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erin_hi1990 · 2023年07月02日

请问这个思路是哪里不对?

NO.PZ2023032701000022

问题如下:

Talisman is an independent upstream oil and gas company headquartered in Calgary, Canada. Talisman pays semi-annual dividends. The total dividends during 2008 last year have been C$0.175.

Dobson is using two-stage DDM to estimate the value of the stock.

Dobson wants to use his estimate that eight years later Talisman’s stock will be worth 17 times its earnings per share (trailing P/E of 17). He expects that the earnings retention ratio at that time will be 0.70.

The dividend growth rate will be 14 percent throughout the first stage of eight years.

Dobson is using the CAPM to estimate the required return on equity for Talisman. He has estimated that the beta of Talisman, as measured against the S&P/TSX Composite Index (formerly TSE 300 Composite Index), is 0.84. The Canadian risk-free rate, as measured by the annual yield on the 10-year government bond, is 4.1 percent. The equity risk premium for the Canadian market is estimated at 5.5 percent.

What is the current value of the stock based on this approach?

选项:

A.

C$16.24

B.

C$17.65

C.

C$28.29

解释:

From the table with the calculation details,

D8= C$0.4992. So, 0.4992/ E8 = 0.30, which means that E8 =0.4992/0.30 = 1.6640.

V8/E8 = 17 implies that V8/1.6640 = 17, which gives V8 = 17(1.6640) = C$28.2880.

PV of V8= 28.2880/1.08728 = 14.4919

From the table with the calculation details,

Sum of PV of D1 through D8= 1.7433

So, the value of stock V0= 14.4919 + 1.7433 = C$16.2352.

老师,我是用另一个思路想的,从P/E=(1-b)(1+g)/(r-g)=17,其中b=30%已知,可求出8年以后的g(=4.4203%),把这个g带入到V8=0.175*1.14^8+0.175*1.14^8*(1+4.4203%)/(8.72%-4.4203%),再把V1至V8折现求和,答案和选项均不符。想知道下这个思路有什么问题?

2 个答案

王园圆_品职助教 · 2023年07月02日

同学你好,助教不建议你用GGM求解最后的终值P8

因为题目给的条件是“eight years later Talisman’s stock will be worth 17 times its earnings per share (trailing P/E of 17). ”,说明终值应该用P/E的方式计算才是最快捷最正确的

此时你只需要求一下第七年年末的D7然后求E7即可得到P8

如果用GGM,应该是题目明确提示了永续期间的分红增长率是多少的情况下才可以使用的,用该方法计算的P8很可能会和用乘数法计算的P8是不一致的,所以助教不建议你在本题这种i情况下使用GGM

总的来说就是尽量按照题目的提示来计算终值,否则可能会出现错误

erin_hi1990 · 2023年07月02日

明白了,我把b的含义弄错了,b是留存收益率,1-b=0.3,用这个数值来算我的思路可以算出正确答案。

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