2020年CFA考试《CFA二级》考试共题，分为。小编为您整理精选模拟习题10道，附答案解析，供您考前自测提升！

1、Based on Exhibit 5, for which company would the regression of stock prices on oil prices be expected to yield valid coefficients that could be used to estimate the long-term relationship between stock price and oil price?【单选题】

A.is constant.

B.Company #1

C.

D.Company #3

正确答案:B

答案解析:B is correct. When two time series have a unit root but are co-integrated, the error term in the linear regression of one time series on the other will be covariance stationary. Exhibit 5 shows that the series of stock prices of Company #2 and the oil prices both contain a unit root, and the two time series are co-integrated. As a result, the regression coefficients and standard errors are consistent and can be used for hypothesis tests. Although the cointegrated regression estimates the long-term relation between the two series, it may not be the best model of the short-term relationship.

2、The benchmark portfolio is the S&P 500. Which of the following three portfolios can be combined with the benchmark portfolio to produce the highest combined Sharpe ratio?【单选题】

A.Portfolio A

B.Portfolio B

C.Portfolio C

正确答案:B

答案解析:B is correct. The active portfolio that is optimal is the portfolio with the highest Information ratio, the ratio of active return to active risk. The IRs for the three active portfolios are:

3、Using the information provided in Exhibit 1，the breakeven price of Apple shares for a bear spread strategy using puts is closest to:【单选题】

A.$96.44.

B.$98.56.

C.$97.18.

正确答案:C

答案解析:C is correct The breakeven price is X

4、The metric used by Fromm to assess Omikroon’s performance takes into account:【单选题】

A.degree of financial leverage.

B.operating liabilities relative to operating assets.

C.competitiveness relative to companies in other tax regimes.

正确答案:B

答案解析:B is correct. Return on invested capital is net operating profit minus adjusted taxes divided by invested capital, where invested capital is defined as operating assets minus operating liabilities.

5、Compared to the reported 2009 financial statements, if Stereo Warehouse had used the same discount rate as it used in 2007, it would have most likely reported lower:【单选题】

A.net income.

B.total liabilities.

C.cash flow from operating activities.

正确答案:B

答案解析:B is correct. A higher discount rate (5.38 percent instead of 4.85 percent) will reduce the present value of the pension obligation (liability). In most cases, a higher discount rate will decrease the interest cost component of the net periodic cost because the decrease in the obligation will more than offset the increase in the discount rate (except if the pension obligation is of short duration). Therefore, periodic pension cost would have been lower and reported net income higher. Cash flow from operating activities should not be affected by the change.

6、Based on Exhibit 4, Bern’s firm value under Scenario 1 is closest to:【单选题】

A.€100,951.3 million.

B.€105,441.9 million.

C.€105,491.9 million.

正确答案:C

答案解析:C is correct. Based on Scenario 1, where Bern receives regulatory approval for its new drugs, the growth rate in FCFF for Bern will be constant at 4.5%. Therefore, a constant growth valuation model can be used to calculate firm value.

7、In her statement about the three types of multifactor models, Yusuf is least likely correct with respect to:【单选题】

A.statistical factor models.

B.fundamental factor models.

C.macroeconomic factor models.

正确答案:C

答案解析:C is correct. In macroeconomic models, the factors are “surprises” (how much higher or lower than what was expected) in macroeconomic variables, not the level or value of macroeconomic variables.

8、Based on Gelblum’s estimates, if Zimt is deemed to have significant influence over Oxbow, its 2010 net income (in € millions) would be to:【单选题】

A.€75.

B.€109.

C.€143.

正确答案:B

答案解析:B is correct. If Zimt is deemed to have significant influence, it would use the equity method to record its ownership. Under the equity method, Zimt’s share of Oxbow’s net income would be recorded as a single line item. Net income of Zimt = 75 + 0.5(68) = 109.

9、The amount of the compensation expense recognized in P&L related to the Restricted Stock Unit (RSU) awarded in 2017 is closest to (in thousands):【单选题】

A.$11,736

B.$37,500

C.$75,000 

正确答案:A

答案解析:For Restricted Stock Unit (RSU), the total value of RSUs granted on Jul. 1st, 2017 is based on the fair value (usually market value) of the common stock at the grand date, 1,800 units * $65.2 = $117,360. The service period of RSUs is five years. Since the managers have earned the compensation for the period from Jul. 1st to Dec. 31st, 2017, the compensation expense should be recognized in P&L at the end of 2017 to be $117,360/5*(1/2) = $11,736.

10、Should the capital budgeting committee accept the internal auditor’s third and fourth suggestions, respectively?【单选题】

A.Yes for Suggestions 3 and 4.

B.No for Suggestion 3 and Yes for Suggestion 4.

正确答案:A

答案解析:B is correct. Both suggestions are good. Choosing projects with high IRRs might cause the company to concentrate on short-term projects that reduce the NPV of the company. Whenever the project risk differs from the company risk, a project-specific required rate of return should be used.