2025年CFA金融真題模擬卷考試時(shí)間：______分鐘總分：______分姓名：______考生姓名：__________考試日期：__________第一部分1.Aninvestorisconsideringaddingastocktotheirportfolio.Thestockhasanexpectedreturnof12%andastandarddeviationof20%.Theportfoliocurrentlyconsistsof70%stockswithastandarddeviationof15%and30%bondswithastandarddeviationof5%.Thecorrelationcoefficientbetweenthestock'sreturnandtheportfolio'sreturnis0.6.Whatistheexpectedreturnandstandarddeviationoftheportfolioafteraddingthisstock,assumingtheweightsofstocksandbondsremainunchanged?2.Acompany'smarketcapitalizationis$500million,bookvalueofequityis$400million,andbookvalueofdebtis$200million.Thecompanyhasnopreferredstock.Whatisthemarketvalueofequity-to-marketvalueofdebtratio?3.Thecurrentexchangerateis1USD=0.90EUR.Theone-yearforwardexchangerateis1USD=0.88EUR.Theone-yearinterestrateintheUSis2%andtheone-yearinterestrateintheEurozoneis1.5%.Accordingtointerestrateparity,isthereanarbitrageopportunity?Ifso,howwouldyouexploitit?4.Aprojectrequiresaninitialinvestmentof$100,000andisexpectedtogeneratecashflowsof$40,000attheendofyear1,$50,000attheendofyear2,and$60,000attheendofyear3.Whatisthenetpresentvalue(NPV)oftheprojectiftherequiredrateofreturnis10%?5.Whichofthefollowingstatementsregardingtheefficientmarkethypothesis(EMH)ismostaccurate?a)Inanefficientmarket,stockpricesalwaysreflectallavailableinformation.b)Itispossibletoconsistentlyachievereturnsabovethemarketaveragebyactivelymanagingaportfolio.c)Inanefficientmarket,allassetsarepricedfairly,andtherearenoundervaluedorovervaluedstocks.d)TheweakformoftheEMHimpliesthattechnicalanalysiscanconsistentlygenerateabnormalreturns.6.Acompanyhasadebt-equityratioof1.5.Ifthemarketvalueofequityis$600million,whatisthemarketvalueofdebt?7.Thespotpriceofanon-dividendpayingstockis$50.Thestrikepriceofacalloptiononthestockis$55,andtheoptionpremiumis$2.Whatisthebreak-evenpriceforthecalloption?8.Whichofthefollowingisgenerallyconsideredamoreconservativemethodforvaluingacompanycomparedtothediscountedcashflow(DCF)model?a)Price-to-earnings(P/E)ratiob)Price-to-sales(P/S)ratioc)EnterprisevaluetoEBITDAd)Sum-of-the-partsanalysis9.Aportfoliomanagerusesafactormodeltoexplainstockreturns.Themodelis:R_i=R_m+b_i*(R_Factor1-R_Factor1)+b_i*(R_Factor2-R_Factor2)+ε_(tái)i.WhatdoesthetermR_mrepresent?10.Acompany'sinventoryturnoverratiois6timesperyear.Thedayssalesoutstanding(DSO)ratiois45days.Thecostofgoodssoldis$300million.Whatistheaccountsreceivablebalance?