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benniewang · 2019年10月31日

问一道题：NO.PZ2018103102000118

问题如下：

Matt is conducting a FCFF sensitivity analysis for Company M`s value. The most recent FCFF of Company M is $100 million. Assuming the tax rate is 35% and a stable capital structure of 40% debt and 60% equity, the company`s value is least sensitive to:

选项：

A.

cost of equity

B.

growth rate

C.

after-tax cost of debt

解释：

C is correct.

考点：Sensitivity Analysis in FCFF and FCFE

解析：1. Cost of equity敏感性分析：保持r_d = 5.5%，g = 5.0%

当r_e = 8.0%时，WACC = 0.4*5.5% + 0.6*8.0% = 7%

$Firm\;Value=\frac{FCFF_0\times\left(1+g\right)}{WACC-g}=\frac{100\times\left(1+5\%\right)}{7\%-5\%}=5250$

当r_e = 12.0%时，WACC = 0.4*5.5% + 0.6*12.0% = 9.4%

$Firm\;Value=\frac{FCFF_0\times\left(1+g\right)}{WACC-g}=\frac{100\times\left(1+5\%\right)}{9.4\%-5\%}=2386.36$

Range = 5250 – 2386.36 = 2863.64

2. After-tax cost of debt敏感性分析：保持r_e = 10%，g = 5%

当r_d = 5.0%时，WACC = 0.4*5.0% + 0.6*10.0% = 8%

$Firm\;Value=\frac{FCFF_0\times\left(1+g\right)}{WACC-g}=\frac{100\times\left(1+5\%\right)}{8\%-5\%}=3500$

当r_d = 6.0%时，WACC = 0.4*6.0% + 0.6*10.0% = 8.4%

$Firm\;Value=\frac{FCFF_0\times\left(1+g\right)}{WACC-g}=\frac{100\times\left(1+5\%\right)}{8.4\%-5\%}=3088.24$

Range = 3500 – 3088.24 = 411.76

3. Growth rate敏感性分析：保持r_e = 10%，r_d = 5.5%

WACC = 0.4*5.5% + 0.6*10.0% = 8.2%

当g = 4%时, $Firm\;Value=\frac{FCFF_0\times\left(1+g\right)}{WACC-g}=\frac{100\times\left(1+4\%\right)}{8\%-4\%}=2600$

当g = 6%时, $Firm\;Value=\frac{FCFF_0\times\left(1+g\right)}{WACC-g}=\frac{100\times\left(1+6\%\right)}{8\%-6\%}=5300$

Range = 5300 - 2600 = 2700

三者相比，敏感性最弱的是after-tax cost of debt。

计算g的增长率的时候，wacc是8.2%，而四舍五入成8%。不是说g变化一点就会对结果产生很大的影响，既然如此，为啥不用8.2而用8呢？莫名其妙。

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maggie_品职助教 · 2019年10月31日

你的提问非常好，是这道题的解析有误差，当g=4%，FV=2476.2，当g=6%,FV=4818.2 因此，Range = 4818.2 - 2476.2 = 2342

