CFA二级考试题和一级考试题是不一样的，CFA二级考试题是以Case题出现的，那在CFA二级中权益科目的知识点是如何出题呢？备考CFA二级考试看看考试题就知道了！

An equity index is established in 2001 for a country that has relatively recently established a market economy. The index vendor constructed returns for the five years prior to 2001 based on theinitial group of companies constituting the index in 2001.

Over 2004 to 2006 aseries of military confrontations concerning a disputed border disrupted the economy and financial markets. The dispute is conclusively arbitrated at the end of 2006. In total, ten years of equity market return history is available as of the beginning of 2007.

The geometric mean return relative to 10-year government bond returns over 10 years is 2 percent per year. The forward dividend yield on the index is 1 percent. Stock returns over 2004 to 2006 reflect the setbacks but economists predict the country will be on a path of a4 percent real GDP growth rate by 2009.

Earnings in the public corporate sectorare expected to grow at a 5percent per year real growth rate. Consistent with that, the market P/E ratio is expected to grow at 1 percent per year.

Although inflation is currently high at 6 percent per year, the long-term forecast is for an inflation rate of 4 percent per year. Although the yield curve has usually been upward sloping, currently the government yield curve is inverted;at the short-end, yields are 9 percent and at 10-year maturities, yields are 7percent.

In the current interest rate environment, using a required return estimate based on the short-term government bond rate and a historical equity risk premium defined in terms of a short-term government bond rate would be expected to:

A bias long-term required return on equity estimates upwards.

B bias long-term required return on equitye stimates downwards.

C have no effect on long-term required return on equity estimates.

A is correct.

解题思路

题目要我们基于当前短期国债利率和历史股本风险溢价来估计股东的要求回报率：

根据CAPM的公式：re=rf+beta(rm-rf) 可以看出股东的要求回报率由两个部分组成

第1部分rf：无风险利率题干要我们基于当前的短期利率，由于当前的短期利率大于长期利率(current yield curve is inverted收益率曲线向下倾斜)，因此此项比较大;

第2部分ERP：ERP中的无风险利率题目让我们用历*的短期利率来估计，历史的收益率曲线是向上倾斜(短期低，长期高)，因此历*的短期利率比较小，那么ERP=RM-RF就比较大。因此第二项也比较大。

汇总在一起两项都大，那么计算得到的re也就偏高。

选项中long-term required return on equity：因为在美国股权投资都是长期投资，那么股东的要求回报率也是长期的。因此选A。


易错点分析

这道题比较容易错的地方在于CAPM公式中有两个无风险利率RF,而这道题对两个RF又分别进行了定义，一个用历史数据，一个用当前的数据。

这样还没完，它的利率并没有直接给出而是告诉了我们利率曲线的形状，我们需要根据形状来判断RF的高低，其中很多同学不明白“inverted”是利率曲线向下倾斜的意思。再加上题干本身英文表达也很绕，所以这道题被问到的频率相当高。

CFA知识点的学习是帮助学员更好掌握CFA的基本知识点，如果学员还有更多想要学习的内容，可以在线咨询老师。