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1、CFALevel11Questions#1-6of60UsethefollowinginformationtoanswerQuestions61through6&PatWilson,CFAtisthechiefcomplianceofficerfarExcessInvestments,aglobalassetmanagemeritandinvestmeritbankingservicescompany.WilsonisreviewingtwoinvestmentreportsWrittenbyPeterHollCFA,ananalystandortfoHomanagerwhohasworked
2、forExcessforfouryears.HollysfirstreportundercompliancereviewisastrongbuyrecommendationforBlueNote,Ina,amusicalinstrumentmanufacturerThereportstatesthatthebuyrecommendationisapplicableforthenext6Io12monthswithanaveragelevelofriskandasustainablepriceta*getQf$24fortheentiretimeperiod.Further;thereports
3、tatesthattheriskanalysisisbasedon95%VaR(calculatedusingtheparametricmethod)andthatpricedeclinesovertheinvestmenthorizonshouldthusbelimitedto5%ofthecurrentprice.HollyinformsWilsonthathedeterminedhisconclusionspimarilyfinanintensivereviewOfBlueNoteSfilhgswiththeSECbutalsofromaCcilltooneofBlueNoteSsupp
4、lierswhoinformedHollythat.IheirnewinventoryprocessingsystemwouldallowformoreefficiencyinsupplyingBIUeNotQWithraWmaterials.HollyexplainstoWilsonthatheistheonlyanalystcoveringBlueNotewhoisawareofthisinformationandthathebelievesthenewinventoryprocessingsystemwillallowBlueNotetoreducecostsandincreaseove
5、rallprofitabilityforseveralyearstocome.WilsonmustalsoreviewHollysreportonBigTime,Inc.,amusicalpiomotionanddistributioncompany.InthereporHollyprovidesaveryoptimisticanalysisOfBigTimesfundamentals.Theanalysissupportsabuyrecommendationforthecompany.WilsonfindsoneproblemWithHollysreportonBigTimerelatedt
6、oHollysformerbusinessrelationshipwithBigTime,Inc.TwoyearsbeforejoiningExcess,Hollyworkedasaninvestmentbankerandreceived1,OOOrestrictedsharesofBigTimeasaresultofhisparticipationintakingthecompanyPUbIiCThesefactsarenotdisclosedinthereportbutaredisclosedonExcessInvestmentswebsiteJustbeforethereportisis
7、sued,HollymentionstoWilsonthatBigTimeunknowinglydisclosedtohimandafewotheranalystswhowerewaitingfcraconferencecalltobeginthatthecompanyisplanningtorestructurebothitssalesstaffandsalesstrategyandmayselloneofitspoorlyperformingbusinessunitsnextyearThreedaysafterissuinghisreportonBigTime,whichcausedasu
8、bstantialriseinthepriceofBigTimeshares,HollysellsalloftheBigTimesharesoutofbothhisperformancefee-basedaccountsandflat-feeaccountsandthenproceedstosellalloftheBigTimesharesoutofhisownaccountonthefollowingday.HollyobtainedapprovalfromWilsonbeforemakingthetrades.JustafterselghissharesinBigTime,Hollyrec
9、eivesacallfromtheCEOofBlueNotewhowantstoseeifHollyreceivedthedeskpenengravedwiththeBlueNotecompanylogothathesentlastweekandalsotocrfrtwofrontrowticketspluslimousineservicetoasold-outconcertforapopularbandthatusesBlueNotesinstrumentsHoilyconfirmsthatthedeskpenarrivedandthankstheCEOforthegiftandtellsh
10、imthatbeforeheacceptstheconcerttickets,hewillhavetocheckhiscalendartoseeifhewillbeabletoattend.HollydecHnestheuseCftheEmousineserviceshouldhedecidetoattendtheconcertAfterspeakingwiththeCEoofBlueNote,Hollyconstructsaletterthatheplanstosendbyemailtoall&hisclientsandprospectswithemailaddressesandbyregu
11、larmailtoallofhisclientsandprospectswithoutonailaddresses.TheletterdetailschangestoanequityvaluationmodelthatHollyandseveralotheranalystsatExcessusetoanalyzepotentialinvestmentrecommendations.Hollysletterexpldnstheitthenewmodel,whichwillbeputintousenextmonthwillutilizeMonteCarlosimulationstocreatead
12、istributionofstockvalues,asharpcontrasttotheexistingmodelwhichusesstaticvaluationscombinedWithsensitivityanalysisRelevantdetailsofthenewmodelareincludedintheletter;butsimilardetailsabouttheexistingmodelarenotincluded.TheletteralsoexplainsthatmanagementatExcesshasdecidedtoexcludealcoholandtobaccocomp
