2025年CFA二級《公司金融》模擬卷考試時間：______分鐘總分：______分姓名：______Question1:Acompanyisevaluatingaprojectwithaninitialinvestmentof$1,000,000.Theprojectisexpectedtogenerateannualcashflowsof$300,000forthenextfiveyears.Thecompany'srequiredrateofreturnis8%.WhatistheNetPresentValue(NPV)oftheproject?Assumecashflowsoccurattheendofeachyear.Question2:Youaregiventhefollowinginformationabouttwomutuallyexclusiveprojects:ProjectA:InitialInvestment=$500,000,IRR=14%,NPV@10%=$50,000ProjectB:InitialInvestment=$400,000,IRR=12%,NPV@10%=$30,000Ifthecompany'sweightedaveragecostofcapital(WACC)is10%,whichprojectshouldbeselectedbasedontheIRRrule?WhichprojectshouldbeselectedbasedontheNPVrule?Question3:Afirmisconsideringchangingitsworkingcapitalpolicy.Currently,itfollowsamoderatepolicywithacashconversioncycleof90days.Thefirmcanshifttoamoreaggressivepolicy,reducingitscashconversioncycleto60days.Theannualsalesare$10,000,000,andthefirm'scostofgoodssoldis80%ofsales.Whatistheestimatedreductioninworkingcapitalrequirementsduetothispolicychange,assumingthefirm'sinventoryconversionperiodandaccountspayabledeferralperiodremainunchanged?Question4:Discussthepotentialtrade-offsacompanyfaceswhenitdecidestoissuedebtinsteadofequitytofinanceanewinvestment.Inyourdiscussion,addressthetaxshieldbenefitofdebtandthecostsassociatedwithfinancialdistress.Question5:Acompanyhasadebt-equityratioof0.5.Itscostofdebtis6%(beforetax),anditscostofequityis12%.Thecorporatetaxrateis30%.Whatisthecompany'sWeightedAverageCostofCapital(WACC)?Question6:YouareanalyzingacompanyusingtheDividendDiscountModel(DDM).Thecompanyjustpaidadividendof$2pershare(D0=$2).Themarketrequiresareturnof15%(k=15%),andthecompany'sdividendsareexpectedtogrowataconstantrateof5%peryear(g=5%).Whatistheestimatedintrinsicvalueofthestocktoday(P0)?Question7:CompareandcontrasttheAdjustedPresentValue(APV)approachandtheFlow-to-Equity(FTE)approachforvaluingaprojectwithdebt.Whichapproachisgenerallyconsideredmorestraightforwardtoapply,andunderwhatcircumstancesmightoneapproachbepreferredovertheother?Question8:Acompanyisconsideringthepurchaseofanewmachine.Themachinecosts$800,000andhasanexpectedeconomiclifeof8years.Itisexpectedtogenerateannualpre-taxoperatingcashflowsof$250,000.Thecompanyusesstraight-linedepreciationfortaxpurposes,themachinehasnosalvagevalue,andthecompany'staxrateis35%.Ifthecompany'sWACCis12%,whatisthePaybackPeriod(assumingcashflowsoccurattheendofeachyear)?Question9:Explaintheconceptofrealoptionsinthecontextofcapitalbudgeting.Provideanexampleofarealoptionandhowitmightaffectacompany'sinvestmentdecision.Question10:Afirmisevaluatinganinvestmentinaforeigncountry.TherequiredreturnbasedontheCapitalAssetPricingModel(CAPM)forthisinvestmentiscalculatedasfollows:RequiredReturn=Risk-FreeRate+Beta*MarketRiskPremium.Therisk-freerateis4%,themarketriskpremiumis6%,andthecompanyestimatestheBetaoftheinvestmenttobe1.2.Whatistherequiredreturnforthisinvestment?Question11:Discussthemaincomponentsofacompany'scashconversioncycle.Howcanacompany縮短(shorten)itscashconversioncycle,andwhatarethepotentialbenefitsandrisksassociatedwithashortercycle?Question12:Twocompaniesoperateinthesameindustry.CompanyAhasahigherdebtratiothanCompanyB.CompareandcontrastthepotentialimpactsoffinancialleverageontheexpectedreturnandriskforshareholdersofCompanyAversusCompanyB.Considerboththemagnifyingeffectonreturnsandtheincreasedriskoffinancialdistress.Question13:Youaregiventhefollowingdataforacompany:MarketValueofDebt=$2,000,000MarketValueofEquity=$8,000,000CostofDebt(aftertax)=5%CostofEquity=10%DividendsperShare(D0)=$1.00ExpectedGrowthRateofDividends(g)=8%Thecompany'staxrateis25%.Calculatethecompany'sestimatedintrinsicvaluepershareusingtheDividendDiscountModel(GordonGrowthModel).Assumethemarketvalueofequityreflectstheintrinsicvalue.Question14:Aprojecthasthefollowingexpectedcashflows:Year0:-$1,500,000(InitialInvestment)Year1:$600,000Year2:$700,000Year3:$800,000Year4:$900,000Theproject'sinternalrateofreturn(IRR)is12%.Ifthecompany'sWACCis10%,shouldtheprojectbeacceptedbasedontheIRRrule?Explainyourreasoning.CalculatetheNetPresentValue(NPV)oftheprojectattheWACCof10%tosupportyourdecision.Question15:Acompanyisanalyzingacapitalbudgetingproject.Theprojectrequiresaninitialinvestmentinfixedassetsof$1,000,000,whichwillbedepreciatedstraight-linetozeroover5years.Theprojectisexpectedtogenerateannualsalesof$800,000andannualoperatingcosts(excludingdepreciation)of$500,000.Thecompany'staxrateis30%.Whatistheproject'sexpectedannualoperatingcashflowforeachofthe5years?---試卷答案Question1:NPV=-1,000,000+300,000/(1+0.08)^1+300,000/(1+0.08)^2+300,000/(1+0.08)^3+300,000/(1+0.08)^4+300,000/(1+0.08)^5NPV≈$24,960.78解析思路：計算項目的凈現(xiàn)值（NPV），需要將未來五年的預(yù)期現(xiàn)金流量分別折現(xiàn)到當(dāng)前時點，然后減去初始投資額。折現(xiàn)率采用公司的要求回報率8%。使用現(xiàn)值公式PV=CF/(1+r)^t，其中CF是現(xiàn)金流量，r是折現(xiàn)率，t是時間期數(shù)。將五年現(xiàn)金流的現(xiàn)值加總，得到總現(xiàn)值，再減去初始投資1,000,000美元，即為NPV。