2025年CFA考试重点习题集

2025年CFA考试重点习题集考试时间：______分钟总分：______分姓名：______试卷内容1.Aninvestmentmanagerisevaluatingtwostocksforinclusioninaclient'sportfolio.StockAhasanexpectedreturnof12%andastandarddeviationof18%.StockBhasanexpectedreturnof15%andastandarddeviationof24%.ThecorrelationcoefficientbetweenthereturnsofStockAandStockBis0.4.Whichofthefollowingstatementsismostaccurateregardingtheriskandreturnofthesetwostocks?a.StockBoffersahigherrisk-adjustedreturnthanStockAbasedonitshigherexpectedreturnandhigherbeta.b.ThediversificationbenefitsofcombiningStockAandStockBintoaportfolioarelikelytobesignificantduetotheirpositivecorrelation.c.Givenitshighervolatility,StockBislikelytobemoresensitivetomarketmovementsthanStockA.d.TheweightedaveragereturnofaportfoliocombiningStockAandStockBwillalwaysbehigherthanthereturnofeitherindividualstock.2.Acompanyreportsthefollowinginformationfortheyear:Sales=$500,000CostofGoodsSold(COGS)=$300,000GrossProfit=$200,000OperatingExpenses=$100,000InterestExpense=$20,000IncomeTaxExpense=$30,000NetIncome=$50,000Whatisthecompany'sDegreeofOperatingLeverage(DOL)?a.1.33b.1.50c.2.00d.2.503.AccordingtotheCapitalAssetPricingModel(CAPM),therequiredrateofreturnonanassetisdeterminedby:a.Theasset'sbeta,therisk-freerate,andthemarketriskpremium.b.Theasset'salpha,therisk-freerate,andthemarketreturn.c.Theasset'sstandarddeviation,themarketstandarddeviation,andthecorrelationwiththemarket.d.Theasset'sdividendyield,thegrowthrateofdividends,andtherisk-freerate.4.WhichofthefollowingstatementsregardingtheEfficientMarketHypothesis(EMH)ismostaccurate?a.EMHsuggeststhatallpublicinformationisinstantlyreflectedinstockprices,makingitimpossibletoachievereturnsabovethemarketaverage.b.Accordingtoweak-formEMH,technicalanalysiscanconsistentlygenerateabnormalreturns.c.Strong-formEMHimpliesthatevenprivateinformationcannotbeusedtoearnabnormalreturns.d.Semi-strong-formEMHassumesthatallpublicannouncementsarequicklyandefficientlyincorporatedintostockprices.5.Acompanyisconsideringaprojectwithaninitialinvestmentof$100,000.Theprojectisexpectedtogeneratecashinflowsof$40,000attheendofeachyearfor4years.Therequiredrateofreturnfortheprojectis10%.WhatistheNetPresentValue(NPV)oftheproject?a.$(6,355)b.$6,355c.$8,000d.$14,0006.WhichofthefollowingisgenerallyconsideredaweaknessoftheDividendDiscountModel(DDM)?a.Itisdifficulttoestimatefuturedividendpaymentsaccurately.b.Itdoesnotaccountforthecompany'sgrowthprospects.c.Itassumesthattherequiredrateofreturnisconstantovertime.d.Itisonlyapplicabletocompaniesthatpayregulardividends.7.Acompanyhasadebt-to-equityratioof0.5.Ifthemarketvalueofitsequityis$400million,whatisthemarketvalueofitsdebt?a.$200millionb.$300millionc.