CFA二级练习题精选及答案053117.docx

CFA二级练习题精选及答案053117.docx

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CFA二级练习题精选及答案053117

CFA二级练习题精选及答案0531-17

1、Shouldthecapitalbudgetingcommitteeaccepttheinternalauditor’sfirstandsecondsuggestions,respectively?

【单选题】

A.NoforSuggestions1and2.

B.NoforSuggestions3and4.

C.YesforSuggestion1andNoforSuggestion2.

D.YesforSuggestions1and2.

正确答案:

A

答案解析:

Aiscorrect.Bothsuggestionsarebad.Invaluingprojects,expectedcashflowsshouldbediscountedatrequiredratesofreturnthatreflecttheirrisk,notatarisk-freeratethatignoresrisk.Eventhoughbothoptionscannotbesimultaneouslyexercised,theycanbothaddvalue.Ifdemandishigh,youcanexercisethegrowthoption,andifdemandislow,youcanexercisetheabandonmentoption.

2、BasedonExhibit1andgivenVarden’sexpectations,whichisthebestnullhypothesisandconclusionregardingCEOtenure?

【单选题】

A.b2≤0;rejectthenullhypothesis

B.b2=0;cannotrejectthenullhypothesis

C.b2≥0;rejectthenullhypothesis

正确答案:

A

答案解析:

Aiscorrect.VardenexpectstofindthatCEOtenureispositivelyrelatedtothefirm’sROE.Ifheiscorrect,theregressioncoefficientfortenure,b2,willbegreaterthanzero（b2>0）andstatisticallysignificant.Thenullhypothesissupposesthatthe“suspected”conditionisnottrue,sothenullhypothesisshouldstatethevariableislessthanorequaltozero.Thet-statisticfortenureis2.308,significantatthe0.027level,meetingVarden’s0.05significancerequirement.Vardenshouldrejectthenullhypothesis.

3、Logan’sbestresponsetothesupervisor’squestionconcerningthesensitivityoftheenterprisevaluetotheterminalgrowthrateassumption,isclosestto:

【单选题】

A.–36.5%.

B.–28.5%.

C.–24.8%.

正确答案:

B

答案解析:

Biscorrect.Terminalvalueat5percent:

7（1.05）/（.15–.05）=73.50MTerminalvalueat0percent:

7/.15=46.67MChangeinpresentvalue:

（46.67–73.50）/1.153=–17.64Percentagechange:

–17.64/61.8=–28.5%

4、AsaresultofThorpe’sadmissionhetradedinSavannashares,whichCFAInstituteStandardofPracticewillOkadaleastlikelyinvestigateforapossibleviolation?

【单选题】

A.Professionalism

B.DutiestoClients

C.IntegrityofCapitalMarkets

正确答案:

B

答案解析:

Biscorrect.OkadaisleastlikelytoinvestigateCFAInstituteStandardIII:

DutiestoClients.WhentradinginSavannashares,Thorpelikelydisplayedloyalty,prudence,andcarebyputtingtheinterestsofhisclientsbeforehisown,asrequiredunderStandardIII:

DutiestoClients.Thorpe,however,likelyviolatedStandardII:

IntegrityofCapitalMarketswhenhetradedoninformationthatcouldbeconsideredmaterialandnon-public.DespiteinsidertradingbeinglegalinThorpe’sjurisdiction,asaCFAcandidate,heisrequiredunderStandardI:

Professionalismtoupholdthestricterstandard,whichinthiscaseistheCFAInstituteCodeandStandards.ByviolatingStandardII:

IntegrityofCapitalMarkets,hehaslikelyviolatedStandardI:

Professionalism.AisincorrectbecausedespiteinsidertradingnotbeingagainstthelawinThorpe’sjurisdiction,asaCFAcandidate,heisrequiredtoupholdtheCFAInstituteCodeofEthicsandStandardsofProfessionalConduct.BecauseinsidertradingisaviolationoftheStandards,helikelyviolatedStandardI:

ProfessionalismbynotupholdingthestricterCFAInstituteStandards.Inthiscase,StandardII:

IntegrityofCapitalMarketsisstricterthanthelawsofThorpe’sjurisdiction.CisincorrectbecauseThorpelikelyviolatedStandardII:

IntegrityofCapitalMarketsinthathetradedoninformationthatcouldbeconsideredmaterial,becausealowerearningsforecastwouldlikelynegativelyaffectthesharepriceifitwereknowntothepublic.Theearningswarningwasnotyetavailabletothepublic,sobytradinginadvanceofthenotice,Thorpelikelytradedonmaterialnon-publicinsiderinformation.EventhoughinsidertradingisnotillegalinThorpe’smarket,hehasanobligationtofollowthestricterstandard—theCFAInstituteCodeandStandards.

