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rd = 5.5%,g = 5.0%
当re = 8.0%时,WACC = 0.4*5.5% + 0.6*8.0% = 7%
FirmValue=WACC−gFCFF0×(1+g)=7%−5%100×(1+5%)=5250
当re = 12.0%时,WACC = 0.4*5.5% + 0.6*12.0% = 9.4%
FirmValue=WACC−gFCFF0×(1+g)=9.4%−5%100×(1+5%)=2386.36
Range = 5250 – 2386.36 = 2863.64
2. After-tax cost of debt敏感性分析:保持re = 10%,g = 5%
当rd = 5.0%时,WACC = 0.4*5.0% + 0.6*10.0% = 8%
FirmValue=WACC−gFCFF0×(1+g)=8%−5%100×(1+5%)=3500
当rd = 6.0%时,WACC = 0.4*6.0% + 0.6*10.0% = 8.4%
FirmValue=WACC−gFCFF0×(1+g)=8.4%−5%100×(1+5%)=3088.24
Range = 3500 – 3088.24 = 411.76
3. Growth rate敏感性分析:保持re = 10%,rd = 5.5%
WACC = 0.4*5.5% + 0.6*10.0% = 8.2%
当g = 4%时, FirmValue=WACC−gFCFF0×(1+g)=8%−4%100×(1+4%)=2600
当g = 6%时, FirmValue=WACC−gFCFF0×(1+g)=8%−6%100×(1+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。