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土豆牛腩 · 2019年11月28日

问一道题：NO.PZ201512300100001207

  1. CFA II
  2. Equity

* 问题详情，请 查看题干

问题如下：

7. Under Scenario 1, the intrinsic value per share of the equity of Amersheen is closest to:

选项：

A.

R13.29.

B.

R15.57.

C.

R16.31.

解释：

As the multistage residual income model results in an intrinsic value of R16.31.

This variation of the multistage residual income model, in which residual income fades over time, is:

where  is the persistence factor.

The first step is to calculate residual income per share for years 2012 2015:

ROE = earnings / book value

Growth rate = ROE × retention rate

Retention rate = 1  (dividends/earnings)

Book valuet= book valuet 1 + earningst 1  dividendst 1

Residual income per share = EPS  equity charge per share

Equity charge per share = book value per sharet× cost of equity

Using the residual income per share for 2015 of R1.608, the second step is to calculate the present value of the terminal value:

PV of Terminal Value =

R1.6081+0.10-0.70(1.10)3=R3.0203

Then, intrinsic value per share is:

V0=R7.60+R2.52(1.10)+R2.31(1.10)2+R1.98(1.10)3+R3.0203=R16.31

题目说从2015年开始衰减，2015年ROE=26%应该不能用吧，用这公式计算出来答案不一样啊：PVRI（2014）=RI（2014）*w/（1+r-w）=1.98*0.7/（1+0.1-0.7）=3.463，算的iv=15.89

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1 个答案

maggie_品职助教 · 2019年11月29日


1、,题干说expected ROE in 2015 is 26% but it is assumed that the firm’s ROE will slowly decline towards the cost of equity thereafter.后半句RI是从2015年之后也就是2016才开始下降。前半句2015年ROE给你了，所以可以直接计算RI.

2、这道题是讲义上的例题（230页），计算方法老师上课doujiang都讲到了，建议去听一下



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