2025年CFA二级《权益投资》练习卷

2025年CFA二级《权益投资》练习卷考试时间：______分钟总分：______分姓名：______Part1:MultipleChoiceQuestions1.Ananalystisevaluatingtwocompaniesinthesameindustryusingtheprice-to-earnings(P/E)ratio.CompanyAhasaP/Eratioof18,whileCompanyBhasaP/Eratioof12.Assumingallelseequal,whichofthefollowingisthemostlikelyexplanationforthedifferenceintheirP/Eratios?a)CompanyAisexpectedtohavelowerearningsgrowththanCompanyB.b)CompanyAisperceivedasriskierthanCompanyB.c)CompanyAhasahigherdividendpayoutratiothanCompanyB.d)CompanyA'sbookvaluepershareissignificantlyhigherthanCompanyB's.2.Acompanyisexpectedtopayadividendof$2persharenextyear(D1).Therequiredrateofreturnis10%,andtheexpectedgrowthrateofdividendsis5%.Whichofthefollowingmodelsismostappropriateforvaluingthiscompany'sstock?a)ConstantGrowthDividendDiscountModel(GordonGrowthModel)b)Two-StageDividendDiscountModelc)Three-StageDividendDiscountModeld)FreeCashFlowtoEquityModel3.Aninvestorisconstructingaportfolioconsistingoftwostocks,StockXandStockY.StockXhasanexpectedreturnof12%andastandarddeviationof15%.StockYhasanexpectedreturnof8%andastandarddeviationof10%.Thecorrelationcoefficientbetweenthetwostocksis0.4.WhatistheexpectedreturnofaportfoliothatisequallyinvestedinStockXandStockY?a)10.0%b)10.2%c)10.5%d)10.8%4.AccordingtotheCapitalAssetPricingModel(CAPM),theexpectedreturnofanassetisdeterminedbywhichofthefollowingfactors?a)Therisk-freerate,theasset'sbeta,andthemarketriskpremium.b)Theasset'sbetaandthestandarddeviationoftheasset'sreturns.c)Therisk-freerateandthemarketreturn.d)Theasset'salphaandthemarketriskpremium.5.AninvestorisconsideringbuyingacalloptiononStockZwithastrikepriceof$50.Thecurrentstockpriceis$45,andtheoptionpremiumis$3.Ifthestockpriceatexpirationis$60,whatistheinvestor'sprofitpershare?a)$2b)$3c)$5d)$86.WhichofthefollowingstatementsismostaccurateregardingtheEfficientMarketHypothesis(EMH)?a)Inanefficientmarket,itisimpossibletoconsistentlyachievereturnsabovethemarketaverage.b)Inanefficientmarket,allavailableinformationisinstantlyreflectedinstockprices.c)Inanefficientmarket,stockpricesmoverandomlyandhavenopredictablepattern.d)Inanefficientmarket,onlyfundamentalanalysiscanleadtoabnormalreturns.7.Acompanyisconsideringa2-for-1stocksplit.Priortothesplit,aninvestorowns1,000sharesofthecompany'sstock,whichiscurrentlytradingat$100pershare.Whatwillbethenumberofsharestheinvestorownandthetradingpricepershareimmediatelyafterthestocksplit,assumingthetotalmarketvalueofthecompanyremainsunchanged?a)1,000sharesat$50pershareb)2,000sharesat$50persharec)1,000sharesat$100pershared)2,000sharesat$100pershare8.Whichofthefollowingisaprimarygoalofportfolioconstruction?a)Maximizetheriskoftheportfolio.b)Minimizethecorrelationbetweenassetsintheportfolio.c)Maximizetheexpectedreturnforagivenlevelofrisk.d)Minimizethediversifiableriskoftheportfolio.9.AnanalystisusingtheFreeCashFlowtoFirm(FCFF)modeltovalueacompany.Whichofthefollowingisakeycomponentofthismodel?a)Dividendspaidtocommonstockholders.b)Interestexpense.c)Equityfinancingactivities.d)Cashflowtoequityholders.10.TheSecurityMarketLine(SML)representswhichofthefollowing?a)Therelationshipbetweentherisk-freerateandthemarketreturn.b)Therelationshipbetweentheexpectedreturnandthebetaofanindividualasset.c)Theminimumreturnaninvestorrequiresfortakingonadditionalrisk.d)Theexpectedreturnofaportfoliowithzerorisk.11.Astockhasanexpectedreturnof15%andabetaof1.2.Iftherisk-freerateis5%andthemarketriskpremiumis10%,whatisthealphaofthestock?a)1.0%b)2.0%c)3.0%d)4.0%12.WhichofthefollowingisgenerallyconsideredadisadvantageoftheDividendDiscountModel(DDM)?a)Itisdifficulttoestimatefuturedividends.b)Itdoesnotconsidertheriskoftheinvestment.c)Itassumesthatthestockpriceisalwaysequaltothepresentvalueoffuturedividends.d)Itisonlyapplicabletocompaniesthatpayregulardividends.13.Aninvestorisevaluatingtwostocks,StockAandStockB.StockAhasahigherprice-to-book(P/B)ratiothanStockB.Whichofthefollowingstatementsismostlikelytrue?a)StockAisexpectedtohavehigherearningsgrowththanStockB.b)StockAisperceivedasriskierthanStockB.c)StockAhasahigherdividendyieldthanStockB.d)StockA'smanagementteamismoreeffectivethanStockB'smanagementteam.14.Acompanyisexpectedtohavefreecashflowsof$100millionnextyear,growingatarateof5%peryearindefinitely.Iftheweightedaveragecostofcapital(WACC)is10%,whatisthevalueofthecompany'soperations(VU)?a)$500millionb)$1,000millionc)$1,500milliond)$2,000million15.Whichofthefollowingisameasureofastock'svolatility?a)Betab)Alphac)R-squaredd)SharperatioPart2:EssayQuestions1.DescribethekeyassumptionsoftheConstantGrowthDividendDiscountModel(GordonGrowthModel).Provideexamplesofsituationswherethismodelmightbesuitableforvaluingacompany'sstockandexamplesofsituationswhereitmightbeinappropriate.Explainyourreasoning.2.Aninvestorisconsideringaddingastocktotheirportfolio.Thestockhasahighbetaandahighexpectedreturn.Discussthepotentialrisksandrewardsassociatedwithinvestinginthisstock.Explainhowtheinvestorcanusediversificationtomanagetheriskofthisstockwithintheirportfolio.3.Acompanyisfacingdecliningsalesandprofitability.Theboardofdirectorsisconsideringtwooptions:(1)undertakingastockbuyback,or(2)increasingthedividendpayoutratio.Compareandcontrastthesetwooptionsintermsoftheirimpactonthecompany'sstockprice,shareholdervalue,andfinancialflexibility.Provideargumentsforandagainsteachoption.4.Explaintheconceptofoptiondelta.Howdoesdeltachangeasthestockpricemoves?Howcananinvestorusedeltatohedgeastockposition?Describetheconceptofadelta-neutralportfolio.5.Discusstheroleofbehavioralfinanceinunderstandingstockmarketanomalies.Provideexamplesofstockmarketanomaliesandexplainhowcognitivebiasesandemotionalfactorscancontributetotheseanomalies.Howcaninvestorsprotectthemselvesfromthepotentialnegativeimpactofbehavioralfinanceontheirinvestmentdecisions?---Part3:MultipleChoiceQuestions16.AnanalystiscomparingtwocompaniesinthesameindustryusingthePrice-to-Sales(P/S)ratio.CompanyAhasaP/Sratioof3,whileCompanyBhasaP/Sratioof5.Assumingallelseequal,whichofthefollowingisthemostlikelyexplanationforthedifferenceintheirP/Sratios?a)CompanyAhashigherrevenuegrowththanCompanyB.b)CompanyAhasahigherprofitmarginthanCompanyB.c)CompanyAhasahigherdebt-to-equityratiothanCompanyB.d)CompanyAhasalowerbookvaluepersharethanCompanyB.17.Acompanyisexpectedtopayadividendof$1persharenextyear(D1),withdividendsexpectedtogrowataconstantrateof6%peryearthereafter.Therequiredrateofreturnis12%.Whatisthevalueofthecompany'sstockusingtheConstantGrowthDividendDiscountModel?a)$10.00b)$10.53c)$11.00d)$11.5018.Aninvestorisconstructingaportfolioconsistingofthreestocks,StockX,StockY,andStockZ.Theexpectedreturns,standarddeviations,andweightsofthestocksareasfollows:*StockX:ExpectedReturn=12%,StandardDeviation=15%,Weight=40%*StockY:ExpectedReturn=8%,StandardDeviation=10%,Weight=30%*StockZ:ExpectedReturn=10%,StandardDeviation=12%,Weight=30%Thecorrelationcoefficientsbetweenthestocksareasfollows:*Correlation(X,Y)=0.5*Correlation(X,Z)=0.3*Correlation(Y,Z)=-0.2Whatisthevarianceoftheportfolio?a)0.0456b)0.0529c)0.0600d)0.067619.AccordingtotheCapitalAssetPricingModel(CAPM),ifthemarketriskpremiumincreases,whatwillhappentotheexpectedreturnofanassetwithapositivebeta?a)Theexpectedreturnwilldecrease.b)Theexpectedreturnwillincrease.c)Theexpectedreturnwillremainunchanged.d)Theimpactontheexpectedreturncannotbedeterminedwithoutknowingtheasset'sbeta.20.AninvestorisconsideringbuyingaputoptiononStockWwithastrikepriceof$70.Thecurrentstockpriceis$75,andtheoptionpremiumis$4.Ifthestockpriceatexpirationis$65,whatistheinvestor'sprofitpershare?a)$2b)$4c)$5d)$1021.WhichofthefollowingstatementsismostaccurateregardingtheEfficientMarketHypothesis(EMH)?a)Inanefficientmarket,technicalanalysiscanconsistentlyleadtoabnormalreturns.b)Inanefficientmarket,allavailableinformationisinstantlyreflectedinstockprices,makingitimpossibletoachievereturnsabovethemarketaverage.c)Inanefficientmarket,stockpricesmoverandomlyandhavenopredictablepattern.d)Inanefficientmarket,fundamentalanalysisistheonlywaytoachieveabnormalreturns.22.Acompanyisconsideringa3-for-2stocksplit.Priortothesplit,aninvestorowns2,000sharesofthecompany'sstock,whichiscurrentlytradingat$80pershare.Whatwillbethenumberofsharestheinvestorownandthetradingpricepershareimmediatelyafterthestocksplit,assumingthetotalmarketvalueofthecompanyremainsunchanged?a)3,000sharesat$53.33pershareb)3,000sharesat$60.00persharec)2,000sharesat$120.00pershared)2,000sharesat$80.00pershare23.Whichofthefollowingisameasureofaportfolio'srisk-adjustedreturn?a)Betab)Standarddeviationc)Sharperatiod)Correlationcoefficient24.AnanalystisusingtheFreeCashFlowtoEquity(FCFE)modeltovalueacompany.Whichofthefollowingisakeycomponentofthismodel?a)Freecashflowtothefirm(FCFF).b)Interestexpense.c)Cashflowtoequityholders.d)Dividendspaidtopreferredstockholders.25.TheCapitalMarketLine(CML)representswhichofthefollowing?a)Therelationshipbetweentheexpectedreturnandthebetaofanindividualasset.b)Therelationshipbetweentheexpectedreturnandthestandarddeviationofaportfolio.c)Theminimumreturnaninvestorrequiresfortakingonadditionalrisk.d)Theexpectedreturnofaportfoliowithzerorisk.26.Astockhasanexpectedreturnof14%andabetaof1.1.Iftherisk-freerateis4%andthemarketriskpremiumis9%,whatisthealphaofthestock?a)0.5%b)1.0%c)1.5%d)2.0%27.WhichofthefollowingisgenerallyconsideredadisadvantageoftheDiscountedFreeCashFlow(DCF)model?a)Itisdifficulttoestimatefuturefreecashflows.b)Itdoesnotconsiderthecostofdebt.c)Itassumesthatthecompanywillcontinuetogrowindefinitelyataratehigherthanthecostofcapital.d)Itisonlyapplicabletocompanieswithpositivefreecashflows.28.Aninvestorisevaluatingtwostocks,StockCandStockD.StockChasahigherprice-to-sales(P/S)ratiothanStockD.Whichofthefollowingstatementsismostlikelytrue?a)StockCisexpectedtohavehigherearningsgrowththanStockD.b)StockCisperceivedasriskierthanStockD.c)StockChasahigherdividendyieldthanStockD.d)StockC'smanagementteamislesseffectivethanStockD'smanagementteam.29.Acompanyisexpectedtohavefreecashflowsof$150millionnextyear,growingatarateof7%peryearindefinitely.Iftheweightedaveragecostofcapital(WACC)is9%,whatisthevalueofthecompany'soperations(VU)?a)$1,500millionb)$2,000millionc)$2,500milliond)$3,000million30.Whichofthefollowingisameasureofastock'ssensitivitytochangesinthemarketindex?a)Betab)Alphac)R-squaredd)StandarddeviationPart3:EssayQuestions1.CompareandcontrasttheDividendDiscountModel(DDM)andtheFreeCashFlowtoFirm(FCFF)model.Describethekeyinputsandassumptionsofeachmodel.Discussthesituationsinwhichonemodelmaybemoreappropriatethantheotherforvaluingacompany.2.Explaintheconceptofportfoliodiversification.Howdoesdiversificationreducetheriskofaportfolio?Discusstheimportanceofcorrelationbetweenassetsinaportfoliowhenconstructingadiversifiedportfolio.Provideexamplesofdifferenttypesofassetsthatcanbeusedtodiversifyaportfolio.3.Acompanyisconsideringissuingnewequitytofinanceamajorcapitalinvestmentproject.Discussthepotentialadvantagesanddisadvantagesofthisapproach.Comparethisapproachwithusingdebtfinancing.Considerfactorssuchasthecompany'scurrentcapitalstructure,costofcapital,taximplications,andfinancialriskinyouranalysis.4.DescribetheBlack-Scholes-MertonmodelforpricingEuropeancallandputoptions.Explainthekeyinputsrequiredforthemodelandhoweachinputaffectstheoptionprice.DiscussthelimitationsoftheBlack-Scholes-Mertonmodelandsituationswhereitmaynotbesuitableforpricingoptions.5.DiscusstheroleofESG(Environmental,Social,andGovernance)factorsinmoderninvestmentanalysisandportfolioconstruction.ExplainhowESGfactorscanimpactacompany'sfinancialperformanceandriskprofile.DescribethedifferentapproachesinvestorscanusetoincorporateESGfactorsintotheirinvestmentprocess.---试卷答案Part1:MultipleChoiceQuestions1.b解析：P/E比率反映了市场对公司未来增长和风险的预期。通常情况下，P/E比率较高的公司被认为增长潜力较大或风险较高。因此，CompanyA的P/E比率高于CompanyB，最可能的解释是CompanyA被市场认为风险高于CompanyB。2.a解析：根据题干描述，公司明年将支付2美元的股利，且股利预计将以5%的固定速度增长。这符合恒定增长股利贴现模型（GordonGrowthModel）的应用条件，即股利具有稳定的增长率和持续的增长期。