CFA二級(jí)考試題和一級(jí)考試題是不一樣的，CFA二級(jí)考試題是以Case題出現(xiàn)的，那在CFA二級(jí)中權(quán)益科目的知識(shí)點(diǎn)是如何出題呢？備考CFA二級(jí)考試看看考試題就知道了！

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.

A is correct.

解題思路

題目要我們基于當(dāng)前短期國(guó)債利率和歷史股本風(fēng)險(xiǎn)溢價(jià)來(lái)估計(jì)股東的要求回報(bào)率：

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

第1部分rf：無(wú)風(fēng)險(xiǎn)利率題干要我們基于當(dāng)前的短期利率，由于當(dāng)前的短期利率大于長(zhǎng)期利率(current yield curve is inverted收益率曲線向下傾斜)，因此此項(xiàng)比較大;

第2部分ERP：ERP中的無(wú)風(fēng)險(xiǎn)利率題目讓我們用歷*的短期利率來(lái)估計(jì)，歷史的收益率曲線是向上傾斜(短期低，長(zhǎng)期高)，因此歷*的短期利率比較小，那么ERP=RM-RF就比較大。因此第二項(xiàng)也比較大。

匯總在一起兩項(xiàng)都大，那么計(jì)算得到的re也就偏高。

選項(xiàng)中l(wèi)ong-term required return on equity：因?yàn)樵诿绹?guó)股權(quán)投資都是長(zhǎng)期投資，那么股東的要求回報(bào)率也是長(zhǎng)期的。因此選A。


易錯(cuò)點(diǎn)分析

這道題比較容易錯(cuò)的地方在于CAPM公式中有兩個(gè)無(wú)風(fēng)險(xiǎn)利率RF,而這道題對(duì)兩個(gè)RF又分別進(jìn)行了定義，一個(gè)用歷史數(shù)據(jù)，一個(gè)用當(dāng)前的數(shù)據(jù)。

這樣還沒(méi)完，它的利率并沒(méi)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(lái)判斷RF的高低，其中很多同學(xué)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(dá)也很繞，所以這道題被問(wèn)到的頻率相當(dāng)高。

CFA知識(shí)點(diǎn)的學(xué)習(xí)是幫助學(xué)員更好掌握CFA的基本知識(shí)點(diǎn)，如果學(xué)員還有更多想要學(xué)習(xí)的內(nèi)容，可以在線咨詢老師。