2013年6月CFA+Level+I+重点习题集答案+Equity.pdf

Leading Global Wealth Management Practice PAGE 1 Copyright 2013 WMICHINA All Rights Reserved 1 Answer A In a call market traders investors indicate their bids and asks for stocks and they are not posted by dealers Also a call market is not a dealer or quote driven market 2 Answer B Wide bid ask spreads is not a characteristic of a well functioning market 3 Answer A The limit buy order will be filled first with the most aggressively priced limit sell order and will be followed by filling with the higher priced limit sell orders that are needed up to and including the limit buy price until the order is filled Average price 200 x 20 20 300 x 20 35 200 x 20 50 700 20 35 4 Answer C A short sale has no time limit the other two statements are correct 5 Answer C Initial investment 28 x 500 x 1 3 33 0 05 x 500 4 225 Purchase commission 0 05 x 500 25 Trading gain 30 28 x 500 1 000 Margin interest paid 9 800 x 0 025 245 Dividends received 0 40 x 500 200 Sales commission paid 0 05 x 500 25 Remaining equity 5 130 Return on investment 5 130 4 225 4 225 21 4 6 Answer B A price weighted index such as the Dow Jones Industrial Average requires adjustment for stock splits It is computed by summing the prices of individual stocks and dividing by a divisor that is adjusted for stock splits such that the index value is the same before and after the split 7 Answer B Fundamentally weighted indices generally will have a contrarian effect in that the portfolio weights will shift away from securities that have increased in relative value and toward securities that have fallen in relative value whenever the portfolio is rebalanced 8 Answer B Fundamental weighting satisfies the fund manager s preferences Fundamental indices use a single measure such as total dividends to weight the constituent securities Fundamentally weighted indices generally will have a contrarian effect in that the Leading Global Wealth Management Practice PAGE 2 Copyright 2013 WMICHINA All Rights Reserved portfolio weights will shift away from securities that have increased in relative value and toward securities that have fallen in relative value whenever the portfolio is rebalanced All shares are included in a fundamental weighted index 9 Answer A In float adjusted market capitalization weighting the weight on each constituent security is determined by adjusting its market capitalization for its market float Per computations shown below the ending value of the index so computed equals 109 1 654 900 600 000 Stock Shares Outstanding Shares in Market Float Shares in Index Beginning of Period Price Beg Float Adj Market Cap End of Period Price Ending Float Adj Market Cap 1 2 1 x 2 3 4 3 x 4 5 6 3 x 6 A 5 000 90 4 500 40 180 000 45 202 500 B 2 000 100 2 000 68 136 000 60 120 000 C 6 000 70 4 200 60 252 000 70 294 000 D 4 000 40 1 600 20 32 000 24 38 400 Total 600 000 654 900 Index Value 100 109 1 10 Answer B The price weighted index is computed by totaling the current prices of the stocks in the index and dividing the sum by a divisor that has been adjusted for stock splits and changes in the sample over time Index before the split 10 20 60 3 30 New divisor 10 20 20 X 30 X 1 67 Index after the split 12 19 22 1 67 31 7 11 Answer A After an equal weighted index is constructed and the prices of constituent securities change the index is no longer equally weighted Therefore maintaining equal weights requires frequent adjustments rebalancing to the index 12 Answer C Commodity index returns reflect the risk free interest rate the changes in futures prices and the roll yield Changes in the underlying commodity price are not directly reflected in a commodity index 13 Answer B The assumption that the new information comes to the market in a predictable manner is an inaccurate statement The correct assumption is that the new information comes to the market in a random fashion Leading Global Wealth Management Practice PAGE 3 Copyright 2013 WMICHINA All Rights Reserved 14 Answer C In efficient markets and without access to superior analysts portfolio management calls for minimizing the transaction costs and diversifying completely on a global basis Paying attention to the monetary policy and evaluating its implications for portfolio management is appropriate for portfolio managers with access to superior analysts 15 Answer A The three limitations for achieving full capital market efficiency are 1 cost of information 2 cost of trading and 3 limits of arbitrage Survivorship bias is not one of them 16 Answer B To take advantage of the long run price movements in an efficient capital market the analyst must do a superior job of estimating the relevant variables and predict earnings surprises 17 Answer B If investors do not change their behavior in light of new information the resulting behavioral biases and their persistence would lead to the persistence of mispricing For example underreaction to earnings news can be explained by behavioral biases 18 Answer A According to loss aversion related arguments in behavioral theories investors dislike losses more that they