2025年CFALevelII股票估值選擇題庫考試時間：______分鐘總分：______分姓名：______Instructions:Choosethebestanswerforeachofthefollowingquestions.1.Acompanyisexpectedtogrowitsearningsatahighrateforthenext5yearsandthentransitiontoastablegrowthrate.Whichofthefollowingvaluationmodelsismostappropriateforvaluingthecompany'sequity?a)ConstantGrowthDividendDiscountModel(GGM)b)Two-StageDividendDiscountModelc)Three-StageDividendDiscountModeld)FreeCashFlowtoEquity(FCFE)DiscountModel2.AnanalystisvaluingacompanyusingtheFreeCashFlowtoFirm(FCFF)discountmodel.TheFCFFisprojectedtogrowatarateof10%forthenext5yearsandthendeclinetoalong-termstablegrowthrateof3%.Whichofthefollowingmethodsismostappropriateforcalculatingtheterminalvalueattheendofyear5?a)PerpetuityGrowthModelappliedtoyear5FCFFb)ExitMultiplebasedonyear5FCFFc)PerpetuityGrowthModelappliedtoyear4FCFFd)SumofthepresentvaluesofFCFFforyears6through103.WhenusingtheConstantGrowthDividendDiscountModel(GGM),whichofthefollowingparametersismostsensitivetochangesintheestimatedgrowthrate?a)Requiredrateofreturn(Ke)b)Currentdividend(D0)c)Terminalgrowthrate(g)d)Dividendpayoutratio4.AnanalystusestheEnterpriseValuetoEBITDA(EV/EBITDA)multiplemethodtovalueacompany.Whichofthefollowingadjustmentsisgenerallyconsideredmostappropriateforvaluingacompanywithsignificantlyhigherdebtlevelsthanitspeers?a)Increasethemultipletoreflectthehigherfinancialrisk.b)Decreasethemultipletoreflectthehigherfinancialrisk.c)NoadjustmentisnecessaryasEV/EBITDAinherentlycapturesdebtlevels.d)AddariskpremiumtotheEBITDAbeforeapplyingthemultiple.5.Acompanyoperatesinamatureindustrywithverystableearningsandlowgrowth.Whichofthefollowingvaluationmultiplesisgenerallyconsideredthemostappropriateforvaluingthiscompany?a)Price/Earnings(P/E)b)Price/BookValue(P/B)c)EnterpriseValue/EBITDAd)Price/Sales(P/S)6.TheWeightedAverageCostofCapital(WACC)isusedasthediscountrateintheFreeCashFlowtoFirm(FCFF)model.WhichofthefollowingcomponentstypicallyrepresentsthecostofequitycapitalusedintheWACCcalculation?a)Thecostofretainedearningsb)Thecostofpreferredstockc)Thecostofdebt(aftertax)d)Thedividendyieldonthecompany'sstock7.AnanalystisvaluingacompanyusingtheComparableCompaniesanalysismethod.Whichofthefollowingactionswouldmostlikelyleadtoahigherestimatedvaluationmultiple(e.g.,higherP/E)?a)Includingcompaniesintheanalysisthataresmallerinsizethanthesubjectcompany.b)Includingcompanieswithhighergrowthprospectsthanthesubjectcompany.c)Adjustingthemultiplesdownwardtoaccountforthesubjectcompany'shigherriskprofile.d)Includingcompanieswithhigherdividendpayoutratiosthanthesubjectcompany.8.Acompanyhasrecentlyundergoneasignificantrestructuringthatisexpectedtoimproveitsprofitabilityandreduceitsfinancialriskinthecomingyears.Whenvaluingthecompany,ananalystshouldbemostconcernedabout:a)Valuingthecompanybasedonitscurrent,pre-restructuringearningspower.b)Usingaconservativediscountratetoaccountforthepotentialrisksoftherestructuring.c)Recognizingthepotentialforimprovedfutureperformanceandincorporatingitintothevaluation.d)Applyingasignificanthaircuttothecompany'sassetstoreflecttherestructuringcosts.9.TheDividendDiscountModel(DDM)isconsideredlessreliableforvaluingcompaniescomparedtoothermethodsliketheDiscountedCashFlow(DCF)model.Whichofthefollowingreasonsbestexplainsthislimitation?a)TheDDMrequiresmoreinputvariablesthantheDCFmodel.b)TheDDMreliesonassumptionsaboutfuturedividendgrowth,whichcanbehighlyuncertain.c)TheDDMisonlyapplicabletocompaniesthatpaydividends.d)TheDCFmodeltypicallyyieldshighervaluationmultiples.10.Ananalystestimatesthatacompany'sintrinsicvaluepershareis$50,basedonaDiscountedCashFlow(DCF)model.Thecurrentmarketpricepershareis$40.Whichofthefollowinginterpretationsismostappropriate?a)ThestockisfairlyvaluedaccordingtotheDCFanalysis.b)ThestockispotentiallyundervaluedaccordingtotheDCFanalysis.c)Thestockisdefinitelyovervaluedasthemarketpriceisbelowtheintrinsicvalue.d)Thedifferencebetweenintrinsicvalueandmarketpriceisduetoexpecteddividendpayments.11.WhenperformingaDiscountedCashFlow(DCF)analysis,asensitivityanalysisisconductedbychangingthediscountratewhilekeepingotherassumptionsconstant.Whatistheprimarypurposeofthisanalysis?a)Todeterminethemostlikelyfuturecashflows.b)Toassesstheimpactofchangesintheterminalgrowthrateonthevaluation.c)Tounderstandhowsensitivethevaluationistochangesintherequiredrateofreturn.d)Tocalculatethecompany'sWACCmoreaccurately.12.AnanalystisvaluingacompanyusingtheFreeCashFlowtoEquity(FCFE)discountmodel.Whichofthefollowingcashflowsrepresentsthecashavailabletothecompany'sequityholdersafterallinvestmentshavebeenmadeanddebtobligations(includinginterestandprincipalpayments)havebeenmet?a)NetIncomeb)OperatingCashFlowc)FreeCashFlowtoFirm(FCFF)d)FreeCashFlowtoEquity(FCFE)13.Acompanyhasabetaof1.2.Therisk-freerateis3%,andthemarketriskpremiumis5%.Ifthecompany'sdebt-to-equityratiois1,andthecorporatetaxrateis30%,whatistheapproximatecostofequity(Ke)usingtheCapitalAssetPricingModel(CAPM)?a)3.0%b)7.0%c)9.0%d)12.0%14.WhenusingtheComparableCompaniesanalysismethod,whichofthefollowingmetricsisleastlikelytobeusedasavaluationmultiple?a)Price/Earnings(P/E)b)EnterpriseValue/EBITDAc)Price/BookValue(P/B)d)FreeCashFlowtoEquity/Equity15.Ananalystestimatesthatacompanywillgenerate$100millioninFCFFnextyear(Year1),withFCFFexpectedtogrowataconstantrateof5%indefinitely.Ifthecompany'sWACCis10%,whatistheestimatedvalueofthecompany'soperations(EnterpriseValue)?a)$500millionb)$1,000millionc)$1,100milliond)$1,500million16.WhichofthefollowingstatementsaccuratelydescribesakeyassumptionoftheConstantGrowthDividendDiscountModel(GGM)?a)Dividendsareexpectedtogrowataconstantrateforever.b)Therequiredrateofreturn(Ke)isexpectedtodecreaseovertime.c)Thecompanywillneverpaydividends.d)Thecompany'searningsareexpectedtodeclineovertime.17.AnanalystisvaluingacompanyusingtheTwo-StageDividendDiscountModel.Whichofthefollowingsequencescorrectlyrepresentsthetypicalassumptionsregardingthegrowthrateofdividendsduringthehigh-growthandstable-growthphases?a)Highgrowthrate,thenlowergrowthrate,thenzerogrowthrate.b)Zerogrowthrate,thenhighgrowthrate,thenstablegrowthrate.c)Highgrowthrate,thenstablegrowthrate,thenzerogrowthrate.d)Stablegrowthrate,thenhighgrowthrate,thenlowergrowthrate.18.WhenvaluingacompanyusingtheEnterpriseValuetoEBITDAmultiple,whichofthefollowingfactorswouldtypicallyleadtoahighermultiplebeingapplied?a)Higherinterestrates,increasingthecompany'sdebtburden.b)Lowertaxrates,increasingthecompany'sEBITDA.c)Strongermanagementteam,leadingtohigherexpectedfutureperformance.d)Higherdividendpayoutratio,indicatingapreferencefordistributingcashtoshareholders.19.Acompanyhaspositivefreecashflowsbutisalsoincreasingitsdebtlevelssignificantly.Whichvaluationmethodismostappropriateforvaluingthecompany'sequityinthissituation?a)FreeCashFlowtoFirm(FCFF)DiscountModelb)DividendDiscountModel(DDM)c)Price/BookValue(P/B)Multipled)DiscountedCashFlowtoEquity(DCFE)Model20.Theunleveredbeta(βu)representsthecompany'sequitybetaifithadnodebt.Whichofthefollowingformulascorrectlycalculatestheunleveredbeta(βu)giventhecompany'sequitybeta(βe),marketcapitalization(E),andtotaldebt(D)?a)βu=βe*[(1+(1-T)*(D/E))]b)βu=βe/[(1+(1-T)*(D/E))]c)βu=βe*(D/E)d)βu=βe/(1+(1-T)*(D/E))21.Ananalystestimatesthatacompany'sintrinsicvaluepershareis$75usingaDiscountedCashFlowtoEquity(DCFE)model.Thecompanypaysadividendof$3pershare,andtherequiredrateofreturnonequityis12%.Whatistheimpliedgrowthrateofthecompany'sequitycashflows,assumingtheDCFEmodeliscorrectlyspecified?a)4.0%b)6.0%c)8.0%d)10.0%22.WhenusingtheExitMultiplemethodforvaluingacompany,whichofthefollowingmultiplesismostcommonlyused,especiallyfortechnologycompanies?a)Price/Earnings(P/E)multipleatthecurrentmarketpriceb)Price/Earnings(P/E)multipleatanormalizedearningslevelc)EnterpriseValue/EBITDAmultiplebasedonrecentM&Atransactionsintheindustryd)Price/Sales(P/S)multiplebasedonthecompany'scurrentsalesgrowthrate23.AcompanyhasaP/Eratioof15.ThemarketP/Eratiois12.Thecompany'sexpectedearningsgrowthrateis8%,whilethemarket'sexpectedearningsgrowthrateis5%.Accordingtothevaluationratioapproach,whatistheimpliedvaluationmultipleforthecompanyrelativetothemarket,basedongrowthexpectations?a)LowerthanthemarketP/Eratiob)HigherthanthemarketP/Eratioc)EqualtothemarketP/Eratiod)Cannotbedeterminedwithoutknowingthecompany'smarketcapitalization.24.AnanalystisvaluingacompanyandestimatesitsWACCtobe9%.Thecompanyhasadebt-to-equityratioof0.5.Thecorporatetaxrateis25%.Ifthecompany'sunleveredcostofequity(βu*[Rf+βu*(Rm-Rf)])is10%,whatisthecompany'scostofdebt(Kd)assumingthedebtisrisk-free?a)3.0%b)4.5%c)5.0%d)6.0%25.Whichofthefollowingvaluationmethodsisconsideredmosttheoreticallysoundbutoftenimpracticalduetodatalimitations?a)ComparableCompaniesAnalysisb)PrecedentTransactionsAnalysisc)DiscountedCashFlow(DCF)Analysisd)PricetoBook(P/B)RatioAnalysis試卷答案1.b*解析思路：題目描述公司未來5年高速增長，然后進入穩(wěn)定增長階段。兩階段模型（Two-StageDDM）適用于這種具有明確高速增長期和后續(xù)穩(wěn)定增長期的情形。2.a*解析思路：FCFF預(yù)測未來5年高速增長（10%），然后轉(zhuǎn)為穩(wěn)定增長（3%）。DCF模型計算終值時，通常將終值定義為穩(wěn)定增長階段開始時的價值，即第5年末的價值。因此，應(yīng)使用永續(xù)增長模型（PerpetuityGrowthModel）基于第5年的FCFF來計算第5年末的終值。3.c*解析思路：GGM的估值公式為V0=D1/(Ke-g)。其中，D1是下一期預(yù)期股利，Ke是股權(quán)要求回報率，g是恒定增長rate。在V0、D1和Ke相對固定的情況下，g的變化會直接且顯著地影響估值結(jié)果。Ke的微小變化也會對估值有較大影響，但g通常被認(rèn)為是最敏感的參數(shù)。4.b*解析思路：EV/EBITDA估值法旨在將不同資本結(jié)構(gòu)公司的估值進行比較。使用該乘數(shù)時，通常假設(shè)風(fēng)險（與資本結(jié)構(gòu)相關(guān)的財務(wù)風(fēng)險）已被包含在乘數(shù)本身中。如果一家公司比可比公司有更高的債務(wù)水平，意味著其財務(wù)風(fēng)險更高。為了在估值中反映這種更高的風(fēng)險，應(yīng)選擇一個較低的乘數(shù)，因為較高的風(fēng)險應(yīng)導(dǎo)致較低的估值。5.b*解析思路：對于處于成熟行業(yè)、經(jīng)營穩(wěn)定、低增長的公司，其價值更多地體現(xiàn)在其賬面資產(chǎn)或凈資產(chǎn)上。市凈率（P/B）估值法尤其適用于資產(chǎn)質(zhì)量穩(wěn)定、盈利能力與賬面價值相關(guān)性較高的行業(yè)，如金融業(yè)、公用事業(yè)等。P/E適用于增長型公司，EV/EBITDA和P/S適用于收入驅(qū)動型或周期性行業(yè)。6.a*解析思路：WACC是公司加權(quán)平均資本成本，用于DCF模型中折現(xiàn)全部現(xiàn)金流量（包括債權(quán)和股權(quán)融資）。其中，股權(quán)成本（Ke）是代表股權(quán)投資者要求的回報率，計算WACC時使用的正是股權(quán)成本。選項b是優(yōu)先股成本，c是稅后債務(wù)成本，d是股利收益率，通常用于GGM。7.b*解析思路：可比公司分析中，估值乘數(shù)通常反映市場對公司風(fēng)險和增長前景的預(yù)期。