SAIF-CFA试题

CFA试题1.The least accurate statement about measures of dispersion fora distribution is that the: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 deviation will always be less than or equal to the standard deviation.2.One is most likely to reject the null hypothesis when the p-value of the test statistic:A. is negative.B. exceeds a specified level of significance.C. falls below a specified level of significance.3. A recessionary gap is more likely to be observed when:A. real GDP is above potential GDP.B. real GDP is below potential GDP.C. employment is above full-employment equilibrium.4.In an effort to influence the economy, a central bank conducted open market activities by selling government bonds. This implies that the central bank is most likely attempting to:A. contract the economy by reducing bank reservesB. expand the economy through a lower policy interest rateC. contract the economy through a lower policy interest rate5.A company using IFRS reports its interest payments on long-term debt as a financing activity. If the company reported under US GAAP, the most likely effect would be a:A. higher cash flow from operations.B. higher cash flow from financing activities.C. lower cash flow from investing activities.6.Under U.S. GAAP what is the most likely effect of the reversal of a valuation allowance related to a deferred tax asset on net income?A. No effectB. A decreaseC. An increase7.The following information is available about a company: (All figures in $ thousands) 2011 2010Deferred tax assets 200 160Deferred tax liabilities (450) (360)Net deferred tax liabilities (250) (200)Earnings before taxes 4,000 3,800Income taxes at the statutory rate 1,200 1,140Current income tax expense 1,000 900The company’s 2011 income tax expense (in thousands) is closest to:A. $1,000B. $1,050C. $1,2508.A bond has a modified duration of 6.5 and convexity of -42.4. If interest rates decrease by 1.0 percent, the percentage change in the value of the bond will be closest to:A. -6.92%.B. +2.76%.C. +6.08%.9.Assume the following six-month forward rates (presented on an annualized, bond-equivalent basis) were calculated from the yield curve.Notation Forward Rate1f0 0.50%1f1 0.70%1f2 1.00%1f3 1.50%1f4 2.20%1f5 3.00%1f6 4.00%The 3-year spot rate is closest to:A. 0.74%.B. 1.48%.C. 2.06%.10.The following table shows data for the stock of JKU and a market-index.Expected return of JKU 15%Expected return of market index 12%Risk free rate 5%Standard deviation of JKU returns 20%Standard deviation of market index returns 15%Correlation of JKU and market index returns 0.75Based on the capital asset pricing model (CAPM), JKU is mostlikely:A. overvalued.B. undervalued.C. fairly valued.11.An analyst conducts a significance test to determine if the relation between two variables is real or the result of chance. His null hypothesis is that the population correlation coefficient is equal to zero and his alternative hypothesis is that the population correlation coefficient is different from zero. He gathers the following information:Value of the test statistic 2.8092Critical value at the 0.05 significance level 1.96Critical value at the 0.01 significance level 2.58The analyst most likely conducted a:A. one-tailed test and can reject his null hypothesis.B. two-tailed test and can reject his null hypothesis.C. two-tailed test and cannot reject his null hypothesis.12.The free-rider problem, an obstacle to efficiency, is most likely associated with:A. monopoliesB. public goodsC. subsidies and quotas13.Assume that two firms in a duopoly enter into a collusive agreement in an attempt to form a cartel and restrict output, raise prices, and increase profits. Given this, the most likely outcome according to the Nash equilibrium is that:A. Both firms cheatB. Both firms complyC. One firm cheats and the other firm complies14.Which of the following is least likely to be a warning sign of low quality earnings?A. Greater use of operating leases than peer companies.B. Use of a higher discount rate in pension plan assumptions.C. A ratio of operating cash flow to net income greater than1.0.15.Based on best practices in corporate governance procedures, independent board members most likely:A. Meet only in the presence of management.B. Have a “lead” director when the board chair is not independent.C. Hire independent consultants who are pre-approved by management.16.A series of interest rate put options