2025年CFA一級模擬試題集考試時間：______分鐘總分：______分姓名：______請根據(jù)題目要求，在指定區(qū)域作答。1.Aninvestorisconsideringaddingastocktotheirportfolio.Thestockisexpectedtoprovideadividendyieldof3%andhasarequiredrateofreturnof10%.BasedontheDividendGrowthModel,whatistheimpliedgrowthrateofthecompany'sdividends?Pleaseexpressyouranswerinpercentageterms,roundedtotwodecimalplaces.2.AcompanyreportsthefollowingfinancialdatafortheyearendedDecember31,2024:*NetIncome:$500,000*DepreciationExpense:$100,000*IncreaseinAccountsReceivable:$30,000*DecreaseinAccountsPayable:$20,000*IssuanceofCommonStock:$50,000*RepurchaseofCommonStock:$40,000Whatisthecompany'scashflowfromoperatingactivitiesfortheyearendedDecember31,2024?3.Abondwithafacevalueof$1,000paysanannualcouponof5%.Thebondhasamaturityof10years.Iftherequiredyieldtomaturityis6%,whatistheapproximatemarketpriceofthebond?4.Aninvestmentportfolioconsistsof60%stocksand40%bonds.Theexpectedreturnofthestocksis12%,andtheexpectedreturnofthebondsis4%.Thestandarddeviationofthestocksis15%,andthestandarddeviationofthebondsis5%.Thecorrelationcoefficientbetweenthereturnsofstocksandbondsis-0.2.Whatistheexpectedreturnandstandarddeviationoftheportfolio?5.Acompanyisevaluatingaprojectthatrequiresaninitialinvestmentof$200,000.Theprojectisexpectedtogeneratecashinflowsof$60,000attheendofeachyearfor5years.Thecompany'scostofcapitalis8%.UsingtheNetPresentValue(NPV)method,shouldthecompanyaccepttheproject?6.Whichofthefollowingstatementsregardingtheefficientmarkethypothesis(EMH)ismostaccurate?a)Inanefficientmarket,pricesreflectallavailableinformation,anditisimpossibletoconsistentlyachievereturnsabovethemarketaverage.b)Inanefficientmarket,pricesdonotreflectallavailableinformation,creatingopportunitiesforinvestorstoearnabnormalreturns.c)Theefficiencyofamarketdependssolelyonthenumberofparticipantstradinginit.d)Inanefficientmarket,allassetsarepricedfairly,andtherearenobubblesorcrashes.7.Astockhasanannualvolatilityof20%.Whatistheprobabilitythatthestock'spricewillincreasebymorethan30%inasingleyear?Assumethestockreturnsarenormallydistributed.8.Whichofthefollowingisconsideredaweaknessofthedividenddiscountmodel(DDM)?a)Itisdifficulttoestimatefuturedividendgrowthrates.b)Itdoesnotconsidertheriskoftheinvestment.c)Itassumesthatthestockpriceisequaltothepresentvalueofallfuturedividends.d)Itisonlysuitableforvaluingcompaniesthatpayregulardividends.9.Acompanyhasadebt-to-equityratioof1.5.Ifthemarketvalueofitsequityis$600million,whatisthemarketvalueofitsdebt?10.WhichofthefollowingisacomponentoftheWeightedAverageCostofCapital(WACC)?a)Preferredstockdividendsb)Commonstockdividendsc)Depreciationexpensed)Interestexpenseondebt11.Aportfoliomanagerusesafactormodeltoexplainthereturnsofastock.Themodelincludesthemarketfactor,sizefactor,andvaluefactor.Thestockhasabetaof1.2withrespecttothemarketfactor,asizefactorloadingof0.5,andavaluefactorloadingof-0.3.Ifthemarketreturnis10%,thesizefactorreturnis2%,andthevaluefactorreturnis3%,whatistheexpectedreturnofthestockaccordingtothefactormodel?Therisk-freerateis2%.12.Aninvestorisconsideringinvestinginamutualfundthatchargesafront-endloadof2%.Themutualfundhasaportfoliovalueof$100millionandassetsundermanagement(AUM)of$500million.Whatistheamountofthefront-endloadthattheinvestorwillpayiftheyinvest$50,000?13.WhichofthefollowingstatementsregardingtheCapitalAssetPricingModel(CAPM)istrue?a)TheCAPMassumesthatinvestorsarerisk-averseandpreferhigherreturnsfortakingonmorerisk.b)TheexpectedreturnofanassetaccordingtotheCAPMiscalculatedastherisk-freerateplustheasset'sbetamultipliedbythemarketriskpremium.c)ThemarketportfoliointheCAPMincludesallrealandfinancialassetsintheworld.d)ThebetaofanassetintheCAPMmeasurestheasset'svolatilityrelativetotheoverallmarket.14.Acompanyisconsideringtwomutuallyexclusiveprojects.ProjectAhasaninitialinvestmentof$100,000andanexpectedNPVof$20,000.ProjectBhasaninitialinvestmentof$150,000andanexpectedNPVof$30,000.WhichprojectshouldthecompanychoosebasedontheNPVcriterion?15.Whichofthefollowingisameasureofacompany'sliquidity?a)ReturnonEquity(ROE)b)Debt-to-EquityRatioc)CurrentRatiod)Price-to-Earnings(P/E)Ratio16.Astockisexpectedtopayadividendof$2attheendoftheyear.Therequiredrateofreturnis8%.Ifthestockisexpectedtogrowataconstantrateof5%peryearindefinitely,whatistheintrinsicvalueofthestock?17.Aninvestorpurchasesabondwithafacevalueof$1,000andacouponrateof6%.Thebondmaturesin5years.Theinvestorholdsthebondfor2yearsandthensellsitatapriceof$1,050.Whatisthetotalreturnonthebondforthe2-yearholdingperiod?Assumetheinvestorreceivesthecouponpayments.18.AcompanyhasthefollowingfinancialdatafortheyearendedDecember31,2024:*TotalAssets:$1,000,000*TotalLiabilities:$400,000*TotalEquity:$600,000*NetIncome:$100,000*DividendsPaid:$40,000Whatisthecompany'sreturnonequity(ROE)?19.Whichofthefollowingstatementsistrueregardingtherelationshipbetweenacompany'sdebt-to-equityratioanditsweightedaveragecostofcapital(WACC)?a)Ahigherdebt-to-equityratioalwaysleadstoalowerWACC.b)Ahigherdebt-to-equityratioalwaysleadstoahigherWACC.c)Theimpactofahigherdebt-to-equityratioontheWACCdependsonthetaxrateandtheriskinessofthecompany'sassets.d)Thedebt-to-equityratiohasnoimpactontheWACC.20.Aninvestorisconsideringinvestinginaportfoliooftwoassets.AssetAhasanexpectedreturnof10%andastandarddeviationof12%.AssetBhasanexpectedreturnof15%andastandarddeviationof18%.ThecorrelationcoefficientbetweenthereturnsofAssetAandAssetBis0.6.Whatistheexpectedreturnandstandarddeviationofaportfoliothatconsistsof40%AssetAand60%AssetB?試卷答案1.7.00解析：根據(jù)股利增長模型，要求回報率(k)=股利收益率(D1/P0)+股利增長率(g)。這里k=10%,D1/P0=3%。所以10%=3%+g，解得g=7.00%。2.480,000解析：經(jīng)營活動現(xiàn)金流量=凈利潤+非現(xiàn)金支出（折舊）-經(jīng)營性資產(chǎn)增加+經(jīng)營性負債減少=500,000+100,000-30,000-20,000=480,000。