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海伦岛主 · 2020年11月25日

问一道题：NO.PZ201512300100001305

  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.

老师，我不太明白statement 1错在哪里，看了之前的回答，感觉自己对这个statement的理解和其他同学不太一样。可否具体说说？

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1 个答案

maggie_品职助教 · 2020年11月26日

嗨，从没放弃的小努力你好：


statement 1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。

 


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