2025年CFA一级模拟试题集

2025年CFA一级模拟试题集考试时间：______分钟总分：______分姓名：______请根据题目要求，在指定区域作答。1.Aninvestorisconsideringaddingastocktotheirportfolio.Thestockisexpectedtoprovideadividendyieldof3%andhasarequiredrateofreturnof10%.BasedontheDividendGrowthModel,whatistheimpliedgrowthrateofthecompany'sdividends?Pleaseexpressyouranswerinpercentageterms,roundedtotwodecimalplaces.2.AcompanyreportsthefollowingfinancialdatafortheyearendedDecember31,2024:*NetIncome:$500,000*DepreciationExpense:$100,000*IncreaseinAccountsReceivable:$30,000*DecreaseinAccountsPayable:$20,000*IssuanceofCommonStock:$50,000*RepurchaseofCommonStock:$40,000Whatisthecompany'scashflowfromoperatingactivitiesfortheyearendedDecember31,2024?3.Abondwithafacevalueof$1,000paysanannualcouponof5%.Thebondhasamaturityof10years.Iftherequiredyieldtomaturityis6%,whatistheapproximatemarketpriceofthebond?4.Aninvestmentportfolioconsistsof60%stocksand40%bonds.Theexpectedreturnofthestocksis12%,andtheexpectedreturnofthebondsis4%.Thestandarddeviationofthestocksis15%,andthestandarddeviationofthebondsis5%.Thecorrelationcoefficientbetweenthereturnsofstocksandbondsis-0.2.Whatistheexpectedreturnandstandarddeviationoftheportfolio?5.Acompanyisevaluatingaprojectthatrequiresaninitialinvestmentof$200,000.Theprojectisexpectedtogeneratecashinflowsof$60,000attheendofeachyearfor5years.Thecompany'scostofcapitalis8%.UsingtheNetPresentValue(NPV)method,shouldthecompanyaccepttheproject?6.Whichofthefollowingstatementsregardingtheefficientmarkethypothesis(EMH)ismostaccurate?a)Inanefficientmarket,pricesreflectallavailableinformation,anditisimpossibletoconsistentlyachievereturnsabovethemarketaverage.b)Inanefficientmarket,pricesdonotreflectallavailableinformation,creatingopportunitiesforinvestorstoearnabnormalreturns.c)Theefficiencyofamarketdependssolelyonthenumberofparticipantstradinginit.d)Inanefficientmarket,allassetsarepricedfairly,andtherearenobubblesorcrashes.7.Astockhasanannualvolatilityof20%.Whatistheprobabilitythatthestock'spricewillincreasebymorethan30%inasingleyear?Assumethestockreturnsarenormallydistributed.8.Whichofthefollowingisconsideredaweaknessofthedividenddiscountmodel(DDM)?a)Itisdifficulttoestimatefuturedividendgrowthrates.b)Itdoesnotconsidertheriskoftheinvestment.c)Itassumesthatthestockpriceisequaltothepresentvalueofallfuturedividends.d)Itisonlysuitableforvaluingcompaniesthatpayregulardividends.9.Acompanyhasadebt-to-equityratioof1.5.Ifthemarketvalueofitsequityis$600million,whatisthemarketvalueofitsdebt?10.WhichofthefollowingisacomponentoftheWeightedAverageCostofCapital(WACC)?a)Preferredstockdividendsb)Commonstockdividendsc)Depreciationexpensed)Interestexpenseondebt11.Aportfoliomanagerusesafactormodeltoexplainthereturnsofastock.Themodelincludesthemarketfactor,sizefactor,andvaluefactor.Thestockhasabetaof1.2withrespecttothemarketfactor,asizefactorloadingof0.5,andavaluefactorloadingof-0.3.Ifthemarketreturnis10%,thesizefactorreturnis2%,andthevaluefactorreturnis3%,whatistheexpectedreturnofthestockaccordingtothefactormodel?Therisk-freerateis2%.12.Aninvestorisconsideringinvestinginamutualfundthatchargesafront-endloadof2%.Themutualfundhasaportfoliovalueof$100millionandassetsundermanagement(AUM)of$500million.Whatistheamountofthefront-endloadthattheinvestorwillpayiftheyinvest$50,000?13.WhichofthefollowingstatementsregardingtheCapitalAssetPricingModel(CAPM)istrue?a)TheCAPMassumesthatinvestorsarerisk-averseandpreferhigherreturnsfortakingonmorerisk.b)TheexpectedreturnofanassetaccordingtotheCAPMiscalculatedastherisk-freerateplustheasset'sbetamultipliedbythemarketriskpremium.c)ThemarketportfoliointheCAPMincludesallrealandfinancialassetsintheworld.d)ThebetaofanassetintheCAPMmeasurestheasset'svolatilityrelativetotheoverallmarket.14.Acompanyisconsideringtwomutuallyexclusiveprojects.ProjectAhasaninitialinvestmentof$100,000andanexpectedNPVof$20,000.ProjectBhasaninitialinvestmentof$150,000andanexpectedNPVof$30,000.WhichprojectshouldthecompanychoosebasedontheNPVcriterion?15.Whichofthefollowingisameasureofacompany'sliquidity?a)ReturnonEquity(ROE)b)Debt-to-EquityRatioc)CurrentRatiod)Price-to-Earnings(P/E)Ratio16.Astockisexpectedtopayadividendof$2attheendoftheyear.Therequiredrateofreturnis8%.Ifthestockisexpectedtogrowataconstantrateof5%peryearindefinitely,whatistheintrinsicvalueofthestock?17.Aninvestorpurchasesabondwithafacevalueof$1,000andacouponrateof6%.Thebondmaturesin5years.Theinvestorholdsthebondfor2yearsandthensellsitatapriceof$1,050.Whatisthetotalreturnonthebondforthe2-yearholdingperiod?Assumetheinvestorreceivesthecouponpayments.18.AcompanyhasthefollowingfinancialdatafortheyearendedDecember31,2024:*TotalAssets:$1,000,000*TotalLiabilities:$400,000*TotalEquity:$600,000*NetIncome:$100,000*DividendsPaid:$40,000Whatisthecompany'sreturnonequity(ROE)?19.Whichofthefollowingstatementsistrueregardingtherelationshipbetweenacompany'sdebt-to-equityratioanditsweightedaveragecostofcapital(WACC)?a)Ahigherdebt-to-equityratioalwaysleadstoalowerWACC.b)Ahigherdebt-to-equityratioalwaysleadstoahigherWACC.c)Theimpactofahigherdebt-to-equityratioontheWACCdependsonthetaxrateandtheriskinessofthecompany'sassets.d)Thedebt-to-equityratiohasnoimpactontheWACC.20.Aninvestorisconsideringinvestinginaportfoliooftwoassets.AssetAhasanexpectedreturnof10%andastandarddeviationof12%.AssetBhasanexpectedreturnof15%andastandarddeviationof18%.ThecorrelationcoefficientbetweenthereturnsofAssetAandAssetBis0.6.Whatistheexpectedreturnandstandarddeviationofaportfoliothatconsistsof40%AssetAand60%AssetB?试卷答案1.7.00解析：根据股利增长模型，要求回报率(k)=股利收益率(D1/P0)+股利增长率(g)。这里k=10%,D1/P0=3%。所以10%=3%+g，解得g=7.00%。