Formula sheet

Question 1

What is F-stat?

Answer 1

Mean squared residuals over mean squared errors. Fors MSR divide by number of variables (k) for MSE divide by N-K-1

Question 2

Formula for adjusted R^2?

Answer 2

Question 3

BP test: if no CH R^2 will be what? What is the null hypothesis? What is the test statistic formula? What is the DF, what do you compare test statistic to and if reject null then?

Answer 3

Question 4

DW test: Null hypothesis, ts formula, rejection criteria

Answer 4

Question 5

What does a linear and log-linear model look like?
If SC then DW = ? and SE are….?

Answer 5

Question 6

What is an AR1,2 and p model?
What does covariance stationary mean? What if b1 <1? What to do if no mean reverting level and what are the the effects of doing this?

Answer 6

Question 7

Formula for MR level and RMSE?
Random walk when b0 =? and b1=?
What is the test for a RW?

Answer 7

Question 8

Form of an arch modeL, test of an arch model what if reject ?

Answer 8

Question 9

What is engle-granger DF test? The null and alternative and what if reject null?
For when when IV and DV are TS what are the scenarios in which results are ok?

Answer 9

Question 10

Formula for precision, recall, Accuracy and F1 score and RMSE?

Answer 10

Question 11

What is the forward rate under CIRP and why does it hold?

Answer 11

Question 12

What UIRP and forward rate parity?

Answer 12

Question 13

What is purchasing power parity relative and ex-ante?
What is the international fisher effect?

Answer 13

Question 14

Equation aggregate price of equities and what differs between long and short run?

Answer 14

Question 15

What is the cobb-douglas production function and what is capital deepening and technological process?

Answer 15

Question 16

What is the growth accounting equation?

Answer 16

Question 17

What is the labour productivity growth equation and the balanced or steady state growth rate of output and output per capita

Answer 17

Theta = growth rate of technological process

Question 18

What is the current, quick, cash and defensive interval ratio?

Answer 18

Question 19

Working capital turnover, fixed asset turnover, total asset turnover, Gross profit margin, operating profit margin, EBT margin, net profit margin and operating ROA?

Answer 19

Question 19

Recievables turnover, DSO, Inventory turnover, DOH, Payables turnover, Number of days payable and cash conversion cycle?

Answer 19

Question 20

ROA, ROE, ROTC, ROCE, tax burden, interest burden, ebit margin,

Answer 20

Question 21

Financial leverage , total debt, debt to asset , D/E, D/C, interest coverage ratio, fixed charge ratio

Answer 21

Question 22

DPR, retention rate, sustainable growth rate, earnings per share, book value per share, FCFE, FCFF

Answer 22

Free cash flow to the firm (FCFF) = Cash flow from operating activities + Interest expense x1 - Tax rate -
Investment in tixed capital (Interest expense should be added back only it it was subtracted in determining
cash low trom operating activities. Ihis may not be the case tor companies electing an alternative
treatment under frs.

Question 23

Inter-corporate investments what is the equity method?

Answer 23

Question 24

Acquisition method: Partial goodwill vs full goodwill, NCI full vs partial and impairment IFRS vs GAAP?

Answer 24

Goodwill Impairment: GAAP FV of reporting unit- net assets = implied Goodwill (Current carrying value of goodwill - Implied Goodwill =Impairment Loss)

Question 25

What is NCI under full goodwill and partial, and goodwill impairment under IFRS

Answer 25

Question 26

What is GW impairment under GAAP and what is funded status?

Answer 26

Question 27

IFRS: component (service costs, net interest income/expense, remeasurements: net return on plan assets and actuarial gains and losses) and how is it recognised (formula)?

Answer 27

Question 28

US GAAP component: Current service costs, past service costs, interest expense on pension obligation, expected return on plan assets, actuarial gains and losses including differences between the actual and expected returns on plan assets. How are each recognised under GAAP (formula)?

Answer 28

Question 29

Periodic pension cost formula, annual payment in retirement formula, Value at retirement formula

Answer 29

Question 30

What are the actuarial assumptions and what is the interest expense formula and service cost per year formula?