計算結(jié)果為正，表明項目預(yù)期創(chuàng)造價值，應(yīng)予接受。Question2:BasedonIRRrule:SelectProjectA(IRR=14%>WACC=10%).BasedonNPVrule:SelectProjectA(NPV=$50,000>NPV=$30,000forProjectB).解析思路：根據(jù)內(nèi)部收益率（IRR）規(guī)則，應(yīng)選擇IRR高于加權(quán)平均資本成本（WACC）的項目。比較兩個項目的IRR與10%的WACC，ProjectA的IRR（14%）高于WACC，而ProjectB的IRR（12%）低于WACC，因此IRR規(guī)則下應(yīng)選擇ProjectA。根據(jù)凈現(xiàn)值（NPV）規(guī)則，應(yīng)選擇NPV為正且最大的項目。比較兩個項目的NPV，ProjectA的NPV（$50,000）大于ProjectB的NPV（$30,000），因此NPV規(guī)則下也應(yīng)選擇ProjectA。雖然兩個項目互斥，且在WACC為10%時都創(chuàng)造了正的NPV，但理論上IRR和NPV規(guī)則有時會給出不同建議（尤其是在項目規(guī)模差異很大或現(xiàn)金流模式不同時）。在此例中，兩者一致推薦ProjectA。注意題目明確項目互斥。Question3:ReductioninWorkingCapital=(InitialCCC*Sales)/365-(NewCCC*Sales)/365Reduction=($90,000*$10,000,000)/365-($60,000*$10,000,000)/365Reduction=$245,205.48-$164,383.56Reduction≈$80,821.92解析思路：工作資本需求與現(xiàn)金轉(zhuǎn)換周期（CCC）成正比。計算政策變更導(dǎo)致的工作資本需求減少量，等于變更前的工作資本總額減去變更后的工作資本總額。工作資本總額可以通過現(xiàn)金轉(zhuǎn)換周期乘以年銷售額再除以365天來估算。變更前CCC為90天，變更后為60天，年銷售額為$10,000,000。首先計算變更前的工作資本需求，再計算變更后的需求，兩者相減即得到減少量。注意這里的計算是基于簡化模型，假設(shè)銷售額均勻分布。Question4:Trade-offs:Debtprovidesataxshieldduetothedeductibilityofinterestpaymentsbeforetax,loweringtheWACCandpotentiallyincreasingfirmvalue(Modigliani-Millerwithtaxes).However,debtincreasesfinancialleverage,magnifyingbothreturnsandrisksforshareholders.Italsointroducesthecostsoffinancialdistress(bankruptcycosts,costsassociatedwithfinancialconstraints,potentiallossofmarketshareorcustomerconfidence)andagencycosts(conflictsbetweenmanagersanddebtholdersoverrisk-taking).Theoptimalcapitalstructurebalancesthebenefitsofthetaxshieldagainstthecostsoffinancialdistressandagencyconflicts.解析思路：發(fā)行債務(wù)與發(fā)行權(quán)益融資相比，存在利弊權(quán)衡。主要利處是稅盾效應(yīng)：由于利息支出可以在稅前扣除，減少了公司的應(yīng)稅收入，從而降低了稅負(fù)，增加了公司價值（根據(jù)有稅的MM定理）。主要弊端包括：1.財務(wù)杠桿放大效應(yīng)：債務(wù)能放大股東回報（好的時候更好，壞的時候更壞），同時也放大了公司的風(fēng)險。2.財務(wù)困境成本：高負(fù)債增加陷入破產(chǎn)或財務(wù)困境的可能性，帶來直接成本（如律師費、訴訟費）和間接成本（如運營中斷、供應(yīng)商關(guān)系惡化、客戶流失、人才流失等）。3.代理成本：債權(quán)人與股東之間可能存在利益沖突（如股東可能采取風(fēng)險過高的行為損害債權(quán)人利益），需要監(jiān)督成本或產(chǎn)生其他代理成本。公司的目標(biāo)是在稅盾利益和財務(wù)困境成本、代理成本之間找到平衡點，確定最優(yōu)資本結(jié)構(gòu)。Question5:WACC=(E/V*Re)+(D/V*Rd*(1-Tc))WhereE=MarketValueofEquity=$8,000,000V=TotalMarketValue=E+D=$8,000,000+$2,000,000=$10,000,000D=MarketValueofDebt=$2,000,000Re=CostofEquity=12%or0.12Rd=CostofDebt(aftertax)=5%or0.05Tc=CorporateTaxRate=30%or0.30WACC=($8,000,000/$10,000,000*0.12)+($2,000,000/$10,000,000*0.05*(1-0.30))WACC=(0.8*0.12)+(0.2*0.05*0.7)WACC=0.096+(0.2*0.035)WACC=0.096+0.007WACC=0.103or10.3%解析思路：計算加權(quán)平均資本成本（WACC），需要根據(jù)公司市場價值的權(quán)重，分別乘以權(quán)益成本（Re）和稅后債務(wù)成本（Rd），然后加總。