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izzyli · 2023年10月04日

咨询一个问题

  1. CFA II
  2. Equity

NO.PZ2023032701000063

问题如下：

Raman collects additional data for valuing PBRI using the multistage RI model. For this model, he assumes an annual growth rate of residual income of 15% during the forecast horizon of 5 years (Years 1 to 5) and discounts the terminal year’s residual income as a perpetuity. Other inputs are found in Exhibit 3.

Exhibit 3 Data for Residual Income Model

Using the data in Exhibit 3, Raman's estimate of the contribution that the terminal value of the residual income stream in 5 years will contribute to the current value of equity is closest to:

选项：

A.

$42.25

B.

$61.91

C.

$48.82

解释：

Using a multi-stage residual income model and the data in Exhibit 3:

Equity charge = Equity capital × Cost of equity capital= 20.97 × 0.124 = $2.60 million

Residual income of the more recent year = Net income – Equity charge= 8.00 – 2.60 = $5.40 million

Raman’s assumed growth rate during the forecast period of five years = 15%

Annual residual income during the no growth period (after Year 5) = 5.40 × (1.15)5 = $10.86 million

Present value (PV) of the residual income from perpetual period, as at T = 5 = ($10.86/0.124)=$87.58 million

PV of the perpetual period residual income at T0= 87.58/(1.124)5=$48.82 million

Present value (PV) of the residual income from perpetual period, as at T = 5 = ($10.86/0.124)=$87.58

PV of the perpetual period residual income at T0= 87.58/(1.124)5=$48.82                      这两处用的都是cost of equity是吗？

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王园圆_品职助教 · 2023年10月04日

同学你好，是的，首先，RI折现使用的折现率都是cost of equity,和WACC无关

其次，本题特意强调了“ discounts the terminal year’s residual income as a perpetuity.”也就是RI5以后的每一期是永续年金状态,RI都是保持不变的，那根据永续年金折现公式，V = D1/r就可以知道，这里的位于第五年年末的terminal value V5 = RI6(=RI5)/r而不需要考虑增长率g


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NO.PZ2023032701000063 问题如下 Ramcollects aitionta for valuing PBRI using the multistage RI mol. For this mol, he assumes annugrowth rate of resiincome of 15% ring the forecast horizon of 5 years (Years 1 to 5) anscounts the terminyear’s resiincome a perpetuity. Other inputs are founin Exhibit 3.Exhibit 3 ta for ResiIncome MolUsing the ta in Exhibit 3, Raman's estimate of the contribution ththe terminvalue of the resiincome strein 5 years will contribute to the current value of equity is closest to: A.$42.25 B.$61.91 C.$48.82 Using a multi-stage resiincome mol anthe ta in Exhibit 3:Equity charge = Equity capit× Cost of equity capital= 20.97 × 0.124 = $2.60 millionResiincome of the more recent ye= Net income – Equity charge= 8.00 – 2.60 = $5.40 millionRaman’s assumegrowth rate ring the forecast perioof five years = 15%Annuresiincome ring the no growth perio(after Ye5) = 5.40 × (1.15)5 = $10.86 millionPresent value (PV) of the resiincome from perpetuperio T = 5 = ($10.86/0.124)=$87.58 millionPV of the perpetuperioresiincome T0= 87.58/(1.124)5=$48.82 million 没太理解这道题的意思，老师麻烦可以帮忙详细下这道题吗？辛苦啦

2024-09-05 11:37 1 · 回答

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