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PaisleyPPx · 2021年07月11日

老师

  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 为什么不能用WACC去估计r 第二个statement错在哪？

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1 个答案

韩韩_品职助教 · 2021年07月13日

嗨，从没放弃的小努力你好：


同学你好：


在折现估值时，我们多次讲到一个原则就是“match”，要匹配，折现的现金流要和折现率匹配起来。我们现在要折现的现金流是Thunder的（被收购公司的）FCFF，因此对应反映其风险的折现率应该是能反映Thunder公司风险的折现率，应该用这个公司的WACC，而不是用这个投资机构的WACC。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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2023-02-08 15:06 1 · 回答

NO.PZ201512300100001305 您好，请问下statement2错在哪里，thunr不是卖出方么，所以，WACC反应了自由现金流的risk才对

2021-12-10 13:36 1 · 回答