CFA一級考試歷年真題精選及答案0519-10

1、CFA 級考試歷年真題精選及答案0519-10考點：對 Incremental Cash Flow 的理解精選問答 1：When a company is doing capital budgeting, an appropriate estimate of the incremental cash flows from a project is least likely to include:A. ExternalitiesB. Interest costsC. Opportunity costs答案：B is correct.Costs to finance the project are

2、 taken into account when the 1cash flows are discounted at the appropriate cost of capital;including interest costs in the cash flows would result in double -counting the cost of debt.解題思路：考點是在對 Incremental Cash Flow 的理解。Incremental Cash Flows 是指：某項投資決策帶來的增量現(xiàn)金流。即：如果不做這個決策，現(xiàn)金流是A,做了該決策之后現(xiàn)金流是B ,那么B-A就是

3、這個決策的增量現(xiàn)金流Incremental Cash Flows ）。比如，期初投資 5 百萬修高速路，向過路車輛收費每年會帶 來 Cash 100 萬，這 100 萬是在計算增量現(xiàn)金流 (IncrementalCF)時需要考慮的。當(dāng)然投資還需要考慮機會成本，因為這 5million 投資了高速路，就不能投資其他項目，因此會有Opp ortunity costs，這部分影響也要考慮在增量現(xiàn)金流里。個在增量現(xiàn)金流里面需要考慮的是外溢效應(yīng)Externalities ），比如修了高速之后，過路車輛的加油收入是 100 萬，推動經(jīng)濟發(fā)展的收入是100 萬等等。這個27Externalities 就是指

4、由于這項投資決策帶來的其他事項的影響。這個外溢效益的現(xiàn)金流也需要包含在Incremental CF 里。當(dāng)然外溢效應(yīng)也可能是負(fù)的，比如可樂投資生產(chǎn)無糖可樂； 那么含糖可樂的銷量可能減少；這種影響在計算投資無糖可 樂的現(xiàn)金流時，也要算在 Incremental Cash Flow 里，才能正 確反映投資決策的影響。這種負(fù)的外溢效應(yīng)有一個名詞叫做Cannibalization ，需要注意一下！在現(xiàn)金流里面， 是不考慮融資成本的； 例如通過 Debt 融資，利息是不算在 CF里的。因為融資成本是在求項目NPV時，考慮在了折現(xiàn)率里（ WACC）。易錯點分析：根據(jù)品職題庫統(tǒng)計數(shù)據(jù)顯示，本題是一級公司理財

5、里錯誤率 非常高的一題，很多同學(xué)會把融資利息費用算到分子的現(xiàn)金 流里，這是錯誤的算法。如果把融資成本算進(jìn)增量現(xiàn)金流里 面，再算 NPV 時，不但分子的現(xiàn)金流包括了融資成本的影響， 分母的折現(xiàn)率（WACC也包括了融資成本的影響，這樣這 個影響因素就考慮了 2次，算出來的NPV不準(zhǔn)?？键c：邊際成本精選問答 2：Two years ago, a company issued $20 million in long -term bonds at par value with a coupon rate of 9 percent. The company has decided to issue an

6、additional $20 million in bonds and expects the new issue to be priced at par value with a coupon rate of 7 percent. The company has no other debt outstanding and has a tax rate of 40 percent. To compute the company's weighted average cost of capital, the appropriate after -tax cost of debt is c

7、losest to:A. 4.2%B. 4.8%C. 5.4%答案：A is correct.The relevant cost is the marginal cost of debt. The before -tax marginal cost of debt can be estimated by the yield to maturity on a comparable outstanding. After adjusting for tax, the after -tax cost is 7(1 ? 0.4) = 7(0.6) = 4.2%.解題思路：在一級Corporate Fin

8、ance里面，計算 WACC時，使用的是融資的邊際成本， (Marginal cost of Capital )。其背后的邏輯就 是，在 CF 里考慮的是新項目成本與收益的分析，考慮的是新項目投與不投的問題，與做決策更相關(guān)的是項目的邊際收 益和邊際成本之間的關(guān)系;因此，計算出來的融資成本是邊際成本才更適合用來分析新項目的盈利能力，這樣做到匹配。所以本題用Debt的邊際稅前成本7%，這個融資成本是該公司最新的融資成本。而 不用考慮2年前9%的融資成本。在一級的原版書教材里面有WACC = Marginal Cost of Cap ital的說法。F圖紅線部分來自原版書:debt, and ins

