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　　今天CFA二級放上權(quán)益的錯題本，大家一起來看看這些題都會做嗎?

　　精選問答1

　　題干

　　Jacques prepares to update the valuation of TMT. The company’s expected ROE in 2017 is 34.5% but it is assumed that the firm’s ROE will slowly decline towards the cost of equity thereafter.

　　As of the beginning of 2015, based upon the information in the below table, use the multistage-stage residual income (RI) model to determine the intrinsic value of the equity of TMT. The intrinsic value per share is closest to:

CFA二級權(quán)益

　　A 22.72.

　　B 14.97.

　　C 78.81.

　　答案解析

　　B is correct.

　　解題思路

　　第一步是計算2015 - 2017年的每股剩余收益:

　　第二步是計算終值:

　　PV of Terminal Value 2017=RI2017*w/(1+r-w)=1.88*0.85/(1+0.08-0.85)=6.947

　　第三步計算每股內(nèi)在價值：

　　V0=5+1.6/(1.080)+1.74/(1.08)2+(1.88+6.947)/(1.08)3=14.97

　　易錯點分析

　　這道題提問的同學相當多，主要的問題在于不清楚RI的第二階段從哪里開始，也就是這一刀究竟應該切在哪里。題干說ROE will slowly decline towards the cost of equity thereafter。關(guān)鍵詞在于“thereafter”,這說明RI是從2017年之后也就是2018年開始下降的，所以這一刀應該切在2017年末，如下圖所示：

I是從2017年之后也就是2018年開始下降的

　　精選問答2

　　題干

　　Jacques is the portfolio manager of AB pension and she recently consider adding PZ Inc. (NewYork Stock Exchange: PZ) to its portfolio. After carefully considering the characteristics of the company and its competitors, she believes the company’s growth rate declines linearly from 12 percent in the first year to 6 percent in the fifth.

　　PZ’s total dividends paid on 2017 was $0.22.The estimated that the required return is 9 percent. What is the intrinsic value of the stock?

　　A $10.32.

　　B $15.40.

　　C $8.65.

　　解題思路

　　C is correct.

　　解題思路

　　根據(jù)題干信息我們可以使用H模型來計算股票的內(nèi)在價值，根據(jù) H模型的公式,股票的內(nèi)在價值為：

根據(jù) H模型的公式,股票的內(nèi)在價值為：

　　易錯點分析

　　H模型的題都不難基本都是代入公式求解即可，但這道題提問很多，主要因為這道題關(guān)于增長率下降的說法與平時的題目有所不同，到底是下降了4年還是5年很多同學就弄不明白了。這確實是一個很好的問題。我們翻閱原版書后發(fā)現(xiàn)，H模型在原版書里的出題方式只有兩種：

　　1、傳統(tǒng)版：currently 14%,and is expected decline linearly during next8 years。

　　2、decline linearly from 14 percent in the first year to 7 percent inthe ninth. (原版書 22-27那個case)

　　而這兩種計算雖然說法不同，但計算方式都是一樣的(H=4)，那我們可以來分析一下：這里看上去唯一的區(qū)別就是一個是未來下降了8年，另一個是從第一年開始下降，到第9年。第一個說法就不用分析了，直接看第二個。從第一年開始下降，到第9年。

　　其實這里的第一年應該是第一年初的意思，如果這樣解釋似乎一切就合理了，從第一年初下降到第9年初，所以一共下降的了8年，H=4。說回這道題也是一樣，從第一年初下降到第五年初，那么下降了4年，因此H=2。

　　精選問答3

　　題干

　　An equity index is established in 2001 for a country that has relatively recently established a market economy. The index vendor constructed returns for the five years prior to 2001 based on theinitial group of companies constituting the index in 2001.

　　Over 2004 to 2006 aseries of military confrontations concerning a disputed border disrupted the economy and financial markets. The dispute is conclusively arbitrated at the end of 2006. In total, ten years of equity market return history is available as of the beginning of 2007.

　　The geometric mean return relative to 10-year government bond returns over 10 years is 2 percent per year. The forward dividend yield on the index is 1 percent. Stock returns over 2004 to 2006 reflect the setbacks but economists predict the country will be on a path of a4 percent real GDP growth rate by 2009.

　　Earnings in the public corporate sectorare expected to grow at a 5percent per year real growth rate. Consistent with that, the market P/E ratio is expected to grow at 1 percent per year.

　　Although inflation is currently high at 6 percent per year, the long-term forecast is for an inflation rate of 4 percent per year. Although the yield curve has usually been upward sloping, currently the government yield curve is inverted;at the short-end, yields are 9 percent and at 10-year maturities, yields are 7percent.

　　In the current interest rate environment, using a required return estimate based on the short-term government bond rate and a historical equity risk premium defined in terms of a short-term government bond rate would be expected to:

　　A bias long-term required return on equity estimates upwards.

