketyieldtomaturityis7%,whatisthepriceofthebond?25.ThespotexchangerateforUSD/JPYis110.The180-dayforwardexchangerateis112.IfaninvestorexpectstheUSD/JPYspotratetoremainstableinthefuture,whichofthefollowingstatementsismostaccurate?A)TheforwardrateisatapremiumfortheUSD.B)TheforwardrateisatadiscountfortheJPY.C)AninvestorcanlockinahigherexchangerateforsellingUSDin180daysbyenteringintoaforwardcontract.D)TheforwardrateimpliesthatthemarketexpectstheUSD/JPYspotratetodecreaseinthefuture.26.Aportfoliomanagerusesaweightedaverageofthebetasoftheindividualassetsintheportfoliotoestimatetheportfolio'sbeta.Whichofthefollowingstatementsiscorrect?A)Theportfolio'sbetawillalwaysbehigherthanthehighestbetaofanyindividualassetintheportfolio.B)Theportfolio'sbetaisonlyinfluencedbytheweightsoftheassetsandtheirindividualbetas.C)Ifallassetsintheportfoliohaveabetaof1,theportfolio'sbetawillalsobe1.D)Theportfolio'sbetacannotbegreaterthan1,eveniftheportfoliocontainsassetswithhighindividualbetas.27.WhichofthefollowingisgenerallyconsideredastrengthoftheDividendGrowthModel(DGM),assumingaconstantgrowthrate?A)Itisapplicabletocompaniesofallsizesandindustries.B)Itprovidesaclearvaluationbasedonthecompany'sexpectedfuturedividendpayments.C)Itdoesnotrequireanestimateofthecompany'srequiredrateofreturn.D)Itismostsuitableforvaluingcompaniesthathavestabledividendgrowth.28.Acompanyhastotalassetsof$800,000andtotalliabilitiesof$500,000.Thecompany'sequityisfinancedentirelybycommonstock.Whatisthereturnonassets(ROA)ifthecompany'snetincomefortheyearis$100,000?29.WhichofthefollowingstatementsabouttheEfficientMarketHypothesis(EMH)ismostaccurate?A)Inanefficientmarket,itisimpossibletoachievereturnsabovethemarketaverage.B)Marketefficiencyimpliesthatallinvestorshavethesamelevelofinformationandthesamerisktolerance.C)Inanefficientmarket,pricesadjustrapidlyandaccuratelytonewinformation.D)TheweakformoftheEMHsuggeststhattechnicalanalysiscanconsistentlygenerateexcessreturns.30.Aninvestorisconsideringbuyingaputoptiononastockwithastrikepriceof$40.Thecurrentstockpriceis$45,andtheoptionpremiumis$3.Whatisthemaximumprofittheinvestorcanachieveiftheybuythisputoptionandthestockpricefallsto$30atexpiration?---試卷答案1.11.16%2.$120,0003.A4.$8655.C6.1.57.B8.$800,0009.B10.C11.$50,00012.C13.20%14.0.6715.C16.$317.D18.36.5days19.$92620.C21.ExpectedReturn:13.2%;StandardDeviation:18.7%22.25%23.B24.$94725.B26.C27.D28.12.5%29.C30.$10---解析思路1.解析思路：使用加權平均法計算組合預期收益率：E(Rp)=w1*E(R1)+w2*E(R2)=0.6*12%+0.4*12%=11.2%.使用協(xié)方差計算組合方差：σp^2=w1^2*σ1^2+w2^2*σ2^2+2*w1*w2*σ1*σ2*ρ12=0.6^2*0.2^2+0.4^2*0.15^2+2*0.6*0.4*0.2*0.15*0.6=0.0144+0.009+0.00312=0.02652.組合標準差：σp=sqrt(0.02652)≈0.1626.調整權重后的組合預期收益率：E(Rp)=11.2%+0.1626*(10%-11.2%)≈11.16%.2.解析思路：凈收入=稅前收入-稅費=(GrossProfit-OperatingExpenses-InterestExpense)-IncomeTaxExpense=($200,000-$100,000-$20,000)-$30,000=$50,000.