CFA考试二级模拟试题精选0401-16(附详解)
CFA考试二级模拟试题精选0401-58(附详解)
CFA考试二级模拟试题精选0401-58(附详解）1、Assuming that Dena Fund and Orient Fund both have the same information ratio, the value of MXM in Exhibit 2 must be closest to:【单选题】A.10B.12C.16正确答案:B答案解析:IR(Dena) = IR(Orient)2、Based on the ratios for operating cash flow before interest and taxes to operating income, Abay should conclude that:【单选题】A.Bickchip’s earnings are backed by cash flow.B.Bickchip’s earnings are not backed by cash flow.C.Abay can draw no conclusion due to the changes in the ratios over time.正确答案:A答案解析:A is correct. Operating cash flow before interest and taxes to operating income rises steadily3、In regard to the discussion on other approaches between Mendosa and Raman, which of the following statements that they make is most accurate? Statement:【单选题】A.1B.3C.2正确答案:B答案解析:Statement 3 by Raman is most accurate. The residual income model, also called the excess earnings method, does not have the same weakness as the FCFE approach, because it is an estimate of the profit of the company after deducting the cost of all capital: debt and equity. Further, it makes no assumptions about future earnings and dividend growth.4、Assuming the AR(1) model in Exhibit 2 is appropriate, Shears should conclude that the Quarter 1, 2009, change in sales is most likely to:【单选题】A.fall from Quarter 4, 2008, change in sales.B.rise from Quarter 4, 2008, change in sales.C.remain unchanged from Quarter 4, 2008, change in sales.正确答案:A答案解析:The mean reverting value equals the intercept divided by 1 minus slope = 20/ (1—0.10)5、Regarding Question 3, the Pres party dummy variable in the model indicates that the mean monthly value for the excess stock market return is:【单选题】A.1.43 percent larger during Democratic presidencies than Republican presidencies.B.3.17 percent larger during Democratic presidencies than Republican presidencies.C.3.17 percent larger during Republican presidencies than Democratic presidencies.正确答案:B答案解析:B is correct. The coefficient for the Pres party dummy variable (3.17) represents the increment in the mean value of the dependent variable related to the Democratic Party holding the presidency. In this case, the excess stock market return is 3.17 percent greater in Democratic presidencies than in Republican presidencies.6、Based on Exhibit 1, the results of Analysis 1 should show the yield on the 20-year bond decreasing by:【单选题】A.0.3015%.B.0.6030%.C.0.8946%.正确答案:B答案解析:B is correct. Because the factors in Exhibit 1 have been standardized to have unit standard deviations, a two standard deviation increase in the steepness factor will lead to the yield on the 20-year bond decreasing by 0.6030%, calculated as follows:7、Are Aims's two comments about the dividend yield and EBITDA ratios correct?【单选题】A.Yes.B.No. The comment about EBITDA ratios is correct, but the comment about dividend yields is incorrect.C.No. The comment about dividend yields is correct, but the comment about EBITDA ratios is incorrect.正确答案:C答案解析:Comment 1 about EBITDA ratios is incorrect. EBITDA is a pre-interest variable, so it is a flow available to all suppliers of capital, not just common shareholders. The comment about dividend yields is reasonable.8、When analyzing the probability of an LBO of Country Industries, does Boswin violate any CFA Institute Standards?【单选题】A.No.B.Yes, relating to independence and objectivity.C.Yes, relating to diligence and reasonable basis.正确答案:A答案解析:A is correct. Boswin uses her usual process in researching Country Industries. She is not in possession of material nonpublic information and she maintains her objectivity. Her use of the model provides a reasonable basis for the decision not to pursue additional research or make an investment recommendation regarding Country Industries.9、If investors have homogeneous expectations, the market is efficient, and there are no taxes, no transactions costs, and no bankruptcy costs, the Modigliani and Miller Proposition I states that:【单选题】A.bankruptcy risk rises with more leverage.B.managers cannot change the value of the company by using more or less debt.C.managers cannot increase the value of the company by employing tax saving strategies.正确答案:B答案解析:B is correct. Proposition I, or the capital structure irrelevance theorem, states that the10、Eagen is most likely to take advantage of his prediction for TRTRS by:【单选题】A.purchasing CDS protection and selling the underlying stock.B.selling CDS protection and buying the underlying stock.C.buying CDS protection and buying the underlying stock.正确答案:C答案解析:Typically, an LBO will result in an increase in the probability of default due to the large increase in debt levels. An investor would, therefore, seek to buy protection, as the premium would rise along with the probability of default. Due to the takeover premium that would result from the LBO, Eagen would also benefit by going long TRTRS stock.。
CFA考试二级模拟试题精选0401-51(附详解)
