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𝒜𝒩𝒥𝒜 安雅🎃 · 2023年02月01日

该在时间轴哪切一刀？

  1. CFA II
  2. Equity

* 问题详情，请 查看题干

NO.PZ201710200100000408

问题如下：

8. Based on Exhibits 2 and 3 and the multistage RI model, Castovan should estimate the intrinsic value of TTCI to be closest to:

选项：

A.

€54.88.

B.

€83.01.

C.

€85.71.

解释：

C is correct.

Residual income per share for the next three years is calculated as follows.

Because Castovan forecasts that residual income per share will be constant into perpetuity, equal to Year 3 residual income per share, the present value of the terminal value is calculated using a persistence factor of 1.

Present value of terminal value = 8.54−(0.087×58.25)(1+0.087−1)(1+0.087)2\frac{8.54-(0.087\times58.25)}{(1+0.087-1)(1+0.087)^2}

= 3.47(0.087)(1.087)2\frac{3.47}{ ( 0.087 ) ( 1.087 ) ^2} =33.78

So, the intrinsic value of TTCI is then calculated as follows.

V0=\frac{45.25+3.88/1.087+3.68/(1.087)^2+33.78}=85.71

老师好～

  1. 题干说from year 3 into perpetuity，这year 3是年初吧？
  2. 我搞不清处到底该在时间轴哪儿切一刀，我做题时画的图跟原版书一样，是一刀切在2时间点上，2时间点是第二年年末和第三年年初。但我不懂李老师的左图为啥切在3时间点上（也就是第三个时间段），3时间点是第三年年末和第四年年初，似乎不符合题干说的from year 3。请老师指点。
  3. 在做这类题目时，该从时间点还是时间段来数数？




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王园圆_品职助教 · 2023年02月01日

嗨，爱思考的PZer你好：


同学你好，其实你仔细想一想，你和老师上课讲的想法都是正确的

因为这道题给了2个信息，1：表格2中的三年的用来计算RI1到RI3的信息；2：表格2上面最后一句话说从第三年开始公司的RI会保持不变

所以，如果按你的理解，就是第三年年初开始进入永续增长，PVRI2=RI3/r是切到第二年年末的，计算value的时候就是value = BV0+RI1/（1+r) + (RI2+PVRI2)/(1+r)^2

如果按照李老师上课的理解，就是第三年之后（即第三年年末开始）进入永续增长，因为永续，所以RI4=RI3，PVRI3=RI4（也就是RI3）/r是切到第三年年末的，计算value的时候 value = BV0+RI1/（1+r) +RI2/（1+r)^2 + (RI3+PVRI3)/(1+r)^3

最后你会发现，两种方法下计算的最后的value都是一样的，这只是切的点不同造成的计算方式不同，但是只要现金流搞清楚如何折现，折几次，那结果都会是正确的

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加油吧，让我们一起遇见更好的自己！

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NO.PZ201710200100000408问题如下8. Baseon Exhibits 2 an3 anthe multistage RI mol, Castovshoulestimate the intrinsic value of TTto closest to:A.€54.88.B.€83.01.C.€85.71. C is correct.Resiincome per share for the next three years is calculatefollows.Because Castovforecasts thresiincome per share will constant into perpetuity, equto Ye3 resiincome per share, the present value of the terminvalue is calculateusing a persistenfactor of 1.Present value of terminvalue = 8.54−(0.087×58.25)(1+0.087−1)(1+0.087)2\frac{8.54-(0.087\times58.25)}{(1+0.087-1)(1+0.087)^2}(1+0.087−1)(1+0.087)28.54−(0.087×58.25)​= 3.47(0.087)(1.087)2\frac{3.47}{ ( 0.087 ) ( 1.087 ) ^2}(0.087)(1.087)23.47​ =33.78 So, the intrinsic value of TTis then calculatefollows.V0=\frac{45.25+3.88/1.087+3.68/(1.087)^2+33.78}=85.71 没搞明白为什么单阶段模型里的PVRI可以用（ROE-r)*B0/(r-g)来计算，这道题多阶段模型的后面说了ROE=12%不变，r=8.7%不变，g也不变，为什么就不能用前面这个公式呢？

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