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Pina · 2021年11月23日

结论

  1. CFA II
  2. Equity

* 问题详情，请 查看题干

NO.PZ201809170300000204

问题如下：

Based on Exhibit 3, Ho’s FCFF sensitivity analysis should conclude that Colanari’s value is most sensitive to the:

选项：

A.

FCFF growth rate.

B.

before-tax cost of debt.

C.

required rate of return for equity.

解释：

C is correct. Colanari’s valuation is most sensitive to the cost of equity (re) because the range of estimated values is larger than the valuation ranges estimated from the sensitivity analysis of both the FCFF growth rate (GFCFF) and the before-tax cost of debt (rd).

WACC = [wd × rd(1 –  Tax rate)] + (we × re).

Firm value = FCFF0(1 + g)/(WACC –  g).

Cost of equity sensitivity

Using the base case estimates for the FCFF growth rate and the before-tax cost of debt and using the low estimate for the cost of equity (re) of 10.0%, the valuation estimate is

WACC = [(0.30)(0.049)(1 –  0.35)] + (0.70)(0.10) = 7.96%.

Firm value = 140 million(1 + 0.046)/(0.0796 –  0.046) = € 4,364.18 million.

Using the base case estimates for the FCFF growth rate and the before-tax cost of debt and using the high estimate for the cost of equity (re) of 12.0%, the valuation estimate is

WACC = [(0.30)(0.049)(1 –  0.35)] + (0.70)(0.120) = 9.36%.

Firm value = 140 million(1 + 0.046)/(0.0936 –  0.046) = € 3,079.38 million.

Therefore, the range in valuation estimates from using the highest and lowest estimates of the cost of equity is € 1,284.80 million.

FCFF growth rate sensitivity

Using the base case estimates for the cost of equity and the before-tax cost of debt and using the low estimate for the FCFF growth rate (GFCFF) of 4.2%, the valuation estimate is

WACC = [(0.30)(0.049)(1 –  0.35)] + (0.70)(0.11) = 8.66%.

Firm value = 140 million(1 + 0.042)/(0.0866 –  0.042) = € 3,274.16 million.

Using the base case estimates for the cost of equity and the before-tax cost of debt and using the high estimate for the FCFF growth rate (GFCFF) of 5.0%, the valuation estimate is

WACC = [(0.30)(0.049)(1 –  0.35)] + (0.70)(0.11) = 8.66%.

Firm value = 140 million(1 + 0.05)/(0.0866 –  0.05) = € 4,021.34 million.

Therefore, the range in valuation estimates from using the highest and lowest estimates of the FCFF growth rate is € 747.18 million.

Before-tax cost of debt sensitivity

Using the base case estimates for the FCFF growth rate and the cost of equity and using the low estimate for the beforetax cost of debt (rd) of 3.9%, the valuation estimate is

WACC = [(0.30)(0.039)(1 –  0.35)] + (0.70)(0.11) = 8.46%.

Firm value = 140 million(1 + 0.046)/(0.0846 –  0.046) = € 3,793.29 million.

Using the base case estimates for the FCFF growth rate and the cost of equity and using the high estimate for the before-tax cost of debt (rd) of 5.9%, the valuation estimate is

WACC = [(0.30)(0.059)(1 –  0.35)] + (0.70)(0.11) = 8.85%.

Firm value = 140 million(1 + 0.046)/(0.0885 –  0.046) = € 3,445.24 million.

Therefore, the range in valuation estimates from using the highest and lowest estimates of the before-tax cost of debt is € 348.05 million.

