CFA考试二级模拟试题精选0401-30(附详解)

1CFA考试二级模拟试题精选0401-30(附详解）1、BasedonExhibit5,forwhichcompanywouldtheregressionofstockpricesonoilpricesbeexpectedtoyieldvalidcoefficientsthatcouldbeusedtoestimatethelong-termrelationshipbetweenstockpriceandoilprice?【单选题】A.isconstant.B.Company#1C.D.Company#3正确答案:B答案解析:Biscorrect.Whentwotimeserieshaveaunitrootbutareco-integrated,theerrorterminthelinearregressionofonetimeseriesontheotherwillbecovariancestationary.Exhibit5showsthattheseriesofstockpricesofCompany#2andtheoilpricesbothcontainaunitroot,andthetwotimeseriesareco-integrated.Asaresult,theregressioncoefficientsandstandarderrorsareconsistentandcanbeusedforhypothesistests.Althoughthecointegratedregressionestimatesthelong-termrelationbetweenthetwoseries,itmaynotbethebestmodeloftheshort-termrelationship.2、ThebenchmarkportfolioistheS&P500.WhichofthefollowingthreeportfolioscanbecombinedwiththebenchmarkportfoliotoproducethehighestcombinedSharperatio?【单选题】A.PortfolioA2B.PortfolioBC.PortfolioC正确答案:B答案解析:Biscorrect.TheactiveportfoliothatisoptimalistheportfoliowiththehighestInformationratio,theratioofactivereturntoactiverisk.TheIRsforthethreeactiveportfoliosare:3、UsingtheinformationprovidedinExhibit1，thebreakevenpriceofApplesharesforabearspreadstrategyusingputsisclosestto:【单选题】A.$96.44.B.$98.56.C.$97.18.正确答案:C答案解析:CiscorrectThebreakevenpriceisX4、ThemetricusedbyFrommtoassessOmikroon’sperformancetakesintoaccount:【单选题】A.degreeoffinancialleverage.B.operatingliabilitiesrelativetooperatingassets.C.competitivenessrelativetocompaniesinothertaxregimes.正确答案:B答案解析:Biscorrect.Returnoninvestedcapitalisnetoperatingprofitminusadjustedtaxesdividedbyinvestedcapital,whereinvestedcapitalisdefinedasoperatingassetsminusoperatingliabilities.35、Comparedtothereported2009financialstatements,ifStereoWarehousehadusedthesamediscountrateasitusedin2007,itwouldhavemostlikelyreportedlower:【单选题】A.netincome.B.totalliabilities.C.cashflowfromoperatingactivities.正确答案:B答案解析:Biscorrect.Ahigherdiscountrate(5.38percentinsteadof4.85percent)willreducethepresentvalueofthepensionobligation(liability).Inmostcases,ahigherdiscountratewilldecreasetheinterestcostcomponentofthenetperiodiccostbecausethedecreaseintheobligationwillmorethanoffsettheincreaseinthediscountrate(exceptifthepensionobligationisofshortduration).Therefore,periodicpensioncostwouldhavebeenlowerandreportednetincomehigher.Cashflowfromoperatingactivitiesshouldnotbeaffectedbythechange.6、BasedonExhibit4,Bern’sfirmvalueunderScenario1isclosestto:【单选题】A.€100,951.3million.B.€105,441.9million.C.€105,491.9million.正确答案:C答案解析:Ciscorrect.BasedonScenario1,whereBernreceivesregulatoryapprovalforitsnewdrugs,thegrowthrateinFCFFforBernwillbeconstantat4.5%.Therefore,aconstantgrowthvaluationmodelcanbeusedtocalculatefirmvalue.7、Inherstatementaboutthethreetypesofmultifactormodels,Yusufisleastlikelycorrectwithrespectto:【单选题】4A.statisticalfactormodels.B.fundamentalfactormodels.C.macroeconomicfactormodels.正确答案:C答案解析:Ciscorrect.Inmacroeconomicmodels,thefactorsare“surprises”(howmuchhigherorlowerthanwhatwasexpected)inmacroeconomicvariables,notthelevelorvalueofmacroeconomicvariables.8、BasedonGelblum’sestimates,ifZimtisdeemedtohavesignificantinfluenceoverOxbow,its2010netincome(in€millions)wouldbeto:【单选题】A.€75.B.€109.C.€143.正确答案:B答案解析:Biscorrect.IfZimtisdeemedtohavesignificantinfluence,itwouldusetheequitymethodtorecorditsownership.Undertheequitymethod,Zimt’sshareofOxbow’snetincomewouldberecordedasasinglelineitem.NetincomeofZimt=75+0.5(68)=109.9、TheamountofthecompensationexpenserecognizedinP&LrelatedtotheRestrictedStockUnit(RSU)awardedin2017isclosestto(inthousands):【单选题】A.$11,736B.$37,500C.$75,0005正确答案:A答案解析:ForRestrictedStockUnit(RSU),thetotalvalueofRSUsgrantedonJul.1st,2017isbasedonthefairvalue(usuallymarketvalue)ofthecommonstockatthegranddate,1,800units*$65.2=$117,360.TheserviceperiodofRSUsisfiveyears.SincethemanagershaveearnedthecompensationfortheperiodfromJul.1sttoDec.31st,2017,thecompensationexpenseshouldberecognizedinP&Lattheendof2017tobe$117,360/5*(1/2)=$11,736.10、Shouldthecapitalbudgetingcommitteeaccepttheinternalauditor’sthirdandfourthsuggestions,respectively?【单选题】A.YesforSuggestions3and4.B.NoforSuggestion3andYesforSuggestion4.正确答案:A答案解析:Biscorrect.Bothsuggestionsaregood.ChoosingprojectswithhighIRRsmightcausethecompanytoconcentrateonshort-termprojectsthatreducetheNPVofthecompany.Whenevertheprojectriskdiffersfromthecompanyrisk,aproject-specificrequiredrateofreturnshouldbeused.