that expire on different dates but have the same exercise rate is best defined as a (n):A. Interest rate cap.B. Interest rate floor.C. Interest rate collar.17. In comparison to a forward contract, a futures contract is most likely to be less:A. Liquid.B. Publicized.C. Customized.18.If the volatility of returns of an underlying security increases, then:A. both call and put option prices increase.B. both call and put option prices decrease.C. call prices increase and put prices decrease.19.High Plains Capital is a hedge fund with a portfolio valued at $475,000,000 at the beginning of the year. One year later, the value of assets under management is $541,500,000. The hedge fund charges a 1.5% management fee based on the end-of-year portfolio value, and a 10% incentive fee. If the incentive fee and management fee are calculated independently, the effective return for a hedge fund investor is closest to:A. 10.89%.B. 11.06%.C. 12.29%.20.Relative to an investor with a steeper indifference curve, the optimal portfolio for an investor with a flatter indifference curve will most likely have:A. A lower level of risk and return.B. A higher level of risk and return.C. The same level of risk and return.21.A project has the following expected cash flows:Time Cash Flow($)0 (125,000)1 100,0002 200,000If 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:A. $113,000.B. $124,000.C. $139,000.22.Given the following information about three portfolios: PortfolioMean return on theportfolio (%) Standard deviation of the return on the portfolio (%) A 10 20 B 18 15 C63If the risk-free rate is 4%, which portfolio has the highest Sharpe ratio?A. Portfolio AB. Portfolio BC. Portfolio C23.An analyst gathers the following annual information ($ millions) about a company that pays no dividends and has no debt: Net income 45.8 Depreciation18.2 Loss on sale of equipment 1.6 Decrease in accounts receivable 4.2Increase in inventories 3.4 Increase in accounts payable 2.5 Capital expenditures 7.3 Proceeds from sale of stock8.5The company’s annual free cash flow to equity ($ millions) is closest to:A. 53.1.B. 58.4.C. 61.6.24.Analyst gathers the following information about a company andthe market:Current market price per share of common stock €32.00 Most recent dividend per share paid on common stock €2.40Expected dividend payout rate 40% Expected return on equity (ROE) 15% Beta for the common stock1.5 Expected return on the market portfolio 12% Risk-free rate of return 4%A. 16.0%.B. 16.5%.C. 17.2%.25.A market has the following limit orders standing on its book for a particular stock:Buyer Bid Size (# of shares) Limit Price ($) SellerOffer Size (# of shares) Limit Price ($) 1 500 18.5 1 200 20.2 2 300 18.9 2 300 20.35</td> 3 400 19.2 3 400 20.5 4 200 20.1 4 100 20.65< /td> 510020.15520020.7< /td> If a trader submits an immediate-or-cancel limit buy order for 700 shares at a price of $20.50, the most likely average price the trader would pay is:A. $20.35.B. $20.50.C. $20.58.26.An equity portfolio manager is evaluating her sector allocation strategy for the upcoming year. She expects global economic slowdown for the next two years. Further, she believes thatcompanies will be facing diminishing growth rates with respect to revenues and profits. Owing to these beliefs, the portfolio manager will most likely:A. Overweight materials.B. Overweight consumer staples.C. Underweight telecommunications.27.An investor establishes a short position in a futures contract on Day 0 when the price per contract is $100. The investor deposits $5 per contract to meet the initial margin requirement. The maintenance margin requirement per contract is $3. The Day 1 settlement price that would require the investor deposit additional funds on Day 2 equal to $4 per contract is closest to:A. $96.B. $103.C. $104.28.According to put-call parity, a synthetic put contains a:A. Long position in the call.B. Long position in the underlying.C. Short position in the risk-free bond.29.A bond has a 10-year maturity, a $1,000 face value, and a 7% coupon rate. If the market requires a yield of 8% on the bond, it will most likely trade at a:A. Discount.B. Premium.C. Discount or premium, depending on its duration.30.Which of the following least likely describes an advantage of investing in hedge funds through a fund of funds? A fund of fundsmay provide investors with:A. Lower fees due to economies of scale.B. Access to funds that are closed