CFA二级公式表.pdf

1、CFA 公式表-Level II Quantitative Methods 1.Simple Linear Regression Correlation:()()xyxyxyCovrss t-test for r(df=n-2):221r ntr Estimated slope coefficient:2xyxCov Estimated intercept:01bybx Confidence interval for predicted Y-value:cy tSEof forecast 2.Multiple Regression 0112233()()()iiiYbbXbXbXii Test

2、 statistical significance of b;0:0,1bHbbtdfnks Reject if t or p-value 0h|tcritical Confidence Interval:()jjcbbts SST=RSS+SSE MSR=RSS/k MSE=SSE/(n-k-1)Test statistical significance of regression:F=MSR/MSE with df k and n-k-1(1-tail)Standard error of estimate(SEEMSE),Smaller SEE means better fit.Coeff

3、icient of determination(2/RRSS SST).%of variability of Y explained by Xs;Higher R2 means better fit.3.Regression Analysis-Problems Heteroskedasticity.Non-constant error variance.Detect with Breusch-Pagan test.Correct with White-corrected standard errors.Autocorrelation.Correlation among error terms.

4、Detect with Durbin-Watson test;positive autocorrelation if DW incentive to discover new products and methods.Discovery=real return target return.6.Nominal&Real Exchange Rate Nominal ex.Rate(E):price of one currency in terms of another;observed in EX markets.Real exchange rate=E(P/P*)7.Balance of Pay

5、ment:current account+capital account+official reserve account=0 8.Foreign Exchange:Direct quotes:if quote is per$(or USD:GBP),this is a direct quote from the perspective of the pound.Bid-ask spread stated as percent of asking price:%(100)askpricebidpricespreadaskprice Foreign currency is at forward

6、discount(premium)if F is below(above)S,using direct quotes:360(/)(1)()day minfwdratefwdprem discspotrateters Currency appreciates due to:(1)Lower relative income growth rate.(2)Lower relative inflation rate.(3)Higher domestic real interest rate.(4)Improved investment climate.9.Unanticipated shift to

7、 exp.Monetary Policy:Higher income,accelerated inflation,lower real interest rates,leads to currency dept,current acct surplus,and financial acct deficit.10.Unanticipated shift to exp.Fiscal Policy:currency appr,current acct deficit,&financial account surplus.11.Purchasing Power Parity:Law of one pr

8、ice:a single,clearly comparable good should have same real price in all countries.Relative PPP:Countries with high inflation rates should see their currencies depreciate.01()1CounterCurrencytBaseCurrencyISEIS 12.International Fisher Relation:Assumes real interest rates are equal across borders,so in

9、terest differential equals expected inflation difference.11(11(bbaarE IrE I)()()babarrE IE I 13.Uncovered Interest Rate Parity:Countries with high nominal interest rates should see their currencies depreciate.01360()1360CounterCurrencynBaseCurrencynrSEnrS 14.Interest Rate Parity:Countries with high

10、nominal interest rates will have their currencies sell at forward discount to prevent arbitrage.11barFSr 15.Currency Arbitrage:up the bid and down the ask Financial Statement Analysis 1.Accounting for InterCorp Investments a)Minority passive:50%owned,control.Consolidation,all assets,liability,revenu

11、e,and expense of sub combined with parent,excluding inter-company transaction.If 100%,minority interest account for share not owned.d)Joint venture:50%shared control.IFRS:Proportionate consolidation preferred,similar to regular consolidation,except only include pro-rata share.US GAAP:equity method.2

12、.Financial Effect of Choice of Method:equity,consolidation,proportionate consolidation.a)All three methods report same net income.b)All three methods report same ROE c)Asset,liabilities,sales are highest under consolidation;lowest under equity method;proportionate consolidation in between.3.Pension

13、Accounting:a)PBO components:current service cost,interest cost,actuarial gains/losses,benefits paid.b)Funded status=plan assets PBO c)Pension expense components:current service cost,interest cost,expected return on plan assets,prior(past)service cost,net actuarial gains/losses.d)Aggressive assumptio

14、ns/low earnings quality:high discount rate,low compensation growth rate,high expected return.4.Economic pension expense:if firm contribution,diff=borrowing(and reclass from CFO to CFF)5.Balance sheet:GAAP vs.IFRS:GAAP:net assets/liability=funded status=economic reality.IFRS:net assets/liab=funded st

15、atus adj.for unrecognized items.6.Underlying Economic Pension Expense:Sum of all changes in PBO(except benefits paid)less actual ROA.Also=change in funded status exclude firms contributions.Service cost=operating expense.Interest and actual ROA repeated as non operating income.7.Business Combination

16、s:a)Purchase method required under U.S.GAAP and IFRS b)Goodwill not amortized,subject to annual impairment test.8.Purchase Method Attributes:a)Acquirer assumes assets/liabilities of acquired company.b)Excess FMV of acquired net assets allocated first to intangible assets,then goodwill.c)Prior operat

17、ing results not restated.9.Pooling Method Attributes a)Company f/s combined at book value.b)Prior operating results restated.10.Impact of Purchase vs.Pooling a)Asset and equity higher,net income lower under purchase method.b)Profit margin,ROA,ROE lower under purchase method.11.Entity is VIE if any o

