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sjtu_wangkai · 2020年10月18日

问一道题：NO.PZ201809170300000204

  1. CFA II
  2. Equity

* 问题详情，请 查看题干

问题如下：

Based on Exhibit 3, Ho’s FCFF sensitivity analysis should conclude that Colanari’s value is most sensitive to the:

选项：

A.

FCFF growth rate.

B.

before-tax cost of debt.

C.

required rate of return for equity.

解释：

C is correct. Colanari’s valuation is most sensitive to the cost of equity (re) because the range of estimated values is larger than the valuation ranges estimated from the sensitivity analysis of both the FCFF growth rate (GFCFF) and the before-tax cost of debt (rd).

WACC = [wd × rd(1 –  Tax rate)] + (we × re).

Firm value = FCFF0(1 + g)/(WACC –  g).

Cost of equity sensitivity

Using the base case estimates for the FCFF growth rate and the before-tax cost of debt and using the low estimate for the cost of equity (re) of 10.0%, the valuation estimate is

WACC = [(0.30)(0.049)(1 –  0.35)] + (0.70)(0.10) = 7.96%.

Firm value = 140 million(1 + 0.046)/(0.0796 –  0.046) = € 4,364.18 million.

Using the base case estimates for the FCFF growth rate and the before-tax cost of debt and using the high estimate for the cost of equity (re) of 12.0%, the valuation estimate is

WACC = [(0.30)(0.049)(1 –  0.35)] + (0.70)(0.120) = 9.36%.

Firm value = 140 million(1 + 0.046)/(0.0936 –  0.046) = € 3,079.38 million.

Therefore, the range in valuation estimates from using the highest and lowest estimates of the cost of equity is € 1,284.80 million.

FCFF growth rate sensitivity

Using the base case estimates for the cost of equity and the before-tax cost of debt and using the low estimate for the FCFF growth rate (GFCFF) of 4.2%, the valuation estimate is

WACC = [(0.30)(0.049)(1 –  0.35)] + (0.70)(0.11) = 8.66%.

Firm value = 140 million(1 + 0.042)/(0.0866 –  0.042) = € 3,274.16 million.

Using the base case estimates for the cost of equity and the before-tax cost of debt and using the high estimate for the FCFF growth rate (GFCFF) of 5.0%, the valuation estimate is

WACC = [(0.30)(0.049)(1 –  0.35)] + (0.70)(0.11) = 8.66%.

Firm value = 140 million(1 + 0.05)/(0.0866 –  0.05) = € 4,021.34 million.

Therefore, the range in valuation estimates from using the highest and lowest estimates of the FCFF growth rate is € 747.18 million.

Before-tax cost of debt sensitivity

Using the base case estimates for the FCFF growth rate and the cost of equity and using the low estimate for the beforetax cost of debt (rd) of 3.9%, the valuation estimate is

WACC = [(0.30)(0.039)(1 –  0.35)] + (0.70)(0.11) = 8.46%.

Firm value = 140 million(1 + 0.046)/(0.0846 –  0.046) = € 3,793.29 million.

Using the base case estimates for the FCFF growth rate and the cost of equity and using the high estimate for the before-tax cost of debt (rd) of 5.9%, the valuation estimate is

WACC = [(0.30)(0.059)(1 –  0.35)] + (0.70)(0.11) = 8.85%.

Firm value = 140 million(1 + 0.046)/(0.0885 –  0.046) = € 3,445.24 million.

Therefore, the range in valuation estimates from using the highest and lowest estimates of the before-tax cost of debt is € 348.05 million.

敏感性分析怎么能那最终结果的变化做为衡量标准呢？变量变化同样的百分比，看因变量的变化百分比，这才对吧。

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1 个答案

Debrah_品职答疑助手 · 2020年10月19日

同学你好，这道题的考点是敏感性分析，我们想分析下改变任何一个变量对于最后的估值的影响（只改变其中一个变量，维持其它变量不变），哪个变量改变对于估值的影响最大，那么哪个因子就越敏感。譬如说我们在FCFE growth rate、Rd不变的情况下，带入Re的最高值和最低值，计算range。

