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1、CFALevel11Questions#1-6of42Questions1-6relatetoGoldensandJewelrLtdIntroductionRajRShSinghistheCFOofGoldensandJewelry,Ltd,aLondon-basedretailercffinejewelryandwatches.Singhhasnoticedthatthepriceofgoldhasbeguntoincrease.IfeconomicactivitycontinuestopickURthepriceofgoldislikelytoaccelerateitsrateofincr
2、easeasboththelevelofdemandandinflationratesincrease.ImplicationsofRisingGoldPriceSinghhasbecomeConCernedaboutthecostimplicationsfBGoldensandifgoldpricescontinuetoriseHehasrequestedameetingwithAnitaBiscayne,GoldensancTsCOO.Inprepaiationforthemeeting,SinghaskedoneofhisstallYasunobuHara,topreparearegre
3、ssionanalysiscomparingthepriceofgoldtoeaveragecostofGoldensanrfSPUrChaSeSoffinishedgold方Weiry.HaraprovidestheregressionresultsasshowninExhibitLExhibit1:1979-2009AnnualData(31Observations)VariableCoefficientStandardErroroftheCoefficientInterceptIL067.29Costfgold2.8970.615standarderroroftheforecast=11
4、7.8Exhibit2:PartialStUdenfSt-diStributionTable1.evelofSignificanceforOne-TailedTestdfQlOOQ050tt025QOloQ005Q00051.evelofSignificanceforTwo-TailedTestdfQ200ooQ050a020QOlOQOOl29L3111.69920452.46227563659301.3101.69720422.4572750&64631L3091.6962.040245327442636ReviewingtheregressionresultsBiscaynebecome
5、sconcernedabouttheimplicationsforthecostoffinishedjewelrytoGoldensandiftheprice Biscayne worries that the regression model is misspecified because it does not include a variable to measure the cost of the highly specialized Uibor used by m anufacturing jewelers. She poits out that the effect of omit
6、ting an i mportat variable in a regression analysis is that the regression coefficients will be unbiased and inconsistent Singh adds that another com mon consequence of misspecifying a regression analysis is creating undesired stationarity.Multiple RegressionHara conducts a series f regression analy
7、ses using all possible combinations of the suggested independent VariableS based on their average quarterly values. He returns with the following regression results as shown in Exhibit 3 for the equation which uses all suggested independent variable*Exhibit 3: 1999-2009 Quarterly Data (44 Observatis
8、)goldcontinuestoriseToremainprofitable,thecostoffinishedjewelryshouldnotexceed$2,000.RegressionConcernsOverallConcernsSinghsprincipalconcernabouttheregressionisWhetherthetimeperiodchosenisagoodpredictorofthecu11entsituation*Hemakesthefollowingstatement：Statement1:WemayhaveaproblemwithparameterInstab
9、ilityiftherelationshipbetweengoldpricesandjewelrycostshaschangedoverthepast30yearsSinghalsofocusesonthevalueoftheslopecoefficientHeexpectedittobe40basedonhisexperienceintheindustry,Haracomputestheappropriateteststatisticandreportsthefollowing:Statement2:Wefailtorejectthenullhypothesisthattheslopecoe
10、fficientisequalto40atthe5%levelofsignificance.Testingfa、HeteroskedasticityBiscayneremarksthatthedramaticincreaseinthepriceleveloverthepast30yearsleadshertosuspectHeteroskedasticityintheregressionresultsShesuggeststoSinghthattheyshouldconductaBreusch-Paganchi-squaretestforHeteroskedasticitybycalculat