to new investors.C. Access to managers with expertise in finding reliable and good-quality hedge funds.31.A fundamental analyst studying 100 potential companies for inclusion in her stock portfolio uses the following three screening criteria:Screening Criterion Number of Companies meeting the screenMarket-to-Book Ratio >4 20Current Ratio >2 40Return on Equity >10% 25Assuming that the screening criteria are independent, the probability (in %) that a given company will meet all three screening criteria is closest to:A. 2.0.B. 8.5.C. 20.0.32.An expansionary fiscal policy is most likely associated with:A. crowding out of private investmentsB. an increase in capital gains tax ratesC. an increase in government spending on social insurance andbenefits33.A company which prepares its financial statements using IFRS wrote down its inventory value by €20,000 in 2009. In 2010, prices increased and the same inventory was worth €30,000 more than its value at the end of 2009. Which of the following statements is most accurate? In 2010, the company’s cost of sales:A. was unaffected.B. decreased by €20,000.C. decreased by €30,000.34.The financial statement that would be most helpful to an analyst in understanding the changes that have occurred in a company’s retained earnings over a year is the statement of:A. changes in equityB. financial positionC. comprehensive income35.A financial analyst utilizing his analytical expertise and up-to-date information buys a company’s stock. His close friends, who lack information or expertise, imitate the financial analyst’s action and buy the stock. Which of the following statements concerning this behavioral bias is most accurate?A. It improves market efficiency.B. It is identical to representativeness.C. It is inconsistent with rational behavior.36.A market participant has a view regarding the potential movement of a stock. He sells a customized over-the-counter put option on the stock when the stock is trading at $38. The put has an exercise price of $36 and the put seller receives $2.25 in premium. The price of the stock is $35 at expiration. The profit or loss for the put seller at expiration is:A. $(1.25)B. $1.25C. $2.2537.If market interest rates rise, the price of a callable bond, compared to an otherwise identical option-free bond, will most likely decrease by:A. Less than the option-free bond.B. More than the option-free bond.C. The same amount as the option-free bond.38.For an A- rated corporate bond that has deteriorating fundamentals, but is expected to remain investment grade, the greatest risk is most likely:A. default riskB. liquidity riskC. credit spread risk39.CIf three bonds are otherwise identical, the one exhibiting the highest level of positive convexity is most likely the one that is:A. Putable.B. Callable.C. Option-free.pared to the traditional Capital Asset Pricing Model (CAPM), where lending and borrowing are carried out at the risk-free rate, a zero-beta CAPM would most likely result in a security market line (SML) with:A. Unchanged intercept and slope.B. A higher intercept and flatter slope.C. A lower intercept and steeper slope.41.Assume U.S. GAAP (generally accepted accounting principles) applies unless otherwise noted.Two companies operating in the same industry both achieved the same return on equity with the same net sales, but the two companies were different with respect to return on total assets. Compared with the company that had the higher return on total assets, thecompany with the lower return on total assets most likely had a higher:A. total asset turnoverB. financial leverage multiplierC. proportion of common equity in its capital structure42.A company reported net income of $400,000 for the year. At the end of the year, the company had an unrealized gain of $50,000 on its available-for-sale securities, an unrealized gain of $40,000 on held-to-maturity securities and an unrealized loss of $100,000 on its portfolio of held-for-trading securities. The comp any’ s comprehensive income (in $) for the year is closest to:A. 350,000.B. 390,000.C. 450,000.43.The use of financial ratio analysis is most likely limited in which of the following situations? When:A. providing a means of evaluating management’s abilityB. comparing companies using different accounting methodsC. providing insights into microeconomic relationships within a company that help analysts project earnings and free cash flow44.A company