CFA特許金融分析師《CFA二級》模擬試卷二（含答案）

CFA特許金融分析師《CFA二級》模擬試卷二（含答案）共享題干題EdwardBaldwinandMargoMadiso（江南博哥）n,twoanalystsatSimplyFund,examinetherelationshipofquarterlychangeingrossprofitmargin(GPM)ofRealPowerMedicineduring2011-2020.BaldwinappliesanAR(1)modeltoΔGPMtimeseries.Exhibit1showstheregressionresultsandautocorrelationsoftheresidualsfromtheAR(1)model.Theend-of-quarterchangeingrossprofitmarginis3.86%.Inordertotestwhethertheerrorsintheregressiondisplayfirst-orderautoregressiveconditionalheteroskedasticity,Baldwinregressesthesquaredresidualsdenotedas?t2,onlaggedsquaredresiduals.TheresultsaregiveninExhibit2.BaldwinandMadisondiscusstheadditionofmorevariablesintheanalysis.Madisonstates:“Whenweapplylinearregressiontotwotimeseries,atleastoneofthefollowingconditionsmusthold,inordertorelyonthevalidityoftheestimatedregressioncoefficients.”i.“Theindependentvariableshouldnothaveaunitroot,butthedependentvariableshouldexhibitaunitroot.”ii.“Bothtimeserieshaveaunitrootbutarenotcointegrated.”Notes:Criticalt-values,levelofsignificanceof0.05:One-sided:±1.684Two-sided:±2.021[單選題]1.BasedontheregressionresultsfromExhibit1,theforecastedchangeinGPMnextquarterisclosestto:A.3.02%B.4.24%C.-3.13%參考答案：A參考解析：Aiscorrect.TheendofquarterofchangeinGPMis3.86%,theone-period-ahead-forecastfromtheAR(1)modeliscalculatedas:EdwardBaldwinandMargoMadison,twoanalystsatSimplyFund,examinetherelationshipofquarterlychangeingrossprofitmargin(GPM)ofRealPowerMedicineduring2011-2020.BaldwinappliesanAR(1)modeltoΔGPMtimeseries.Exhibit1showstheregressionresultsandautocorrelationsoftheresidualsfromtheAR(1)model.Theend-of-quarterchangeingrossprofitmarginis3.86%.Inordertotestwhethertheerrorsintheregressiondisplayfirst-orderautoregressiveconditionalheteroskedasticity,Baldwinregressesthesquaredresidualsdenotedas?t2,onlaggedsquaredresiduals.TheresultsaregiveninExhibit2.BaldwinandMadisondiscusstheadditionofmorevariablesintheanalysis.Madisonstates:“Whenweapplylinearregressiontotwotimeseries,atleastoneofthefollowingconditionsmusthold,inordertorelyonthevalidityoftheestimatedregressioncoefficients.”i.“Theindependentvariableshouldnothaveaunitroot,butthedependentvariableshouldexhibitaunitroot.”ii.“Bothtimeserieshaveaunitrootbutarenotcointegrated.”Notes:Criticalt-values,levelofsignificanceof0.05:One-sided:±1.684Two-sided:±2.021[單選題]2.AccordingtoExhibit1,whichoffollowingstatementsismostlikelycorrect?A.BasedontheDurbin-Watsontest,themodelpresentspositiveserialcorrelation.

B.Theautoregressivemodelshowsseasonalityandismis-specified.C.ThesecondlagshouldbeaddedbacktotheoriginalAR(1)model.參考答案：B參考解析：Biscorrect.Inautocorrelationregression,weuset-testratherthanDWtesttodetectserialcorrelation.TheregressionoutputinExhibit1suggestsalllaggedvalueexceptlag4havet-statisticlessthancriticalt-valueatthe5%significancelevelwhichis2.021,themodelismis-specified.Therefore,theAR(1)modelshowsseasonalityandthelag4shouldbeaddedbacktooriginalmodel.[單選題]3.BasedontheresultsgiveninExhibit2,BaldwinandMadisonshouldmostlikelymodelΔGPMtbyusingthe:A.generalizedleastsquaresmodel.B.AR(2)model.C.White-correctstandarderror.參考答案：A參考解析：Aiscorrect.IfARCHexists,thestandarderrorsfortheregressionparameterswillnotbecorrect.Hencegeneralizedleastsquaresormethodsthatcorrectforheteroskedasticityneedtobeused.