11、ingthefollowingteststatistic：nR2withkdegreesoffiedomwhere:n=numberofobservationsR=RJoftheregressionofjewelrypricesongoldpricesk二numherofindependentVciriablesodelMisspeciiicationBiscayneandSinghhavevariousviewsonthepotentialfa、modelmisspecificationandtheeffectofanysuchmisspecificatbii.Intercept-393.7
12、Goldprice714.5Silverprice1.27.8Platinumprice3.53.1Laborcosts0.822.4GDP(EU)0.0002745.7GDP(MiddleEast)0.0000493.6Personalincome(El)0.0003142.1Personalincome(MiddleEast)0098762.2IndependentVariablesR2:Q55Coefficient IrStatisticDurbin-Watson:389HaraisconcernedabouttheequationdescribedinExhibit3Hemakesth
13、efollowingstatement:Statement3:Themodelappearstosufferfrommultico11inearitDroppingoneormoreindependentvariableswillincreasethecoefficientofdetermination.Biscaynerespondswiththefollowingstatement:Statement 4:AnautocorrelationproblemcanbeaddressedbyusingtheHansenmethodtoadjustthe代Exhibit4:PartialDurbi
14、rrWatsonTableCriticalValuesfartheDurbiirWatsonStatistic(=Q05)K=3K=4K三5di%Lidu九39l+33L66L27L721.22L79401.341.661.291.721.231.7945L381.67L341.721.291.78Question#1of42QUestionID:1214287Theperouncepriceofgoldthatcorrespondstothe$2,OOOcostoffinishedjewelryisclosestto：A)$687.B)$712C)$3,240.ExplanationCost
15、offinishedjewelry=ILo6+2897(costofgold)$2,000=11.06+2897fcostofgold)Priceofgold=($2,000-11.06)/2897=$686.55ForFurtherReference:(StudySession2,Module4.3,LOS4e)SchweserNotes,Book1page126CFAProgTciniCurriculum,VolumeLpage250Question#2of42Question11):1214288AreSingh(Statement1)andHara(Statement2)correct
16、orincorrectregardingtheusefulnessofregressionresultsdescribedinExhibit1andthevalueofeslopecoefficient?A)BotharecorrectB)Oneiscorrect,theotherisincorrectC)BothareincorrectExplanationSinghiscorrectthatachangeintherelationshipbetweengoldpricesandjewelrycostswouldbeanexaleofparameterinstabilityHaraiscor
17、recttofailtorejectthenullhypothesisthatthevalueoftheslopecoefficientisequalto40atthe5%levelofsignificance.ThecriticalCraIUefortheslopecoefficientWith31-2=29dfatthe5%levelforatwo-tailedtestis2045.Theteststatisticis(2897-4.000)/0.615=-L79.Theabsolutevalue(1.79)islessthan2.045,andthecorrectdecisionisto
18、failtorejectthenullhypothesisIhattheslopecoefficientisequalto4QForFurtherReference:(StudySession2,ModulelZLOS4.d,6h)SchweserNotes,Book1page125CFA*ProgramCiculum,Volume1,page250SchweserNotes,Book1page207CFAProgramCurriculum,Volume1,page400Question#3of42QueslionID:1214289IsBiscaynecorrectwithregardtot
19、hespecificationoftheBreusch-Pagantest?A)No,becauseitisanstB)NqbecausethewrongRNisused.C)No,becausethedegreesoffreedomareequaltokandn-k-1.EXPlanaticnBiscayneisincorrectinthespecificationoftheformulabecausetheappropriate川touseincalculatingaBreusch-Paganchi-squarestatisticisnotthe川oftheregressionof卫WeI
20、rypricesongoldpricesbutratherthe川oftheregressionofsquaredresidualsfromtheoriginalregressionontheindependentvariable(s).ForFurtherReference:(StudySession2Module5.LOS5.k)SchweserNotes,Book1page167CFA”ProgramCumculum,Volume1,PagQ304Question#4of42QuestionID:1214290Regardingthecommentsonthepotentialconse
