各位奔波在CFA考試沖刺*9線的筒子們，你們最近過得還好嗎？在《歡樂頌》熱播的時下，可不能分心刷劇喲。如果想成為投行精英安迪那樣的金融佼佼者，可要抓緊最后的時刻，磨刀奮戰(zhàn)即將到來的六月CFA特許金融分析師考試！
CFA協(xié)會明確表示，每一位CFA考生都需要至少300個小時準備考試。如果你已經(jīng)對CFA考試有了完全的準備，如何檢驗自己的考試成果呢？根據(jù)高頓財經(jīng)研究院CFA考試研究發(fā)現(xiàn)，以下八道題目就可檢測考生的CFA掌握水平。許多投行精英們都認為這八道題目非常棘手，堪稱CFA一二三級中，遇到的“最難”題，快來看看你是否會解！
 

 
CFA一級試題：
1. Beth Knight, CFA, and David Royal,CFA, are independently analyzing the value of Bishop, Inc. stock. Bishop paid a dividend of $1 last year. Knight expects the dividend to grow by 10% in each of the next three years, after which it will grow at a constant rate of 4% per year. Royal also expects a temporary growth rate of 10% followed by a constant growth rate of 4%, but he expects the supernormal growth to last for only two years. Knight estimates that the required return on Bishop stock is 9%, but Royal believes the required return is 10%. Royal’s valuation of Bishop stock is approximately:
A. $5 less than Knight’s valuation
B. Equal to Knights valuation
C. $5 greater than Knights valuation
卡普蘭教授:Tim Smaby 解析:
The correct answer is A.
You can select the correct answer without calculating the share values. Royal is using a shorter period of supernormal growth and a higher required rate of return on the stock. Both of these factors will contribute to a lower value using the multistage DDM.
Screen Shot 2015-05-22 at 11.36.52
Royal’s valuation is $5.10 less that Knight’s valuation.”
2. John Gray, CFA and Sally Miller are discussingwhat they think their year-end bonus will be and how they might spend them. Miller is new to working in finance and asks Gray what people usually get and what he has got in the past. Gray explains that the firm prohibits employees from discussing their exact bonus number but also says that 30% of people get ‘good’ bonus’, 50% ‘average’ and 20% ‘low’. Gray says that he really wants a new smart watch recently released by a large tech company and says that he will definitely buy it if he gets a ‘good’ bonus, while there is only a 50% and 10% probability he will get it with an ‘average’ or ‘low’ bonus respectively.
Two weeks later, Miller sees Gray in the office and asks him if he got a good bonus. Gray reminds Miller that the firm’s policy means he cannot say, but Miller notices that he is wearing the new smart watch they were talking about. Miller goes back to her desk and calculates the probability that Gray got a ‘good’ bonus is closest to:
A: 30%
B: 53%
C: 57%
知名投行培訓主管Nicholas Blain 解析:
“Using Bayes’ Formula : P(Event|Information) = P(Event) * P(Information |Event) / P(Information)
In this case, the event is getting a good bonus, and the information is that Gray has bought the new watch.
The probability that he got a good bonus and then bought the watch is given by:
P(Event)*P(Information |Event) = 0.3*1.00 = 0.30
The total probability that he would buy the watch is given by:
P(Information) = 0.3*1.00 + 0.5*0.50 + 0.2*0.10 = 0.57
Therefore, the probability that he got a good bonus is the proportion of probability that he got a good bonus and got the watch, to the total probability he got the watch:
P(Event|Information) = 0.30 / 0.57 = 0.53.”
3. For a European Call option on a stock, which of the following changes, (looking at each change individually and keeping all other factors constant) would an analyst be least likely confident about an up or down movement in the price of the option?
A: Share price goes up; dividend goes up
B: The demand for share increases / supply decreases; interest rates fall
C: Share increases in volatility; the firm cancels the next dividend
知名投行培訓主管Nicholas Blain 解析:
“Share price up = Option Price Up
Dividend up = Option Price Down (dividends are benefits of holding the underlying share, when holding the option, you do not receive dividend)
Share in High Demand = Option Price down as this is a benefit in holding the underlying
Interest Rates Fall = Option Price Down as this reduces the cost of carry of holding the underlying
Share increases in volatility = Option Price Up
Cancels next dividend = Option Price Up, as these dividends are not received by the option holder anyway
A is the correct answer; as the increase in the option price due to the share going up could be offset by the decrease in the price due to the dividend going up.
B results in the option price falling for both scenarios and C results in the option price rising in both scenarios.”
CFA二級試題：
4.  Sudbury Industries expects FCFF in the coming year of 400 million Canadian dollars ($), and expects FCFF to grow forever at a rate of 3 percent. The company maintains an all-equity capital structure, and Sudbury’s required rate of return on equity is 8 percent.
Sudbury Industries has 100 million outstanding common shares. Sudbury’s common shares are currently trading in the market for $80 per share.
Using the Constant-Growth FCFF Valuation Model, Sudbury’s stock is:
A. Fairly-valued.
B. Over-valued
C. Under-Valued
卡普蘭教授:Tim Smaby 解析:
“The correct answer is A.
Based on a free cash flow valuation model, Sudbury Industries shares appear to be fairly valued.
Since Sudbury is an all-equity firm, WACC is the same as the required return on equity of 8%.