$500milliond.$800million8.Whichofthefollowingmethodsismostcommonlyusedforvaluingacompany'soperationsinadiscountedcashflow(DCF)analysis?a.Sum-of-the-PartsValuationb.ComparableCompanyAnalysisc.PrecedentTransactionAnalysisd.FreeCashFlowtoFirm(FCFF)valuation9.Abondwithafacevalueof$1,000andacouponrateof5%paysinterestsemi-annually.Ifthebondhas5yearsremainingtomaturityandthemarketrequiredyieldtomaturity(YTM)is6%,whatistheapproximatepriceofthebond?a.$926b.$950c.$1,000d.$1,06010.Whichofthefollowingstatementsregardingthetimevalueofmoneyismostaccurate?a.Adollarreceivedtodayisworthlessthanadollarreceivedinthefutureduetotheuncertaintyoffuturecashflows.b.Thepresentvalueofaseriesofequalcashflowsoccurringatregularintervalsiscalculatedusingthefuturevalueinterestfactor.c.Thefuturevalueofasinglesumincreasesasthecompoundingperiodbecomesshorter.d.Anannuityduehasalowerpresentvaluethananordinaryannuity,assumingthesamecashflowsandinterestrate.11.Ananalystisevaluatingacompany'sfinancialhealth.Whichofthefollowingratioswouldtypicallybeusedtoassessthecompany'sabilitytomeetitsshort-termobligations?a.Debt-to-EquityRatiob.ReturnonEquity(ROE)c.CurrentRatiod.Price-to-Earnings(P/E)Ratio12.Whichofthefollowingstatementsregardingthebinomialoptionpricingmodelismostaccurate?a.ItisprimarilyusedforvaluingEuropeanoptionsonly.b.Itassumesthattheunderlyingasset'spricemovesinasingleupordowndirectionduringeachtimeperiod.c.Itbecomeslessaccurateasthenumberoftimeperiodsincreases.d.Itdoesnotrequiretheassumptionofconstantvolatility.13.Aportfolioconsistsof60%StockXand40%StockY.StockXhasanexpectedreturnof12%andastandarddeviationof15%.StockYhasanexpectedreturnof8%andastandarddeviationof10%.ThecorrelationcoefficientbetweenthereturnsofStockXandStockYis0.2.Whatistheexpectedreturnoftheportfolio?a.9.6%b.10.0%c.10.4%d.10.8%14.WhichofthefollowingisakeyassumptionoftheCapitalAssetPricingModel(CAPM)?a.Investorscanborrowandlendatthesamerisk-freerate.b.Allinvestorshavethesamerisktolerance.c.Therearenotaxesortransactioncosts.d.Investorsonlycareabouttheexpectedreturnandvarianceofreturns.15.Acompanyisanalyzingtwopotentialprojects.ProjectAhasaninitialinvestmentof$50,000andanexpectedNPVof$10,000.ProjectBhasaninitialinvestmentof$100,000andanexpectedNPVof$20,000.Whichofthefollowingstatementsismostaccurate?a.ProjectBispreferablebecauseithasahigherexpectedNPV.b.ProjectAispreferablebecauseithasahigherprofitabilityindex(NPV/InitialInvestment).c.Thedecisionbetweentheprojectsdependsonthecompany'scapitalbudgetconstraints.d.BothprojectsshouldberejectedbecausebothhavenegativeNPVs.16.WhichofthefollowingstatementsregardingtheEfficientMarketHypothesis(EMH)ismostaccurate?a.EMHsuggeststhatallpublicinformationisinstantlyreflectedinstockprices,makingitimpossibletoachievereturnsabovethemarketaverage.b.Accordingtoweak-formEMH,technicalanalysiscanconsistentlygenerateabnormalreturns.c.Strong-formEMHimpliesthatevenprivateinformationcannotbeusedtoearnabnormalreturns.d.Semi-strong-formEMHassumesthatallpublicannouncementsarequicklyandefficientlyincorporatedintostockprices.17.Acompany'sstockhasabetaof1.2.Therisk-freerateis3%andthemarketexpectedreturnis10%.Whatistherequiredrateofreturnonthecompany'sstockaccordingtotheCapitalAssetPricingModel(CAPM)?a.6.0%b.7.8%c.9.0%d.10.8%18.Whichofthefollowingmethodsismostcommonlyusedforvaluingacompany'soperationsinadiscountedcashflow(DCF)analysis?a.Sum-of-the-PartsValuationb.ComparableCompanyAnalysisc.PrecedentTransactionAnalysisd.FreeCashFlowtoFirm(FCFF)valuation19.Abondwithafacevalueof$1,000andacouponrateof6%paysinterestannually.Ifthebondhas3yearsremainingtomaturityandthemarketrequiredyieldtomaturity(YTM)is5%,whatistheapproximatepriceofthebond?a.$950b.$1,000c.$1,050d.$1,06020.Whichofthefollowingstatementsregardingthetimevalueofmoneyismostaccurate?a.Adollarreceivedtodayisworthlessthanadollarreceivedinthefutureduetotheuncertaintyoffuturecashflows.b.Thepresentvalueofaseriesofequalcashflowsoccurringatregularintervalsiscalculatedusingthefuturevalueinterestfactor.c.Thefuturevalueofasinglesumincreasesasthecompoundingperiodbecomesshorter.d.Anannuityduehasahigherpresentvaluethananordinaryannuity,assumingthesamecashflowsandinterestrate.21.Ananalystisevaluatingacompany'sfinancialhealth.Whichofthefollowingratioswouldtypicallybeusedtoassessthecompany'sabilitytomeetitslong-termobligations?a.Debt-to-EquityRatiob.TimesInterestEarnedRatioc.CurrentRatiod.Price-to-Earnings(P/E)Ratio22.WhichofthefollowingstatementsregardingtheBlack-Scholes-Mertonoptionpricingmodelismostaccurate?a.ItisprimarilyusedforvaluingAmericanoptionsonly.b.Itassumesthattheunderlyingasset'spricefollowsalog-normaldistribution.c.Itrequirestheassumptionofconstantvolatilityandinterestrates.d.Itisonlyapplicabletooptionsonstockswithinfinitelife.23.Acompanyhasaprofitmarginof10%,totalassetturnoverof2,andadebt-to-equityratioof1.0.Whatisthecompany'sReturnonEquity(ROE)?a.10.0%b.20.0%c.30.0%d.40.0%24.WhichofthefollowingisgenerallyconsideredaweaknessoftheDividendDiscountModel(DDM)?a.Itisdifficulttoestimatefuturedividendpaymentsaccurately.b.Itdoesnotaccountforthecompany'sgrowthprospects.c.Itassumesthattherequiredrateofreturnisconstantovertime.d.Itisonlyapplicabletocompaniesthatpayregulardividends.25.Whichofthefollowingstatementsregardingtheweightedaveragecostofcapital(WACC)ismostaccurate?a.Itistheminimumreturnthatacompanymustearnonitsexistingassets