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wuwarm · 2019年01月12日

问一道题：NO.PZ201512300100001207 第7小题

  1. CFA II
  2. Equity

* 问题详情，请 查看题干

问题如下图：

    

选项：

A.

B.

C.

解释：


老师，这道题RI=(ROE-r)B,这道case前面一个小题助教老师写了
“这道题目用一阶段模型来计算：V0=B0+(ROE-r)B/r-g”，请问RI公式应该是（ROE-r)B还是（ROE-r)B/r-g,我分不清楚

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1 个答案

maggie_品职助教 · 2019年01月12日

RI的是公式是（ROE-r)B，（ROE-r)B/r-g（类似永续增长的股息用GGM公式计算现值）计算的是RI以g永续增长下的现值。请注意区分，加油。





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NO.PZ201512300100001207问题如下7. Unr Scenario 1, the intrinsic value per share of the equity of Amersheen is closest to:A.R13.29.B.R15.57.C.R16.31.the multistage resiincome mol results in intrinsic value of R16.31.This variation of the multistage resiincome mol, in whiresiincome fas over time, is: where is the persistenfactor.The first step is to calculate resiincome per share for years 2012 2015:ROE = earnings / book valueGrowth rate = ROE × retention rateRetention rate = 1 (vin/earnings)Book valuet= book valuet 1 + earningst 1 vint 1Resiincome per share = EPS equity charge per shareEquity charge per share = book value per sharet× cost of equityUsing the resiincome per share for 2015 of R1.608, the seconstep is to calculate the present value of the terminvalue:PV of TerminValue =R1.6081+0.10-0.70(1.10)3=R3.0203Then, intrinsic value per share is:V0=R7.60+R2.52(1.10)+R2.31(1.10)2+R1.98(1.10)3+R3.0203=R16.311、基础班李老师讲过，衰减率w=1+g, g为负数，但是这里的g=9%，两者似乎冲突了。2、解题过程中也没有用到9%，这个长期增长率g是什么前提假设吗？还是一个干扰项？

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