2025年CFA二級(jí)《權(quán)益投資》練習(xí)卷考試時(shí)間：______分鐘總分：______分姓名：______Part1:MultipleChoiceQuestions1.Ananalystisevaluatingtwocompaniesinthesameindustryusingtheprice-to-earnings(P/E)ratio.CompanyAhasaP/Eratioof18,whileCompanyBhasaP/Eratioof12.Assumingallelseequal,whichofthefollowingisthemostlikelyexplanationforthedifferenceintheirP/Eratios?a)CompanyAisexpectedtohavelowerearningsgrowththanCompanyB.b)CompanyAisperceivedasriskierthanCompanyB.c)CompanyAhasahigherdividendpayoutratiothanCompanyB.d)CompanyA'sbookvaluepershareissignificantlyhigherthanCompanyB's.2.Acompanyisexpectedtopayadividendof$2persharenextyear(D1).Therequiredrateofreturnis10%,andtheexpectedgrowthrateofdividendsis5%.Whichofthefollowingmodelsismostappropriateforvaluingthiscompany'sstock?a)ConstantGrowthDividendDiscountModel(GordonGrowthModel)b)Two-StageDividendDiscountModelc)Three-StageDividendDiscountModeld)FreeCashFlowtoEquityModel3.Aninvestorisconstructingaportfolioconsistingoftwostocks,StockXandStockY.StockXhasanexpectedreturnof12%andastandarddeviationof15%.StockYhasanexpectedreturnof8%andastandarddeviationof10%.Thecorrelationcoefficientbetweenthetwostocksis0.4.WhatistheexpectedreturnofaportfoliothatisequallyinvestedinStockXandStockY?a)10.0%b)10.2%c)10.5%d)10.8%4.AccordingtotheCapitalAssetPricingModel(CAPM),theexpectedreturnofanassetisdeterminedbywhichofthefollowingfactors?a)Therisk-freerate,theasset'sbeta,andthemarketriskpremium.b)Theasset'sbetaandthestandarddeviationoftheasset'sreturns.c)Therisk-freerateandthemarketreturn.d)Theasset'salphaandthemarketriskpremium.5.AninvestorisconsideringbuyingacalloptiononStockZwithastrikepriceof$50.Thecurrentstockpriceis$45,andtheoptionpremiumis$3.Ifthestockpriceatexpirationis$60,whatistheinvestor'sprofitpershare?a)$2b)$3c)$5d)$86.WhichofthefollowingstatementsismostaccurateregardingtheEfficientMarketHypothesis(EMH)?a)Inanefficientmarket,itisimpossibletoconsistentlyachievereturnsabovethemarketaverage.b)Inanefficientmarket,allavailableinformationisinstantlyreflectedinstockprices.c)Inanefficientmarket,stockpricesmoverandomlyandhavenopredictablepattern.d)Inanefficientmarket,onlyfundamentalanalysiscanleadtoabnormalreturns.7.Acompanyisconsideringa2-for-1stocksplit.Priortothesplit,aninvestorowns1,000sharesofthecompany'sstock,whichiscurrentlytradingat$100pershare.Whatwillbethenumberofsharestheinvestorownandthetradingpricepershareimmediatelyafterthestocksplit,assumingthetotalmarketvalueofthecompanyremainsunchanged?a)1