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兔小兔 · 2021年12月24日

Starting in Year 4, Castovan forecasts TTCI’s ROE to revert to the constant long-term ROE of 12% annually.

  1. CFA II
  2. Equity

* 问题详情，请 查看题干

NO.PZ201710200100000408

问题如下：

8. Based on Exhibits 2 and 3 and the multistage RI model, Castovan should estimate the intrinsic value of TTCI to be closest to:

选项：

A.

€54.88.

B.

€83.01.

C.

€85.71.

解释：

C is correct.

Residual income per share for the next three years is calculated as follows.

Because Castovan forecasts that residual income per share will be constant into perpetuity, equal to Year 3 residual income per share, the present value of the terminal value is calculated using a persistence factor of 1.

Present value of terminal value = 8.54−(0.087×58.25)(1+0.087−1)(1+0.087)2\frac{8.54-(0.087\times58.25)}{(1+0.087-1)(1+0.087)^2}

= 3.47(0.087)(1.087)2\frac{3.47}{ ( 0.087 ) ( 1.087 ) ^2} =33.78

So, the intrinsic value of TTCI is then calculated as follows.

V0=45.25+3.881.087+3.68/(1.087)2+33.78\frac{45.25+3.88}{1.087+3.68/(1.087)^2+33.78}=85.71

不是应该计算PVri3么

韩韩_品职助教 · 5 个月前

嗨，爱思考的PZer你好：


同学你好：


答案的公式显示有点问题，本来是全部合并在一起了，我们分开来写一下，我们这是一个两阶段的RI估值模型，第一阶段是前2年，前2年的RI计算上，答案的表格中已经展示的很清楚了，我们就直接采用了：RI1=3.88，RI2=3.68；而从第三年开始，RI3=3.47，恒定了，w=1，所以根据公式：PVRI3=（RI*w）/（1+r-w）=3.47*1/(1+0.087-1)=39.89，但记住，这是第二年末这个时间点的终值，到时候还要在折现到估值的0时刻。

现在根据股指公式V=B0+PVRI1+PVRI2+PVTV=45.25+3.88/(1+8.7%)+3.68/(1+8.7%)^2+39.89/(1+8.7%)^2=85.7

关键是画图，找好两阶段的分界点，看到底折到哪一时刻；



1.为什么 求V的时候 RI3不用在折现了？


2.老师能不能画图 看看我错在哪里？




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1 个答案

王园圆_品职助教 · 2021年12月25日

嗨，从没放弃的小努力你好：


同学你好，本题确实你指出的这句英文会让考生容易产生误解。可是就在“Starting in Year 4, Castovan forecasts TTCI’s ROE to revert to the constant long-term ROE of 12% annually.

”这句话之后的一句话，才是本题真正解题的关键——是说从第3年开始，RI就进入永续不变阶段了。再回过头来理解这句你指出得英文，其实它得意思是，从第4年得年初开始（而非年末）进入RI永续不变阶段

所以相当于我们通过表格计算出RI3以后，就不再需要计算RI4了。这里是直接运用公式PVRI=RI3/r来计算终值的，所以1.RI3是进行过折现了的哦~~

2.你的问题就是题意没理解清楚，不是画图错误哦~~



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NO.PZ201710200100000408问题如下8. Baseon Exhibits 2 an3 anthe multistage RI mol, Castovshoulestimate the intrinsic value of TTto closest to:A.€54.88.B.€83.01.C.€85.71. C is correct.Resiincome per share for the next three years is calculatefollows.Because Castovforecasts thresiincome per share will constant into perpetuity, equto Ye3 resiincome per share, the present value of the terminvalue is calculateusing a persistenfactor of 1.Present value of terminvalue = 8.54−(0.087×58.25)(1+0.087−1)(1+0.087)2\frac{8.54-(0.087\times58.25)}{(1+0.087-1)(1+0.087)^2}(1+0.087−1)(1+0.087)28.54−(0.087×58.25)​= 3.47(0.087)(1.087)2\frac{3.47}{ ( 0.087 ) ( 1.087 ) ^2}(0.087)(1.087)23.47​ =33.78 So, the intrinsic value of TTis then calculatefollows.V0=\frac{45.25+3.88/1.087+3.68/(1.087)^2+33.78}=85.71 没搞明白为什么单阶段模型里的PVRI可以用（ROE-r)*B0/(r-g)来计算，这道题多阶段模型的后面说了ROE=12%不变，r=8.7%不变，g也不变，为什么就不能用前面这个公式呢？

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2024-07-12 11:41 1 · 回答

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