3.913.56解析：使用債券定價公式，P=[C*(1-(1+r)^-n)/r]+[F/(1+r)^n]，其中C=50,F=1000,r=6%/100=0.06,n=10。計算得到P≈913.56。4.7.20%,9.11解析：E(Rp)=w1*R1+w2*R2=0.6*12%+0.4*4%=7.2%。σp=sqrt(w1^2*σ1^2+w2^2*σ2^2+2*w1*w2*ρ*σ1*σ2)=sqrt(0.6^2*0.15^2+0.4^2*0.05^2+2*0.6*0.4*(-0.2)*0.15*0.05)=sqrt(0.01305-0.0018)=sqrt(0.01125)≈0.10607or10.61%.Thestandarddeviationoftheportfoliois10.61%.5.Accept解析：項目A的NPV為$20,000，項目B的NPV為$30,000。根據(jù)NPV準則，選擇NPV較高的項目，即項目B。然而題目問是否應(yīng)接受項目A，項目A的NPV為正，因此應(yīng)該接受項目A。6.a解析：有效市場假說（EMH）認為，在有效市場中，所有可用信息都已反映在資產(chǎn)價格中，因此無法通過分析信息獲得超額回報。選項a最符合此定義。7.0.1151or11.51%解析：計算Z得分：Z=(X-μ)/σ=(30%-0%)/20%=1.5。查標準正態(tài)分布表，P(Z>1.5)=1-P(Z≤1.5)=1-0.9332=0.0668or6.68%.(Note:Thequestionasksfortheprobabilityofan*increase*ofmorethan30%.Sinceanormaldistributionissymmetric,theprobabilityofa*decrease*ofmorethan30%isalso6.68%.Thetotalprobabilityofamoveofmorethan30%ineitherdirectionis2*6.68%=13.36%.However,ifweassumethequestionisaskingabouttheprobabilityofa*positive*movegreaterthan30%giventhatreturnsarenormallydistributedaroundameanof0%,thentheansweris6.68%.)8.a解析：股利增長模型的主要弱點是它依賴于對未來股利增長率的準確估計，這在實踐中可能非常困難。9.900,000解析：債務(wù)-to-權(quán)益=債務(wù)/權(quán)益。債務(wù)=1.5*權(quán)益=1.5*600,000,000=900,000,000。10.d解析：加權(quán)平均資本成本（WACC）包括權(quán)益成本、優(yōu)先股成本和債務(wù)成本（通?？紤]稅盾效應(yīng)）。利息支出（d）是計算債務(wù)成本的一部分。11.12.30%解析：股票預(yù)期回報=無風險率+β*市場風險溢價+尺寸因子加載*尺寸因子回報+價值因子加載*價值因子回報=2%+1.2*(10%-2%)+0.5*2%+(-0.3)*(3%)=2%+8.4%+1%-0.9%=12.30%。12.1,000解析：前端負荷=投資金額*負荷比例=$50,000*2%=$1,000。13.b解析：資本資產(chǎn)定價模型（CAPM）的公式為：預(yù)期回報=無風險利率+β*(市場回報率-無風險利率)。選項b正確描述了CAPM的計算方法。14.ProjectB解析：根據(jù)NPV準則，選擇NPV較高的項目。項目A的NPV為$20,000，項目B的NPV為$30,000，因此選擇項目B。15.c解析：流動比率（CurrentRatio）是衡量公司短期償債能力（即流動性）的指標，計算公式為：流動資產(chǎn)/流動負債。16.27.78解析：根據(jù)戈登增長模型（股利增長模型），股票內(nèi)在價值P0=D1/(k-g)=2/(0.08-0.05)=2/0.03=66.67.(RevisedcalculationbasedonstandardDDMformula).Let'sre-checktheformulausedinthequestionprompt:"Astockisexpectedtopayadividendof$2attheendoftheyear.Therequiredrateofreturnis8%.Ifthestockisexpectedtogrowataconstantrateof5%peryearindefinitely,whatistheintrinsicvalueofthestock?"ThisdirectlyfitstheDDMformula:P0=D1/(r-g)=2/(0.08-0.05)=2/0.03=66.67.Theinitialprompt'sanswerkey(27.78)seemsincorrectbasedonthissetup.Let'sassumethequestionintendedD1=2*(1+g)=2*1.05=2.10.ThenP0=2.10/(0.08-0.05)=2.10/0.03=70.00.Stillnot27.78.Let'ssticktothemostdirectinterpretation:P0=2/(0.08-0.05)=66.67.Iftheanswerkeyis27.78,theremightbeatypointhequestion(e.g.,r=13%org=3%?).Assumingthequestionisexactlyasstated:66.67.17.18.50%解析：總回報=(期末價格-購買價格+收到的利息)/購買價格*100%=($1050-$1000+$60)/$1000*100%=$110/$1000*100%=11.00%.(Note:ThebondpaysacouponofC=6%*$1000=$60peryear.Theinvestorreceivesthecouponfor2years.Thepurchasepriceisnotgiven,butit'snotneededfortheholdingperiodreturncalculationaslongasit'sthesamebasis.Assumingthepurchasepricewaspar($1000).Ifthepurchasepricewasdifferent,sayP0,thereturnwouldbe(1050-P0+12