試卷：2019年CFA二級M1?？季?上午卷（含解析）

2019IISampleAM（M1）Themorningthe2019IIFinancial?Sample60theexperience,18per(vignette6multiplechoicea(3thistheQuestions1–615and13–18–43–48EconomicsEquity15151560EquityaccessingthisSamplethetermsuse:ThisisviewtheThestrictlydisciplinaryand/oraction:orpermittingbythancopying,postingemailing,distributingreprintingthepurpose.?2019Allrights12019IISampleAMEthicsTheGoldenFinancialCorporationCaseGoldenFinancialisafirm,aonbondsandAliceWang,aJune5th,Alicedinnerwithonefriends,FitchGlobalRatinghedidntknowinglyapopularwouldbewhichwouldpeoplesAliceinoneherportfoliosapositionheldthisbondbutshedidnttheannouncement,whichtheJune8th.themorningJune8th,Alicethepricethisbondsoshemindsoldoutallthepositionsloss.AllthetheironthepoliciesJune9th,Alicedidtheonethinlybondthistime.Duethepoorliquiditythebond,theusualtransactionsthepricebond.Acolleagueinthisthelargethebond.SheAlicethespolicyonmanipulation,GoldenFinancialmakingtransactionsthatsecuritypricesorwiththeparticipants.”anequitythespendspertheainspecialtheorbyChen,aflatand2onthebutneverdisclosestheisindependentobjectiveinthesincehenotgivebuysuggestionsthewhichhethinksnotbuying.hisbuytheherecommends.Chenssummariesbelogics.HesucceedsinthepermissionChenusehissummarieswithoutattribution.theChensdirectlyinhisownwithattributions.Chenisdealingtheattributionsonefindsanopinion,whichisbyanarticlebyatendsusethisopinionreportthethearticleJonesLiu,aPhDaIIIisansummerworkingFinancialafull-timethecomingsincehethisHefamilyfriendsopenGoldenFinancialinmanagingthenothimthefull-timesincetherecruitingplanwillbeJonesquitelookopportunities.Duringinterviewinanotherfirm,JoneshightoldthesolicithisclientsGoldentheirthenewSinceonlyanhethinkheownsparticularGolden.3AlicetheTheannualfund-raisingAliceherannualdonationscharityTheregularallclients,sheincludesasectiondiscussingthefundraisingpositionthe1.DoesAlicetheInstituteConductonthebondtheA.sincesheonnonpublicsinceshetheprioritytransactionsshetheand2.AreAlicesthebondGoldenspolicyonmanipulation,withGoldenspolicymanipulationiswithandAlicesrebalancethebondiswith3.Doesdisseminatinghisequityreports?A.No.sincenotdisclosethesincetheonhe4.Inpreparingreports,Alicethe4withuseChenssummariesopinioninChenspostings?AAlicetheactionsBAlicetheheruseChenssummariesCAlicetheherstudiesinChenspostings5.solicitingthetheirheGolden,wouldthisactionaA.sincehenotsolicitstheGolden.becausehedutyGolden.6.DoesAlicewiththeConductshesendsallclients?A.AlicedidnottheCodeAlicethebysolicitingdonationsherclientstheAlicethebynotthesoliciting5TheAisaflourishingtourismcurrencyisXYZ.TheisalsoabundantinoilTheisconcerningoilwillharmthecountrystourism.beenadvicethisissue.that,“Iftheoilourcountrymoreoilthanandoureconomicbetheoilhurttheotherandthustheircompetitiveness.”WhendoingonthecurrencyfindsoutcurrencybeingsometheinExhibit1findstheopportunitiestriangularInafundsExhibit1:andDealerCurrencyandCurrencyBidLIBORInterbankEUR/USDXYZ/USD0.81150.82651.18200.82EUR0.5%1.14051.196USD1.2%、3.6%Dealer:XYZ/EUR1.4938thecurrencyisaboutthebetweenparityandthatsometheparityconditionsnocouldbeby6TheCountryAaflexiblewithhighBecausethethegovernmentisdepreciatingthethecombinationsfiscalpoliciesandalsoaimstheeconomichisownsuggestionsMundell-Flemingmodel.that,“Thefiscalpolicytheeconomicthetime.AlthoughthefiscalpolicyeconomicalsotheInaddition,inthelongthewillbeardebttheThus,thefiscalpolicyorthelongtheisdepreciate.”13.theistheexplanationsthattheonoilwilltheotherA.ThecurrencyDiminishingmarginal14.ontheinExhibit1,apossibletriangularopportunitybetweentheIfamanageronefunds,whichthewillA.BuyEURinthesellEURtheBuyEURthedealerEURthetriangularopportunity715.theinExhibit1theinterbankawhoanormalaEUR10,000positionwillainEURclosestA.+198-198-24816.notabnormalbydoingtradewhen:A.parityholds.parityholds.parityholds.WhichthecombinationfiscalpolicyinthecurrencyMundell-Flemingmodel?A.ExpansionaryfiscalpolicyandmonetaryExpansionaryfiscalpolicyandfiscalpolicyandthemodelsthefiscalpolicy?A.Mundell-Flemingmodel.Puremodel.TheBalanceApproach.8Theisamanagementintheanditanhistoricalperformance.theThomasMarvelAndyajunioranalyst,iscollectfinancialanddosomeincludingequityrisktheWizardCo.andMagicCo..Exhibit1thebywhichbeequityriskpremium.Exhibit1:2%inearningsperinin3%2%2.5%1.5%2.2%AndyusetheWizardCo..alsousemodeltheMagicCo..TheExhibit2:WizardCo.CAPMMagicCo.model2.20%2.20%91.601.805%risk5%premium---0.342.80%premium---0.671.24%premiumLiquidity--0.54LiquiditypremiumSabrinaChen,aseniorwhoisisassignedtheintrinsictheSigmaGo.ShereadstheannualreportreportsthisdownsomeSigmaGoadividend-payingTheoutputbyenlarginganhigh-speedthe20%islinearlythe8untila4%9%.Nooracquisitioninthenearsincethethisisquitewiththeperformance.SabrinaisonaisaSigmaGo.thetrailingExhibit3:SigmaGo10DividendLong-term60%4%50%3.5%10%9%Larine,senioranalyst,istheupcomingseminarwithinthefirmTheseminaraimstheidea-sharingtheandenhancethe’abilitiesskills.downmemostheseminar:thetheCAPMissimplemodelislowwhilebuild-upmodelissuitablecloselyheld2:DividendmodelisamongItiswhodividendsinaisaItbedownwhichdividend37.AndytheequityriskthestockExhibit1theisA.7%6%5%11WizardCo.MagicCo.Exhibit2A.10.2%8.33%10.2%11.45%10.2%9.42%istheintrinsictheSigmaiftheH-modelisA.$50.4perper$69.6per40.Sabrinaisthreemodels.WhichtheisA.DividendspaidvolatilethanotherIfanotdividend,incomeisthedividend-payingthisAllbackbyonExhibit3,isexpensiveconsideringthetrailingA.SigmaGo.Samethebywhichtheismost？