18、f:12.Multinational Operations:Choice of Method a)Insufficient at-risk equity investment.b)Shareholder lack decision-making rights.c)Shareholder do not absorb losses d)Shareholder do not receive residual benefits.The primary beneficiary consolidates the VIE.Qualifying SPE:GAAP allows no consol.(use e

19、quity method).Not permitted under IFRS.13.Multinational Operations:Choice of Method For self-contained sub,functional presentation currency;use all-current method:a)Assets/liabilities at current rate.b)Common stock at historical rate.c)Income statement at average rate.d)Exposure=shareholders equity

20、e)Dividend at rate when paid.For integrated sub,functional=presentation currency,use temporal method:f)Monetary assets/liabilities at current rate.g)Nonmonetary assets/liabilities at historical rate.h)Sales,SGA at average rate.i)COGS,depreciation at historical rate.j)Exposure=monetary assets monetar

21、y liabilities Net asset position&Depr,foreign currency=loss Net liab,position&depr,foreign currency=gain.14.Original F/S vs.All-Current a)Pure B/S and I/S ratios unchanged b)If Local currency depreciating,translated mixed ratios will be larger c)If local currency appreciating,translated mixed ratios

22、 will be smaller.15.Hyperinflation:GAAP vs.IFRS:Hyperinflation=cumulative inflation 100%over 3 years,GAAP,use temporal method.IFRS:1.restate foreign currency st.for inflation.2.translate with all-current.Net purchase power gain/losses reported in income.16.Accrual-based income:accrual part less pers

23、istent ten cash part.17.Measure of earning quality:/2/2BSENDBEGENDBEGBSENDBEGCFENDBEGAccrualsNOANOANOANOAAccrualsRatioNOANOANICFOCFIAccrualsRatioNOANOA 18.Mean Reversion:occurs faster with larger accrual earnings component.19.Detecting Manipulation:a)Revenue recognize:large changes in receivable&une

24、arned revenue.DSO,compare revenue to cash collected.b)Expense recognize:large changes in fixed assets&inventory,DOH,LIFO liquidation,compare depreciation.Exp,calculate core operate margin=(sales-COGS-SG&A)/sales.c)B/S:capitalize operating lease;impaired goodwill d)CF:compare growth of operating leas

25、es to asset grow,look for in discretionary spend at year end.20.Fair value hedge:gain/loss from derivative&hedged BS item reported in IS.21.Cash flow hedge:gain/loss from derivative bypass IS-reported in shareholders equity.22.Net investment hedge of a foreign sub:gain/loss recognize in equity along

26、 with transaction gain/loss.CORPORATE FINANCE 1.Capital budgeting expansion a)Initial outlay=FCinv+WCinv b)CF=(S-C-D)(1-T)+D=(S-C)(1-T)+DT c)TNOCF=SalT+NWCInv (SalT BT)T 2.Capital budgeting replacement a)Same as expansion,except current after tax salvage of old assets reduces initial outlay.b)Increm

27、ental depreciation is in depth.3.Projects with unequal lives a)Least common multiple of lives.b)Equivalent annual annuity(EAA):annuity equal to PC of project CFs.4.Effects of inflation:Discount nominal(real)cash flows at nominal(real)rate;unexpected changes in inflation affect project profitability;

28、reduces the real tax savings from depreciation;decreases value of fixed payments to bondholders;affects costs and revenues differently.5.Capital rationing:If+NPV capital,choose combination with highest NPV.6.Real options:Timing,abandonment,expansion,flexibility,fundamental options.7.Economic and acc

29、ounting income a)Economic Income=AT CF+in projects MV.b)Economic depr based on in investments MV.c)Economic income calculated before interest expense(cost of capital reflected in discount rate)d)Account income=project revenue costs e)Account dep based on original investment cost.f)Interest(financing

30、 costs)deducted before calculating accounting income.8.Valuation models:a)Econ profit=NOPAT-$WACC;discounted at WACC.b)Residual income=NI equity charge;discounted at required return on equity.c)Claims valuation separates CFs based on equity claims(discounted at cost of equity)and debt holders(discou

31、nted at cost of debt).9.Operating leverage:variable/fixed cost tradeoff%DOL%EBITSales()()qtysalesQ PVDOLQ PVFSVCDOLSVCF 10.Financial leverage:refers to use of fixed-income securities(debt and preferred stock).%i%()(%)EPSEBITDFLEBITEBITerestEPSDFLEBITnt 11.Total leverage:measures effect on EPS of giv

32、en change in sales.DTL=DOLDFL 12.Breakeven:BEFQPV 13.MM Prop I(No taxes):Capital structure irrelevant(no taxes,transaction cost or bankruptcy costs).14.MM Prop II(No Taxes):increased use of cheaper debt increases cost of equity,no change in WACC.15.MM Proposition I(With taxes):tax shield adds value,

33、value maximized at 100%debt.16.MM Proposition II(With taxes):tax shield adds value,WACC minimized at 100%debt.17.Corporate Governance Objectives a)Mitigate conflicts of interest between(1)managers and shareholders,and(2)directors and shareholders.b)Ensure assets used to benefit investors and stakeholders.18.EPS after a share repurchase tanTotalEarningsAfterTaxCostofFundsEPSSharesOutsdingAfterBurba