2025年CFA一级真题及答案详解

2025年CFA一级真题及答案详解考试时间：______分钟总分：______分姓名：______请根据以下题目要求，选择最合适的答案或进行计算、简答。一、选择题1.AccordingtotheCFAInstituteCodeandStandards,whichofthefollowingactionsbyananalystwouldmostlikelyviolatethestandardthatrequiresmemberstoplacetheinterestsofclientsabovetheirown?A.Acceptingadinnerhostedbyaportfoliomanagerwhosefirmisasignificantshareholderofoneofthecompanyclientstheanalystcovers.B.建议ingaclienttosellasecuritythathasbeenperformingpoorly,primarilytogenerateanewresearchsubscriptionfeefromtheclient.C.Disclosingtoaclosefriendthattheanalystisabouttoinitiatecoverageonacompany,hopingthefriendwillprovideinsightsbeforethepublicannouncement.2.Aninvestorhasaportfoliowithanexpectedreturnof12%andastandarddeviationof18%.Therisk-freerateis3%.AccordingtotheSharperatio,whatistheexcessreturnperunitofriskforthisportfolio?A.0.111B.0.396C.0.753.Acompanyreportssalesrevenueof$500,000,costofgoodssold(COGS)of$300,000,andoperatingexpensesof$150,000.Itsdepreciationexpensefortheperiodis$50,000.Whatisthecompany'soperatingcashflow(OCF)?A.$50,000B.$100,000C.$200,0004.Whichofthefollowingstatementsabouttheefficientmarkethypothesis(EMH)ismostaccurate?A.The弱形式EMHsuggeststhatcurrentpricesreflectallpubliclyavailableinformation.B.Accordingtothe强形式EMH,itispossibletoconsistentlyachievereturnsabovethemarketaveragewithouttakingonadditionalrisk.C.The半强形式EMHimpliesthattechnicalanalysiscanreliablygenerateexcessreturns.5.Astockhasanannualdividendyieldof2%andarequiredrateofreturnof8%.Usingtheconstantgrowthdividenddiscountmodel(DDM),whatistheimpliedgrowthrateofdividendsifthecompanyisexpectedtomaintainaconsistentpayoutratio?A.6.0%B.8.0%C.10.0%6.Whichofthefollowingmethodsofvaluingacompanyismostlikelytobesuitableforacompanywithpredictablebutmodestcashflows,stablegrowth,andfewcomparablepubliccompanies?A.Discountedfreecashflow(DCF)B.Sum-of-the-partsvaluationC.Comparablecompanyanalysis7.Abondwithafacevalueof$1,000paysanannualcouponof5%.Thebondhas5yearsremainingtomaturityandayieldtomaturity(YTM)of6%.Whatistheapproximatecurrentpriceofthebond?A.$920B.$950C.$1,0508.Whichofthefollowingstatementsregardingdurationistrue?A.Abondwithahigherdurationhaslowerinterestraterisk.B.Durationmeasuresthepercentagechangeinabond'spricefora1%changeinyieldtomaturity.C.Thedurationofazero-couponbondisequaltoitstimetomaturity.9.Aninvestorisconcernedaboutpotentialinterestrateriskexposureintheirportfolio.Whichofthefollowingstrategieswouldmostlikelyhelphedgethisrisk?A.Increasingtheallocationtostockswithhighdividendyields.B.Investingprimarilyinlong-termgovernmentbonds.C.Matchingthedurationofthebondportfoliototheinvestor'sliabilities.10.Acompanyisevaluatingaprojectwithaninitialinvestmentof$100,000.Theprojectisexpectedtogeneratecashinflowsof$40,000attheendofeachyearfor4years.Ifthecompany'srequiredrateofreturnis10%,whatisthenetpresentvalue(NPV)oftheproject?(Useapproximatefactors:PVIFA(10%,4)≈3.170)A.$12,680B.$20,000C.