第二部分11.Explaintheconceptofdurationforabond.Howdoesdurationaffectthepricesensitivityofabondtochangesininterestrates?12.Acompanyisconsideringanewprojectthathasaninitialinvestmentof$200,000.Theprojectisexpectedtogenerateannualcashflowsof$70,000for5years.Thecompany'scostofcapitalis8%.Whatistheinternalrateofreturn(IRR)oftheproject?ShouldthecompanyaccepttheprojectbasedontheIRRrule?13.Describethedifferencesbetweenthemoneymarketandthecapitalmarket.Provideexamplesofinstrumentstradedineachmarket.14.Whatisthepurposeofa10-Kreport?Whopreparesitandwhoaretheprimaryusers?15.Explaintheconceptofabond'syieldtomaturity(YTM).HowdoesYTMrelatetothebond'scouponrate,currentprice,andtimetomaturity?16.Discusstheroleofcreditratingagenciesinthefinancialmarkets.Whatarethemaincreditratingscalesused?17.Acompany'sstockhasabetaof1.2.Therisk-freerateis3%andtheexpectedreturnonthemarketportfoliois10%.Whatistheexpectedreturnonthecompany'sstockaccordingtothecapitalassetpricingmodel(CAPM)?18.Explaintheconceptofoperatingleverage.Howdoesoperatingleverageaffectacompany'sprofitabilityandrisk?19.Describetheprocessofastocksplit.Whatarethepotentialbenefitsanddrawbacksofastocksplitforacompanyanditsshareholders?20.Whatisthedifferencebetweenaforwardcontractandafuturescontract?Provideonekeydifferenceintermsoftheircharacteristicsormarket.第三部分21.Acompanyisevaluatingtwomutuallyexclusiveprojects.ProjectAhasaninitialinvestmentof$100,000andgeneratescashflowsof$40,000peryearfor4years.ProjectBhasaninitialinvestmentof$150,000andgeneratescashflowsof$60,000peryearfor4years.Therequiredrateofreturnforbothprojectsis10%.Usingtheprofitabilityindex(PI)method,whichprojectshouldthecompanyaccept?22.Explaintheconceptofsystematicriskandunsystematicrisk.Howcaninvestorsmanageunsystematicrisk?23.Describethedifferenttypesoffinancialstatementscommonlyusedbycompanies.Whatinformationisprovidedineachstatement?24.Whatisthedifferencebetweenacalloptionandaputoption?Provideanexampleofwhenaninvestormightpurchaseacalloptionoraputoption.25.Explaintheconceptofamarketindex.Provideanexampleofawell-knownmarketindexanddescribehowitisconstructed.26.Acompanyhasadebtratioof0.6.Whatisitsequityratio?27.Describetheprocessofinitialpublicoffering(IPO).WhatarethemainbenefitsanddrawbacksofanIPOforacompany?28.Explaintheconceptofarbitrage.Provideanexampleofanarbitrageopportunityintheforeignexchangemarket.29.Discussthefactorsthatcaninfluenceacompany'sweightedaveragecostofcapital(WACC).30.Whatisthedifferencebetweensensitivityanalysisandscenarioanalysis?Provideanexampleofhoweachmightbeusedinfinancialdecision-making.試卷答案第一部分1.預(yù)期回報(bào)率：0.7*12%+0.3*0%+0.7*0.6*(12%-0%)+0.3*0.6*(0%-0%)=8.4%+0=8.4%標(biāo)準(zhǔn)差：sqrt[(0.7^2*20%^2)+(0.3^2*5%^2)+2*0.7*0.3*0.6*(20%*5%)]=sqrt[0.0294+0.00225+0.021]=sqrt[0.05265]≈22.92%答案：預(yù)期回報(bào)率為8.4%，標(biāo)準(zhǔn)差約為22.92%。2.市場(chǎng)價(jià)值債務(wù)=書(shū)價(jià)值債務(wù)=$200M。市場(chǎng)價(jià)值權(quán)益=市場(chǎng)資本化=$500M。市場(chǎng)價(jià)值債務(wù)/市場(chǎng)價(jià)值權(quán)益=$200M/$500M=0.4答案：0.4。3.遠(yuǎn)期貼水（USD對(duì)EUR）。理論遠(yuǎn)期匯率=1*(1+2%)/(1+1.5%)=1*1.02/1.015≈0.9072EUR/USD。實(shí)際遠(yuǎn)期匯率=0.88EUR/USD。存在套利機(jī)會(huì)。操作：借入U(xiǎn)SD，兌換EUR購(gòu)買(mǎi)遠(yuǎn)期EUR，同時(shí)投資EUR或賣(mài)空USD。具體步驟：借入U(xiǎn)SD1，兌換0.9EUR，投資EUR，一年后獲得0.9*1.015=0.9135EUR。執(zhí)行遠(yuǎn)期合約賣(mài)出0.9135EUR，得到0.9135/0.88≈1.0366USD。償還USD借款1*(1+2%)=1.02USD。凈盈利：1.0366-1.02=0.0166USD。答案：存在套利機(jī)會(huì)，具體操作如上。4.NPV=-100,000+40,000/(1+0.1)^1+50,000/(1+0.1)^2+60,000/(1+0.1)^3NPV=-100,000+40,000/1.1+50,000/1.21+60,000/1.331NPV=-100,000+36,363.64+41,322.31+45,078.90NPV=-100,000+122,764.85NPV≈22,764.85答案：NPV約為22,764.85。5.a是最準(zhǔn)確的描述。有效市場(chǎng)假說(shuō)認(rèn)為，在有效市場(chǎng)中，所有已知信息都已反映在股價(jià)中。6.市場(chǎng)價(jià)值債務(wù)=市場(chǎng)價(jià)值權(quán)益*債務(wù)權(quán)益比=$600M*1.5=$900M。答案：$900million。7.盈虧平衡價(jià)=行權(quán)價(jià)+期權(quán)溢價(jià)=$55+$2=$57。答案：$57。8.a,b,c通常被認(rèn)為比DCF模型更保守，因?yàn)樗鼈兛赡芎雎粤斯镜膬?nèi)在價(jià)值或未來(lái)增長(zhǎng)潛力，而更多地基于市場(chǎng)可比數(shù)據(jù)。d分析法可能比DCF更深入，但也可能更復(fù)雜。c(EnterpriseValuetoEBITDA)在某些情況下可能被認(rèn)為相對(duì)保守，因?yàn)樗懦藗鶆?wù)和稅收的影響，關(guān)注經(jīng)營(yíng)性現(xiàn)金流。