1、注册金融分析师一级-14 及答案解析(总分：93.96，做题时间：90 分钟)一、B单项选择题/B(总题数：4，分数：94.00)某项投资在未来的回报率及其发生的概率 回报率(%) -25 15 40概率 0.350.250.40试根据上述信息解答问题。（分数：15.00）(1).What is the investments expected return? A.-15% B. 11% C. 25%（分数：3.00）A.B.C.(2).What is the investments variance of returns? A. 0.0794 B. 0.1583 C. 0.4326（分数：3
2、.00）A.B.C.(3).What is the investments standard deviation of returns? A. 8.4% B. 19.1% C. 28.2%（分数：3.00）A.B.C.(4).Which of the following statements about correlation coefficient is least likely correct? A. If the correlation coefficient was 0, a zero variance portfolio could be constructed. B. Potent
3、ial benefits from diversification arise when correlation coefficient is less than 0. C. The lower the correlation coefficient, the greater the potential benefits from diversification.（分数：3.00）A.B.C.(5).An analyst has gathered monthly returns for two stock indexes A and B: monthreturns for Index Aret
4、urns for Index B1234-6.4%6.6%12. 9%3.2%-6.2%19.0%-7.7%4.0%The covariance between Index A and Index B is closest to: A. 10.37 B. 13.82 C. 19.64（分数：3.00）A.B.C.某投资组合由资产 A 和资产 B 组成，两类资产的相关数据如下表所示。 B投资组合的相关数据/B资产 A 资产 B投资比例投资回报率的标准差70%0.4630%0.35试根据上述信息解答问题。（分数：38.00）(1).If the correlation coefficient is
5、 0.82, what is the portfolios standard deviation? A. 41.2% B. 54.6% C. 67.8%（分数：2.00）A.B.C.(2).If the correlation coefficient is -0.82, what is the portfolios standard deviation? A. 12.2% B. 17.5% C. 24.4%（分数：2.00）A.B.C.(3).Which of the following portfolios falls below the Markowitz efficient fronti
6、er? portfolio A (%)portfolio B (%)portfolio C (%)expected returnstandard deviation7146201222A. portfolio A. B. portfolio B. C. portfolio C.（分数：2.00）A.B.C.(4).What is the risk measure associated with the capital market line (CML)? A. Beta. B. Market risk. C. Standard deviation.（分数：2.00）A.B.C.(5).A po
7、rtfolio to the right of the market portfolio on the CML is: A. a lending portfolio. B. a borrowing portfolio. C. an inefficient portfolio.（分数：2.00）A.B.C.(6).For an investor borrowing money at the risk-free interest rate to invest in the market portfolio, the estimated rate of return of his portfolio
8、 is most likely to: A. increase. B. decrease. C. remain unchanged.（分数：2.00）A.B.C.(7).A completely diversified portfolio will most likely result in the elimination of: A. systematic risk. B. unsystematic risk. C. both systematic risk and unsystematic risk.（分数：2.00）A.B.C.(8).As the number of stocks in
9、 a portfolio increases, the portfolios systematic risk: A. can increase or decrease. B. decreases at a decreasing rate. C. decreases at an increasing rate.（分数：2.00）A.B.C.(9).Beta can be viewed as: A. a measure of unsystematic risk. B. covariance of an asset with the market portfolio. C. correlation
10、coefficient of an asset with the market portfolio.（分数：2.00）A.B.C.(10).The covariance of the markets returns with the stocks returns is 0.007 and the standard deviation of the markets returns is 0.15. What is the stocks beta? A. 0.23 B. 0.31 C. 0.57（分数：2.00）A.B.C.(11).What is the required rate of ret
11、urn for a stock with a beta of 1.4, when the risk-free rate is 5% and the market is offering 8%? A. 9.2% B. 10.3% C. 15.2%（分数：2.00）A.B.C.(12).Which of the following statements is least likely correct? A. Securities that plot above the SML are undervalued. B. Investors expect to be compensated for sy
12、stematic risk. C. Securities that fall on the SML have no intrinsic value to the investor.（分数：2.00）A.B.C.(13).The risk-free rate is 4% and the expected market return is 12%. An investor sees a stock with a beta of 0.8 selling for $30 per stock that will pay a $0.5 dividend next year. If he thinks th
13、e stock will be selling for $33 per stock at the end of the year, the stock is: A. overpriced, so short it. B. underpriced, so buy it. C. underpriced, so short it.（分数：2.00）A.B.C.(14).Which of the following attributes is least likely to be associated with the characteristics of a well functioning sec
14、urities market? A. market depth. B. wide bid-ask spreads. C. rapid adjustment of price to new information.（分数：2.00）A.B.C.(15).A market is said to have external or informational efficiency if it features: A. market prices that reflect all available information about the value of the securities traded
15、. B. timely and accurate information about past transactions and current supply and demand conditions. C. many buyers and sellers that are willing to trade at prices above and below the prevailing market price.（分数：2.00）A.B.C.(16).In which of the following market types can stocks trade at any time th
16、e market is open? A. call markets. B. continuous markets. C. international efficient markets.（分数：2.00）A.B.C.(17).The trading of exchange-listed shares on an electronic communications network is called: A. the third market. B. the fourth market. C. secondary capital market.（分数：2.00）A.B.C.(18).At U.S.
