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廖廖酱 · 2023年05月02日

关于房地产的一道题目

  1. CFA II
  2. Alternative

NO.PZ2018111302000039

问题如下：

An analyst has put together the key projections and assumptions of a T REIT.

The intrinsic value of the T REIT on a per share basis using the two-step dividend discount model is closest to:

选项：

A.

$28.76.

B.

$33.17.

C.

$37.69.

解释：

B is correct.

考点：REITs估值方法

解析：折现法计算stock price, 首先用CAPM模型计算discount rate = risk free rate + beta * market risk premium = 3% + 1.1*5% = 8.5%

用两阶段股利模型, stock price = Dividend at year 1 / (1+discount rate) + dividend at year 2 / (1+discount rate)^2 + stock value at end of year 2 = 1.13/(1+8.5%) + 1.22/(1+8.5%)^2 + [(1.22*(1+5%))/(8.5%-5%)]/(1+8.5%)^2 = 1.04 + 1.04 + 31.09 = $33.17

老师请问(1.22*(1+5%))/(8.5%-5%)是什么意思？

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1 个答案

韩韩_品职助教 · 2023年05月05日

嗨，爱思考的PZer你好：


同学你好，首先需要明确的是，这里就是用DDM model也就是Equity当中的两阶段模型，是一摸一样的，因为REITs也是公开上市交易的股票，所以的话，实际就是Equity当中的DDM模型

那么(1.22*(1+5%))/(8.5%-5%)对应的就是Dn*（1+g）/（r-g）

Dn是1.22，也就是两年后的股利，然后g是5%，r是8.5%（是根据CAPM模型计算出来的）

这就是第二段永续增长时候的terminal value，再这个基础上还需要再折现到今天，也就是再除以(1+8.5%)^2

----------------------------------------------
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.PZ2018111302000039 问题如下 analyst hput together the key projections anassumptions of a T REIT. The intrinsic value of the T REIT on a per share basis using the two-step vinscount mol is closest to: $28.76. $33.17. $37.69. B is correct.考点REITs估值方法解析折现法计算stoprice, 首先用CAPM模型计算scount rate = risk free rate + beta * market risk premium = 3% + 1.1*5% = 8.5%用两阶段股利模型, stopri= vinye1 / (1+scount rate) + vinye2 / (1+scount rate)^2 + stovalue enof ye2 = 1.13/(1+8.5%) + 1.22/(1+8.5%)^2 + [(1.22*(1+5%))/(8.5%-5%)]/(1+8.5%)^2 = 1.04 + 1.04 + 31.09 = $33.17 如题

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NO.PZ2018111302000039 问题如下 analyst hput together the key projections anassumptions of a T REIT. The intrinsic value of the T REIT on a per share basis using the two-step vinscount mol is closest to: $28.76. $33.17. $37.69. B is correct.考点REITs估值方法解析折现法计算stoprice, 首先用CAPM模型计算scount rate = risk free rate + beta * market risk premium = 3% + 1.1*5% = 8.5%用两阶段股利模型, stopri= vinye1 / (1+scount rate) + vinye2 / (1+scount rate)^2 + stovalue enof ye2 = 1.13/(1+8.5%) + 1.22/(1+8.5%)^2 + [(1.22*(1+5%))/(8.5%-5%)]/(1+8.5%)^2 = 1.04 + 1.04 + 31.09 = $33.17 这里为什么折现率用8.5%不用Rf 3%

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