2025年CFA二级《权益投资》预测题

2025年CFA二级《权益投资》预测题考试时间：______分钟总分：______分姓名：______一、UsingthefollowinginformationforPQRInc.,calculateitsWeightedAverageCostofCapital(WACC).Thecompanyhasnodebt,10millionsharesoutstanding,andasharepriceof$50.Themarketriskpremiumis6%,andtheequitybetais1.2.Thecompany'srequiredrateofreturnonequityiscurrently12%.二、DescribethemainassumptionsoftheConstantGrowthDCFmodel.Whataretheprimarylimitationsofthismodelwhenvaluingacompany?三、CompanyXYZjustreporteditsannualearningspershare(EPS)of$2.00.Analystsexpectearningstogrowatarateof8%forthenexttwoyears,thentransitiontoalong-termgrowthrateof4%indefinitely.Thecompany'spayoutratiois60%,anditscurrentstockpriceis$30.UsingtheDividendDiscountModel(DDM),calculatetheimpliedrequiredrateofreturnonequityforXYZstock.Assumealldividendsarereinvestedduringthehigh-growthphase.四、Youareanalyzingtwocompaniesinthesameindustry:CompanyAandCompanyB.CompanyAhasaP/Eratioof15andearningspershare(EPS)of$3.CompanyBhasaP/Eratioof20andEPSof$2.50.Ignoringdifferencesinriskandgrowthprospects,calculatetheimpliedstockpriceforCompanyB.五、Explaintheconceptofmarketefficiency.WhatarethethreeformsoftheEfficientMarketHypothesis(EMH)?ProvideanexampleofananomalythatchallengesthestrongformofEMH.六、Aportfoliomanagerisconstructingaportfoliousingtwostocks:StockXandStockY.StockXhasanexpectedreturnof12%andabetaof1.5.StockYhasanexpectedreturnof8%andabetaof1.0.Themanagerwantstheportfoliotohaveabetaof1.2.Iftheportfolioconsistsof$600,000investedinStockXand$400,000investedinStockY,isthemanagerachievingthedesiredportfoliobeta?Ifnot,whatadjustmentsshouldbemadetotheinvestmentproportionstoachieveabetaof1.2?七、Definetheterm"valueinvesting".Describetwocommonvalueinvestingstrategiesandthetypesofsecuritiesthatmightbetargetedbyeachstrategy.八、CompanyMNOisconsideringissuingequitytofundanewproject.Theprojectrequiresaninvestmentof$100millionandisexpectedtogenerateannualfreecashflowsof$20millioninperpetuity.Ifthecompany'sWACCis10%,shouldCompanyMNOproceedwiththeprojectbasedonthisinformationalone?Justifyyouranswer.九、Describetheconceptofa"payoutratio".AcompanyhasanEPSof$4.00,apayoutratioof40%,andaretentionratioof60%.Ifthecompany'srequiredrateofreturnonequityis11%anditexpectsearningstogrowataconstantrateof5%,whatistheimpliedvaluepershareusingtheConstantGrowthDDM?十、CompareandcontrasttheCapitalAssetPricingModel(CAPM)andtheArbitragePricingTheory(APT).WhatarethekeyinputsrequiredfortheCAPM?IdentifyoneadvantageandonedisadvantageoftheAPTcomparedtotheCAPM.十一、CompanyJKLisevaluatinganinvestmentinanewtechnology.Thetechnologyrequiresaninitialinvestmentof$50millionandisexpectedtogeneratecashinflowsof$15millionattheendofyear1,$20millionattheendofyear2,and$25millionattheendofyear3.Ifthecompany'srequiredrateofreturnforthistypeofinvestmentis12%,whatistheNetPresentValue(NPV)ofthisinvestment?十二、Whatisthe"acquisitionpremium"?Whymightaacquiringcompanybewillingtopayanacquisitionpremiumwhenbuyinganothercompany?Discussthepotentialrisksassociatedwithpayinganacquisitionpremium.