2020CFA二级课后习题及解析.pdf

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Ethical and Professional Standards

Study Session 1 Ethical and Professional Standards

Reading 2 Guidance for Standards I-VII

PRACTICE PROBLEMS

SOLUTIONS

Reading 4 Introduction to Linear Regression

PRACTICE PROBLEMS

SOLUTIONS

Reading 5 Multiple Regression

PRACTICE PROBLEMS

SOLUTIONS

Reading 6 Time-Series Analysis

PRACTICE PROBLEMS

SOLUTIONS

Quantitative Methods

STUDY SESSION 3

Quantitative Methods (2)

Reading 7 Machine Learning

PRACTICE PROBLEMS

SOLUTIONS

Reading 8 Big Data Projects

PRACTICE PROBLEMS

SOLUTIONS

Reading 9 Excerpt from “Probabilistic Approaches:

PRACTICE PROBLEMS

SOLUTIONS

Study Session 4 Economics

Reading 10 Currency Exchange Rates: Understanding

PRACTICE PROBLEMS

SOLUTIONS

Reading 11 Economic Growth and the Investment Deci

PRACTICE PROBLEMS

SOLUTIONS

Reading 12 Economics of Regulation

PRACTICE PROBLEMS

SOLUTIONS

Financial Reporting and Analysis

Study Session 5 Financial Reporting and Analysis (

Reading 13 Intercorporate Investments

PRACTICE PROBLEMS

SOLUTIONS

Reading 14 Employee Compensation: Post- Employment

PRACTICE PROBLEMS

SOLUTIONS

Reading 15 Multinational Operations

PRACTICE PROBLEMS

SOLUTIONS

Reading 16 Analysis of Financial Institutions

PRACTICE PROBLEMS

SOLUTIONS

STUDY SESSION 6 Financial Reporting and Analysis (

Reading 17 Evaluating Quality of Financial Reports

PRACTICE PROBLEMS

SOLUTIONS

Reading 18 Integration of Financial Statement Anal

PRACTICE PROBLEMS

SOLUTIONS

Corporate Finance

Study Session 7 Corporate Finance (1)

Reading 19 Capital Budgeting

PRACTICE PROBLEMS

SOLUTIONS

Reading 20 Capital Structure

PRACTICE PROBLEMS

SOLUTIONS

Reading 21 Analysis of Dividends and Share Repurch

PRACTICE PROBLEMS

SOLUTIONS

STUDY SESSION 8 Corporate Finance (2)

Reading 22 Corporate Governance and Other ESG Con

PRACTICE PROBLEMS

SOLUTIONS

Reading 23 Mergers and Acquisitions

PRACTICE PROBLEMS

SOLUTIONS

Equity Valuation

Study Session 9 Equity Valuation (1) 3

Reading 24 Equity Valuation: Applications and Proc

PRACTICE PROBLEMS

SOLUTIONS

Reading 25 Return Concepts

PRACTICE PROBLEMS

SOLUTIONS

Study Session 10 Equity Valuation (2)

Reading 26 Industry and Company Analysis

PRACTICE PROBLEMS

SOLUTIONS

Reading 27 Discounted Dividend Valuation

PRACTICE PROBLEMS

SOLUTIONS

Study Session 11 Equity Valuation (3)

Reading 28 Free Cash Flow Valuation

PRACTICE PROBLEMS

SOLUTIONS

Year

1.50%

0.75%

FCFF n

(€ millions)

3,226

3,274.39

3,323.51

3,373.36

3,398.66

Present Value Factor

0.928529

0.862167

0.800547

Present Value

(€millions)

3,040.37

2,865.42

2,700.53

The terminal value at the end of Year 3 is TV 3 =

TV 3 = 3,398.66/(0.0770 – 0.0075) = €48,921.38 mil

The total value of operating assets = (3,040.37 +

= 8,606.32 + 39,163.88

= €47,770.20 million.

Value of Bern’s common stock = Value of operating

= 47,770.20 + 50.00 – 15,400 – 4,000

= €28,420.20 million.