老师好，这个能当结论记住吗？谢谢

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已采纳答案

王园圆_品职助教 · 2021年11月23日

嗨，爱思考的PZer你好：


同学你好，你是说在”计算firm value的时候，永远都是WACC对于FCFF的计算影响最大“是一个结论吗？？

不对哦~~这不是结论，题目给出不同的capital structure，不同的税率，不同的re/rd/g都是会有不同的结论的~~一定要计算才能选答案哦~~

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NO.PZ201809170300000204 Baseon Exhibit 3, Ho’s FCFF sensitivity analysis shoulconclu thColanari’s value is most sensitive to the: FCFF growth rate. before-tcost of bt. requirerate of return for equity. C is correct. Colanari’s valuation is most sensitive to the cost of equity (re) because the range of estimatevalues is larger ththe valuation ranges estimatefrom the sensitivity analysis of both the FCFF growth rate (GFCFF) anthe before-tcost of (r. WA= [w× r1 –  Trate)] + (we × re). Firm value = FCFF0(1 + g)/(WA–  g). Cost of equity sensitivity Using the base case estimates for the FCFF growth rate anthe before-tcost of anusing the low estimate for the cost of equity (re) of 10.0%, the valuation estimate is WA= [(0.30)(0.049)(1 –  0.35)] + (0.70)(0.10) = 7.96%. Firm value = 140 million(1 + 0.046)/(0.0796 –  0.046) = € 4,364.18 million. Using the base case estimates for the FCFF growth rate anthe before-tcost of anusing the high estimate for the cost of equity (re) of 12.0%, the valuation estimate is WA= [(0.30)(0.049)(1 –  0.35)] + (0.70)(0.120) = 9.36%. Firm value = 140 million(1 + 0.046)/(0.0936 –  0.046) = € 3,079.38 million. Therefore, the range in valuation estimates from using the highest anlowest estimates of the cost of equity is € 1,284.80 million. FCFF growth rate sensitivity Using the base case estimates for the cost of equity anthe before-tcost of anusing the low estimate for the FCFF growth rate (GFCFF) of 4.2%, the valuation estimate is WA= [(0.30)(0.049)(1 –  0.35)] + (0.70)(0.11) = 8.66%. Firm value = 140 million(1 + 0.042)/(0.0866 –  0.042) = € 3,274.16 million. Using the base case estimates for the cost of equity anthe before-tcost of anusing the high estimate for the FCFF growth rate (GFCFF) of 5.0%, the valuation estimate is WA= [(0.30)(0.049)(1 –  0.35)] + (0.70)(0.11) = 8.66%. Firm value = 140 million(1 + 0.05)/(0.0866 –  0.05) = € 4,021.34 million. Therefore, the range in valuation estimates from using the highest anlowest estimates of the FCFF growth rate is € 747.18 million. Before-tcost of sensitivity Using the base case estimates for the FCFF growth rate anthe cost of equity anusing the low estimate for the beforetcost of (r of 3.9%, the valuation estimate is WA= [(0.30)(0.039)(1 –  0.35)] + (0.70)(0.11) = 8.46%. Firm value = 140 million(1 + 0.046)/(0.0846 –  0.046) = € 3,793.29 million. Using the base case estimates for the FCFF growth rate anthe cost of equity anusing the high estimate for the before-tcost of (r of 5.9%, the valuation estimate is WA= [(0.30)(0.059)(1 –  0.35)] + (0.70)(0.11) = 8.85%. Firm value = 140 million(1 + 0.046)/(0.0885 –  0.046) = € 3,445.24 million. Therefore, the range in valuation estimates from using the highest anlowest estimates of the before-tcost of is € 348.05 million. 这道题目不能简化求解吗？可以概括为一个规律吗？ 还是一定要每次都针对题目的实际情况求解

2021-04-08 06:33 1 · 回答

Baseon Exhibit 3, Ho’s FCFF sensitivity analysis shoulconclu thColanari’s value is most sensitive to the: FCFF growth rate. before-tcost of bt. requirerate of return for equity. C is correct. Colanari’s valuation is most sensitive to the cost of equity (re) because the range of estimatevalues is larger ththe valuation ranges estimatefrom the sensitivity analysis of both the FCFF growth rate (GFCFF) anthe before-tcost of (r. WA= [w× r1 –  Trate)] + (we × re). Firm value = FCFF0(1 + g)/(WA–  g). Cost of equity sensitivity Using the base case estimates for the FCFF growth rate anthe before-tcost of anusing the low estimate for the cost of equity (re) of 10.0%, the valuation estimate is WA= [(0.30)(0.049)(1 –  0.35)] + (0.70)(0.10) = 7.96%. Firm value = 140 million(1 + 0.046)/(0.0796 –  0.046) = € 4,364.18 million. Using the base case estimates for the FCFF growth rate anthe before-tcost of anusing the high estimate for the cost of equity (re) of 12.0%, the valuation estimate is WA= [(0.30)(0.049)(1 –  0.35)] + (0.70)(0.120) = 9.36%. Firm value = 140 million(1 + 0.046)/(0.0936 –  0.046) = € 3,079.38 million. Therefore, the range in valuation estimates from using the highest anlowest estimates of the cost of equity is € 1,284.80 million. FCFF growth rate sensitivity Using the base case estimates for the cost of equity anthe before-tcost of anusing the low estimate for the FCFF growth rate (GFCFF) of 4.2%, the valuation estimate is WA= [(0.30)(0.049)(1 –  0.35)] + (0.70)(0.11) = 8.66%. Firm value = 140 million(1 + 0.042)/(0.0866 –  0.042) = € 3,274.16 million. Using the base case estimates for the cost of equity anthe before-tcost of anusing the high estimate for the FCFF growth rate (GFCFF) of 5.0%, the valuation estimate is WA= [(0.30)(0.049)(1 –  0.35)] + (0.70)(0.11) = 8.66%. Firm value = 140 million(1 + 0.05)/(0.0866 –  0.05) = € 4,021.34 million. Therefore, the range in valuation estimates from using the highest anlowest estimates of the FCFF growth rate is € 747.18 million. Before-tcost of sensitivity Using the base case estimates for the FCFF growth rate anthe cost of equity anusing the low estimate for the beforetcost of (r of 3.9%, the valuation estimate is WA= [(0.30)(0.039)(1 –  0.35)] + (0.70)(0.11) = 8.46%. Firm value = 140 million(1 + 0.046)/(0.0846 –  0.046) = € 3,793.29 million. Using the base case estimates for the FCFF growth rate anthe cost of equity anusing the high estimate for the before-tcost of (r of 5.9%, the valuation estimate is WA= [(0.30)(0.059)(1 –  0.35)] + (0.70)(0.11) = 8.85%. Firm value = 140 million(1 + 0.046)/(0.0885 –  0.046) = € 3,445.24 million. Therefore, the range in valuation estimates from using the highest anlowest estimates of the before-tcost of is € 348.05 million. 敏感性分析怎么能那最终结果的变化做为衡量标准呢？变量变化同样的百分比，看因变量的变化百分比，这才对吧。