9、truments that share chara匚teristics of debt and equity. Each source selected becomes a component of th欄 cornpan/ s funding and has a cost (regqired 旭te of return) that may be called a componeiu co窯t of capiwal+flause w也abusing the cost ofcapital in the evaluatiion of investmgrrt opportimitie勺 we a館

10、dealing with a margirtako或what it would cost to raise additional funds for the potential investment project. Therefore, the cost of capital that the investment analyst lis concerned with is a marginaill cost易錯點分析:根據(jù)品職題庫統(tǒng)計數(shù)據(jù)顯示，本題易錯在B選擇。很多同學(xué)給了第一次融資( 20 million ) 50%的權(quán)重，這筆融資按 9%的稅前融資成本算；給了第二次融資( 20 mil

11、lion ) 50%的權(quán)重，這筆融資按 7%的稅前融資成本算，最終算下來的成本是 4.8%。雖然看上去比較“科學(xué)” ，但注意，一定是與現(xiàn)在相關(guān)的融資成本， 才能做到成本與收益匹配分析。9%只能反映過去，再做項目決策時，不能用過去的成本進(jìn)行新項目收 益分析，除非當(dāng)前的融資成本與過去一樣?？键c：公司治理精選問答 3：Which of the following statements regarding corporate shareholders is most accurate?A. Cross-shareholdings help promote corporate mergers.B. Du

12、al -class structures are used to align economic ownership with control.C. Affiliated shareholders can protect a company against hostile takeover bids.答案：C is correct.The presence of a sizable affiliated stockholder (such as an individual, family trust, endowment, or private equity fund) can shield a

13、 company from the effects of voting by outside shareholders.解題思路：本題屬于比較細(xì)節(jié)的題目了，也是錯誤率較高的題目。三個其中選項屬于了解記憶性質(zhì)的知識，剛好利用本題記憶知識點。B 選項剛好說反了， Dual -class 是使得 Voting rights (Control rights) 和 Economic ownership 不對等的。理論上一份股票對應(yīng)一份投票權(quán)；但是 Dual-class 下，創(chuàng)始人高管等的 Share 存在一票多權(quán)的情況。比如創(chuàng)始人高管的A-share 對應(yīng)的可能是一份股票有投票權(quán) 10 票。而普通股東

14、的 B-share 是一份股票對應(yīng)一個投票權(quán)。這樣就剛好把控制權(quán)和 Economic ownership 分開了。 股東雖 然擁有相應(yīng)份額 share 的 Economic Ownership ，但是控制權(quán) 比例不對應(yīng)，因此該設(shè)計將 Economic ownership 和 Control rights 割裂開了。而對于 C 選項， Affiliated shareholders 屬于公司擁有 20%及以上 Voting rights 的投資者。其中C 選項是說： Affiliatedshareholders 可以幫助公司抵御惡意收購。 C 選擇是正確的。比如，規(guī)定一個事項要通過 2/3 的股

15、東同意才能通過，那顯 然 Affiliated shareholders 就可以在敵意收購中起到重要作用。易錯點分析：本題考察的點比較細(xì)致，屬于品職題庫數(shù)據(jù)統(tǒng)計出的高頻錯 誤?？梢岳帽绢}記住知識點?？键c：計算 Country Risk P remium精選問答4:An analyst gathered the following information about the capital markets in the United States and in Paragon, a devel oping country.,Yield on US 10-year Treasuy bond4.5

16、Yield OH Paragon lO-yeir governmctit bond10.5Aiuiualized standard deviation of Paragon stock index35AiMKialized standard deviation of Paragon dollar-deiioiiiiiiated goveiiuiient bond 25Based on the analyst' s data, the estimated countryequity p remium for P aragon is closest to:A. 4.29%.B. 6.00%

17、.C. 8.40%.答案：C is correct.The country equity premium can beestimated as thesovereign yield spread times the volatilityof the country ' sstock market relative to its bond market.Paragon' s equitypremium is(10.5% - 4.5%) X (35%/25%) = 6% X 1.4 = 8.40%.解題思路：李叢是字計聲ountTy Ri*k PreiTiium 毗奮戲這闔零枚的站

18、豈-訕星甘投強Devebpmg couiiliy薊股孰 $宵-、國家；&=計卑圖宣利雄;f；r W心氏:CRP = Stn舊空輛 vieef spread x"AmilicJLed J fSuL觀曲糾 hottci ifi tentts cf 曲品皆li fuca ket cis tericy')其 + Sovi'cigii yield sptod ? Dcvclopuie Sovct cigii botid yield 誠，比宏達(dá) B 黑 Sovereign bond yield.布辛碰一就是：后 + 那 » 的分式'處 r 矍 Devel

