2025年CFA一级市场分析卷

2025年CFA一级市场分析卷考试时间：______分钟总分：______分姓名：______试卷内容1.TheEfficientMarketHypothesis(EMH)suggeststhatstockpricesreflectallavailableinformation.Whichofthefollowingstatementsbestdescribestheimplicationsofthesemi-strongformoftheEMH?a)Pricesadjustslowlytonewinformation.b)Technicalanalysiscanconsistentlygenerateabnormalreturns.c)Allpublicandrelevantprivateinformationisalreadyreflectedinprices.d)Marketefficiencycanbeimprovedbybetterinformationdissemination.2.Aninvestorisconsideringaddinganassettotheirportfolio.Theassethasanexpectedreturnof12%andastandarddeviationof18%.Thecurrentportfoliohasanexpectedreturnof8%andastandarddeviationof10%.Ifthecorrelationcoefficientbetweentheasset'sreturnsandtheportfolio'sreturnsis0.2,whatistheexpectedreturnandstandarddeviationofthenewportfolioiftheassetisinvestedwithaweightof0.3(weightoftheexistingportfoliois0.7)?a)Expectedreturn=8.76%,Standarddeviation=10.34%b)Expectedreturn=10.08%,Standarddeviation=11.16%c)Expectedreturn=9.24%,Standarddeviation=9.84%d)Expectedreturn=10.56%,Standarddeviation=10.92%3.Whichofthefollowingstatementsregardingmarketindicesisgenerallytrue?a)Aprice-weightedindexismoresensitivetochangesinthepriceofhigh-pricedstocksthanlow-pricedstocks.b)Anequal-weightedindexgivesthesameweighttostocksregardlessoftheirmarketcapitalization.c)Avalue-weightedindextypicallyprovidesabetterrepresentationoftheperformanceofsmall-capstocks.d)Alloftheabovestatementsaretrue.4.Aninvestorislongacalloptionwithastrikepriceof$50andapremiumpaidof$2.Theunderlyingstockpriceatexpirationis$65.Whatistheinvestor'sprofitorlosspershare?a)$13b)$15c)$2d)$0(breakeven)5.Whichofthefollowingfinancialinstrumentsisconsideredaderivative?a)Commonstockb)Corporatebondc)Forwardcontractd)Certificateofdeposit6.AccordingtotheCapitalAssetPricingModel(CAPM),theexpectedreturnofanassetiscalculatedasE(Ri)=Rf+βi*[E(Rm)-Rf].Whichcomponentrepresentstheasset'ssensitivitytomarketmovements?a)Rf(Risk-freerate)b)E(Rm)(Expectedreturnofthemarket)c)βi(Beta)d)[E(Rm)-Rf](Marketriskpremium)7.Acompany'sstockhasabetaof1.2.Therisk-freerateis3%andtheexpectedreturnofthemarketportfoliois10%.WhatistheexpectedreturnofthestockaccordingtotheCAPM?a)7.8%b)9.0%c)10.2%d)12.0%8.Whichofthefollowingisameasureofmarketrisk?a)Standarddeviationofindividualstockreturnsb)Betaofthestockc)Alphaofthestockd)Sharperatioofthestockportfolio9.Aninvestorisconcernedaboutthepotentialdeclineinthepriceofastocktheyown.Whichderivativecontractwouldallowthemtohedgeagainstthisrisk?a)Longputoptionb)Longcalloptionc)Shortputoptiond)Shortcalloption10.Whichofthefollowingstatementsregardingfixedincomesecuritiesistrue?a)Theyieldtomaturity(YTM)ofabondisthesameasitscouponrate.b)Abond'spriceanditsyieldtomaturitymoveinthesamedirection.c)Thedurationofabondmeasuresitspricesensitivitytochangesininterestrates.d)Callablebondsalwaysofferahigheryieldtomaturitycomparedtonon-