is considering issuing a 10-year, option-free, semiannual coupon bond with a 9 percent coupon rate. The bond is expected to sell at 95 percent of par value. If the company’s marginal tax rate is 30 percent, then the after-tax cost of debt is closest to:A. 6.30%.B. 6.86%.C. 9.80%.45.The best description of the measure of cash flow to use when estimating the total value of a firm is the operating free cash flow:A. Prior to interest payments on debt.B. Prior to interest payments on debt but after deducting funds needed for capital expenditures.C. After adjustment for payments to debt holders, but before dividend payments to common stockholders.46. An analyst gathers the following information about a company: Balance SheetAssets Liabilities and Shareholders’ EquityCash $5,000 Accounts payable $10,000 Accounts receivable 15,000 Notes payable 15,000 Inventory 25,000 Long-term debt 40,000Net fixed assets 80,000 Commonshareholders’equity60,000Total assets $125,000 Total liabilities andequity$125,000Additional InformationNumber of outstanding shares 7,000Market value of long-term debt $45,000Market value of accountsreceivable and inventory90% of reported valuesNet fixed assets 120% of reported value Accounts payable and notes payable Same as the reported value Using asset-based valuation approach, the estimated value per share is closest to:A. $ 9.57.B. $10.29.C. $11.00.47.An investor goes long an FRA that expires in 30 days for which the underlying is 90-day LIBOR for a notional of $10 million. A dealer quotes this instrument at 4.5 percent. At expiration, 60-day LIBOR is 3.5 percent and 90-day LIBOR is 4 percent. The payment made at expiration is closest to:A. $ 12,376 from the investor to the dealerB. $ 12,376 from the dealer to the investorC. $ 16,570 from the investor to the dealer48.An endowment’s fi xed income portfolio comprises three bonds whose market values, par values, coupon rates, and durations are given in the following table:Bond 1 Bond 2 Bond 3Market value $500,000 $1,200,000 $300,000Par value $580,000 $1,100,000 $320,000Coupon rate 11.00% 6.00% 9.00%Duration 6.2 8.1 2.9The portfolio’s duration is closest to:A. 5.73.B. 6.31C. 6.85.49.Consider a $100 par value bond, with an 8% coupon paid annually, maturing in 20 years. If the bond currently sells for $96.47, the yield to maturity is closest to:A. 7.41%.B. 8.29%.C. 8.37%.50.Which of the following statements is least accurate? An investor may construct a portfolio located on the capital market line (CML) by:A. Investing a portion of his capital in the risk-free assetand the balance in a fully diversified portfolio of all equities.B. Investing a portion of his capital in the risk-free assetand the balance in a fully diversified portfolio of all risky assets.C. Borrowing capital at the risk-free rate and investing allhis capital plus all borrowed capital in a fully diversified portfolio of all risky assets.51.A money manager has $1,000,000 to invest for one year. She has identified three alternative one-year certificates of deposit (CD) shown below:Compounding frequencyCD1 Monthly 7.82%CD2 Quarterly 8.00%CD3 Continuously 7.95%Which CD has the highest effective annual rate (EAR)?A. CD 1B. CD 2C. CD 352.An analyst wants to estimate the return on the S&P 500 Index for the current year using the following data and assumptions: Sample size = 50 securities from the indexMean return for those stocks in the sample for the previous year = 0.114.Variance = 0.0529The reliability factor for a 95% confidence interval with unknown population variance and sample size greater than 30 is .If he assumes that the S&P return this year will be the same as it was last year, which of the following is the best estimate of the 95% confidence interval for this year’s S&P return?A. –0.11600 to +0.34400B. +0.05024 to +0.17775C. +0.06110 to +0.1669053.Which of the following will most likely cause the short-run aggregate supply (SRAS) curve to shift to the right?A. Increase in nominal wagesB. Increase in the supply of human capitalC. Increase in business taxes54.Generational accounting indicates the United States, as well as other developed nations, faces severe generational imbalances regarding government programs such as Social Security. Which of the following is most likely a possible outcome?A. Reduction in income taxesB. Increase in government discretionary spendingC. Creation of new money to pay government obligations55.Which of