19、oping coiiiitiy K S 弓？數(shù)址年 2沢而 # , % & ?. Developing cowitiy議戲達(dá)國宋覧方計價的Sovieii bond滝雨童s宰遜中就量：35%：2§%叟卑補免一丁*如晃蔓唾過CAMP計藝Equity的里求旨報率，如黑存止CRP村，CRP fk Equity risk pituiivin = ft ,左Be恰的拓號至'.所細(xì)畏萇冬戲達(dá)團T的;4可，在犬達(dá)匡'? 辻Equity融訝*但*-ft訝壇討(新的苗冃)岸士 Dh.飛loping Cunti廠此ilr主計迸Equity 0勺 芟求旦扌電率對，T妾忘忙利CKF,專

20、十亂企文：尺憲咤=尺廠處尺訥-片八CP易錯點分析:品職題庫統(tǒng)計數(shù)據(jù)里有一道類似的題屬于高頻錯誤；容易犯 的錯誤一是計算 CRP時記錯公式。二是在計算要求回報率(Cost of equity )時，如果有 CRP,注意CRP是加在Beta的括號里面?？键c：計算 Cost of capital、Pure play 計算 Equity beta、計算Cost of debt，計算 Cost of equity精選問答5:Boris Duarte, CFA covers initial public offerings for ZellwegerAnalytics, an inde pendent r

21、esearch firm sp ecializing in global small-cap equities. He has been asked to evaluate the up coming new issue of TagOn, a US-based business intelligence software comp any.The industry has grown at 26 p ercent per year for the p revious three years. Large companies dominate the market, but sizable &

22、quot;pure -play" companies such as Relevant, Ltd., ABJ, Inc., and Opus Software Pvt. Ltd also compete. Each of these competitors is domiciled in a different country, but they all have shares of stock that trade on the US NASDAQ. The debt ratio of the industry has risen slightly in recent years.

23、CompanyIllMillions： (S)Equity in Millicnfe ($)Market Vahis Debt in Millions； ($)Equity BetaGxRateSharePne圮(t)R亡lev antLtd17523.80001 70223%42AHJMiicS4S6.52.S23%2411OpusSofiwdJcPvL Ltd.211972133.423%13Duarteuses theinformationfrom thep reliminaryprosp ectus for TagOn ' s initial offering. The com

24、p any intendsto issue 1 million new shares. Inhis conversation with theinvestment bankers for the deal,he concludes the offeringprice will be between $7 and $12.The current capital structure ofTagOn consists of a $2.4million five -year non-callable bond issue and 1 millioncommon shares. Other inform

25、ation that Duarte has gathered:Cuii'ciilly oulsLaiidiiig bondi；$2.4 million tivc-yeai bonds;, coupon of 12.5 percent.with fl nicirtet vnhie of $2,156 uiillionRisk- fa cc rate of mt crest5,25 %Estimated equity risk pemimn7%Tax rate23 %The marginal cost of capital for TagOn, based on anaverage ass

26、et beta of 2.27 for the industry and assuming thatnew stock can be issued at $8 per share, is closest to:A. 20.5 percent.B. 21.0 percent.C. 21.5 percent.答案：C is correct.For debt: FV = 2,400,000; PV = 2,156,000; N = 10; PMT = 150,000Solve for I I = 0.07748 YTM = 15.5%Before-tax cost of debt = 15.5%Ma

27、rket value of equity = 1 million shares outstanding + 1 million newly issued shares= 2 million shares at $8 = $16 millionTotal market capitalization = $2.156 million + $16 million $18.156 millionLevered beta = 2.27 1 + (1 ? 0.23)(2.156/16) = 2.27 (1.1038) = 2.5055Cost of equity = 0.0525 + 2.5055 (0.

28、07) = 0.2279 or 22.79%Debt weight = $2.156/$18.156 = 0.1187Equity weight = $16/$18.156 = 0.8813TagOn ' s MCC(0.1187)(0.155)(10.23) +(0.8813)(0.2279)= 0.01417 + 0.20083 = 0.2150 or 21.50%解題思路：本題屬于一道綜合性非常強的題目，比較難，需要計算的數(shù) 據(jù)較多，需要一步步梳理。題干讓求 Cost of capital ，所以是 使用 WACC計算。需要先計算出 Cost of debt ,Cost of e