这个李老师上基础课讲过的也有对应的例题（见讲义198页），请按照CFA教材的方法来解答，可以听一下李老师上课的讲解。

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NO.PZ201809170300000204 Baseon Exhibit 3, Ho’s FCFF sensitivity analysis shoulconclu thColanari’s value is most sensitive to the: FCFF growth rate. before-tcost of bt. requirerate of return for equity. C is correct. Colanari’s valuation is most sensitive to the cost of equity (re) because the range of estimatevalues is larger ththe valuation ranges estimatefrom the sensitivity analysis of both the FCFF growth rate (GFCFF) anthe before-tcost of (r. WA= [w× r1 –  Trate)] + (we × re). Firm value = FCFF0(1 + g)/(WA–  g). Cost of equity sensitivity Using the base case estimates for the FCFF growth rate anthe before-tcost of anusing the low estimate for the cost of equity (re) of 10.0%, the valuation estimate is WA= [(0.30)(0.049)(1 –  0.35)] + (0.70)(0.10) = 7.96%. Firm value = 140 million(1 + 0.046)/(0.0796 –  0.046) = € 4,364.18 million. Using the base case estimates for the FCFF growth rate anthe before-tcost of anusing the high estimate for the cost of equity (re) of 12.0%, the valuation estimate is WA= [(0.30)(0.049)(1 –  0.35)] + (0.70)(0.120) = 9.36%. Firm value = 140 million(1 + 0.046)/(0.0936 –  0.046) = € 3,079.38 million. Therefore, the range in valuation estimates from using the highest anlowest estimates of the cost of equity is € 1,284.80 million. FCFF growth rate sensitivity Using the base case estimates for the cost of equity anthe before-tcost of anusing the low estimate for the FCFF growth rate (GFCFF) of 4.2%, the valuation estimate is WA= [(0.30)(0.049)(1 –  0.35)] + (0.70)(0.11) = 8.66%. Firm value = 140 million(1 + 0.042)/(0.0866 –  0.042) = € 3,274.16 million. Using the base case estimates for the cost of equity anthe before-tcost of anusing the high estimate for the FCFF growth rate (GFCFF) of 5.0%, the valuation estimate is WA= [(0.30)(0.049)(1 –  0.35)] + (0.70)(0.11) = 8.66%. Firm value = 140 million(1 + 0.05)/(0.0866 –  0.05) = € 4,021.34 million. Therefore, the range in valuation estimates from using the highest anlowest estimates of the FCFF growth rate is € 747.18 million. Before-tcost of sensitivity Using the base case estimates for the FCFF growth rate anthe cost of equity anusing the low estimate for the beforetcost of (r of 3.9%, the valuation estimate is WA= [(0.30)(0.039)(1 –  0.35)] + (0.70)(0.11) = 8.46%. Firm value = 140 million(1 + 0.046)/(0.0846 –  0.046) = € 3,793.29 million. Using the base case estimates for the FCFF growth rate anthe cost of equity anusing the high estimate for the before-tcost of (r of 5.9%, the valuation estimate is WA= [(0.30)(0.059)(1 –  0.35)] + (0.70)(0.11) = 8.85%. Firm value = 140 million(1 + 0.046)/(0.0885 –  0.046) = € 3,445.24 million. Therefore, the range in valuation estimates from using the highest anlowest estimates of the before-tcost of is € 348.05 million. 老师好，这个能当结论记住吗？谢谢

2021-11-23 16:48 1 · 回答

NO.PZ201809170300000204 Baseon Exhibit 3, Ho’s FCFF sensitivity analysis shoulconclu thColanari’s value is most sensitive to the: FCFF growth rate. before-tcost of bt. requirerate of return for equity. C is correct. Colanari’s valuation is most sensitive to the cost of equity (re) because the range of estimatevalues is larger ththe valuation ranges estimatefrom the sensitivity analysis of both the FCFF growth rate (GFCFF) anthe before-tcost of (r. WA= [w× r1 –  Trate)] + (we × re). Firm value = FCFF0(1 + g)/(WA–  g). Cost of equity sensitivity Using the base case estimates for the FCFF growth rate anthe before-tcost of anusing the low estimate for the cost of equity (re) of 10.0%, the valuation estimate is WA= [(0.30)(0.049)(1 –  0.35)] + (0.70)(0.10) = 7.96%. Firm value = 140 million(1 + 0.046)/(0.0796 –  0.046) = € 4,364.18 million. Using the base case estimates for the FCFF growth rate anthe before-tcost of anusing the high estimate for the cost of equity (re) of 12.0%, the valuation estimate is WA= [(0.30)(0.049)(1 –  0.35)] + (0.70)(0.120) = 9.36%. Firm value = 140 million(1 + 0.046)/(0.0936 –  0.046) = € 3,079.38 million. Therefore, the range in valuation estimates from using the highest anlowest estimates of the cost of equity is € 1,284.80 million. FCFF growth rate sensitivity Using the base case estimates for the cost of equity anthe before-tcost of anusing the low estimate for the FCFF growth rate (GFCFF) of 4.2%, the valuation estimate is WA= [(0.30)(0.049)(1 –  0.35)] + (0.70)(0.11) = 8.66%. Firm value = 140 million(1 + 0.042)/(0.0866 –  0.042) = € 3,274.16 million. Using the base case estimates for the cost of equity anthe before-tcost of anusing the high estimate for the FCFF growth rate (GFCFF) of 5.0%, the valuation estimate is WA= [(0.30)(0.049)(1 –  0.35)] + (0.70)(0.11) = 8.66%. Firm value = 140 million(1 + 0.05)/(0.0866 –  0.05) = € 4,021.34 million. Therefore, the range in valuation estimates from using the highest anlowest estimates of the FCFF growth rate is € 747.18 million. Before-tcost of sensitivity Using the base case estimates for the FCFF growth rate anthe cost of equity anusing the low estimate for the beforetcost of (r of 3.9%, the valuation estimate is WA= [(0.30)(0.039)(1 –  0.35)] + (0.70)(0.11) = 8.46%. Firm value = 140 million(1 + 0.046)/(0.0846 –  0.046) = € 3,793.29 million. Using the base case estimates for the FCFF growth rate anthe cost of equity anusing the high estimate for the before-tcost of (r of 5.9%, the valuation estimate is WA= [(0.30)(0.059)(1 –  0.35)] + (0.70)(0.11) = 8.85%. Firm value = 140 million(1 + 0.046)/(0.0885 –  0.046) = € 3,445.24 million. Therefore, the range in valuation estimates from using the highest anlowest estimates of the before-tcost of is € 348.05 million. 这道题目不能简化求解吗？可以概括为一个规律吗？ 还是一定要每次都针对题目的实际情况求解