Since the current market value of Bern’s common st

Reading 29 Market-Based Valuation: Price and Enter

PRACTICE PROBLEMS

SOLUTION

Reading 30 Residual Income Valuation

PRACTICE PROBLEMS

SOLUTIONS

Reading 31 Private Company Valuation

PRACTICE PROBLEMS

SOLUTIONS

Fixed Income

Study Session 12 Fixed Income (1) 3

Reading 32 The Term Structure and Interest Rate Dy

PRACTICE PROBLEMS

SOLUTIONS

Reading 33 The Arbitrage-Free Valuation Framework

PRACTICE PROBLEMS

SOLUTIONS

Study Session 13 Fixed Income (2) 119

Reading 34 Valuation and Analysis of Bonds with Em

PRACTICE PROBLEMS

SOLUTIONS

Reading 35 Credit Analysis Models

PRACTICE PROBLEMS

The following information relates to questions 1–1

SOLUTIONS

Reading 36 Credit Default Swaps

PRACTICE PROBLEMS

SOLUTIONS

Derivatives

Study Session 14 Derivatives 315

Reading 37 Pricing and Valuation of Forward Commit

PRACTICE PROBLEMS

SOLUTIONS

Reading 38 Valuation of Contingent Claims

PRACTICE PROBLEMS

SOLUTIONS

Alternative Investments

Study Session 15 Alternative Investments 3

Reading 39 Private Real Estate Investments

PRACTICE PROBLEMS

SOLUTIONS

Reading 40 Publicly Traded Real Estate Securities

PRACTICE PROBLEMS

The following information relates to Questions 1–6

SOLUTIONS

Reading 41 Private Equity Valuation

PRACTICE PROBLEMS

SOLUTIONS

Reading 42 Introduction to Commodities and Commodi

PRACTICE PROBLEMS

SOLUTIONS

Portfolio Management

Study Session 16 Portfolio Management (1) 251

Reading 43 Exchange-Traded Funds: Mechanics and Ap

PRACTICE PROBLEMS

SOLUTIONS

Reading 44 Using Multifactor Models

PRACTICE PROBLEMS

SOLUTIONS

Reading 45 Measuring and Managing Market Risk

PRACTICE PROBLEMS

SOLUTIONS

Study Session 17 Portfolio Management (2) 399

Reading 46 Economics and Investment Markets

PRACTICE PROBLEMS

SOLUTIONS

Reading 47 Analysis of Active Portfolio Management

PRACTICE PROBLEMS

SOLUTIONS

Reading 48 Trading Costs and Electronic Markets

PRACTICE PROBLEMS

SOLUTIONS

Contents Ethical and Professional Standards................................................................................ 1 Study Session 1 Ethical and Professional Standards...............................................1 Reading 2 Guidance for Standards I-VII..........................................................1 PRACTICE PROBLEMS......................................................................... 1 SOLUTIONS...........................................................................................25 Reading 4 Introduction to Linear Regression................................................ 41 PRACTICE PROBLEMS....................................................................... 41 SOLUTIONS...........................................................................................54 Reading 5 Multiple Regression...................................................................... 60 PRACTICE PROBLEMS....................................................................... 60 SOLUTIONS...........................................................................................90 Reading 6 Time-Series Analysis.................................................................. 104 PRACTICE PROBLEMS..................................................................... 104 SOLUTIONS.........................................................................................122 Quantitative Methods................................................................................................. 132 STUDY SESSION 3.................................................................................................. 132 Quantitative Methods (2).................................................................................... 132 Reading 7 Machine Learning....................................................................... 132 PRACTICE PROBLEMS..................................................................... 132 SOLUTIONS..........................................................................................136 Reading 8 Big Data Projects........................................................................ 139 PRACTICE PROBLEMS..................................................................... 139 SOLUTIONS.........................................................................................144 Reading 9 Excerpt from “Probabilistic Approaches: Scenario Analysis, Decision Trees, and Simulations”................................................................ 147 PRACTICE PROBLEMS..................................................................... 147 SOLUTIONS.........................................................................................150 Study Session 4 Economics.................................................................................153 Reading 10 Currency Exchange Rates: Understanding Equilibrium Value.153 PRACTICE PROBLEMS..................................................................... 153 SOLUTIONS.........................................................................................162 Reading 11 Economic Growth and the Investment Decision.......................167 PRACTICE PROBLEMS..................................................................... 167 融通智慧，跃升未来 I www.rongyuejiaoyu.com