21、quencesofmisspecificationinthesimpleIinearregression,isSinghcorrectbecausethecoefficientofdeterminationwouldnotincreasaEXPIanationWhileHaraiscorrectabouttheremedyformulticoDinearity(i,removeoneormoreofthehighlycorrelatedindependentvariables),heisincorrectabouttheeifectofreducingthenumberofindependen
22、tvariablesonthecoefficientofdeterminationR2.Rneverincreaseswhenindependentvariablesaredropped.ForFurtherReference:(StudySession2,Module5.8,LOS5,h,SDSchweserNotes,Book1page157CFA*ProgramCurriculum,Volume1,page299SchweserNotes,Book1page174CFAProgramCurriculum,Volume1,page315Question#6of42QuestionID:12
23、14292IsBiscaynecorrectregaidinghisstatementconcerninghowtocorrectforautocoirelation?A)No,becausetheWhitemethodisusedtoadjusttheR.B)NobecausetheHansenmethodadjuststhecoefficientstandarderrorsC)No,becausetheHansenmethodisusedtoaddressthepioblemofmUlticollineaiityEXPIHnatJonBiscayneisincorrectbecauseas
24、erialCoirelationjMoblemcanbecorrectedbyusingtheHanSenmethodtoadjustthecoefficientstandarderrors,nottheR：ForFurtherReference:(StudySession2,Module5.7,LOS5.k)SchweserNotes,Book1page167CFA*ProgrCurriculum,VolumeLpage304Questions#7-12of42Questions7-12relatetoRobertWilliams.RobertWilliciTisisajunioranaly
25、statAndersonBrothers,alargeWallStreetbrokeragefirm.HereportstoWillMcDonald,thechiefeconomistfcAndersonBrothers.McDonaldprovideseconomicresearch,fcrecasts,andinterpretationofeconomicdatatoallofAndersonSinvestmentdepartments,aswellastothefim,sclients.McDonaldhasaskedWiilianstoanalyzeeconomictrendsinth
26、ecountryCfBundovia.BundoviahasstrictcapitalcontrolslimitingtheflowofcapitalintoandoutfthecountryThecurrencyofBundoviaisthebunco(BUN).OneOfBundoviasmajorexportsishighqualitycarpetsHowever,humanrightsactivistshaverecentlybeguntocomplainaboutchildkiborpracticesamongBundoviancandtheU.S.risk-freerateis5%
27、.QuestionID: 1214294Question#7of42TocarryouttheobjectivesoftheBundovianChiIdlaborregulations,themostImpoitantrequireraentisthattheBundoviancarpetmanufacturersassociationshould:A)havetheabilitytoeffectivelysupervisetheindustrypractice&B)beproperlysupervisedbythegovernment.C)beabletoimposesanctions.EX
28、DIanationWhileabilyoftheself-regulatingorganizations(SROs)andtheirenforcementpowersareimportant,themostimportantelementisbeingproperlysupervisedbyformalgovernmentauthoities.ForFurtherReference:(StudySession4,Module12.LLOS12.e)SchweserNotes,Book1page306CFA*ProgramCurriculum,Volume1,page785Question#8o
29、f42QuestionID:1214295BasedonMCDOnaldSbeliefsaboutBundoviangovernmentmonetaryandfiscalpolicies,undertheMundelbRemingmodeltheBuncoismostIiceJyexpectedto：A)depreciate.B)appreciate.C)remainunchangedinvaluaEXDlanatiOnGivenlowcapitalmobilityarestrictivemonetaiyandfiscalpolicyshouldleadtodomesticcurrencyap