　　B bias long-term required return on equitye stimates downwards.

　　C have no effect on long-term required return on equity estimates.

　　答案解析

　　A is correct.

　　解題思路

　　題目要我們基于當前短期國債利率和歷史股本風險溢價來估計股東的要求回報率：

　　根據(jù)CAPM的公式：re=rf+beta(rm-rf) 可以看出股東的要求回報率由兩個部分組成

　　第一部分rf：無風險利率題干要我們基于當前的短期利率，由于當前的短期利率大于長期利率(current yield curve is inverted收益率曲線向下傾斜)，因此第一項比較大;

　　第二部分ERP：ERP中的無風險利率題目讓我們用歷史上的短期利率來估計，歷史的收益率曲線是向上傾斜(短期低，長期高)，因此歷史上的短期利率比較小，那么ERP=RM-RF就比較大。因此第二項也比較大。

　　匯總在一起兩項都大，那么計算得到的re也就偏高。

　　選項中l(wèi)ong-term required return on equity：因為在美國股權(quán)投資都是長期投資，那么股東的要求回報率也是長期的。因此選A。

　　易錯點分析

　　這道題比較容易錯的地方在于CAPM公式中有兩個無風險利率RF,而這道題對兩個RF又分別進行了定義，一個用歷史數(shù)據(jù)，一個用當前的數(shù)據(jù)。

　　這樣還沒完，它的利率并沒有直接給出而是告訴了我們利率曲線的形狀，我們需要根據(jù)形狀來判斷RF的高低，其中很多同學不明白“inverted”是利率曲線向下傾斜的意思。再加上題干本身英文表達也很繞，所以這道題被問到的頻率相當高。

　　精選問答4

　　題干

　　A supply side estimate of the equity risk premium as presented by The Ibbotson Chen earnings model is closest to:

　　A 3.2 percent.

　　B 4.0 percent.

　　C 4.3 percent.

　　答案解析

　　C is correct.

　　解題思路

　　根據(jù)supply side模型，股權(quán)風險溢價等于= {[(1 + EINFL)(1 + EGREPS)(1 + EGPE) ? 1.0] + EINC}?Expected risk-free return

　　EINFL = 4 percent per year (long-term forecast of inflation)

　　EGREPS = 5 percent per year (growth in realearnings)

　　EGPE = 1 percent per year (growth in market P/E ratio)

　　EINC = 1 percent per year (dividend yield or the income portion)

　　Risk-free return = 7 percent per year (for10-year maturities)

　　帶入公式, 我們可以得到:{[(1.04)(1.05)(1.01) ? 1.0] + 0.01} ? 0.07 = 0.113 ? 0.07 = 0.043or 4.3 percent.

　　易錯點分析

　　這道題計算本身不難，但提問的人數(shù)不少主要是因為幾個數(shù)據(jù)的選擇問題：

　　預期的真實的GDP增長率為何不用4%?

　　題干說預估的經(jīng)濟增長是on a path of a 4 percent real GDP growth rateby 2009。這句話的意思說明2009年經(jīng)濟增長才達到4%，并不是一個長期預測值。但題目明確給了公司未來real growth rate為5%，因此用5%。

　　為何real GDP增長率可以用公司realearning的增長率來代替?

　　在成熟的發(fā)達國家市場，整個國家的realGDP增長就等于全體公司real earning的增長，這兩個指標是可以互換使用的。原版書也有相同的描述：Expected growth in real earnings per share. This quantity should approximately track the real GDP growth rate.

　　rf為什么取長期國債的利率?

　　我們現(xiàn)在估計的是股票市場的風險溢價，股票是一種長期投資產(chǎn)品，因此我們要用長期的數(shù)據(jù)對它進行估計。

　　精選問答5

　　題干

　　Statement 3: The Fed model concludes that the market is undervalued when the market’s current earnings yield is greater than the 10-year Treasury bond yield.

　　Statement 4: The Yardeni model includes the consensus five-year earnings growth rate forecast for the market index.

　　Which of Silveira’s statements concerning the Fed and Yardeni models is correct?

　　選項A:Statement 3 only

　　選項B:Statement 4 only

　　選項C:Both Statement 3 and Statement 4

　　答案解析

　　C is correct

　　解題思路

　　首先，這兩個模型都是在幫助我們判斷整個股票市場是被高估還是低估。然后我們分別來看：

　　Yardeni 模型是基于戈登增長模型推導出來的旨在用來判斷整個股票市場是被高估還是被低估，它并不是股票市場收益率的計算公式。這個模型是假設當股票市場的定價處于合理水平時該等式成立。

　　CEY = CBY – b× LTEG + Residual

　　CEY：當前市場指數(shù)的收益率