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黄路迦 · 2023年03月06日

如下

  1. CFA II
  2. Equity

NO.PZ2018103102000120

问题如下：

Matt is preparing to evaluate the value of Company M`s equity by using the two-stage FCFF model. The growth rates for the first three years are estimated at 5% and then it may grow at 2.5% per year into the indefinite future. The most recent FCFF is $2,000 million and the company is in the 30% tax bracket. The relevant information is shown in the following table. Determine whether the common stock is fairly valued, overvalued or undervalued?

选项：

A.

undervalued.

B.

overvalued.

C.

fairly valued.

解释：

A is correct.

考点：Valuation Models.

解析：先计算WACC = wd × rd × (1–T) + (wp × rp) + (we × re)

= (15,000/40,000)(0.06)(1– 0.3) + (5,000/40,000)(0.04) + (20,000/40,000)(0.1)

= 7.08%

PV3=FCFF3×(1+g)r−g=2000×1.053×(1+2.5%)7.08%−2.5%=51,815.09millionPV_3=\frac{FCFF_3\times\left(1+g\right)}{r-g}=\frac{2000\times1.05^3\times\left(1+2.5\%\right)}{7.08\%-2.5\%}=51,815.09million

PV=21001.0708+22051.07082+2315.25+51,815.091.07083=47,971.73millionPV=\frac{2100}{1.0708}+\frac{2205}{1.0708^2}+\frac{2315.25+51,815.09}{1.0708^3}=47,971.73million

V common stock = 47,971.73 – 15,000 – 5,000 = $27,971.73 million

大于市场价值20,000 million，所以common stock被低估。

V common stock = 47,971.73 – 15,000 – 5,000 = $27,971.73 million

为什么 common stock的value是这个？根据普通股占比50%，即We=50%，得到普通股的价值不应该是 47,971.73*50%吗

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3 个答案

王园圆_品职助教 · 2024年03月18日

同学你好，用估值模型计算的firm value是确定的，但是common stock到底占比多少是未知的啊

表格里common stock的占比是按照市值计算出来正好占50%，那你怎么知道EV中common stock也正好占比50%呢？题目也没有给这个条件呢

而且，debt和优先股的市场价值在计算出EV后，你可以带进去计算，这两项之和也不再等于EV的50%了，说明common stock的占比也发生了改变


此外，同学注意，firm value-优先股市值-debt市值=common stock市值是原版书明确给出的定义公式，本题如果问的是common stock的价值相比market value多多少，用你的比例法计算，就不可能找到答案了哦

cmm231 · 2024年03月18日

我也有一样的疑问 用算出来的EV乘以普通股比率 得到普通股的隐含价值 大于目前的市场价值 所以现在低估了 不对吗

王园圆_品职助教 · 2023年03月07日

嗨，从没放弃的小努力你好：


同学你好，如果按照你的方法，那公司的EV计算出来后，既然debt和preferred stock都有比例，那也可以重新计算新的debt 和preferred stock的market value？那表格中提供的market value又是什么呢？为什么他们的价值也应该调整呢？

这里的优先股和债券的市场价值是不会因为企业进行估值而发生改变的，他们存在的目的就是为了帮助投资者计算common stock的intrinsic value的。而common stock 的market value你可以理解为是现在的股票价格*股票份数得到的市值，股价并不能反映内在价值，有可能高估或低估——所以用不准确的现在的市场定价来确定实际的common stock intrinsic value就是不合理的。

EV是为了计算common stock value才产生的，计算common stock value就需要遵循讲义和原版书的公式，即common stock value = EV of FCFF - debt market value - preferred stock market value。而不应该用现有的三者市场价格来设定一个各自的比例，然后算三者新的value


----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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