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aileen20180623 · 2019年11月17日

问一道题：NO.PZ2018103102000114

  1. CFA II
  2. Equity

问题如下：

Matt is preparing to calculate the intrinsic value of Company M’s equity by using the FCFF model with the constant growth rate of 5% indefinitely. The relevant information is shown in the following table. What `s the value of Company M`s equity?

选项：

A.

$5,145 million

B.

$8,575 million

C.

$12,862.5 million

解释：

C is correct.

考点：Valuation Models

解析：M公司的权益回报率为：E(Ri) = RF + βi[E(RM) – RF] = 2.4% + 0.8(7%) = 8%.

M公司的WACC为：WACC = Wd*Rd*(1 - T) + We*Re

WACC = 0.40(5%)(1 – 0.3) + 0.60(8%) = 1.68% + 6.42% = 6.2%

FCFF = NI + Int × (1-T) + NCC – Wcinv - FCinv

          = 212 + 100 × (1-0.3) + 88 – (50-25) – 100 = $245 million

$$\(Firm\;Value=\frac{FCFF_0\times\left(1+g\right)}{WACC-g}=\frac{245\times\left(1+5\%\right)}{6.2\%-5\%}=\$21437.5million\)$$

Debt value = 0.4 * 21437.5 = $8575 million

Equity value = 0.6 * 21437.5 = $12862.5 million

1.这个题目给出的是D/A=0.4

为什么算debt value部分用0.4*21437.5？ 这里的这里的A就是FCFF？FCFF不是earning？ 如果是FCFE模型就用FCFE？


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1 个答案

maggie_品职助教 · 2019年11月18日

1、这里的是21437.5是公司的价值，不是FCFF。FCFF=245，这是零时刻自有现金流。因此21437.5*0.4得到的是债券的价值。

2、FCFF不是earning，它是现金流

3、我们使用FCFE或FCFF的模型目的在于估计公司股票的价值

4、同学，通过近期我给你答疑，我发现你的问题都非常基础，而且都是基础班讲解过的内容，我建议你先去听一下课再回来做题，这样事半功倍。

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