,000sharesat$50pershareb)2,000sharesat$50persharec)1,000sharesat$100pershared)2,000sharesat$100pershare8.Whichofthefollowingisaprimarygoalofportfolioconstruction?a)Maximizetheriskoftheportfolio.b)Minimizethecorrelationbetweenassetsintheportfolio.c)Maximizetheexpectedreturnforagivenlevelofrisk.d)Minimizethediversifiableriskoftheportfolio.9.AnanalystisusingtheFreeCashFlowtoFirm(FCFF)modeltovalueacompany.Whichofthefollowingisakeycomponentofthismodel?a)Dividendspaidtocommonstockholders.b)Interestexpense.c)Equityfinancingactivities.d)Cashflowtoequityholders.10.TheSecurityMarketLine(SML)representswhichofthefollowing?a)Therelationshipbetweentherisk-freerateandthemarketreturn.b)Therelationshipbetweentheexpectedreturnandthebetaofanindividualasset.c)Theminimumreturnaninvestorrequiresfortakingonadditionalrisk.d)Theexpectedreturnofaportfoliowithzerorisk.11.Astockhasanexpectedreturnof15%andabetaof1.2.Iftherisk-freerateis5%andthemarketriskpremiumis10%,whatisthealphaofthestock?a)1.0%b)2.0%c)3.0%d)4.0%12.WhichofthefollowingisgenerallyconsideredadisadvantageoftheDividendDiscountModel(DDM)?a)Itisdifficulttoestimatefuturedividends.b)Itdoesnotconsidertheriskoftheinvestment.c)Itassumesthatthestockpriceisalwaysequaltothepresentvalueoffuturedividends.d)Itisonlyapplicabletocompaniesthatpayregulardividends.13.Aninvestorisevaluatingtwostocks,StockAandStockB.StockAhasahigherprice-to-book(P/B)ratiothanStockB.Whichofthefollowingstatementsismostlikelytrue?a)StockAisexpectedtohavehigherearningsgrowththanStockB.b)StockAisperceivedasriskierthanStockB.c)StockAhasahigherdividendyieldthanStockB.d)StockA'smanagementteamismoreeffectivethanStockB'smanagementteam.14.Acompanyisexpectedtohavefreecashflowsof$100millionnextyear,growingatarateof5%peryearindefinitely.Iftheweightedaveragecostofcapital(WACC)is10%,whatisthevalueofthecompany'soperations(VU)?a)$500millionb)$1,000millionc)$1,500milliond)$2,000million15.Whichofthefollowingisameasureofastock'svolatility?a)Betab)Alphac)R-squaredd)SharperatioPart2:EssayQuestions1.DescribethekeyassumptionsoftheConstantGrowthDividendDiscountModel(GordonGrowthModel).Provideexamplesofsituationswherethismodelmightbesuitableforvaluingacompany'sstockandexamplesofsituationswhereitmightbeinappropriate.Explainyourreasoning.2.Aninvestorisconsideringaddingastocktotheirportfolio.Thestockhasahighbetaandahighexpectedreturn.Discussthepotentialrisksandrewardsassociatedwithinvestinginthisstock.Explainhowtheinvestorcanusediversificationtomanagetheriskofthisstockwithintheirportfolio.3.Acompanyisfacingdecliningsalesandprofitability.Theboardofdirectorsisconsideringtwooptions:(1)undertakingastockbuyback,or(2)increasingthedividendpayoutratio.Compareandcontrastthesetwooptionsintermsoftheirimpactonthecompany'sstockprice,shareholdervalue,andfinancialflexibility.Provideargumentsforandagainsteachoption.4.Explaintheconceptofoptiondelta.Howdoesdeltachangeasthestockpricemoves?Howcananinvestorusedeltatohedgeastockposition?Describetheconceptofadelta-neutralportfolio.5.Discusstheroleofbehavioralfinanceinunderstandingstockmarketanomalies.Provideexamplesofstockmarketanomaliesandexplainhowcognitivebiasesandemotionalfactorscancontributetotheseanomalies.Howcaninvestorsprotectthemselvesfromthepotentialnegativeimpactofbehavioralfinanceontheirinvestmentdecisions?---Part3:MultipleChoiceQuestions16.AnanalystiscomparingtwocompaniesinthesameindustryusingthePrice-to-Sales(P/S)ratio.CompanyAhasaP/Sratioof3,whileCompanyBhasaP/Sratioof5.Assumingallelseequal,whichofthefollowingisthemostlikelyexplanationforthedifferenceintheirP/Sratios?a)CompanyAhashigherrevenuegrowththanCompanyB.b)CompanyAhasahigherprofitmarginthanCompanyB.c)CompanyAhasahigherdebt-to-equityratiothanCompanyB.d)CompanyAhasalowerbookvaluepersharethanCompanyB.17.Acompanyisexpectedtopayadividendof$1persharenextyear(D1),withdividendsexpectedtogrowataconstantrateof6%peryearthereafter.Therequiredrateofreturnis12%.Whatisthevalueofthecompany'sstockusingtheConstantGrowthDividendDiscountModel?a)$10.00b)$10.53c)$11.00d)$11.5018.Aninvestorisconstructingaportfolioconsistingofthreestocks,StockX,StockY,andStockZ.Theexpectedreturns,standarddeviations,andweightsofthestocksareasfollows:*StockX:ExpectedReturn=12%,StandardDeviation=15%,Weight=40%*StockY:ExpectedReturn=8%,StandardDeviation=10%,Weight=30%*StockZ:ExpectedReturn=10%,StandardDeviation=12%,Weight=30%Thecorrelationcoefficientsbetweenthestocksareasfollows:*Correlation(X,Y)=0.5*Correlation(X,Z)=0.3*Correlation(Y,Z)=-0.2Whatisthevarianceoftheportfolio?a)0.0456b)0.0529c)0.0600d)0.067619.AccordingtotheCapitalAssetPricingModel(CAPM),ifthemarketriskpremiumincreases,whatwillhappentotheexpectedreturnofanassetwithapositivebeta?a)Theexpectedreturnwilldecrease.b)Theexpectedreturnwillincrease.c)Theexpectedreturnwillremainunchanged.d)Theimpactontheexpectedreturncannotbedeterminedwithoutknowingtheasset'sbeta.20.AninvestorisconsideringbuyingaputoptiononStockWwithastrikepriceof$70.Thecurrentstockpriceis$75,andtheoptionpremiumis$4.Ifthestockpriceatexpirationis$65,whatistheinvestor'sprofitpershare?a)$2b)$4c)$5d)$1021.WhichofthefollowingstatementsismostaccurateregardingtheEfficientMarketHypothesis(EMH)?a)Inanefficientmarket,technicalanalysiscanconsistentlyleadtoabnormalreturns.b)Inanefficientmarket,allavailableinformationisinstantlyreflectedinstockprices,makingitimpossibletoachievereturnsabovethemarketaverage.c)Inanefficientmarket,stockpricesmoverandomlyandhavenopredictablepattern.d)Inanefficientmarket,fundamentalanalysisistheonlywaytoachieveabnormalreturns.22.Acompanyisconsideringa3-for-2stocksplit.Priortothesplit,aninvestorowns2,000sharesofthecompany'sstock,whichiscurrentlytradingat$80pershare.Whatwillbethenumberofsharestheinvestorownandthetradingpricepershareimmediatelyafterthestocksplit,assumingthetotalmarketvalueofthecompanyremainsunchanged?a)3,000sharesat$53.33pershareb)3,000sharesat$60.00persharec)2,000sharesat$120.00pershared)2,000sharesat$80.00pershare23.Whichofthefollowingisameasureofaportfolio'srisk-adjustedreturn?a)Betab)Standarddeviationc)Sharperatiod)Correlationcoefficient24.AnanalystisusingtheFreeCashFlowtoEquity(FCFE)modeltovalueacompany.Whichofthefollowingisakeycomponentofthismodel?a)Freecashflowtothefirm(FCFF).b)Interestexpense.c)Cashflowtoequityholders.d)Dividendspaidtopreferredstockholders.25.TheCapitalMarketLine(CML)representswhichofthefollowing?a)Therelationshipbetweentheexpectedreturnandthebetaofanindividualasset.b)Therelationshipbetweentheexpectedreturnandthestandarddeviationofaportfolio.c)Theminimumreturnaninvestorrequiresfortakingonadditionalrisk.d)Theexpectedreturnofaportfoliowithzerorisk.26.Astockhasanexpectedreturnof14%andabetaof1.1.Iftherisk-freerateis4%andthemarketriskpremiumis9%,whatisthealphaofthestock?a)0.5%b)1.0%c)1.5%d)2.0%27.WhichofthefollowingisgenerallyconsideredadisadvantageoftheDiscountedFreeCashFlow(DCF)model?a)Itisdifficulttoestimatefuturefreecashflows.b)Itdoesnotconsiderthecostofdebt.c)Itassumesthatthecompanywillcontinuetogrowindefinitelyataratehigherthanthecostofcapital.d)Itisonlyapplicabletocompanieswithpositivefreecashflows.28.Aninvestorisevaluatingtwostocks,StockCandStockD.StockChasahigherprice-to-sales(P/S)ratiothanStockD.Whichofthefollowingstatementsismostlikelytrue?a)StockCisexpectedtohavehigherearningsgrowththanStockD.b)StockCisperceivedasriskierthanStockD.c)StockChasahigherdividendyieldthanStockD.d)StockC'smanagementteamislesseffectivethanStockD'smanagementteam.29.Acompanyisexpectedtohavefreecashflowsof$150millionnextyear,growingatarateof7%peryearindefinitely.Iftheweightedaveragecostofcapital(WACC)is9%,whatisthevalueofthecompany'soperations(VU)?a)$1,500millionb)$2,000millionc)$2,500milliond)$3,000million30.Whichofthefollowingisameasureofastock'ssensitivitytochangesinthemarketindex?a)Betab)Alphac)R-squaredd)StandarddeviationPart3:EssayQuestions1.CompareandcontrasttheDividendDiscountModel(DDM)andtheFreeCashFlowtoFirm(FCFF)model.Describethekeyinputsandassumptionsofeachmodel.Discussthesituationsinwhichonemodelmaybemoreappropriatethantheotherforvaluingacompany.2.Explaintheconceptofportfoliodiversification.Howdoesdiversificationreducetheriskofaportfolio?Discusstheimportanceofcorrelationbetweenassetsinaportfoliowhenconstructingadiversifiedportfolio.Provideexamplesofdifferenttypesofassetsthatcanbeusedtodiversifyaportfolio.3.Acompanyisconsideringissuingnewequitytofinanceamajorcapitalinvestmentproject.Discussthepotentialadvantagesanddisadvantagesofthisapproach.Comparethisapproachwithusingdebtfinancing.Considerfactorssuchasthecompany'scurrentcapitalstructure,costofcapital,taximplications,andfinancialriskinyouranalysis.4.DescribetheBlack-Scholes-MertonmodelforpricingEuropeancallandputoptions.Explainthekeyinputsrequiredforthemodelandhoweachinputaffectstheoptionprice.DiscussthelimitationsoftheBlack-Scholes-Mertonmodelandsituationswhereitmaynotbesuitableforpricingoptions.5.DiscusstheroleofESG(Environmental,Social,andGovernance)factorsinmoderninvestmentanalysisandportfolioconstruction.ExplainhowESGfactorscanimpactacompany'sfinancialperformanceandriskprofile.DescribethedifferentapproachesinvestorscanusetoincorporateESGfactorsintotheirinvestmentprocess.---試卷答案Part1:MultipleChoiceQuestions1.b解析：P/E比率反映了市場(chǎng)對(duì)公司未來(lái)增長(zhǎng)和風(fēng)險(xiǎn)的預(yù)期。通常情況下，P/E比率較高的公司被認(rèn)為增長(zhǎng)潛力較大或風(fēng)險(xiǎn)較高。因此，CompanyA的P/E比率高于CompanyB，最可能的解釋是CompanyA被市場(chǎng)認(rèn)為風(fēng)險(xiǎn)高于CompanyB。2.a解析：根據(jù)題干描述，公司明年將支付2美元的股利，且股利預(yù)計(jì)將以5%的固定速度增長(zhǎng)。這符合恒定增長(zhǎng)股利貼現(xiàn)模型（GordonGrowthModel）的應(yīng)用條件，即股利具有穩(wěn)定的增長(zhǎng)率和持續(xù)的增長(zhǎng)期。3.a解析：投資組合的預(yù)期回報(bào)是各資產(chǎn)預(yù)期回報(bào)的加權(quán)平均。由于投資比例相等，因此組合預(yù)期回報(bào)為(12%+8%)/2=10%。4.a解析：根據(jù)資本資產(chǎn)定價(jià)模型（CAPM），資產(chǎn)的預(yù)期回報(bào)由無(wú)風(fēng)險(xiǎn)利率、資產(chǎn)貝塔系數(shù)和市場(chǎng)風(fēng)險(xiǎn)溢價(jià)這三個(gè)因素決定。公式為：預(yù)期回報(bào)=無(wú)風(fēng)險(xiǎn)利率+貝塔系數(shù)*市場(chǎng)風(fēng)險(xiǎn)溢價(jià)。