13、anysecuritiesfromtheresearchcoverageuniverse.Hollysletterconcludesbystatingthatnoothersignificantchangesthatwouldaffecttheinvestmentrecommendationprocesshaveoccurredorareexpectedtooccurinthenearfuture.Question ID: 1212854Question#1of60AccordingtoCFAInstituteStandardsofProfessionalConduct,whichofthef
14、ollowingstatementsismostaccurateWithregardtotheinvestmentreportonBlueNote,Inc.?Thereport:A)complieswiththeStandards,B)shouldnothaveincludedapricetargetasitmakesanimplicitguaranteeofinvestmentperformance.C)doesnotcomplywiththeStandardsduetoimproperriskanalysis.Question ID: 1212855Question#2of60DidHoU
15、yviolateanyCFAInstituteStandardsofProfessionalConductwithrespecttohisreportonBlueNoteorBigTime,asitrelatestopotentialuseofmaterialnonpublicinformation?A)HollyhasviolatedStandardonmaterialnonpublicinformationinthecaseofbothreportsB)ThereisaviolationregardingtheBlueNotereport,butnoviolationwiththeBigT
16、imereportC)ThereisaviolationregardingtheBigTimerepobutnoviolationWiththeBlueNotereportQuestion ID: 1212856Question#3of60AccordingtoCFAInstituteStandardsOfProfessionalConduct,whichofthefollowingstatementsismostaccuratewithregardtoHollysdisclosure东hisownershipofBigTimerestrictedsharesandpastinvestment
17、bankingrelationshipwithBigTime?Thedisclosure:A)isneitherrequirednorrecommendedbytheStandardssincethesharesarerestricted.B)complieswiththeStandardsrecommendedproceduresfordisclosingconflictsofinterestC)doesnotcomplywithStandardVI8)DisclosureofConflictsbecausethedisclosureisnotreflectedintheresearchre
18、port.Question#4of60QuestionID:1212857AccordingtoCFAInstituteStandaidsOfProfessionalConduct,whichOfthefoIlOWingstatementsismostlikelycoectWithregardtoHollysreportandsubsequentsalefhisandhisclientssharesofBigTimecommonstock?Hollyhas:A)violatedtheStandardbyattemptingtomanipulatethemarketpricefBigTimest
19、ockB)notviolatedtheStandardsincehefirstobtainedapprovaltomakethetradesfromhiscomplianceofficerC)notviolatedtheStandardsinceheactedinthebestinterestofhisclientsbyrealizinggainsonBigTimestock.Question#5of60QuestionID:1212858AccordingtoCFAInstituteStandardsOfProfessionalConduct,whichofthefollowingbestd
20、escribestheactionsHollyshouldtakewithregardtothedeskpenandtheconcertticketsofferedtohimbytheCEOofBlueNote?Holly:A)mustnotacceptthedeskpenortheconcertticketsB)mayacceptboththedeskpenandtheconcerttickets.C)mayacceptthedeskpenbutshouldnotaccepttheconcerttickets.Question#6of60QuestionID:1212859Inhislett
21、o*toclientsexplainingthechangeinthevaluationmodel,didHollyviolateanyCFAInstituteStandardsofProfessionalConduct?A)No.B)Yes,becausehedidnottreatallclientsfairlyinhisdisseminationoftheletterC)YesbecausehefailedtoincludedetailsCfthecurrentvaluationmodeltocontrastwiththenewmodeLQuestions#7-12of60Usethefo
22、llcwinginformationtoanswerQuestions67through721.enaPilchard,researchassociateforEiffelInvestmentisattemptingtomeasurethevalueaddedtotheEiffelInvestmentsportfoliofromtheuseof1-yearearningsgrowthforecastsdevelopedbyprofessionalanalystsPilcharcfssupervisor,EdnaWilrus,recommendsaportfolioallocationstrat
23、egythatoverweightsneglectedfirms.Wilruscitesstudiesofthe*neglectedfirmeffect,*inwhichcompaniesfollowedbyasmallnumberofprofessionalanalystsareassociatedWithhigherreturnsthanfirmsfdlowedbyalargernumberfanalysts.Wilrusconsidersacompanycoveredbythreeorfeweranalyststobe*neglected.*PilchardalsoisawareOfre
24、searchindicatingthaonaverage,stockreturnsfor,smallfirmshavebeenhigherthanthoseearnedbylrgefirms.Pilcharddevelopsamodeltopredictstockreturnsbasedonanalyst8vcrage,firmsize,andanalystgrourthforecasts.Sherunsthefollowingcross-sectionalregressionusingdatafthe30stocksincludedintheEifFelInvestmeritsportfol