the following is most consistent with real business cycle (RBC) models? The arguments and recommendations of RBC models suggest that:A. monetary variables have a major impact on GDP growth.B. persons are unemployed because their asking wages are too high.C. governments should intervene when the economy is in contraction.56.A firm’s price-to-earnings ratio (P/E) is 12.5. The firm has decided to repurchase shares using external funds that have an after-tax cost of 9%. After the repurchase, the earnings per share (EPS) will most likely:A. Increase.B. Decrease.C. Remain unchanged.57. A compa ny’s series B, 8% preferred stock has the following features:• A par value of $50 and pays quarterly dividends.• Its current market value is $35.•The shares are retractable (at par) with the retraction date set for three years from today.•Similarly rated preferred issues have an estimated nominal required rate of return of 12%.• Analysts expect a sustainable growth rate of 4% for the company’s earnings.The intrinsic value estimate of a share of this preferred issue is closest to:A. $33.33.B. $45.02.C. $52.00.58.An analyst determines that a 5.50 percent coupon option-free bond, maturing in 7 years, would experience a 3 percent decrease in price if market interest rates rise by 50 basis points. If market interest rates instead fall by 50 basis points, the bond’s price would increase by:A. Exactly 3%.B. Less than 3%.C. More than 3%.59.The table below provides a probability distribution of stock returns for shares of Orion Corporation:Rate ofProbability Return (%)0.15 -120.6 110.25 18The variance of returns for Orion Corporation stock is closest to:A. 44.36B. 50.94C. 88.7160. According to the Capital Asset Pricing Model (CAPM) if investors borrow at a rate that exceeds the risk-free lending rate the resulting borrowing portfolios will:A. Plot on a flatter line.B. Plot on a steeper line.C. No longer plot on a straight line.61.An analyst collects the following set of past stock returns: -2.3%, -5.1%, 7.6%, 8.2%, 9.1%, and 9.8%. Which of the following measures of return is most likely the highest?A. Median returnB. Geometric mean returnC. Arithmetic mean return62.In the short run, an increase in output at low levels of production will most likely cause:A. an increase in the marginal cost due to the rising total fixed costB. an increase in the marginal cost due to the law of diminishing returnsC. a decrease in the marginal cost due to economies from greater specialization63. A company has just completed the sale of a tract of land for €3.5 million which was originally acquired at a cost of €2.0 million. The purchaser made a down-payment of €200,000 with the remainder to be paid in equal installments over the next 10 years.A short time after the sale, significant doubt arose about the purchaser ’s ability to meet the future obligations for the land purchase. When compared to the cost recovery method of revenue recognition, the profit (in €) that the company will recognize in the year of the sale under the installment method is most likely to be higher by:A. 85,714.B. 114,286.C. 150,000.64.Two mutually exclusive projects have the following cash flows (€) and internal rates of return (IRR):Project IRR Year 0 Year 1 Year 2 Year 3 Year 4A 27.97% - 2,450 345 849 635 3,645B 28.37% - 2,450 345 849 1,051 3,175Assuming a discount rate of 8% annually for both projects, the firm should most likely accept:A. Both projects.B. Project A only.C. Project B only.65.The post-audit performed as part of the capital budgeting process is least likely to:A. Improve a firm’s operations.B. Produce concrete ideas for future investments.C. Force management to revise the original forecast to match actual results.66.The following information is available for a firm.Market Risk Premium: 7.00%Risk-free Rate: 2.00%Comparable Firm Return: 10.40%Comparable Firm Debt-to-Equity Ratio: 1Comparable Firm Tax Rate: 40.00%The firm’s unlevered beta is closest to:A. 0.75.B. 1.05.C. 1.20.67.An analyst gathers the following data to determine the attractiveness of the company’s common stock:Dividends per share in 2002 $2Dividends per share in 2008 $3Expected return on the market 17%Expected nominal risk-free return 9%Stock’s beta 1.8Stock’s market price as of 1 January 2009 $19A. $12.82.B. $18.29.C. $19.57.68. Two parties agree to a forward contract on a non-dividend paying stock at a price of $103.00. At contract expiration the