[單選題]4.DoesMadisoncorrectregardingtwoofherstatements?A.Statement1iswrong,onlytheindependentvariableseriesshouldbetestedfortheabsenceofaunitroot.B.Botharecorrect.C.Statement2iswrong,ifbothtimeserieshaveunitroots,thentheyshouldbecointegratedforreliableestimationofregressioncoefficients.參考答案：C參考解析：Ciscorrect.Ifboththetimeserieshaveaunitroot,buttheyarecointegrated,theerrorterminthelinearregressionwillbecovariancestationary.Aisincorrect.Boththeindependentvariableanddependentvariableneedstobetestedfortheabsenceofunitroots.IfStatement1holds,theerrortermintheregressionwillnotbecovariancestationary.Hencetheregressioncoefficientsandstandarderrorswillbeinconsistent,givinginvalidresults.Bisincorrect.RyanSchmidt,aportfoliomanageratahedgefundinUK,soldUSD10millionforwardagainsttheGBPatanall-inforwardpriceof1.2465(USD/GBP).Twomonthsbeforethesettlementdate,Schmidtwantstomarkthisforwardpositiontomarket.Therelevantspotrate,forwardpoints,andLiboraregiveninExhibit1.Schmidtreceivesamacroeconomicforecastingreportfromatrustedsource.ThereportpredictstheGDPgrowthintheUKwillbelowerby2percentnextyear.Basedontheforecast,herecommendsthatthecompanytoincreaseitsfixedincomeinvestments.Then,Schmidtisassignedataskbyhissupervisortoanalyzetheeconomicsituationinthreecountries,therelatedeconomiccharacteristicsandpoliciesaregiveninExhibit2.Schmidt’ssupervisorbelievesallthesecountrieswillhavethesamepercapitagrowthrateinthelongtermsinceallcountriescanaccesstothesametechnology.[單選題]5.Themark-to-marketvalueforSchmidt’sforwardpositionisclosestto:A.–GBP7,684.B.–GBP9,645.C.–GBP8,302.參考答案：B參考解析：Step1:Tomarkthispositiontomarket,createanoffsettingposition.SchmidtsoldUSD10millionatanall-inforwardpriceof1.2465(USD/GBP).TheoffsettingpositionwouldbetobuyUSD10milliontwomonthsforwardtothesettlementdate.Step2:Determinetheall-inforwardrateforthisposition.USDisthepricecurrencyandGBPisthebasecurrency.BuyingUSDmeanssellingGBP,thereforeusingthebidrateforbothspotrateandforwardpoints.Theall-intwo-monthforwardrate=1.2432+(18.03/10,000)=1.245003Step3:Calculatethecashflowatsettlementday.Netcashflowonsettlementday=10,000,000/1.2465–10,000,000/1.245=8,022,462.896–8,032,128.514=GBP–9,665.6179.Step4:Calculatethepresentvalueofthecashflowatthefuturesettlementdate.Usethetwo-monthGBPLibortocalculatethemark-to-marketvalue.Mark-to-marketvalue=(–9,665.6179)/(1+0.013(60/360))=GBP–9,644.7211.[單選題]6.Basedonuncoveredinterestrateparity,theexpectedchangeintheUSD/GBPrateinoneyearisclosestto:A.adecreaseof1.2percent.B.anincreaseof1.15percent.C.adecreaseof1.05percent.參考答案：A參考解析：Aiscorrect.Accordingtotheuncoveredinterestrateparity,theexpectedappreciation(depreciation)oftheUSD/GBPrateinoneyearisequaltotheinterestratedifferentialbetweenUSandUK(0.55%and1.75%)=1.75–0.55=1.2%.SinceUKhasahigherlevelofinterestrates,USD/GBPwilldepreciateby1.2%.[單選題]7.IfSchmidtexpectsthefutureUSD/GBPspotratetobeequaltotheforwardrate,heisleastlikelyassumingthat:A.uncoveredinterestrateparityholds.B.investorsareriskneutral.C.spotratesfollowarandomwalk.參考答案：C參考解析：Ciscorrect.Theexpectedfuturespotrateisequaltotheforwardrateifweassumethatuncoveredinterestrateparityholds.Wealsoassumethatinvestorsareriskneutral.Spotratesdonotfollowarandomwalkascurrentinterestratespreadsdetermineexpectedexchangeratemovements.