注册金融分析师一级-16及答案解析.doc

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1、注册金融分析师一级-16 及答案解析(总分：100.00，做题时间：90 分钟)一、单项选择题(总题数：39，分数：100.00)1.The yield to maturity on otherwise identical option-free bonds issued by the U.S. Treasury and a large industrial corporation is 6 percent and 8 percent, respectively. If annual inflation is expected to remain steady at 2.5 percent o

2、ver the life of the bond, the most likely explanation for the difference in yields is a premium due to:（分数：1.00）A.maturity.B.inflation.C.default risk.2.A woman is using the following information to plan her retirement: current age (years) 24 expected retirement age (years) 68 life expectancy (years)

3、 93 current annual expenditures $30000 expected inflation rate until retirement 3% expected return on investment 8% She assumes her consumption expenditures will increase with the rate of inflation, 3 percent, until she retires. Upon retiring she will have end-of-year expenditures equal to her consu

4、mption expenditure at age 68. The minimum amount that she must accumulate by age 68 in order to fund her retirement is closest to:（分数：1.00）A.$928000B.$1176000C.$15520003.Rent is $700 monthly and is due on the first day of every month. If the stated annual interest is 6 percent, the present value of

5、a full year“s rent payment is closest to:（分数：1.00）A.$8174B.$8352C.$88334.A company is considering entering into a joint venture that will require an investment of $30 million. The project is expected to generate cash flows of $7 million, $14 million, and $15 million in each of the next three years,

6、respectively. Assuming a discount rate of 7%, what is the project“s NPV?（分数：1.00）A.-$5343200B.-$3702900C.+$15634005.A project has the following expected cash flows: time cash flow 0 1 2 ($125000) $100000 $200000 If the risk-free interest rate is 4 percent, expected inflation is 3 percent, the market

7、 risk premium is 8 percent and the Beta for the project is 1, the investment“s net present value (NPV) is closest to:（分数：2.00）A.$113000B.$124000C.$1390006.A company is considering entering into a joint venture that will require an investment of $15 million. The project is expected to generate cash f

8、lows of $9 million and $8 million in each of the next two years, respectively. What is the project“s IRR?（分数：2.00）A.9%B.14%C.15%7.What should an analyst recommend based on the following information for two mutually exclusive projects? Project Investment at t=0 Cash Flow at t=1 IRR NPV at 10% a b -$5

9、000 -$20000 $7000 $25000 40% 25% $1364 $2727 （分数：2.00）A.Accept a and reject b.B.Reject a and accept b.C.Accept a and b.8.Terrison Inc. is considering the purchase of a new material handling system for a cost of $43 million. This System is expected to generate a positive cash flow of $5 million per y

10、ear in perpetuity. What is the NPV of the proposed investment if the appropriate discount rate is 7%?（分数：2.00）A.$6753582B.$28428571C.$343952139.Terrison Inc. is considering the purchase of a new material handling system for a cost of $27 million. This system is expected to generate a positive cash f

11、low of $3 million per year in perpetuity. What is the IRR of the proposed investment if the appropriate hurdle rate is 10%?（分数：2.00）A.7.8%B.10.5%C.11.1%10.Which of the following statements least accurately describes the IRR and NPV methods?（分数：2.00）A.A project“s IRR can be positive even if the NPV i

12、s negative.B.A project with an IRR equal to the cost of capital will have an NPV of zero.C.A project“s NPV can be positive even if the IRR is less than the cost of capital.11.Which of the following statements least accurately describes the IRR and NPV methods?（分数：2.00）A.The discount rate that gives

13、an investment an NPV of zero is the investment“s IRR.B.If the IRR and NPV methods give conflicting decisions for mutually exclusive projects, the IRR decision should be used to select the project.C.The NPV method assumes that a project“s cash flows will be reinvested at the cost of capital, while th

14、e IRR method assumes they will be reinvested at the IRR.12.The money-weighted rate of return on the investment is:（分数：2.00）A.52.3%B.67.9%C.74.5%13.The time-weighted rate of return on the investment is:（分数：2.00）A.43.7%B.50.2%C.68.9%14.Which of. the following statements least likely represents a chara