3.a解析：投资组合的预期回报是各资产预期回报的加权平均。由于投资比例相等，因此组合预期回报为(12%+8%)/2=10%。4.a解析：根据资本资产定价模型（CAPM），资产的预期回报由无风险利率、资产贝塔系数和市场风险溢价这三个因素决定。公式为：预期回报=无风险利率+贝塔系数*市场风险溢价。5.c解析：投资者购买看涨期权，如果到期时股价高于执行价，则盈利。盈利=(到期股价-执行价)-期权溢价=(60-50)-3=5美元。6.b解析：有效市场假说（EMH）认为，在有效市场中，所有可获得的信息都已反映在股票价格中。这意味着价格变动是随机的，且无法通过分析信息获得超额回报。7.b解析：股票分拆后，股东持有的股数增加，但总市值不变。分拆后，股东持有2000股，每股价格为50美元(100000/2000)。8.c解析：投资组合构建的主要目标是，在给定风险水平下，最大化投资组合的预期回报，或在给定预期回报下，最小化投资组合的风险。9.d解析：自由现金流到权益持有者（FCFE）模型评估的是公司支付所有债务相关现金流后，剩余的可分配给普通股股东的现金流。因此，现金流量到权益持有者是其关键组成部分。10.b解析：证券市场线（SML）表示的是资产的预期回报与其贝塔系数之间的关系。SML显示了在CAPM框架下，不同风险水平下投资者所要求的预期回报。11.b解析：根据CAPM，股票的预期回报=5%+1.2*10%=17%。Alpha=实际预期回报-根据CAPM计算的预期回报=15%-17%=-2%。但题目选项中没有负值，可能存在题目或选项错误，若必须选，则最接近的是2%。12.a解析：股利贴现模型（DDM）的主要缺点是，它依赖于对未来股利的准确预测，而这往往非常困难。13.b解析：P/B比率反映了市场对公司资产价值的评估。CompanyA的P/B比率较高，可能意味着市场认为CompanyA的风险较高，或者CompanyA的成长潜力不如CompanyB，导致其未来收益预期较低。14.b解析：根据FCFF模型，公司价值=FCFF1/(WACC-g)=100/(0.10-0.05)=1000百万美元。15.a解析：贝塔（Beta）衡量的是股票相对于整个市场的波动性或系统性风险。它是衡量股票波动性的常用指标。Part2:EssayQuestions1.恒定增长股利贴现模型（GordonGrowthModel,DDM）的关键假设包括：*公司未来将支付且以一个恒定的速率增长股利。*投资者打算永久持有该股票。*所有的现金流都可以用贴现率准确反映其风险。*股利增长率（g）低于投资者的要求回报率（r）。该模型适用于那些股利稳定增长且增长可持续的公司，例如成熟行业的稳定公司。不适用于以下情况：*股利不增长或增长不稳定的公司。*股利增长率预计将高于要求回报率的公司。*公司处于快速成长期，股利增长率预计将变化的公司。原因是模型的假设与实际情况可能存在偏差，导致估值结果不准确。2.投资一只高贝塔、高预期回报的股票具有以下潜在风险和收益：*潜在收益：如果市场表现良好或公司表现超预期，该股票的回报可能会非常高，为投资者带来显著的资本增值。*潜在风险：该股票的价格波动性较大，当市场下跌或公司业绩不佳时，其价格可能大幅下跌，导致投资者损失惨重。高贝塔意味着其回报与市场整体回报的关联性更强。投资者可以通过多元化来管理该股票的风险：*构建多元化的投资组合：将该股票与其他风险较低、相关性较低的资产（如债券、不同行业的股票）相结合，可以降低组合的整体波动性。*调整投资比例：减少在该高贝塔股票上的投资比例，可以降低其对整个投资组合风险的贡献。*使用衍生品进行对冲：例如，可以卖出该股票的看涨期权或买入看跌期权，以锁定部分收益或限制潜在损失。3.公司面临下降的销售和盈利时，考虑股票回购和增加股利政策：*股票回购：*影响：提高每股收益（EPS），可能提升股价；减少流通股数量，可能提高股利支付率；向市场传递积极信号，表明公司管理层对股价有信心。*优点：对于希望提高股东回报但不确定未来股利政策的公司来说，回购提供了一种灵活的方式；可以用来抵御恶意收购。*缺点：可能会过度使用现金，影响公司的未来发展能力；可能被视为管理层不信心或缺乏增长机会的信号。*增加股利支付率：*影响：直接向股东派发现金，提供即时的现金流回报。*优点：可以向市场传递公司财务状况稳健的信号；对于依赖股息收入的投资者有吸引力。*缺点：减少了公司可用于再投资或偿还债务的现金；一旦开始支付股利，市场可能会对公司维持或提高股利的预期，减少股票回购的灵活性。比较而言，股票回购提供了更大的灵活性，并可能通过提升EPS和股价来间接增加股东价值，但它不直接提供现金流。增加股利支付率直接提供现金流，但可能限制公司未来的操作空间。选择哪种方式取决于公司的具体情况，包括现金状况、未来增长前景、资本支出需求、管理层对股东回报的偏好以及市场信号传递的需要。4.期权delta（Δ）是指期权价格相对于标的股票价格变动的敏感性。它表示当标的股票价格变动一个单位时，期权理论价格变动的估计值。*Delta的值介于-1和+1之间。看涨期权的delta为正，看跌期权的delta为负。*Delta并不是固定的，它会随着标的股票价格、执行价格、到期时间、无风险利率和波动率的变动而变动。通常，对于接近执行价的期权（at-the-money,ATM），delta的绝对值接近于0.5。远离执行价的期权（out-of-the-money,OTM），delta的绝对值逐渐减小。*Delta可以用来对冲股票头寸。例如，如果投资者持有股票多头，担心股价下跌，可以卖出相应数量的看涨期权来对冲风险。卖出看涨期权会增加组合的delta，从而部分抵消股票价格下跌带来的损失。*Delta中性（Delta-neutral）的portfolio是指组合中所有期权的delta加权总和为零。这意味着组合的理论价值对标的股票价格的小幅变动不敏感。投资者可以构建或调整delta中性组合来管理风险，或利用期权进行套利交易。5.行为金融学在理解股票市场异常现象中扮演着重要角色。市场异常现象是指那些无法被有效市场假说解释的、持续存在的股票价格偏离。*认知偏差和情绪因素：投资者的认知偏差（如过度自信、羊群效应、锚定效应）和情绪因素（如恐惧、贪婪）会影响他们的投资决策，导致他们做出非理性行为，从而引发市场异常。例如，羊群效应可能导致投资者盲目跟随他人，推高某些股票的价格，形成泡沫。*例子：*规模效应：小公司股票往往获得高于其风险应有的回报。这可能是因为投资者对小型公司信息不足，倾向于投资他们熟悉的大公司，导致小公司股票被低估。*日历效应：股票在特定时间段（如年初、月末）表现更好。这可能源于投资者的心理偏差，如年初“新年新气象”的乐观情绪，或基金经理为满足业绩基准而进行交易。*封闭式基金折价/溢价：封闭式基金的二级市场价格与其净资产价值（NAV）之间的差异，反映了市场对基金未来表现的不确定性和流动性折价等因素。投资者可以通过以下方式保护自己免受行为金融学的负面影响：*