5.c解析：投資者購(gòu)買(mǎi)看漲期權(quán)，如果到期時(shí)股價(jià)高于執(zhí)行價(jià)，則盈利。盈利=(到期股價(jià)-執(zhí)行價(jià))-期權(quán)溢價(jià)=(60-50)-3=5美元。6.b解析：有效市場(chǎng)假說(shuō)（EMH）認(rèn)為，在有效市場(chǎng)中，所有可獲得的信息都已反映在股票價(jià)格中。這意味著價(jià)格變動(dòng)是隨機(jī)的，且無(wú)法通過(guò)分析信息獲得超額回報(bào)。7.b解析：股票分拆后，股東持有的股數(shù)增加，但總市值不變。分拆后，股東持有2000股，每股價(jià)格為50美元(100000/2000)。8.c解析：投資組合構(gòu)建的主要目標(biāo)是，在給定風(fēng)險(xiǎn)水平下，最大化投資組合的預(yù)期回報(bào)，或在給定預(yù)期回報(bào)下，最小化投資組合的風(fēng)險(xiǎn)。9.d解析：自由現(xiàn)金流到權(quán)益持有者（FCFE）模型評(píng)估的是公司支付所有債務(wù)相關(guān)現(xiàn)金流后，剩余的可分配給普通股股東的現(xiàn)金流。因此，現(xiàn)金流量到權(quán)益持有者是其關(guān)鍵組成部分。10.b解析：證券市場(chǎng)線(xiàn)（SML）表示的是資產(chǎn)的預(yù)期回報(bào)與其貝塔系數(shù)之間的關(guān)系。SML顯示了在CAPM框架下，不同風(fēng)險(xiǎn)水平下投資者所要求的預(yù)期回報(bào)。11.b解析：根據(jù)CAPM，股票的預(yù)期回報(bào)=5%+1.2*10%=17%。Alpha=實(shí)際預(yù)期回報(bào)-根據(jù)CAPM計(jì)算的預(yù)期回報(bào)=15%-17%=-2%。但題目選項(xiàng)中沒(méi)有負(fù)值，可能存在題目或選項(xiàng)錯(cuò)誤，若必須選，則最接近的是2%。12.a解析：股利貼現(xiàn)模型（DDM）的主要缺點(diǎn)是，它依賴(lài)于對(duì)未來(lái)股利的準(zhǔn)確預(yù)測(cè)，而這往往非常困難。13.b解析：P/B比率反映了市場(chǎng)對(duì)公司資產(chǎn)價(jià)值的評(píng)估。CompanyA的P/B比率較高，可能意味著市場(chǎng)認(rèn)為CompanyA的風(fēng)險(xiǎn)較高，或者CompanyA的成長(zhǎng)潛力不如CompanyB，導(dǎo)致其未來(lái)收益預(yù)期較低。14.b解析：根據(jù)FCFF模型，公司價(jià)值=FCFF1/(WACC-g)=100/(0.10-0.05)=1000百萬(wàn)美元。15.a解析：貝塔（Beta）衡量的是股票相對(duì)于整個(gè)市場(chǎng)的波動(dòng)性或系統(tǒng)性風(fēng)險(xiǎn)。它是衡量股票波動(dòng)性的常用指標(biāo)。Part2:EssayQuestions1.恒定增長(zhǎng)股利貼現(xiàn)模型（GordonGrowthModel,DDM）的關(guān)鍵假設(shè)包括：*公司未來(lái)將支付且以一個(gè)恒定的速率增長(zhǎng)股利。*投資者打算永久持有該股票。*所有的現(xiàn)金流都可以用貼現(xiàn)率準(zhǔn)確反映其風(fēng)險(xiǎn)。*股利增長(zhǎng)率（g）低于投資者的要求回報(bào)率（r）。該模型適用于那些股利穩(wěn)定增長(zhǎng)且增長(zhǎng)可持續(xù)的公司，例如成熟行業(yè)的穩(wěn)定公司。不適用于以下情況：*股利不增長(zhǎng)或增長(zhǎng)不穩(wěn)定的公司。*股利增長(zhǎng)率預(yù)計(jì)將高于要求回報(bào)率的公司。*公司處于快速成長(zhǎng)期，股利增長(zhǎng)率預(yù)計(jì)將變化的公司。原因是模型的假設(shè)與實(shí)際情況可能存在偏差，導(dǎo)致估值結(jié)果不準(zhǔn)確。2.投資一只高貝塔、高預(yù)期回報(bào)的股票具有以下潛在風(fēng)險(xiǎn)和收益：*潛在收益：如果市場(chǎng)表現(xiàn)良好或公司表現(xiàn)超預(yù)期，該股票的回報(bào)可能會(huì)非常高，為投資者帶來(lái)顯著的資本增值。*潛在風(fēng)險(xiǎn)：該股票的價(jià)格波動(dòng)性較大，當(dāng)市場(chǎng)下跌或公司業(yè)績(jī)不佳時(shí)，其價(jià)格可能大幅下跌，導(dǎo)致投資者損失慘重。高貝塔意味著其回報(bào)與市場(chǎng)整體回報(bào)的關(guān)聯(lián)性更強(qiáng)。投資者可以通過(guò)多元化來(lái)管理該股票的風(fēng)險(xiǎn)：*構(gòu)建多元化的投資組合：將該股票與其他風(fēng)險(xiǎn)較低、相關(guān)性較低的資產(chǎn)（如債券、不同行業(yè)的股票）相結(jié)合，可以降低組合的整體波動(dòng)性。*調(diào)整投資比例：減少在該高貝塔股票上的投資比例，可以降低其對(duì)整個(gè)投資組合風(fēng)險(xiǎn)的貢獻(xiàn)。*使用衍生品進(jìn)行對(duì)沖：例如，可以賣(mài)出該股票的看漲期權(quán)或買(mǎi)入看跌期權(quán)，以鎖定部分收益或限制潛在損失。