$40,00011.Whichofthefollowingfinancialratioswouldtypicallybemostsensitivetochangesinaccountingpolicies,suchasthemethodusedfordepreciation?A.CurrentratioB.Debt-to-equityratioC.Returnonassets(ROA)12.TheLawofOnePricesuggeststhat:A.Twodifferentcompaniesinthesameindustryshouldhavethesamestockprice.B.Asecurityshouldsellatapricethatreflectsallavailableinformation.C.Iftwosecuritiesofferthesameriskandreturn,theymusttradeatthesameprice.13.AninvestorisconstructingaportfoliobycombiningStockAwithanexpectedreturnof12%andastandarddeviationof20%,andStockBwithanexpectedreturnof8%andastandarddeviationof15%.Thecorrelationcoefficientbetweenthetwostocksis0.4.Iftheinvestorholds60%oftheirportfolioinStockA,whatistheapproximatestandarddeviationoftheportfolio?A.16.7%B.17.6%C.19.0%14.WhichofthefollowingstatementsabouttheCapitalAssetPricingModel(CAPM)iscorrect?A.Themodelassumesthatinvestorscanborrowandlendattherisk-freerate.B.Themarketriskpremiumiscalculatedastheexpectedreturnonthemarketportfoliominusthestandarddeviationofthemarketportfolio.C.Thebetaofaportfolioisalwaysequalto1.0.15.Whichofthefollowingtypesofsecuritiesismostlikelytoofferthehighestlevelofdefaultrisk?A.U.S.TreasurybillsB.Investment-gradecorporatebondsC.High-yield(junk)corporatebonds二、简答题1.Describethethreeformsoftheefficientmarkethypothesis(EMH).Provideoneexamplescenarioforeachformthatillustrateswhetherthemarketisactingefficientlyaccordingtothatform.2.Acompanyisreportingitsfinancialperformance.Explainthedifferencebetweenaccrualaccountingandcashaccounting.Whichmethodisgenerallypreferredforexternalfinancialreportingandwhy?Provideoneadvantageandonedisadvantageofaccrualaccounting.3.Youareanalyzingacompany'sfinancialstatements.Identifythreekeyfinancialratiosusedtoassessacompany'sliquidity.Foreachratio,explainwhatitmeasuresandprovideageneralinterpretationofahighorlowvalue.4.Explaintheconceptofdurationasitrelatestobonds.Howdoesdurationhelpaninvestorunderstandtheinterestrateriskassociatedwithabondportfolio?Describetherelationshipbetweenabond'smaturityanditsduration.5.Compareandcontrasttheprimarydifferencesbetweenacalloptionandaputoption.Definetheterms"strikeprice"and"underlyingasset"inthecontextofoptions.三、计算题1.Youareevaluatinganinvestmentproject.Theinitialcostis$250,000.Expectedcashinflowsare$80,000attheendofYear1,$90,000attheendofYear2,$70,000attheendofYear3,and$60,000attheendofYear4.Iftherequiredrateofreturnforthisprojectis12%,calculatetheNetPresentValue(NPV)oftheproject.ShouldtheprojectbeacceptedbasedontheNPVcriterion?2.Astockcurrentlytradesat$65pershare.Thecompanyjustpaidadividendof$2pershare(D0=$2).Analystsexpectthedividendtogrowataconstantrateof6%peryearindefinitely.WhatistheexpecteddividendyieldandtheexpectedtotalreturnfornextyearbasedontheDividendDiscountModel(DDM)?3.Youaremanaginga$1,000,000portfolioconsistingofStockXandStockY.StockXhasabetaof1.2andmakesup40%oftheportfolio.StockYhasabetaof0.8.Therisk-freerateis3%,andthemarketreturnisexpectedtobe10%.Calculatetheexpectedreturnoftheportfolioandtheportfolio'sbeta.4.Abondwithafacevalueof$1,000hasa7%annualcouponrate,maturesin5years,andcurrentlytradesatapriceof$925.Calculatethebond'syieldtomaturity(YTM)usingafinancialcalculatororiterativeapproximationmethod.