CFA一级考试历年真题精选及答案0519-10

1、CFA 级考试历年真题精选及答案0519-10考点：对 Incremental Cash Flow 的理解精选问答 1：When a company is doing capital budgeting, an appropriate estimate of the incremental cash flows from a project is least likely to include:A. ExternalitiesB. Interest costsC. Opportunity costs答案：B is correct.Costs to finance the project are

2、 taken into account when the 1cash flows are discounted at the appropriate cost of capital;including interest costs in the cash flows would result in double -counting the cost of debt.解题思路：考点是在对 Incremental Cash Flow 的理解。Incremental Cash Flows 是指：某项投资决策带来的增量现金流。即：如果不做这个决策，现金流是A,做了该决策之后现金流是B ,那么B-A就是

3、这个决策的增量现金流Incremental Cash Flows ）。比如，期初投资 5 百万修高速路，向过路车辆收费每年会带 来 Cash 100 万，这 100 万是在计算增量现金流 (IncrementalCF)时需要考虑的。当然投资还需要考虑机会成本，因为这 5million 投资了高速路，就不能投资其他项目，因此会有Opp ortunity costs，这部分影响也要考虑在增量现金流里。个在增量现金流里面需要考虑的是外溢效应Externalities ），比如修了高速之后，过路车辆的加油收入是 100 万，推动经济发展的收入是100 万等等。这个27Externalities 就是指

4、由于这项投资决策带来的其他事项的影响。这个外溢效益的现金流也需要包含在Incremental CF 里。当然外溢效应也可能是负的，比如可乐投资生产无糖可乐； 那么含糖可乐的销量可能减少；这种影响在计算投资无糖可 乐的现金流时，也要算在 Incremental Cash Flow 里，才能正 确反映投资决策的影响。这种负的外溢效应有一个名词叫做Cannibalization ，需要注意一下！在现金流里面， 是不考虑融资成本的； 例如通过 Debt 融资，利息是不算在 CF里的。因为融资成本是在求项目NPV时，考虑在了折现率里（ WACC）。易错点分析：根据品职题库统计数据显示，本题是一级公司理财

5、里错误率 非常高的一题，很多同学会把融资利息费用算到分子的现金 流里，这是错误的算法。如果把融资成本算进增量现金流里 面，再算 NPV 时，不但分子的现金流包括了融资成本的影响， 分母的折现率（WACC也包括了融资成本的影响，这样这 个影响因素就考虑了 2次，算出来的NPV不准。考点：边际成本精选问答 2：Two years ago, a company issued $20 million in long -term bonds at par value with a coupon rate of 9 percent. The company has decided to issue an

6、additional $20 million in bonds and expects the new issue to be priced at par value with a coupon rate of 7 percent. The company has no other debt outstanding and has a tax rate of 40 percent. To compute the company's weighted average cost of capital, the appropriate after -tax cost of debt is c

7、losest to:A. 4.2%B. 4.8%C. 5.4%答案：A is correct.The relevant cost is the marginal cost of debt. The before -tax marginal cost of debt can be estimated by the yield to maturity on a comparable outstanding. After adjusting for tax, the after -tax cost is 7(1 ? 0.4) = 7(0.6) = 4.2%.解题思路：在一级Corporate Fin

8、ance里面，计算 WACC时，使用的是融资的边际成本， (Marginal cost of Capital )。其背后的逻辑就 是，在 CF 里考虑的是新项目成本与收益的分析，考虑的是新项目投与不投的问题，与做决策更相关的是项目的边际收 益和边际成本之间的关系;因此，计算出来的融资成本是边际成本才更适合用来分析新项目的盈利能力，这样做到匹配。所以本题用Debt的边际税前成本7%，这个融资成本是该公司最新的融资成本。而 不用考虑2年前9%的融资成本。在一级的原版书教材里面有WACC = Marginal Cost of Cap ital的说法。F图红线部分来自原版书:debt, and ins

9、truments that share chara匚teristics of debt and equity. Each source selected becomes a component of th栏 cornpan/ s funding and has a cost (regqired 旭te of return) that may be called a componeiu co窑t of capiwal+flause w也abusing the cost ofcapital in the evaluatiion of investmgrrt opportimitie勺 we a馆