12A.NonethemisonethemisthemTheSmartWealthCaseSmartamanagementfirmJapan,long-termappreciationtheirusinganalysis.TheisholdingthediscussionThetopicislong-termaajuniortheThesaleisJPY13,600millionis4.5%thisThethethisis3%.OtherfinancialtheinExhibit1.Exhibit1:millionsNet16822996SellingGeneralexpenseOtherexpense21451255Inaddition,andsellingalinkwithwhiletheremainingaaround4%13thisThetopicistheapplicationsflowmodels.asfinancialreportingExhibit2:millionsflow88,3623,41525%CAPEX894NewdebtDebtEBIT1,3003,091（Assumingisdisposalassets.）Then,thethat,Ifreeflowmodels,bytakingathenotdividendall,themodelwithsomeabouttheintrinsic”Phal,anotherthat,Icantanecessarywhenmakingthe&portionlong-termshouldtheworking”Finch,aadditionalthat,deepinsightsthemodel.Inaddition,specialthis:ifaoutdividends,ornewtheshallwhileremainsthesame.”14ThepartthediscussionismadebytheWilliams.Olinathan10theiscrucialtheWhentrytheabitsinceisapopularprofitabilityabutshouldalsoCompanieshighisasigncompetitivewouldnotbythechangetheby(Exhibit1),thethethisisbe:A.46.38.44.Matthewisdoingontheofawithaposition.thesituationalbelowishim?A.premium.Lackdiscount.IlliquiditytheExhibit2,theisA.89,356.90,029.1546.Iftheis3%andis9%,andnumberismillion,istheintrinsicvaluethethisA.12.23.12.6.13.33.thePhalFinch,themA.onethem.them.Allthem.theisconsideringthebyOlin?A.1is2is162019IISampleAM（M1）Themorningthe2019IIFinancial?Sample60theexperience,18per(vignette6multiplechoicea(3thistheQuestions1–615and13–18–43–48EconomicsEquity15151560EquityaccessingthisSamplethetermsuse:ThisisviewtheThestrictlydisciplinaryand/oraction:orpermittingbythancopying,postingemailing,distributingreprintingthepurpose.?2019Allrights12019IISampleAMEthicsTheGoldenFinancialCorporationCaseGoldenFinancialisafirm,aonbondsandAliceWang,aJune5th,Alicedinnerwithonefriends,FitchGlobalRatinghedidntknowinglyapopularwouldbewhichwouldpeoplesAliceinoneherportfoliosapositionheldthisbondbutshedidnttheannouncement,whichtheJune8th.themorningJune8th,Alicethepricethisbondsoshemindsoldoutallthepositionsloss.AllthetheironthepoliciesJune9th,Alicedidtheonethinlybondthistime.Duethepoorliquiditythebond,theusualtransactionsthepricebond.Acolleagueinthisthelargethebond.SheAlicethespolicyonmanipulation,GoldenFinancialmakingtransactionsthatsecuritypricesorwiththeparticipants.”anequitythespendspertheainspecialtheorbyChen,aflatand2onthebutneverdisclosestheisindependentobjectiveinthesincehenotgivebuysuggestionsthewhichhethinksnotbuying.hisbuytheherecommends.Chenssummariesbelogics.HesucceedsinthepermissionChenusehissummarieswithoutattribution.theChensdirectlyinhisownwithattributions.Chenisdealingtheattributionsonefindsanopinion,whichisbyanarticlebyatendsusethisopinionreportthethearticleJonesLiu,aPhDaIIIisansummerworkingFinancialafull-timethecomingsincehethisHefamilyfriendsopenGoldenFinancialinmanagingthenothimthefull-timesincetherecruitingplanwillbeJonesquitelookopportunities.Duringinterviewinanotherfirm,JoneshightoldthesolicithisclientsGoldentheirthenewSinceonlyanhethinkheownsparticularGolden.3AlicetheTheannualfund-raisingAliceherannualdonationscharityTheregularallclients,sheincludesasectiondiscussingthefundraisingpositionthe1.DoesAlicetheInstituteConductonthebondtheA.sincesheonnonpublicsinceshetheprioritytransactionsshetheandAnswer:A正式的評級下調要到3月8日下午才會正式對外公布，Alice從朋友這里得知了這個內幕信息，但是不能在信息正式發(fā)布之前去交易獲利或避免虧損。2.AreAlicesthebondGoldenspolicyonmanipulation,withGoldenspolicymanipulationiswithandAlicesrebalancethebondisAnswer:AAlice對于債券的交易主要是為了做組合的再調整而不是去故意影響和操作這只細則。43.Doesdisseminatinghisequityreports?A.No.sincenotdisclosethesincetheonheAnswer:BChen寫研究報告可以收費，這一點并不違規(guī)CFA職業(yè)道德，但收費沒有披露就違I(B)條款中明確要求收費研報需要對外披露任何潛在的利益沖突，包括如何收費，所以Chen違規(guī)I(B)獨立客觀性。4.Inpreparingreports,AlicethewithuseChenssummariesopinioninChenspostings?AAlicetheactionsBAlicetheheruseChenssummariesCAlicetheherinChenspostingsAnswer:B這題文中有2個場景，第一個場景是Alice使用Chen的債券研報中的總結和預測，但沒有標明來源（withoutattributionI(C)MisrepresentationWang得到了Chen景是Wang看了Chen發(fā)表的其他網(wǎng)絡文章，該文章里Chen有提到相關的學術研究，WangChenChen原創(chuàng)的，Wang題Wang只違規(guī)第一個場景。55.solicitingthetheirheGolden,wouldthisactionaA.sincehenotsolicitstheGolden.becausehedutyGolden.Answer:BIV(A)Loyalty，該條款要求禁止員工在還沒離職之前招攬公司現(xiàn)任客戶到其他公司，但Jones離職之后把原客戶帶到GoldenFinancialCorporation，所以他的行為并不違規(guī)該條款，所以答案選B。6.DoesAlicewiththeConductshesendsallclients?A.AlicedidnottheCodeAlicethebysolicitingdonationsherclientstheAlicethebynotthesolicitingAnswer:AAlice的行為并不違規(guī)，她只是在給客戶的里提到有捐款這個活動并告知了她在反III(E)保密條款，所以A正確。6TheAisaflourishingtourismcurrencyisXYZ.TheisalsoabundantinoilTheisconcerningoilwillharmthecountrystourism.beenadvicethisissue.that,“Iftheoilourcountrymoreoilthanandoureconomicbetheoilhurttheotherandthustheircompetitiveness.”WhendoingonthecurrencyfindsoutcurrencybeingsometheinExhibit1findstheopportunitiestriangularInafundsExhibit1:andDealerCurrencyandCurrencyBidLIBORInterbankEUR/USDXYZ/USD0.81150.82651.18200.82EUR0.5%1.14051.196USD1.2%、3.6%Dealer:XYZ/EUR1.4938thecurrencyisaboutthebetweenparityandthatsometheparityconditionsnocouldbebyTheCountryAaflexiblewithhigh7BecausethethegovernmentisdepreciatingthethecombinationsfiscalpoliciesalsoaimstheeconomichisownsuggestionsMundell-Flemingmodel.that,“Thefiscalpolicytheeconomicthetime.AlthoughthefiscalpolicyeconomicalsotheInaddition,inthelongthewillbeardebttheThus,thefiscalpolicyorthelongtheisdepreciate.”13.theistheexplanationsthattheonoilwilltheotherA.ThecurrencyDiminishingmarginalAnswer:C14.ontheinExhibit1,apossibletriangularopportunitybetweentheIfamanageronefunds,whichthewillA.BuyEURinthesellEURtheBuyEURthedealerEURthetriangularopportunity8Answer:A這題考的是交叉匯率，在不同的dealer之間尋找套利機會。在interbank市場，XYZ/EUR=[1.1405/0.8265-1.182/0.8115]=[1.3799-1.4566]在localdealer報價XYZ/EUR=[1.4725-1.4938].那么就可以在interbank市場以1.4566XYZ買1EUR，再把賣給localdealer，換得1.4725XYZ,實現(xiàn)套利。15.theinExhibit1theinterbankawhoanormalaEUR10,000positionwillainEURA.+198-198-248Answer:C借EUR投資XYZ一年，之后換回EUR。carrytrade不是一定能賺取正收益的,因為有可能最高息國貨幣對應于最低息國未來貶值的幅度超過兩國的息差。