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youtkr · 2022年08月30日

如果有liability要减去吗

  1. CFA II
  2. Equity

* 问题详情，请 查看题干

NO.PZ201809170300000206

问题如下：

Gurmeet Singh, an equity portfolio manager at a wealth management company, meets with junior research analyst Cindy Ho to discuss potential investments in three companies: Sienna Limited, Colanari Manufacturing, and Bern Pharmaceutical.

Singh and Ho review key financial data from Sienna’s most recent annual report, which are presented in Exhibits 1 and 2, to assess the company’s ability to generate free cash flow.

Exhibit 1: Selected Data from Sienna Limited’s Statement of Income for the Year Ended 31 December 2016 (Amounts in Millions of Euros)

Exhibit 2: Sienna Limited’s Statement of Cash Flows for the Year Ended 31 December 2016 (Amounts in Millions of Euros)

Singh and Ho also discuss the impact of dividends, share repurchases, and leverage on Sienna’s free cash flow. Ho tells Singh the following:

Statement 1 Changes in leverage do not impact free cash flow to equity.

Statement 2 Transactions between the company and its shareholders, such as the payment of dividends or share repurchases, do affect free cash flow.

Singh and Ho next analyze Colanari. Last year, Colanari had FCFF of € 140 million. Singh instructs Ho to perform a FCFF sensitivity analysis of Colanari’s firm value using the three sets of estimates presented in Exhibit 3. In her analysis, Ho assumes a tax rate of 35% and a stable capital structure of 30% debt and 70% equity.

Exhibit 3:. ₤ Sensitivity Analysis for Colanari Valuation

Finally, Singh and Ho analyze Bern. Selected financial information on Bern is presented in Exhibit 4.

Exhibit 4:. ₤ Selected Financial Data on Bern Pharmaceutical

Singh notes that Bern has two new drugs that are currently in clinical trials awaiting regulatory approval. In addition to its operating assets, Bern owns a parcel of land from a decommissioned manufacturing facility with a current market value of € 50 million that is being held for investment. Singh and Ho elect to value Bern under two scenarios:

Scenario 1 Value Bern assuming the two new drugs receive regulatory approval. In this scenario, FCFF is forecast to grow at 4.5% into perpetuity.

Scenario 2 Value Bern assuming the two new drugs do not receive regulatory approval. In this scenario, FCFF is forecast using a stable growth in FCFF of 1.5% for the next three years and then 0.75% thereafter into perpetuity.


Based on Exhibit 4, Singh and Ho should conclude that under Scenario 2, shares of Bern are:

选项：

A.

undervalued.

B.

fairly valued.

C.

overvalued.

解释：

A is correct. The total market value of the firm is the sum of the debt, preferred stock, and common stock market values: 15,400 + 4,000 + 18,100 = 37,500 million.

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

= [(15,400/37,500)(0.060)(1 – 0.269] + (4,000/37,500)(0.055) + (18,100/37,500)(0.11) = 7.70%.

Under the assumption that Bern has a low growth rate because it did not receive regulatory approval for its new drugs, the value of Bern can be analyzed using a two-stage valuation model.

Company value =

The terminal value at the end of Year 3 is TV3 = FCFF4/(WACC – g4).

TV3 = 3,398.66/(0.0770 – 0.0075) = €48,901.58 million.

The total value of operating assets = (3,040.37 + 2,865.42 + 2,700.53) + 48,901.58/(1 + 0.0770)3 = 8,606.32 + 39,144.95 = 47,751.27

Value of Bern’s common stock = Value of operating assets + Value of non-operating assets – Market value of debt – Preferred stock = 47,751.27 + 50.00 – 15,400 – 4,000 = €28,401.27

Since the current market value of Bern’s common stock ( € 18,100 million) is less than the estimated value ( € 28,401.27 million), the shares are undervalued.

如题............

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1 个答案

王园圆_品职助教 · 2022年08月30日

嗨，努力学习的PZer你好：


同学你好，请看以下原版书截图，原版书上说的是firm value减去debt 的market value才得到common stock的价值，而没有说减去liabilities

