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卓娅 · 2021年12月23日

Multi-stage Model

  1. CFA I
  2. Equity

NO.PZ2015122802000166

问题如下：

An analyst gathers or estimates the following information about a stock:

Based on a dividend discount model, the stock is most likely:

选项：

A.

undervalued.

B.

fairly valued.

C.

overvalued.

解释：

A is correct.

The current price of €22.56 is less than the intrinsic value (V0) of €24.64; therefore, the stock appears to be currently undervalued. According to the two-stage dividend discount model:

V0=∑t=1nD0(1+gs)t(1+r)t+Vn(1+r)nV_0=\sum_{t=1}^n\frac{{\displaystyle D_0(1+g_s)}^t}{{\displaystyle(1+r)}^t}+\frac{V_n}{{(1+r)}^n} and Vn=Dn+1r−gLV_n=\frac{D_{n+1}}{r-g_L}

Dn+1 = D0(1+gS)n(1+gL)

D1 = €1.60 × 1.09 = €1.744

D2 = €1.60 × (1.09)2 = €1.901

D3 = €1.60 × (1.09)3 = €2.072

D4 = €1.60 × (1.09)4 = €2.259

D5 = [€1.60 × (1.09)4](1.04) = €2.349

V4 = €2.349/(0.12 – 0.04) = €29.363

V0=1.744(1.12)1+1.901(1.12)2+2.072(1.12)3+2.259(1.12)4+29.363(1.12)4V_0=\frac{1.744}{{(1.12)}^1}+\frac{1.901}{{(1.12)}^2}+\frac{2.072}{{(1.12)}^3}+\frac{2.259}{{(1.12)}^4}+\frac{29.363}{{(1.12)}^4}

= 1.557+1.515+1.475+1.436+18.661

= €24.64(which is greater than the current price of €22.56)

考点：Multi-stage Model

计算器具体步奏如下：

CFO=0, C01=1.744,F01=1,C02=1.901,F02=1,C03=2.072,F03=1,C04=2.259+29.363,F04=1,NPV , I=12,CPT NPV

老师，最后第五年的计算不太明白，课堂上的也没听明白，能不能麻烦讲一下，谢谢！

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3 个答案

王园圆_品职助教 · 2022年05月31日

嗨，努力学习的PZer你好：


同学你好，你的提问在前一个问题中我已经回答了哦~~对于所有的Dividend和最后的终值进行折现到0时刻的计算时，都是使用的同一个require rate of return 来进行计算的，CFA历年来的例题中从来没有提供两个不同的require rate of return 的情况哦

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

王园圆_品职助教 · 2021年12月26日

嗨，爱思考的PZer你好：


同下你好， 图中红字部分同学是不理解吗？从第5年开始，公司进入永续增长阶段，也就是适用GGM模型来求所有的未来现金流的现值

所以这里P4的意思是等于未来第5年，第6年。。。。。。第n年的所有分红的折现到第4年年末的值。


同学如果还是不能理解这个公式，建议可以再复习一下基础班中老师关于DDM，GGM的这段讲解，可能对未来做题更有帮助哦~~

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

王园圆_品职助教 · 2021年12月23日

嗨，从没放弃的小努力你好：


同学你好，请看以下图

碰到这类题目一定要画图，通过画图可以理清思路哦~~

同学看下图中的解析是否清楚了，如果还有疑问，可以针对性的再提问哦~~

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

卓娅 · 2021年12月26日

老师，D5转换到P4这里不太明白，P4是第五年末转换到第四年末时刻的现值？公式明白，可为啥要走转换这一步呢？

blade8932 · 2022年05月31日

老师，李老师的讲解视频关于三阶段的情况，如果用计算器计算NPV的时候，那利率应该舒服那个阶段的利率，1阶段和2阶段的都不一样哦，谢谢！

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NO.PZ2015122802000166 问题如下 analyst gathers or estimates the following information about a stock:Baseon a vinscount mol, the stois most likely: A.unrvalue B.fairly value C.overvalue is correct.The current priof €22.56 is less ththe intrinsic value (V0) of €24.64; therefore, the stoappears to currently unrvalue Accorng to the two-stage vinscount mol:V0=∑t=1n(1+gs)t(1+r)t+Vn(1+r)nV_0=\sum_{t=1}^n\frac{{\splaystyle 0(1+g_s)}^t}{{\splaystyle(1+r)}^t}+\frac{V_n}{{(1+r)}^n}V0​=∑t=1n​(1+r)t​(1+gs​)t​+(1+r)nVn​​ anVn=+1r−gLV_n=\frac{{n+1}}{r-g_L}Vn​=r−gL​+1​​+1 = (1+gS)n(1+gL) = €1.60 × 1.09 = €1.744 = €1.60 × (1.09)2 = €1.901 = €1.60 × (1.09)3 = €2.072 = €1.60 × (1.09)4 = €2.259 = [€1.60 × (1.09)4](1.04) = €2.349V4 = €2.349/(0.12 – 0.04) = €29.363V0=1.744(1.12)1+1.901(1.12)2+2.072(1.12)3+2.259(1.12)4+29.363(1.12)4V_0=\frac{1.744}{{(1.12)}^1}+\frac{1.901}{{(1.12)}^2}+\frac{2.072}{{(1.12)}^3}+\frac{2.259}{{(1.12)}^4}+\frac{29.363}{{(1.12)}^4}V0​=(1.12)11.744​+(1.12)21.901​+(1.12)32.072​+(1.12)42.259​+(1.12)429.363​ = 1.557+1.515+1.475+1.436+18.661 = €24.64(whiis greater ththe current priof €22.56)考点Multi-stage Mol计算器具体步奏如下CFO=0, C01=1.744,F01=1,C02=1.901,F02=1,C03=2.072,F03=1,C04=2.259+29.363,F04=1,NPV , I=12,CPT NPV 此题V4是用什么公式算的？为什么不用讲义P495页求P的公式？求V4,我下方的算法有问题吗？这一类题的解题思路，李老师根本没讲清楚。

2024-08-10 18:02 1 · 回答

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2024-01-19 11:42 2 · 回答

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2023-03-28 23:40 1 · 回答

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