2021-04-08 06:33 1 · 回答

老师，这题我完整的算了一遍，这题答案的计算结果均有偏差，您看是不是有问题？

2020-03-29 21:32 1 · 回答

Baseon Exhibit 3, Ho’s FCFF sensitivity analysis shoulconclu thColanari’s value is most sensitive to the: FCFF growth rate. before-tcost of bt. requirerate of return for equity. C is correct. Colanari’s valuation is most sensitive to the cost of equity (re) because the range of estimatevalues is larger ththe valuation ranges estimatefrom the sensitivity analysis of both the FCFF growth rate (GFCFF) anthe before-tcost of (r. WA= [w× r1 –  Trate)] + (we × re). Firm value = FCFF0(1 + g)/(WA–  g). Cost of equity sensitivity Using the base case estimates for the FCFF growth rate anthe before-tcost of anusing the low estimate for the cost of equity (re) of 10.0%, the valuation estimate is WA= [(0.30)(0.049)(1 –  0.35)] + (0.70)(0.10) = 7.96%. Firm value = 140 million(1 + 0.046)/(0.0796 –  0.046) = € 4,364.18 million. Using the base case estimates for the FCFF growth rate anthe before-tcost of anusing the high estimate for the cost of equity (re) of 12.0%, the valuation estimate is WA= [(0.30)(0.049)(1 –  0.35)] + (0.70)(0.120) = 9.36%. Firm value = 140 million(1 + 0.046)/(0.0936 –  0.046) = € 3,079.38 million. Therefore, the range in valuation estimates from using the highest anlowest estimates of the cost of equity is € 1,284.80 million. FCFF growth rate sensitivity Using the base case estimates for the cost of equity anthe before-tcost of anusing the low estimate for the FCFF growth rate (GFCFF) of 4.2%, the valuation estimate is WA= [(0.30)(0.049)(1 –  0.35)] + (0.70)(0.11) = 8.66%. Firm value = 140 million(1 + 0.042)/(0.0866 –  0.042) = € 3,274.16 million. Using the base case estimates for the cost of equity anthe before-tcost of anusing the high estimate for the FCFF growth rate (GFCFF) of 5.0%, the valuation estimate is WA= [(0.30)(0.049)(1 –  0.35)] + (0.70)(0.11) = 8.66%. Firm value = 140 million(1 + 0.05)/(0.0866 –  0.05) = € 4,021.34 million. Therefore, the range in valuation estimates from using the highest anlowest estimates of the FCFF growth rate is € 747.18 million. Before-tcost of sensitivity Using the base case estimates for the FCFF growth rate anthe cost of equity anusing the low estimate for the beforetcost of (r of 3.9%, the valuation estimate is WA= [(0.30)(0.039)(1 –  0.35)] + (0.70)(0.11) = 8.46%. Firm value = 140 million(1 + 0.046)/(0.0846 –  0.046) = € 3,793.29 million. Using the base case estimates for the FCFF growth rate anthe cost of equity anusing the high estimate for the before-tcost of (r of 5.9%, the valuation estimate is WA= [(0.30)(0.059)(1 –  0.35)] + (0.70)(0.11) = 8.85%. Firm value = 140 million(1 + 0.046)/(0.0885 –  0.046) = € 3,445.24 million. Therefore, the range in valuation estimates from using the highest anlowest estimates of the before-tcost of is € 348.05 million. 为什么要用Base rate和High estimate计算呢？

2020-01-29 11:15 1 · 回答