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xiaoe · 2024年07月22日

这个题题目很怪，每年15%的ROI，到了第5年，突然再增加一个20%的Premium是怎么回事？

  1. CFA II
  2. Equity

NO.PZ2023032701000061

问题如下：

Use the following inputs and the finite horizon form of the residual income model to compute the value of Southern Trust Bank (STB) shares as of31 December 2007:

• ROE will continue at 15 percent for the next five years (and 10 percent thereafter) with all earnings reinvested (no dividends paid).

• Cost of equity equals 10 percent.

• B0 = $10 per share (at year-end 2007).

• Premium over book value at the end of five years will be 20 percent.

The value would be:

选项：

A.

$15.01

B.

$15.18

C.

$15.39

解释：


这个题题目很怪，每年15%的ROI，到了第5年，突然再增加一个20%的Premium是怎么回事？

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1 个答案

王园圆_品职助教 · 2024年07月22日

同学你好，请看以下讲义截图黄色部分

本题就是多阶段RI 模型求value的一种典型考法

其中前面5年的ROE＝１５％是用来计算未来５年每一期单独的RI的

而最后的premium则是用来计算５年以后所有的RI折现到第５年年末的PVRI的时候用的（对应的就是讲义截图的黄色部分这种计算方法）

因为PVRI=P-B，根据本题，就可以轻松计算PVRI = 20%*BV5

然后和前面的5期RI一起折现到0时刻，加上0时刻BV0，就可以求value了

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