2020-10-18 21:46 1 · 回答

老师，这题我完整的算了一遍，这题答案的计算结果均有偏差，您看是不是有问题？

2020-03-29 21:32 1 · 回答

Baseon Exhibit 3, Ho’s FCFF sensitivity analysis shoulconclu thColanari’s value is most sensitive to the: FCFF growth rate. before-tcost of bt. requirerate of return for equity. C is correct. Colanari’s valuation is most sensitive to the cost of equity (re) because the range of estimatevalues is larger ththe valuation ranges estimatefrom the sensitivity analysis of both the FCFF growth rate (GFCFF) anthe before-tcost of (r. WA= [w× r1 –  Trate)] + (we × re). Firm value = FCFF0(1 + g)/(WA–  g). Cost of equity sensitivity Using the base case estimates for the FCFF growth rate anthe before-tcost of anusing the low estimate for the cost of equity (re) of 10.0%, the valuation estimate is WA= [(0.30)(0.049)(1 –  0.35)] + (0.70)(0.10) = 7.96%. Firm value = 140 million(1 + 0.046)/(0.0796 –  0.046) = € 4,364.18 million. Using the base case estimates for the FCFF growth rate anthe before-tcost of anusing the high estimate for the cost of equity (re) of 12.0%, the valuation estimate is WA= [(0.30)(0.049)(1 –  0.35)] + (0.70)(0.120) = 9.36%. Firm value = 140 million(1 + 0.046)/(0.0936 –  0.046) = € 3,079.38 million. Therefore, the range in valuation estimates from using the highest anlowest estimates of the cost of equity is € 1,284.80 million. FCFF growth rate sensitivity Using the base case estimates for the cost of equity anthe before-tcost of anusing the low estimate for the FCFF growth rate (GFCFF) of 4.2%, the valuation estimate is WA= [(0.30)(0.049)(1 –  0.35)] + (0.70)(0.11) = 8.66%. Firm value = 140 million(1 + 0.042)/(0.0866 –  0.042) = € 3,274.16 million. Using the base case estimates for the cost of equity anthe before-tcost of anusing the high estimate for the FCFF growth rate (GFCFF) of 5.0%, the valuation estimate is WA= [(0.30)(0.049)(1 –  0.35)] + (0.70)(0.11) = 8.66%. Firm value = 140 million(1 + 0.05)/(0.0866 –  0.05) = € 4,021.34 million. Therefore, the range in valuation estimates from using the highest anlowest estimates of the FCFF growth rate is € 747.18 million. Before-tcost of sensitivity Using the base case estimates for the FCFF growth rate anthe cost of equity anusing the low estimate for the beforetcost of (r of 3.9%, the valuation estimate is WA= [(0.30)(0.039)(1 –  0.35)] + (0.70)(0.11) = 8.46%. Firm value = 140 million(1 + 0.046)/(0.0846 –  0.046) = € 3,793.29 million. Using the base case estimates for the FCFF growth rate anthe cost of equity anusing the high estimate for the before-tcost of (r of 5.9%, the valuation estimate is WA= [(0.30)(0.059)(1 –  0.35)] + (0.70)(0.11) = 8.85%. Firm value = 140 million(1 + 0.046)/(0.0885 –  0.046) = € 3,445.24 million. Therefore, the range in valuation estimates from using the highest anlowest estimates of the before-tcost of is € 348.05 million. 为什么要用Base rate和High estimate计算呢？

2020-01-29 11:15 1 · 回答