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丁洁Amy · 2021年06月14日

关于RI2015的求解

  1. CFA II
  2. Equity

* 问题详情，请 查看题干

NO.PZ201512300100001207

问题如下：

7. Under Scenario 1, the intrinsic value per share of the equity of Amersheen is closest to:

选项：

A.

R13.29.

B.

R15.57.

C.

R16.31.

解释：

As the multistage residual income model results in an intrinsic value of R16.31.

This variation of the multistage residual income model, in which residual income fades over time, is:

where  is the persistence factor.

The first step is to calculate residual income per share for years 2012 2015:

ROE = earnings / book value

Growth rate = ROE × retention rate

Retention rate = 1  (dividends/earnings)

Book valuet= book valuet 1 + earningst 1  dividendst 1

Residual income per share = EPS  equity charge per share

Equity charge per share = book value per sharet× cost of equity

Using the residual income per share for 2015 of R1.608, the second step is to calculate the present value of the terminal value:

PV of Terminal Value =

R1.6081+0.10-0.70(1.10)3=R3.0203

Then, intrinsic value per share is:

V0=R7.60+R2.52(1.10)+R2.31(1.10)2+R1.98(1.10)3+R3.0203=R16.31

老师好，


我去看了下原版书课后题的视频讲解，发现老师在求解RI2015的时候用的是((ROE-Re)*BV2014)/(Re-g)的公式来求的，可是这个公式不是适用于一阶段模型的吗？可以将一阶段模型的这个公式用于多阶段模型吗？我把视频截图放上来方便老师参考，黄色的地方就是课后题老师的讲解所用的公式。


谢谢老师。

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3 个答案

追风少年_ 品职助教 · 2021年08月30日

嗨，爱思考的PZer你好：


是的同学，ω=1+g，老师这里公式写错了

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努力的时光都是限量版，加油！

追风少年_ 品职助教 · 2021年06月21日

嗨，努力学习的PZer你好：


不是哒同学，这道题也算single stage，因为题目中说，从2015年开始，persistence factor=0.7，也就是g=-0.3这个速度下降，那么我们就能用公式RI/(1+r-ω)这个来算出2015年初或者2014年末的PV，然后和每一期的RI往前折现就行啦

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努力的时光都是限量版，加油！

追风少年_ 品职助教 · 2021年06月16日

嗨，爱思考的PZer你好：


同学，李老师用的RI2015=(ROE-Re)*BV2014，应该是这个公式，ω=1-g，也可以说，r-g=1+r-ω，所以同学要注意呀。


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加油吧，让我们一起遇见更好的自己！

丁洁Amy · 2021年06月17日

是的老师不好意思，我公式写错了，您说的对，是“RI2015=(ROE-Re)*BV2014”，可是这个公式(RI1=NI-re*B0)不是在single stage下才能用的吗？也可以用在多阶段模型下吗？

米妮涵 · 2021年08月20日

老师，应该W=1+g啊，您这里为什么写W=1-g

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