callablebondsofsimilarmaturityandcreditquality.11.Abondwithafacevalueof$1,000paysasemi-annualcouponof5%.Thebondhas10yearstomaturity.Ifthemarketyieldtomaturityis6%,whatistheapproximatepriceofthebond?a)$926.40b)$1,000.00c)$1,075.80d)$1,077.2012.Whichofthefollowingstatementsabouttherelationshipbetweenbondpricesandyieldsiscorrect?a)Asabond'syieldtomaturityincreases,itspriceincreases.b)Asabond'smaturitydateapproaches,itspricesensitivitytointerestratechangesdecreases.c)Abondwithalongerdurationhaslowerpricevolatilityforagivenchangeininterestrates.d)Zero-couponbondshaveadurationequaltotheirtimetomaturity.13.Acompany'sstockisexpectedtopayadividendof$2nextyear.Therequiredrateofreturnis12%.Ifthegrowthrateofdividendsisexpectedtobe5%indefinitely,whatistheintrinsicvalueofthestockusingtheGordonGrowthModel?a)$25.00b)$26.67c)$33.33d)$40.0014.WhichofthefollowingisaprimaryfunctionoftheFederalReserve(theFed)intheUnitedStates?a)Maximizecorporateprofitsb)Regulatecommercialbanksc)Settheminimumwaged)Managethenationalhealthcaresystem15.Whichofthefollowingmarketstructuresischaracterizedbyalargenumberofsmallfirms,identicalproducts,andfreeentryandexit?a)Monopolyb)Oligopolyc)Monopolisticcompetitiond)Perfectcompetition16.Theterm"floatationcosts"refersto:a)Thecostsassociatedwithissuingnewsecurities.b)Thecostsofmaintainingaportfolio.c)Thetransactioncostsincurredwhenbuyingorsellingsecurities.d)Thecostsofmanagingriskwithinaportfolio.17.WhichofthefollowingstatementsabouttheEfficientMarketHypothesis(EMH)iscorrect?a)TheweakformofEMHsuggeststhattechnicalanalysiscangenerateabnormalreturns.b)Thesemi-strongformofEMHimpliesthatfundamentalanalysiscannotprovideanyadvantage.c)ThestrongformofEMHstatesthatallpublicinformationisreflectedinprices,butprivateinformationisnot.d)AccordingtotheweakformofEMH,currentpricesdonotreflectallpasttradinginformation.18.Aninvestorusestechnicalanalysistoidentifypotentialtrendreversalsbystudyinghistoricalpriceandvolumedata.AccordingtotheEfficientMarketHypothesis,whatistheexpectedoutcomeofthisapproach?a)Consistentlygenerateabnormalreturns.b)Generatereturnsequaltothemarketaverage.c)Beunabletogenerateabnormalreturns.d)Theoutcomedependsonthespecifictechnicalindicatorsused.19.Astockmarketindexiscalculatedusingaweightedaverageofthepricesofitsconstituentstocks.Whichofthefollowingweightingmethodsassignsthesameweighttoeachstock,regardlessofitspriceormarketcapitalization?a)Price-weightedindexb)Market-capitalization-weightedindexc)Equal-weightedindexd)Value-weightedindex20.Whichofthefollowingisakeycharacteristicofaderivativesecurity?a)Itrepresentsanownershipinterestinacompany.b)Itsvalueisderivedfromanunderlyingasset,index,orinterestrate.c)Ittypicallyhasafixedmaturitydate.d)Itisconsideredaprimarysecurity.21.TheCapitalAssetPricingModel(CAPM)isusedtodeterminethe:a)Risk-freerateofreturn.b)Expectedreturnofanindividualassetorportfolio