(ProvidetheYTMroundedtotwodecimalplaces.)试卷答案一、选择题1.B解析思路：选项B直接将客户利益置于自身利益之下，通过牺牲客户可能获得更高收益的机会来换取新的研究费用，这违背了将客户利益置于首位的道德原则。2.B解析思路：Sharpe比率=(预期回报-无风险利率)/标准差=(12%-3%)/18%=9%/18%=0.396。3.B解析思路：经营现金流(OCF)=净利润+折旧。首先计算净利润：净利润=销售收入-COGS-经营费用=$500,000-$300,000-$150,000=$50,000。然后加上折旧：OCF=$50,000+$50,000=$100,000。4.A解析思路：弱形式EMH认为当前价格已反映所有过去交易价格和交易量信息，技术分析无效。强形式EMH认为当前价格反映所有公开和内部信息，无法获得超额收益。半强形式EMH认为当前价格反映所有公开信息，基本分析无效。选项A描述的是弱形式EMH的内容。5.A解析思路：根据DDM公式：要求回报率(k)=(D1/P0)+g。其中D1=D0*(1+g)，P0=D1/(k-g)。代入数据：8%=(2*(1+g))/P0+g。又因为P0=D1/(8%-g)=2*(1+g)/(8%-g)。将P0代入第一个公式：8%=(2*(1+g))/[2*(1+g)/(8%-g)]+g。化简得：8%=(8%-g)+g。解得g=6.0%。6.A解析思路：DCF适用于有稳定增长且可比公司少的公司，因为它基于对公司未来自由现金流流的预测。Sum-of-the-parts适用于资产结构复杂或分部价值差异大的公司。Comparablecompanyanalysis需要可比公司，适合成熟行业。7.A解析思路：债券价格=(每年利息*PVIFA(YTM,n))+(面值*PVIF(YTM,n))。每年利息=5%*$1,000=$50。PVIFA(6%,5)≈4.212。PVIF(6%,5)≈0.747。价格≈($50*4.212)+($1,000*0.747)=$210.60+$747=$957.60。选项A最接近。8.C解析思路：Duration衡量的是债券价格对收益率变化的敏感度，以年为单位。通常，债券到期时间越长，久期越大，利率风险越高。零息债券没有coupon，其价格变化完全由未来本金的折现决定，因此其久期等于到期时间。9.C解析思路：Duration匹配策略通过使债券组合的久期与投资者的负债久期一致，来减少因利率变动导致的组合价值与负债偿还价值之间的不匹配风险。10.A解析思路：NPV=-初始投资+Σ(现金流入/(1+r)^t)。NPV=-$100,000+$40/1.1+$90/1.1^2+$70/1.1^3+$60/1.1^4。NPV=-$100,000+$36,363.64+$75,136.36+$53,944.06+$40,645.16=$12,680.22。11.C解析思路：ROA=净利润/总资产。净利润受折旧、摊销等非现金项目影响，而这些项目在计算时已调整到营运资本或固定资产的账面价值上。改变折旧方法会直接影响净利润，进而影响ROA。Currentratio(流动比率)受存货计价方法影响。Debt-to-equityratio(资产负债率)受长期资产计价方法影响相对较小。12.B解析思路：EMH的核心思想是资产价格反映了所有可获得的信息。强形式认为所有信息（包括内幕信息）都已反映在价格中，因此无法获得超额收益。弱形式和半强形式则对此有不同的看法。13.A解析思路：PortfolioVariance(σp^2)=wA^2*σA^2+wB^2*σB^2+2*wA*wB*ρAB*σA*σB。σp^2=(0.6^2*0.2^2)+(0.4^2*0.15^2)+(2*0.6*0.4*0.4*0.2*0.15)=0.0144+0.009+0.00336=0.02676。σp=√0.02676≈0.1636or16.36%.选项A16.7%最接近。14.A解析思路：CAPM模型假设投资者可以在无风险利率下无限借贷。选项B市场风险溢价是市场预期回报率减去无风险利率。选项C组合的beta取决于组合中各资产的权重和各自的beta，不一定等于1。15.C解析思路：High-yield(junk)bonds发行人信用质量较低，违约风险较高，因此需要提供更高的收益率来补偿投资者承担的额外风险。U.S.Treasurybills是政府担保，信用风险最低。投资级公司债券信用风险低于高收益债券。二、简答题1.Thethreeformsoftheefficientmarkethypothesis(EMH)are:*弱形式EMH:Currentpricesreflectallpasttradinginformation(priceandvolumedata).Technicalanalysiscannotgenerateexcessreturns.Example:Ifpaststockpricesarepubliclyknownandeasilyanalyzed,noonecanconsistently"beatthemarket"bypredictingfuturepricesbasedonhistoricalpatterns.*半强形式EMH:Currentpricesreflectallpubliclyavailableinformation,includinghistoricalprices,companyannouncements,economicdata,etc.Fundamentalanalysisbasedonpublicinformationcannotgenerateexcessreturns.Example:Ifallpubliclyavailablenewsaboutacompany'searningsandfutureprospectsisinstantlyreflectedinthestockpriceuponrelease,noinvestorcanconsistentlyprofitbytradingbasedonthisnews.