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ruby5ltc · 2023年06月04日

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  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

1、方法二： RI4=RI3 = 3.47， PVRI' =3.47/0.087 =39.8851

V0 = B0 + RI1/(1+r) + RI2/(1+r)^2 + RI3/(1+r)^3+PVRI'/(1+r)^3 = 45.25 + 3.88/1.087 + 3.68/1.087^2 + 3.47/1.097^3 + 39.8851/1.097^3 =85.71

第三年和以后的分母应该是1.087^3，而不是1.097^3。对吗？


2 如何从题干中判断w=1？

3 是否ROE恒定，RI就恒定？

4 计算RI3，可否用(ROE-RE)*BV2，ROE=12%



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2 个答案

王园圆_品职助教 · 2024年01月24日

同学你好，不可以

因为题目Exhibit 3说了“terminal value的计算是基于假设认为从第三年至未来的RI都不变做出来的”

也就是未来的RI都是保持恒定的一个数

而如果用RI4 = （ROE -Re )*BV3来计算，那随着时间的流逝，由于题目没有给出公司未来的分红政策，那就无法判断未来公司如何分红，进而就无法知道BV4是否等于BV5等于BV6.。。。。。，一旦BV可能变化， 那按照这个公式计算的RI就不再是恒定的，而是会变化的，就不符合题目的要求了

所以必须用RI4=RI5=RI6.。。。。。=RI3作为计算terminal value的基础条件

王园圆_品职助教 · 2023年06月04日

同学你好，1.是的，应该是1.087.解析可能是这里出现笔误了，谢谢同学，助教会跟后台反馈一下做修改的

2.根据表格3上面最后一句话：“The terminal value is based on an assumption that residual income per share will be constant from Year 3 into perpetuity.”可知，从第三年以后开始RI保持不变，那persistence factor就是1了

3.不能哦，还是需要题目中明确说了RI保持不变才能认为w=1哦

4.不能，因为题目说了，是从第四年开始，ROE才转为长期的ROE=12%的,而RI3是第三年发生的，所以此时ROE大概率不是12%


❤Oliva · 2024年01月24日

4、计算RI4 为什么不能用(ROE-RE)*BV3，ROE=12%

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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？

2024-10-01 20:35 1 · 回答

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2024-09-29 11:30 1 · 回答

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2024-07-12 11:41 1 · 回答

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2024-04-08 23:50 1 · 回答