SOLUTIONS..........................................................................................175 Reading 12 Economics of Regulation..........................................................179 PRACTICE PROBLEMS..................................................................... 179 SOLUTIONS.........................................................................................183 Financial Reporting and Analysis.............................................................................. 185 Study Session 5 Financial Reporting and Analysis (1)....................................... 185 Reading 13 Intercorporate Investments........................................................185 PRACTICE PROBLEMS.......................................................................185 SOLUTIONS..........................................................................................197 Reading 14 Employee Compensation: Post- Employment and Share- Based203 PRACTICE PROBLEMS.......................................................................203 SOLUTIONS..........................................................................................214 Reading 15 Multinational Operations.......................................................... 221 PRACTICE PROBLEMS.......................................................................221 SOLUTIONS..........................................................................................235 Reading 16 Analysis of Financial Institutions..............................................244 PRACTICE PROBLEMS.......................................................................244 SOLUTIONS..........................................................................................253 STUDY SESSION 6 Financial Reporting and Analysis (2)......................................261 Reading 17 Evaluating Quality of Financial Reports...................................261 PRACTICE PROBLEMS.......................................................................261 SOLUTIONS..........................................................................................267 Reading 18 Integration of Financial Statement Analysis Techniques..........271 PRACTICE PROBLEMS.......................................................................271 SOLUTIONS..........................................................................................274 Corporate Finance...................................................................................................... 275 Study Session 7 Corporate Finance (1)...............................................................275 Reading 19 Capital Budgeting.................................................................. 275 PRACTICE PROBLEMS.......................................................................275 SOLUTIONS..........................................................................................291 Reading 20 Capital Structure....................................................................... 302 PRACTICE PROBLEMS.......................................................................302 SOLUTIONS..........................................................................................307 Reading 21 Analysis of Dividends and Share Repurchases.........................310 PRACTICE PROBLEMS.......................................................................310 SOLUTIONS..........................................................................................317 STUDY SESSION 8 Corporate Finance (2)........................................................... 323 融通智慧，跃升未来 II www.rongyuejiaoyu.com

Reading 22 Corporate Governance and Other ESG Considerations in Investment Analysis..................................................................................... 323 PRACTICE PROBLEMS.......................................................................323 SOLUTIONS..........................................................................................326 Reading 23 Mergers and Acquisitions..........................................................330 PRACTICE PROBLEMS.......................................................................330 SOLUTIONS..........................................................................................339 Equity Valuation.........................................................................................................344 Study Session 9 Equity Valuation (1) 3...............................................................344 Reading 24 Equity Valuation: Applications and Processes...................344 PRACTICE PROBLEMS.......................................................................344 SOLUTIONS..........................................................................................352 Reading 25 Return Concepts........................................................................356 PRACTICE PROBLEMS.......................................................................356 SOLUTIONS..........................................................................................362 Study Session 10 Equity Valuation (2).......................................................................367 Reading 26 Industry and Company Analysis............................................... 367 PRACTICE PROBLEMS.......................................................................367 SOLUTIONS..........................................................................................374 Reading 27 Discounted Dividend Valuation................................................ 379 PRACTICE PROBLEMS.......................................................................379 SOLUTIONS..........................................................................................398 Study Session 11 Equity Valuation (3).......................................................................414 Reading 28 Free Cash Flow Valuation.........................................................414 PRACTICE PROBLEMS.......................................................................414 SOLUTIONS..........................................................................................436 Reading 29 Market-Based Valuation: Price and Enterprise Value Multiples458 PRACTICE PROBLEMS.......................................................................458 SOLUTION............................................................................................474 Reading 30 Residual Income Valuation....................................................... 486 PRACTICE PROBLEMS.......................................................................486 SOLUTIONS..........................................................................................497 Reading 31 Private Company Valuation...................................................... 514 PRACTICE PROBLEMS.......................................................................514 SOLUTIONS..........................................................................................523 Fixed Income..............................................................................................................527 Study Session 12 Fixed Income (1) 3..................................................................527 融通智慧，跃升未来 III www.rongyuejiaoyu.com