15、cteristic of the time-weighted rate of return?（分数：2.00）A.It is not affected by the timing of cash flow.B.It is used to measure the compound rate of growth of $1 over a stated measurement period.C.It is defined as the internal rate of return on an investment portfolio, taking into account all inflows

16、 and outflows.15.What is the bank discount yield for a T-bill that is selling for $48 000, with a face of $50 000, and 270 days remaining until maturity?（分数：2.00）A.5.3%B.6.7%C.13.4%16.Which of the following is least accurate regarding a bank discount yield?（分数：2.00）A.It ignores the opportunity to ea

17、rn compound interest.B.It is based on the face value of the bond, not its purchase price.C.It reflects the nonannualized return an investor will earn over a security“s life.17.An analyst gathers the following information about a common stock investment: date amount stock purchase cash dividend recei

18、ved stock sale 15 January 2009 14 July 2009 15 July 2009 $48 $4 $54 The holding period return on the common stock investment is closest to:（分数：2.00）A.12.5%B.20.8%C.41.7%18.What is the holding period yield for a T-bill that is selling for $48000, with a face of $50000, and 270 days remaining until ma

19、turity?（分数：2.00）A.4.0%B.4.2%C.4.5%19.What is the effective annual yield for a T-bill that is selling for $48000, with a face of $50000, and 270 days remaining until maturity?（分数：2.00）A.3.2%B.5.7%C.6.4%20.What is the money market yield for a T-bill that is selling for $48000, with a face of $50000, a

20、nd 270 days remaining until maturity?（分数：2.00）A.5.6%B.6.7%C.13.3%21.A 175-day T-bill has an effective annual yield of 4.5%. Its money-market yield is:（分数：2.00）A.4.3%B.4.6%C.3.6%22.The bond-equivalent yield for a semi-annual pay bond is most likely:（分数：2.00）A.equal to the effective annual yield.B.mor

21、e than the effective annual yield.C.equal to double the semiannual yield to maturity.根据下表所示的频数分布解答问题： 频数分布 区间 频数 -10%R0% 5 0%R10% 8 10%R20% 7 20%R30% 4 30%R40% 2 （分数：4.00）(1).The sample size of this frequency distribution is:（分数：2.00）A.1B.5C.26(2).The relative frequency of the third interval is:（分数：

22、2.00）A.26.3%B.33.4%C.45.6%23.The least accurate statement about measures of dispersion for a distribution is that the:（分数：2.00）A.range provides no information about the shape of the data distribution.B.arithmetic average of the deviations around the mean will always be equal to one.C.mean absolute d

23、eviation will always be less than or equal to the standard deviation.根据下表所示的数据解答问题。 ACS 公司股票在各年中的回报率 年份 2005 2006 2007 2008 2009 回报率(R) 15% -7% 24% 15% -18% （分数：14.00）(1).What is the arithmetic mean return for ACS stock?（分数：2.00）A.2.9%B.3.4%C.5.8%(2).What is the arithmetic mean return for ACS stock?

24、分数：2.00）A.5.5%B.12.6%C.It cannot be determined because the returns of 2006 and 2009 are negative.(3).What is the median return for ACS stock?（分数：2.00）A.3.0%B.3.4%C.15.0%(4).What is the mode return for ACS stock?（分数：2.00）A.-7.0%B.15.0%C.24.0%(5).What is the range for ACS stock?（分数：2.00）A.24.0%B.31.0

25、C.42.0%(6).What is the mean absolute deviation for ACS stock?（分数：2.00）A.8.7%B.16.8%C.17.3%(7).Assuming that the distribution of ACS stock returns is a population, what is the population standard deviation?（分数：2.00）A.5.8%B.15.7%C.35.1%24.For a skewed distribution, what is the minimum percentage of t

26、he observations that will lie between + 4 standard deviations of the mean based on Chebyshev“s inequality?（分数：2.00）A.73.4%B.80.0%C.93.8%25.An analyst gathered the following information about a common stock portfolio: arithmetic mean return 14.3% geometric mean return 12.7% variance of returns 380 po

27、rtfolio beta 1.35 If the risk-free rate of return is 4.25 percent, the coefficient of variation is closest to:（分数：2.00）A.0.52B.1.36C.1.5326.Which of the following is most accurate regarding a distribution of returns that has a mean greater than its median?（分数：2.00）A.It is positively skewed.B.It is a

