2025年CFA二级《Equity》题集资料

2025年CFA二级《Equity》题集考试时间：______分钟总分：______分姓名：______SectionA:QuantitativeQuestions1.Aninvestmentmanagerisconsideringaddingastocktoawell-diversifiedportfolio.Thestockhasanexpectedreturnof12%andastandarddeviationof30%.Theportfolio'scurrentexpectedreturnis8%withastandarddeviationof15%.Thecorrelationcoefficientbetweenthestock'sreturnsandtheportfolio'sreturnsis0.4.Therisk-freerateis5%.Calculatetheexpectedreturnandstandarddeviationoftheportfolioafteraddingthisstock,assumingtheinvestmentismadeinproportionsequaltothestock'sstandarddeviationrelativetotheportfolio'sstandarddeviation.2.Youareanalyzingacompanyusingthetwo-stagedividenddiscountmodel(DDM).Thecompanyjustpaidadividendof$1.00(D0=$1.00).Youexpectdividendstogrowatarateof5%peryearforthenext5years(g1=5%).After5years,youexpectdividendstogrowataconstantrateof3%peryearindefinitely(g2=3%).Therequiredrateofreturnonthestockis10%.CalculatetheintrinsicvalueofthestockusingtheDDM.3.Acompanyisexpectedtogeneratefreecashflows(FCF)of$100millionnextyear.FCFisexpectedtogrowatarateof6%peryearforthenext3years,andthengrowataconstantrateof3%peryearindefinitely.Thecompany'sweightedaveragecostofcapital(WACC)is9%.Calculatethefreecashflowtoequity(FCFE)expectednextyear,assumingthecompanypaysnodividendsandusesdebttofinanceitsinvestments.4.Youarevaluingacompanyusingtheprice-to-earnings(P/E)ratiomethod.Youhavegatheredthefollowingdataforthreecomparablecompanies:*CompanyA:P/Eratio=15,Earningspershare(EPS)=$2.00*CompanyB:P/Eratio=18,Earningspershare(EPS)=$3.00*CompanyC:P/Eratio=12,Earningspershare(EPS)=$1.50Thetargetcompany'sexpectedearningspershare(EPS)nextyearis$3.50.YoudecidetouseaweightedaverageP/Eratiobasedonmarketcapitalization.AssumethemarketcapsareproportionaltotheEPSvaluesprovided.Calculatetheestimatedintrinsicvalueofthetargetcompany'sstockusingthismethod.5.Calculatethebetaofastockgiventhefollowinginformation:*Thestock'sreturnshaveastandarddeviationof25%.*Themarket'sreturnshaveastandarddeviationof15%.*Thecorrelationcoefficientbetweenthestock'sreturnsandthemarket'sreturnsis0.6.SectionB:ConceptualQuestions6.Explainthedifferencebetweenagrowthstockandavaluestock.Whatfactorsmightinfluenceaninvestor'sdecisiontopreferoneovertheother?7.DescribethemainassumptionsoftheCapitalAssetPricingModel(CAPM).Whataretheimplicationsoftheseassumptions?8.Whyisthefreecashflowtoequity(FCFE)methodsometimespreferredoverthefreecashflowtofirm(FCFF)methodforvaluingacompany?WhatarethemainlimitationsoftheFCFEmethod?9.Discussthepotentialimpactofbehavioralfinanceconcepts,suchasoverconfidenceoranchoringbias,onequityinvestmentdecisionsandmarketefficiency.10.Acompanyisexperiencingrapidlydecliningsalesandincreasingdebt.Asanequityanalyst,whatkeyfinancialratiosandmetricswouldyoufocusonwhenanalyzingitsfinancialhealthandpotentialforrecovery?Explainthesignificanceofeachratioyoumention.SectionC:Scenario-BasedQuestions11.Youareanalyzingtwocompaniesinthesameindustry:CompanyXandCompanyY.CompanyXhasahigherP/Eratioandisconsideredagrowthstock,whileCompanyYhasalowerP/Eratioandisconsideredavaluestock.Bothcompanieshavestrongbalancesheetsandpositivefuturegrowthprospects,althoughCompanyX'sgrowthprospectsareexpectedtobehigher.a.DiscussthepotentialrisksandrewardsassociatedwithinvestinginCompanyXversusCompanyY.b.Explainhowyouwoulduseamulti-factormodel,suchastheFama-Frenchthree-factormodel,tohelpevaluatewhichcompanymightbemoreundervaluedorovervalued.12.Aninvestmentfirmisconsideringaddingastocktoitsportfolio.Thestockhasahighbetaandoffersahighexpectedreturn.Theportfoliomanagerisconcernedabouttheincreasedvolatilitythataddingthisstockwouldbring.Discusstheportfoliomanager'sconcernsandpotentialstrategiestomitigatetheimpactofthestock'shighbetaontheoverallportfoliorisk.Considertheuseofoptionsorotherderivativesifappropriate.13.Youareanalyzingacompanythathasrecentlygonethroughasignificantrestructuring.Thecompanyhaseliminatedseveralunderperformingdivisions,streamlineditsoperations,andtakenonadditionaldebttofinancethebuybackofitsownshares.Thecompany'searningshaveimprovedintheshortterm,butyouareconcernedaboutthesustainabilityofthisimprovementandthelevelofdebt.a.Discussthefactorsyouwouldconsiderwhenevaluatingthesuccessofthecompany'srestructuringanditsimpactonthecompany'sintrinsicvalue.b.Explainhowyouwouldassessthecompany'sfinancialflexibilityanditsabilitytomeetitsdebtobligations,consideringtheuseofvariousfinancialratiosandanalysistechniques.---试卷答案SectionA:QuantitativeQuestions1.ExpectedReturn:0.4*12%+0.6*8%=4.8%+4.8%=9.6%StandardDeviation:sqrt[(0.4^2*30%^2)+(0.6^2*15%^2)+(2*0.4*0.6*30%*15%*0.4)]=sqrt[0.0144+0.0054+0.0144]=sqrt[0.0342]=18.49%2.D5=D0*(1+g1)^5=$1.00*(1+0.05)^5=$1.2763P4=D5/(k-g2)=$1.2763/(0.10-0.03)=$16.7281P0=D1+D2+D3+D4+P4/(1+k)^4D1=D0*(1+g1)=$1.00*1.05=$1.05D2=D1*(1+g1)=$1.05*1.05=$1.1025D3=D2*(1+g1)=$1.1025*1.05=$1.1576D4=D3*(1+g1)=$1.1576*1.05=$1.2155P0=$1.05+$1.1025+$1.1576+$1.2155+$16.7281/(1.10)^4P0=$1.05+$1.1025+$1.1576+$1.2155+$12.0567=$16.58233.FCF1=$100million*(1+0.06)=$106millionFCF2=FCF1*(1+0.06)=$106million*1.06=$112.36millionFCF3=FCF2*(1+0.06)=$112.36million*1.06=$118.8016millionTerminalValue(TV)atendofYear3=FCF4/(WACC-g2)=FCF3*(1+g2)/(WACC-g2)TV=$118.8016million*(1+0.03)/(0.09-0.03)=$122.321248/0.06=$2048.6875millionFCFE1=FCF1-Debtissuedforinvestments+DividendspaidAssumingnodebtissuedandnodividendspaid:FCFE1=FCF1=$106million4.MarketCapofCompanyA=EPS*P/E=$2.00*15=$30.00MarketCapofCompanyB=EPS*P/E=$3.00*18=$54.00MarketCapofCompanyC=EPS*P/E=$1.50*12=$18.00TotalMarketCap=$30.00+$54.00+$18.00=$102.00WeightofCompanyA=$30.00/$102.00=0.2941WeightofCompanyB=$54.00/$102.00=0.5294WeightofCompanyC=$18.00/$102.00=0.1769WeightedAverageP/E=(0.2941*15)+(0.5294*18)+(0.1769*12)=4.4115+9.5292+2.1248=15.0655EstimatedIntrinsicValue=ExpectedEPS*WeightedAverageP/E=$3.50*15.0655=$52.735.Beta=Covariance(Stock,Market)/Variance(Market)Covariance(Stock,Market)=Correlation*(StandardDeviationStock*StandardDeviationMarket)Covariance(Stock,Market)=0.6*0.25*0.15=0.01125Variance(Market)=0.15^2=0.0225Beta=0.01125/0.0225=0.5SectionB:ConceptualQuestions6.Agrowthstockistypicallyexpectedtogrowitsearningsatanabove-averageratecomparedtoothercompaniesinthemarket.Valuestocksarestocksthatappeartobetradingforlessthantheirintrinsicorbookvalue,oftenbecausethemarkethasoverlookedtheirpotentialortheyareinadifficultindustryphase.Factorsinfluencingpreferenceincluderisktolerance,investmenthorizon,marketconditions(e.g.,growthvs.valuecycles),andtheinvestor'sbeliefinthecompany'sfutureperformanceversusitscurrentvaluation.7.ThemainassumptionsoftheCAPMare:(1)Allinvestorsarerationalandrisk-averse,aimingtomaximizeutility;(2)Allinvestorshavethesametimehorizonandinvestmenthorizon;(3)Allinvestorshaveaccesstothesameinformationandagreeontheexpectedreturns,risks,andcorrelationsofallassets;(4)Therearenotaxesortransactioncosts;(5)Allassetsareinfinitelydivisible;(6)Marketsareefficient(noarbitrageopportunities).Implicationsincludethedeterminationofthemarketportfolioasthetangencyportfolio,thelinearrelationshipbetweenexpectedreturnandbeta,andthecalculationoftherequiredrateofreturnusingtheformulaE(Ri)=Rf+beta*[E(Rm)-Rf].8.TheFCFEmethodissometimespreferredbecauseitdirectlymeasuresthecashflowavailabletotheequityholdersafterallobligations,includingdebtpaymentsandcapitalexpenditures,havebeenmet.Itisconceptuallysimplerforcompanieswithstraightforwardcapitalstructures.Limitationsincludethedifficultyofaccuratelyforecastingcapitalexpendituresandworkingcapitalchanges,potentialestimationerrors,anditssensitivitytoassumptionsaboutfuturepayoutpoliciesandsharerepurchases.9.Behavioralfinanceconceptscanleadtoinefficientmarketpricingofequities.Overconfidencemaycauseinvestorstooverestimatetheirabilitytopickwinningstocksorundervaluerisk,leadingtoexcessivetradingandbubbles.Anchoringbiascancauseinvestorstorelytooheavilyoninitialinformationwhenvaluingstocks,preventingthemfromadjustingestimatesbasedonnewdata.Herdbehaviorcanleadtomarketmovementsdrivenbysentimentratherthanfundamentals,causingpricestodeviatesignificantlyfromintrinsicvalue.10.Keyratiosandmetricsforanalyzingacompanyindistressinclude:*Debt-to-EquityRatio:Measuresleverage.Ahighratioindicatessignificantdebtburden.*InterestCoverageRatio(EBIT/InterestExpense):Showshoweasilythecompanycancoveritsinterestpaymentswithearningsbeforeinterestandtaxes.Alowratiosignalspotentialliquidityproblems.*CurrentRatio(CurrentAssets/CurrentLiabilities):Assessesshort-termliquidity.Aratiobelow1suggestsdifficultymeetingshort-termobligations.*QuickRatio(QuickAssets/CurrentLiabilities):Amorestringentliquiditymeasure,excludinginventory.Alowratioindicatespotentialcashflowissues.*CashFlowtoDebtRatio(OperatingCashFlow/TotalDebt):Evaluatesthecompany'sabilitytoreduceitsdebtusingcashgeneratedfromoperations.*OperatingMargin(OperatingIncome/Revenue):Indicatestheefficiencyofcoreoperations.Asharpdeclinemaysignalunderlyingproblems.SectionC:Scenario-BasedQuestions11.a.InvestinginCompanyXofferspotentiallyhigherreturnsduetoitsgrowthprospects,butcomeswithhigherriskreflectedinitshigherP/Eratioandbeta.Thisriskmightstemfromuncertaintyaboutfuturegrowthorcompetitivepressures.InvestinginCompanyYofferslowerreturns(asindicatedbythelowerP/E)butpotentiallylowerrisk,asitisconsideredundervalued.Theriskhereisthatthemarketmaybecorrect,andthecompany'svaluewillnotimprove,orthatthecompany'sfundamentalissuesmaypersistorworsen.b.TheFama-Frenchthree-factormodelhelpscontrolforthemarketrisk(beta)andincludessizeandvaluefactors,whichmightberelevantforthesecompanies.CompanyX'shighbetasuggestsitishighlysensitivetomarketmovements.ThemodelcanhelpdetermineifCompanyX'shighexpectedreturncompensatesforitshighbetaandotherfactors(likesizeorvalue,ifapplicable).IfCompanyYhasalowP/Eratioandmightbeclassifiedasavaluestock(lowvaluefactor),themodelcanhelpassesswhetherthemarketisprovidingareasonable(orpotentiallyattractive)returnfortakingonitslowerriskprofile,includingpotentialsizeorvaluepremiums.12.Theportfoliomanager'sconcernisthataddingahigh-betastockwillincreasetheoverallvolatility(standarddeviation)andsystematicriskoftheportfolio,potentiallyreducingSharperatioiftheexpectedreturnincreasedoesnotmatchtheriskincrease.Strategiestomitigatethis:*Reducetheweightofthestockintheportfoliototempertheoverallbetaimpact.*Useoptions:Buyputoptionsonthestocktohedgeagainstsignificantdeclines.Thisreducespotentiallossesbutalsolimitsupsidegains.*Useoptions:Sellcalloptionsonthestockifthemanagerbelievesthestockpricewillnotrisesignificantly,generatingpremiumincometooffsetpotentialdown-siderisk.*Considerotherinvestments:Addassetswithlow