2025年CFA考試專項試卷考試時間：______分鐘總分：______分姓名：______試卷內(nèi)容1.Aninvestorisconsideringaddingastocktotheirportfolio.Thestockhasanexpectedreturnof12%andastandarddeviationof20%.Theportfoliocurrentlyconsistsof80%stockswithastandarddeviationof15%and20%bondswithastandarddeviationof5%.Thecorrelationcoefficientbetweenthestockandthebondreturnsis0.1.Whatistheexpectedreturnandstandarddeviationoftheportfolioafteraddingthisstock,assumingtheinvestoraddsthestocksuchthatitconstitutes10%ofthetotalportfoliovalue?2.Acompany'sincomestatementshowsrevenuesof$500million,costofgoodssoldof$300million,andoperatingexpensesof$150million.Thecompanyhasinterestexpenseof$20millionandtaxespaidof$30million.Whatisthecompany'snetincome?3.Whichofthefollowingstatementsabouttheefficientmarkethypothesis(EMH)ismostaccurate?4.Aninvestorisevaluatingtwobonds.BondAhasa5%couponrate,a$1,000facevalue,andmaturesin10years.BondBhasa7%couponrate,a$1,000facevalue,andmaturesin10years.Bothbondsarecurrentlypricedat$920.Assumingaflatyieldcurve,whichbondhasthehigheryieldtomaturity?5.Astock'spriceisexpectedtoincreaseto$120inoneyear.Thecurrentpriceofthestockis$100.Aninvestorisconsideringbuyingacalloptiononthestockwithastrikepriceof$110andapremiumof$5.Whatisthebreakevenpointforthiscalloption?6.Acompany'sbalancesheetshowscurrentassetsof$200million,currentliabilitiesof$100million,long-termassetsof$500million,andlong-termliabilitiesof$300million.Whatisthecompany'sdebt-to-equityratio?7.Whichofthefollowingisacharacteristicofapreferredstock?8.Aninvestorrequiresa9%rateofreturntoinvestinastock.Thestockhasabetaof1.2.Therisk-freerateis3%andthemarketriskpremiumis5%.Accordingtothecapitalassetpricingmodel(CAPM),whatistherequiredreturnonthestock?9.Acompanyisconsideringaprojectwithaninitialinvestmentof$100million.Theprojectisexpectedtogeneratecashinflowsof$30millionperyearfor5years.Thecompany'scostofcapitalis10%.Whatisthenetpresentvalue(NPV)oftheproject?10.ThespotexchangeratebetweentheUSdollarandtheeurois1USD=0.9EUR.The1-yearforwardexchangerateis1USD=0.88EUR.Whatistheforwardpremiumordiscountontheeuro?11.Acompany'sstockhasabetaof1.5.Themarketreturnisexpectedtobe10%nextyear.Therisk-freerateis2%.Whatistheexpectedreturnonthecompany'sstockaccordingtothecapitalassetpricingmodel(CAPM)?12.Whichofthefollowingisacomponentoftheweightedaveragecostofcapital(WACC)?13.Acompany'sinventoryturnoverratiois6timesperyear.Thecompany'scostofgoodssoldis$300million.Whatisthecompany'saverageinventory?14.Aninvestorbuysabondwitha6%couponrate,a$1,000facevalue,anda10-yearmaturityfor$950.Thebondpaysinterestsemi-annually.Whatistheyieldtomaturity(YTM)ofthebond?15.Acompany'sstockiscurrentlytradingat$50pershare.Thecompany'searningspershare(EPS)are$5.Whatistheprice-to-earnings(P/E)ratio?16.Whichofthefollowingstatementsaboutthecapitalassetpricingmodel(CAPM)istrue?17.Aportfolioconsistsof60%stocksand40%bonds.Theexpectedreturnonstocksis12%andtheexpectedreturnonbondsis6%.Thestandarddeviationofstocksis15%andthestandarddeviationofbondsis5%.Thecorrelationcoefficientbetweenstocksandbondsis0.2.Whatistheexpectedreturnandstandarddeviationoftheportfolio?18.Acompany'sdebt-to-equityratiois1.5.Thecompany'stotalassetsare$500million.Whatisthecompany'stotalliabilities?19.Whichofthefollowingisalimitationofthedividenddiscountmodel(DDM)?20.Aninvestorisconsideringtwostocks.StockAhasanexpectedreturnof10%andastandarddeviationof20%.StockBhasanexpectedreturnof15%andastandarddeviationof30%.Ifthecorrelationcoefficientbetweenthetwostocksis0.5,whichstockwouldbemoredesirableforarisk-averseinvestor?試卷答案1.ExpectedReturn:11.8%,StandardDeviation:14.32%*解析思路：新股票占10%，計算其加權(quán)平均預(yù)期回報率。利用協(xié)方差（Cov=Corr*StDev_S*StDev_B）計算股票與現(xiàn)有組合的相關(guān)風(fēng)險，再計算組合總標(biāo)準(zhǔn)差（√(W1^2*σ1^2+W2^2*σ2^2+2*W1*W2*Cov1_2))。W1=0.1,W2=0.9,σ1=20%,σ2=15%,Cov1_2=0.1*20%*15%。2.NetIncome:$40million*解析思路：NetIncome=EBIT-InterestExpense-Taxes。EBIT=Revenues-COGS-OperatingExpenses=$500M-$300M-$150M。代入數(shù)值計算。3.Themarketisweak-formefficientifpastpricemovementscannotbeusedtopredictfuturepricemovements.*解析思路：考察EMH的三個形式。弱形式指價格已反映所有歷史信息。強形式指價格反映所有公開信息。半強形式指價格反映所有公開市場信息（包括歷史信息、財務(wù)數(shù)據(jù)等）。選項需描述弱形式或強形式特征。4.BondAhasthehigheryieldtomaturity.*解析思路：YTM是使債券現(xiàn)值等于當(dāng)前價格的貼現(xiàn)率。對于平價收益率曲線，票面利率高于到期收益率時，價格低于面值，YTM高于票面利率；反之亦然。兩債券價格相同，B票面利率更高，則其YTM更低。5.BreakevenPoint:$115*解析思路：BreakevenPoint=StrikePrice+Premium=$110+$5。期權(quán)盈利需要股價高于此價格。6.Debt-to-EquityRatio:0.67*解析思路：Equity=TotalAssets-TotalLiabilities。TotalLiabilities=CurrentLiabilities+Long-TermLiabilities。Debt-to-EquityRatio=TotalLiabilities/Equity。代入數(shù)值計算。7.Preferredstocktypicallypaysafixeddividendandhaspriorityovercommonstockintheeventofliquidation,butitusuallydoesnotcarryvotingrights.*解析思路：考察優(yōu)先股的主要特征。固定股息、清算優(yōu)先權(quán)、通常無投票權(quán)。8.RequiredReturn:9%*解析思路：根據(jù)CAPM公式，RequiredReturn=Risk-FreeRate+Beta*MarketRiskPremium。代入數(shù)值計算。此處題目條件與計算結(jié)果矛盾，通常題目會保證一致性，按公式計算。9.NPV:$7.02million*解析思路：NPV=Σ[CashInflow/(1+r)^t]-InitialInvestment。其中r=10%,t=1to5。計算五年現(xiàn)金流的現(xiàn)值總和，再減去初始投資。10.ForwardDiscountontheeuro:1.14%*解析思路：ForwardDiscount(%)=(SpotRate-ForwardRate)/SpotRate*100%。計算結(jié)果為負(fù)值，表示美元對歐元升值，或歐元對美元貶值，即歐元貼水。取絕對值表述為貼水百分比。11.ExpectedReturn:13%*解析思路：根據(jù)CAPM公式，ExpectedReturn=Risk-FreeRate+Beta*(MarketReturn-Risk-FreeRate)。代入數(shù)值計算。12.CostofequityisacomponentofWACC.*解析思路：WACC=(E/V*Re)+(D/V*Rd*(1-Tc))。其中Re是股權(quán)成本。13.AverageInventory:$50million*解析思路：InventoryTurnover=CostofGoodsSold/AverageInventory。AverageInventory=CostofGoodsSold/InventoryTurnover。代入數(shù)值計算。14.YieldtoMaturity(YTM):6.46%*解析思路：YTM是使債券未來現(xiàn)金流（利息+面值）現(xiàn)值等于當(dāng)前價格的貼現(xiàn)率。需要使用財務(wù)計算器或迭代法求解。已知：PV=-950,PMT=60/2=30,FV=1000,N=10*2=20。15.Price-to-Earnings(P/E)Ratio:10*解析思路：P/ERatio=MarketPriceperShare/EarningsperShare。代入數(shù)值計算。16.Themarketportfolioisefficientandtheonlyriskthatinvestorsneedtoworryaboutismarketrisk.*解析思路：考察CAPM的核心假設(shè)。市場投資組合是有效率的，系統(tǒng)性風(fēng)險（市場風(fēng)險）是唯一需要補償?shù)娘L(fēng)險。17.ExpectedReturn:9.2%,StandardDeviation:11.49%*解析思路：計算加權(quán)平均預(yù)期回報率。計算組合協(xié)方差矩陣，進而計算組合標(biāo)準(zhǔn)差。W_stock=0.6,W_bond=0.4。σ_stock=15%,σ_bond=5%,ρ=0.2。18.TotalLiabil