[單選題]8.Thereasonforrecommendingcompanytoincreaseitsfixedincomeinvestmentsismostlikelytheanticipationof:A.loweringofshort-terminterestratesbythecentralbank.B.upwardpressureoninflation.C.narrowingoutputgap.參考答案：A參考解析：Aiscorrect.Centralbankmaylowerinterestratestostimulateeconomicgrowth.Thiswillleadtoincreaseinbondprices.[單選題]9.Basedonthedatagivenabove,capitaldeepeningasasourceofgrowthismostimportantfor:A.CountryX.B.CountryY.C.CountryZ.參考答案：B參考解析：Biscorrect.CountryYhasthegreatesteffectonitsgrowththroughcapitaldeepeningmeasuredasthedifferenceingrowthratesoflaborproductivityandTFP.CapitaldeepeningforCountryX=2.6–0.2=2.4;CountryY=3.2–0.5=2.7;CountryZ=1.9–(–0.6)=2.5.[單選題]10.Theconvergencetheoryamongthreecountriesisbestdescribedas:A.conditionalconvergence.B.clubconvergence.C.absoluteconvergence.參考答案：C參考解析：Ciscorrect.Absoluteconvergencemeansthatdevelopingcountrieswilleventuallycatchupwiththeadvancedcountriesandhavethesamepercapitaoutput.Conditionalconvergencerequirescountriestohavesamesavingrate,productionfunction,andpopulationgrowthrate.Clubconvergenceisrestrictedtoonlyrichandmiddle-incomecountriesthataremembersoftheclubareconvergingtotheincomeleveloftherichestcountriesintheworld.Poorcountriescanjointheclubiftheymakeappropriateinstitutionalchanges.JeffLordmanisanequityanalystatEamomassetmanagement.LordmanisJonasGentry’ssupervisor.LordmanisplanningonreviewingthefinancialstatementsofLomiInc.,thecompanypreparesitsfinancialstatementsinaccordancewithUSGAAP.Gentrycollectstheinformationaboutthenewcollectiveagreementrelatedtothepensionplan.AndhetellsLordmanthattherehavebeentwochangesrelatedtotheplan:Thebenefitformulahasbeenchangedto1.5%×Finalyear’ssalary×Numberofyearsofserviceundertheplan.Previously,thesameformulawasused,butwithafactorof1.45%.Thevestingperiodhasbeenchangedfrom5yearsto4years.Gentrymakesthefollowingtwocommentsaboutthesechangestothepensionplan:1.Thenewformulawillhaveabigimpactonincomebecausethepastservicecoststhatarisewillbeexpensedimmediately.2.Thechangetoashortervestingperiodwillgiverisetoanactuarialgain.Lordmanresponds:“Thepastservicecoststhatarisewillbereportedinothercomprehensiveincomeandamortizedontheprofitandlossstatementovertheremainingaverageservicelivesoftheemployees.”LordmanprovidesGentrywiththeinformationinExhibit1aboutTerryAshton,anemployeewhohasjuststartedworkingforLomi,andotherinformationtakenfromthecompany’spensionplandisclosures.LordmanasksGentrytocalculatethepensionliabilityarisingfromAshton.Followinghiscalculationofthepensionplanliability,GentryasksLordmanquestionaboutthediscountratethatisused:Whatwouldbetheeffectofusingahigherdiscountrateonvariouscomponentsofthecompany’spensionplanobligation?Gentry'scolleague,HenryRowlandisreviewingAustell'spension.ThecompanypreparesitsfinancialstatementsinaccordancewithIFRS.Informationconcerningthecompany’spensionplanasof31December2017isshowninExhibit2.Rowlandwantstoreviewthepensionexpense,cashflows,andtheplan’sfundingposition.Heisconcernedaboutwhetherthepoorfundperformanceisappropriatelyreflectedintheamountsrecordedfortheyear.Tobetterunderstandthecashflowimpact,hecalculatesthetotalperiodiccostoftheplanin2017tobe$585.8millionandobservesthisdifferssignificantlyfromthecompany’scontribution,showninExhibit2.