CFA Level 1 － 模考试题(3)（PM）－Q91-95 growth, 考试题, style, class

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Question 91 

What is the implied dividend growth rate for a firm with a return on equity (ROE) of 15%, a dividend payout ratio of 40%, and an investor discount rate of 11%? 

A) 4%.

B) 9%.

C) 6%.

D) 12%.

 

Question 92 

June Rutherford is preparing a research report on Andronicus Fund, an offshore hedge fund that specializes in identifying market pricing inefficiencies and profiting from the arbitrage opportunities they present. Rutherford includes these statements in her report:

Statement 1: The rate of return that investors require from Andronicus should reflect the risk that the fund managers will not consistently capture positive abnormal returns from the anomalies they have identified.

Statement 2: Arbitrage trading is unlikely to bring about fully efficient prices because Andronicus and other arbitrageurs will not trade if the gains to be captured are less than their transactions costs. 

Are Rutherford’s statements correct?

 Statement 1        Statement 2

A)  Correct             Incorrect

B)  Correct             Correct

C)  Incorrect           Correct

D)  Incorrect          Incorrect

 

Question 93 

An investor buys 1,000 shares of a non-dividend-paying stock for $18. The initial margin requirement is 40% and the maintenance margin is 30%. After one year the investor sells the stock for $24 per share. The investor's rate of return on this investment (ignoring borrowing and transactions costs and taxes), and the price at which the investor would receive a margin call, are closest to: 

     Rate of return      Margin call

A) 33%              $15.43

B) 83%              $15.43

C) 33%              $21.00

D) 83%              $21.00

 

Question 94 

Billie Blake is interested in a stock that has an expected dividend one year from today of $2.00, i.e., D1 = $2.00, D2 = $2.25 and D3 = 2.50. She expects to sell the stock for $38.00 at the end of year 3. The price is Billie will be willing to pay one year from today if investors require a 12% return on the stock is closest to: 

 

A) $34.30.

B) $29.50.

C) $32.40.

D) $33.05.

 

Question 95 

Consider the following information for Magical Interactions, Inc.  

Earnings retention rate at 50% 

Required rate of return, ke, of 13% 

Return on equity (ROE) of 12%, expected to remain constant 

Estimated Sales per share of $150 

Estimated EBIDTA profit margin of 18% 

Estimated Depreciation per share of $15 

Estimated Interest Expense per share of $10 

Corporate Tax Rate of 35% 

Current market price is $12.80 per share 

Based on the assumptions above, which of the following statements is most accurate?

A) If inflation expectations decrease, the value of the stock will increase (all else equal).

B) The stock is undervalued.

C) If the earnings retention rate increases, the value of the stock will increase (all else equal).

D) If management can increase the EBITDA ratio by only 1.0%, the stock will be properly priced (all else equal).

 

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答案和详解如下：

Answer 91 

The correct answer was B) 9%. 

g = (ROE)(retention rate) 

The retention rate = 1 − dividend payout rate = (1 − 0.4) = 0.6 

g = (0.15)(0.6) = 0.09 

This question tested from Session 14, Reading 60, LOS e

 

Answer 92 

The correct answer was B)

Both of Rutherford’s statements are correct. The required rate of return from a strategy that takes advantage of pricing anomalies should include a premium for strategy risk. Market prices can remain less than perfectly efficient if the transactions costs of the arbitrage trades that would force them closer to efficient prices are greater than the gains that the trades offer. 

This question tested from Session 13, Reading 55, LOS b

 

Answer 93 

The correct answer was B) 83%    $15.43

To obtain the result:

Part 1: Calculate Margin Return:

Margin Return % = [((Ending Value  - Loan Payoff) / Beginning Equity Position) – 1] * 100 = 

= [(([$24 × 1,000] – [$18 × 1,000 × 0.60]) /  ($18 × 0.40 × 1,000)) – 1] × 100 = 

= 83.33%

Alternative (Check): Calculate the all cash return and multiply by the margin leverage factor.

                          = [(24,000 – 18,000)/18,000] × [1 / 0.40] = 33.33% × 2.5 = 83.33%

Part 2: Calculate Margin Call Price:

Since the investor is long (purchased the stock), the formula for the margin call price is:

          Margin Call = (original price) × (1 – initial margin) / (1 – maintenance margin) 

   = $18 × (1 – 0.40) / (1 – 0.30) = $15.43

This question tested from Session 13, Reading 52, LOS g, (Part 2)

 

Answer 94 

The correct answer was A) $34.30. 

Find the present values of the cash flows and add them together.

N = 1; I/Y = 12; FV = 2.25; compute PV = 2.01.

N = 2; I/Y = 12; FV = 2.50; compute PV = 1.99.

N = 2; I/Y = 12; FV = 38.00; compute PV = 30.29.

Stock Price = $2.01 + $1.99 + $30.29 = $34.29. 

This question tested from Session 14, Reading 60, LOS b, (Part 1)

 

Answer 95 

The correct answer was A) If inflation expectations decrease, the value of the stock will increase (all else equal). 

The expected inflation rate is a component of ke  (through the nominal risk free rate).  ke is one component of the P/E ratio and can be represented by the following:  nominal risk free rate + stock risk premium, where nominal risk free rate = [(1 + real risk free rate) * (1 + expected inflation rate)] – 1. 

If inflation expectations (and thus the rate of inflation) decrease, the nominal risk free rate will decrease. 

ke will decrease. 

The spread between ke and g, or the P/E denominator, will decrease. 

P/E will increase. 

The value of the stock will increase. 

The other statements are false. To determine the stock over/under valuation, we need to calculate both the P/E ratio and the EPS. 

      The P/E ratio = Dividend Payout Ratio / (ke – g), 

Dividend payout = 1-retention = 1 – 0.50 = 0.50 

g = retention rate * ROE = 0.50 * 0.12 = 0.06 

P/E = 0.50 / (0.13 – 0.06) = 7.14 

      EPS = [(Per share Sales Estimate) * (EBITDA%) – D (per share)  – I (per share)] * (1 - t)

             = [($150 * 0.18) - $15 - $10] * (1 – 0.35) = $1.30

      Value of stock = EPS * P/E = 7.14 * $1.30 = $9.30

Since the market value of the stock is greater than the estimated value, the stock is overvalued.

An increase in earnings retention will likely decrease the P/E ratio. The logic is as follows: Because earnings retention impacts both the numerator (dividend payout) and denominator (g) of the P/E ratio, the impact of a change in earnings retention depends upon the relationship of ke and ROE. If the company is earning a lower rate on new projects than the rate required by the market (ROE < ke), investors will likely prefer that the company pay dividends (absent tax concerns). Investors will likely value the company lower if it retains a higher percentage of earnings.

If management increases EBITDA by 1.0%, the stock will be undervalued.

EPS = [($150 * 0.19) - $15 - $10] * (1 – 0.35) = $2.28

Value of stock = EPS * P/E = 7.14 * $2.28 = approximately $16.30, which is greater than the market value.

Note: the EBITDA % that equates to the market price is approximately 18.5%, or a 0.5% increase. Small changes in EBITDA% have a large impact on the EPS and thus on the estimated stock value.

This question tested from Session 14, Reading 59, LOS b

 

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