10、dealing with a margirtako或what it would cost to raise additional funds for the potential investment project. Therefore, the cost of capital that the investment analyst lis concerned with is a marginaill cost易错点分析:根据品职题库统计数据显示，本题易错在B选择。很多同学给了第一次融资( 20 million ) 50%的权重，这笔融资按 9%的税前融资成本算；给了第二次融资( 20 mil

11、lion ) 50%的权重，这笔融资按 7%的税前融资成本算，最终算下来的成本是 4.8%。虽然看上去比较“科学” ，但注意，一定是与现在相关的融资成本， 才能做到成本与收益匹配分析。9%只能反映过去，再做项目决策时，不能用过去的成本进行新项目收 益分析，除非当前的融资成本与过去一样。考点：公司治理精选问答 3：Which of the following statements regarding corporate shareholders is most accurate?A. Cross-shareholdings help promote corporate mergers.B. Du

12、al -class structures are used to align economic ownership with control.C. Affiliated shareholders can protect a company against hostile takeover bids.答案：C is correct.The presence of a sizable affiliated stockholder (such as an individual, family trust, endowment, or private equity fund) can shield a

13、 company from the effects of voting by outside shareholders.解题思路：本题属于比较细节的题目了，也是错误率较高的题目。三个其中选项属于了解记忆性质的知识，刚好利用本题记忆知识点。B 选项刚好说反了， Dual -class 是使得 Voting rights (Control rights) 和 Economic ownership 不对等的。理论上一份股票对应一份投票权；但是 Dual-class 下，创始人高管等的 Share 存在一票多权的情况。比如创始人高管的A-share 对应的可能是一份股票有投票权 10 票。而普通股东

14、的 B-share 是一份股票对应一个投票权。这样就刚好把控制权和 Economic ownership 分开了。 股东虽 然拥有相应份额 share 的 Economic Ownership ，但是控制权 比例不对应，因此该设计将 Economic ownership 和 Control rights 割裂开了。而对于 C 选项， Affiliated shareholders 属于公司拥有 20%及以上 Voting rights 的投资者。其中C 选项是说： Affiliatedshareholders 可以帮助公司抵御恶意收购。 C 选择是正确的。比如，规定一个事项要通过 2/3 的股

15、东同意才能通过，那显 然 Affiliated shareholders 就可以在敌意收购中起到重要作用。易错点分析：本题考察的点比较细致，属于品职题库数据统计出的高频错 误。可以利用本题记住知识点。考点：计算 Country Risk P remium精选问答4:An analyst gathered the following information about the capital markets in the United States and in Paragon, a devel oping country.,Yield on US 10-year Treasuy bond4.5

16、Yield OH Paragon lO-yeir governmctit bond10.5Aiuiualized standard deviation of Paragon stock index35AiMKialized standard deviation of Paragon dollar-deiioiiiiiiated goveiiuiient bond 25Based on the analyst' s data, the estimated countryequity p remium for P aragon is closest to:A. 4.29%.B. 6.00%

17、.C. 8.40%.答案：C is correct.The country equity premium can beestimated as thesovereign yield spread times the volatilityof the country ' sstock market relative to its bond market.Paragon' s equitypremium is(10.5% - 4.5%) X (35%/25%) = 6% X 1.4 = 8.40%.解题思路：李叢是字计聲ountTy Ri*k PreiTiium 毗奋戏这阖零枚的站

18、岂-讪星甘投強Devebpmg couiiliy蓟股孰 $宵-、国家；&=计卑图宣利雄;f；r W心氏:CRP = Stn旧空輛 vieef spread x"AmilicJLed J fSuL觀曲纠 hottci ifi tentts cf 曲品皆li fuca ket cis tericy')其 + Sovi'cigii yield sptod ? Dcvclopuie Sovct cigii botid yield 诚，比宏达 B 黑 Sovereign bond yield.布辛碰一就是：后 + 那 » 的分式'处 r 矍 Devel

