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Pina · 2020年05月26日

问一道题：NO.PZ2018103102000120

  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 FCFF model. The growth rates for the first three years are estimated at 5% and then it may grow at 2.5% per year into the indefinite future. The most recent FCFF is $2,000 million and the company is in the 30% tax bracket. The relevant information is shown in the following table. Determine whether the common stock is fairly valued, overvalued or undervalued?

选项：

A.

undervalued.

B.

overvalued.

C.

fairly valued.

解释：

A is correct.

考点：Valuation Models.

解析：先计算WACC = wd × rd × (1–T) + (wp × rp) + (we × re)

= (15,000/40,000)(0.06)(1– 0.3) + (5,000/40,000)(0.04) + (20,000/40,000)(0.1)

= 7.08%

PV3=FCFF3×(1+g)r−g=2000×1.053×(1+2.5%)7.08%−2.5%=51,815.09millionPV_3=\frac{FCFF_3\times\left(1+g\right)}{r-g}=\frac{2000\times1.05^3\times\left(1+2.5\%\right)}{7.08\%-2.5\%}=51,815.09million

PV=21001.1.0708+22051.1.07082+2315.25+51,815.091.1.07083=47,971.73millionPV=\frac{2100}{1.1.0708}+\frac{2205}{1.1.0708^2}+\frac{2315.25+51,815.09}{1.1.0708^3}=47,971.73million

V common stock = 47,971.73 – 15,000 – 5,000 = $27,971.73 million

大于市场价值20,000 million，所以common stock被低估。

The most recent FCFF is $2,000 million 就是指现在普通股的市场价值 （current market value of the common stock)是吗? 以后出现在任何题目里是否都是这样理解的？ 谢谢。

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1 个答案

Debrah_品职答疑助手 · 2020年05月27日

同学你好，是不是看错数字了。FCFF是2,000mn，但是普通股市场价值是20,000mn哦~

此外，通常市场价值都会大于FCFF，因为内在价值可以通过自由现金流FCFF折现得到。FCFF只是一年的现金流。

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