*强形式EMH:Currentpricesreflectallinformation,bothpublicandprivate(insiderinformation).Noonecangenerateexcessreturns,regardlessoftheinformationtheypossess.Example:Ifinsiderswithnon-publicmaterialinformationaboutacompany'supcomingmergerinstantlycausethestockpricetoadjust,thenthemarketisstrongformefficient.Itwouldbeimpossibletoprofitconsistentlybytradingoninsiderinformation.2.Accrualaccountingrecordsrevenueswhenearnedandexpenseswhenincurred,regardlessofwhencashtransactionsoccur.Cashaccountingrecordsrevenuesandexpensesonlywhencashisreceivedorpaid.Accrualaccountingisgenerallypreferredforexternalfinancialreportingbecauseitprovidesamoreaccuratepictureofacompany'sfinancialperformanceandpositionoveraperiodbymatchingrevenuesandexpenses,reflectingtheeconomicsubstanceoftransactions.Advantageofaccrual:Providesbettermatchingofrevenuesandexpenses,leadingtoaclearerpictureofprofitability.Disadvantageofaccrual:Requiresmoreestimationandjudgment,potentiallyleadingtomanipulation;resultsmaydifferfromactualcashavailable.3.Threekeyliquidityratiosare:*CurrentRatio:Measuresacompany'sabilitytopayitsshort-termobligationswithitsshort-termassets.CalculatedasCurrentAssets/CurrentLiabilities.Ahighcurrentratioindicatesstrongshort-termsolvency,whilealowratiosuggestspotentialliquidityproblems.Itmeasuresshort-termliquiditybasedonallcurrentassets.*QuickRatio(Acid-TestRatio):Amorestringentmeasureofliquidity,excludinginventoryfromcurrentassets.Calculatedas(CurrentAssets-Inventory)/CurrentLiabilities.Itassessestheabilitytomeetimmediateobligationswithoutrelyingonsellinginventory.Ahigherquickratioindicatesstrongerimmediateliquidity.Itmeasuresshort-termliquiditybasedonthemostliquidassets.*CashRatio:Themostconservativeliquiditymeasure,consideringonlycashandcashequivalents.Calculatedas(Cash+CashEquivalents)/CurrentLiabilities.Itindicatestheabilitytocovercurrentliabilitiesusingonlythemostliquidassets.Ahighercashratiosuggeststhestrongestabilitytomeetimmediateobligations.Itmeasuresliquiditybasedsolelyoncashholdings.4.Durationmeasuresthesensitivityofabond'spricetochangesininterestrates.Itprovidesanestimateofthepercentagechangeinabond'spricefora1%changeinyieldstomaturity.Durationhelpsinvestorsunderstandandmanagetheinterestrateriskoftheirbondportfolio.Therelationshipbetweenabond'smaturityanditsdurationisgenerallypositive:thelongerthematurityofabond(assumingconstantcouponrateandyield),thehigheritsduration,andtherefore,thegreateritspricesensitivitytointerestratechanges.Longerbondsexperiencelargerpriceswingsforthesameyieldchangecomparedtoshorterbonds.5.Comparingacalloptionandaputoption:*CallOption:Givestheholderthe*right*,butnottheobligation,to*buy*anunderlyingassetataspecifiedstrikepricebeforeoronaspecifiedexpirationdate.PutOption:Givestheholderthe*right*,butnottheobligation,to*sell*anunderlyingassetataspecifiedstrikepricebeforeoronaspecifiedexpirationdate.*StrikePrice(ExercisePrice):Thefixedpriceatwhichtheholdercanbuy(foracall)orsell(foraput)theunderlyingasset.*UnderlyingAsset:Theasset(e.g.,stock,index,commodity)onwhichtheoptioncontractisbased.三、计算题1.NPVCalculation:CF0=-$250,000CF1=$80,000CF2=$90,000CF3=$70,000CF4=$60,000r=12%NPV=-250,000+80/(1.12)+90/(1.12^2)+70/(1.12^3)+60/(1.12^4)NPV=-250,000+80/1.12+90/1.2544+70/1.4049+60/1.5735NPV=-250,000+71.43+71.75+49.65+38.13NPV=-250,000+230.96NPV≈$-229,769.04SinceNPV<0,theprojectshouldberejectedbasedontheNPVcriterio