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Mia Li · 2024年07月19日

Rd

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



1 个答案

王园圆_品职助教 · 2024年07月19日

同学你好,本题问题要求的是非上市公司的Equity β的大小。 你这个推导最多能得到WACC是非上市公司更高,和题目本身无法产生直接的关联呢。

而且WACC并不是二级private company这里的一个大知识点,Equity这里的题目考察WACC的概率就很低呢

所以你还是需要回到上面解析中的两个公式来看的——这才是更接近二级Equity会考到的知识点呢

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