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LHY · 2023年05月06日

为什么折现没有用risk free rate呢？

  1. CFA II
  2. Alternative

NO.PZ2018111302000033

问题如下：

The value per share of REIT C using discounted cash flow valuation using a two-step dividend model is closest to:

选项：

A.

$51.49.

B.

$58.37.

C.

$62.67.

解释：

C is correct.

考点：REITs估值方法

解析：Discount rate = risk free rate + beta * market risk premium = 4% + 0.85*5% = 8.25%

Value per share = Dividend at year 1 / (1+discount rate) + dividend at year 2 / (1+discount rate)^2 + dividend at year 3 / (1+discount rate)^3 + stock value at end of year 3

= 2/(1+8.25%) + 2*(1+6%)/(1+8.25%)^2 + 2*(1+6%)^2/(1+8.25%)^3 + [[(2*(1+6%)^2)*(1+5%)]/(8.25%-5%)]/(1+8.25%)^3 = 1.85 + 1.81 + 1.77 + 57.24 = $62.67

为什么折现没有用risk free rate呢？

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1 个答案

韩韩_品职助教 · 2023年05月07日

嗨，努力学习的PZer你好：


同学你好，我们折现的时候，是要用discount rate, 也就是投资者的要求收益率，是在无风险利率上面会有一个β系数调整的。也就是用CAPM模型计算出来的。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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NO.PZ2018111302000033 问题如下 The value per share of REIT C using scountecash flow valuation using a two-step vinmol is closest to: $51.49. $58.37. $62.67. C is correct.考点REITs估值方法解析scount rate = risk free rate + beta * market risk premium = 4% + 0.85*5% = 8.25%Value per share = vinye1 / (1+scount rate) + vinye2 / (1+scount rate)^2 + vinye3 / (1+scount rate)^3 + stovalue enof ye3= 2/(1+8.25%) + 2*(1+6%)/(1+8.25%)^2 + 2*(1+6%)^2/(1+8.25%)^3 + [[(2*(1+6%)^2)*(1+5%)]/(8.25%-5%)]/(1+8.25%)^3 = 1.85 + 1.81 + 1.77 + 57.24 = $62.67 请问题目中说的$2不是说next year的vin，而第二年第三年的g是6%，所以第一年年末的v应该是2/(1+6%)，第二年是2，第三年是2*（1+6%），这个现金流吗？

2024-05-17 11:54 1 · 回答

NO.PZ2018111302000033 问题如下 The value per share of REIT C using scountecash flow valuation using a two-step vinmol is closest to: $51.49. $58.37. $62.67. C is correct.考点REITs估值方法解析scount rate = risk free rate + beta * market risk premium = 4% + 0.85*5% = 8.25%Value per share = vinye1 / (1+scount rate) + vinye2 / (1+scount rate)^2 + vinye3 / (1+scount rate)^3 + stovalue enof ye3= 2/(1+8.25%) + 2*(1+6%)/(1+8.25%)^2 + 2*(1+6%)^2/(1+8.25%)^3 + [[(2*(1+6%)^2)*(1+5%)]/(8.25%-5%)]/(1+8.25%)^3 = 1.85 + 1.81 + 1.77 + 57.24 = $62.67 老师，这里的57.24 在哪里？

2023-08-28 15:39 1 · 回答

NO.PZ2018111302000033 $58.37. $62.67. C is correct. 考点REITs估值方法 解析scount rate = risk free rate + beta * market risk premium = 4% + 0.85*5% = 8.25% Value per share = vinye1 / (1+scount rate) +  vinye2 / (1+scount rate)^2 +  vinye3 / (1+scount rate)^3 + stovalue enof ye3 = 2/(1+8.25%) + 2*(1+6%)/(1+8.25%)^2 + 2*(1+6%)^2/(1+8.25%)^3 +  [[(2*(1+6%)^2)*(1+5%)]/(8.25%-5%)]/(1+8.25%)^3 = 1.85 + 1.81 + 1.77 + 57.24 = $62.67 ​这道题是REITS计算里的F法吗？terminrate为什么是8.25%-5%？

2021-03-10 22:42 1 · 回答

$58.37. $62.67. C is correct. 考点REITs估值方法 解析scount rate = risk free rate + beta * market risk premium = 4% + 0.85*5% = 8.25% Value per share = vinye1 / (1+scount rate) +  vinye2 / (1+scount rate)^2 +  vinye3 / (1+scount rate)^3 + stovalue enof ye3 = 2/(1+8.25%) + 2*(1+6%)/(1+8.25%)^2 + 2*(1+6%)^2/(1+8.25%)^3 +  [[(2*(1+6%)^2)*(1+5%)]/(8.25%-5%)]/(1+8.25%)^3 = 1.85 + 1.81 + 1.77 + 57.24 = $62.67这不是写两步么？怎么还是三年

2020-10-14 15:32 1 · 回答