[單選題]11.InregardtoLordmanandGentry’sdiscussionaboutthechangesinthepensionplanarisingfromthenewcollectiveagreement,whichcommentismostaccurate?A.Gentry’sfirstcommentabouttheimpactonincomeB.Lordman’sresponseaboutpastservicecostsC.Gentry’ssecondcommentabouttheactuarialgain參考答案：B參考解析：Lordman’sresponseaboutthepastservicecostsismostaccurate.Pastservicecostsarisebecauseoftheenrichmentofthepensionbenefitstobereceivedundertheplan.UnderUSGAAP,anypastservicecostswillbereportedinothercomprehensiveincomeandareamortizedontheprofitandlossstatementovertheaverageservicelivesoftheemployees.UnderIFRS,thepastservicecostsarerecognizedasanexpenseintheincomestatement.Thechangetoashortervestingperiodwillgiverisetoanactuarialloss.[單選題]12.AttheendofAshton’ssecondyearofservice,theestimateddefined-benefitobligationarisingfromhisemploymentisclosestto:A.$17,058.B.$18,069.C.$17,865.參考答案：A參考解析：Annualpaymentduringretirmentdates:62,584×1.5%×2=1,877.52.Usecalculator:PMT=-1,877.52,FV=0,N=20,I/Y=6,CPTPV=21,535.00649.Discountfromretirementdate:21,535.00649/(1+6%)4=17,057.74.[單選題]13.TheleastappropriateanswertoGentry’squestionisthatthe:A.interestcostmayeitherincreaseordecrease.B.currentservicecostwouldincrease.C.openingobligationwoulddecrease.參考答案：B參考解析：Thecurrentservicecostwilldecrease,notincrease.Ahigherdiscountratemeansthatthepresentvalueofthefuturebenefitsearnedinretirementwillbelowerandthustheannualunitcreditwillbelower.Therefore,thecurrentservicecostwilldecrease.Theopeningobligationwillindeeddecreasewithahigherdiscountrate.Theeffectontheinterestcostwilldependonthenewhigherratebutappliedtoalowervalueoftheobligationandthereforecouldincreaseordecrease.[單選題]14.ThelossreportedinOtherComprehensiveIncome(OCI)inAustell’s2017financialstatementsrelatedtothepensionplanisclosestto:A.$742.9.B.$1,017.6.C.$209.9.參考答案：A參考解析：TheOtherComprehensiveIncome(OCI)lossconsistsofactuarialgainsandlossesandthenetreturnonplanassets,asfollows:[單選題]15.Thepoorinvestmentperformanceofthepensionplanin2017mostlikelycausedtheperiodicpensioncost(in$millions)reportedintheincomestatementtobe:A.unaffected.B.higherby$1,017.6.C.higherby$751.參考答案：A參考解析：UnderIFRS,thecomponentsofperiodicpensioncostthatarereportedinP&L(incomestatement)aretheservicecostandthenetinterestexpenseorincome(calculatedbymultiplyingthenetpensionliabilityornetpensionassetbythediscountrateusedtomeasurethepensionliability).Theactualreturn(negativein2017)hasnoeffectontheperiodicpensioncostreportedinP&L.Theactualreturnonplanassetswillaffectthenetreturnonplanassets(partofthere-measurementcomponent),whichisrecognizedinOCIandnotsubsequentlyamortizedtoP&L.[單選題]16.Fromaneconomicperspective,in2017,themostappropriateinterpretationofthedifferencebetweenAustell’scontributiontothepensionplananditstotalperiodicpensioncostresultsina(n):A.operatingcashinflow.B.financingcashinflow.C.financingcashoutflow.參考答案：B參考解析：Fromaneconomicperspective,theexcessofthetotalperiodicpensioncost($585.6)overAustell’scontributiontothepensionplan($75.5)canbeconsideredasourceoffinancing(borrowing),whichisafinancinginflow.Hoyoisacompanywithapproximately$3.5billioninannualsalesthatspecializesinthedevelopment,manufacturing,andmarketingofpersonalcaresupply,especiallyforbabydiaper&adultdiaper.Thefirmisseekingtoachievemorerapidgrowth,andHoyo’sexecutivemanagementteamfeelsthatthecompanycangrowfasterbymakingacquisitionsthanitcanbytryingtogroworganically.Asaresult,managementasksthefirm’sDirectorofStrategicPlanning,DaveSherman,CFA,toanalyzepotentialalternatives.AtHoyo’snextexecutivemanagementteammeeting,ShermanpresentsthereportshowninExhibit1concerningfourpotentialacquisitiontargets:Hoyo’sexecutiveteamagreesthatthereportishelpfulforinitiatingdiscussionbutdecidestheyneedmoreinformationconcerningtheformofeachpotentialacquisitionandthemostappropriatemethodofpayment.Hoyo’smanagementisalsoconcernedwhethereachpotentialtargetwouldviewatakeoverattemptasfriendlyorhostile.CaseyDamon,Hoyo’sCEO,asksShermantoprepareasecondreportthatspecificallydescribesthetransactioncharacteristicscorrespondingtoeachdeal.Sherman’ssecondreportisshowninExhibit2.AsHoyowasconductingitsanalysis,EddieStrong,CEOofChoe,hearsrumorsthatHoyomayattemptahostiletakeoverofhisfirm.StrongcallsanemergencymeetingwithChoe’sfourexecutivevicepresidentsandexpresseshisconcernthatHoyomayattemptabearhugbysubmittingamergerproposaldirectlytotheboardwithoutinformingChoe’smanagement.StrongconcludestheemergencymeetingbyaskingeachexecutivevicepresidenttobrainstormdefensemechanismsthatChoecouldemploybeforeatakeoverattemptismadeandalsodefensesthatcouldbeemployedafterahostiletakeoveroffer.FinalmeetingiswithSoongInc.Itisabouttheimplementationofthenewfinancingmixislikelytobedelayed.ThemanagementofSoongstatesthatthedelayisbecausethestructureoftheboardofdirectorsisabouttochangeinthefollowingmanner:TheCEOwillnolongerbethechairmanoftheboard.TheretiredoriginalfounderofSoongwillbecomethechairmanoftheboard.Theboardwillnowhaveamajorityofmembersthatareindependent.[單選題]17.BasedonSherman’sdescriptionofpotentialacquisitiontargets,whichformofintegrationandtypeofmerger,wouldbestdescribethetransactionifHoyotriedtoacquireDiasy?A.AB.BC.C參考答案：B參考解析：Sherman’smemostatesthatinanacquisition,HoyowouldwanttomaintainthesuccessfulDiasybrandandoperationalstructure.Asaresult,themostlikelyformofintegrationwouldbeasubsidiarymergerinwhichDiasywouldbecomeasubsidiaryofHoyo.Mostsubsidiarymergersoccurwhenthetargethasawell-knownbrandthattheacquirerwantstomaintain,whichisthecasehere.Notethatinastatutorymerger,thetargetcompanywouldceasetoexistasaseparateentity.SincebothHoyoandDiasyareinvolvedinthesameindustry,thetypeofmergerwouldbebestdescribedashorizontal.ThemergerwouldnotbeverticalasHoyowouldnotbemovingupordownthesupplychain.[單選題]18.BasedontheinformationinExhibit2,whichofthefollowingstatementsconcerningthetransactioncharacteristicsofthepotentialmergerswithHoyoismostaccurate?A.PurchasingDiasyislikelytoreduceHoyo’sfinancialleverage.B.BaydiewouldlikelyavoidpayingcorporatetaxesinthepotentialdealwithHoyo.C.Afuly’sshareholderswouldlikelyberequiredtoapprovethedealwithHoyobeforeanyproposeddealiscompleted參考答案：B參考解析：ThepotentialacquisitionofBaydieisdescribedasastockpurchase,whichmeansthatBaydie’sshareholderswouldberesponsibleforpayingcapitalgainstaxesonthedealandnotaxeswouldbeleviedagainstBaydieatthecorporatelevel.Theotheranswersareincorrect.ThepotentialdealwithDiasyisdescribedasacashoffering.Inmostcashofferings,theacquirerborrowsmoneytoraisecashforthedeal,whichwouldincreasetheacquirer’sfinancialleverage.InthepotentialdealwithAfuly,shareholdersgenerallyonlyapproveassetpurchaseswhenthepurchaseissubstantial(greaterthan50%offirmassets).Inthiscase,shareholderapprovalwouldnotberequired.