问题如下:
TMT Industries, a privately owned US company that may initiate a public stock offering. Steve decides to adapt CAPM to estimate the required return on equity for TMT Industries. Steve identifies a publicly traded peer company with an estimated beta of 1.23 that is much larger but otherwise similar to TMT Industries by using the Global Industry Classification Standard. TMT Industries is funded 76% by debt while the publicly traded peer company is funded 35% by debt. Assume that the marginal rate of tax is 20%. The estimate of beta for TMT Industries is closest to:
选项:
A. 3.04
B. 1.23
C. 1.79
解释:
A is correct.
考点:Estimating Beta For Nonpublic Companies
解析:A是正确的。评估非上市公司贝塔系数的步骤如下:
第1步选择可比公司
第2步估计可比公司资产贝塔
第3步Un-lever可比公司资产贝塔
第4步对贝塔加杠杆,来反映目标公司的财务杠杆
可比公司数据的beta值为1.23。接下来,这个beta需要被Un-lever,计算如下:
βu=[1/1+(1-0.2)(0.35/0.65) ]*(1.23)
βu=0.8596
接下来,这个beta需要被加杠杆(加的是TMT Industries的杠杆),计算如下:
β'E=[1+(1-0.2)(0.76/0.24) ]*(0.8596) =3.037
这个D/E 乘以税盾是怎么理解的啊?