Reading 32 The Term Structure and Interest Rate Dynamics...................... 527 PRACTICE PROBLEMS.......................................................................527 SOLUTIONS..........................................................................................540 Reading 33 The Arbitrage-Free Valuation Framework................................ 550 PRACTICE PROBLEMS.......................................................................550 SOLUTIONS..........................................................................................558 Study Session 13 Fixed Income (2) 119.....................................................................565 Reading 34 Valuation and Analysis of Bonds with Embedded Options...... 565 PRACTICE PROBLEMS.......................................................................565 SOLUTIONS..........................................................................................579 Reading 35 Credit Analysis Models.............................................................590 PRACTICE PROBLEMS.......................................................................590 The following information relates to questions 1–15....................................... 590 SOLUTIONS..........................................................................................600 Reading 36 Credit Default Swaps................................................................ 618 PRACTICE PROBLEMS.......................................................................618 SOLUTIONS..........................................................................................623 Derivatives................................................................................................................. 627 Study Session 14 Derivatives 315.......................................................................627 Reading 37 Pricing and Valuation of Forward Commitments..................... 627 PRACTICE PROBLEMS.......................................................................627 SOLUTIONS..........................................................................................634 Reading 38 Valuation of Contingent Claims................................................641 PRACTICE PROBLEMS.......................................................................641 SOLUTIONS..........................................................................................649 Alternative Investments..............................................................................................654 Study Session 15 Alternative Investments 3....................................................... 654 Reading 39 Private Real Estate Investments................................................654 PRACTICE PROBLEMS.......................................................................654 SOLUTIONS..........................................................................................663 Reading 40 Publicly Traded Real Estate Securities..................................... 669 PRACTICE PROBLEMS.......................................................................669 The following information relates to Questions 1–6..................................................669 SOLUTIONS..........................................................................................674 Reading 41 Private Equity Valuation........................................................... 677 PRACTICE PROBLEMS.......................................................................677 SOLUTIONS..........................................................................................684 融通智慧，跃升未来 IV www.rongyuejiaoyu.com

Reading 42 Introduction to Commodities and Commodity Derivatives......689 PRACTICE PROBLEMS.......................................................................689 SOLUTIONS..........................................................................................698 Portfolio Management................................................................................................704 Study Session 16 Portfolio Management (1) 251................................................704 Reading 43 Exchange-Traded Funds: Mechanics and Applications............ 704 PRACTICE PROBLEMS.......................................................................704 SOLUTIONS..........................................................................................708 Reading 44 Using Multifactor Models.........................................................711 PRACTICE PROBLEMS.......................................................................711 SOLUTIONS..........................................................................................717 Reading 45 Measuring and Managing Market Risk.....................................722 PRACTICE PROBLEMS.......................................................................722 SOLUTIONS..........................................................................................733 Study Session 17 Portfolio Management (2) 399.......................................................739 Reading 46 Economics and Investment Markets......................................... 739 PRACTICE PROBLEMS.......................................................................739 SOLUTIONS..........................................................................................745 Reading 47 Analysis of Active Portfolio Management................................751 PRACTICE PROBLEMS.......................................................................751 SOLUTIONS..........................................................................................763 Reading 48 Trading Costs and Electronic Markets......................................772 PRACTICE PROBLEMS.......................................................................772 SOLUTIONS..........................................................................................776 融通智慧，跃升未来 V www.rongyuejiaoyu.com

Ethical and Professional Standards Study Session 1 Ethical and Professional Standards Reading 2 Guidance for Standards I-VII PRACTICE PROBLEMS Unless otherwise stated in the question, all individuals in the following questions are CFA Institute members or candidates in the CFA Program and, therefore, are subject to the CFA Institute Code of Ethics and Standards of Professional Conduct. 1 Smith, a research analyst with a brokerage firm, decides to change his recom mendation for the common stock of Green Company, Inc., from a “buy” to a “sell.” He mails this change in investment advice to all the firm’s clients on Wednesday. The day after the mailing, a client calls with a buy order for 500 shares of Green Company. In this circumstance, Smith should: A Accept the order. B Advise the customer of the change in recommendation before accepting the order. C Not accept the order because it is contrary to the firm’s recommendation. 2 Which statement about a manager’s use of client brokerage commissions vio lates the Code and Standards? A A client may direct a manager to use that client’s brokerage commissions to purchase goods and services for that client. B Client brokerage commissions should be used to benefit the client and should be commensurate with the value of the brokerage and research ser vices received. C Client brokerage commissions may be directed to pay for the investment manager’s operating expenses. 3 Jamison is a junior research analyst with Howard & Howard, a brokerage and investment banking firm. Howard & Howard’s mergers and acquisitions depart ment has represented the Britland Company in all of its acquisitions for the past 20 years. Two of Howard & Howard’s senior officers are directors of various Britland subsidiaries. Jamison has been asked to write a research report on Britland. What is the best course of action for her to follow? A Jamison may write the report but must refrain from expressing any opinions because of the special relationships between the two companies. B Jamison should not write the report because the two Howard & Howard 融通智慧，跃升未来 1 www.rongyuejiaoyu.com