说明这里考量的就是有息负债（debt)而不考虑无息负债(属于liabilities的一部分），所以题目如果给的条件不是的debt而是liabilities，就是题目出的不严谨了哦。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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NO.PZ201809170300000206问题如下 Based on Exhibit 4, Singh anHo shoulconclu thunr Scenario 2, shares of Bern are: unrvalue fairly value overvalue A is correct. The totmarket value of the firm is the sum of the bt, preferrestock, ancommon stomarket values: 15,400 + 4,000 + 18,100 = 37,500 million. WA= [w× r1 – Trate)] + (wp × rp) + (we × re). = [(15,400/37,500)(0.060)(1 – 0.269] + (4,000/37,500)(0.055) + (18,100/37,500)(0.11) = 7.70%. Unr the assumption thBern ha low growth rate because it not receive regulatory approvfor its new ugs, the value of Bern canalyzeusing a two-stage valuation mol. Company value = The terminvalue the enof Ye3 is TV3 = FCFF4/(WA – g4). TV3 = 3,398.66/(0.0770 – 0.0075) = €48,901.58 million. The totvalue of operating assets = (3,040.37 + 2,865.42 + 2,700.53) + 48,901.58/(1 + 0.0770)3 = 8,606.32 + 39,144.95 = 47,751.27 Value of Bern’s common sto= Value of operating assets + Value of non-operating assets – Market value of – Preferresto= 47,751.27 + 50.00 – 15,400 – 4,000 = €28,401.27 Sinthe current market value of Bern’s common sto( € 18,100 million) is less ththe estimatevalue ( €28,401.27 million), the shares are unrvalue 3266*1.015不是等于3314.99吗？怎么算出来的3274.39…我按了好几遍计算器了🥹

2024-04-27 18:51 1 · 回答

NO.PZ201809170300000206问题如下 Based on Exhibit 4, Singh anHo shoulconclu thunr Scenario 2, shares of Bern are: unrvalue fairly value overvalue A is correct. The totmarket value of the firm is the sum of the bt, preferrestock, ancommon stomarket values: 15,400 + 4,000 + 18,100 = 37,500 million. WA= [w× r1 – Trate)] + (wp × rp) + (we × re). = [(15,400/37,500)(0.060)(1 – 0.269] + (4,000/37,500)(0.055) + (18,100/37,500)(0.11) = 7.70%. Unr the assumption thBern ha low growth rate because it not receive regulatory approvfor its new ugs, the value of Bern canalyzeusing a two-stage valuation mol. Company value = The terminvalue the enof Ye3 is TV3 = FCFF4/(WA – g4). TV3 = 3,398.66/(0.0770 – 0.0075) = €48,901.58 million. The totvalue of operating assets = (3,040.37 + 2,865.42 + 2,700.53) + 48,901.58/(1 + 0.0770)3 = 8,606.32 + 39,144.95 = 47,751.27 Value of Bern’s common sto= Value of operating assets + Value of non-operating assets – Market value of – Preferresto= 47,751.27 + 50.00 – 15,400 – 4,000 = €28,401.27 Sinthe current market value of Bern’s common sto( € 18,100 million) is less ththe estimatevalue ( €28,401.27 million), the shares are unrvalue 情景1计算出来的价值没有包括企业非经营资产50，那我们要加上去才是企业完整价值。同样的用情景二，我们计算出来的企业价值应该也是没有包含50呀。所以我们在倒算普通股的估值时候，为什么又要减去50呢？这不是多减了吗？

2022-08-28 16:15 5 · 回答

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2020-10-26 19:09 1 · 回答

Baseon Exhibit 4, Singh anHo shoulconclu thunr Scenario 2, shares of Bern are: unrvalue fairly value overvalue A is correct. The totmarket value of the firm is the sum of the bt, preferrestock, ancommon stomarket values: 15,400 + 4,000 + 18,100 = 37,500 million. WA= [w× r1 – Trate)] + (wp × rp) + (we × re). = [(15,400/37,500)(0.060)(1 – 0.269] + (4,000/37,500)(0.055) + (18,100/37,500)(0.11) = 7.70%. Unr the assumption thBern ha low growth rate because it not receive regulatory approvfor its new ugs, the value of Bern canalyzeusing a two-stage valuation mol. Company value = The terminvalue the enof Ye3 is TV3 = FCFF4/(WA– g4). TV3 = 3,398.66/(0.0770 – 0.0075) = €48,901.58 million. The totvalue of operating assets = (3,040.37 + 2,865.42 + 2,700.53) + 48,901.58/(1 + 0.0770)3 = 8,606.32 + 39,144.95 = 47,751.27 Value of Bern’s common sto= Value of operating assets + Value of non-operating assets – Market value of – Preferresto= 47,751.27 + 50.00 – 15,400 – 4,000 = €28,401.27 Sinthe current market value of Bern’s common sto( € 18,100 million) is less ththe estimatevalue ( €28,401.27 million), the shares are unrvalue 这道题不太严谨啊，本来就是问common stock是被低估还是被高估，但是在求WACC的时候用了市场现在的信息，那不就默认现在common stock的price是合理定价的吗？或者说与分析师认为的是一致的。我觉着WACC应该用分析师自己建模得出来的信息来得出，再去求value of common stock，然后与priof common stock去对比。

2020-09-07 16:13 1 · 回答