3.公司面臨下降的銷(xiāo)售和盈利時(shí)，考慮股票回購(gòu)和增加股利政策：*股票回購(gòu)：*影響：提高每股收益（EPS），可能提升股價(jià)；減少流通股數(shù)量，可能提高股利支付率；向市場(chǎng)傳遞積極信號(hào)，表明公司管理層對(duì)股價(jià)有信心。*優(yōu)點(diǎn)：對(duì)于希望提高股東回報(bào)但不確定未來(lái)股利政策的公司來(lái)說(shuō)，回購(gòu)提供了一種靈活的方式；可以用來(lái)抵御惡意收購(gòu)。*缺點(diǎn)：可能會(huì)過(guò)度使用現(xiàn)金，影響公司的未來(lái)發(fā)展能力；可能被視為管理層不信心或缺乏增長(zhǎng)機(jī)會(huì)的信號(hào)。*增加股利支付率：*影響：直接向股東派發(fā)現(xiàn)金，提供即時(shí)的現(xiàn)金流回報(bào)。*優(yōu)點(diǎn)：可以向市場(chǎng)傳遞公司財(cái)務(wù)狀況穩(wěn)健的信號(hào)；對(duì)于依賴(lài)股息收入的投資者有吸引力。*缺點(diǎn)：減少了公司可用于再投資或償還債務(wù)的現(xiàn)金；一旦開(kāi)始支付股利，市場(chǎng)可能會(huì)對(duì)公司維持或提高股利的預(yù)期，減少股票回購(gòu)的靈活性。比較而言，股票回購(gòu)提供了更大的靈活性，并可能通過(guò)提升EPS和股價(jià)來(lái)間接增加股東價(jià)值，但它不直接提供現(xiàn)金流。增加股利支付率直接提供現(xiàn)金流，但可能限制公司未來(lái)的操作空間。選擇哪種方式取決于公司的具體情況，包括現(xiàn)金狀況、未來(lái)增長(zhǎng)前景、資本支出需求、管理層對(duì)股東回報(bào)的偏好以及市場(chǎng)信號(hào)傳遞的需要。4.期權(quán)delta（Δ）是指期權(quán)價(jià)格相對(duì)于標(biāo)的股票價(jià)格變動(dòng)的敏感性。它表示當(dāng)標(biāo)的股票價(jià)格變動(dòng)一個(gè)單位時(shí)，期權(quán)理論價(jià)格變動(dòng)的估計(jì)值。*Delta的值介于-1和+1之間。看漲期權(quán)的delta為正，看跌期權(quán)的delta為負(fù)。*Delta并不是固定的，它會(huì)隨著標(biāo)的股票價(jià)格、執(zhí)行價(jià)格、到期時(shí)間、無(wú)風(fēng)險(xiǎn)利率和波動(dòng)率的變動(dòng)而變動(dòng)。通常，對(duì)于接近執(zhí)行價(jià)的期權(quán)（at-the-money,ATM），delta的絕對(duì)值接近于0.5。遠(yuǎn)離執(zhí)行價(jià)的期權(quán)（out-of-the-money,OTM），delta的絕對(duì)值逐漸減小。*Delta可以用來(lái)對(duì)沖股票頭寸。例如，如果投資者持有股票多頭，擔(dān)心股價(jià)下跌，可以賣(mài)出相應(yīng)數(shù)量的看漲期權(quán)來(lái)對(duì)沖風(fēng)險(xiǎn)。賣(mài)出看漲期權(quán)會(huì)增加組合的delta，從而部分抵消股票價(jià)格下跌帶來(lái)的損失。*Delta中性（Delta-neutral）的portfolio是指組合中所有期權(quán)的delta加權(quán)總和為零。這意味著組合的理論價(jià)值對(duì)標(biāo)的股票價(jià)格的小幅變動(dòng)不敏感。投資者可以構(gòu)建或調(diào)整delta中性組合來(lái)管理風(fēng)險(xiǎn)，或利用期權(quán)進(jìn)行套利交易。5.行為金融學(xué)在理解股票市場(chǎng)異常現(xiàn)象中扮演著重要角色。市場(chǎng)異?，F(xiàn)象是指那些無(wú)法被有效市場(chǎng)假說(shuō)解釋的、持續(xù)存在的股票價(jià)格偏離。*認(rèn)知偏差和情緒因素：投資者的認(rèn)知偏差（如過(guò)度自信、羊群效應(yīng)、錨定效應(yīng)）和情緒因素（如恐懼、貪婪）會(huì)影響他們的投資決策，導(dǎo)致他們做出非理性行為，從而引發(fā)市場(chǎng)異常。例如，羊群效應(yīng)可能導(dǎo)致投資者盲目跟隨他人，推高某些股票的價(jià)格，形成泡沫。*例子：*規(guī)模效應(yīng)：小公司股票往往獲得高于其風(fēng)險(xiǎn)應(yīng)有的回報(bào)。這可能是因?yàn)橥顿Y者對(duì)小型公司信息不足，傾向于投資他們熟悉的大公司，導(dǎo)致小公司股票被低估。*日歷效應(yīng)：股票在特定時(shí)間段（如年初、月末）表現(xiàn)更好。這可能源于投資者的心理偏差，如年初“新年新氣象”的樂(lè)觀情緒，或基金經(jīng)理為滿(mǎn)足業(yè)績(jī)基準(zhǔn)而進(jìn)行交易。*封閉式基金折價(jià)/溢價(jià)：封閉式基金的二級(jí)市場(chǎng)價(jià)格與其凈資產(chǎn)價(jià)值（NAV）之間的差異，反映了市場(chǎng)對(duì)基金未來(lái)表現(xiàn)的不確定性和流動(dòng)性折價(jià)等因素。投資者可以通過(guò)以下方式保護(hù)自己免受行為金融學(xué)的負(fù)面影響：*