2025年CFALevelII股票估值冲刺模拟卷

2025年CFALevelII股票估值冲刺模拟卷考试时间：______分钟总分：______分姓名：______Instructions:Readeachitemcarefullyandindicatethebestansweronthe答题卡.Item1:CompanyAisexpectedtopayadividendof$2.00persharenextyear(D1).Thecompany'sdividendsareexpectedtogrowataconstantrateof5%peryearindefinitely.IftherequiredrateofreturnonCompanyA'sstockis12%,whatistheintrinsicvalueofthestockusingtheGordonGrowthModel?Item2:CompanyBisexpectedtogenerate$100millioninfreecashflownextyear(FCF1).AnalystsforecastthatFCFwillgrowatarateof8%peryearforthenextthreeyears,andthentransitiontoalong-termconstantgrowthrateof4%peryear.Iftheweightedaveragecostofcapital(WACC)is10%,whatisthepresentvalueoftheterminalvalue(TV)usingatwo-stageFCFmodel?Item3:CompanyChasabetaof1.2.Therisk-freerateis3%,andthemarketriskpremiumis5%.AccordingtotheCapitalAssetPricingModel(CAPM),whatistherequiredrateofreturnonCompanyC'sequity?Item4:YouarevaluingCompanyDusingtheFreeCashFlowtoEquity(FCFE)model.Thecompanyisexpectedtopayadividendof$1.50persharenextyear(D1).Thecompany'sretentionratiois60%,anditsreturnonequity(ROE)is15%.Iftherequiredrateofreturnonthecompany'sequity(rE)is12%,whatistheintrinsicvalueofthestock?Item5:YouareconsideringacquiringCompanyE.Youhaveidentifiedthreecomparablecompaniesthatarepubliclytraded.TheP/Eratiosofthecomparablecompaniesare15,18,and22.Theearningspershare(EPS)ofCompanyEareexpectedtobe$3.00nextyear.IfyouapplyaweightedaverageP/EratiotoCompanyE,withweightsbasedonthemarketcapitalizationofeachcomparablecompany,whatistheestimatedintrinsicvalueofCompanyE'sstock?Item6:CompanyFisexpectedtogenerate$150millioninearningsbeforeinterestandtaxes(EBITDA)nextyear.Thecompany'sinterestexpenseisexpectedtobe$30million,anditstaxrateis25%.TheEV/EBITDAmultiplesofthreecomparablecompaniesare10,12,and14.IfyouapplyaweightedaverageEV/EBITDAmultipletoCompanyF,withweightsbasedontheenterprisevalueofeachcomparablecompany,whatistheestimatedenterprisevalueofCompanyF?Item7:CompanyGisexpectedtopayadividendof$2.00persharenextyear(D1).Thecompany'sdividendsareexpectedtogrowatarateof10%peryearforthenexttwoyears,andthentransitiontoaconstantgrowthrateof5%peryearindefinitely.IftherequiredrateofreturnonCompanyG'sstockis12%,whatistheintrinsicvalueofthestockusingatwo-stagedividenddiscountmodel?Item8:CompanyHisacyclicalcompanywithexpectedearningsanddividendsthatfluctuatewiththeoveralleconomy.Analystsexpectthecompany'searningsanddividendstogrowatahighrateof15%peryearforthenexttwoyears,andthendeclinetoalong-termconstantgrowthrateof4%peryear.IftherequiredrateofreturnonCompanyH'sstockis10%,whatistheintrinsicvalueofthestockusingamulti-stagedividenddiscountmodel?Item9:CompanyIisexpectedtogenerate$200millioninfreecashflownextyear(FCF1).Thecompany'sfreecashflowisexpectedtogrowatarateof6%peryearforthenextfiveyears,andthentransitiontoalong-termconstantgrowthrateof3%peryear.Iftheweightedaveragecostofcapital(WACC)is9%,whatisthepresentvalueofthefreecashflowsforthefirstfiveyearsonly,usingamulti-stageFCFmodel?Item10:CompanyJisexpectedtogenerate$100millioninfreecashflownextyear(FCF1).Thecompany'sfreecashflowisexpectedtogrowatarateof7%peryearforthenextthreeyears,andthentransitiontoalong-termconstantgrowthrateof3%peryear.Iftheweightedaveragecostofcapital(WACC)is8%,whatisthepresentvalueoftheterminalvalue(TV)usingamulti-stageFCFmodel?Item11:YouarevaluingCompanyKusingtheComparableCompaniesanalysismethod.Youhaveidentifiedthreecomparablecompaniesthatarepubliclytraded.TheP/Bratiosofthecomparablecompaniesare3.0,3.5,and4.0.Thebookvaluepershare(BVPS)ofCompanyKisexpectedtobe$20.00nextyear.IfyouapplyaweightedaverageP/BratiotoCompanyK,withweightsbasedonthemarketcapitalizationofeachcomparablecompany,whatistheestimatedintrinsicvalueofCompanyK'sstock?Item12:CompanyLisexpectedtogenerate$50millioninsalesnextyear.Thecompany'sprofitmarginisexpectedtobe10%.TheP/Sratioofthreecomparablecompaniesis2.0,2.5,and3.0.IfyouapplyaweightedaverageP/SratiotoCompanyL,withweightsbasedonthemarketcapitalizationofeachcomparablecompany,whatistheestimatedintrinsicvalueofCompanyL'sstock?Item13:YouareconsideringacquiringCompanyM.Youhaveidentifiedthreeprecedenttransactionsforsimilarcompanies.TheEV/EBITDAmultiplesfromtheprecedenttransactionsare8,9,and10.TheEBITDAofCompanyMisexpectedtobe$120millionnextyear.IfyouapplyaweightedaverageEV/EBITDAmultipletoCompanyM,withweightsbasedonthetransactionsizeofeachprecedenttransaction,whatistheestimatedenterprisevalueofCompanyM?Item14:CompanyNisacompanyinliquidation.Thecompany'sassetsareexpectedtobesoldfor$300million,andtheliabilitiesareexpectedtobe$200million.WhatistheestimatedliquidationvaluepershareofCompanyN'sstock,assumingthereare50millionsharesoutstanding?Item15:CompanyOhasthefollowingbalancesheetdata(inmillions):Assets:$1,000Liabilities:$400Equity:$600Thecompany'sinventoryisovervaluedby$50million,anditsproperty,plant,andequipment(PPE)areundervaluedby$30million.Ifyouusethemarketvalueapproachtoasset-basedvaluation,whatistheestimatedequityvalueofCompanyO?Item16:YouhaveestimatedtheintrinsicvalueofCompanyPusingtheDDM,FCFEmodel,andCompsmethod.Theestimatedvaluesare$45,$50,and$55pershare,respectively.Thecompany'scurrentstockpriceis$48pershare.Whatisyouroverallassessmentofthestock'svalue?Item17:YouhaveestimatedtheintrinsicvalueofCompanyQusingtheDDMandFCFEmodel.Theestimatedvaluesare$60pershareand$65pershare,respectively.Thecompany'scurrentstockpriceis$62pershare.Thesensitivityanalysisshowsthata1%changeintherequiredrateofreturnleadstoa5%changeintheDDMvalueanda3%changeintheFCFEvalue.Whatisyourassessmentofthestock'svaluegiventhesensitivityofthevaluationtotherequiredrateofreturn?Item18:CompanyRisexpectedtopayadividendof$2.00persharenextyear(D1).Thecompany'sdividendsareexpectedtogrowataconstantrateof6%peryearindefinitely.Therequiredrateofreturnonthecompany'sstockis10%.Thecompany'sdebt-to-equityratiois0.5.Iftheunleveredcostofequity(rU)is8%,whatistheleveredcostofequity(rE)usingtheModigliani-Millertheoremwithtaxes(assumingacorporatetaxrateof30%)?Item19:CompanySisexpectedtogenerate$150millioninfreecashflownextyear(FCF1).Thecompany'sfreecashflowisexpectedtogrowatarateof8%peryearforthenextthreeyears,andthentransitiontoalong-termconstantgrowthrateof4%peryear.Iftheweightedaveragecostofcapital(WACC)is9%,whatisthepresentvalueofthefreecashflowsforthefirstthreeyearsonly,usingamulti-stageFCFmodel?Item20:CompanyTisexpectedtogenerate$200millioninfreecashflownextyear(FCF1).Thecompany'sfreecashflowisexpectedtogrowatarateof5%peryearforthenexttwoyears,andthentransitiontoalong-termconstantgrowthrateof3%peryear.Iftheweightedaveragecostofcapital(WACC)is8%,whatistheintrinsicvalueofthestockusingamulti-stageFCFmodel?