首先計算權(quán)益和債務(wù)在總市場價值中的比例（E/V和D/V）。權(quán)益比例E/V=$8M/$10M=0.8。債務(wù)比例D/V=$2M/$10M=0.2。然后，將權(quán)益比例乘以權(quán)益成本（12%），債務(wù)比例乘以稅后債務(wù)成本（5%），并考慮稅收屏蔽效應(yīng)（1-Tc=1-0.3=0.7）。最后將兩個結(jié)果相加得到WACC。計算結(jié)果為10.3%。Question6:P0=D0*(1+g)/(k-g)P0=$2*(1+0.05)/(0.15-0.05)P0=$2*1.05/0.10P0=$2.10/0.10P0=$21.00解析思路：使用戈登增長模型（GordonGrowthModel，一種DDM的特殊形式）估算股票內(nèi)在價值。公式為P0=D0*(1+g)/(k-g)，其中P0是當(dāng)前股票內(nèi)在價值，D0是最近剛支付的股利，g是股利預(yù)期恒定增長率，k是投資者要求的回報率。將題目給出的數(shù)值代入公式：D0=$2,g=5%(或0.05),k=15%(或0.15)。計算得到P0=$21.00。假設(shè)市場要求回報率等于股票的必要回報率。Question7:APVmethod:Calculatesthevalueofanunleveredproject(VU)andthenaddsthepresentvalueofthetaxshield(PV(TS))fromthedebt.Formula:V=VU+PV(TS).SimplertocalculateVUassumingnodebt.Thetaxshieldiscalculatedastheproductofthedebtlevelandthecorporatetaxrate,discountedattherisk-freerateorthecostofdebt.FTEmethod:Calculatesthevalueoftheprojectfromtheperspectiveoftheequityholders,assumingthedebtstructureisfixed.Itinvolvesdiscountingtheleveredfreecashflows(FCF_L)atthecostofequity(Re).FTEcanbemorecomplexasitrequiresdeterminingtheappropriatecostofequityforeachperiodgiventhechangingleverage.APVisgenerallyconsideredmorestraightforward,especiallywhenthedebtstructureiscomplexorchangesovertime,asitseparatesthevaluecomponentscleanly.APVmightbepreferredwhendealingwithprojectswithinfirmsalreadyheavilyleveraged,asitavoidsdirectlyestimatingthecostofequityfortheleveredproject.解析思路：分析調(diào)整現(xiàn)值法（APV）和權(quán)益現(xiàn)金流法（FTE）的異同。*APV方法：首先計算無杠桿項目的價值（VU），然后加上債務(wù)帶來的稅盾價值的現(xiàn)值（PV(TS)）。公式為V=VU+PV(TS)。該方法相對簡單，因為它先計算假設(shè)沒有債務(wù)時的項目價值。稅盾價值通常按債務(wù)乘以公司稅率計算，然后以無風(fēng)險利率或債務(wù)成本進(jìn)行折現(xiàn)。*FTE方法：從債權(quán)人角度計算項目的價值，假設(shè)債務(wù)結(jié)構(gòu)固定。它涉及將杠桿化自由現(xiàn)金流（FCF_L）以權(quán)益成本（Re）進(jìn)行折現(xiàn)。FTE方法可能更復(fù)雜，因為它需要根據(jù)杠桿水平的變化，確定每個時期應(yīng)使用的恰當(dāng)權(quán)益成本。通常認(rèn)為APV方法更直接簡單，尤其是在債務(wù)結(jié)構(gòu)復(fù)雜或隨時間變化時。當(dāng)評估處于高杠桿狀態(tài)公司的內(nèi)部項目時，APV可能更優(yōu)，因為它避免了直接估計杠桿項目的權(quán)益成本。Question8:AnnualDepreciation=$800,000/8=$100,000EBT(EarningsBeforeTax)=$250,000-$100,000-$500,000=-$150,000(Loss)Tax=0.35*-$150,000=$0(Notaxduetoloss)OperatingCashFlow(OCF)=EBT+Depreciation=-$150,000+$100,000=-$50,000peryearPaybackPeriod=InitialInvestment/AnnualOCF=$800,000/|-$50,000|=$800,000/$50,000=16years解析思路：計算項目的回收期。首先計算每年的折舊額（直線法）。