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FrankSun · 2021年09月19日

The peer firm’s beta is 0.8, 为啥不理解为peer form的asset beta是0.8？

  1. CFA II
  2. Equity

* 问题详情，请 查看题干

NO.PZ201512300100001501

问题如下：

Using Approach 1, LED Light’s estimated required rate of return is closest to:

选项：

A.

6.55%.

B.

7.06%.

C.

8.48%

解释：

B is correct. The required return for LED Light using Approach 1 (CAPM using the beta of a peer firm) is calculated as follows:

First, compute the unlevered beta from the peer firm beta:

βU=[11+((1−t)DE)]βE\beta_U=\left[\frac1{1+\left(\left(1-t\right){\displaystyle\frac DE}\right)}\right]\beta_E

βU=[11+((1−0.3)0.4)]0.8=[11+0.28]0.8=0.625\beta_U=\left[\frac1{1+\left(\left(1-0.3\right)0.4\right)}\right]0.8=\left[\frac1{1+0.28}\right]0.8=0.625

Second, compute the levered beta given the debt-to-equity of LED Light of 0.5:

lβE′=[1+(1−t)D′E′]βU{l}\beta'_E=\left[1+\left(1-t\right)\frac{D'}{E'}\right]\beta_U\\

lβE′=[1+((1−0.3)0.5)]0.625=0.84375{l}\beta'_E=\left[1+\left(\left(1-0.3\right)0.5\right)\right]0.625=0.84375\\

Finally, compute the required return with the levered beta:

Required rate of return = Current expected risk − free return + βi (Equity risk premium)

Required rate of return = 0.02 + 0.84375 (0.06) = 0.070625 ≈ 7.06%


 The peer firm’s beta is 0.8, 为啥不理解为peer form的asset beta是0.8？

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1 个答案

王园圆_品职助教 · 2021年09月20日

嗨，爱思考的PZer你好：


同学你好，一般我们在实操中，能够看到的β都是equity 的贝塔哦~~这个考题也是和实际相联系的。除非题目特意强调是公司asset的贝塔，否则都是equity的贝塔哦~~

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NO.PZ201512300100001501 问题如下 Using Approa1, LELight’s estimaterequirerate of return is closest to: A.6.55%. B.7.06%. 8.48% B is correct. The requirereturn for LELight using Approa1 (CAPM using the beta of a peer firm) is calculatefollows:First, compute the unleverebeta from the peer firm beta:βU=[11+((1−t))]βE\beta_U=\left[\frac1{1+\left(\left(1-t\right){\splaystyle\fr}\right)}\right]\beta_EβU​=⎣⎢⎢⎢⎡​1+((1−t)E)1​⎦⎥⎥⎥⎤​βE​βU=[11+((1−0.3)0.4)]0.8=[11+0.28]0.8=0.625\beta_U=\left[\frac1{1+\left(\left(1-0.3\right)0.4\right)}\right]0.8=\left[\frac1{1+0.28}\right]0.8=0.625βU​=[1+((1−0.3)0.4)1​]0.8=[1+0.281​]0.8=0.625Secon compute the leverebeta given the bt-to-equity of LELight of 0.5:lβE′=[1+(1−t)E′]βU{l}\beta'_E=\left[1+\left(1-t\right)\frac{#x27;}{E'}\right]\beta_U\\lβE′​=[1+(1−t)E′​]βU​lβE′=[1+((1−0.3)0.5)]0.625=0.84375{l}\beta'_E=\left[1+\left(\left(1-0.3\right)0.5\right)\right]0.625=0.84375\\lβE′​=[1+((1−0.3)0.5)]0.625=0.84375Finally, compute the requirereturn with the leverebeta:Requirerate of return = Current expecterisk − free return + βi (Equity risk premium)Requirerate of return = 0.02 + 0.84375 (0.06) = 0.070625 ≈ 7.06% 上课时候说2级beta计算不考虑tax，为啥这道题计算还考虑tax？？

2022-08-26 11:24 1 · 回答

NO.PZ201512300100001501 问题如下 Using Approa1, LELight’s estimaterequirerate of return is closest to: A.6.55%. B.7.06%. 8.48% B is correct. The requirereturn for LELight using Approa1 (CAPM using the beta of a peer firm) is calculatefollows:First, compute the unleverebeta from the peer firm beta:βU=[11+((1−t))]βE\beta_U=\left[\frac1{1+\left(\left(1-t\right){\splaystyle\fr}\right)}\right]\beta_EβU​=⎣⎢⎢⎢⎡​1+((1−t)E)1​⎦⎥⎥⎥⎤​βE​βU=[11+((1−0.3)0.4)]0.8=[11+0.28]0.8=0.625\beta_U=\left[\frac1{1+\left(\left(1-0.3\right)0.4\right)}\right]0.8=\left[\frac1{1+0.28}\right]0.8=0.625βU​=[1+((1−0.3)0.4)1​]0.8=[1+0.281​]0.8=0.625Secon compute the leverebeta given the bt-to-equity of LELight of 0.5:lβE′=[1+(1−t)E′]βU{l}\beta'_E=\left[1+\left(1-t\right)\frac{#x27;}{E'}\right]\beta_U\\lβE′​=[1+(1−t)E′​]βU​lβE′=[1+((1−0.3)0.5)]0.625=0.84375{l}\beta'_E=\left[1+\left(\left(1-0.3\right)0.5\right)\right]0.625=0.84375\\lβE′​=[1+((1−0.3)0.5)]0.625=0.84375Finally, compute the requirereturn with the leverebeta:Requirerate of return = Current expecterisk − free return + βi (Equity risk premium)Requirerate of return = 0.02 + 0.84375 (0.06) = 0.070625 ≈ 7.06% 这题可以用李老师的方法求一下βec吗？请给出过程，感谢。

2022-06-02 13:20 2 · 回答