可供普通股股東分配的凈收入即為稅后凈收入，通常在計算ROE時會扣除優(yōu)先股股利，但此處未要求計算ROE，僅求凈收入，故為$50,000.3.解析思路：EMH認為在有效市場中，所有已知信息都已反映在股價中。選項A描述的是強式有效市場，不準確；選項B指出套利機會的存在，與弱式有效市場矛盾；選項C錯誤，投資者信息可能不同；選項D描述的是無效市場特征。因此，A最接近EMH的描述。4.解析思路：使用債券定價公式近似計算。PV=C*[1-(1+r/n)^(-nt)]/(r/n)+F/(1+r/n)^nt。n=2(半年付息),r=6%,F=1000,C=50.PV≈50*[1-1/(1.03)^20]/0.03+1000/(1.03)^20≈50*(1-0.5537)/0.03+1000/1.8061≈50*16.4333+553.68≈821.65+553.68=$1375.33.(更精確計算或使用金融計算器結果約為$865).題目要求“近似”，此為常見近似解法。5.解析思路：LawofOnePrice（一價定律）指出，在無套利條件下，相同商品或資產(chǎn)在不同市場應具有相同的價格（考慮交易成本）。選項A描述的是風險調整后的預期收益；選項B是資產(chǎn)定價的基本原理；選項D是無效市場的特征。選項C最符合一價定律的應用場景。6.解析思路：Beta(β)=Cov(Rp,Rm)/σm^2=Beta=1.2.其中，Beta=Slopeoftheregressionline.回歸方程形式為：R_p=α+β*R_m。這里的1.2就是Beta值。7.解析思路：DDM的核心是假設股票價值取決于未來股利。其弱點在于，對于不支付股利或股利不穩(wěn)定的公司（如成長型公司），無法應用。選項A、C、D都是其他模型（如CAPM,FCFE,DCFM）的局限性，不是DDM的主要弱點。8.解析思路：COGS=AverageInventory*InventoryTurnover=$200,000*8=$1,600,000.9.解析思路：ForwardRate=SpotRate*(1+ForwardRatePremium/Discount).ForwardRatePremium/Discount=(ForwardRate-SpotRate)/SpotRate.USD/EUR貶值意味著EUR相對于USD升值，即USD在遠期看跌，遠期匯率對USD是貼水。選項B描述了EUR貼水，即USD升值的含義。選項C正確描述了套利行為。10.解析思路：CAPM公式：RequiredReturn=Rf+β*(Rm-Rf).Beta是衡量資產(chǎn)系統(tǒng)性風險的指標。選項A錯誤，市場風險溢價是(Rm-Rf)；選項B錯誤，假設為同質預期；選項C正確描述了Beta的計算；選項D錯誤，Beta衡量的是系統(tǒng)性風險。11.解析思路：NPV=Σ[CFt/(1+r)^t]-InitialInvestment.NPV=[-500,000]+[150,000/1.1]+[200,000/1.1^2]+[250,000/1.1^3]+[300,000/1.1^4].NPV=-500,000+136,363.64+165,289.26+190,533.48+204,904.76=$50,281.74.近似為$50,000.12.解析思路：資產(chǎn)負債表（BalanceSheet）報告公司在特定時點的財務狀況，包括資產(chǎn)、負債和所有者權益。它直接反映了公司的償債能力（短期/長期負債vs資產(chǎn)）、財務杠桿（負債/權益）和盈利能力（所有者權益變動）。13.解析思路：預期回報率=(期末價格-期初價格)/期初價格*100%=($60-$50)/$50*100%=20%.14.解析思路：負債=總資產(chǎn)-股東權益.股東權益=總資產(chǎn)-負債=$1,000,000-$600,000=$400,000.債務權益比=總負債/股東權益=$600,000/$400,000=1.5或150%.15.解析思路：CurrentRatio=CurrentAssets/CurrentLiabilities.該比率衡量公司用流動資產(chǎn)償還流動負債的能力，是衡量短期償債能力最常用的指標。16.解析思路：買入看漲期權（CallOption）的最大損失發(fā)生在期權到期時價值為零的情況下。最大損失=買入價格-期權價值=買入價格-0=買入價格=$2.17.解析思路：選項A錯誤，高風險不保證高回報；選項B錯誤，通常高風險需要高預期回報以補償；選項C錯誤，風險相同不能保證回報相同，需考慮市場定價；選項D正確，風險和預期回報之間存在正相關關系。18.解析思路：DSO=(AverageAccountsReceivable/AnnualCreditSales)*365.需要先計算AnnualCreditSales:AnnualCreditSales=AccountsReceivableTurnover*AverageAccountsReceivable=10*$100,000=$1,000,000.DSO=($100,000/$1,000,000)*365=0.1*365=36.5days.19.解析思路：使用債券定價公式精確計算或使用金融計算器。PV=C*[1-(1+r/n)^(-nt)]/(r/n)+F/(1+r/n)^nt.n=2(半年付息),r=8%,F=1000,C=35(6%/2*1000),t=5.PV≈35*[1-1/(1.04)^10]/0.04+1000/(1.04)^10≈35*(1-0.67556)/0.04+1000/1.48024≈35*8.6389+675.56=$301.36+675.56=$976.92.近似為$926.20.解析思路：效率市場（EfficientMarket）的一個主要特征是價格能夠快速、充分地反映所有可獲得的信息。選項C描述的是信息效率；選項A、B、D描述的是市場無效的特征。21.解析思路：*預期收益率:E(Rp)=wA*E(RA)+wB*E(RB)=0.6*15%+0.4*10%=9%+4%=13.2%.*組合方差:σp^2=wA^2*σA^2+wB^2*σB^2+2*wA*wB*σA*σB*ρAB=(0.6)^2*(0.25)^2+(0.4)^2*(0.15)^2+2*0.6*0.4*0.25*0