.b.Itistheaveragerateofreturnacompanyexpectstopayitssecurityholders.c.Itisusedtodeterminethefairvalueofacompany'sequity.d.Itiscalculatedbyweightingthecostofeachcapitalcomponentbyitsproportioninthecompany'scapitalstructure.26.Acompanyisconsideringaprojectwithaninitialinvestmentof$200,000.Theprojectisexpectedtogeneratecashinflowsof$80,000attheendofeachyearfor3years.Therequiredrateofreturnfortheprojectis12%.Whatistheprofitabilityindex(PI)oftheproject?a.0.64b.0.88c.1.12d.1.5627.Whichofthefollowingmethodsismostcommonlyusedforvaluingacompany'sequity?a.Sum-of-the-PartsValuationb.ComparableCompanyAnalysisc.PrecedentTransactionAnalysisd.DividendDiscountModel(DDM)28.Abondwithafacevalueof$1,000andacouponrateof4%paysinterestsemi-annually.Ifthebondhas10yearsremainingtomaturityandthemarketrequiredyieldtomaturity(YTM)is5%,whatistheapproximatepriceofthebond?a.$820b.$880c.$920d.$1,08029.Whichofthefollowingstatementsregardingthetimevalueofmoneyismostaccurate?a.Thefuturevalueofasinglesumincreasesastheinterestrateincreases,assumingthesametimeperiod.b.Thepresentvalueofaseriesofequalcashflowsoccurringatregularintervalsiscalculatedusingthepresentvalueinterestfactor.c.Anannuityduehasalowerpresentvaluethananordinaryannuity,assumingthesamecashflowsandinterestrate.d.Thetimevalueofmoneyisirrelevantforcompanieswithhighdebtlevels.30.Ananalystisevaluatingacompany'sfinancialhealth.Whichofthefollowingratioswouldtypicallybeusedtoassessthecompany'sefficiencyinusingitsassetstogenerateearnings?a.Debt-to-EquityRatiob.ReturnonAssets(ROA)c.AssetTurnoverRatiod.Price-to-Earnings(P/E)Ratio试卷答案1.c解析思路：本题考察组合投资的风险与收益。选项a不正确，因为无法仅凭预期回报和标准差判断风险调整后收益；选项b不正确，因为0.4的相关性表明正相关性，但并非极高，分散化效应可能有限；选项c正确，标准差衡量绝对风险，StockB的标准差（24%）高于StockA（18%），表明其波动性更大，对市场变动的敏感性可能更高；选项d不正确，组合回报是加权平均，不一定高于单个股票。2.a解析思路：本题考察经营杠杆系数（DOL）的计算。DOL=(Sales-COGS)/(Sales-COGS-OperatingExpenses)=GrossProfit/(GrossProfit-OperatingExpenses)。代入数据：($200,000)/($200,000-$100,000)=$200,000/$100,000=2.00。此处选项a(1.33)和计算结果(2.00)存在矛盾，根据公式计算结果应为2.00，若题目或选项有误，则按公式计算结果为2.00。若必须选择一个，需确认题目或选项是否有印刷错误。按标准公式计算，结果为2.00，对应选项c。但题目给出的是a，可能题目或选项有误，或题目意在考察基础公式应用而选项设置有偏差。按公式计算DOL=2.00。3.a解析思路：本题考察CAPM模型的构成。CAPM公式为RequiredReturn=Risk-FreeRate+Beta*MarketRiskPremium。选项a正确地列出了CAPM模型的三个核心要素：资产自身的β系数、无风险利率和市场风险溢价。选项b错误，Alpha是超出CAPM预测的回报；选项c错误，标准差、市场标准差和相关性是计算β系数的输入，不是CAPM模型的直接组成部分；选项d错误，这是DDM模型的组成部分。4.d解析思路：本题考察EMH的不同形式。选项a描述的是强形式EMH，但强形式过于绝对且难以实证；选项b错误，弱形式EMH认为技术分析无效；选项c错误，强形式EMH认为所有信息（包括内幕）都反映在价格中；选项d正确，半强形式EMH认为所有公开信息（包括公告）都迅速反映在价格中，因此无法通过分析公开信息获得超额收益。5.b解析思路：本题考察NPV的计算。NPV=Σ[CashFlow/(1+r)^t]-InitialInvestment。CF=$40,000,r=10%=0.10,t=1to4.NPV=$40,000/(1.1)^1+$40,000/(1.1)^2+$40,000/(1.1)^3+$40,000/(1.1)^4-$100,000。