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Anna · 2024年11月18日

不用计算的方法是否可行

NO.PZ2023032701000052

问题如下:

Singh and Ho next analyze Colanari. Last year, Colanari had FCFF of €140 million. Singh instructs Ho to perform a FCFF sensitivity analysis of Colanari’s firm value using the three sets of estimates presented in Exhibit 3. In her analysis, Ho assumes a tax rate of 35% and a stable capital structure of 30% debt and 70% equity.

Exhibit 3:. Sensitivity Analysis for Colanari Valuation

Based on Exhibit 3, Ho’s FCFF sensitivity analysis should conclude that Colanari’s value is most sensitive to the:

选项:

A.

FCFF growth rate

B.

before-tax cost of debt

C.

required rate of return for equity

解释:

Colanari’s valuation is most sensitive to the cost of equity (re) because the range of estimated values is larger than the valuation ranges estimated from the sensitivity analysis of both the FCFF growth rate (GFCFF) and the before-tax cost of debt (rd).

WACC = [wd × rd(1 – Tax rate)] + (we × re).

Firm value = FCFF0(1 + g)/(WACC – g).

Cost of equity sensitivity

Using the base case estimates for the FCFF growth rate and the before-tax cost of debt and using the low estimate for the cost of equity (re) of 10.0%, the valuation estimate is

WACC = [(0.30)(0.049)(1 – 0.35)] + (0.70)(0.10) = 7.96%.

Firm value = 140 million(1 + 0.046)/(0.0796 – 0.046) = €4,364.18 million.

Using the base case estimates for the FCFF growth rate and the before-tax cost of debt and using the high estimate for the cost of equity (re) of 12.0%, the valuation estimate is

WACC = [(0.30)(0.049)(1 – 0.35)] + (0.70)(0.120) = 9.36%.

Firm value = 140 million(1 + 0.046)/(0.0936 – 0.046) = €3,079.38 million.

Therefore, the range in valuation estimates from using the highest and lowest estimates of the cost of equity is €1,284.80 million.

FCFF growth rate sensitivity

Using the base case estimates for the cost of equity and the before-tax cost of debt and using the low estimate for the FCFF growth rate (GFCFF) of 4.2%, the valuation estimate is

WACC = [(0.30)(0.049)(1 – 0.35)] + (0.70)(0.11) = 8.66%.

Firm value = 140 million(1 + 0.042)/(0.0866 – 0.042) = €3,274.16 million.

Using the base case estimates for the cost of equity and the before-tax cost of debt and using the high estimate for the FCFF growth rate (GFCFF) of 5.0%, the valuation estimate is

WACC = [(0.30)(0.049)(1 – 0.35)] + (0.70)(0.11) = 8.66%.

Firm value = 140 million(1 + 0.05)/(0.0866 – 0.05) = €4,021.34 million.

Therefore, the range in valuation estimates from using the highest and lowest estimates of the FCFF growth rate is €747.18 million.

Before-tax cost of debt sensitivity

Using the base case estimates for the FCFF growth rate and the cost of equity and using the low estimate for the beforetax cost of debt (rd) of 3.9%, the valuation estimate is

WACC = [(0.30)(0.039)(1 – 0.35)] + (0.70)(0.11) = 8.46%.

Firm value = 140 million(1 + 0.046)/(0.0846 – 0.046) = €3,793.29 million.

Using the base case estimates for the FCFF growth rate and the cost of equity and using the high estimate for the before-tax cost of debt (rd) of 5.9%, the valuation estimate is

WACC = [(0.30)(0.059)(1 – 0.35)] + (0.70)(0.11) = 8.85%.

Firm value = 140 million(1 + 0.046)/(0.0885 – 0.046) = €3,445.24 million.

Therefore, the range in valuation estimates from using the highest and lowest estimates of the before-tax cost of debt is €348.05 million.

此题可以看到cost of debt和cost of equity的变动幅度都在基准值1%左右。但由于cost structure中equity占70%,所以敏感程度会更被放大,选出答案。不知道这样的逻辑,不计算,是不是正确的?

