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Kathy苏苏 · 2020年09月15日

问一道题：NO.PZ2018103102000046

  1. CFA II
  2. Equity

问题如下：

Jacques is the portfolio manager of AB pension and she considers adding PZ Inc. to her portfolio. Previously, she believed the company would have extraordinary growth for 4 years and normal growth thereafter. After carefully considering the characteristics of the company and its competitors, she is wondering what the consequences would be if the duration of the first stage was assumed to be 8 years instead of 4, with all the other assumptions/estimates remaining the same. Which of the following statement is true?

Statement 1: If the H model is used, the total value estimated would increase.

Statement 2: By using DDM, the proportion of the total value of the stock represented by the second stage would not change.

选项：

A.

Statement 1.

B.

Statement 2.

C.

Both of it.

解释：

A is correct.

考点：DDM& H-model

解析：A是正确的。Statement 2错在如果较高的增长率将持续更长的时间，那么股票的价值就会上升。

老师，麻烦翻译下statement2的意思吗？Statement 2: By using DDM, the proportion of the total value of the stock represented by the second stage would not change.这里面的proportion 指的是比例吗？total value of the stock represented by the second stage变大了，那分母（第一阶段value+第二阶段value）也变大了，那如何判断这个比例变大还是变小？

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4 个答案

Debrah_品职答疑助手 · 2020年09月28日

小胖同学你好，你问的这个问题很好，我之前确实没有想过Gh＞r的情况。如果是Gh＞r，从公式推导上比较难判断；但如果是Gh＜r的情形，可以说明，第二阶段所占比例减少，not change是不对的。所以statement2说的 By using DDM, the proportion of the total value of the stock represented by the second stage would not change 仍然是是错误的。

Debrah_品职答疑助手 · 2020年09月26日

小胖同学你好，GGM成立的假设条件里有一条就是r＞g。不适用GGM的时候，譬如是一般的DDM，那确实不要求r＞g。建议回头看一下基础班讲义回顾一下。

小胖 · 2020年09月26日

是的我明白，但是我们不是第二阶段才用到GGM吗？前面助教的回答之所以二阶段的intrinsic value会小，是建立在假设gh小于r的基础上，但是我们GGM成立是gl小于r，这个和gh是不是没有关系呢？

Debrah_品职答疑助手 · 2020年09月20日

同学你好，根据你的追问，我理解可以分段讨论：

1-4年，折现到0时刻的intrinsic value改变前后不变（都是高速增长阶段）；

5-8年，由于改变后是高速增长阶段，折现到0时刻的intrinsic value增加；

第8年之后，由于改变后的D9大于改变前的D9，所以折现到0时刻的intrinsic value增加；

综上，改变后的现值总和是变大的。

Debrah_品职答疑助手 · 2020年09月16日

同学你好，请见下面图片的具体计算过程，这里第二阶段的现值占的比例减少了，所以not change是不对的。

小胖 · 2020年09月26日

老师您好，可是题目中没有说第一阶段的g是小于r的，我们只能默认能使用GGM的时候，r一定是大于g的，但是第一阶段不适用GGM，我们也默认r大于g吗？

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