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Tammy · 2023年03月26日

折现率的选择

  1. CFA II
  2. Alternative

NO.PZ2018111302000039

问题如下：

An analyst has put together the key projections and assumptions of a T REIT.

The intrinsic value of the T REIT on a per share basis using the two-step dividend discount model is closest to:

选项：

A.

$28.76.

B.

$33.17.

C.

$37.69.

解释：

B is correct.

考点：REITs估值方法

解析：折现法计算stock price, 首先用CAPM模型计算discount rate = risk free rate + beta * market risk premium = 3% + 1.1*5% = 8.5%

用两阶段股利模型, stock price = Dividend at year 1 / (1+discount rate) + dividend at year 2 / (1+discount rate)^2 + stock value at end of year 2 = 1.13/(1+8.5%) + 1.22/(1+8.5%)^2 + [(1.22*(1+5%))/(8.5%-5%)]/(1+8.5%)^2 = 1.04 + 1.04 + 31.09 = $33.17

这里为什么折现率用8.5%不用Rf 3%

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Lucky_品职助教 · 2023年03月29日

嗨，爱思考的PZer你好：


同学你好，这个题目其实就是跟equity中的DDM是一模一样的，因为REITs也是上市公司的股票。

DDM折现肯定是用投资者的要求收益率，也就是re。我们说股票都是有风险的，所以对应的折现率也要体现出来风险，而不能直接用无风险利率。

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NO.PZ2018111302000039 问题如下 analyst hput together the key projections anassumptions of a T REIT. The intrinsic value of the T REIT on a per share basis using the two-step vinscount mol is closest to: $28.76. $33.17. $37.69. B is correct.考点REITs估值方法解析折现法计算stoprice, 首先用CAPM模型计算scount rate = risk free rate + beta * market risk premium = 3% + 1.1*5% = 8.5%用两阶段股利模型, stopri= vinye1 / (1+scount rate) + vinye2 / (1+scount rate)^2 + stovalue enof ye2 = 1.13/(1+8.5%) + 1.22/(1+8.5%)^2 + [(1.22*(1+5%))/(8.5%-5%)]/(1+8.5%)^2 = 1.04 + 1.04 + 31.09 = $33.17 如题

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NO.PZ2018111302000039 问题如下 analyst hput together the key projections anassumptions of a T REIT. The intrinsic value of the T REIT on a per share basis using the two-step vinscount mol is closest to: $28.76. $33.17. $37.69. B is correct.考点REITs估值方法解析折现法计算stoprice, 首先用CAPM模型计算scount rate = risk free rate + beta * market risk premium = 3% + 1.1*5% = 8.5%用两阶段股利模型, stopri= vinye1 / (1+scount rate) + vinye2 / (1+scount rate)^2 + stovalue enof ye2 = 1.13/(1+8.5%) + 1.22/(1+8.5%)^2 + [(1.22*(1+5%))/(8.5%-5%)]/(1+8.5%)^2 = 1.04 + 1.04 + 31.09 = $33.17 老师 ，31.09在哪里啊？

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NO.PZ2018111302000039 问题如下 analyst hput together the key projections anassumptions of a T REIT. The intrinsic value of the T REIT on a per share basis using the two-step vinscount mol is closest to: $28.76. $33.17. $37.69. B is correct.考点REITs估值方法解析折现法计算stoprice, 首先用CAPM模型计算scount rate = risk free rate + beta * market risk premium = 3% + 1.1*5% = 8.5%用两阶段股利模型, stopri= vinye1 / (1+scount rate) + vinye2 / (1+scount rate)^2 + stovalue enof ye2 = 1.13/(1+8.5%) + 1.22/(1+8.5%)^2 + [(1.22*(1+5%))/(8.5%-5%)]/(1+8.5%)^2 = 1.04 + 1.04 + 31.09 = $33.17 老师请问(1.22*(1+5%))/(8.5%-5%)是什么意思？

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