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Molly · 2019年12月15日

问一道题：NO.PZ2018103102000113

  1. CFA II
  2. Equity

问题如下：

Matt is preparing to evaluate the value of Company M`s equity by using the two-stage FCFE model. The growth rates for the first three years are estimated at 10%, 8%, and 6%, respectively, and then it may grow at 5% per year into the indefinite future. The required rate of return on equity for Company M is 10%. What`s the intrinsic value of Company M’s equity?

选项：

A.

$4195million

B.

$4818million

C.

$6406 million

解释：

C is correct.

考点：Valuation Models

解析：先计算出FCFE0 = NI + NCC – WCInv – FCInv + Net Borrowing

= 485 + 270 – (59-33) – 523 + (15+60)

= $281 million

FCFE1 = 281*(1+10%) = $309.1 million, FCFE2 = $333.83 million, FCFE3 = $353.86 million

$$\(PV_3=\frac{FCFE_3\times\left(1+g\right)}{r-g}=\frac{353.86\times1.05}{10\%-5\%}=\$7431.06million\)</p><p>

\(PV=\frac{309.1}{1.1}+\frac{333.83}{1.1^2}+\frac{353.86+7431.06}{1.1^3}=\$6405.82million\)$$

题中说，这个是用两阶段模型求解，但是根据已知的g，这不是标准的两阶段模型吧？

我理解的两阶段模型，第一阶段以g的速度增长一段时间，第二阶段是g的速度永续增长

此题好像更像H model？

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1 个答案

maggie_品职助教 · 2019年12月18日

你说的是最简单的两阶段模型，而题目是一般形式，第一阶段高速增长，可以是不同的增速，第二阶段开始进入永续模型。它不是H模型，因为H模型严格规定了第一阶段是线性下降，不会给你具体每年的增速。

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NO.PZ2018103102000113 问题如下 Matt is preparing to evaluate the value of Company M`s equity using the two-stage FCFE mol. The growth rates for the first three years are estimate10%, 8%, an6%, respectively, anthen it mgrow 5% per yeinto the infinite future. The requirerate of return on equity for Company M is 10%. What`s the intrinsic value of Company M’s equity? A.$4195million B.$4818million C.$6406 million C is correct.考点Valuation Mols解析先计算出FCFE0 = NI + N– WCInv – FCInv + Net Borrowing= 485 + 270 – (59-33) – 523 + (15+60)= $281 millionFCFE1 = 281*(1+10%) = $309.1 million, FCFE2 = $333.83 million, FCFE3 = $353.86 millionPV3=FCFE3×(1+g)r−g=353.86×1.0510%−5%=$7431.06millionPV_3=\frac{FCFE_3\times\left(1+g\right)}{r-g}=\frac{353.86\times1.05}{10\%-5\%}=\$7431.06millionPV3​=r−gFCFE3​×(1+g)​=10%−5%353.86×1.05​=$7431.06millionPV=309.11.1+333.831.12+353.86+7431.061.13=$6405.82millionPV=\frac{309.1}{1.1}+\frac{333.83}{1.1^2}+\frac{353.86+7431.06}{1.1^3}=\$6405.82millionPV=1.1309.1​+1.12333.83​+1.13353.86+7431.06​=$6405.82million 做的时候想了半天，增长率没说是什么的增长率有可能是净利润的增长率，也有可能是FCFE的增长率。因为是出在这个章节了，所以用的FCFE。

2023-08-12 08:14 1 · 回答

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