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ruby5ltc · 2023年09月20日

请问

  1. CFA II
  2. Equity

NO.PZ2023032701000064

问题如下：

Castovan’s final assignment is to determine the intrinsic value of TTCI using both a singlestage and a multistage RI model. Selected data and assumptions for TTCI are presented in Exhibit 2.

For the multistage model, Castovan forecasts TTCI’s ROE to be higher than its long-term ROE for the first three years. Forecasted earnings per share and dividends per share for TTCI are presented in Exhibit 3. Starting in Year 4, Castovan forecasts TTCI’s ROE to revert to the constant long-term ROE of 12% annually. The terminal value is based on an assumption that residual income per share will be constant from Year 3 into perpetuity.

Beckworth questions Castovan’s assumption regarding the implied persistence factor used in the multistage RI valuation. She tells Castovan that she believes that a persistence factor of 0.10 is appropriate for TTCI.

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：


 1、既然persistence factor of 0.10，为什么W=1?

2、RI=NI-re*BO,比如求2023年的RI，那么用的NI是2023年的，BO是2022年的，我理解的对吗？

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1 个答案

王园圆_品职助教 · 2023年09月20日

同学你好，1. 你要看清楚题目是针对哪个主角进行提问的

题目问的是Castovan 的假设下的value，对应题干“Starting in Year 4, Castovan forecasts TTCI’s ROE to revert to the constant long-term ROE of 12% annually. The terminal value is based on an assumption that residual income per share will be constant from Year 3 into perpetuity.”——加粗部分说了，从第3年开始，RI就保持不变了，所以此时w肯定等于1

你说的w=0.01的条件是Beckworth 的假设，主角不一样，不是本题的内容


2.是的，NI是2023年全年产生的，B是2022年年末值或者2023年年初值




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NO.PZ2023032701000064 问题如下 Castovan’s finassignment is to termine the intrinsic value of TTusing both a singlestage ana multistage RI mol. Selecteta anassumptions for TTare presentein Exhibit 2.For the multistage mol, Castovforecasts TTCI’s ROE to higher thits long-term ROE for the first three years. Forecasteearnings per share anvin per share for TTare presentein Exhibit 3. Starting in Ye4, Castovforecasts TTCI’s ROE to revert to the constant long-term ROE of 12% annually. The terminvalue is baseon assumption thresiincome per share will constant from Ye3 into perpetuity. Beckworth questions Castovan’s assumption regarng the impliepersistenfactor usein the multistage RI valuation. She tells Castovthshe believes tha persistenfactor of 0.10 is appropriate for TTCI.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 题目中说了关于终值的处理，说3年之后就按照永续不变了，我也是按照这个求解的“The terminvalue is baseon assumption thresiincome per share will constant from Ye3 into perpetuity.”但前面这个条件没有用到，“Starting in Ye4, Castovforecasts TTCI’s ROE to revert to the constant long-term ROE of 12% annually. ”，如果用这个ROE带入RI4的计算，得到的RI4结果并不等于3.47也就是永续的值

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