17、 stock exchange, the limit order book is controlled by: A. specialists. B. floor brokers. C. commission brokers.（分数：2.00）A.B.C.(19).Which of the following statements about the short sale of a stock is least accurate? A. The short seller must pay any dividends due to the lender of shares. B. A stop b
18、uy order would enable a short seller to minimize potential losses. C. Short sales involve time limits for returning the shares borrowed to the lender.（分数：2.00）A.B.C.已知某投资者购进某公司的 1000 只股票，相关法律规定的初始保证金率为 50%，维持保证金率为 25%。如果全额进行保证金交易，则该股票的市场价格为每股 30 美元。试根据上述信息解答问题。（分数：16.00）(1).How much equity must the
19、investor have in the account? A. $6000 B. $15000 C. $30000（分数：2.00）A.B.C.(2).At what price will the investor get a margin call? A. $15 B. $20 C. $30（分数：2.00）A.B.C.(3).If the price of the stock falls to $24, what is the equity balance in the margin account? A. $6000 B. $7000 C. $9000（分数：2.00）A.B.C.(4
20、).If the stock is sold one year later for $35, what is the investors rate of return? A. 16.7% B. 25.0% C. 33.3%（分数：2.00）A.B.C.(5).Value Line Index, an unweighted index, uses which of the following methods in the computation of the holding period returns of underlying stocks? A. geometric mean. B. ar
21、ithmetic mean. C. value-weighted mean.（分数：2.00）A.B.C.(6).Stock splits potentially cause a downward bias in which of the following index weighting schemes? A. price-weighted index. B. value-weighted index. C. equal-weighted index.（分数：2.00）A.B.C.(7).Which index weighting scheme would produce returns c
22、losest to a portfolio of index stock with an equal number of shares of each stock in the index? A. unweighted index. B. value-weighted index. C. price-weighted index.（分数：2.00）A.B.C.(8).Which index weighting scheme would produce returns closest to a portfolio of index stock with an equal dollar inves
23、tment in each stock in the index? A. unweighted index. B. value-weighted index. C. price-weighted index.（分数：2.00）A.B.C.试根据表所提供的信息解答问题。 B股票指数的相关信息/B2010 年 3 月 31 日 2010 年 4 月 30 日股价(美元)发行股数(1000 股)股价(美元)发行股数(1000 股)股票 A股票 B股票 C1526827006000140012305270060001400（分数：24.96）(1).The 1-month return on a pr
24、ice-weighted index of these three stocks is closest to: A. -3.7% B. -0.5% C. 4.3%（分数：2.08）A.B.C.(2).The 1-month return on a value-weighted index of these three stocks is closest to: A. -2.4% B. -15.3% C. 31.7%（分数：2.08）A.B.C.(3).The 1-month return on an unweighted index of these three stocks using th
25、e arithmetic mean is closest to: A. -17.6% B. -14.0% C. 22.1%（分数：2.08）A.B.C.(4).The 1-month return on an unweighted index of these three stocks using the geometric mean is closest to. A. -42.3% B. -16.7% C. -8.5%（分数：2.08）A.B.C.(5).Which of the following is least likely to be one of the assumptions t
26、hat underlie an efficient capital market? A. Expected returns include risk in the price of the security. B. A large number of profit-maximizing participants are analyzing and valuing securities independent of each other. C. Investor adjust their estimates of security prices slowly to reflect their i
27、nterpretation of the new information received.（分数：2.08）A.B.C.(6).The best characterization of the strong-form of efficient market hypothesis (EMH) with respect to the information set is that it encompasses: A. both weak-form and semistrong-form hypotheses. B. neither weak-form nor semistrong-form hy