1 个答案

王园圆_品职助教 · 2024年11月18日

同学你好,最好不要通过逻辑判断。这类题目最稳妥的肯定是通过计算来确定结果的

但是助教也建议你要是考试中遇到同类题目可以做个标记放在最后有时间了再计算,没有必要在初期就花大量时间的。

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NO.PZ2023032701000052 问题如下 Singh anHo next analyze Colanari. Last year, Colanari hFCFF of €140 million. Singh instructs Ho to perform a FCFF sensitivity analysis of Colanari’s firm value using the three sets of estimates presentein Exhibit 3. In her analysis, Ho assumes a trate of 35% ana stable capitstructure of 30% an70% equity.Exhibit 3:. Sensitivity Analysis for Colanari ValuationBaseon Exhibit 3, Ho’s FCFF sensitivity analysis shoulconclu thColanari’s value is most sensitive to the: A.FCFF growth rate B.before-tcost of C.requirerate of return for equity Colanari’s valuation is most sensitive to the cost of equity (re) because the range of estimatevalues is larger ththe valuation ranges estimatefrom the sensitivity analysis of both the FCFF growth rate (GFCFF) anthe before-tcost of (r.WA= [w× r1 – Trate)] + (we × re).Firm value = FCFF0(1 + g)/(WA– g).Cost of equity sensitivityUsing the base case estimates for the FCFF growth rate anthe before-tcost of anusing the low estimate for the cost of equity (re) of 10.0%, the valuation estimate isWA= [(0.30)(0.049)(1 – 0.35)] + (0.70)(0.10) = 7.96%.Firm value = 140 million(1 + 0.046)/(0.0796 – 0.046) = €4,364.18 million.Using the base case estimates for the FCFF growth rate anthe before-tcost of anusing the high estimate for the cost of equity (re) of 12.0%, the valuation estimate isWA= [(0.30)(0.049)(1 – 0.35)] + (0.70)(0.120) = 9.36%.Firm value = 140 million(1 + 0.046)/(0.0936 – 0.046) = €3,079.38 million.Therefore, the range in valuation estimates from using the highest anlowest estimates of the cost of equity is €1,284.80 million.FCFF growth rate sensitivityUsing the base case estimates for the cost of equity anthe before-tcost of anusing the low estimate for the FCFF growth rate (GFCFF) of 4.2%, the valuation estimate isWA= [(0.30)(0.049)(1 – 0.35)] + (0.70)(0.11) = 8.66%.Firm value = 140 million(1 + 0.042)/(0.0866 – 0.042) = €3,274.16 million.Using the base case estimates for the cost of equity anthe before-tcost of anusing the high estimate for the FCFF growth rate (GFCFF) of 5.0%, the valuation estimate isWA= [(0.30)(0.049)(1 – 0.35)] + (0.70)(0.11) = 8.66%.Firm value = 140 million(1 + 0.05)/(0.0866 – 0.05) = €4,021.34 million.Therefore, the range in valuation estimates from using the highest anlowest estimates of the FCFF growth rate is €747.18 million.Before-tcost of sensitivityUsing the base case estimates for the FCFF growth rate anthe cost of equity anusing the low estimate for the beforetcost of (r of 3.9%, the valuation estimate isWA= [(0.30)(0.039)(1 – 0.35)] + (0.70)(0.11) = 8.46%.Firm value = 140 million(1 + 0.046)/(0.0846 – 0.046) = €3,793.29 million.Using the base case estimates for the FCFF growth rate anthe cost of equity anusing the high estimate for the before-tcost of (r of 5.9%, the valuation estimate isWA= [(0.30)(0.059)(1 – 0.35)] + (0.70)(0.11) = 8.85%.Firm value = 140 million(1 + 0.046)/(0.0885 – 0.046) = €3,445.24 million.Therefore, the range in valuation estimates from using the highest anlowest estimates of the before-tcost of is €348.05 million. 比如这个,Firm value = 140 million(1 + 0.042)/(0.0866 – 0.042) = €3,274.16 million.我算的就是3270.85,不知道是不是小数点的缘故?

2024-08-11 10:59 1 · 回答

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2024-05-06 20:30 1 · 回答

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2023-09-27 13:53 1 · 回答