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wenxing · 2023年04月03日

不明白错在哪里？

  1. CFA II
  2. Equity

* 问题详情，请 查看题干

NO.PZ201512300100001305

问题如下：

4. Regarding the two statements about discount rate estimates, Chin is:

选项：

A.

correct with respect to adding the small stock premium and correct with respect to the weighted average cost of capital.

B.

correct with respect to adding the small stock premium and incorrect with respect to the weighted average cost of capital.

C.

incorrect with respect to adding the small stock premium and incorrect with respect to the weighted average cost of capital.

解释：

C is correct.

Both statements by Chin are incorrect. If the CAPM is used with public companies with similar operations and similar revenue size, as stated, then the calculation likely captures the small stock premium and should not be added to the estimate. Small stock premiums are associated with build-up models and the expanded CAPM, rather than the CAPM per se. The correct weighted average cost of capital should reflect the risk of Thunder’s cash flows not the risk of the acquirer’s cash flows.

如题？？？？？？？？。？？？？？？？

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1 个答案

王园圆_品职助教 · 2023年04月04日

嗨，爱思考的PZer你好：


同学你好，statement 1说了使用CAPM的来估计非上市公司的Re的时候，选取的上市公司是有类似的revenue的，既然营收相同且运营内容相同，那规模就会类似，此时就不需要再对估计出来的Re做小公司的size premium的调整了，只需要对流动性 premium做调整

statement2说收购Thunder的这家公司（private investment partnership）的WACC应该被用来作为估计Thunder的折现率——这里老师上课是特意强调过的，应该使用Thunder的WACC（即被收购主体的WACC）而不是收购方的WACC来对被收购方的现金流进行折现，因为折现率需要和现金流相匹配——Thunder的现金流就应该用Thunder的WACC来折现才合理


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