28、potheses. C. the semistrong-form but not the weak-form hypotheses.（分数：2.08）A.B.C.(7).Which of the following forms of the EMH assumes that no group of investors has monopolistic access to relevant information? A. weak form. B. strong form. C. semistrong-form.（分数：2.08）A.B.C.(8).The strong-form EMH goe
29、s beyond the semistrong-form in that it calls for. A. perfect markets. B. a large number of profit-maximizing participants. C. information to come to the market on a random basis.（分数：2.08）A.B.C.(9).Research has revealed that the performance of professional money managers compared to the performance
30、of the market is: A. equal. B. inferior. C. superior.（分数：2.08）A.B.C.(10).An analyst has gathered the following data about a stock:A beta of 1.6.An actual return of 12%.The market rate of return is 5%.The risk-free rate is 3%.Compute the stocks abnormal return. A. 2.7% B. 4.3% C. 5.8%（分数：2.08）A.B.C.(
31、11).Which of the following is the least likely source of unreliability of a pricing anomaly? A. data mining. B. arbitrage activity. C. nonsynchronous trading.（分数：2.08）A.B.C.(12).A researcher has examined the performance of the shares of firms that went public during the period 2008 to 2009 and found
32、 evidence of positive abnormal returns over the three months after the firms shares began trading. This evidence of anomalous returns behavior is least likely subject to: A. survivorship bias. B. small sample bias. C. measurement problems for abnormal returns.（分数：2.08）A.B.C.注册金融分析师一级-14 答案解析(总分：93.9
33、6，做题时间：90 分钟)一、B单项选择题/B(总题数：4，分数：94.00)某项投资在未来的回报率及其发生的概率 回报率(%) -25 15 40概率 0.350.250.40试根据上述信息解答问题。（分数：15.00）(1).What is the investments expected return? A.-15% B. 11% C. 25%（分数：3.00）A.B. C.解析：解析 预期回报率 E(R)=-25%0.35+15%0.25+40%0.40=11%(2).What is the investments variance of returns? A. 0.0794 B. 0
34、.1583 C. 0.4326（分数：3.00）A. B.C.解析：解析 方差 2=(-25%-11%)20.35+(15%-11%)20.25+(40%-11%)20.40=0.0794(3).What is the investments standard deviation of returns? A. 8.4% B. 19.1% C. 28.2%（分数：3.00）A.B.C. 解析：解析 标准差*(4).Which of the following statements about correlation coefficient is least likely correct? A.
35、If the correlation coefficient was 0, a zero variance portfolio could be constructed. B. Potential benefits from diversification arise when correlation coefficient is less than 0. C. The lower the correlation coefficient, the greater the potential benefits from diversification.（分数：3.00）A. B.C.解析：解析
36、只有当相关系数为-1，亦即投资资产回报率之间完全负相关时，才能够构建零方差投资组合。相关系数为 0 意味着各投资资产回报率之间不存在任何联系，从而并不能构建零方差投资组合。因此，选项 A 的阐述是错误的。 相关系数取值范围为闭区间-1，1。相关系数为-1 表示两种证券回报率的变化方向完全相反，称为完全负相关；相关系数为+1 则表示两种证券回报率的变化方向完全相同，称为完全正相关；相关系数为 0 表示两种证券回报率的变动之间不存在任何关系；相关系数在区间(-1，0)内，表示两种证券回报率的变化方向相反，但不是百分之百地完全相反，而是只存在一般性的负相关关系；相关系数在区间(0，1)内，表示两种证
37、券回报率的变化方向相同，但不是百分之百地完全相同，而是只存在一般性的正相关关系。一般来讲，如果两种证券之间的相关系数为负值，则可能会降低组合后的投资风险，而如果它们之间的相关系数为正值，则可能会加大组合后的投资风险。以上结论也适用于投资资产数量大于 2 的投资组合。因此，选项 B 和选项 C 的阐述是正确的。(5).An analyst has gathered monthly returns for two stock indexes A and B: monthreturns for Index Areturns for Index B1234-6.4%6.6%12. 9%3.2%-6.2
38、%19.0%-7.7%4.0%The covariance between Index A and Index B is closest to: A. 10.37 B. 13.82 C. 19.64（分数：3.00）A.B. C.解析：解析 E(R A)=(-6.4+6.6+12.9+3.2)/4=4.08E(RB)=(-6.2+19.0-7.7+4.0)/4=2.28根据上述结果和题目已知条件，计算两种股票回报率的协方差。Cov(RA，R B)=(-6.4-4.08)(-6.2-2.28)+(6.6-4.08)(19.0-2.28)+(12.9-4.08)(-7.7-2.28)+(3.2-4