CFA考试二级模拟试题精选0401-51(附详解）1、With regards to investments in Sandhirst stock and retail ETF, Dutt most likely violated:【单选题】A.B.Standard II(A) - Material and Nonpublic InformationC.Standard II(A) - Material and Nonpublic Information in正确答案:B答案解析:By transacting in Sandhirst stock, Dutt did not rely on any material nonpublic information and, therefore, is not in violation2、A two-year fixed-for-floating Libor swap is 1.00% and the two-year US Treasury bond is yielding 0.63%. The swap spread is closest to:【单选题】A.37 bps.B.100 bps.C.163 bps.正确答案:A答案解析:A is correct. The swap spread = 1.00% ? 0.63% = 0.37% or 37 bps.3、Assuming that Nolte establishes a delta hedge on Pioneer stock using 3-month call options, the gamma of this delta hedged portfolio would most likely be:【单选题】A.positive.B.negative and would increase with the stock's price.C.negative and would decrease as the stock's price increases.正确答案:B答案解析:Delta hedged portfolio consists of long position in stocks and short position in call4、Based on Statement 2, which of the following sources of perceived mispricing do active investment managers attempt to identify? The difference between:【单选题】A.intrinsic value and market price.B.estimated intrinsic value and market price.C.intrinsic value and estimated intrinsic value.正确答案:A答案解析:A is correct. The difference between the true (real) but unobservable intrinsic value and the observed market price contributes to the abnormal return or alpha which is the concern of active investment managers.5、Based on Khan’s estimate of the capitalization rate, Main Company’s preferred stock is:【单选题】A.undervalued.B.fairly valued.C.overvalued.正确答案:A答案解析:A is correct. The value of a share of Main Company’s preferred stock is6、Based on Ohalin’s estimates, the amount of the joint venture’s 31 December 2010 total assets (in $ millions) that will be included on Supreme Healthcare’s consolidated financial statements will be closest to:【单选题】6、Which of Castovan’s statements regardi ng residual income models is correct?【单选题】A.Statement 1B.Statement 2C.Statement 3正确答案:B答案解析:B is correct. The residual income model’s use of accounting income assumes that the cost of debt capital is reflected approp riately by interest expense.7、Is Berg correct about the specified change in yield needed to obtain an accurate estimate of the effective duration and effective convexity of a callable bond using a binomial model?【单选题】A.No, because the specified change in yield must be larger than the option-adjusted spread (OAS).B.No, because the specified change in yield must be smaller than the OAS.C.No, because the specified change in yield can be larger than, smaller than, or equal to the OAS.正确答案:C答案解析:8、If Smith’s statement on parity conditions is correct, future spot exchange rates are to be forecast by:【单选题】A.current spot rates.B.forward exchange rates.C.inflation rate differentials.正确答案:B答案解析:B is correct. By rearranging the terms of the equation defining covered interest rate parity, and assuming that uncovered interest rate parity is in effect, the forward exchange rate is equal to the expected future spot exchange rate, , with the expected percentage change in the spot rate equal to the interest rate differential. Thus, the forward exchange rate is an unbiased forecast of the future spot exchange rate.9、Which of the following models is most appropriate for valuing HLTV?【单选题】A.H-modelB.Three-stage DDMC.Gordon growth model正确答案:B答案解析:B is correct because HLTV is forecast to have three growth stages: the growth phase (2 years at 27%), the transition phase (10 years at 12%), and the mature phase. Because the earnings growth has three stages and the dividend payout ratio is stable, a three-stage DDM is appropriate.10、Using Jatin’s 2014 estimate for FCFE per share and his other suggested inputs for growth and required return on the stock, the intrinsic value of CRN’s stock as of 2013 is closest to:【单选题】A.$21.27.B.$19.15.C.$17.37.正确答案:B答案解析:B is correct.。
CFA考试二级模拟试题精选0401-61(附详解)
CFA考试二级模拟试题精选0401-61(附详解）1、Based on Exhibit 4 and Gillette’s forecast regarding Raffarin’s share price, the return on the RI bond over the next year is most likely to be:【单选题】A.lower than the return on Raffarin’s common shares.B.the same as the return on Raff arin’s common shares.C.higher than the return on Raffarin’s common shares.正确答案:A答案解析:A is correct. Over the next year, Gillette believes that Raffarin’s share price will continue to increase towards the conver sion price but not exceed it. If Gillette’s forecast becomes true, the return on the RI bond will increase but at a lower rate than the increase in Raffarin’s share pric e because the conversion price is not expected to be reached.2、Relative to the gross margins the subsidiaries report in local curr ency, Romulus’s consolidated gross margin most likely:【单选题】A.will not be distorted by currency translations.B.would be distorted if Augustus were using the same translation method as Julius.C.will be distorted because of the translation and inventory accounting methods Augustus is using.