不改变本题的选项。我们会尽快调整后台的计算过程。

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NO.PZ2018103102000118 问题如下 Matt is concting a FCFF sensitivity analysis for Company M`s value. The most recent FCFF of Company M is $100 million. Assuming the trate is 35% ana stable capitstructure of 40% an60% equity, the company`s value is least sensitive to: A.cost of equity B.growth rate C.after-tcost of C is correct.考点Sensitivity Analysis in FCFF anFCFE解析1. Cost of equity敏感性分析保持r= 5.5%，g = 5.0%当re = 8.0%时，WA= 0.4*5.5% + 0.6*8.0% = 7%Firm Value=FCFF0×(1+g)WACC−g=100×(1+5%)7%−5%=5250Firm\;Value=\frac{FCFF_0\times\left(1+g\right)}{WACC-g}=\frac{100\times\left(1+5\%\right)}{7\%-5\%}=5250FirmValue=WACC−gFCFF0×(1+g)=7%−5%100×(1+5%)=5250当re = 12.0%时，WA= 0.4*5.5% + 0.6*12.0% = 9.4%Firm Value=FCFF0×(1+g)WACC−g=100×(1+5%)9.4%−5%=2386.36Firm\;Value=\frac{FCFF_0\times\left(1+g\right)}{WACC-g}=\frac{100\times\left(1+5\%\right)}{9.4\%-5\%}=2386.36FirmValue=WACC−gFCFF0×(1+g)=9.4%−5%100×(1+5%)=2386.36Range = 5250 – 2386.36 = 2863.642. After-tcost of bt敏感性分析保持re = 10%，g = 5%当r= 5.0%时，WA= 0.4*5.0% + 0.6*10.0% = 8%Firm Value=FCFF0×(1+g)WACC−g=100×(1+5%)8%−5%=3500Firm\;Value=\frac{FCFF_0\times\left(1+g\right)}{WACC-g}=\frac{100\times\left(1+5\%\right)}{8\%-5\%}=3500FirmValue=WACC−gFCFF0×(1+g)=8%−5%100×(1+5%)=3500当r= 6.0%时，WA= 0.4*6.0% + 0.6*10.0% = 8.4%Firm Value=FCFF0×(1+g)WACC−g=100×(1+5%)8.4%−5%=3088.24Firm\;Value=\frac{FCFF_0\times\left(1+g\right)}{WACC-g}=\frac{100\times\left(1+5\%\right)}{8.4\%-5\%}=3088.24FirmValue=WACC−gFCFF0×(1+g)=8.4%−5%100×(1+5%)=3088.24Range = 3500 – 3088.24 = 411.763. Growth rate敏感性分析保持re = 10%，r= 5.5%WA= 0.4*5.5% + 0.6*10.0% = 8.2%当g = 4%时, Firm Value=FCFF0×(1+g)WACC−g=100×(1+4%)8.2%−4%=2476.2Firm\;Value=\frac{FCFF_0\times\left(1+g\right)}{WACC-g}=\frac{100\times\left(1+4\%\right)}{8.2\%-4\%}=2476.2FirmValue=WACC−gFCFF0×(1+g)=8.2%−4%100×(1+4%)=2476.2当g = 6%时, Firm Value=FCFF0×(1+g)WACC−g=100×(1+6%)8.2%−6%=4818.2Firm\;Value=\frac{FCFF_0\times\left(1+g\right)}{WACC-g}=\frac{100\times\left(1+6\%\right)}{8.2\%-6\%}=4818.2FirmValue=WACC−gFCFF0×(1+g)=8.2%−6%100×(1+6%)=4818.2Range =4818.2 - 2476.2 = 2342三者相比，敏感性最弱的是after-tcost of bt。印象中，sensitivity analysis是某个因素单位变化所引起的结果变化分析。这题中，三个因素的变化幅度不同，high和low的结果直接相减就OK吗？不用考虑每个因素的变化幅度？

2024-04-18 12:01 1 · 回答

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2023-08-15 01:25 1 · 回答

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2023-04-24 07:37 1 · 回答

NO.PZ2018103102000118问题如下 Matt is concting a FCFF sensitivity analysis for Company M`s value. The most recent FCFF of Company M is $100 million. Assuming the trate is 35% ana stable capitstructure of 40% an60% equity, the company`s value is least sensitive to: A.cost of equityB.growth rateC.after-tcost of btC is correct.考点Sensitivity Analysis in FCFF anFCFE解析1. Cost of equity敏感性分析保持r= 5.5%，g = 5.0%当re = 8.0%时，WA= 0.4*5.5% + 0.6*8.0% = 7%Firm Value=FCFF0×(1+g)WACC−g=100×(1+5%)7%−5%=5250Firm\;Value=\frac{FCFF_0\times\left(1+g\right)}{WACC-g}=\frac{100\times\left(1+5\%\right)}{7\%-5\%}=5250FirmValue=WACC−gFCFF0×(1+g)=7%−5%100×(1+5%)=5250当re = 12.0%时，WA= 0.4*5.5% + 0.6*12.0% = 9.4%Firm Value=FCFF0×(1+g)WACC−g=100×(1+5%)9.4%−5%=2386.36Firm\;Value=\frac{FCFF_0\times\left(1+g\right)}{WACC-g}=\frac{100\times\left(1+5\%\right)}{9.4\%-5\%}=2386.36FirmValue=WACC−gFCFF0×(1+g)=9.4%−5%100×(1+5%)=2386.36Range = 5250 – 2386.36 = 2863.642. After-tcost of bt敏感性分析保持re = 10%，g = 5%当r= 5.0%时，WA= 0.4*5.0% + 0.6*10.0% = 8%Firm Value=FCFF0×(1+g)WACC−g=100×(1+5%)8%−5%=3500Firm\;Value=\frac{FCFF_0\times\left(1+g\right)}{WACC-g}=\frac{100\times\left(1+5\%\right)}{8\%-5\%}=3500FirmValue=WACC−gFCFF0×(1+g)=8%−5%100×(1+5%)=3500当r= 6.0%时，WA= 0.4*6.0% + 0.6*10.0% = 8.4%Firm Value=FCFF0×(1+g)WACC−g=100×(1+5%)8.4%−5%=3088.24Firm\;Value=\frac{FCFF_0\times\left(1+g\right)}{WACC-g}=\frac{100\times\left(1+5\%\right)}{8.4\%-5\%}=3088.24FirmValue=WACC−gFCFF0×(1+g)=8.4%−5%100×(1+5%)=3088.24Range = 3500 – 3088.24 = 411.763. Growth rate敏感性分析保持re = 10%，r= 5.5%WA= 0.4*5.5% + 0.6*10.0% = 8.2%当g = 4%时, Firm Value=FCFF0×(1+g)WACC−g=100×(1+4%)8.2%−4%=2476.2Firm\;Value=\frac{FCFF_0\times\left(1+g\right)}{WACC-g}=\frac{100\times\left(1+4\%\right)}{8.2\%-4\%}=2476.2FirmValue=WACC−gFCFF0×(1+g)=8.2%−4%100×(1+4%)=2476.2当g = 6%时, Firm Value=FCFF0×(1+g)WACC−g=100×(1+6%)8.2%−6%=4818.2Firm\;Value=\frac{FCFF_0\times\left(1+g\right)}{WACC-g}=\frac{100\times\left(1+6\%\right)}{8.2\%-6\%}=4818.2FirmValue=WACC−gFCFF0×(1+g)=8.2%−6%100×(1+6%)=4818.2Range =4818.2 - 2476.2 = 2342三者相比，敏感性最弱的是after-tcost of bt。考试时都要这样计算么还是可以有简便方法