39、.08)(4.0-2.28)/(4-1)=13.82某投资组合由资产 A 和资产 B 组成，两类资产的相关数据如下表所示。 B投资组合的相关数据/B资产 A 资产 B投资比例投资回报率的标准差70%0.4630%0.35试根据上述信息解答问题。（分数：38.00）(1).If the correlation coefficient is 0.82, what is the portfolios standard deviation? A. 41.2% B. 54.6% C. 67.8%（分数：2.00）A. B.C.解析：解析 *(2).If the correlation coefficie
40、nt is -0.82, what is the portfolios standard deviation? A. 12.2% B. 17.5% C. 24.4%（分数：2.00）A.B.C. 解析：解析 * 基于以上两道例题的计算结果，我们可以得出以下结论：如果投资组合中各项资产的变动方向呈现相反的趋势，亦即各项资产回报率的协方差(相关系数)为负，则通过资产多样化，可以降低投资组合的风险；反之，如果各项资产的变动方向呈现相同的趋势，亦即各项资产回报率的协方差(相关系数)为正，则资产多样化不能降低投资组合的风险。(3).Which of the following portfolios fa
41、lls below the Markowitz efficient frontier? portfolio A (%)portfolio B (%)portfolio C (%)expected returnstandard deviation7146201222A. portfolio A. B. portfolio B. C. portfolio C.（分数：2.00）A.B. C.解析：解析 如图所示，马科维茨有效边界的基本特征是：随着投资者所承担风险(标准差)的增加，其所获得的投资回报率也将随之增加。也就是说，投资组合的回报率与标准差同方向变动。在本题中，A、B、C 三个投资组合的标准
42、差依次上升。假设上述三个投资组合均位于马科维茨有效边界上，则它们的回报率也应当相应依次上升。但是，由题干给出的数据可知，尽管投资组合 B 的标准差高于投资组合 A，但其回报率却低于后者。因此，投资组合 B 一定位于马科维茨有效边界以下。 *(4).What is the risk measure associated with the capital market line (CML)? A. Beta. B. Market risk. C. Standard deviation.（分数：2.00）A.B.C. 解析：解析 资本市场线(CML)反映了所有可能的无风险资产与风险性投资组合所组成的
43、投资组合的风险和回报情况。资本市场线的一般表达式为：*由上公式可知，资本市场线的截距为无风险利率 RFR，斜率为E(R M)-RFR/ M，风险测度指标为投资组合的标准差( p)。(5).A portfolio to the right of the market portfolio on the CML is: A. a lending portfolio. B. a borrowing portfolio. C. an inefficient portfolio.（分数：2.00）A.B. C.解析：解析 如图所示，当投资者选择图中，点所对应的投资组合时，意味着投资者将全部资金都用于对无风
44、险资产的投资。当投资者选择图中 M 点所对应的投资组合时，意味着投资者将全部资金都用于对 M点所代表的风险性投资组合的投资。如果投资者选择图中 F、M 两点之间的投资组合，则味着同时持有无风险资产和风险性投资组合 M，亦即将部分资金按照无风险利率借贷出去(如购买政府债券)，将剩余资金投资于风险性投资组合 M。对于线段 FM 延长线上的各点来说，投资者选择这类均衡点上的投资组合，意味着投资者不仅将全部资金用于对风险性投资组合 M 的投资，同时还通过借入资金来增加对该投资组合的投资总额。 *(6).For an investor borrowing money at the risk-free i
45、nterest rate to invest in the market portfolio, the estimated rate of return of his portfolio is most likely to: A. increase. B. decrease. C. remain unchanged.（分数：2.00）A. B.C.解析：解析 对于希望预期回报率高于市场组合回报率的投资者而言，这类投资者通常希望使用财务杠杆来借入无风险利率资金。如图所示，从资本市场线的角度来讲，此类借入资金的投资者的投资组合位于市场组合(M)右端的资本市场线上，从而其投资者的预期回报率相应上升。
46、因此，本题的正确选项为 A。 *(7).A completely diversified portfolio will most likely result in the elimination of: A. systematic risk. B. unsystematic risk. C. both systematic risk and unsystematic risk.（分数：2.00）A.B. C.解析：解析 如图所示，完全多样化的投资组合(如市场组合)将消除全部非系统风险，但无法通过投资多样化来消除系统风险。 *(8).As the number of stocks in a po
47、rtfolio increases, the portfolios systematic risk: A. can increase or decrease. B. decreases at a decreasing rate. C. decreases at an increasing rate.（分数：2.00）A. B.C.解析：解析 随着投资组合中股票数量的增加，该投资组合的非系统风险将以下降的速度减少，直至最终趋于零。但对于系统风险而言，则要分两种情况加以考虑：如果新增加股票具有较高的 值，则投资组合的系统风险将相应增加；反之，如果新增加股票具有较低的 值，则投资组合的系统风险将相应
48、减少。(9).Beta can be viewed as: A. a measure of unsystematic risk. B. covariance of an asset with the market portfolio. C. correlation coefficient of an asset with the market portfolio.（分数：2.00）A.B. C.解析：解析 值是系统风险的度量指标，从而可知选项 A 是错误的。 证券 i 的 值的计算公式为： * 由上述公式可知，由于 值涉及资产与市场组合的协方差，因而它被视为资产风险的标准化度量指标。(10).The covariance of the markets returns with the stocks returns is 0.007 and the standard deviation
