CFA考试《CFA二级》历年真题精选及详细
解析1107-34
1、In regard to calculating Wadgett's FCFF, the comment that is most appropriate is the one dealing with:【单选题】 A.working capital adjustments. B.treatment of all non-cash charges. C.treatment of net borrowing. 正确答案:A
答案解析:A is correct. Cash flow from operations (CFO) already reflects changes in working capital items, therefore Paschel\\\\\\\\\\'s first comment is correct. EBITDA has the non-cash charges of depreciation and amortization added back, so Covey\\\\\\\\\\'s statement is incorrect, not all non-cash charges will need to be added back. Net borrowing is added back for FCFE not FCFF, so Paschel\\\\\\\\\\'s second statement is incorrect.B is incorrect. Depreciation has already been added back to EBITDA, though there may be other items that still need to be added back.C is incorrect. Adjusting for net borrowing is not necessary for FCFF (just FCFE).
2、Honoré describes three potential consequences of
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multicollinearity. Are all three consequences correct?【单选题】 A.Yes.
B.No, 1 is incorrect C.No, 2 is incorrect 正确答案:B
答案解析:B is correct. The R2 is expected to increase, not decline, with a new independent variable. The other two potential consequences Honoré describes are correct.
3、Ibarra wants to know the credit spread of bond B2 over a theoretical comparable-maturity government bond with the same coupon rate as this bond. The foregoing credit spread is closest to:【单选题】 A.108 bps. B.101 bps. C.225 bps. 正确答案:A
答案解析:A is correct. The corporate bond’s fair value is computed in the solution to Question 8 as �1,101.24The YTM can be obtained by solving the following equation for IRR:The solution to this equation is 3.26%.Valuation of a four-year, 6% coupon bond under no default (VND) is computed in the solution to Question 8 as 1,144.63. So, the YTM of a theoretical
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comparable-maturity government bond with the same coupon rate as the corporate bond B2 can be obtained by solving the following equation for IRR:The solution to this equation is 2.18%. So, the credit spread that the analyst wants to compute is3.26% – 2.18% = 1.08%, or 108 bps.B is incorrect, because that is the spread over the four-year government par bond that has a YTM of 2.25% in Exhibit 2: 3.26% – 2.25% = 1.01%, or 101 bps. Although this spread is commonly used in practice, the analyst is interested in finding the spread over a theoretical 6% coupon government bond.C is incorrect, because that is the YTM of the coupon four-year government bond in Exhibit 2.
4、Based on Exhibit 1, which independent variables in Varden’s model are significant at the 0.05 level?【单选题】 A.ESG only B.10.957%. C.Tenure only
D.Neither ESG nor tenure 正确答案:C
答案解析:B is correct. The t-statistic for tenure is 2.308, which is significant at the 0.027 level. The t-statistic for ESG is 1.201, with a p-value of 0.238. This result is not significant at the 0.05 level.
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CFA考试《CFA二级》历年真题精选及详细解析1107-34
