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anniewang · 2020年02月18日

问一道题：NO.PZ201512300100000406

  1. CFA II
  2. Equity

* 问题详情，请 查看题干

问题如下：

6. The estimate of beta for Twin Industries is closest to:

选项：

A.

0.44.

B.

0.85.

C.

0.89.

解释：

B is correct.

The steps to estimating a beta for a non-traded company are:

Step 1 Select the comparable benchmark

Step 2 Estimate benchmark’s beta

Step 3 Un-lever the benchmark’s beta

Step 4 Lever the beta to reflect the subject company’s financial leverage

The beta of the benchmark peer company data is given as 1.09. Next, this beta needs to be unlevered, calculated as:

βu=[11+(DE)]βI\beta_u=\left[\frac1{1+\left({\displaystyle\frac DE}\right)}\right]\beta_I

βu=[11+(0.600.40)](1.09)\beta_u=\left[\frac1{1+\left({\displaystyle\frac{0.60}{0.40}}\right)}\right](1.09)

βu=0.436,  or  0.44\beta_u=0.436,\;or\;0.44

The beta of the benchmark peer company data is given as 1.09. Next, this beta needs to be unlevered, calculated as:

βE′=1+(D′E′)βu\beta'_E=1+\left(\frac{D'}{E'}\right)\beta_u

βE′=1+(0.490.51)(0.436)\beta'_E=1+\left(\frac{0.49}{0.51}\right)(0.436)

βE′=0.8549,  or  0.85\beta'_E=0.8549,\;or\;0.85

请问这是哪个reading的考点，又忘了李老师的推算过程了，返工复习。。

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maggie_品职助教 · 2020年02月19日

reading 25,请参考讲义70页及相关视频。加油。

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NO.PZ201512300100000406 老师这种题目什么时候需要对β进行auste=unauste2/3+1/3*1

2021-11-23 17:31 1 · 回答

NO.PZ201512300100000406 老师好 2022 年改了， 这类题目是否11月考的还是 忽略tax? 谢谢

2021-11-22 14:20 2 · 回答

NO.PZ201512300100000406 我看提问里面，大家引用的答案是没有考虑1-t的，答案是选B。怎么现在答案又重新考虑了1-t呢？有些混乱了。

2021-08-19 16:26 3 · 回答

NO.PZ201512300100000406 0.85. 0.89. C is correct. The steps to estimating a beta for a non-tracompany are: Step 1 Selethe comparable benchmark Step 2 Estimate benchmark’s beta Step 3 Un-lever the benchmark’s beta Step 4 Lever the beta to reflethe subjecompany’s financileverage The beta of the benchmark peer company ta is given 1.09. Next, this beta nee to unlevere calculateas: βu=[11+((1−t))]βl\beta_u=\left[\frac1{1+\left(\left(1-t\right){\splaystyle\fr}\right)}\right]\beta_lβu​=⎣⎢⎢⎢⎡​1+((1−t)E)1​⎦⎥⎥⎥⎤​βl​ βu=[11+((1−0.3)0.60.4)]1.09=0.532\beta_u=\left[\frac1{1+\left(\left(1-0.3\right)\frac{0.6}{0.4}\right)}\right]1.09=0.532βu​=[1+((1−0.3)0.40.6​)1​]1.09=0.532 The beta of the benchmark peer company ta is given 1.09. Next, this beta nee to unlevere calculateas: lβE′=[1+(1−t)E′]βu{l}\beta'_E=\left[1+\left(1-t\right)\frac{}{E'}\right]\beta_u\\lβE′​=[1+(1−t)E′​]βu​ lβE′≈[1+(1−0.3)(0.490.51)](0.532)=0.889{l}\\\beta'_E\approx\left[1+\left(1-0.3\right)\left(\frac{0.49}{0.51}\right)\right]\left(0.532\right)=0.889lβE′​≈[1+(1−0.3)(0.510.49​)](0.532)=0.889 请问老师，本题是否应该考虑tax的因素呢。

2021-07-14 22:01 2 · 回答