十三、Explaintheprincipleofdiversification.Howdoesdiversificationreduceportfoliorisk?Whatisthedifferencebetweenunsystematicriskandsystematicriskinthecontextofportfoliorisk?十四、Astockhasanexpectedreturnof14%andastandarddeviationof25%.Therisk-freerateis4%.CalculatetheSharpeRatioforthisstock.WhatdoestheSharpeRatiomeasure?十五、Describethe"dispositioneffect".Howmightthisbehavioralbiasimpactaninvestor'sportfolioperformance?试卷答案一、WACC=Re=12%(Sincethecompanyhasnodebt,WACCequalstherequiredrateofreturnonequity.)解析思路：由于公司没有债务，其加权平均资本成本（WACC）等于其权益资本成本（Re）。题目直接给出了权益资本成本为12%，因此WACC也是12%。二、主要假设：1.公司未来现金流（股利）以一个恒定的速率永续增长。2.投资者要求的回报率（贴现率）大于股利增长rate。3.公司生命周期很长，或者投资者持有股票直至永远。主要局限性：1.对高速增长的公司不适用，因为其增长rate很难长期维持。2.对负增长或零增长的公司不适用。3.模型对输入参数（增长rate、贴现率）非常敏感。4.难以确定合适的永续增长rate。5.假设所有未来股利都可以用今天的股价反映，忽略了市场情绪等因素。解析思路：首先列出恒定增长模型（戈登增长模型）的核心假设。然后，分析该模型的应用限制，如对增长率的假设、对永续期的假设、对参数敏感性的问题等。三、计算：CurrentDividend(D0)=EPS*PayoutRatio=$2.00*60%=$1.20ExpectedDividendinYear1(D1)=D0*(1+g1)=$1.20*(1+8%)=$1.296ExpectedDividendinYear2(D2)=D1*(1+g1)=$1.296*(1+8%)=$1.40048ExpectedDividendinYear3(D3)=D2*(1+g2)=$1.40048*(1+4%)=$1.456392StockPriceattheendofYear2(P2)=D3/(Re-g2)=$1.456392/(Re-4%)ImpliedStockPriceToday(P0)=D1/(1+Re)+D2/(1+Re)^2+P2/(1+Re)^2$30=$1.296/(1+Re)+$1.40048/(1+Re)^2+[$1.456392/(Re-4%)]/(1+Re)^2求解Re：解析思路：首先，根据EPS和payoutratio计算当前股利（D0）。然后，根据增长rate计算未来两年预期的股利（D1,D2）。第三年股利（D3）基于长期增长rate。由于长期增长rate小于要求回报率（否则股价无限高），需要计算第二年末的股票价格（P2），使用永续增长模型公式。最后，将所有未来现金流（D1,D2,P2）按要求回报率（Re）折现到今天，等于当前股价（$30），解出Re。四、计算：CompanyA'sEPS=$3.00CompanyA'sP/E=15CompanyA'sImpliedStockPrice=P/E*EPS_A=15*$3.00=$45.00CompanyB'sEPS=$2.50CompanyB'sImpliedStockPrice=CompanyA'sImpliedStockPrice*(EPS_B/EPS_A)=$45.00*($2.50/$3.00)=$37.50解析思路：利用可比公司A的P/Eratio和EPS计算其隐含股价。然后，假设B公司与其他公司类似（风险、增长等），其隐含股价可以通过EPS和A公司的P/Eratio进行比例推算。这里使用了EPS的比率。五、市场效率定义：市场效率是指在一个有效的市场中，资产价格能够迅速且充分地反映所有可获得的相关信息。EMHForms：1.弱式有效市场：价格已反映所有历史价格和信息（如交易量、价格趋势）。技术分析无效。2.半强式有效市场：价格已反映所有公开信息（如财务报表、新闻公告）。基本分析无效。3.强式有效市场：价格已反映所有公开和内部信息。没有任何信息来源能持续带来超额回报。AnomalyExample：JanuaryEffect:Historically,stocks(especiallysmallcaps)tendtoexperiencehigherreturnsinthemonthofJanuary,oftenduetotax-losssellinginDecemberandsubsequent"windowdressing"byportfoliomanagers.Thiscontradictsthestrongform,asthispredictablepatternbasedoncalendartimeshouldbealreadyreflectedinpricesifthemarketweretrulystrong-formefficient.解析思路：首先定义市场效率。然后，按顺序解释三种有效市场假说的核心观点。最后，提供一个挑战强式有效市场的典型异常现象例子，并简要说明原因。六、计算：CurrentPortfolioBeta=(($600,000/($600,000+$400,000))*1.5)+(($400,000/($600,000+$400,000))*1.0)=(0.6*1.5)+(0.4*1.0)=0.9+0.4=1.3DesiredPortfolioBeta=1.2调整：Thecurrentportfoliobeta(1.3)ishigherthanthedesiredbeta(1.2).Toreducetheportfoliobeta,theproportionofthestockwiththelowerbeta(StockY)shouldbeincreased,ortheproportionofthestockwiththehigherbeta(StockX)shouldbedecreased.ExampleAdjustment:IncreaseinvestmentinStockYanddecreaseinStockX.Forinstance,ifinvestedinStockYincreasesto$500,000andStockXdecreasesto$500,000,thenewportfoliobeta=($500,000/$1,000,000*1.5)+($500,000/$1,000,000*1.0)=0.75+0.5=1.25.Furtheradjustmentneeded,orfindexactproportionssolving:x/1.5+(1-x)/1.0=1.2.