.c)Standarddeviationofthemarketportfolio.d)Betaofaspecificstock.22.Whichofthefollowingstatementsabouttherelationshipbetweenastock'sbetaanditsexpectedreturnisconsistentwiththeCAPM?a)Astockwithabetaofzerowillhaveanegativeexpectedreturn.b)Astockwithabetagreaterthan1.0isconsideredlessriskythanthemarket.c)Astockwithabetaof1.0isexpectedtohavethesamereturnasthemarket.d)Astockwithanegativebetaisconsideredriskierthanthemarket.23.Whichofthefollowingtechniquesisusedtomeasurethesensitivityofabond'spricetochangesininterestrates?a)Yieldtomaturity(YTM)b)Convexityc)Betad)Alpha24.Whichofthefollowingtypesofbondstypicallyoffersthehighestyieldtomaturity?a)U.S.Treasurybondsb)Investment-gradecorporatebondsc)High-yield(junk)bondsd)Municipalbonds25.Acompanyisevaluatingtwopotentialinvestments.InvestmentAhasanexpectedreturnof10%withastandarddeviationof15%.InvestmentBhasanexpectedreturnof12%withastandarddeviationof20%.Whichofthefollowingstatementsistrue,assumingthecorrelationbetweenthetwoinvestmentsispositive?a)InvestmentAisriskierthanInvestmentB.b)InvestmentBoffersahigherrisk-adjustedreturn.c)Itisimpossibletodeterminewhichinvestmentisbetterwithoutknowingthecorrelation.d)Theexpectedreturnofaportfoliocombiningbothinvestmentswillalwaysbehigherthan11%.26.Whichofthefollowingisaprimaryfunctionofastockexchange?a)Toprovideaplatformforbuyersandsellerstotradesecurities.b)Toregulatetheactivitiesofinvestmentbanks.c)Tosetinterestratesforcommercialbanks.d)Todeterminetheminimumwageforworkersinthefinancialindustry.27.Theprocessofissuingnewsecuritiestothepublicforthefirsttimeisknownas:a)Floatationb)Secondaryofferingc)Rightsofferingd)Merger28.Whichofthefollowingstatementsabouttherelationshipbetweenabond'scouponrateanditsyieldtomaturityiscorrect?a)Ifabond'scouponrateisequaltoitsyieldtomaturity,thebondwillsellatadiscount.b)Ifabond'scouponrateishigherthanitsyieldtomaturity,thebondwillsellatapremium.c)Ifabond'scouponrateislowerthanitsyieldtomaturity,thebondwillsellatpar.d)Thecouponratehasnoimpactonthebond'syieldtomaturity.29.Whichofthefollowingisameasureofthesystematicriskofastock?a)Standarddeviationofthestock'sreturnsb)Betaofthestockc)Alphaofthestockd)Sharperatioofthestockportfolio30.Whichofthefollowingisapotentialdisadvantageofusingleverageinaportfolio?a)Itcanincreasethepotentialforlosses.b)Itcanamplifythepotentialforgains.c)Itcanreducetheportfolio'scorrelationwiththemarket.d)Itcandecreasetheportfolio'sexpectedreturn.试卷答案1.c解析思路：半强式有效市场假说认为，所有公开信息（包括基本面和财务数据）都已经反映在股价中，因此基本面分析和技术分析都无法获得超额收益。选项c准确描述了这一点。2.b解析思路：新组合的预期回报是各项资产预期回报的加权平均：E(Rp)=w1*E(R1)+w2*E(R2)=0.3*12%+0.7*8%=10.08%。新组合的标准差计算公式为：σp=sqrt(w1^2*σ1^2+w2^2*σ2^2+2*w1*w2*σ1*σ2*ρ12)。代入数据：σp=sqrt(0.3^2*18^2+0.7^2*10^2+2*0.3*0.7*18*10*0.2)=sqrt(972+490+75.6)=sqrt{1557.6}≈39.47。注意：此题计算量较大，标准答案中的11.16%可能存在计算或四舍五入误差，但计算过程和加权平均预期回报是正确的。根据公式计算得到的标准差约为39.47%，与选项b的11.16%差异显著，提示题目数据或选项可能存在问题。若严格按照公式计算，结果接近39.47%。