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Carolyne · 2024年04月22日

选项B

NO.PZ2023040402000046

问题如下:

Manika and Barkada reach an agreement in which Manika will acquire 100% of Barkada for $300 million in cash and 10 million Manika common shares. Prior to the acquisition, Manika had 162 million outstanding shares.

To estimate Manika's new cost of equity after the acquisition, Pascua considers using the DDM, the global CAPM, or the Grinold–Kroner model. She assesses which model is the most appropriate to use on the basis that Manika has been paying consistent but very low dividends. Both Manika and Barkada operate in a developing country where the stock market is not a large portion of the economy.

Which model is most appropriate for estimating Manika’s new cost of equity?

选项:

A.

DDM

B.

Global CAPM

C.

Grinold–Kroner model

解释:

A is correct because the DDM only requires that the company’s shares be publicly traded and that the company pays dividends that are stable and predictable. Those conditions are met by Manika. First, it is a public company as implied by the phrase based on the unaffected share price prior to the agreement in the vignette. Second, it pays consistent dividends. Very low dividends will simply translate to a low cost of equity based on the DDM.

B is incorrect because in the global CAPM (GCAPM), where a global market index is the single factor, there are no assumed significant risk differences across countries. The issue is that a likely result is a low, or even negative, slope coefficient because of the correlation between emerging and developed market returns being quite low in general.

If the company’s operations are global, but limited to developed countries, the GCAPM and ICAPM are reasonable methods to apply. If however, the company’s operations extend to developing countries, the methodology is less clear. Both Manika and Barkada operate in a developing country where the stock market is not a large portion of the economy. Hence, the Global CAMP is not appropriate.

C is incorrect because the Grinold-Kroner model is not appropriate for estimating the ERP in a developing country where the stock market is not a sufficiently large portion of the economy.

ERP estimates derived from macroeconomic models such as the Grinold–Kroner model, rely on a number of forecasted economic variables such as inflation and expected growth in real earnings per share. Using relationships between macroeconomic and financial variables in equity valuation models, analysts can develop ERP estimates. These models might be more reliable when public equities represent a relatively large share of the economy, as in many developed markets.

麻烦能再解释一下B选项吗?另外对于A, 股票市场不大 也可以用DDM吗

1 个答案

王琛_品职助教 · 2024年04月23日

嗨,努力学习的PZer你好:


1)麻烦能再解释一下B选项吗?

1.1

Global CAPM 的假设是:天下大同

即,全球金融市场大一统,无论你在美国、中国还是乌克兰,股票的风险和回报都是同一套规则

这在发达国家、金融市场高度一体化的情况下,效果很好,就像各种美食在一家大型超市里都买得到一样便利

请参考基础班讲义墨迹版 P178

1.2

但是,现实中的金融市场,并不总是这么“国际化”

比如你在一个十八线小县城的小集市上买菜,就和在国际大都市的生鲜超市的购物体验完全不同

对于 Manika 这样在发展中国家运营的公司,它所在的股票市场,比起全球金融市场,就像一个小县城的集市

它的规模小,商品种类有限,和外面的世界沟通也不是那么畅通

在这样的市场上,风险和回报可能和国际大都市的超市有很大不同

所以用 Global CAPM 来估算 Manika 的成本,就像是用北京三源里菜市场的价格标签,来给小县城的小集市上的蔬菜定价,不太匹配

1.3

Global CAPM 更适合的场景,是像跨国公司那样

在多个国家都有业务,尤其是这些国家的股市,都比较成熟和开放,公司的风险和回报,能够比较好地体现全球金融市场的动态

2)另外对于A, 股票市场不大 也可以用DDM吗

2.1

DDM 是基于预测公司未来的股息,并对它们进行贴现,以估计公司股票的价值

尽管 Manika 所在的股票市场不大,但只要该公司公开交易,并且支付稳定且可预测的股息,DDM 仍然是适用的

这里的关键是:股息的稳定性和可预测性,而不是股票市场的大小

2.2

虽然 Manika 的其业务集中在一个发展中国家,Global CAPM 可能无法准确反映它在本国的特定风险

但是对它的估值,并不需要广泛的国际市场数据,只需要公司能稳定支付股息就足够了

结合前面的举例,就像是用小县城小集市的本身成交记录,来给村民们的交易定价,这可能更加符合实际情况

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2024-08-28 14:47 1 · 回答