解析思路：首先，计算当前投资组合的权重（$600k/($600k+$400k)=0.6和$400k/($600k+$400k)=0.4），然后乘以各自股票的Beta，加总得到当前组合Beta（1.3）。将此结果与目标Beta（1.2）比较。由于当前Beta高于目标，需要降低组合的整体Beta。可以通过增加低Beta股票（Y）的权重或减少高Beta股票（X）的权重来实现。计算示例了第一种方法（增加Y的投入）。七、定义：价值投资是一种投资策略，旨在识别并购买那些当前市场价格低于其内在价值的证券，并期望在未来某个时间点出售这些证券以获得回报（即价格与价值的回归）。策略：1.安全边际（MarginofSafety）：购买价格显著低于估算内在价值的证券，为估算错误、未来不利变化或市场波动提供缓冲。2.逆向投资（Contrarianism）：倾向于在市场恐慌、悲观时买入被低估的证券，在市场狂热时卖出被高估的证券。目标证券：可能包括财务状况稳健但市场忽视的股票、拥有强大竞争优势（护城河）但估值较低的股票、处于困境但基本面有望改善的公司股票、或者具有高分红yield且被认为被低估的股票。解析思路：首先给出价值投资的核心理念（寻找低估）。然后，描述两种常见的价值投资方法：强调安全边际的原则，以及作为逆向投资者的行为。最后，说明这类投资者通常关注寻找哪些类型的证券。八、计算/分析：NPV=-InitialInvestment+PVofFutureCashFlowsNPV=-$100,000,000+[$20,000,000/10%]=-$100,000,000+$200,000,000=$100,000,000决策：Yes,CompanyMNOshouldproceedwiththeproject.ThepositiveNPVof$100millionindicatesthattheprojectisexpectedtogeneratemorevaluethanitscost,creatingwealthfortheshareholders.解析思路：使用净现值（NPV）公式计算。项目初始投资为$100M，未来永续现金流为$20M，贴现率为10%。计算现值（$20M/0.10=$200M）。NPV=$200M-$100M=$100M。由于NPV为正，表明项目预期盈利，应予以采纳。九、计算：PayoutRatio=40%=DPS/EPS=$1.60/$4.00.(Thisconfirmsthegivenpayoutratio).RetentionRatio=60%.RequiredRateofReturn(Re)=11%.GrowthRate(g)=RetentionRatio*ROE.AssumingROE=Reinthiscontextforsimplicity(thoughnotexplicitlygiven),g=60%*11%=6.6%.ImpliedValueperShare(P0)=D1/(Re-g)=(EPS*PayoutRatio)/(Re-g)=($4.00*40%)/(11%-6.6%)=$1.60/4.4%=$1.60/0.044=$36.36.解析思路：首先，利用已知的EPS和PayoutRatio确认DPS。然后，根据RetentionRatio和假设的ROE（此处简化为等于Re）计算增长rate(g)。最后，应用ConstantGrowthDDM公式，用DPS($1.60)除以贴现率（Re）与增长rate（g）的差值（0.11-0.066=0.044），得到股价。十、比较：*CAPM:Asingle-factormodelsuggestingtheexpectedreturnonanassetequalstherisk-freerateplusariskpremium(betatimesthemarketriskpremium).Relativelysimple,widelyusedbutcriticizedforitssingle-factornatureanddifficultyinestimatingbetaaccurately.*APT:Amulti-factormodelsuggestingtheexpectedreturnonanassetdependsonmultiplesystematicriskfactors(e.g.,inflation,interestrates,industrialproduction,size,value)inadditiontothemarketriskfactor.Moreflexibleandpotentiallymorerealisticbuthardertoempiricallyidentifythespecificfactorsandtheirsensitivities(betas).CAPMInputs:Risk-freerate,Marketreturn(orMarketriskpremium),Asset'sBeta.AdvantageofAPT:Canpotentiallyexplainassetreturnsbetterbyincorporatingmorethanjustthemarketfactor.DisadvantageofAPT:Lacksacleartheoreticalfoundationforthefactorschosen,anditismoredifficulttoestimatethefactorsensitivitiesempirically.解析思路：对比CAPM和APT的核心思想、因素数量、优缺点。明确CAPM需要的关键输入（无风险利率、市场风险溢价、贝塔）。然后，分别指出APT相对于CAPM的一个优势（多因素解释力）和一个劣势（理论基础薄弱、实证困难）。十一、计算：PVofYear1CashFlow=$15,000/(1+12%)^1=$15,000/1.12≈$13,392.86PVofYear2CashFlow=$20,000/(1+12%)^2=$20,000/1.2544≈$15,943.88PVofYear3CashFlow=$25,000/(1+12%)^3=$25,000/1.404928≈$17,790.08NPV=-$50,000,000+$13,392.86+$15,943.88+$17,790.08≈-$50,000,000+$47,126.82=-$44,873,118.解析思路：将未来三年的现金流量分别按照12%的贴现率折算到现值。然后将三年的现值加总，最后减去初始投资额，得到净现值（NPV）。由于结果为负，表明项目按当前预测和贴现率计算是不经济的。十二、定义：收购溢价是指收购方为获得目标公司的控制权而愿意支付的价格超过目标公司当前市场价值的部分。原因：1.协同效应（Synergy）：预期收购后可能实现成本节约、收入增加等价值增值。2.管理层激励/代理问题：收购可能更换不称职的管理层，或解决股东与管理层之间的冲突。3.市场时机：在市场低迷时收购可能以较低价格实现控制权。4.战略价值：获取关键技术、品牌、市场份额或