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徐威廉 · 2020年05月31日

问一道题：NO.PZ201512300100001305 第5小题 [ CFA II ]

  1. CFA II
  2. Equity

* 问题详情，请 查看题干

问题如下：

5. Regarding the two statements about discount rate estimates, Chin is:

选项：

A.

correct with respect to adding the small stock premium and correct with respect to the weighted average cost of capital.

B.

correct with respect to adding the small stock premium and incorrect with respect to the weighted average cost of capital.

C.

incorrect with respect to adding the small stock premium and incorrect with respect to the weighted average cost of capital.

解释：

C is correct.

Both statements by Chin are incorrect. If the CAPM is used with public companies with similar operations and similar revenue size, as stated, then the calculation likely captures the small stock premium and should not be added to the estimate. Small stock premiums are associated with build-up models and the expanded CAPM, rather than the CAPM per se. The correct weighted average cost of capital should reflect the risk of Thunder’s cash flows not the risk of the acquirer’s cash flows.

问题1:非上市公司估值可以使用similar上市公司的贝塔？应该是用pure play法得到非上市公司的贝塔啊 问
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Debrah_品职答疑助手 · 2020年06月01日

同学你好，statement 1的说法错在两处：

1、这道题的题干有一个关键词“similar”，我们找的可比公司已经是从经营到收入都和T公司非常的相似（相当于告诉我们可比公司和T的规模相似），因此我们用这样的可比公司数据计算得到的re 已经考虑到了规模的差距。不需要额外再加上一个规模的溢价。
2、题干说了是用CAPM来计算re, CAPM的公式中没有size premium。如果希望多考虑几个因子，可以选择FAMA 或者build up. 

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