2023-01-27 17:09 3 · 回答

NO.PZ2018103102000118 问题如下 Matt is concting a FCFF sensitivity analysis for Company M`s value. The most recent FCFF of Company M is $100 million. Assuming the trate is 35% ana stable capitstructure of 40% an60% equity, the company`s value is least sensitive to: A.cost of equity B.growth rate C.after-tcost of C is correct.考点Sensitivity Analysis in FCFF anFCFE解析1. Cost of equity敏感性分析保持r= 5.5%，g = 5.0%当re = 8.0%时，WA= 0.4*5.5% + 0.6*8.0% = 7%Firm Value=FCFF0×(1+g)WACC−g=100×(1+5%)7%−5%=5250Firm\;Value=\frac{FCFF_0\times\left(1+g\right)}{WACC-g}=\frac{100\times\left(1+5\%\right)}{7\%-5\%}=5250FirmValue=WACC−gFCFF0×(1+g)=7%−5%100×(1+5%)=5250当re = 12.0%时，WA= 0.4*5.5% + 0.6*12.0% = 9.4%Firm Value=FCFF0×(1+g)WACC−g=100×(1+5%)9.4%−5%=2386.36Firm\;Value=\frac{FCFF_0\times\left(1+g\right)}{WACC-g}=\frac{100\times\left(1+5\%\right)}{9.4\%-5\%}=2386.36FirmValue=WACC−gFCFF0×(1+g)=9.4%−5%100×(1+5%)=2386.36Range = 5250 – 2386.36 = 2863.642. After-tcost of bt敏感性分析保持re = 10%，g = 5%当r= 5.0%时，WA= 0.4*5.0% + 0.6*10.0% = 8%Firm Value=FCFF0×(1+g)WACC−g=100×(1+5%)8%−5%=3500Firm\;Value=\frac{FCFF_0\times\left(1+g\right)}{WACC-g}=\frac{100\times\left(1+5\%\right)}{8\%-5\%}=3500FirmValue=WACC−gFCFF0×(1+g)=8%−5%100×(1+5%)=3500当r= 6.0%时，WA= 0.4*6.0% + 0.6*10.0% = 8.4%Firm Value=FCFF0×(1+g)WACC−g=100×(1+5%)8.4%−5%=3088.24Firm\;Value=\frac{FCFF_0\times\left(1+g\right)}{WACC-g}=\frac{100\times\left(1+5\%\right)}{8.4\%-5\%}=3088.24FirmValue=WACC−gFCFF0×(1+g)=8.4%−5%100×(1+5%)=3088.24Range = 3500 – 3088.24 = 411.763. Growth rate敏感性分析保持re = 10%，r= 5.5%WA= 0.4*5.5% + 0.6*10.0% = 8.2%当g = 4%时, Firm Value=FCFF0×(1+g)WACC−g=100×(1+4%)8.2%−4%=2476.2Firm\;Value=\frac{FCFF_0\times\left(1+g\right)}{WACC-g}=\frac{100\times\left(1+4\%\right)}{8.2\%-4\%}=2476.2FirmValue=WACC−gFCFF0×(1+g)=8.2%−4%100×(1+4%)=2476.2当g = 6%时, Firm Value=FCFF0×(1+g)WACC−g=100×(1+6%)8.2%−6%=4818.2Firm\;Value=\frac{FCFF_0\times\left(1+g\right)}{WACC-g}=\frac{100\times\left(1+6\%\right)}{8.2\%-6\%}=4818.2FirmValue=WACC−gFCFF0×(1+g)=8.2%−6%100×(1+6%)=4818.2Range =4818.2 - 2476.2 = 2342三者相比，敏感性最弱的是after-tcost of bt。 re是波动了（-2%，+2%）， r（1-T）波动了（-0.5%，+0.5%），g波动了（-1%，+1%）如果把算出来的波动结果标准化，针对re（5250-2386.3626）/4针对r（1-T)（3500-3088.2353)/1针对g（4818.1818-2476.1905）/2

2022-08-08 01:59 1 · 回答