但嚴(yán)格來(lái)說(shuō)，沒(méi)有絕對(duì)保守的方法，取決于分析目的。答案：EnterprisevaluetoEBITDA(c)。9.R_m代表市場(chǎng)投資組合的預(yù)期回報(bào)率。答案：市場(chǎng)投資組合的預(yù)期回報(bào)率。10.COGS/InventoryTurnover=AverageInventory。AverageInventory=$300M/6=$50M。DSO=AverageReceivables/(CreditSales/365)。假設(shè)CreditSales≈COGS(若非現(xiàn)金銷(xiāo)售，需調(diào)整)，則：AverageReceivables=DSO*(COGS/365)=45*($300M/365)≈$36.98M。答案：$36.98million(假設(shè)信用銷(xiāo)售額約等于銷(xiāo)貨成本)。第二部分11.解析思路：duration（久期）衡量的是債券價(jià)格對(duì)利率變化的敏感程度。它表示當(dāng)利率發(fā)生1%的變動(dòng)時(shí)，債券價(jià)格預(yù)計(jì)會(huì)發(fā)生多大比例的變動(dòng)。久期越長(zhǎng)，債券價(jià)格對(duì)利率變動(dòng)的敏感度越高。計(jì)算方法通常基于債券的現(xiàn)金流現(xiàn)值，權(quán)重為各現(xiàn)金流發(fā)生時(shí)間的現(xiàn)值。久期有助于投資者評(píng)估利率風(fēng)險(xiǎn)。12.解析思路：IRR是使項(xiàng)目NPV等于零的貼現(xiàn)率。計(jì)算IRR后，與成本_of_capital比較。若IRR>成本_of_capital，則NPV預(yù)計(jì)為正，接受項(xiàng)目。若IRR<成本_of_capital，則NPV預(yù)計(jì)為負(fù)，拒絕項(xiàng)目。計(jì)算結(jié)果為IRR，然后根據(jù)規(guī)則判斷是否接受。IRR計(jì)算：0=-200,000+70,000/(1+IRR)+70,000/(1+IRR)^2+70,000/(1+IRR)^3+70,000/(1+IRR)^4+70,000/(1+IRR)^5。使用計(jì)算器或軟件求解得IRR≈16.13%。決策：16.13%>8%(成本_of_capital)，接受項(xiàng)目。答案：IRR約為16.13%。根據(jù)IRR規(guī)則，因?yàn)镮RR大于成本_of_capital，nên公司應(yīng)接受該項(xiàng)目。13.解析思路：貨幣市場(chǎng)交易短期（通常一年以?xún)?nèi)）債務(wù)工具，流動(dòng)性高，風(fēng)險(xiǎn)低，利率通常較低。資本市場(chǎng)交易長(zhǎng)期（通常一年以上）債務(wù)和股權(quán)工具，期限長(zhǎng)，風(fēng)險(xiǎn)相對(duì)較高，利率或預(yù)期回報(bào)率通常較高。例如，貨幣市場(chǎng)工具包括國(guó)庫(kù)券、商業(yè)票據(jù)；資本市場(chǎng)工具包括債券、股票。14.解析思路：10-K報(bào)告是上市公司向美國(guó)證券交易委員會(huì)（SEC）提交的年度報(bào)告，包含關(guān)于公司業(yè)務(wù)、財(cái)務(wù)狀況、風(fēng)險(xiǎn)因素、管理層討論與分析等的詳細(xì)信息。由公司管理層編制并負(fù)責(zé)準(zhǔn)確性。主要用戶包括投資者、分析師、債權(quán)人、監(jiān)管機(jī)構(gòu)。15.解析思路：YTM是債券從購(gòu)買(mǎi)日至到期日整個(gè)持有期間內(nèi)預(yù)計(jì)的年平均回報(bào)率，它包含了利息收入和資本利得或損失。YTM與債券的當(dāng)前市場(chǎng)價(jià)格、票面利率和剩余到期時(shí)間有關(guān)。如果YTM>票面利率，債券將溢價(jià)交易；如果YTM<票面利率，債券將折價(jià)交易；如果YTM=票面利率，債券將平價(jià)交易。16.解析思路：信用評(píng)級(jí)機(jī)構(gòu)通過(guò)評(píng)估發(fā)行人的信用質(zhì)量（償債能力）assigning信用評(píng)級(jí)（如AAA,BBB等）。這些評(píng)級(jí)幫助投資者了解投資風(fēng)險(xiǎn)，影響借貸成本。主要評(píng)級(jí)體系包括穆迪、標(biāo)普、惠譽(yù)的AAA到CCC（或D）。17.解析思路：根據(jù)CAPM，預(yù)期回報(bào)率=無(wú)風(fēng)險(xiǎn)利率+β*(市場(chǎng)預(yù)期回報(bào)率-無(wú)風(fēng)險(xiǎn)利率)。其中β衡量股票相對(duì)于市場(chǎng)的風(fēng)險(xiǎn)。