19、oping coiiiitiy K S 弓？数址年 2沢而 # , % & ?. Developing cowitiy议戏达国宋覧方计价的Sovieii bond滝雨童s宰逊中就量：35%：2§%叟卑补免一丁*如晃蔓唾过CAMP计艺Equity的里求旨报率，如黑存止CRP村，CRP fk Equity risk pituiivin = ft ,左Be恰的拓号至'.所细畏萇冬戏达團T的;4可，在犬达匡'? 辻Equity融讶*但*-ft讶坛討(新的苗冃)岸士 Dh.飞loping Cunti厂此ilr主计迸Equity 0勺 芟求旦扌电率对，T妾忘忙利CKF,专

20、十亂企文：尺宪咤=尺厂处尺訥-片八CP易错点分析:品职题库统计数据里有一道类似的题属于高频错误；容易犯 的错误一是计算 CRP时记错公式。二是在计算要求回报率(Cost of equity )时，如果有 CRP,注意CRP是加在Beta的括号里面。考点：计算 Cost of capital、Pure play 计算 Equity beta、计算Cost of debt，计算 Cost of equity精选问答5:Boris Duarte, CFA covers initial public offerings for ZellwegerAnalytics, an inde pendent r

21、esearch firm sp ecializing in global small-cap equities. He has been asked to evaluate the up coming new issue of TagOn, a US-based business intelligence software comp any.The industry has grown at 26 p ercent per year for the p revious three years. Large companies dominate the market, but sizable &

22、quot;pure -play" companies such as Relevant, Ltd., ABJ, Inc., and Opus Software Pvt. Ltd also compete. Each of these competitors is domiciled in a different country, but they all have shares of stock that trade on the US NASDAQ. The debt ratio of the industry has risen slightly in recent years.

23、CompanyIllMillions： (S)Equity in Millicnfe ($)Market Vahis Debt in Millions； ($)Equity BetaGxRateSharePne圮(t)R亡lev antLtd17523.80001 70223%42AHJMiicS4S6.52.S23%2411OpusSofiwdJcPvL Ltd.211972133.423%13Duarteuses theinformationfrom thep reliminaryprosp ectus for TagOn ' s initial offering. The com

24、p any intendsto issue 1 million new shares. Inhis conversation with theinvestment bankers for the deal,he concludes the offeringprice will be between $7 and $12.The current capital structure ofTagOn consists of a $2.4million five -year non-callable bond issue and 1 millioncommon shares. Other inform

25、ation that Duarte has gathered:Cuii'ciilly oulsLaiidiiig bondi；$2.4 million tivc-yeai bonds;, coupon of 12.5 percent.with fl nicirtet vnhie of $2,156 uiillionRisk- fa cc rate of mt crest5,25 %Estimated equity risk pemimn7%Tax rate23 %The marginal cost of capital for TagOn, based on anaverage ass

26、et beta of 2.27 for the industry and assuming thatnew stock can be issued at $8 per share, is closest to:A. 20.5 percent.B. 21.0 percent.C. 21.5 percent.答案：C is correct.For debt: FV = 2,400,000; PV = 2,156,000; N = 10; PMT = 150,000Solve for I I = 0.07748 YTM = 15.5%Before-tax cost of debt = 15.5%Ma

27、rket value of equity = 1 million shares outstanding + 1 million newly issued shares= 2 million shares at $8 = $16 millionTotal market capitalization = $2.156 million + $16 million $18.156 millionLevered beta = 2.27 1 + (1 ? 0.23)(2.156/16) = 2.27 (1.1038) = 2.5055Cost of equity = 0.0525 + 2.5055 (0.

28、07) = 0.2279 or 22.79%Debt weight = $2.156/$18.156 = 0.1187Equity weight = $16/$18.156 = 0.8813TagOn ' s MCC(0.1187)(0.155)(10.23) +(0.8813)(0.2279)= 0.01417 + 0.20083 = 0.2150 or 21.50%解题思路：本题属于一道综合性非常强的题目，比较难，需要计算的数 据较多，需要一步步梳理。题干让求 Cost of capital ，所以是 使用 WACC计算。需要先计算出 Cost of debt ,Cost of e

29、quity , 即各项资金来源的成本，以及各项资金的权重。题目已经给定了公司之前发行的 Bond 的相关数据，以及市 场价格；根据市场价格反求出来的 Bond yield 就反映了公司 当前通过 Debt 的融资成本。这是第一步，通过 Bond 的市场 数据以及Bond属性计算Yield。注意算出来的 Yield是税前融资成本。第二步需要计算公司的 Equity 融资成本， 从题干中给出的数 据判断，应该是使用 CAPM 模型计算 Cost of equity ，所以这步需要计算 Equity beta 。因为可比公司的 Asset beta 是 2.27已知，所以根据Pure play的方法

30、，计算出该公司的Equity beta :2.27 1 + (1 ? 0.23)(2.156/16) = 2.27 (1.1038) = 2.5055 。算出 来 Equity beta 后，通过 CAPM 计算 Cost of equity.有了两个资金来源的成本，第三步使用WACC计算Cost of capital ，这一步需要计算各项资金来源的权重。易错点分析：本题计算较为复杂，需要算的数据较多。做题前要先理清思路看看用什么方法求解，缺什么数据，然后看看能否在题干中寻找到这些数据，如果没有这些数据能不能通过已知求出。考点：应用 Project Beta 计算项目的融资成本精选问答 6:B

31、randon Wiene is a financial analyst covering the beverageindustry. He is evaluating the impact of DEF Beverage ' s newproduct line of flavored waters. DEF currentlyhas a debt -to -equity ratio of 0.6.The new product line would be financed with$50 million ofdebt and $100 million of equity. In est

32、imatingthe valuationimpact of this new product line on DEF's value, Wiene hasestimated the equity beta and asset beta of comparablecompanies. In calculating the equity beta for the product line,Wiene is intending to use DEF's existing capital structure whenconverting the asset beta into a pr

33、oject beta. Which of the following statements is correct?A. Using DEF' s debt-to-equity ratio of 0.6 is appropriate in calculating the new product line's equity beta.B. Using DEF's debt -to -equity ratio of 0.6 is not appropriate, but rather the debt -to -equity ratio of the new product,

34、 0.5, is appropriate to use in calculating the new product line ' s equity beta.C. Wiene should use the new debt -to -equity ratio of DEF that would result from the additional $50 million debt and $100 million equity in calculating the new product line's equity beta.答案：B is correct.The debt

35、-to -equity ratio of the new product should be used when making the adjustment from the asset beta, derived from the comparables, to the equity beta of the new product.解题思路：这家叫DEF的公司，其原本的公司资本结构是：Debt-to-Equity= 0.6 ；目前该公司在为新项目融资，新项目融资的资本结构是：Debt -to -Equity = 0.5 (50 Debt vs 100 Equity) 题干说在计算新 项目的

36、Project Beta 时，使用公司原来的杠杆 0.6，错误就在这点；为了反映投资该项目的风险，在计算 Project Beta 时，应该 使用的是新项目的杠杆 0.5，而不是公司的杠杆 0.6，以真实的反映该项目的融资成本，从而在分析收益成本时做到匹配。B 选项描述的就是这点；由于公司为新项目融资的杠杆比例是0.5，而公司原来的Capital Structure 比例是 0.6。因此，新项目的融资比例和公司已有的比例不同，完成这笔融资之后，公司的资本结构就 会发生变化，会从原来的 0.6 下降一点。我们记这个公司新 的资本结构是 A。C选项表达的意思就是使用这个公司新的资本结构A计算新项目

37、的Beta。这点是错误的，应该使用的是项目的融资比例。易错点分析：本题也属于品职题库数据分析的高频错误点，在有问必答里 也有学员问 B、C 两个选项的区别。注意，在审题时一定要 通读选项，不要只读半句，在 CFA的题目里，经常会出现选择之间的差距就在某些词上，所以读题时要通读，并且小心 陷阱！考点： NPV Profile 的理解精选问答 7:An investment has an outlay of 100 and after -tax cash flows of 40 annually for four years. A project enhancement increases the outlay by 15 and the annual after -tax cash flows by 5. As