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丁洁Amy · 2021年06月24日

关于statement 1

  1. CFA II
  2. Equity

* 问题详情，请 查看题干

NO.PZ201512300100001305

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.

老师好，


虽然operations and revenue是和上市公司相似的，但是流动性还是不一样呀，所以我觉得加一个风险补偿比较合理。

请老师帮忙解答下，谢谢老师。

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1 个答案

韩韩_品职助教 · 2021年06月26日

嗨，爱思考的PZer你好：


同学你好，这道题的题干有一个关键词“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。这里的premium是small stock premium主要指的是size规模的溢价，并不是liquidity。他们两者说的内容是不一样的。

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