stock trades at $105.00. In a cash-settled forward contract, the:A. short pays the long $2.00.B. short pays the long $103.00.C. long pays the short $105.00.69.For a commodity if futures prices prices are above the spot price then the market, then the market is most likely to be:A. In contango.B. In backwardation.C. Trading at a premium.70.Over time, the major source of investment return and risk can most likely be attributed to:A. Stock selection.B. Asset allocation.C. Risk management.71.Which of the following statements most accurately describes a valuation allowance for deferred taxes? A valuation allowance is required under:A. both IFRS and US GAAP on deferred tax assets arising from the translation of foreign operations.B. US GAAP if there is doubt about recovering a deferred tax asset.C. IFRS on revaluation of a deferred tax asset.72.Assume U.S. GAAP (generally accepted accounting principles) applies unless otherwise noted.For the most recent year a manufacturing company reports the following items on their income statement:Interest expense $62,500 Loss on disposal of fixed assets $50,000 Realized gain on sale of available-for-sale securities $17,750Which of the items is classified as an operating item in the company’s income statement?A. Interest expense.B. Loss on disposal of fixed assets.C. Realized gain on sale of available-for-sale securities.73.A company prepares its financial statements in accordance withU.S. GAAP (generally accepted accounting principles). It expected to be the sole supplier for a state-wide school milk program and had production facilities valued at $28.4 million. Recently several other companies were also granted milk-supply contracts throughout the state and the company now estimates that it will only be able to generate cash flows of $3 million per year for the next 7 years with its facilities. The firm has a cost of capital of 10%. The impairment loss (in $-millions) on the production facilities will most likely be reported in the company’s financial statements as a:A. 13.8 reduction in operating cash flowsB. 13.8 impairment loss in the income statementC. 7.4 reduction in the balance sheet carrying amount74.At the beginning of the year a company purchased a fixed asset for $500,000 with no expected residual value. The company depreciates similar assets on a straight-line basis over 10 years, while the tax authorities allow declining balance depreciation at the rate of 15% per year. In both cases the company takes a full year’s depreciation in the first year and the tax rate is 40%. Which of the following statements concerning this asset at the end of the year is most accurate?A. The tax base is $500,000.B. The deferred tax asset is $10,000.C. The temporary difference is $25,000.75.During 2010, Company A sold a piece of land with a cost of $6 million to Company B for $10 million. Company B made a $2 million down payment with the remaining balance to be paid over the next 5 years. It has been determined that there is significant doubt about the ability and commitment of the buyer to complete all payments. Company A would most likely report a profit in 2010 of:A. $4 million using the accrual methodB. $0.8 million using the installment methodC. $2 million using the cost recovery method76.The unit contribution margin for a product is $12. Assuming fixed costs of $12,000, interest costs of $3,000, and a tax rate of 40%, the operating breakeven point (in units) is closest to:A. 750.B. 1,000.C. 1,250.77.An equity fund manager gathers the following data in order to assess the investment potential of a company and its stock:Company Industry Average Weighted average cost of capital (WACC) 14% 12%Return on Assets (ROA) 20% 15%Dividend Yield 0% 1.20%Consensus estimate of stock’s value $53 N/ACurrent price of company’s stock $50 N/ABased on the above information, which of the following statements most accurately describes the company and its stock? The company is a:A. growth company and its stock is a growth stock.B. growth company and its stock is a speculative stock.C. speculative company and its stock is a growth stock.78.The lower bound on a European call price is the greater of zero and:A. The underlying price minus the exercise price.B. The present value of the exercise price minus the underlying price.C. The underlying price minus the present value of the exercise price.79.A company is long an interest rate swap with a current market。