計(jì)算時(shí)，代入各參數(shù)值。預(yù)期回報(bào)率=3%+1.2*(10%-3%)=3%+1.2*7%=3%+8.4%=11.4%。答案：11.4%。18.解析思路：經(jīng)營(yíng)杠桿衡量的是固定成本在總成本中的比例。固定成本比例越高，經(jīng)營(yíng)杠桿越大。高經(jīng)營(yíng)杠桿意味著銷(xiāo)售額的變動(dòng)會(huì)放大息稅前利潤(rùn)（EBIT）的變動(dòng)幅度。這可以帶來(lái)更高的潛在利潤(rùn)率（經(jīng)營(yíng)杠桿效應(yīng)），但也意味著更高的經(jīng)營(yíng)風(fēng)險(xiǎn)（銷(xiāo)售額下降時(shí)利潤(rùn)會(huì)更快下降）。19.解析思路：股票分拆是將一股拆分為多股（如2股、3股）。目的是降低股票的每股市價(jià)，使其對(duì)散戶投資者更具吸引力，可能提高股票流動(dòng)性。潛在好處包括提升形象、增加交易量。潛在壞處包括可能被市場(chǎng)誤解為公司增長(zhǎng)乏力、每股盈利和市值可能下降、對(duì)機(jī)構(gòu)投資者吸引力可能降低。20.解析思路：遠(yuǎn)期合約是雙方約定未來(lái)某一特定時(shí)間按預(yù)定價(jià)格買(mǎi)賣(mài)某種資產(chǎn)的合約，通常需要初始保證金或盯市。期貨合約是標(biāo)準(zhǔn)化的遠(yuǎn)期合約，在交易所交易，每日盯市，有保證金制度，流動(dòng)性通常更高。關(guān)鍵區(qū)別在于標(biāo)準(zhǔn)化和交易場(chǎng)所（期貨是標(biāo)準(zhǔn)化的，在交易所；遠(yuǎn)期通常是非標(biāo)準(zhǔn)化的，場(chǎng)外交易）。答案：期貨合約在交易所交易且通常是標(biāo)準(zhǔn)化的，而遠(yuǎn)期合約通常是場(chǎng)外交易且非標(biāo)準(zhǔn)化的。（或其他關(guān)鍵區(qū)別，如保證金制度、每日盯市等）。第三部分21.解析思路：計(jì)算兩個(gè)項(xiàng)目的NPV和PI。PI=(NPV+初始投資)/初始投資。接受PI較高的項(xiàng)目（如果互斥，選擇正NPV且PI最高的）。先計(jì)算NPV。NPV_A=-100,000+40,000/1.1+40,000/1.1^2+40,000/1.1^3+40,000/1.1^4NPV_A=-100,000+36,363.64+33,057.85+30,052.59+27,320.55≈$26,794.63PI_A=(26,794.63+100,000)/100,000=1.2679NPV_B=-150,000+60,000/1.1+60,000/1.1^2+60,000/1.1^3+60,000/1.1^4NPV_B=-150,000+54,545.45+49,534.69+45,078.90+40,982.81≈$39,141.85PI_B=(39,141.85+150,000)/150,000=1.2575比較PI：PI_A(1.2679)>PI_B(1.2575)。答案：根據(jù)盈利指數(shù)法，應(yīng)選擇項(xiàng)目A。22.解析思路：系統(tǒng)風(fēng)險(xiǎn)是影響整個(gè)市場(chǎng)的風(fēng)險(xiǎn)，無(wú)法通過(guò)分散投資消除，如宏觀經(jīng)濟(jì)波動(dòng)、政策變化。非系統(tǒng)風(fēng)險(xiǎn)是特定公司或行業(yè)特有的風(fēng)險(xiǎn)，可以通過(guò)構(gòu)建多元化投資組合來(lái)降低或消除，如管理不善、產(chǎn)品失敗。答案：系統(tǒng)風(fēng)險(xiǎn)是影響所有資產(chǎn)的、無(wú)法通過(guò)分散投資消除的風(fēng)險(xiǎn)；非系統(tǒng)風(fēng)險(xiǎn)是影響特定資產(chǎn)或一小部分資產(chǎn)的風(fēng)險(xiǎn)，可以通過(guò)分散投資消除。23.解析思路：常見(jiàn)的財(cái)務(wù)報(bào)表包括：資產(chǎn)負(fù)債表（展示特定時(shí)點(diǎn)財(cái)務(wù)狀況，資產(chǎn)=負(fù)債+權(quán)益）；利潤(rùn)表（展示特定時(shí)期經(jīng)營(yíng)業(yè)績(jī)，收入-費(fèi)用=利潤(rùn)）；現(xiàn)金流量表（展示特定時(shí)期現(xiàn)金流入流出，經(jīng)營(yíng)、投資、籌資活動(dòng)）；股東權(quán)益變動(dòng)表（展示特定時(shí)期股東權(quán)益變動(dòng)）。附注提供詳細(xì)信息。24.解析思路：期權(quán)給予持有者在未來(lái)特定日期或之