25、io：Ri=b0+b1COVERAGEi+b2LN(SIZE)+b3(FORECAST)+eiwhere:Rj=therateofreturnonstockiCOVERAGEj-oneiftherearethreeorfeweranalystscoveringstockifandequalszerootherwise1.N(SlZE)二thenaturallogarithmofthemarketcapitalization(stockpricetimessharesoutstanding)forstockitunitsinmillionsFORECASTi二thel-yearconsensus
26、earningsgrowthrateforecastforstockiPiIChardderivesthefollowingresultsfirmherCroSS-SeCtionalregression：Exhibit1:ResultsofPilcharfsCross-SectionalRegressionVariableCoefficientt-StatisticConstant0.060L56COVERAGE0.0503.20LN(STZE)-Q003-250FORECAST0.200285Thestandardeor或estimateinPilcharrfsregressionequal
27、s1.96andtheregressionsumofSqUareSequals400.WilrusprovidesPilchardwiththefollowingvaluesforanalystcoverage,firmsize,andearningsgrowthforecastforEggmannEnterprises,acompanythatEiffelInvestmentsisevaluating.EXhibit2:CoVeragGFirmSizeandEaroingsGrowthForecastforEggmannEnterprisesNumberofanalysts5Firmsize
28、$500millionEarningsgrowthforecast50%Pilchardusesthefollowingtabletoconductsomeofherhypothesistests.Exhibit3:CriticalValuesforStudentdistributionDegreesofFreedomAreainUpperTailftlO05Q025QOlQ005261.315L70620562479277927L314L703205224732.77128L313L701204824672.763291.3111.69920452,4622756301.3101.69720
29、4224572.750Question#7of60QuestionID:1212861WilrusasksPilchardtoderivethelowestpossiblevalueforthecoefficientontheFORECASTvariableusinga99%confidenceinterval.TheappropriatelowerboundfortheFORECASTcoefficientisclosestto:A)ft0055.B)Q062&C)Q130“Question#8of60QuestionID:1212862WilrusasksPilchardtoassesst
30、heoveraDsignificanceofherregression.ToaddressthequestionPilchardcalculatestheRsquare.ShealsodecidestorunatestofthesignificanceoftheregressionasawholeDeteiminetheappropriateteststatisticsheshouldUSQtotesttheoverallsignificanceoftheregressioaA)户StatiStiCB)statisticC)AdjustedRsquaraQuestion#9of60Questi
31、onID:1212863Pilchardisaskedwhetherherregressionindicatesthatsmallfirmsoutperformlargefirms,aftercontrollingforanalystcoverageandconsensusearningsgrowthfecastskPilcharddeterminestheappropriatehypothesistesttoanswerthequestion.EififelInvestmentsusesaOlOllevelofsignificancefcrallhypothesistestsGiventhe
32、resultsofherregression,Pilchardshouldmakewhichofthefollcwingdecisionsaftercontrollingforanalystcoverageandconsensusearningsforecasts?A)NotrejectthehypothesisthatlQandconcludethatlargefirnssignificantlyoutperformedsmallfirms.B)Rejectthehypothesisthat配2QandconcludethatlargefirmsSignifICantlyoutperf(rm
33、edsmallfirms.C)Rejectthehypothesisthatb2QandconcludethatsmallfirmssignificantlyOUtPerfBmedlargefirms.Holdingfirmsizeandconsensusearningsgrowthforecastsconstant,theestimatedaveragedifferenceinstockreturnsbetweenneglectedandnon-neglectedfirmsequals：A)1.B)3%.C)5%.QUestion ID: 1212865Question#11of60Pilc
34、hardderivestheANOVAtableforherregression.InherANOVUiblethedegreesoffreedomfortheregressionSUmofsquaresandtotalsumofsquaresshouldequal:A)3and30,respectively.B)4and29,respectively.C)3and29,respectively.Question#12of60QuestionID:1212866CsingtheinputsforEggmannEnterprisesrovidedinExhibit2thepredictedsto
35、ckreturnforEggmanEnterprisesisclosestto:A)4%.B)9%.C)14%.Questions#13-18of60UsethefoilowinginformationtoanswerQuestions73through7&DebbieAngleandCraigHohlmanareanalystsforalargecommercialbank,ArbutusNationalBank.ArbutushasextensivedealingsinboththespotandfcrwardforeignexchangemarketsAngleandHohlmanare
36、providingarefreshercourseonforeignexchangerelationshipsforitstrader*AngleusesathreecountryexamplefromNorthAmericatoillustrateforeignexchangeparityrelations.Init,theCanadiandollarisexpectedtodepreciaterelativetotheU.S.dollarandtheMexicanesNominal,1-yearinterestratesare7%intheUnitedStatesand13%inMexic