29、quity , 即各項資金來源的成本，以及各項資金的權(quán)重。題目已經(jīng)給定了公司之前發(fā)行的 Bond 的相關(guān)數(shù)據(jù)，以及市 場價格；根據(jù)市場價格反求出來的 Bond yield 就反映了公司 當(dāng)前通過 Debt 的融資成本。這是第一步，通過 Bond 的市場 數(shù)據(jù)以及Bond屬性計算Yield。注意算出來的 Yield是稅前融資成本。第二步需要計算公司的 Equity 融資成本， 從題干中給出的數(shù) 據(jù)判斷，應(yīng)該是使用 CAPM 模型計算 Cost of equity ，所以這步需要計算 Equity beta 。因為可比公司的 Asset beta 是 2.27已知，所以根據(jù)Pure play的方法

30、，計算出該公司的Equity beta :2.27 1 + (1 ? 0.23)(2.156/16) = 2.27 (1.1038) = 2.5055 。算出 來 Equity beta 后，通過 CAPM 計算 Cost of equity.有了兩個資金來源的成本，第三步使用WACC計算Cost of capital ，這一步需要計算各項資金來源的權(quán)重。易錯點分析：本題計算較為復(fù)雜，需要算的數(shù)據(jù)較多。做題前要先理清思路看看用什么方法求解，缺什么數(shù)據(jù)，然后看看能否在題干中尋找到這些數(shù)據(jù)，如果沒有這些數(shù)據(jù)能不能通過已知求出?？键c：應(yīng)用 Project Beta 計算項目的融資成本精選問答 6:B

31、randon Wiene is a financial analyst covering the beverageindustry. He is evaluating the impact of DEF Beverage ' s newproduct line of flavored waters. DEF currentlyhas a debt -to -equity ratio of 0.6.The new product line would be financed with$50 million ofdebt and $100 million of equity. In est

32、imatingthe valuationimpact of this new product line on DEF's value, Wiene hasestimated the equity beta and asset beta of comparablecompanies. In calculating the equity beta for the product line,Wiene is intending to use DEF's existing capital structure whenconverting the asset beta into a pr

33、oject beta. Which of the following statements is correct?A. Using DEF' s debt-to-equity ratio of 0.6 is appropriate in calculating the new product line's equity beta.B. Using DEF's debt -to -equity ratio of 0.6 is not appropriate, but rather the debt -to -equity ratio of the new product,

34、 0.5, is appropriate to use in calculating the new product line ' s equity beta.C. Wiene should use the new debt -to -equity ratio of DEF that would result from the additional $50 million debt and $100 million equity in calculating the new product line's equity beta.答案：B is correct.The debt

35、-to -equity ratio of the new product should be used when making the adjustment from the asset beta, derived from the comparables, to the equity beta of the new product.解題思路：這家叫DEF的公司，其原本的公司資本結(jié)構(gòu)是：Debt-to-Equity= 0.6 ；目前該公司在為新項目融資，新項目融資的資本結(jié)構(gòu)是：Debt -to -Equity = 0.5 (50 Debt vs 100 Equity) 題干說在計算新 項目的

36、Project Beta 時，使用公司原來的杠桿 0.6，錯誤就在這點；為了反映投資該項目的風(fēng)險，在計算 Project Beta 時，應(yīng)該 使用的是新項目的杠桿 0.5，而不是公司的杠桿 0.6，以真實的反映該項目的融資成本，從而在分析收益成本時做到匹配。B 選項描述的就是這點；由于公司為新項目融資的杠桿比例是0.5，而公司原來的Capital Structure 比例是 0.6。因此，新項目的融資比例和公司已有的比例不同，完成這筆融資之后，公司的資本結(jié)構(gòu)就 會發(fā)生變化，會從原來的 0.6 下降一點。我們記這個公司新 的資本結(jié)構(gòu)是 A。C選項表達(dá)的意思就是使用這個公司新的資本結(jié)構(gòu)A計算新項目

37、的Beta。這點是錯誤的，應(yīng)該使用的是項目的融資比例。易錯點分析：本題也屬于品職題庫數(shù)據(jù)分析的高頻錯誤點，在有問必答里 也有學(xué)員問 B、C 兩個選項的區(qū)別。注意，在審題時一定要 通讀選項，不要只讀半句，在 CFA的題目里，經(jīng)常會出現(xiàn)選擇之間的差距就在某些詞上，所以讀題時要通讀，并且小心 陷阱！考點： NPV Profile 的理解精選問答 7:An investment has an outlay of 100 and after -tax cash flows of 40 annually for four years. A project enhancement increases the outlay by 15 and the annual after -tax cash flows by 5. As