The firm value of Sudbury Industries is the present value of FCFF discounted by using WACC. Since FCFF should grow at a constant 3 percent rate, the result is:
Firm value = FCFF1 / WACC?g = 400 million / 0.08?0.03 = 400 million / 0.05 = $8,000 million
Since the firm has no debt, equity value is equal to the value of the firm. Dividing the $8,000 million equity value by the number of outstanding shares gives the estimated value per share:
V0 = $8,000 million / 100 million shares = $80.00 per share
5. Excerpt from item set
Financial information on a company has just been published including the following:
Net income                                                         $240 million
Cost of equity                                                      12%
Dividend payout rate (paid at year end)         60%
Common stock shares in issue                     20 million
Dividends and free cash flows will increase a growth rate that steadily drops from 14% to 5% over the next four years, then will increase at 5% thereafter.
The intrinsic value per share using dividend-based valuation techniques is closest to:
A. $121
B. $127
C. $145
高頓財經(jīng)研究院主任 Feng 解析:
“The H-model is frequently required in Level II item sets on dividend or free cash flow valuation.
The model itself can be written as V0 = D0 ÷ (r – gL) x [(1 + gL) + (H x (gS – gL))] where gS and gL are the short-term and long-term growth rates respectively, and H is the “half life” of the drop in growth.
For this question, the calculation is: dividend D0 = $240m x 0.6 ÷ 20m = $7.20 per share.
V0 = $7.20 ÷ (0.12 – 0.05) x [1.05 + 2 x (0.14 – 0.05)] = $126.51, answer B.
However, there is a neat shortcut for remembering the formula. Sketch a graph of the growth rate against time: a line decreasing from short-term gS down to long-term gL over 2H years, then horizontal at level gL. Consider the area under the graph in two parts: the ‘constant growth’ part, and the triangle.
If you look at the formula, the ‘constant growth’ component uses the first part of the square bracket, i.e. D0 ÷ (r – gL) x [(1 + gL) …], which is your familiar D1 ÷ (r – gL). For the triangle, what is its area? Half base x height = 0.5 x 2H x (gS – gL) = H x (gS – gL). This is the second part of the square bracket.
Hence the H-model can be rewritten as V0 = D0 ÷ (r – gL) x [(1 + gL) + triangle].”
CFA三級試題：
6.A German portfolio manager entereda 3-month forward contract with a U.S. bank to deliver $10,000,000 for euros at a forward rate of €0.8135/$. One month into the contract, the spot rate is €0.8170/$, the euro rate is 3.5%, and the U.S. rate is 4.0%. Determine the value and direction of any credit risk.
卡普蘭教授:Tim Smaby 解析:
“The German manager (short position) has contracted with a U.S. bank to sell dollars at €0.8135, and the dollar has strengthened to €0.8170. The manager would be better off in the spot market than under the contract, so the bank faces the credit risk (the manager could default). From the perspective of the U.S. bank (the long position), the amount of the credit risk is:
Vbank (long) = €8,170,000 / (1.04)2/12 ? €8,135,000 / (1.035)2/12 = €28,278
(The positive sign indicates the bank faces the credit risk that the German manager might default.)”
7. Within the ‘Option Strategies’ section
Option       Strike                    Premium
Call            1X1 = 20              c1 = 6
Call             2X2 = 30             c2 = 4
Put             1X1 = 20               p1 = 0.604
Put             2X2 = 30               p2 = 8.001
Risk-free rate continuously compounded: 4% annual
Option expiry: 6 months
Using the above data for a box spread, calculate what arbitrage profit can be achieved at the end of 6 months.
高頓財經(jīng)研究院主任 Feng 解析:
“First, work out the cost of the box spread. Combine the two call options into a bull spread (buy the low strike call and sell the high strike call), and the two put options into a bear spread (buy the high strike put and sell the low strike put). Combining those two gives a box spread. To calculate the initial cost, work out the net premia:
Cost = c1 – c2 + p2 – p1 = 6 – 4 + 8.001 – 0.604 = $9.397
The payoff from the box spread will be the difference between the strike levels, ie 30 – 20 = $10.
If you borrowed $9.397 at the beginning in order to enter the box spread, how much would you have to pay back after 6 months? You need to compound the cost at the risk-free rate:
$9.397 x e0.04 x 0.5 = $9.58683
So the arbitrage profit would be the difference between the payoff and what you have to pay back on the loan, ie $10 – $9.58683 = $0.41317”
8. Assume Felix Burrow is a US investor,holding some euro-denominated assets. Given the information below, calculate the domestic return for Burrow over the year.
                                                         Today           Expected in 1 year
Euro asset                                       201.54                203.12
USD/EUR exchange rate              1.1133               1.1424
知名投行培訓主管Nicholas Blain 解析:
“The domestic return (return in USD terms) depends on the EUR-return of the asset, as well as on the change in exchange rates:
RDC = (1+RFC) (1+RFX) -1
where RFX is the change in spot rates, using the domestic currency as the price currency (ie we require a USD/EUR quote). In this example, the exchange rate is quoted as such, so we can use the quote provided (otherwise, if the domestic currency was the base currency, we would need to invert the quote first).
RFC = -1 = 0.0078 = 0.78%
RFX = -1 = 0.0261 = 2.61%
RDC = (1 + 0.78%)(1 + 2.61%) – 1 = 3.41%
Burrow’s domestic currency return was higher than the underlying asset return, because he further benefits from the appreciation of the Euro (depreciation of the USD).”
看到這里，你是否都會做呢？如果還沒有掌握好，可要在最后的一個月時間里抓緊時間查漏補缺了！高頓財經(jīng)小編預祝各位CFA考生都能順利通過此次考試！
本文來源：efinancialcareers ，由高頓網(wǎng)校[*{7}*]編譯并適當整理，作者橙與雪芋。更多內(nèi)容請關注微信號“高頓金融分析師”(gaoduncfa)。原創(chuàng)文章，歡迎分享，若需引用或轉(zhuǎn)載請保留此處信息。
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