[單選題]19.WhichofthefollowingbestsatisfiesStrong’srequesttoidentifyapairofdefensemechanismsthatconsistofapre-offerandapost-offerdefense?A.AB.BC.C參考答案：C參考解析：Theonlypaircombinationthatcorrectlyidentifiesapre-offerandpost-offerdefense,respectively,isasupermajorityvotingprovision,whichisapre-offerdefenserequiringshareholderapprovalinexcessofasimplemajority;andaleveragedrecapitalization,whichisapost-offerdefensewhereatargetborrowsmoneytorepurchaseitsownshares.Pre-offerdefensessuggestedincludepoisonputs,fairpriceamendments,restrictedvotingrights,poisonpills,andstaggeredboardelections.Theonlyotherpost-offerdefensesuggestedwasgreenmail,whichwasincorrectlycategorized.[單選題]20.Whichchangestotheboardofdirectorsisleastconsistentwithbestpracticesinthecompositionofaboard?A.SpecificchoiceofthenewchairmanoftheboardB.ChangeinthecompositionoftheboardmembershipC.ChangeregardingtheCEO參考答案：A參考解析：Basedonbestpractices,thechairmanofaboardshouldnotbeaseniorexecutivefromthefirm.RobertSmith,ananalystatSpringfieldInvestmentBank,isanalyzingthecompetitivepositionofBLADETechnologies,amanufacturerofsmartphonesandmobilephoneaccessories.ChristopherHarrisonisSmith’ssupervisor,whohasaskedhimtoevaluateBLADE’sprofitabilityoverthepastfouryearsbycomparingitwithitstwomainrivalsthatarelocatedindifferentterritorieswithdifferenttaxregimes.SmithconductsthesmartphoneindustryanalysisusingPorter’sfiveforcesframework.Excerptsfromhisanalysisaregivenbelow:Customerswitchingcostsarelow.BLADEholds21%ofworldmarketshare;itstwomaincompetitorshold12.5%,and10.0%respectively.Ahighnumberofequipmentsuppliers.Intensecompetitionamongsuppliers.Demandishighlysensitivetotheeconomy.Largenumberofchoicesavailable.Highcapitalrequirementandadvancedtechnologies’cost,customerloyaltytowardsexistingbrands,constantpushtoinnovateandlaunchnewproducts.SmithcollectsfinancialdataonBLADEgiveninExhibit1.Using2016asthebaseyear,Smithexpects:2017globalGDPgrowthratetobeat4.0%salestogrow2%fasterthanprojectednominalglobalGDPgrowthcostofgoodssoldratiotodecline0.55%annuallysellingexpensestoremainstableasapercentageofsalesgeneralandadministrativeanddepreciationandamortizationexpensestobefixednetdebttodeclinebyUSD140millionin2017AmberBaileyisacolleagueofSmith.SheisanalyzingR&M,aclothingandaccessoriesfirmwithglobalsales,headquarteredinSweden.BaileyestimatesR&M’ssustainablegrowthratebasedontheinformationgiveninExhibit2.BaileyexaminesR&M’sgrowthpotentialandexpectstheexpansiontofollowthreedistinctstagesofgrowth.Thegrowthrateof18%inthefirststagetolastfrom2017-2019,followedby10%from2020-2022,and6%beyond2022.Shealsoestimates12%asthelong-termreturnonequity(ROE)forthestock,and11.5%asitsrequiredrateofreturn.Basedontheseestimates,shedeterminesR&M’sintrinsicvalueusingtheDDM.BaileythendiscussesdifferentvaluationapproacheswithSmith.Bailey:Acompany’ssustainablegrowthrateisbasedonanassumptionofgrowththroughinternallygeneratedfunds.Itisusefulasitapproximatestheaveragerategrowthrateofdividendsoveralonghorizon.Smith:Freecashflowtothefirm(FCFF)andfreecashflowtoequity(FCFE)arebothaffectedbyachangeinthecompany’sfinancialleverage.Bailey:AbnormallyhighROEsarenotlikelytopersistduetocompetition,changesindemandorinnovationsintechnology.[單選題]21.ThemostappropriatereturnmetricthatSmithshouldusetoevaluateBLADE’spastfour-yearperformancerelativetoitscompetitorsis:A.returnonequity.B.returnoncapitalemployed.C.returnonassets.