计算各项现值并求和：$40,000/1.1+$40,000/1.21+$40,000/1.331+$40,000/1.4641=$36,363.64+$33,057.85+$30,052.59+$27,435.05=$126,909.13。NPV=$126,909.13-$100,000=$26,909.13。与选项最接近的是b($6,355)，存在显著差异，可能题目参数设置或选项有误。按标准计算结果约为$26,910。6.a解析思路：本题考察DDM的局限性。DDM的核心是假设公司未来分红是永续的或可预测的，但这在实践中非常困难，尤其是对于成长型公司或分红不稳定的公司。因此，准确预测未来股利是DDM最大的挑战。7.a解析思路：本题考察债务权益比与市场价值的关系。债务权益比=市场价值债务/市场价值权益。已知债务权益比=0.5，市场价值权益=$400M。代入公式：0.5=市场价值债务/$400M。解得：市场价值债务=0.5*$400M=$200M。8.d解析思路：本题考察DCF估值方法。FCFF是指公司在满足运营资本和资本支出需求后，可支付给所有投资者的自由现金流。DCF模型的核心就是将预期的未来FCFF折现到当前价值，因此FCFF是DCF估值中常用的现金流概念。选项a是分解估值法；选项b和c是基于可比公司或交易的市场法。9.a解析思路：本题考察债券定价。债券价格是未来现金流（半年利息和到期面值）的现值之和。CouponPayment=$1,000*5%/2=$25.NPER(半年期数)=5*2=10.YTM(半年利率)=6%/2=3%=0.03。债券价格=$25*PVIFA(3%,10)+$1,000*PVIF(3%,10)。计算：PVIFA(3%,10)≈8.5302,PVIF(3%,10)≈0.7441。价格≈$25*8.5302+$1,000*0.7441≈$213.255+$744.10≈$957.35。与选项a($926)最接近。10.c解析思路：本题考察时间价值概念。选项a错误，收到越早的美元价值越高；选项b错误，计算现值使用PVIF；选项c正确，随着复利频率增加（即复利期缩短），单笔资金的未来价值会增大；选项d错误，年金现值（PV）计算中，年金Due的现值高于年金Ordinary，因为其第一笔现金流发生在期初。11.c解析思路：本题考察短期偿债能力指标。CurrentRatio=CurrentAssets/CurrentLiabilities，衡量公司用流动资产偿还流动负债的能力。是评估短期偿债能力的常用指标。选项a评估长期偿债能力；选项b评估盈利能力；选项d评估市场估值。12.b解析思路：本题考察二叉树期权定价模型。该模型假设在每个时间步，标的资产价格只有两种可能变动：向上或向下。模型通过构建一个递归树状图来模拟价格路径并计算期权价值。选项a错误，它可用于欧式、美式等多种期权；选项c错误，随着时间步增加，模型精度通常会提高；选项d错误，二叉树模型需要假设波动率在各个时期可能不同（尽管基础模型常假设不变）。13.b解析思路：本题考察投资组合预期回报。组合预期回报=w1*E(R1)+w2*E(R2)。E(Rp)=0.6*12%+0.4*8%=7.2%+3.2%=10.4%。与选项c最接近。14.c解析思路：本题考察CAPM的假设。CAPM模型的几个核心假设包括：市场是有效的、投资者是风险厌恶的并追求效用最大化、存在无风险借贷、所有投资者拥有相同的投资期限和相同的信息、投资组合是无限可分的、没有税金和交易成本。选项a（相同无风险利率借贷）是其中之一；选项b（相同风险偏好）不正确；选项c（无税无交易成本）是核心假设之一；选项d（只关心E(R)和Var(R)）过于简化。15.a解析思路：本题考察NPV决策规则。NPV直接衡量项目能增加股东财富的绝对额。选项a正确，项目A和项目B的NPV都为正，表明都增加了价值，应选择NPV较高的项目B。选项b错误，虽然PI也考虑了规模，但NPV是更直接的财富增加值指标；选项c正确描述了资本约束下的情况，但并非本题核心；选项d错误，两个项目的NPV都是正的。16.c解析思路：同第4题解析。17.b解析思路：本题考察CAPM计算。RequiredReturn=3%+1.2*(10%-3%)=3%+1.2*7%=3%+8.4%=11.4%。与选项最接近的是b($7.8)，存在显著差异，可能题目参数设置或选项有误。按标准计算结果为11.4%。18.d解析思路：同第8题解析。19.c解析思路：本题考察债券定价。CouponPayment=$1,000*6%=$60.NPER=3.YTM=5%=0.05.债券价格=$60*PVIFA(5%,3)+$1,000*PVIF(5%,3)。计算：PVIFA(5%,3)≈2.7232,PVIF(5%,3)≈0.8638。价格≈$60*2.7232+$1,000*0.8638≈$163.392+$863.80=$1,027.192。与选项c($1,050)最接近。注意：此处计算结果$1027.19与选项c($1050)差距较大，也与选项a($950),b($980),d($1080)均有差距。这提示题目参数或选项可能存在问题。若严格按照公式计算，结果约为$1027.19。20.d解析思路：本题考察年金Due与Ordinary的比较。AnnuityDue的每笔现金流发生在期初，相比Ordinary年金（期末），每笔现金流的现值都更高（因为提前了一个期数折现），因此其总现值更高。选项d正确描述了这一点。21.a解析思路：本题考察长期偿债能力指标。Debt-to-EquityRatio=TotalDebt/TotalEquity，衡量公司总负债相对于股东权益的规模，是评估长期偿债能力和财务杠杆的重要指标。选项b（TimesInterestEarned）评估利息保障倍数，短期到中期；选项c（CurrentRatio）评估短期偿债能力；选项d（Price-to-EarningsRatio）评估市场估值。22.b解析思路：本题考察Black-Scholes-Merton模型假设。该模型有几个关键假设，包括：标的资产价格服从几何布朗运动（隐含对数正态分布）；期权是欧式的；市场无摩擦（无税收、无交易成本）；无风险利率和波动率已知且常数；期权有效期内无红利支付（或有红利支付有特定修正）。选项b正确