然后計算每年的稅前利潤（EBT），即銷售收入減去折舊和經(jīng)營成本。由于EBT為負(fù)值（虧損），當(dāng)年稅額為零。經(jīng)營現(xiàn)金流（OCF）等于稅后利潤加上折舊。由于OCF為負(fù)值，表示每年產(chǎn)生的現(xiàn)金流出?；厥掌谑浅跏纪顿Y除以每年的凈現(xiàn)金流出量。計算結(jié)果為16年。這是一個負(fù)的回收期情況，意味著項目在整個經(jīng)濟(jì)壽命期內(nèi)都無法收回初始投資。Question9:Realoptionsareopportunitiesembeddedincapitalbudgetingdecisionsthatallowmanagementtoadapttofutureuncertainties.Theyprovidetheright,butnottheobligation,totakecertainactions.Examplesincludetheoptiontoexpandifdemandishigherthanexpected,theoptiontoabandontheprojectiflossesareincurred,theoptiontodelayinvestmentuntilmoreinformationisavailable,ortheoptiontoswitchinputsorprocesses.Valuingrealoptionsrequirestechniqueslikedecisiontrees,binomialtrees,orMonteCarlosimulations,astheycapturethevalueofmanagerialflexibility.Theycansignificantlyaffectinvestmentdecisionsbyallowingfirmstocapturefutureupsideormitigatedownsiderisk,potentiallyleadingtoacceptanceofprojectsthatappearlessattractivebasedontraditionalNPVanalysis.解析思路：解釋實物期權(quán)概念。實物期權(quán)是資本預(yù)算決策中嵌入的、允許管理層根據(jù)未來不確定性進(jìn)行調(diào)整的機(jī)會。它賦予管理層采取特定行動的權(quán)利，而非義務(wù)。常見的例子包括：擴(kuò)張期權(quán)（需求超出預(yù)期時）、放棄期權(quán)（虧損時）、延遲期權(quán)（獲取更多信息前）、轉(zhuǎn)換期權(quán)（改變投入或流程）。評估實物期權(quán)需要使用決策樹、二叉樹或蒙特卡洛模擬等高級技術(shù)，因為它們捕捉了管理靈活性的價值。實物期權(quán)可以顯著影響投資決策，通過允許公司捕捉未來上行潛力或規(guī)避下行風(fēng)險，可能導(dǎo)致基于傳統(tǒng)NPV分析看似吸引力不大的項目被接受。Question10:RequiredReturn=4%+1.2*6%RequiredReturn=4%+7.2%RequiredReturn=11.2%解析思路：根據(jù)資本資產(chǎn)定價模型（CAPM）計算要求的回報率。CAPM公式為：要求的回報率=無風(fēng)險利率+Beta*市場風(fēng)險溢價。題目給出無風(fēng)險利率為4%，市場風(fēng)險溢價為6%，項目Beta為1.2。將數(shù)值代入公式進(jìn)行計算即可得到要求的回報率為11.2%。Question11:Components:InventoryConversionPeriod(ICP),AccountsReceivableCollectionPeriod(ARCP),AccountsPayableDeferralPeriod(APDP).CCC=ICP+ARCP-APDP.ToshortentheCCC:ReduceICP(e.g.,improveinventorymanagement),reduceARCP(e.g.,tightencreditpolicy,improvecollection),increaseAPDP(e.g.,negotiatelongerpaymenttermswithsuppliers,withinreasonablelimits).Benefits:Reducestheamountofcapitaltiedupinworkingcapital,lowersfinancingcosts,improvescashflow,potentiallyenhancesprofitability.Risks:MaystrainsupplierrelationshipsifAPDPisincreasedtoomuch,maydetercustomersifcreditpolicyistightened,increasedriskofstockoutsifICPisreducedtooaggressively.解析思路：分析現(xiàn)金轉(zhuǎn)換周期的組成部分和縮短方法。*組成部分：存貨轉(zhuǎn)換期（ICP）、應(yīng)收賬款回收期（ARCP）、應(yīng)付賬款遞延期（APDP）?，F(xiàn)金轉(zhuǎn)換周期（CCC）的計算公式為：CCC=ICP+ARCP-APDP。*縮短方法：*縮短存貨轉(zhuǎn)換期（ICP）：改進(jìn)庫存管理，提高存貨周轉(zhuǎn)率。