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HG · 2020年09月21日

问一道题:NO.PZ2018103102000064

问题如下:

Jacques prepares to update the valuation of TMT. The company’s expected ROE in 2017 is 34.5% but it is assumed that the firm’s ROE will slowly decline towards the cost of equity thereafter.  As of the beginning of 2015, based upon the information in the below table, use the multistage-stage residual income (RI) model to determine the intrinsic value of the equity of TMT. The intrinsic value per share is closest to:

选项:

A.

22.72.

B.

14.97.

C.

78.81.

解释:

B is correct.

考点:RI

解析:B是正确的。第一步是计算2015 - 2017年的每股剩余收益:

第二步是计算终值的现值:

PV of Terminal Value =1.88/(1+0.08-0.85)(1.08)2=7

那么每股的内在价值就是: V0=5+1.6/(1.080)+1.74/(1.08)2+7=14.97

这道题多少出的不是很严谨啊,17年的expected ROE其实是可以算出来的,并不等于34%,ROE2017=2.45/(5+2-1.2+2.2-0.9+2.45-1.11)=29%,和题目不符?

题目的解法确实和老李上课讲的不同,因为题目认为从17年一开始就进入了ROE慢慢降低到cost of equity的阶段了,所以解答中用的是前两年的IR折现,terminal用的是RI2017/(r-w+1),而助教在解答中其实还是按照前三年的RI折现,然后17年结束后进入了ROE慢慢降低的过程,用了RI2017*w/(r-w+1),我觉着考试的话应该是按照题目解答的方法来做吧?

1 个答案

Debrah_品职答疑助手 · 2020年09月22日

同学你好,助教的回答就是题目中的做法啊。多阶段的RI公式,就是要分别计算高速增长阶段和剩余阶段的现值然后加总。

你看到2015年到2017年的RI逐年下降是根据clean surplus relation来计算出来的,Bt=Bt-1+E-D,这属于第一阶段。题目中明确写了ROE will slowly decline towards the cost of equity thereafter,就是指ROE从2017年之后才开始下降。所以需要按照公式,计算PVRI2016=RI2017*w/(1+r-w)再折现到0时刻,这属于第二阶段。

建议你再听一下李老师基础班的对例题的讲解。

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