28、 symmetric distribution.C.It has positive excess of kurtosis.27.A distribution of returns that has a greater percentage of small deviations from the mean and a greater percentage of extremely large deviations from the mean compared to a normal distribution:（分数：2.00）A.is positively skewed.B.has posit

29、ive excess kurtosis.C.has negative excess kurtosis.28.If an analyst estimates the probability of an event for which there is no historical record, this probability is best described as:（分数：2.00）A.a prior probability.B.a empirical probability.C.a subjective probability.29.The probability that the Dow

30、Jones Average will increase tomorrow is 3/5. The probability of an increase in the Dow-Jones Average stated as odds is:（分数：2.00）A.2/3B.3/2C.2/530.If events A and B are mutually exclusive, then:（分数：2.00）A.P(|)=P()B.P()=P()P()C.P( or )=P()+P()31.Two events are said to be independent if the occurrence

31、 of one event:（分数：2.00）A.means that the second event cannot occur.B.means that the second event is certain to occur.C.does not affect the probability of the occurrence of the other event.32.Given the conditional probabilities in the table below and the unconditional probabilities P(Y=1)=0.4 and P(Y=

32、2)=0.6, what is the expected value of X? x i P(x i |Y=1) P(x i |Y=2) 3 0.7 0.2 4 0.3 0.8 （分数：2.00）A.3.2B.3.3C.3.6根据下表所示的股票回报率联合概率解答问题。 表 1 股票回报率的联合概率表（分数：10.00）(1).Given the joint probability table, the expected return of Stock A is closest to :（分数：2.00）A.-0.07B.0.03C.0.12(2).Given the joint probabi

33、lity table, the variance of Stock A is closest to:（分数：2.00）A.-0.04B.0.05C.0.36(3).Given the joint probability table, the standard deviation of Stock B is closest to:（分数：2.00）A.-0.03B.0.15C.0.18(4).Given the joint probability table, the covariance between RA and RB is closest to:（分数：2.00）A.-0.03B.0.0

34、4C.0.17(5).Given the joint probability table, the correlation between R A and R B is closest to:（分数：2.00）A.-0.82B.-0.34C.1.3233.Which of the following statements best describes the relationship between correlation and covariance? The correlation between two random variables is their covariance stand

35、ardized by the product of the variables“:（分数：2.00）A.variances.B.standard deviations.C.coefficients of variation.根据下表所示的股票回报率联合概率解答问题。 股票回报率的联合概率表 宏观经济状况 宏观经济状况的概率 股票业绩 股票业绩的条件概率 较好 0.5 适中 0.4 高涨 0.3 较差 0.1 较好 O.6 适中 0.3 平稳 0.1 较差 0.1 较好 0.2 适中 0.4 衰退 0.5 较差 0.4 （分数：6.00）(1).What is the joint probabi

36、lity of having good stock performance in a neutral economic environment?（分数：2.00）A.0.06B.0.10C.0.60(2).What is the total probability of having a good performance in the stock?（分数：2.00）A.0.15B.0.31C.0.72(3).Given that the stock has good performance, the probability the state of the economy was good i

37、s closest to:（分数：2.00）A.0.15B.0.27C.0.4834.At a charity ball, the names of 300 people are put into a box. Six of the names are identical. On a random draw, what is the probability that one of these six names will be drawn?（分数：2.00）A.0.02B.0.05C.0.2035.There are eight sprinters in the finals of a rac

38、e. How many different ways can the gold, silver, and bronze medals be awarded?（分数：2.00）A.8B.56C.336注册金融分析师一级-16 答案解析(总分：100.00，做题时间：90 分钟)一、单项选择题(总题数：39，分数：100.00)1.The yield to maturity on otherwise identical option-free bonds issued by the U.S. Treasury and a large industrial corporation is 6 perc

39、ent and 8 percent, respectively. If annual inflation is expected to remain steady at 2.5 percent over the life of the bond, the most likely explanation for the difference in yields is a premium due to:（分数：1.00）A.maturity.B.inflation.C.default risk. 解析：解析 为了弥补风险所带来的潜在损失，投资者会要求较高的投资回报率，即必要回报率相应提高。证券的必