37、aFromthisdataandusingtheuncoveredinterestiateparityrelationshipAngleforecastsfuturespotrates.Duringtheirpresentation,Hohlmandiscussestheeffectdmonetaryandfiscalpoliciesonexchangerates.HecitesahisticalexamplefromtheUnitedStates,wheretheFederalReserveshiftedtoanexpansionarymonetarypolicytostimulateeco
38、nomicgrowth.ThisshiftwaslargelyunanticipatedbytheIinancialmarketsbecauseIhemarketsthoughttheFederalReservewasmoreconcernedwithinflationarypressures.Hohlmanstatesthattheeffectrf*thispolicywasanincreaseineconomicgrowthandanincreaseininflation.Thecumulativeefiectonthedollarwasunchanged,howevebecause,ac
39、cordingtotheMundeU-Hemingmodel,anexpansionarymonetarypolicywouldstrengthenthedollarwhereasunderrelativepurchasingpowerparity;anincreaseininflationwouldweakenthedollarRegardingU.S.fiscalpolicies,HohlmanstatesthatifThesewereunexpectedlyexpansionary,realintestrateswouldincrease,whichwouldproduceanappre
40、ciationfthedollarHohlmanaddsthatasustainedincreaseinthefederalbudgetwouldattractforeigncapitalsuchthattheIonemneffectwouldbeanincreaseinthevalueofthedoHarHohlmanmakesthefollowingstatementsaboutparityconditions:Statement1：Ifrelativepurchasingpowerparityholds,wecansaythatuncoveredinterestrateparityals
41、oholdsundercertainconditions.Statement2:Foruncoveredinterestrateparitytohold,theforwardratemustbeanunbiasedpredictorofthefuturespotrateAnglenextdiscussestheforeignexchangeexpectations.WhileexaminingGreatBritainandJapan,shestatesthatitappearsthel-yearforwardratwhichiscurrently200/,isanaccuratepredict
42、oroftheexpectedfutur,espotrataFurthermore,shestatesthatuncoveredinterestrateparityandrelativepurchasingpowerparityhold.Intheexampleforherpresentation,sheusesthefollowingfiguresforthetwocountries.GreatBritainJapanExpectedGDPgrowth2.50%1.80%Nominal1-yearintoestrates9.70%&40%Growthinexports3.90%570%Asa
43、folio丁UPtoAnglesexample,HohhnandiscussestheuseandevidencefcrpurchasingpowerparitliemakesthefollowingstatementsStatement3：AbsolutepurchasingpowerParityextendsthelawofonepriceandstatesthatabasketfgoodsshouldhavethesamepricethroughouttheworldAbsolutepurchasingpowerparityisnotwidelyusedinpracticetoforec
44、astexchangerates.Statement4:Althoughrelativepurchasingpowerparityisusefulasaninputfortong-runexchangerateforecasts,itisnotusefulforpredictingshortguncurrencyvalues.Question ID: 1212868QuestionID: 1212869Question#13of60UsingAnglesanalysis,whatisthenominal1-yearinterestrateinCanada?A)Lessthan7%.B)Betw
45、een7%and13%.C)Greaterthan13%.Question#14of60AreHohlmansstatementsregardingtheeffectofmonetarypoliciesonthedollarcorrect?A)Yes,theyarecorrectB)No,undertheMundell-Flemingmodel,expansionarymonetarypolicyintheU.S.wouldweakenthedollarC)No,thedollarvaluewouldbeunchanged,butundertheassetmarketmodelandnotth
46、eMundell-FlemingraodehQUeStion#15of60QuestionID:1212870WhatadditionalconditionmustbesatisfiedforHohlmanSStatement1tobevalid?A)CoveredinterestpjritymustholdB)FishereffectmustholdC)TheinternationalFisherrelationmustholdQuestion#16of60HohlmansStatement2is:QuestionID:1212871A)correctB)incoectasuncovered
47、interestrateparityholdsonlyifrealinterestrateparityholds.C)incorrectasuncoveredinterestrateparityholdsonlyifcoveredinterestrateparityholds.Question#17of60Whichofthefollowingisclosesttothecurrent舒spotrate?QuestionII):1212872A)194/B)200/C)206/Question#18of60QuestionID:1212873Regardingthestatementsmade
48、byHohlmanonpurchasingpowerparity,HrebothStatenlentScorrect?A)Yes.B)No,onlyStatement4iscorrectC)No,bothstatemeritsareincorrectQuestions#19-24of60UsethefoUowinginformationtoanswerQuestions79through84.EngineeredPackaging,Inc.,(EPI)isamanufacturerOfindustrialandconsumerpackagingproducts.Thecompanysproductsincludecomposi
