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ruby5ltc · 2023年06月04日

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

1、方法二： RI4=RI3 = 3.47， PVRI' =3.47/0.087 =39.8851

V0 = B0 + RI1/(1+r) + RI2/(1+r)^2 + RI3/(1+r)^3+PVRI'/(1+r)^3 = 45.25 + 3.88/1.087 + 3.68/1.087^2 + 3.47/1.097^3 + 39.8851/1.097^3 =85.71

第三年和以后的分母应该是1.087^3，而不是1.097^3。对吗？


2 如何从题干中判断w=1？

3 是否ROE恒定，RI就恒定？

4 计算RI3，可否用(ROE-RE)*BV2，ROE=12%



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2 个答案

王园圆_品职助教 · 2024年01月24日

同学你好，不可以

因为题目Exhibit 3说了“terminal value的计算是基于假设认为从第三年至未来的RI都不变做出来的”

也就是未来的RI都是保持恒定的一个数

而如果用RI4 = （ROE -Re )*BV3来计算，那随着时间的流逝，由于题目没有给出公司未来的分红政策，那就无法判断未来公司如何分红，进而就无法知道BV4是否等于BV5等于BV6.。。。。。，一旦BV可能变化， 那按照这个公式计算的RI就不再是恒定的，而是会变化的，就不符合题目的要求了

所以必须用RI4=RI5=RI6.。。。。。=RI3作为计算terminal value的基础条件

王园圆_品职助教 · 2023年06月04日

同学你好，1.是的，应该是1.087.解析可能是这里出现笔误了，谢谢同学，助教会跟后台反馈一下做修改的

2.根据表格3上面最后一句话：“The terminal value is based on an assumption that residual income per share will be constant from Year 3 into perpetuity.”可知，从第三年以后开始RI保持不变，那persistence factor就是1了

3.不能哦，还是需要题目中明确说了RI保持不变才能认为w=1哦

4.不能，因为题目说了，是从第四年开始，ROE才转为长期的ROE=12%的,而RI3是第三年发生的，所以此时ROE大概率不是12%


❤Oliva · 2024年01月24日

4、计算RI4 为什么不能用(ROE-RE)*BV3，ROE=12%

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2024-08-20 08:56 2 · 回答

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2024-07-12 11:41 1 · 回答

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2024-04-08 23:50 1 · 回答

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2023-04-14 00:22 2 · 回答