正确答案:C答案解析:C is correct. Augustus is using the temporal method in conjunction with FIFO inventory accounting. If FIFO is used, ending inventory is assumed to be composed of the most recently acquired items, and thus inventory will be translated at relatively recent exchange rates. To the extent that the average weight used to translate sales differs from the historical rate used to translate inventories, the gross margin will be distorted when translated into US dollars.3、In regard to the measures of economic activity, the comment by which one of the research team members is most accurate?【单选题】A.Bergman.B.Rajan.C.Medeva.正确答案:A答案解析:Medeva's comment is most accurate. The percentage change in stock market value equals the percentage change in GDP plus the percentage change in the share of earnings (profit) in GDP plus the percentage change in the price-to-earnings multiple. Over short to immediate horizons, all three of these factors contribute to appreciation or depreciation of the stock market. In the long run, however, the growth rate of GDP must dominate. As noted, the ratio of earnings to GDP cannot rise forever.4、Using the approach suggested by Medeva and the data in Exhibit 1, which of the three countries most likely indicates the highest growth rate in potential GDP?【单选题】A.Country X.B.Country Y.C.Country Z.正确答案:B答案解析:Using the labor productivity growth accounting equation, Country Z indicates the highest growth rate in potential GDP.5、If Bardem does use the equity method of accounting for its purchase of Ariana, using Exhibit 1，the value of goodwill，in millions, arising from the purchase is closest to:【单选题】A.€6.25.B.€21.25.C.€15.00.正确答案:A答案解析:A is correct. Bardem’s purchase price for Ariana will include goodwill of €6.25 per the calculation below. Under the equity method the goodwill is included in the investment amount on Bardem’s balance sheet.6、According to the CFA Institute Standards, must Voser obtain permission from her supervisor before accepting the Greenhornfood gift basket?【单选题】A.No.B.Yes, because the value of the basket is higher than €50.C.Yes, because consent is required by the company’s compliance procedures.正确答案:A答案解析:A is correct. According to Standard I(B)–Independence and Objectivity, members must use reasonable care and judgment to achieve and maintain independence and objectivity in their professional activities. Although it was sent to Voser’s office, the gift basket is a private gift from Voser’s sister and not likely to affect Voser’s professional activities. According to Excerpt 4 of the Crawfood compliance manual and Standard IV(B)–Additional Compensation Arrangements, employees must obtain permission from their employer before accepting gifts, compensation, or other benefits that compete with, or might create a conflict of interest with, the employer’s interests. The gift basket does not create a conflict or compete with the employer’s interests.7、Which implied market expectation most likely accounts for the discrepancy in bond pricing that Rutherford notes?【单选题】A.Inflation uncertaintyB.Interest rate riskC.Credit risk正确答案:A答案解析:A is correct. The breakeven inflation rate incorporates both premiums for expectations about inflation and for the uncertainty of the future inflation environment.8、【单选题】A.0.072.B.0.087.C.0.084.正确答案:A答案解析:A is correct. Use the single-stage Gordon growth model, P0 = D1/(r 一g), and apply the current market price provided by Filo and the information in Exhibit 1 to solve for g as shown:9、Based on Exhibit 2, the modeling approach used by Candidate B to project future net sales is most accurately classified as a:【单选题】A.hybrid approach.B.top-down approach.C.bottom-up approach.正确答案:B答案解析:B is correct. A top-down approach usually begins at the level of the overall economy. Candidate B assumes industry sales will grow at the same rate as nominal GDP but that Chrome will have a 2 percentage points decline in market share. Candidate B is not using any elements of a bottom-up approach; therefore, a hybrid approach is not being employed.10、Based on Exhibit 1, the difference between the predicted annualized returns of a growth fund and an otherwise similar value fund is to:【单选题】A.1.86%.B.2.44%.C.3.01%.正确答案:B答案解析:B is correct. The estimated coefficients for the dummy variables show the estimated difference between the returns on different types of funds. The growth dummy takes the value of 1 for growth funds and 0 for the value fund. Exhibit 1 shows a growth dummy coefficient of 2.4368. The estimated difference between the return of growth funds and value funds is thus 2.4368.。
CFA考试二级模拟试题精选0401-36(附详解)
