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Pina · 2020年05月26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=FCFF0×(1+g)WACC−g=245×(1+5%)6.2%−5%=$21437.5millionFirm\;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

老师好，1）D/A 这里是指D / (D+E) 也就是weight of debt, A 这里不是指asset 是吗? debt ratio = debt / asset 里的asset 是否指 liability + equity .如果题目里要给debt ratio 一般会怎么描述 应该不是D/A 是吗 否则会和weight 搞。 2）虽然这题不用求NB， 出于好奇，这里通过in crease in NP 60, decrease in LT debt 50 可以求出NB = 10, 如果题目给debt ratio, 通过(WC + FC- DEP)*Debt ratio 求出的也应该是10 是吗? 谢谢。

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Debrah_品职答疑助手 · 2020年05月27日

同学你好。针对你的两个问题：

1. liability确实和debt是不一样的，但是考试一般不会在这个地方出题设置陷阱，一般会假设全部负债都是有息负债。如果题目中给了D/A的比例，那就直接直接用这个比例计算Wd。除非表格里同时还给了Libility/Asset的比例。

2. 如果题目给了target debt ratio是可以的。

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