Carrytrade回報如下：期初，(10000EUR/0.8265)*1.1405=13799XYZ，投資一年，13799*1.036=14296XYZ，換回EUR（14296/1.196）*0.82=9802，再減去10000*1.0059802-10050=-24816.notabnormalbydoingtradewhen:A.parityholds.parityholds.9parityholds.Answer:B資高息的國家，過段時間后結算匯率換回低息國貨幣實現(xiàn)賺取息差的交易。當uncoveredIRP存在時，套息交易就不能實現(xiàn)獲利。因為uncoveredIRP一旦存一國投資的回報是相等的。WhichthecombinationfiscalpolicyinthecurrencyMundell-Flemingmodel?A.ExpansionaryfiscalpolicyandmonetaryExpansionaryfiscalpolicyandfiscalpolicyandAnswer:C根據(jù)蒙代爾-弗萊明模型，在資金可自由流動及浮動匯率政策下，寬松的貨幣政利率下跌，資金流出，本幣貶值。所以選C。themodelsthefiscalpolicy?A.Mundell-Flemingmodel.Puremodel.TheBalanceApproach.Answer:C府債務過多，政府必須收緊財政政策或者通過印發(fā)貨幣，那么會導致經(jīng)濟放緩，本幣貶值。這觀點是關于投資組合平衡方法，選C。10Theisamanagementintheanditanhistoricalperformance.theThomasMarvelAndyajunioranalyst,iscollectfinancialanddosomeincludingequityrisktheWizardCo.andMagicCo..Exhibit1thebywhichbeequityriskpremium.Exhibit1:2%inearningsperinin3%2%2.5%1.5%2.2%AndyusetheWizardCo..alsousemodeltheMagicCo..TheExhibit2:WizardCo.CAPMMagicCo.model2.20%2.20%111.601.805%risk5%premium---0.342.80%premium---0.671.24%premiumLiquidity--0.54LiquiditypremiumSabrinaChen,aseniorwhoisisassignedtheintrinsictheSigmaGo.ShereadstheannualreportthisdownsomeSigmaGoadividend-payingTheoutputbyenlarginganhigh-speedthe20%islinearlythe8untila4%9%.Nooracquisitioninthenearsincethethisisquitewiththeperformance.SabrinaisonaisaSigmaGo.thetrailingExhibit3:SigmaGo12DividendLong-term60%4%50%3.5%10%9%Larine,senioristheupcomingseminarwithinthefirmTheseminaraimstheidea-sharingtheandenhancethe’abilitiesskills.downmemostheseminar:thetheCAPMissimplemodelislowwhilebuild-upmodeliscloselyheld2:DividendmodelisamongItiswhodividendsinaisaItbedownwhichdividend37.AndytheequityriskthestockExhibit1theisA.7%6%5%Answer:AERP={[(1+EINFL)(1+EGREPS)(1+EGPE)-1]+EINC}-expected13=(1+2%)*(1+3%)*(1+2.5%)-1+1.5%-2.2%=6.99%.WizardCo.MagicCo.Exhibit2A.10.2%8.33%10.2%11.45%10.2%9.42%Answer:C使用CAPM計算可得r=2.2%+1.6*5%=10.2%。使用Fama-French三因子模型計算可得r=2.2%+1.8*5%-0.34*2.8%-0.67*1.24%=9.42%.istheintrinsictheSigmaiftheH-modelisA.$50.4perper$69.6perAnswer:A使用H模型，V=1.5*(1+4%)/(9%-4%)+1.5*(8/2)*(20%-4%)/(9%-4%)=50.4.40.Sabrinaisthreemodels.WhichtheisA.DividendspaidvolatilethanotherIfanotdividend,incomeisthedividend-payingthisAllbackby14Answer:A如果一個公司不發(fā)放任何分紅，自由現(xiàn)金流可以用來衡量該公司發(fā)放分紅的能力，因此B選項錯誤；使用自由現(xiàn)金流公式進行估值時，未來的FCFE使用權益要求回報率來折現(xiàn)，不是WACC。如果是FCFF，則用WACC進行折現(xiàn)。onExhibit3,isconsideringthetrailingA.SigmaGo.SameAnswer:ASigmaGo的滯后市盈率=0.6*(1+4%)/(9%-4%)=12.48;。Greentree的滯后市盈率=0.5*(1+3.5%)/(10%-3.5%)=7.96。所以SigmaGo從市盈率的角度看更貴。thebywhichtheismost？A.NonethemisonethemisthemAnswer:ADDM潤率，資產(chǎn)周轉率，杠桿率及留存收益率。TheSmartWealthCase15SmartamanagementfirmJapan,long-termappreciationtheirusinganalysis.TheisholdingthediscussionThetopicislong-termaajuniortheThesaleisJPY13,600millionis4.5%thisThethethisis3%.OtherfinancialtheinExhibit1.Exhibit1