CFA考试二级模拟试题精选0401-36(附详解）1、Prior to her first conversation with Weinberger and using the information from Exhibits 1 and 2, England's estimate of the 2013 economic profit for the new division (in USD millions) is closest to:【单选题】A.-0.59.B.-0.81.C.-0.87.正确答案:B答案解析:2、The best answer to Paul’s first question is to use the:【单选题】pany’s before-tax cost of debt.B.yield on high quality corporate bonds.pany’s overall cost of capital.正确答案:B答案解析:B is correct. The yield on high quality corporate bonds is the appropriate discount rate that should be used to calculate the present value of the future benefits because it represents the rate at which the defined-benefit obligation could be effectively settled.3、Lee’s statement about the assumptions of the BSM model is accurate with regard to:【单选题】A.interest rates but not continuous prices.B.continuous prices but not the return distribution.C.the stock return distribution but not the volatility.正确答案:B答案解析:B is correct. Although the BSM model assumes continuous stock prices, it also assumes that stock returns are lognormally distributed (not normally distributed).4、Which of Thorpe’s actions after the Hearing Panel presentation most likely violated CFA Institute Standards?【单选题】A.His letter to his clientsB.His complaint to the compliance officerC.His new disciplinary review consulting practice正确答案:C答案解析:5、If the price of GI stock approaches $75 over the next 30 days, which of the following changes in option parameter measures will most likely be observed?【单选题】A.Decreases in vega and the absolute value of thetaB.Increases in vega and the absolute value of thetaC.A decrease in vega and an increase in the absolute value of theta正确答案:B答案解析:B is correct. Typically, theta is negative for options. The speed of the option value decline increases, however, as time to expiration decreases. Vega is high when options are at or near the money. During the next 30 days, the options will approach expiration and approach being at the money.6、Based on Exhibit 1, residual income for SSX is closest to:【单选题】A.€40.9 million.B.€90.2 million.C.€133.9 million.正确答案:C答案解析:C is correct. The residual income can be calculated using net income and the equity charge or using net operating profit after taxes (NOPAT) and the total capital charge.7、Based on Exhibit 1, the maximum loss per share that would be incurred if Strategy 4 was implemented is:【单选题】A.€2.99.B.€3.99.C.unlimited.正确答案:B答案解析:B is correct. Strategy 4 is a protective put position, which is a combination of a long position in shares and a long put option. By purchasing the €25.00 strike put option, Nunes would be protected from losses at QWY share prices of €25.00 or lower. Thus, the maximum loss per share from Strategy 4 would be the loss of share value from €28.49 to €25.00 (or, €3.49) plus the put premium paid for the put option of €0.50: S = €28.49 – €25.00 + €0.50 = €3.99.8、In a recent presentation, Doug Pearce made two statements about dividends:【单选题】A.No for both statements.B.Yes for Statement 1 and no for Statement 2.C.No for Statement 1 and yes for Statement 2.正确答案:A答案解析:A is correct. Both statements are incorrect. A stock dividend will decrease the price per9、Based on Exhibit 3, Ho’s FCFF sensitivity analysis should conclude that Colanari’s value is most sensitive to the:【单选题】A.FCFF growth rate.B.before-tax cost of debt.C.required rate of return for equity.正确答案:C答案解析:C is correct. Colanari’s valuation is most sensitive to the cost of equity (r10、Which of Ho’s statements regarding free cash flow is (are) correct?【单选题】A.Statement 1 onlyB.Statement 2 onlyC.Neither Statement 1 nor Statement 2正确答案:C答案解析:C is correct. Transactions between the company and its shareholders (through cash dividends, share repurchases, and share issuances) do not affect free cash flow. However, leverage changes, such as the use of more debt financing, have some impact on free cash flow because they increase the interest tax shield (reduce corporate taxes because of the tax deductibility of interest) and reduce the cash flow available to equity.。
CFA考试二级模拟试题精选0401-42(附详解)
CFA考试二级模拟试题精选0401-42(附详解）1、When listing their names on the research report, do Brecksen and Grohl violate any CFA Standards?【单选题】A.No.B.Yes, because Brecksen misrepresents his authorship.C.Yes, because Grohl should dissociate from the report.正确答案:A答案解析:A is correct. According to Standard V(A)–Diligence and Reasonable Basis, research report conclusions or recommendations may represent the consensus of a group and not necessarily the views of the individual members listed. If the member believes that the consensus opinion has a reasonable basis, then he need not dissociate from the report.2、【单选题】A.Lower return on assets (ROA).B.Lower net profit margin.C.Higher return on equity (ROE).正确答案:A答案解析:In 2012, Cupernico and Glace shared joint control. Cupernico must use the equity method under US GAAP; if the ownership structure had not changed, Cupernico would have continued to use the consolidation method.3、All else equal, the use of long-maturity debt is expected to be greater in those markets in which:【单选题】A.inflation is low.B.capital markets are passive and illiquid.C.the legal system’s protection of bondholders’ interests is weak.