like comparable gains Thus such a behavioral bias can explain observed overreaction in markets 19 Answer A This behavioral bias is an example of an information cascade wherein the transmission of information is from those participants who act first and whose decisions influence the decisions of others The behavior of informed traders acting first and uninformed traders imitating the informed traders is consistent with rationality The imitation trading by the uninformed traders helps the market incorporate relevant information and improves market efficiency 20 Answer B Putable preference shares are less risky than their callable counterparts They give the investor the option to put the shares back to the company Because of the lower risk they will provide a lower expected rate of return Common shares are the most risky whether or not they are dividend paying and are likely to offer the highest expected return 21 Answer C Companies with large amounts of undervalued assets which can be sold to reduce debt and which generate high levels of cash flow which is used to make interest and principal Leading Global Wealth Management Practice PAGE 4 Copyright 2013 WMICHINA All Rights Reserved payments on the debt are likely candidates for MBO transactions 22 Answer C The factor that most influences customer purchase decisions is likely to also be the focus of competitive rivalry in the industry In general industries where price is a large factor in customer purchase decisions tend to be more competitive than industries in which customers value other attributes more highly 23 Answer B A cyclical stock will experience changes in its rates of return greater than changes in overall market rates of return i e its returns are more volatile than the overall market 24 Answer B The shakeout stage is usually characterized by slowing growth intense competition and declining profitability During the shakeout stage demand approaches market saturation levels because few new customers are left to enter the market Competition is intense as growth becomes increasingly dependent on market share gains 25 Answer C An embryonic industry is one that is just beginning to develop and is characterized by slow growth high prices and volumes not yet sufficient to achieve meaningful economies of scale developing distribution channels and low brand loyalty as there is low customer awareness of the industry s product 26 Answer C g b x ROE b earnings retention rate 1 Dividend payout ratio D1 D0 1 g V0 D1 r g b 1 0 40 0 60 g 0 60 x 12 7 2 D1 3 60 1 072 3 86 V0 3 86 0 15 0 072 49 49 27 Answer B Dividend per share Earnings per share x Payout ratio k E Ri RFR i RM RFR Vj D1 k g where Vj value of stock D1 D0 1 g ks the required rate of return g the constant growth rate of dividends Most recent dividend D0 2 00 0 6 1 20 k 4 20 5 60 1 50 12 60 V 1 20 1 051 0 126 0 051 16 82 28 Answer C g growth rate of dividends 3 2 1 6 1 7 Alternatively PV 2 FV 3 n 6 compute I Y k 9 1 8 17 9 23 4 V 3 1 07 0 234 0 07 19 57 29 Answer B ROE ROA x Financial leverage Retention ratio growth rate ROE Leading Global Wealth Management Practice PAGE 5 Copyright 2013 WMICHINA All Rights Reserved Payout ratio 1 Retention ratio ROE 10 0 2 5 25 Retention ratio 0 15 0 25 0 60 Payout ratio 1 0 60 40 0 30 Answer A Vo Do r 100 x0 06 0 115 52 17 31 Answer A Time Period Dividend PVIF 15 Present Value 1 2 x 1 30 2 60 0 8696 2 26 2 2 x 1 302 3 38 0 7561 2 56 3 2 x 1 302 x 1 20 4 06 0 6575 2 67 4 g 8 96 9 Sustainable growth rate for the year 2009 retention rate 1 Dividend payout ratio 1 1 92 3 20 0 40 g bxROE g 0 40 x12 4 8 Average of the two approaches 9 4 8 2 6 90 V0 D1 r g 1 92x1 069 0 15 0 069 32 05 0 081 25 31 33 Answer B Free cash flow to equity is derived after adjusting the operating free cash flow for payments to debt holders interest and principal as well as preferred stockholders 34 Answer C When deriving the value of the total firm we discount the operating free cash flow prior to the payment 35 Answer A The stock is currently overvalued by 0 50 as its intrinsic value is 49 50 compared to the price of 50 Next year s EPS 50 20 x 1 10 2 75 Intrinsic value 2 75 x 18 49 50 36 Answer B Free cash flow to equity FCFE is a measure of the firm s dividend paying capacity which should be reflected in the cash flow estimates rather than expected dividends Analysts must make projections of financials to forecast future FCFE and thus the constant growth assumption as in the Gordon growth model is not an issue An asset based valuation model is not appropriate considering the high proportion of intangibles goodwill and patents in the firm s assets 37 Answer C Adj price to book value ratio Current stock price Adj book value per share Leading Global Wealth Management Practice PAGE 6 Copyright 2013 WMICHINA All Rights Reserved Adj book value per share 325 40 45 0 6 10 31 20 Adj price to book value ratio 59 31 20 1 89 38 Answer A If markets are in equilibrium the price per share reflects the value determined by the constant growth dividend Using the constant growth model the stock s value is 2 40 1 08 0 07 37 03 The trail