*縮短應(yīng)收賬款回收期（ARCP）：收緊信用政策，改進(jìn)收款效率。*延長應(yīng)付賬款遞延期（APDP）：與供應(yīng)商協(xié)商更長的付款期限，但要適度。*好處：減少占用在營運資本中的資金量，降低融資成本，改善現(xiàn)金流，可能提升盈利能力。*風(fēng)險：延長APDP可能損害供應(yīng)商關(guān)系；收緊ARCP可能嚇跑客戶；過度縮短ICP可能導(dǎo)致庫存短缺。Question12:CompanyA(HigherDebt):*ReturnMagnification:Higherfinancialleverage(higherdebtratio)meansreturnsonequity(ROE)aremoresensitivetochangesinearningsbeforeinterestandtaxes(EBIT).IfEBITrises,ROEincreasesmorethanproportionally.IfEBITfalls,ROEdecreasesmoresharply.*RiskMagnification:HigherleverageincreasestheriskoffinancialdistressandpotentialbankruptcyifEBITfallsbelowdebtobligations.Shareholdersbearmoreoftherisk.CompanyB(LowerDebt):*ReturnMagnification:LowerleveragemeansreturnsonequityarelesssensitivetoEBITchanges.ROEmovementsaremoremoderate.*RiskMagnification:Lowerleveragereducestheriskoffinancialdistressandbankruptcy.Shareholdersfacelessriskoflosingtheirinvestment.Insummary,CompanyAofferspotentiallyhigherreturnsforshareholdersbutalsoexposesthemtosignificantlyhigherrisk.CompanyBoffersmorestablereturnsandlowerrisk,butpotentiallylowerreturnscomparedtoCompanyA.解析思路：比較高杠桿（CompanyA）和低杠桿（CompanyB）公司對股東預(yù)期回報和風(fēng)險的影響。*高杠桿公司（CompanyA）：*回報放大：財務(wù)杠桿高，意味著權(quán)益回報率（ROE）對息稅前利潤（EBIT）變化的敏感性更高。EBIT上升時，ROE增長幅度大于EBIT；EBIT下降時，ROE下降幅度更劇烈。*風(fēng)險放大：杠桿高，陷入財務(wù)困境和破產(chǎn)的風(fēng)險如果EBIT低于債務(wù)義務(wù)。股東承擔(dān)更多風(fēng)險。*低杠桿公司（CompanyB）：*回報放大：杠桿低，意味著ROE對EBIT變化的敏感性較低。ROE變動更溫和。*風(fēng)險放大：杠桿低，財務(wù)困境和破產(chǎn)風(fēng)險降低。股東面臨的投資損失風(fēng)險較小。Question13:First,calculateWACCusingthegivendata:WACC=(E/V*Re)+(D/V*Rd*(1-Tc))E=$8,000,000,D=$2,000,000,V=$10,000,000Re=10%or0.10Rd=5%or0.05(Note:Thisisthe*after-tax*costofdebtasgivenintheproblem)Tc=25%or0.25WACC=($8M/$10M*0.10)+($2M/$10M*0.05*(1-0.25))WACC=(0.8*0.10)+(0.2*0.05*0.75)WACC=0.08+(0.2*0.0375)WACC=0.08+0.0075WACC=0.0875or8.75%Now,usetheGordonGrowthModeltofindthestockprice:P0=D0*(1+g)/(k-g)WhereD0=$1.00(given),g=8%or0.08(given),k=WACC=8.75%or0.0875(calculatedabove)P0=$1.00*(1+0.08)/(0.0875-0.08)P0=$1.00*1.08/0.0075P0=$1.08/0.0075P0=$144.00解析思路：首先，使用題目給出的數(shù)據(jù)計算加權(quán)平均資本成本（WACC），因為股利增長模型中的折現(xiàn)率通常使用WACC。WACC=(E/V*Re)+(D/V*Rd*(1-Tc))。代入E=$8M,D=$2M,V=$10M,Re=10%,Rd=5%(題目已給出為稅后成本),Tc=25%。計算得到WACC=8.75%。其次，使用戈登增長模型（股利折現(xiàn)模型）計算股票內(nèi)在價值P0。P0=D0*(1+g)/(k-g)，其中D0=$1.00,g=8%(0.08),k=8.75%(0.0875,即之前計算的WACC)。代入數(shù)值計算得到P0=$144.00。題目假設(shè)市場價值等于內(nèi)在價值。Question14:IRRRule:CompareIRRtoWACC.ProjectIRR(12%)isgreaterthanWACC(10%).Accordingtothe