officers serve as directors for subsidiaries of Britland. C Jamison may write the report if she discloses the special relationships with the company in the report. 4 Which of the following statements clearly conflicts with the recommended procedures for compliance presented in the CFA Institute Standards of Practice Handbook? A Firms should disclose to clients the personal investing policies and proce dures established for their employees. B Prior approval must be obtained for the personal investment transactions of all employees. C For confidentiality reasons, personal transactions and holdings should not be reported to employers unless mandated by regulatory organizations. 5 Bronson provides investment advice to the board of trustees of a private uni versity endowment fund. The trustees have provided Bronson with the fund’s financial information, including planned expenditures. Bronson receives a phone call on Friday afternoon from Murdock, a prominent alumnus, request ing that Bronson fax him comprehensive financial information about the fund. According to Murdock, he has a potential contributor but needs the informa tion that day to close the deal and cannot contact any of the trustees. Based on the CFA Institute Standards, Bronson should: A Send Murdock the information because disclosure would benefit the client. B Not send Murdock the information to preserve confidentiality. C Send Murdock the information, provided Bronson promptly notifies the trustees. 6 Willier is the research analyst responsible for following Company X. All the information he has accumulated and documented suggests that the outlook for the company’s new products is poor, so the stock should be rated a weak “hold.” During lunch, however, Willier overhears a financial analyst from another firm whom he respects offer opinions that conflict with Willier’s forecasts and expectations. Upon returning to his office, Willier releases a strong “buy” rec ommendation to the public. Willier: A Violated the Standards by failing to distinguish between facts and opinions in his recommendation. B Violated the Standards because he did not have a reasonable and adequate basis for his recommendation. C Was in full compliance with the Standards. 融通智慧，跃升未来 2 www.rongyuejiaoyu.com

7 An investment management firm has been hired by ETV Corporation to work on an additional public offering for the company. The firm’s brokerage unit now has a “sell” recommendation on ETV, but the head of the investment banking department has asked the head of the brokerage unit to change the recommen dation from “sell” to “buy.” According to the Standards, the head of the broker age unit would be permitted to: A Increase the recommendation by no more than one increment (in this case, to a “hold” recommendation). B Place the company on a restricted list and give only factual information about the company. C Assign a new analyst to decide if the stock deserves a higher rating. 8 Albert and Tye, who recently started their own investment advisory business, have registered to take the Level III CFA examination. Albert’s business card reads, “Judy Albert, CFA Level II.” Tye has not put anything about the CFA designation on his business card, but promotional material that he designed for the business describes the CFA requirements and indicates that Tye partic ipates in the CFA Program and has completed Levels I and II. According to the Standards: A Albert has violated the Standards, but Tye has not. B Tye has violated the Standards, but Albert has not. C Both Albert and Tye have violated the Standards. 9 Scott works for a regional brokerage firm. He estimates that Walkton Industries will increase its dividend by US$1.50 a share during the next year. He realizes that this increase is contingent on pending legislation that would, if enacted, give Walkton a substantial tax break. The US representative for Walkton’s home district has told Scott that, although she is lobbying hard for the bill and prospects for its passage are favorable, concern of the US Congress over the federal deficit could cause the tax bill to be voted down. Walkton Industries has not made any statements about a change in dividend policy. Scott writes in his research report, “We expect Walkton’s stock price to rise by at least US$8.00 a share by the end of the year because the dividend will increase by US$1.50 a share. Investors buying the stock at the current time should expect to realize a total return of at least 15% on the stock.” According to the Standards: A Scott violated the Standards because he used material inside information. B Scott violated the Standards because he failed to separate opinion from fact. C Scott violated the Standards by basing his research on uncertain predictions 融通智慧，跃升未来 3 www.rongyuejiaoyu.com

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2020CFA二级课后习题及解析.pdf

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