试卷答案Item1:答案：$40.00解析：使用戈登增长模型，V0=D1/(r-g)=$2.00/(0.12-0.05)=$40.00Item2:答案：$926.40解析：首先计算前三年增长的自由现金流现值：PV(FCF1)=$100/(1.10^1)=$90.91;PV(FCF2)=$100*(1+0.08)^1/(1.10^2)=$82.57;PV(FCF3)=$100*(1+0.08)^2/(1.10^3)=$74.81。然后计算第三年年末的终值：TV=FCF3*(1+g)/(r-g)=$100*(1+0.08)^2/(0.10-0.04)=$1056.00。最后计算终值的现值：PV(TV)=$1056.00/(1.10^3)=$829.49。总现值=$90.91+$82.57+$74.81+$829.49=$977.78。注意题目要求的是TV的现值，即$829.49+$74.81=$904.30。这里需要重新检查题目要求和计算过程，题目问的是TV的现值，所以应该是$829.49。修正：计算前三年现金流现值之和为$248.29。计算第三年年末的终值现值为$829.49。所以TV的现值是$829.49。总现值=$248.29+$829.49=$1077.78。再次检查题目，发现之前的理解有误，题目直接问TV的现值，所以应该是$829.49。最终答案应为$829.49。但是，这与给出的答案$926.40不符。重新检查计算，发现第二阶段增长率为4%，所以终值计算应为$100*(1+0.08)^2/(0.10-0.04)=$1056.00。现值$1056.00/(1.10^3)=$829.49。总和$248.29+$829.49=$1077.78。看来给出的答案$926.40是错误的，正确答案应该是$1077.78。Item3:答案：11.00%解析：根据CAPM公式，rE=rf+β*(RM-rf)=0.03+1.2*0.05=0.03+0.06=0.09=11.00%Item4:答案：$37.50解析：首先计算ROE=RetentionRatio*ROE=0.60*0.15=0.09。然后计算下一年预期EPS=D1/PayoutRatio=$1.50/0.40=$3.75。然后计算预期股息增长率g=ROE*RetentionRatio=0.09*0.60=0.054。然后使用戈登增长模型计算股票内在价值V0=D1/(rE-g)=$1.50/(0.12-0.054)=$1.50/0.066=$22.73。这里使用了股息增长模型，因为FCFE=EPS*(1-PayoutRatio)+Dividend=EPS*RetentionRatio，与DDM公式类似。修正：更准确的方法是直接使用FCFE模型公式FCFE1=EPS1*(1-PayoutRatio)=$1.50*(1-0.40)=$0.90。然后计算股票内在价值V0=FCFE1/(rE-g)=$0.90/(0.12-0.09)=$0.90/0.03=$30.00。这里计算结果与之前不同，因为FCFE模型和DDM模型的应用方式不同。再次修正：根据FCFE模型定义，FCFE1=NetIncome1*(1-PayoutRatio)=EPS1*(1-PayoutRatio)。题目中给出D1=$1.50，且PayoutRatio=1-RetentionRatio=1-0.60=0.40。因此，EPS1=D1/PayoutRatio=$1.50/0.40=$3.75。现在我们有了FCFE1=$0.90。由于FCFE增长率为g=RetentionRatio*ROE=0.60*0.15=0.09，我们可以使用FCFE模型的戈登增长版本计算V0：V0=FCFE1/(rE-g)=$0.90/(0.12-0.09)=$0.90/0.03=$30.00。这里再次得到$30.00。看来之前的答案$37.50是错误的，正确答案应该是$30.00。Item5:答案：$45.00解析：首先计算每个可比公司的市值：公司A市值=P/E*EPS=15*$3.00=$45.00；公司B市值=P/E*EPS=18*$3.00=$54.00；公司C市值=P/E*EPS=22*$3.00=$66.00。总市值=$45.00+$54.00+$66.00=$165.00。然后计算每个公司的权重：公司A权重=$45.00/$165.00=0.2727；公司B权重=$54.00/$165.00=0.3273；公司C权重=$66.00/$165.00=0.4000。然后计算加权平均P/E比率：加权平均P/E=0.2727*15+0.3273*18+0.4000*22=4.091+5.890+8.800=$18.781。最后计算公司E的估计内在价值：V0=加权平均P/E*EPS=$18.781*$3.00=$56.343。这里计算结果与给出的答案$45.00不符。重新检查计算，发现权重计算有误。正确权重应为：公司A权重=$45.00/($45.00+$54.00+$66.00)=$45.00/$165.00=0.2727；公司B权重=$54.00/$165.00=0.3273；公司C权重=$66.00/$165.00=0.4000。加权平均P/E=0.2727*15+0.3273*18+0.4000*22=4.091+5.890+8.800=$18.781。估计内在价值=$18.781*$3.00=$56.343。看起来给出的答案$45.00是错误的，正确答案应该是$56.343。Item6:答案：$1,620.00解析：首先计算每个可比公司的企业价值：公司AEV=EV/EBITDA*EBITDA=10*$150.00=$1,500.00；公司BEV=EV/EBITDA*EBITDA=12*$150.00=$1,800.00；公司CEV=EV/EBITDA*EBITDA=14*$150.00=$2,100.00。总企业价值=$1,500.00+$1,800.00+$2,100.00=$5,400.00。然后计算每个公司的权重：公司A权重=$1,500.00/$5,400.00=0.2778；公司B权重=$1,800.00/$5,400.00=0.3333；公司C权重=$2,100.00/$5,400.00=0.3889。然后计算加权平均EV/EBITDA比率：加权平均EV/EBITDA=0.2778*10+0.3333*12+0.3889*14=2.7778+4.0000+5.4656=$12.2434。最后计算公司F的估计企业价值：EV=加权平均EV/EBITDA*EBITDA=$12.2434*$150.00=$1,836.51。这里计算结果与给出的答案$1,620.00不符。重新检查计算，发现权重计算有误。正确权重应为：公司A权重=$1,500.00/($1,500.00+$1,800.00+$2,100.00)=$1,500.00/$5,400.00=0.2778；公司B权重=$1,800.00/$5,400.00=0.3333；公司C权重=$2,100.00/$5,400.00=0.3889。加权平均EV/EBITDA=0.2778*10+0.3333*12+0.3889*14=2.7778+4.0000+5.4656=$12.2434。估计企业价值=$12.2434*$150.00=$1,836.51。看起来给出的答案$1,620.00是错误的，正确答案应该是$1,836.51。