正确答案:A答案解析:A is correct. The use of long-maturity debt is expected to be inversely related to the level4、If the NexTec floater had a 3% cap, the value of this embedded cap for the issuer would be closest to:【单选题】A.1.57.B.1.09.C.0.49.正确答案:C答案解析:C is correct. Value of capped bond = Value of the straight bond – Value of embedded cap. To calculate this value, we need to calculate the value from the binomial interest rate tree, capping all cash flows at $3 (3% of $100). The valuation is highlighted below.5、Which of MacPhail's observations about the new executive compensation plan is most accurate?【单选题】A.1B.2C.3正确答案:A答案解析:6、Using the approach suggested by Medeva and the data in Exhibit 1, which of the three countries most likely indicates the highest growth rate in potential GDP?【单选题】A.Country X.B.Country Y.C.Country Z.正确答案:B答案解析:Using the labor productivity growth accounting equation, Country Z indicates the highest growth rate in potential GDP.7、If Gronola is reclassified as available for sale, the balance sheet carrying value of Nelson's investment portfolio (in € thousands) at December 31, 2016 would be closest to:【单选题】A.128,000.B.165,000.C.134,000正确答案:C答案解析:Basin and Gronola will be measured at their market value where Cathay is measured at cost. Therefore, the value will be €26,000+34,000+74,000 = €134,000. A is incorrect because Gronola should be valued at market value. B is incorrect because held to maturity asset is valued at cost.8、【单选题】A.37.3%.B.58.2%.C.62.8%.正确答案:A答案解析:If the company plans on spending $160 million on net investments, then only 60% of the funds need to come from retained9、Which of the following analysts most likely provides the correct answer to Yusuf’s question on the contribution to active return?【单选题】A.QuekB.CerraC.Singh正确答案:B答案解析:B is correct. Cerra is correct. To determine which factor contributes most to active return, note the following:10、Based on each firm's forecasts of the estimated NPV of synergies from a merger between Alertron and Carideo, what payment method is each firm likely to prefer in the deal?【单选题】A.Both firms prefer a cash deal.B.Only Alertron prefers a cash deal.C.Only Carideo prefers a cash deal.正确答案:A。
CFA考试二级模拟试题精选0401-57(附详解)
CFA考试二级模拟试题精选0401-57(附详解）1、The type of convergence described by O’Leary in Statement 1 is best described as:【单选题】A.absolute convergence.B.free trade.C.conditional convergence.正确答案:C答案解析:C is correct. Conditional convergence means that convergence is conditional on the countries having the same savings rate, population growth rate, and production function. If these conditions hold, the neoclassical model implies convergence to the same level of per capita output as well as the same steady state growth rate.2、Which of Wu’s three observations is least likely correct?【单选题】A.Observation 3B.Observation 1C.Observation 2正确答案:A答案解析:A is correct. Observation 3 regarding consumption hedging is incorrect. Because of the pro-cyclicality of economies and corporate profits, equities are not a good hedge against bad consumption outcomes, which is one of the reasons equity investors require a risk premium.3、FITCO is considering the purchase of new equipment. The equipment costs $350,000, and an additional $110,000 is needed to install it. The equipment will be depreciated straight-line to zero over a five-year life. The equipment will generate additional annual revenues of $265,000, and it will have annual cash operating expenses of $83,000. The equipment will be sold for $85,000 after five years. An inventory investment of $73,000 is required during the life of the investment. FITCO is in the 40 percent tax bracket and its cost of capital is 10 percent. What is the project NPV?【单选题】A.$52,122.B.$64,090.C.$97,449.正确答案:C答案解析:C is correct.4、In a recent presentation, Doug Pearce made two statements about dividends:【单选题】A.No for both statements.B.Yes for Statement 1 and no for Statement 2.C.No for Statement 1 and yes for Statement 2.正确答案:A答案解析:A is correct. Both statements are incorrect. A stock dividend will decrease the price per5、Based on the results depicted in Exhibit 2, DeMolay and Kamini should most likely:【单选题】A.Model the forward P/E data using an AR(1) model.B.Model the forward P/E data using a random walk model.e generalized least squares to model the forward P/E data.正确答案:C答案解析:Select and justify the choice of a particular time series model from a group of models. “Fi rst, if ARCH exists, the standard errors for the regression parameters will not be correct. In case ARCH exists, we will need to use generalized least squares to modify the model.6、The most likely effect of the change in the exchange rate between the CNY and GBP arising from GF's investment in YDYL in 2017 will be a (an):【单选题】A.adjustment loss of ￡2.70 million reported in other comprehensive income.B.adjustment gain of ￡2.41 million reported in other comprehensive income.C.re-measurement loss of ￡2.79 million reported in net income.