30、preciationundertheMundell-Flemingmodel.ForFurtherReference:(StudySession4,Module10.3,LOS10.k)SchweserNotes,Book1page266CFAProgTciniCurriculum,VolumeLPage661Question#9of42QuestionID:1214296UnderneoclassicalgrowththeorytheBundoviangrowthrateismostJikelyloincreasedueto:A)capitaldeepening.B)technologica
31、lgrowth.C)eithercapitaldeepeningortechnologicalgrowth.EXmanationUndertheneoclassicalgrowththeory,capitaldeepeningaffectsthelevelofoutputbutnotthegrowthrateinthelongrunOnceaneconomyreachessteady-stategrowth,onlyfurthertechnologicalpr*ogiesswillincreasethegrowthrate.ForFurtherReference:(StudySession4,
32、Module11.3LOSILi)SchweserNotes,Book1page293CFA艮ProgiamCumculum,Volume1,page734QuestionID: 1214297Question#10of42Basedonthebank*sUSD/GBPandUSD/SFrquotes,WilliamssbankismostUielylQquoteacrossrateof:A)GBPSFr=Q4271-78.B)GBPZSFr=23375-14.C)GBPSFrQ4273-76.EXPIanationGBP/SFr=GBP/USDUSD/SFr.WearegivenUSD/GB
33、P,soweconverttheprovidedquotes:andNo w+andGBP二 2.0020 二 0,4995GBPI USD人./ oner=2.0010 = 0,4998GBP、 _GBPUSD(豆Vbid=0.4995 0.8550 = 0.4271GBP kSFfferGBPk USD Affer=0.4998 0.8560 = 0.4278TheGBP/SFrquoteshouldbe:GBP/SFr=Q4271-78.ForFurtherReference:(StudySession4,Module10.1LOS10.b)SchweserNotes,Book1page
34、248CFAProgramCumculum,Volume1,page620Q uestion ID: 1214298Question#11of4230daysafterinitiationoftheUSD/GBPforwardcontract,themark-o-marketvaluefthecontractisclosestto:A)USD86QB)USD1,195.C)USDZ190.ExplanationTheoriginal60dayforwardcontractcallsforlongGBP.Sotheall-infcrwardpriceFP二20085.After30days,th
35、econtractwouldstillhave30daysremainingtoexpiration.Thenew30-dayalHnforwardpricetosellGBPis2.0086+(7.&10,000)=2.00936.Therelevant30-dayUSDinterestrateis4%.(FPt -FP) (Contract size)(2.00936-2.0085)(1,000,000)1+Rl+004(翡)=USD 857.14ForFurtherReference:(StudySession4,Module10.2,LOS10.d)SchweserNotes,Book
36、1page253CFA*ProgiamCurnculum,Volume1,page630Question ID: 1214299Question#12of42ThemaximumprofitavailablefromcoveredinterestarbitrageintheUSD/BUNmarketbyborrowing$1,000ortheBUNequivalentisclosestto：A)$19.05.B)$3L5QC)$72.s(+).(l+u) sEXDlanationCoveredinterestrateparityrequiresthatF=F=(1.05/L03)200=S20
37、388BUTheBUNshouldtradeataforwardpremiumofL9%.However,theBUNisactuallytradingatapremimof5%.Therefore,theappropriatearbitragestrategyistosellBUNintheforwardmarketasbelow：1.Borrow$1,000at5%.Attheendofoneyear;Williamswillbeobligatedtorepay$1,000(1.05)=$1,050.2Convertthe$lt000toBUNatthespotratewhichyield
38、s$1,000/(52BUN)-BUN500.3Simultaneouslyenterintoa1-yearforwardcontracttoconvertBUNtoUSDattheforwardrateof$21000/BUN.4InvestBUN500at3%.Inoneyear;WilliamswillreceiveproceedsofBUN500(L03)=BUN515.5lConverttheBIN515backtoUSDattheforwardrate,whichwaslockedinatthebeginningoftheyearandyieldsBIN515(52.1BUN)二$
39、1,081.50.6Arbitrageprofits=$1,081.50-$L050=$31.50.ForFurtherReference:(StudySession4,Module10.2LOS10.e)SchweserNotes,Book1page255CFA*ProgiamCurriculum,Volume1,page633Questions#13-18of42Questions13-18relatetoValleyAirlines.JasonBennettisananalystforValleyAirlines(VallejO,aU.S.firm.ValleyownsastakeinSouthwestAirCaigo(Southwest),alsoaUS.fin.Thetw