選擇增長前景（如P/E乘數(shù)）高于主體的可比公司，其乘數(shù)本身可能就更高。使用這些高乘數(shù)來估值主體公司，會得到更高的估值結(jié)果。選項a、c、d都會傾向于得到較低的估值。8.c*解析思路：公司正在進行重組，預(yù)期未來盈利能力會提高、財務(wù)風(fēng)險會降低。在估值時，應(yīng)基于這些預(yù)期改進后的未來表現(xiàn)進行。即，不應(yīng)僅僅基于當(dāng)前或過去的狀況（選項a），應(yīng)選擇能反映未來改善的模型和參數(shù)（選項c），并且不應(yīng)簡單地應(yīng)用與當(dāng)前困境相關(guān)的折扣或減值（選項d）。一個保守的折扣（選項b）可能不適用于預(yù)期改善的情況。9.c*解析思路：DDM直接依賴于未來無限期股利的預(yù)測。其最大的挑戰(zhàn)和局限性在于對長期（無限期）股利增長率的假設(shè)。由于缺乏明確終期，對遙遠(yuǎn)未來的增長預(yù)測極其主觀且易變，這是導(dǎo)致DDM可靠性較低的主要原因。其他選項并非DDM的核心局限性或并非絕對限制。10.b*解析思路：DCF模型估算的是公司的內(nèi)在價值。當(dāng)內(nèi)在價值（$50）高于當(dāng)前市場價格（$40）時，通常表明根據(jù)DCF分析，市場價格低于其估算的價值，因此該股票被視為相對被低估。11.c*解析思路：敏感性分析的核心目的在于測試模型輸出結(jié)果對關(guān)鍵輸入?yún)?shù)變化的敏感程度。在DCF分析中，改變折現(xiàn)率（WACC）是常見的敏感性測試之一，用以評估估值結(jié)果對投資者要求的回報率變化的敏感度。12.d*解析思路：FCFE（FreeCashFlowtoEquity）定義為公司在履行了所有運營資本投資、資本支出以及支付了所有債務(wù)相關(guān)現(xiàn)金流出（包括利息和本金償還）后，可分配給普通股股東的現(xiàn)金流量。它是真正歸屬于股東層面的自由現(xiàn)金流。13.d*解析思路：根據(jù)CAPM公式：Ke=Rf+βe*(Rm-Rf)。代入數(shù)據(jù)：Ke=3%+1.2*5%=3%+6%=9%。注意題目指明了計算的是成本ofequity(Ke)，且假設(shè)債務(wù)為風(fēng)險-free，因此直接使用公式計算即可，無需考慮稅盾效應(yīng)或杠桿的影響。14.d*解析思路：FreeCashFlowtoEquity(FCFE)是指歸屬于股東層面的自由現(xiàn)金流。雖然FCFE可以用于DCF-Equity模型，但在使用可比公司分析時，通常更傾向于使用與公司整體價值或運營相關(guān)的multiples，如EV/EBITDA、P/E、P/B等。FCFE/Equityratio本身更多地用于直接比較不同公司對股東的現(xiàn)金流分配能力，而非作為獨立的、與市場比較的估值multiple。15.b*解析思路：根據(jù)永續(xù)增長模型（PerpetuityGrowthModel），企業(yè)價值（EV）=FCFF1/(WACC-g)。代入數(shù)據(jù)：EV=$100million/(10%-5%)=$100million/5%=$2,000million。注意，這里計算的是企業(yè)價值（EnterpriseValue），而非股權(quán)價值。題目中給出的選項金額遠(yuǎn)低于此計算結(jié)果，可能題目或選項存在錯誤，或題目意圖考察的是股權(quán)價值（EquityValue）。若按題目要求計算EV，則答案為$2,000million，但在選項中找不到對應(yīng)值。若假設(shè)題目意圖為計算股權(quán)價值，則需進一步考慮債務(wù)和現(xiàn)金，但這超出了題目直接給出的信息。16.a*解析思路：GGM（戈登增長模型）的核心假設(shè)是公司未來的股利將以一個恒定的、不變的比率無限期增長。這是該模型最關(guān)鍵也最嚴(yán)格的假設(shè)。其他選項不是GGM的假設(shè)或描述不準(zhǔn)確。17.a*解析思路：兩階段DDM通常假設(shè)公司在某個階段（如前5年或10年）以一個高于長期穩(wěn)定水平的速度（高增長率）增長，之后進入一個較低的、穩(wěn)定的增長階段（穩(wěn)定增長率）。因此，增長率的序列是先高后低再穩(wěn)定（零增長）。18.c*解析思路：根據(jù)EV/EBITDA估值法，較高的估值乘數(shù)通常意味著市場預(yù)期公司未來能保持較高的增長潛力、盈利能力或擁有更強的競爭優(yōu)勢。更強的管理團隊能帶來更高的增長預(yù)期和盈利能力，因此會傾向于導(dǎo)致更高的估值乘數(shù)。19.d*解析思路：公司有正的FCFE，表明其運營產(chǎn)生了現(xiàn)金，但同時也大量增加債務(wù)。這意味著公司可能在用債務(wù)融資支持運營或投資，并將大部分現(xiàn)金流用于償還債務(wù)而非股東分紅。在這種情況下，使用FCFE作為現(xiàn)金流的來源進行估值（即DCFE模型）更為直接和合適，因為它反映了真正可分配給股東的現(xiàn)金流。FCFF是運營現(xiàn)金流減去資本支出，適用于更廣泛的公司范圍，但在此情境下，關(guān)注點在于股權(quán)價值。20.b*解析思路：根據(jù)leveredbeta和unleveredbeta的關(guān)系公式：βe=βu*[1+(1-T)*(D/E)]。解此公式求βu：βu=βe/[1+(1-T)*(D/E)]。21.a*解析思路：根據(jù)DCFE模型公式：V0_Equity=FCFE1/(Ke-g)。其