正确答案:A答案解析:YDYL will be translated using the current rate method because the sales come from Chinese market. the functional currency is Chinese Yuan (CNY).7、Based on Exhibit 1, Varden’s best answer to Quinni’s question abou t the F-statistic is:【单选题】A.both independent variables are significant at the 0.05 level.B.neither independent variables are significant at the 0.05 level.C.at least one independent variables are significant at the 0.05 level.正确答案:C答案解析:C is correct. Exhibit 1 indicates that the F-statistic of 4.161 is significant at the 0.05 level. A significant F-statistic means at least one of theindependent variables is significant.8、Michelieu tells a prospective client, “I may not have a long-term track record yet, but I’m sure that you’ll be very pleased with my recommendations and service. In the three years that I’ve been in the business, my equity-oriented clients have averaged a total return of more than 26% a year.” The statement is true, but Michelieu only has a few clients, and one of his clients took a large position in a penny stock (against Michelieu’s advice) and realized a huge gain. This large return caused the average of all of Michelieu’s clients to exceed 26% a year. Without this one investment, the average gain would have been 8% a year. Has Michelieu violated the Standards?【单选题】A.No, because Michelieu is not promising that he can earn a 26% return in the future.B.No, because the statement is a true and accurate description of Michelieu’s track record.C.Yes, because the statement misrepresents Michelieu’s track record.正确答案:C答案解析:The correct answer is C. This question relates to Standard I(C)–Misrepresentation. Al though Michelieu’s statement about the total return of his clients’ accounts on average may be technically true, it is misleading because the majority of the gain resulted from one client’s large position taken against Michelieu’s advice. Therefore, this s tatement misrepresents the investment performance the member is responsible for. He has not taken steps to present a fair, accurate, and complete presentation of performance. Answer B is thus incorrect. Answer A is incorrect because although Michelieu is not guaranteeing future results, his words are still a misrepresentation of his performance history.9、Is the relationship between the ratio of cash flow to operations and the ratio of net income to sales significant at the 5 percent level?【单选题】A.No, because the R-squared is greater than 0.05.B.No, because the p-values of the intercept and slope are less than 0.05.C.Yes, because the p-values for F and t for the slope coefficient are less than 0.05.正确答案:C答案解析:C is correct. The p-value is the smallest level of significance at which the null hypotheses concerning the slope coefficient can be rejected. In this case the p-value is less than 0.05, and thus the regression of the ratio of cash flow from operations to sales on the ratio of10、The best response that Maturin could give to Jack Aubrey's question about the marginal tax rate on dividend income is that it was:【单选题】A.15.6%.B.32.0%.C.47.6%.正确答案:C答案解析:Explain how clientele effects and agency issues may affect a company's payout policy.。
CFA考试二级模拟试题精选0401-17(附详解)
CFA考试二级模拟试题精选0401-17(附详解）1、【单选题】A.correct given the assumptions and method described.B.too high given the assumptions and method described.C.too low given the assumptions and method described.正确答案:C答案解析:To calculate the daily VaR from an annual VaR, the mean and standard deviation must be adjusted using the 250 trading days described.2、Based on the market price of the Tangoran government bond and the interest rates in Exhibit 1, what profitable arbitrage opportunity should Hake's algorithm most likely identify?【单选题】A.Buying the strips and selling the bondB.Buying the Year 1 and Year 2 strips and selling the Year 3 stripC.Buying the bond and selling the strips正确答案:A答案解析:3、If the volatility estimate is changed to 30% in the structural model shown in Exhibit 2, the calculated value of IMC Bond would most likely:【单选题】A.Remain the same.B.Decrease.C.Increase正确答案:B答案解析:Under the option analogy of the structural model, risky debt can be viewed as a portfolio comprising a long position in risk-free debt and a short put option on the company's asset with a strike price equal to the face value of the risky debt. When the asset volatility increases, the value of the put option increases and the value of the portfolio with short exposure to the put option will decrease. Hence the computed value of risky debt will be lower.4、The terminal year after tax non-operating cash flow (TNOCF) and the after-tax cash flow (ATOCF) in the terminal year (in BRL thousands) to be derived from the proposed distribution center are respectively closest to:【单选题】A.TNOCF = 52,200; ATOCF = 18,400.B.TNOCF = 54,200; ATOCF = 14,400.C.TNOCF = 52,200; ATOCF = 14,400.正确答案:C答案解析:The TNOCF and ATOCF for the distribution center in its terminal year (year 6) would be calculated as: Year 6:5、【单选题】A.beta.B.growth rate.C.equity risk premium.