2.480,000解析：经营活动现金流量=净利润+非现金支出（折旧）-经营性资产增加+经营性负债减少=500,000+100,000-30,000-20,000=480,000。3.913.56解析：使用债券定价公式，P=[C*(1-(1+r)^-n)/r]+[F/(1+r)^n]，其中C=50,F=1000,r=6%/100=0.06,n=10。计算得到P≈913.56。4.7.20%,9.11解析：E(Rp)=w1*R1+w2*R2=0.6*12%+0.4*4%=7.2%。σp=sqrt(w1^2*σ1^2+w2^2*σ2^2+2*w1*w2*ρ*σ1*σ2)=sqrt(0.6^2*0.15^2+0.4^2*0.05^2+2*0.6*0.4*(-0.2)*0.15*0.05)=sqrt(0.01305-0.0018)=sqrt(0.01125)≈0.10607or10.61%.Thestandarddeviationoftheportfoliois10.61%.5.Accept解析：项目A的NPV为$20,000，项目B的NPV为$30,000。根据NPV准则，选择NPV较高的项目，即项目B。然而题目问是否应接受项目A，项目A的NPV为正，因此应该接受项目A。6.a解析：有效市场假说（EMH）认为，在有效市场中，所有可用信息都已反映在资产价格中，因此无法通过分析信息获得超额回报。选项a最符合此定义。7.0.1151or11.51%解析：计算Z得分：Z=(X-μ)/σ=(30%-0%)/20%=1.5。查标准正态分布表，P(Z>1.5)=1-P(Z≤1.5)=1-0.9332=0.0668or6.68%.(Note:Thequestionasksfortheprobabilityofan*increase*ofmorethan30%.Sinceanormaldistributionissymmetric,theprobabilityofa*decrease*ofmorethan30%isalso6.68%.Thetotalprobabilityofamoveofmorethan30%ineitherdirectionis2*6.68%=13.36%.However,ifweassumethequestionisaskingabouttheprobabilityofa*positive*movegreaterthan30%giventhatreturnsarenormallydistributedaroundameanof0%,thentheansweris6.68%.)8.a解析：股利增长模型的主要弱点是它依赖于对未来股利增长率的准确估计，这在实践中可能非常困难。9.900,000解析：债务-to-权益=债务/权益。债务=1.5*权益=1.5*600,000,000=900,000,000。10.d解析：加权平均资本成本（WACC）包括权益成本、优先股成本和债务成本（通常考虑税盾效应）。利息支出（d）是计算债务成本的一部分。11.12.30%解析：股票预期回报=无风险率+β*市场风险溢价+尺寸因子加载*尺寸因子回报+价值因子加载*价值因子回报=2%+1.2*(10%-2%)+0.5*2%+(-0.3)*(3%)=2%+8.4%+1%-0.9%=12.30%。12.1,000解析：前端负荷=投资金额*负荷比例=$50,000*2%=$1,000。13.b解析：资本资产定价模型（CAPM）的公式为：预期回报=无风险利率+β*(市场回报率-无风险利率)。选项b正确描述了CAPM的计算方法。14.ProjectB解析：根据NPV准则，选择NPV较高的项目。项目A的NPV为$20,000，项目B的NPV为$30,000，因此选择项目B。15.c解析：流动比率（CurrentRatio）是衡量公司短期偿债能力（即流动性）的指标，计算公式为：流动资产/流动负债。16.27.78解析：根据戈登增长模型（股利增长模型），股票内在价值P0=D1/(k-g)=2/(0.08-0.05)=2/0.03=66.67.(RevisedcalculationbasedonstandardDDMformula).Let'sre-checktheformulausedinthequestionprompt:"Astockisexpectedtopayadividendof$2attheendoftheyear.Therequiredrateofreturnis8%.Ifthestockisexpectedtogrowataconstantrateof5%peryearindefinitely,whatistheintrinsicvalueofthestock?"ThisdirectlyfitstheDDMformula:P0=D1/(r-g)=2/(0.08-0.05)=2/0.03=66.67.Theinitialprompt'sanswerkey(27.78)seemsincorrectbasedonthissetup.Let'sassumethequestionintendedD1=2*(1+g)=2*1.05=2.10.ThenP0=2.10/(0.08-0.05)=2.10/0.03=70.00.Stillnot27.78.Let'ssticktothemostdirectinterpretation:P0=2/(0.08-0.05)=66.67.Iftheanswerkeyis27.78,theremightbeatypointhequestion(e.g.,r=13%org=3%?).Assumingthequestionisexactlyasstated:66.67.17.18.50%解析：总回报=(期末价格-购买价格+收到的利息)/购买价格*100%=($1050-$1000+$60)/$1000*100%=$110/$1000*100%=11.00%.(Note:ThebondpaysacouponofC=6%*$1000=$60peryear.Theinvestorreceivesthecouponfor2years.Thepurchasepriceisnotgiven,butit'snotneededfortheholdingperiodreturncalculationaslongasit'sthesamebasis.Assumingthepurchasepricewaspar($1000).Ifthepurchasepricewasdifferent,sayP0,thereturnwouldbe(1050-P0+12