CFA考試二級模擬試題精選0401-18

1、CFA考試二級模擬試題精選0401-18（附詳解）A. 1、Thebondthatwouldmostlikelyprotectinvestorsagainstasignificantincreaseininterestratesis:【單選題】Bond#1.B. Bond#2.C. Bond#3.正確答案:C答案解析:Ciscorrect.Thebondthatwouldmostlikelyprotectinvestorsagainstasignificantincreaseininterestratesistheputablebond,i.e.,Bond#3.Wheninterestrate

2、shaverisenandhigher-yieldbondsareavailable,aputoptionallowsthebondholderstoputbackthebondstotheissuerpriortomaturityandtoreinvesttheproceedsoftheretiredbondsinhigher-yieldingbonds.A. 2、Atasignificancelevelof1%,whichofthefollowingisthebestinterpretationoftheregressioncoefficientswithregardtoexplainin

3、gROE?【單選題】ESGissignificant,buttenureisnot.B. Tenureissignificant,butESGisnot.C. NeitherESGnortenureissignificant.正確答案:C答案解析:Ciscorrect.Thet-statisticfortenureis2.308,indicatingsignificanceatthe0.027levelbutnotthe0.01level.Thet-statisticforESGis1.201,withap-valueof0.238,whichmeanswefailtorejectthenul

4、lhypothesisforESGatthe0.01significancelevel.A. 3、ViolationofwhichBSMassumptionismostlikelytoleadtogammarisk?【單選題】Thevolatilityofthereturnsontheunderlyingassetisconstantandknown.B. Marketsarefrictionless;therearenotransactioncosts.C. Thepriceoftheunderlyingchangessmoothly.正確答案:C答案解析:Gammariskariseswh

5、enthepriceoftheunderlyingjumpsabruptly(asopposedtosmoothly).A. 4、UsinginformationinExhibit1,theportfolio'ssensitivitytoinflationisclosestto:【單選題】-1.1.B. -1.7.C. -2.2.正確答案:B答案解析：6=0-2(2)+0.4(-1.0)=-1.725、Cannan'spreferencetousetheP/EratioovertheP/Sratioisbestsupportedby:【單選題】Reason1Reason2Rea

6、son3正確答案:C答案解析:Ciscorrect.Thepricetosales(P/S)ratiofailstoconsiderdifferencesincoststructures.Also,whilesharepricereflectstheeffectofdebtfinancingonprofitabilityandrisk,salesisapre-financingincomemeasureanddoesnotincorporatetheimpactofdebtinthefirm'scapitalstructure.Earnioperatingandfinanciallev

7、erage,andthustheprice-to-earnings(P/E)ratioincorporatestheimpactofdebtinthefirm'scapitalstructure.A. 6、Basedoneachfirm'sforecastsoftheestimatedNPVofsynergiesfromamergerbetweenAlertronandCarideo,whatpaymentmethodiseachfirmlikelytopreferinthedeal?【單選題】Bothfirmspreferacashdeal.B. OnlyAlertronpr

8、efersacashdeal.C. OnlyCarideoprefersacashdeal.正確答案:A答案解析：7、BasedonExhibit4andGillette'sforecastregardingRaffarinmost'sshareprice,thereturnontheRIbondoverthenextyearfisimoSlikelytobe:A. lowerthanthereturnonRaffarinscommonshares.thesameasthereturnonRaffarin'scommonshares.B. higherthanthere

9、turnonRaffarin'scommonshares.正確答案:A答案侶軍析:Aiscorrect.Overthenextyear,GillettebelievesthatRaffarin'ssharepricewillcontinuetoincreasetowardstheconvIfGillettef6recastbecomestrue,thereturnontheRIbondwillincreasebutatalowerratethantheincreaseinRaffarinsharepricebecausetheconversionpriceisnotexpect

10、edtobereached.A. 8、FortheinterestratescenariopresentedbyMuniz,themostappropriatedurationmeasureis:【單選題】keyrateduration.B. one-sidedupduration.C. effectiveduration.正確答案:A答案侶軍析:Aiscorrect.Abond'ssensitivitytochangesintheshapeoftheyieldcurve,steepeningorflattening,iscapturedbykeyrateduration-sOtedd

11、uration(upordown)isbetterthaneffectiveortwo-sideddurationatcapturingtheinterestratesensitivityofacallableorputablebondbutonlyforaparallelshiftintheyieldcurve,notforchangesintheshapeoftheyieldcurve.A. 9、【單選題】Priceofthirdbond:Lessthan100%;OASofcallablebond:Zero.B. Priceofthirdbond:Equalto100%;OASofcal

12、lablebond:Positive.C.正確答案:B答案解析:Inthiscase,thebondiscallableandputtableatthesameprice(100).BecauseWaltersstatesthattheembeddedoptions(theissuer'scalloptionandtheholder'sputoption)willbeexercisediftheoptionhasvalue(i.e.,isin-the-money),thevalueofthebondmustbe100(plustheinterest)atalltimes.Why

13、?Ifratesfallandthecomputedvaluegoesabove100,thecompanywillcalltheissueat100.Conversely,ifratesincreaseandthecomputedvaluegoesbelow100,thebondholderwill"put"thebondbacktotheissuerfor100.10、Koningrealizesthatanincreaseintherecoveryratewouldleadtoanincreaseinthebond'sfairvalue,whereasanincreaseintheprobwouldleadtoadecreaseinthebond'sfairvalue.Heisnotsurewhicheffectwouldbegreater,however.So,heincreasesboththerecoveryrateandtheprobabilityofdefaultby25%oftheirexistingestim