但如果必须选择一个最接近的选项，且假设题目或标准答案存在误差，b选项的预期回报符合计算结果。（重要提示：此题按标准公式计算结果与选项偏差较大，实际考试中需注意核对题目和数据）3.d解析思路：选项a正确，价格加权指数对高价股更敏感。选项b正确，等权重指数对所有股票一视同仁。选项c正确，价值加权（市值加权）指数反映大市值股票表现。因此，所有选项均正确，d为正确选项。4.a解析思路：购买看涨期权付出了2美元的溢价。当股价为65美元时，高于行权价50美元，期权为实值期权。投资者行权可获得65-50=15美元的收益。扣除溢价成本2美元，净盈利为15-2=13美元。5.c解析思路：衍生品是指其价值依赖于标的资产（如股票、债券、商品、指数等）价值的金融工具。远期合约（Forwardcontract）是一种衍生品，其约定在未来某个日期以特定价格买入或卖出标的资产。普通股、公司债券和定期存款属于基础金融工具或债务工具。6.c解析思路：在CAPM公式E(Ri)=Rf+βi*[E(Rm)-Rf]中，βi(Beta)度量的是资产i相对于市场组合(M)变化的敏感性或波动性。Beta值越高，说明该资产的回报波动与市场波动关联越强，承担的市场风险越大。7.c解析思路：根据CAPM公式：E(Rstock)=3%+1.2*(10%-3%)=3%+1.2*7%=3%+8.4%=11.4%。最接近的选项是c)10.2%。（重要提示：按公式计算结果为11.4%，与选项c最接近。请核对题目数据或标准答案是否有误。）8.b解析思路：Beta(β)是衡量个别股票或投资组合相对于整个市场系统性风险的指标。标准差是衡量整体波动性或总风险的指标。Alpha是衡量超额回报的指标。Sharpe比率是衡量风险调整后回报的指标。因此，Beta是衡量市场风险的主要指标。9.a解析思路：看跌期权（putoption）赋予买方在到期日或之前以约定价格卖出标的资产的权利。若投资者担心股票价格下跌，可以购买看跌期权进行套期保值。如果股价下跌，投资者可以行权卖出股票，锁定利润或减少损失。长看涨期权、短看跌期权和短看涨期权均不能有效对冲股票价格下跌的风险。10.c解析思路：a)错误，只有当债券的票面利率等于到期收益率时，债券价格才等于面值（平价）。b)错误，债券价格与到期收益率成反比关系。c)正确，债券的久期（Duration）衡量其价格对利率变化的敏感度。d)错误，可赎回债券在利率下降时，发行人可能赎回债券，从而迫使投资者承担再投资风险，其初始到期收益率可能低于不可赎回债券，但未来回报取决于赎回行为。11.a解析思路：使用债券定价公式计算。面值F=1000，票面利率=5%/2=2.5%（semi-annual），年到期收益率YTM=6%/2=3%（semi-annual），期数n=10*2=20。债券价格P=Σ[C/(1+YTM)^t]+F/(1+YTM)^n=[2.5*PVIFA(3%,20)+1000/(1+3%)^20]。计算PVIFA(3%,20)=[1-(1+3%)^-20]/3%≈[1-0.5537]/0.03≈16.3513。计算P=[2.5*16.3513+1000/1.8061]≈40.87825+553.6907≈994.569。四舍五入后约为994.57。选项a$926.40明显偏低，其他选项也偏高。（重要提示：按标准公式计算结果约为994.57，与所有选项均有较大差距，提示题目数据、标准答案或选项可能存在问题。最接近的值是a，但差距仍然很大。）12.b解析思路：债券的久期随着到期时间的缩短而减小。即随着到期日临近，债券价格对利率变化的敏感度降低。a)错误，价格与收益率反比。c)错误，久期越长的债券，价格对利率变化越敏感。d)正确，零息债券没有票息现金流，其现值仅来自到期时的面值，因此其久期等于其到期时间。13.a解析思路：使用戈登增长模型（GordonGrowthModel）公式：P0=D1/(R-g)=2/(0.12-0.05)=2/0.07=28.57。选项a$25.00与计算结果不符。（重要提示：按公式计算结果为28.57，与所有选项均有较大差距，提示题目数据、标准答案或选项可能存在问题。）14.b解析思路：美国联邦储备系统（美联储）的主要职责包括：制定和执行货币政策、监管银行体系、维护金融稳定、提供支付清算服务。选项b“监管商业银行”是其核心职责之一。选项a、c、d均非美联储的主要职能。15.d解析思路：完全竞争市场结构的特点包括：大量买方和卖方、产品同质、自由进入和退出、信息完全。选项d描述了这些特征。垄断是指单一供应商，寡头垄断是指少数供应商，垄断竞争是指许多供应商但有产品差异。16.a解析思路：发行新证券（如IPO或增发）时，发行人需要支付给承销商、律师、会计师等相关的承销费、发行费、律师费、审计费等，这些费用统称为发行成本或承销成本，即FloatationCosts。选项b是投资维护成本。选项c是交易成本（BrokerageCommissions,TransactionCosts）。选项d是风险管理成本。17.b解析思路：a)错误，弱式有效市场假说认为技术分析无效。b)正确，半强式有效市场假说认为所有公开信息都已反映在价格中，因此基于公开信息的分析（如基本面分析）也无法获得超额收益。c)错误，强式有效市场假说认为所有信息（包括公开和私人信息）都已反映在价格中。d)错误，弱式有效市场假说认为当前价格已包含所有历史信息。18.c解析思路：根据弱式有效市场假说，如果市场是有效的，那么历史价格和交易量信息已经完全反映在当前价格中，因此通过分析历史数据来预测未来趋势的技术分析无法持续获得超额收益。因此，预期结果是无法获得异常收益。19.c解析思路：a)价格加权指数（如道琼斯工业平均指数）赋予高价股更大的权重。b)市值加权指数（如标普500指数）根据股票市值大小赋予不同权重。c)等权重指数给列表中每个股票相同的权重。d)价值加权指数即市值加权指数。20.b解析思路：衍生品的价值取决于一个或多个基础资产（UnderlyingAsset）的表现，如资产价格、利率、汇率、商品价格等。这是衍生品区别于基础证券（PrimarySecurities，如股票、债券）的核心特征。选项a是股票的特征。选项c是基础证券的特征。选项d是基础证券的分类。21.b解析思路：资本资产定价模型（CAPM）的核心公式E(Ri)=Rf+βi*[E(Rm)-Rf]用于计算资产的预期回报率。其中[E(Rm)-Rf]是市场风险溢价，βi是资产i的贝塔系数，E(Ri)是资产i的预期回报率。该模型旨在确定风险资产的合理回报水平。22.c解析思路：根据CAPM，β=1.0表示该资产的系统性风险与市场平均水平相同，因此其预期回报率也等于市场平均水平。a)错误，β=0表示无系统