Answer 30

Question 31

Formula for retained earnings in functional currency to presentation currency, formula for ending retained earnings in FC to PC

Answer 31

Question 32

If foreign subsidiary functional currency is a foreign currency (different to parent presentation currency) then what is the translation method and what rate is used for Assets, Liabilities, Equity, Revenues and expenses? Then what is foreign subsidiary functional currency is the same as parent presentation currency?

Answer 32

Question 33

If foreign currency strengthens relative to parent company presentation what happens to revenues, assets, liabilities , net income, shareholders equity translation loss if there is a net liability exposure and the temporal method is used? What happens to all if net asset exposure? What happens if current rate method? What happens to each of above under each scenario when foreign currency weakens?

Answer 33

Question 34

What are the capital adequacy ratio requirements for common equity tier 1 capital/risk-weighted assets? Tier 1 capital / risk-weighted assets? Total capital/ risk weighted assets?

Answer 34

Question 35

What is loss and loss adjustment expense ratio? Underwriting expense ratio? Combined ratio? Dividends to Policyholders (shareholders) ratio? Combined ratio after dividends?

Answer 35

Question 36

What are the components of the beniesh earnings manipulation model/

Answer 36

Question 37

Sustainable earnings regression model? Explain earnings modelled as cash flow and accruals and what is mroe sustainable

Answer 37

Question 38

What are the components of the altman model, and higher z-score the ....?

Answer 38

Question 39

Formula for chaneg in stock price after ex-divided date?

Answer 39

Question 40

Formula for effective tax rate under double taxation? effective tax rate under split rate tax systems?

Answer 40

Question 41

Target payout adjustment model: expected increase in dividends formula? Residual dividend payout model: dividend=residual earnings = ? EPS formula after buyback?

Answer 41

Question 42

BVPS after buyback formula? dividend coverage ratio ? FCFE coverage ratio?

Answer 42

Question 43

ERP formula for grinold kroner and constant growth dividend discount model

Answer 43

The Grinold-Kroner model calculates the ERP as follows: ERP = (Dividend yield + expected growth rate in the P/E + expected inflation + expected growth rate in real earnings per share + expected change in shares outstanding) - expected risk-free rate

Question 44

Bond yield plus risk premium approach, CAPM and fama french 5 factor model

Answer 44

Question 45

Gordon growth model and dividend discount model formula (structure)

Answer 45

Question 46

Present value of a growth opportunity formula? Leading PE formula? Justified trailing PE and forward PE formula? Value of perpetuity?

Answer 46

Question 47

Two stage DDM formula? H - Model formula? Three stage DDM formula?

Answer 47

Question 48

Formula for growth rate? ROE formula? extended g formula?

Answer 48

Question 49

Firm value using FCFF Equity value formula equity value under FCFE

Answer 49

Question 50

Formula for FCFF: using NI, CFO, EBIT, EBITDA? Formula for FCFE: using NI, CFO, EBIT, EBITDA?

Answer 50

Question 51

Firm value and equity value formula under single stage (stable growth)? Firm value, equity value and value off firm under two stage model?

Answer 51

Question 52

Justified forward and trailing PE

Answer 52

Question 53

Normalised EPS (historical average EPS) formula? Normalised EPS (average roe) formula? Justified P/B? Justified P/S?

Answer 53

Where S equal to sales not share price

Question 54

What is the forward and trailing PEG ratio?

Answer 54

Question 55

Vn based on multiples and enterprise value

Answer 55

Question 56

Unexpected earnings and standardized unexpected earnings formula? Harmonic and weighted harmonic mean formula?

Answer 56

Question 57

Residual income formula, EVA and MVA formula

Answer 57

Question 58

What is general RI model and single stage RI model?

Answer 58

Question 59

Multi-stage RI model , and with peristence?

Answer 59

Question 60

What is the expanded CAPM and the build up approach? What is the excess earning method?

Answer 60

Question 61

What is MVIC, and DLOC?

Answer 61

Question 62

What is the discount factor, the forward pricing model, and forward rate model? What is the swap spread, the risky yield and default free yield

Answer 62

Question 63

Effective duration formula

Answer 63

Question 64

Convertible bonds: what is conversion ratio, conversion value, minimum value of convertible bond, market conversion price, market conversion premium per share, market conversion premium ratio, premium over straight value?