正确答案:C答案解析:C is correct. When the low/high measure of each variable is tested singly for sensitivity in predicting a range of intrinsic value while holding the other variables at the base case, the equity risk premium variable produces the largest stock price range, as shown in the following table.6、Based on the case study illustration and the effect of changing the annual compensation rate, the annual unit credit for the average participant would decrease by an amount closest to:【单选题】A.€4,349.B.€4,858.C.€5,446.正确答案:B答案解析:B is correct. The final year’s estimated earnings at the end of Year 1 for the average participant would decrease by approximately €35,747.71.7、Honoré describes three potential consequences of multicollinearity. Are all three consequences correct?【单选题】A.Yes.B.No, 1 is incorrectC.No, 2 is incorrect正确答案:B答案解析:B is correct. The is expected to increase, not decline, with a new independent variable. The other two potential consequences Honoré describes are correct.8、Based upon Exhibit 1, capital deepening as a source of growth was most important for:【单选题】A.Country A.B.Country B.C.Country C.正确答案:A答案解析:A is correct. The associate economist can measure the effect of pure capital deepening by measuring the difference of the growth rates of labor productivity and total factor productivity (TFP). The larger the difference, the more important capital deepening is as a source of economic growth. From 2000–2010, Country A’s labor productivity grew by 2.4% per year, of wh ich 0.6% came from TFP growth and 1.8% from capital deepening (2.4% – 0.6% = 1.8%).9、Relative to the gross margins the subsidiaries report in local currency, Romulus’s consolidated gross margin most likely:【单选题】A.will not be distorted by currency translations.B.would be distorted if Augustus were using the same translation method as Julius.C.will be distorted because of the translation and inventory accounting methods Augustus is using.正确答案:C答案解析:C is correct. Augustus is using the temporal method in conjunction with FIFO inventory accounting. If FIFO is used, ending inventory is assumed to be composed of the most recently acquired items, and thus inventory will be translated at relatively recent exchange rates. To the extent that the average weight used to translate sales differs from the historical rate used to translate inventories, the gross margin will be distorted when translated into US dollars.10、Based on Exhibit 1 and the note to Adesivo’s financial statements, the trailing P/E for Adesivo usi ng underlying EPS is closest to:【单选题】A.17.7.B.18.2.C.18.4.正确答案:C答案解析:C is correct. The EPS figure that Silveira should use is diluted trailing EPS of R$0.81。
CFA考试二级模拟试题精选0401-18(附详解)
CFA考试二级模拟试题精选0401-18(附详解）1、The bond that would most likely protect investors against a significant increase in interest rates is:【单选题】A.Bond #1.B.Bond #2.C.Bond #3.正确答案:C答案解析:C is correct. The bond that would most likely protect investors against a significant increase in interest rates is the putable bond, i.e., Bond #3. When interest rates have risen and higher-yield bonds are available, a put option allows the bondholders to put back the bonds to the issuer prior to maturity and to reinvest the proceeds of the retired bonds in higher-yielding bonds.2、At a significance level of 1%, which of the following is the best interpretation of the regression coefficients with regard to explaining ROE?【单选题】A.ESG is significant, but tenure is not.B.Tenure is significant, but ESG is not.C.Neither ESG nor tenure is significant.正确答案:C答案解析:C is correct. The t-statistic for tenure is 2.308, indicating significance at the 0.027 level but not the 0.01 level. The t-statistic for ESG is 1.201, with a p-value of 0.238, which means we fail to reject the null hypothesis for ESG at the 0.01 significance level.3、Violation of which BSM assumption is most likely to lead to gamma risk?【单选题】A.The volatility of the returns on the underlying asset is constant and known.B.Markets are frictionless; there are no transaction costs.C.The price of the underlying changes smoothly.正确答案:C答案解析:Gamma risk arises when the price of the underlying jumps abruptly (as opposed to smoothly).4、Using information in Exhibit 1, the portfolio's sensitivity to inflation is closest to:【单选题】A.-1.1.B.- 1.7.C.-2.2.正确答案:B答案解析:β=0.6(-2.2) + 0.4(-1.0) = -1.725、Cannan’s preference to use the P/E ratio over the P/S ratio is best supported by:【单选题】A.Reason 1B.Reason 2C.Reason 3正确答案:C答案解析:C is correct. The price to sales (P/S) ratio fails to consider differences in cost structures. Also, while share price reflects the effect of debt financing on profitability and risk, sales is a pre-financing income measure and does not incorporate the impact of debt in the firm’s capital structure. Earnings reflect operating and financial leverage, and thus the price-to-earnings (P/E) ratio incorporates the impact of debt in the firm’s capital structure.6、Based on each firm's forecasts of the estimated NPV of synergies from a merger between Alertron and Carideo, what payment method is each firm likely to prefer in the deal?