40、要回报率(市场利率)与上述投资风险之间的关系可以通过下面的公式表示： 证券的必要回报率(市场利率)=名义无风险利率+违约风险溢价+流动性风险溢价+到期风险溢价 造成美国国库券与公司债券的收益率差异的主要原因是二者在违约风险方面的差异。在债券市场上，由于美国国库券是由美国政府提供担保的，从而通常认为这类债券不存在违约风险，而公司债券则在不同程度上存在违约风险。因此，本题的正确选项为 C。2.A woman is using the following information to plan her retirement: current age (years) 24 expected retir

41、ement age (years) 68 life expectancy (years) 93 current annual expenditures $30000 expected inflation rate until retirement 3% expected return on investment 8% She assumes her consumption expenditures will increase with the rate of inflation, 3 percent, until she retires. Upon retiring she will have

42、 end-of-year expenditures equal to her consumption expenditure at age 68. The minimum amount that she must accumulate by age 68 in order to fund her retirement is closest to:（分数：1.00）A.$928000B.$1176000 C.$1552000解析：解析 由于在未来 44 年中，该妇女的年度支出金额将按照通货膨胀率(3%)逐年增加，从而其退休时的年度消费支出为 30000(1+3%) 44 =110143.57 美

43、元。假设其养老金账户的投资回报率为 8%，则为了满足其退休后 25 年的消费支出，则她在 68 岁时至少应筹集的资金金额(现值)为： PV=110143.57(1+8%) -1 +110143.57(1+8%) -2 +110143.57(1+8%) -25 =1175756(美元)3.Rent is $700 monthly and is due on the first day of every month. If the stated annual interest is 6 percent, the present value of a full year“s rent payment

44、 is closest to:（分数：1.00）A.$8174 B.$8352C.$8833解析：解析 先付年金是指在每期期初支付的年金。设先付年金终值为 FV b ，先付年金的支付形式如图所示。图中的横线代表时间的延续，用数字标出各期的顺序号；竖线的位置表示支付的时刻，竖线下端数字表示支付的金额。 4.A company is considering entering into a joint venture that will require an investment of $30 million. The project is expected to generate cash flo

45、ws of $7 million, $14 million, and $15 million in each of the next three years, respectively. Assuming a discount rate of 7%, what is the project“s NPV?（分数：1.00）A.-$5343200B.-$3702900 C.+$1563400解析：解析 5.A project has the following expected cash flows: time cash flow 0 1 2 ($125000) $100000 $200000 I

46、f the risk-free interest rate is 4 percent, expected inflation is 3 percent, the market risk premium is 8 percent and the Beta for the project is 1, the investment“s net present value (NPV) is closest to:（分数：2.00）A.$113000B.$124000 C.$139000解析：解析 投资的资金机会成本=无风险利率+市场风险溢价 值=4%+8%1=12% 6.A company is co

47、nsidering entering into a joint venture that will require an investment of $15 million. The project is expected to generate cash flows of $9 million and $8 million in each of the next two years, respectively. What is the project“s IRR?（分数：2.00）A.9% B.14%C.15%解析：解析 7.What should an analyst recommend

48、based on the following information for two mutually exclusive projects? Project Investment at t=0 Cash Flow at t=1 IRR NPV at 10% a b -$5000 -$20000 $7000 $25000 40% 25% $1364 $2727 （分数：2.00）A.Accept a and reject b.B.Reject a and accept b. C.Accept a and b.解析：解析 根据 IRR 法，由于 a 项目的 IRR 值较高，从而应选择 a 项目。

49、根据 NPV 法，由于 b 项目的NPV 值较高，从而应选择 b 项目。基于股东财富最大化原则，即 NPV 法所得结论优先的原则，应当选择 b项目，本题的正确选项为 B。8.Terrison Inc. is considering the purchase of a new material handling system for a cost of $43 million. This System is expected to generate a positive cash flow of $5 million per year in perpetuity. What is the NPV of the proposed investment if the appropriate discount rate is 7%?（分数：2.00）A.$6753582B.$28428571 C.$34395213解析：解析 NPV=现金流现值-CF 0 =50000007%-43000000 =28428571(美元)9.Terrison Inc. is considering the purchase of a new material handling system