5、Usinganappropriatevaluationmodel,theestimatedvaluepershareofBMCisclosestto:

【单选题】

A.$16.50.

B.$26.50.

C.$27.60.

正确答案:

C

答案解析:

BMCisamaturecompany.Themostappropriatemodelforvaluationisthesingle-stageGordongrowthmodel.In$millionsEBIT（operatingincome）3,290.0Interestexpense600.0Earningsbeforetax2,690.0Taxat30%807.0Earnings1,883.0Dividendsat72%1,355.8Dividendpershare1.36CostofEquity:

CAPMbeta0.90Risk-freerate4.0%Marketriskpremium5.0%Discountrate（0.90）（5.0%）+4.0%=8.5%LTgrowthrate=3.4%（given）

6、BasedonExhibit1,whichindependentvariablesinVarden’smodelaresignificantatthe0.05level?

【单选题】

A.ESGonly

B.10.957%.

C.Tenureonly

D.NeitherESGnortenure

正确答案:

C

答案解析:

Biscorrect.Thet-statisticfortenureis2.308,whichissignificantatthe0.027level.Thet-statisticforESGis1.201,withap-valueof0.238.Thisresultisnotsignificantatthe0.05level.

7、Fortheyear2010,theremeasurementcomponentofKensington’speriodicpensioncostrepresents:

【单选题】

A.thechangeinthenetpensionobligation.

B.actuarialgainsandlossesonthepensionobligation.

C.actualreturnonplanassetsminustheamountofreturnonplanassetsincludedinthenetinterestexpense.

正确答案:

C

答案解析:

Ciscorrect.Theremeasurementcomponentofperiodicpensioncostincludesbothactuarialgainsandlossesonthepensionobligationandnetreturnonplanassets.BecauseKensingtondoesnothaveanyactuarialgainsandlossesonthepensionobligation,theremeasurementcomponentincludesonlynetreturnonplanassets.Inpractice,actuarialgainsandlossesarerarelyequaltozero.Thenetreturnonplanassetsisequaltoactualreturnsminusbeginningplanassetstimesthediscountrate,or￡1,302million–（￡23,432million×0.0548）=￡18million.

8、Thepresentvalueofexpectedlosson$1,000face-valuePistarbondsisclosestto:

【单选题】

A.$6.96.

B.$18.27.

C.$43.44.

正确答案:

A

答案解析:

TimetoCashFlowCashFlowRisk-FreSpotRateCreditSpread（%）TotalYield（%）PV（risk-freerate）PV（totalyield）0.5201.50%0.20%1.70%19.8519.831201.75%0.25%2.00%19.6519.601.5202.00%0.30%2.30%19.4119.322.01,0202.25%0.35%2.60%975.12968.32Total$1,034.03$1,027.07Presentvalueofexpectedloss=PV（risk-freerate）-PV（totalyield）=1,034.03-1,027.07=$6.96

9、Thecovariancebetweenarisk-averseinvestor’sinter-temporalrateofsubstitutionandtheexpectedfuturepriceofariskyassetistypically:

【单选题】

A.negative.

B.zero.

C.positive.

正确答案:

A

答案解析:

Aiscorrect.Forrisk-averseinvestors,whentheexpectedfuturepriceoftheinvestmentishigh（low）,themarginalutilityoffutureconsumptionrelativetothatofcurrentconsumptionislow（high）.Hence,thecovarianceoftheinter-temporalrateofsubstitutionwithassetpriceisexpectedtobenegativeforrisk-averseinvestors.

10、Acompanyhas1millionsharesoutstandingandearningsare￡2million.Thecompanydecidestouse￡10millioninidlecashtorepurchasesharesintheopenmarket.Thecompany’ssharesaretradingat￡50pershare.Ifthecompanyusestheentire￡10millionofidlecashtorepurchasesharesatthemarketprice,thecompany’searningspersharewillbeclosestto:

【单选题】

A.￡2.00.

B.￡2.30.

C.￡2.50.

正确答案:

C

答案解析:

Ciscorrect.Atthecurrentmarketprice,thecompanycanrepurchase200,000shares（￡10million/￡50=200,000shares）.Thecompanywouldhave800,000sharesoutstandingaftertherepurchase（1millionshares–200,000shares=800,000shares）.EPSbeforethebuybackis￡2.00（￡2million/1millionshares=￡2.00）.Totalearningsafterthebuybackarethesamebecausethecompanyusesidle（nonearning）cashtopurchasetheshares,butthenumberofsharesoutstandingisreducedto800,000.EPSincreasesto￡2.50（￡2million/800,000shares=￡2.50）.