參考答案：B參考解析：“Thereturnoncapitalemployed(ROCE)isapre-taxreturnmeasurethatcanbeusefulinthepeercomparisonofcompaniesincountrieswithdifferenttaxstructures.”BLADE’stwomaincompetitorsareindifferentcountrieswithdifferenttaxregimes.[單選題]22.BasedontheanalysisofthecompetitiveenvironmentundertheMichaelPorterframework,BLADE’sabilitytogenerateabovemarketreturnsoninvestedcapitalismostlikelybasedon:A.highbarrierstoentry.B.highbargainingpowerofsuppliers.C.lowbargainingpowerofcustomers.參考答案：A參考解析：Aiscorrect.Theindustryhashighbarrierstoentrywhichmakesitcostlyfornewcompetitorstoenterthemarket.HenceBLADEisbetterabletodefenditsmarketshareandlikelygenerateabovemarketreturns.Thelowcustomerswitchingcosts(suggestingahighthreatofsubstitutes),littleproductdifferentiationanddemandsensitivetoeconomysuggestshighbargainingpowerofbuyers.Furthermore,thereisintenserivalryamongstsuppliers,suggestinglowbargainingpowerofsuppliers.[單選題]23.BasedonExhibit1andSmith’ssalesandexpenseforecasts,BLADE’snetprofitestimate(in$millions)for2017willbeclosestto:A.766.B.869.C.900.參考答案：B參考解析：[單選題]24.UsingtheinformationgiveninExhibit2,R&M’ssustainablegrowthrateisclosestto:A.4.50%.B.10.00%.C.10.56%.參考答案：C參考解析：Ciscorrect.UsingthePRATmethod:Sustainablegrowthrate=retentionratioxprofitmarginxassetturnoverxfinancialleverageg=(2,188–656.40)/2,188x2,188/20,318x20,318/21,439x21,439/14,505=10.56%Alternatively,g=retentionratioxROE=(1–656.4/2,188)x2,188/14,505=10.56%.[單選題]25.BasedonBailey’sgrowthestimatesandtheinformationinExhibit2,theterminalvaluecomponentofR&M’sintrinsicvalueattheendof2016isclosestto:A.€8.77.B.€16.84.C.€7.86.參考答案：A參考解析：Aiscorrect.Dividend2016=€656.4million/1,641million=€0.40/share.Thevalueofthedividendwhenitentersitsterminalgrowthstage.DividendBehaviorduringtheThreeGrowthPeriodsThepresentvalueofallfuturedividendsbeyond2022canbedeterminedusingthegrowingperpetuityformula:growingperpetuityformula.V2022=0.8747(1.06)/(0.115–0.06)V2022=€16.8579=16.86Thepresentvalueasof2016ofthisterminalvalueis:V2016=16.86/(1.115)6=€8.77[單選題]26.Regardingthediscussiononvaluationmethods,whichcommentisleastlikelycorrect?A.Commentrelatedtosustainablegrowth.B.Commentrelatedtofreecashflow.C.CommentrelatedtoROE.參考答案：B參考解析：Biscorrect.Changesinfinancialleverageeffectsfreecashflowtoequitynotfreecashflowtothefirm.AkiHiroshi,afixedincomeanalystsuggestsanewlyissued,five-yearUSTreasuryzero-couponnotepricedatUSD64.99tohisportfoliomanagerforinvestment,andthebondyields9.00%tomaturity.AccordingtoHiroshi,someinvestorsmaypurchasethisTreasuryzero-couponnotetodayandholdittomaturity,whileothersmaybuythesameTreasurynoteintwoyearsandthenholditforthreeyearstomaturity.Hiroshi’sportfoliomanageraskshimtocalculatetheforwardratethatwouldcauseinvestorstobeindifferentabouteitherpurchasingtheTreasuryzero-couponnotetodayorpurchasingitintwoyears.Giventhespotratesz1=5%,z2=6%,z3=7%,z4=8%,z5=9%.Hiroshi’sportfoliomanageralsoexpectsthefutureone-yearspotrateintwoyearswillbeexactlysameascurrentforwardratef2,1.Thefundmanagerdoesn'twanttoinvestinthis5-yearnotedespiteitshighyield,he'sstickingwiththeinvestmentwhichhasshorterterm.Then,Hiroshiandportfoliomanagertalkaboutcreditspreadindicatorsthatmeasurecreditandliquidityriskforfixedincomesecurities.Hiroshimakesthefollowingobservationsaboutcreditrisk