CFA考试《CFA二级》历年真题精选及详细解析1007-16
1、Pereira should forecast that the ROE for Globales is likely to decline:【单选题】
A.more slowly than that of the industry competitor.
B.at the same rate as the industry competitor.
C.more rapidly than that of the industry competitor.
正确答案:A
答案解析:A is correct. Bad on the principle of mean reversion, the high ROE for both firms should revert towards the mean. Globales has a higher cash flow component to its return than the peer firm, however, so its high return on common equity should persist longer than that of the peer firm. The peer firm has a higher accruals component, so it is likely to revert more quickly.
2、How many of Yeung\\\\\'s constraints would be accurately regarded as a constraint in an
重庆欢乐谷在哪里以安全为主题的画investment policy statement?【单选题】
心灵深处的歌A.One.北京是直辖市吗
B.Two.
C.Three.
教师预备党员转正申请书正确答案:B
答案解析:What Yeung has identified as Constraint 1 is properly classified as a return objective and not a constraint. Investment constraints are factors that restrict investment choices. Constraint 2 is unexampled of time horizon constraint. Constraint 3 is an example of liquidity constraint.
3、Bad on Exhibit 4, Singh and Ho should conclude that under Scenario 2, shares of Bern are:【单选题】
A.undervalued.
B.fairly valued.
C.overvalued.
正确答案:A
答案解析:A is correct.The total market value of the firm is the sum of the debt, preferred stock, and common stock market values: 15,400 + 4,000 + 18,100 = 37,500 million.WACC = [wd × rd(1 – tax rate)] + (wp × rp) + (we × re).= [(15,400/37,500)(0.060)(1 – 0.269] + (4,000/37,500)(0.055) + (18,100/37,500)(0.11).= 7.70%.Under the assumption that Bern has a low growth rate becau it did not receive regulatory approval for its new drugs, the value of Bern can be analyzed using a two-stage valuation model.Year01234g1.50%1.50%1.50%0.75%FCFFn (€ millions)3,2263,274.393,323.513,373.363,398.66Prent Value Factor0.9285290.8621670.800547Prent Value (€ millions)3,040.372,865.422,700.53The terminal value at the end of Year 3 is TV3 = FCFF4/(WACC – g4).TV3 = 3,398.66/(0.0770 – 0.0075) = €48,921.38 million.The total val
ue of operating asts = (3,040.37 + 2,865.42 + 2,700.53) + 48,921.38/(1 + 0.0770)3.= 8,606.32 + 39,163.88= €47,770.20 million.
4、What is the value of the coefficient of determination?【单选题】
A.0.8261.杜甫三吏
B.0.7436.
C.0.8623.
正确答案:B
答案解析:B is correct. The coefficient of determination is the same as R-squared.保护视力作文
5、A benefit of performing Task 1 is that it:【单选题】
A.enables the model to price bonds with embedded options.
B.identifies benchmark bonds that have been mispriced by the market.
C.allows investors to realize arbitrage profits through stripping and reconstitution.
正确答案:A
答案解析:A is correct. Calibrating a binomial interest rate tree to match a specific term structure is important becau we can u the known valuation of a benchmark bond from the spot rate pricing to verify the accuracy of the rates shown in the binomial interest rate tree. Once its accuracy is confirmed, the interest rate tree can then be ud to value bonds with embedded options. While discounting with spot rates will produce arbitrage-free valuations for option-free bonds, this spot rate method will not work for bonds with embedded options where expected future cash flows are interest-rate dependent (as rate changes impact the likelihood of options being exercid). The interest rate tree allows for the alternative paths that a bond with embedded options might take.B is incorrect becau calibration does not identify mispriced benchmark bonds. In fact, benchmark bonds are employed to prove the accuracy of the binomial interest rate tree, as they are assumed to be correctly priced by the market.C is incorrect becau the calibration of the
binomial interest rate tree is designed to produce an arbitrage-free valuation approach and such an approach does not allow a market participant to realize arbitrage profits though stripping and reconstitution.
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