CFA二级练习题精选及答案053117Word格式文档下载.docx
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CFA二级练习题精选及答案053117Word格式文档下载.docx
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C.YesforSuggestion1andNoforSuggestion2.
D.YesforSuggestions1and2.
正确答案:
A
答案解析:
Aiscorrect.Bothsuggestionsarebad.Invaluingprojects,expectedcashflowsshouldbediscountedatrequiredratesofreturnthatreflecttheirrisk,notatarisk-freeratethatignoresrisk.Eventhoughbothoptionscannotbesimultaneouslyexercised,theycanbothaddvalue.Ifdemandishigh,youcanexercisethegrowthoption,andifdemandislow,youcanexercisetheabandonmentoption.
2、BasedonExhibit1andgivenVarden’sexpectations,whichisthebestnullhypothesisandconclusionregardingCEOtenure?
A.b2≤0;
rejectthenullhypothesis
B.b2=0;
cannotrejectthenullhypothesis
C.b2≥0;
Aiscorrect.VardenexpectstofindthatCEOtenureispositivelyrelatedtothefirm’sROE.Ifheiscorrect,theregressioncoefficientfortenure,b2,willbegreaterthanzero(b2>
0)andstatisticallysignificant.Thenullhypothesissupposesthatthe“suspected”conditionisnottrue,sothenullhypothesisshouldstatethevariableislessthanorequaltozero.Thet-statisticfortenureis2.308,significantatthe0.027level,meetingVarden’s0.05significancerequirement.Vardenshouldrejectthenullhypothesis.
3、Logan’sbestresponsetothesupervisor’squestionconcerningthesensitivityoftheenterprisevaluetotheterminalgrowthrateassumption,isclosestto:
A.–36.5%.
B.–28.5%.
C.–24.8%.
B
Biscorrect.Terminalvalueat5percent:
7(1.05)/(.15–.05)=73.50MTerminalvalueat0percent:
7/.15=46.67MChangeinpresentvalue:
(46.67–73.50)/1.153=–17.64Percentagechange:
–17.64/61.8=–28.5%
4、AsaresultofThorpe’sadmissionhetradedinSavannashares,whichCFAInstituteStandardofPracticewillOkadaleastlikelyinvestigateforapossibleviolation?
A.Professionalism
B.DutiestoClients
C.IntegrityofCapitalMarkets
Biscorrect.OkadaisleastlikelytoinvestigateCFAInstituteStandardIII:
DutiestoClients.WhentradinginSavannashares,Thorpelikelydisplayedloyalty,prudence,andcarebyputtingtheinterestsofhisclientsbeforehisown,asrequiredunderStandardIII:
DutiestoClients.Thorpe,however,likelyviolatedStandardII:
IntegrityofCapitalMarketswhenhetradedoninformationthatcouldbeconsideredmaterialandnon-public.DespiteinsidertradingbeinglegalinThorpe’sjurisdiction,asaCFAcandidate,heisrequiredunderStandardI:
Professionalismtoupholdthestricterstandard,whichinthiscaseistheCFAInstituteCodeandStandards.ByviolatingStandardII:
IntegrityofCapitalMarkets,hehaslikelyviolatedStandardI:
Professionalism.AisincorrectbecausedespiteinsidertradingnotbeingagainstthelawinThorpe’sjurisdiction,asaCFAcandidate,heisrequiredtoupholdtheCFAInstituteCodeofEthicsandStandardsofProfessionalConduct.BecauseinsidertradingisaviolationoftheStandards,helikelyviolatedStandardI:
ProfessionalismbynotupholdingthestricterCFAInstituteStandards.Inthiscase,StandardII:
IntegrityofCapitalMarketsisstricterthanthelawsofThorpe’sjurisdiction.CisincorrectbecauseThorpelikelyviolatedStandardII:
IntegrityofCapitalMarketsinthathetradedoninformationthatcouldbeconsideredmaterial,becausealowerearningsforecastwouldlikelynegativelyaffectthesharepriceifitwereknowntothepublic.Theearningswarningwasnotyetavailabletothepublic,sobytradinginadvanceofthenotice,Thorpelikelytradedonmaterialnon-publicinsiderinformation.EventhoughinsidertradingisnotillegalinThorpe’smarket,hehasanobligationtofollowthestricterstandard—theCFAInstituteCodeandStandards.