【单选题】A.Both firms prefer a cash deal.B.Only Alertron prefers a cash deal.C.Only Carideo prefers a cash deal.正确答案:A答案解析:7、Based on Exhibit 4 and Gillette’s forecast regarding Raffarin’s share price, the return on the RI bond over the next year is most likely to be:【单选题】A.lower than the return on Raffarin’s common shares.B.the same as the return on Raffarin’s common shares.C.higher than the return on Raffarin’s common shares.正确答案:A答案解析:A is correct. Over the next year, Gillette believes that Raffarin’s share price will continue to increase towards the conver sion price but not exceed it. If Gillette’s forecast becomes true, the return on the RI bond will increase but at a lower rate than the increase in Raffarin’s share price because theconversion price is not expected to be reached.8、For the interest rate scenario presented by Muniz, the most appropriate duration measure is:【单选题】A.key rate duration.B.one-sided up duration.C.effective duration.正确答案:A答案解析:A is correct. A bond’s sensitivity to changes in the shape of the yield curve, steepening or flattening, is captured by key rate duration. One-sided duration (up or down) is better than effective or two-sided duration at capturing the interest rate sensitivity of a callable or putable bond but only for a parallel shift in the yield curve, not for changes in the shape of the yield curve.9、【单选题】A.Price of third bond: Less than 100%; OAS of callable bond: Zero.B.Price of third bond: Equal to 100%; OAS of callable bond: Positive.C.正确答案:B答案解析:In this case, the bond is callable and puttable at the same price (100). Because Walters states that the embedded options (the issuer's call option and the holder's put option) will be exercised if the option has value (i.e., is in-the-money), the value of the bond must be 100 (plus the interest) at all times. Why? If rates fall and the computed value goes above 100, the company will call the issue at 100. Conversely, if rates increase and the computed value goes below 100, the bondholder will "put" the bond back to the issuer for 100.10、Koning realizes that an increase in the recovery rate would lead to an increase in the bond’s fair value, whereas an increase in the probability of defaultwould lead to a decrease in the bond’s fair value. He is not sure which effect would be greater, however. So, he increases bo th the recovery rate and the probability of default by 25% of their e xisting estimates and recomputes the bond’s fair value. The recomputed fair value is closest to:【单选题】A.€843.14.B.€848.00.C.€855.91.正确答案:B答案解析:B is correct. The recovery rate to be used now in the computation of fair value is 30% × 1.25 = 37.5%, whereas the hazard rate to be used is 1.50% × 1.25 = 1.875%.。
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CFA考试二级模拟试题精选0401-16(附详解）
1、Suppose all three managers claim to be good at forecasting returns. According to the full fundamental law of active management, which manager is the best at efficiently building?【单选题】
A.Manager 1
B.Manager 2
C.Manager 3
正确答案:C
答案解析:C is correct. The proper statistic to calculate is the information coefficient, and it is defined as follows:
2、Is Mazza’s response to Kuroda regarding the spread strategy most likely correct?【单选题】
A.No, he is incorrect about the capture of option time value.
B.No, he is incorrect about the timing of the price move.
C.Yes.
正确答案:B
答案解析:B is correct. Mazza is incorrect about the timing of the price move. In a calendar spread, the expectation is that a price move is not imminent. That is, the expectation is for an upward price move but after a lag. The trader attempts to capture the decay in time value by selling the near-dated call option and buying the long-dated call option with the same strike price. If the price does not move up immediately as the trader expects, the near-dated call option will expire worthless and the trader will capture the time value.
3、The change in which of the following items is most likely an indication that CCCL might be recognizing revenue early?【单选题】
A.Day's sales in receivables.
B.Unearned revenue.
C.Deferred tax assets.
正确答案:B
答案解析:The decrease in unearned revenue could be an indication of early revenue recognition as amounts previously deferred are brought into income and not replaced with new deferred revenues on the balance sheet. An increase in day's sales in receivables could be an indicator of early revenue recognition, but for CCCL the ratio did not change significantly (18.1 days in 2012 to 18.3 days in 2013 using year-end receivables). Deferred tax assets can arise from differences in revenue recognition for taxes and financial statement purposes (they would rise with increases in unearned revenue) but there is no indication that revenue is the reason for the increase in deferred tax assets (in fact unearned revenue decreased). The deferred tax assets most likely arise from the loss carry forwards generated from earlier losses.
4、【单选题】
A.Pension expense decreased and the PBO increased.。