NO.PZ2023032701000133
问题如下:
Recently hired analyst Ulrich Schwalke used the
expanded CAPM for valuing private company JNK Corporation, gathering beta
estimates from comparable public firms. On a recent engagement, he found the
average beta from public comparables of 1.20. The average debt ratio of the
public comparables exceeded that of JNK, while tax rates were equal between the
public comparables and JNK. Which statement is most correct regarding
Schwalke’s estimation of JNK’s beta?
选项:
A.
Schwalke estimates JNK’s beta to be less than 1.20
B.
Schwalke estimates JNK’s beta to be 1.20
C.
Schwalke estimates JNK’s beta to be greater than 1.20
解释:
A is Correct.
Observed beta estimates from public companies are levered betas. The levered
beta must be adjusted to remove the effects of the debt on firm risk by
applying the following unlevered beta equation.
The larger the
public company debt ratio, the lower the unlevered beta result. The unlevered
beta is re-levered using JNK’s debt ratio using the following levered beta
equation.
As JNK’s debt
ratio is below that of the public companies, the resulting levered beta will
not be as high as the levered beta for the public companies.
李老师说private companyRd高,且We高。所以private company WACC高,风险也高,所以选C?不能这么理解吗