5、Usinganappropriatevaluationmodel,theestimatedvaluepershareofBMCisclosestto:
A.$16.50.
B.$26.50.
C.$27.60.
C
BMCisamaturecompany.Themostappropriatemodelforvaluationisthesingle-stageGordongrowthmodel.In$millionsEBIT(operatingincome)3,290.0Interestexpense600.0Earningsbeforetax2,690.0Taxat30%807.0Earnings1,883.0Dividendsat72%1,355.8Dividendpershare1.36CostofEquity:
CAPMbeta0.90Risk-freerate4.0%Marketriskpremium5.0%Discountrate(0.90)(5.0%)+4.0%=8.5%LTgrowthrate=3.4%(given)
6、BasedonExhibit1,whichindependentvariablesinVarden’smodelaresignificantatthe0.05level?
A.ESGonly
B.10.957%.
C.Tenureonly
D.NeitherESGnortenure
Biscorrect.Thet-statisticfortenureis2.308,whichissignificantatthe0.027level.Thet-statisticforESGis1.201,withap-valueof0.238.Thisresultisnotsignificantatthe0.05level.
7、Fortheyear2010,theremeasurementcomponentofKensington’speriodicpensioncostrepresents:
A.thechangeinthenetpensionobligation.
B.actuarialgainsandlossesonthepensionobligation.
C.actualreturnonplanassetsminustheamountofreturnonplanassetsincludedinthenetinterestexpense.
Ciscorrect.Theremeasurementcomponentofperiodicpensioncostincludesbothactuarialgainsandlossesonthepensionobligationandnetreturnonplanassets.BecauseKensingtondoesnothaveanyactuarialgainsandlossesonthepensionobligation,theremeasurementcomponentincludesonlynetreturnonplanassets.Inpractice,actuarialgainsandlossesarerarelyequaltozero.Thenetreturnonplanassetsisequaltoactualreturnsminusbeginningplanassetstimesthediscountrate,or£1,302million–(£23,432million×
0.0548)=£18million.
8、Thepresentvalueofexpectedlosson$1,000face-valuePistarbondsisclosestto:
A.$6.96.
B.$18.27.
C.$43.44.
TimetoCashFlowCashFlowRisk-FreSpotRateCreditSpread(%)TotalYield(%)PV(risk-freerate)PV(totalyield)0.5201.50%0.20%1.70%19.8519.831201.75%0.25%2.00%19.6519.601.5202.00%0.30%2.30%19.4119.322.01,0202.25%0.35%2.60%975.12968.32Total$1,034.03$1,027.07Presentvalueofexpectedloss=PV(risk-freerate)-PV(totalyield)=1,034.03-1,027.07=$6.96
9、Thecovariancebetweenarisk-averseinvestor’sinter-temporalrateofsubstitutionandtheexpectedfuturepriceofariskyassetistypically:
A.negative.
B.zero.
C.positive.
Aiscorrect.Forrisk-averseinvestors,whentheexpectedfuturepriceoftheinvestmentishigh(low),themarginalutilityoffutureconsumptionrelativetothatofcurrentconsumptionislow(high).Hence,thecovarianceoftheinter-temporalrateofsubstitutionwithassetpriceisexpectedtobenegativeforrisk-averseinvestors.
10、Acompanyhas1millionsharesoutstandingandearningsare£2million.Thecompanydecidestouse£10millioninidlecashtorepurchasesharesintheopenmarket.Thecompany’ssharesaretradingat£50pershare.Ifthecompanyusestheentire£10millionofidlecashtorepurchasesharesatthemarketprice,thecompany’searningspersharewillbeclosestto:
A.£2.00.
B.£2.30.
C.£2.50.
Ciscorrect.Atthecurrentmarketprice,thecompanycanrepurchase200,000shares(£10million/£50=200,000shares).Thecompanywouldhave800,000sharesoutstandingaftertherepurchase(1millionshares–200,000shares=800,000shares).EPSbeforethebuybackis£2.00(£2million/1millionshares=£2.00).Totalearningsafterthebuybackarethesamebecausethecompanyusesidle(nonearning)cashtopurchasetheshares,butthenumberofsharesoutstandingisreducedto800,000.EPSincreasesto£2.50(£2million/800,000shares=£2.50).
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