Answer 64

Question 65

CDS: upfront payment formula, profit for buyer of protection

Answer 65

Question 66

Formula for value of long forward prior to maturity, future value of underlying adjusted for carry cash flows, future value of underlying with continuous compounding?

Answer 66

Question 67

No arbitrage formule for value of FRA, receive floating and receive fixed?

Answer 67

For (1,4) FRA quoted monthly take the 1 month rate and 4 month rate in proportion (as yearly), then as you to compute a 3 month rate (tm) is (90/360)

Question 68

Fixed income forwad formula for cheapest-to-deliver, F0, and Q0?

Answer 68

Question 69

Payment for interest rate swap formula, Value of swap (received fixed) and (pay fixed) and currency swap in domestic units?

Answer 69

Question 70

Currency swap value in foreign currency? Equity swap pay fixed and recieve fixed formula

Answer 70

Question 71

Currency forward formula, with continuous rates?

Answer 71

Question 72

Value of equity swap formula, hedge ratio formula and risk-neutral probability

Answer 72

Question 73

Value of a 1 period and 2 period option formula

Answer 73

Question 74

Black scholes formula for call and put value and for options on futures

Answer 74

Question 75

Black scholes formula for interest rate options and what is a cap, a floor and is longing a floor and shorting a cap equal to?

Answer 75

Question 76

Value of a pay and a receive swaption with black scholes? Formula for number of optimal hedging units?

Answer 76

Question 77

Real estate direct capitalisation method: Potential gross income = ? Effective gross income =? NOI = ? Cap rate is equal to ? or ? Value = ?

Answer 77

Question 78

RE DCF value method: Value is equal to ? TV = ? What is DSCR? What is LTV? What is equity dividend rate?

Answer 78

Question 79

Leveraged and unleveraged IRR formula?

Answer 79

Question 80

Net asset value approach formula? What are non-cash rents, adjustments for full impact of acquisition and assumed cap rate?

Answer 80

Question 81

Formula for Free flow from operations (FFO) and adjusted (AFFO)?

Answer 81

Question 82

Private equity: formula for carried interest (deal by deal and normal), PIC =? Distributed to PIC = ?, Residual value to PIC = ?, Total value to PIC = ?

Answer 82

Question 83

Commodities: Price return =? Roll return = ? Collateral return = ?, Total return = ?

Answer 83

Question 84

What are the factors in the carhart 4 factor model and the two factor macroeconomic model?

Answer 84

Question 85

Annual VAR formula? Z - value for thresholds for 1%, 5% and 10% Stdev and expected return for daily, monthly and weekly?

Answer 85

Question 86

PM eco: Price formula and each component?

Answer 86

Question 87

Active return formula? Asset allocation valued added and security selection value added formula?

Answer 87

Question 88

Sharpe and information ratio formula? SR^2p = ? and thus optimal active risk equals what?

Answer 88

Question 89

Fundamental law: expected active return = ? IR = ? What is IC and TC? and BR?

Answer 89

-TC= risk-weighted correlation between the forecasted active securitv returns and the actual activeweights. An unconstrained portfolio will have TC= 1. BR = the number of independent decisions made each ear. IC= the risk-weighted correlation between the forecasted actual returns and the realized active returns.

Question 90

What is the effective spread for buy and sell orders? When is the measure good or bad?

Answer 90

Question 91

VWAP transaction cost estimate for buy and sell orders? What is paper portfolio - actual portfolio? What problem does it overcome?

Answer 91

Question 92

How to calculaet actual return on plan assets?

Answer 92

Question 92

How to get ending pension obligation from start?

Answer 92

Question 93

What is cooks d-measure?

Answer 93

Question 94

What is the leverage measure ?

Answer 94

Question 95

Arb and equil interest rate models, type, short rate, drift, term volatility and neg rates?

Answer 95

Question 96

Periodic pension cost calc

Answer 96

Question 97

How is CF statement adjusted for periodic pension cost vs contribution

Answer 97

If contribution greater then after tax difference added to CFO and subtracted from CFF if PC greater then reverse occurs

Question 98

Under structural model how can a companies debt and equity be represented?

Answer 98

Equity is euro call option on companies assets, debt is risk-free bond and selling a put option on company assets