CFA二级练习题精选及答案0601-5

CFA二级练习题精选及答案0601-51、In regard to calculating Wadgett's FCFF, the comment that is most appropriate is the one dealing with: 【单选题】A. working capital adjustments.B. treatment of all non -cash charges.C. treatment of net borrowing.正确答案:A答案解析:A is correct. Cash flow from operations (CFO) already reflects changes in working capital items, therefore Paschel's first comment is correct. EBITDA has the non -cash charges ofdepreciation and amortization added back, so Covey's statement is incorrect, not all non -cash charges will need to be added back. Net borrowing is added back for FCFE not FCFF, so Paschel's second statement is incorrect.B is incorrect. Depreciation has already been added back to EBITDA, though there may be other items that still need to be added back.C is incorrect. Adjusting for net borrowing is not necessary for FCFF (just FCFE).2、Honor e 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 R2 is expected to increase, not decline, with a new independent variable. The other two potential consequences Honor e describes are correct.3、Ibarra wants to know the credit spread of bond B2 over a theoretical comparable-maturity government bond with the same coupon rate as this bond. The foregoing credit spread is closest to: 【单选题】A. 108 bps.B. 101 bps.C. 225 bps.正确答案:A答案解析:A is correct. The corporate bond's fair value is computed in the solution to Question 8 as ? 1,101.24The YTM can be obtained by solving thefollowing equation for IRR:The solution to this equation is 3.26%.Valuation of afour -year, 6% coupon bond under no default (VND) is computed in the solution to Question 8 as 1,144.63. So, the YTM of a theoretical comparable -maturity government bond with the same coupon rate as the corporate bond B2 can be obtained by solving the following equation for IRR:The solution to this equationis 2.18%. So, the credit spread that the analyst wants to computeis3.26% - 2.18% = 1.08%, or 108 bps.B is incorrect, because thatis the spread over the four -year government par bond that has a YTM of 2.25% in Exhibit 2: 3.26% — 2.25% = 1.01%, or 101 bps. Although this spread is commonly used in practice, the analyst is interested in finding the spread over a theoretical 6% coupon government bond.C is incorrect, because that is the YTM of the coupon four-year government bond in Exhibit 2.4、Based on Exhibit 1, which independent variables in Varden ' s model are significant at the 0.05 level? 【单选题】A. ESG onlyB. 10.957%.C. Tenure onlyD. Neither ESG nor tenure正确答案:C答案解析:B is correct. The t -statistic for tenure is 2.308, which is significant at the 0.027 level. The t -statistic for ESG is 1.201, with a p -value of 0.238. This result is not significant at the 0.05 level.5、Based on Exhibit 1 and Tyo' s expectations, which country ' s term structure is currently best for traders seeking to ride the yield curve? 【单选题】A. Country AB. Country BC. Country C正确答案:A答案解析:A is correct. Country A' s yield curve is upward sloping — a condition for the strategy —and more so than Country B' s.6、To correct the problem Hake encounters when using a MonteCarlo simulation, he would most likely: 【单选题】A. adjust the volatility assumption.B. increase the number of simulations.C. add a constant to all interest rates on all paths.正确答案:C答案解析:Using a Monte Carlo simulation, the model will produce benchmark bond values equal to the market prices only by chance. A constant is added to all interest rates on all paths such that the average present value for eachbenchmark bond equals its market value.A is incorrect because adjusting the volatility assumption will generate another random value not equal to the benchmark bond value. The benchmark bond is option -free, so its value should not be affected by interest rate volatility.B is incorrect because increasing the model beyond 2000 paths will not lead to a different average value for the benchmark bond.7、Which forward rate cannot be computed from the one -, two-, three -, and four - year spot rates? The rate for a: 【单选题】A. one-year loan beginning in two years.B. two-year loan beginning in two years.C. three-year loan beginning in two years.正确答案:C答案解析:C is correct. There is no spot rate information to provide rates for a loan that terminates in five years. That is f(2,3) is calculated as follows: Theequation above indicates that in order to calculate the rate for a three -year loan beginning at the end of two years you need the five year spot rate r(5) and the two -year spot rate r(2). However r(5) is not provided.8、Cannan has been working from home on weekends and occasionally saves correspondence with clients and completed work on her home computer. Because of worsening market conditions, Cannan is one of several employees released by her firm. While Cannan is looking for a new job, she uses the files she saved at home to request letters of recommendation from former clients. She also provides to prospective clients some of the reports as examples of her abilities. 【单选题】A. Cannan violated the Code and Standards because she did not receive permission from her former employer to keep or use the files after her employment ended.B. Cannan did not violate the Code and Standards because the files were created and saved on her own time and computer.C. Cannan violated the Code and Standards because she is prohibited fromsaving files on her home computer.正确答案:A答案解析：Answer A is correct. According to Standard V(C)- Record Retention, Cannan needed the permission of her employer to maintain the files at home after her employment ended. Without that permission, she should have deleted the files. All files created as part of a member' sor candidate 's professional activity are the property of the firm, even those created outside normal work hours. Thus, answer B is incorrect. Answer C is incorrect because the Code and Standards do not prohibit using one 'psersonal computer to complete work for one's employer.9、Based on the data in Exhibit 1, current real short -terminterest rates would most likely be highest in: 【单选题】A. Country #1.B. Country #2.C. Country #3.正确答案:B答案解析:B is correct. Real short -term interest rates arepositively related to both real GDP growth and the volatility of real GDP growth. Country #1 and Country #2 have the highest real GDP growth, as estimated by the difference between nominal GDP growth and average inflation (6.5% - 4.0% = 2.5%and 5.0% - 2.5% = 2.5%, respectively), while Country #3 has thelowest real GDP growth (3.5% -2.0% = 1.5%). Looking at the volatility of real GDP growth, Country #2 has high real GDP growth volatility, whereas Country #1 and Country #3 have low real GDP growth volatility. Therefore, Country #2 would most likely have the highest real short -term interest rates.10、Which approach would an appraiser most likely use for valuing Property #2? 【单选题】A. Cost approach.B. Income approach.C. Sales comparison approach.正确答案:B答案解析:Property #2 is an older office building with unique characteristics that could not be easily reproduced using current architectural designs and materials. Therefore, the cost approach would be less appropriate than the income approach as a basis for appraisal. The sales comparison approach would also be less suitable as the property is relatively unique.。