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台风来了 · 2023年07月14日

关于sustainable growth rate的计算

  1. CFA II
  2. Equity

NO.PZ2023032701000028

问题如下：

An analyst following Chevron Corp. (NYSE Euronext: CVX) wants to estimate the sustainable growth rate for the company by using the PRAT model. For this purpose, the analyst has compiled the data in the following table. Assets and equity values are for the end of the year; the analyst uses averages of beginning and ending balance sheet values in computing ratios based on total assets and shareholders’ equity. For example average total assets for 2007 would be computed as (148,786 + 132,628)/2 = $140,707. Note: All numbers except for EPS and DPS are in $ millions.

Using the overall mean value of the average component values calculated in Part A, the sustainable growth rate for Chevron is:

选项：

A.

19.2%

B.

18.3%

C.

20.8%

解释：

The four components of PRAT are computed for 2007 as follows:

P (Profit margin) = NI/Sales = 18,688/214,091 = 0.0873

R (Retention) = b = (EPS – DPS)/EPS = (8.77 – 2.26)/8.77= 0.7423

A (Asset turnover) = Sales/Average total assets

= 214,091/0.5(148,786) + 132,628) = 1.5215

T (Leverage) = Average total assets/Average shareholders’ equity

= (148,786 + 132,628)/(77,088 + 68,935) = 1.9272

The components are similarly computed for the other years and summarized in the following table. Their average values are also included.

Using the average values for each component,

g = PRAT = (0.0812)(0.7390)(1.6250)(1.9736) = 0.1924 or 19.2 percent

The sustainable growth rate for Chevron based on the PRAT expression is 19.2 percent.

老师，您好！


根据公式 sustainable growth rate = roe * b计算，b = 0.7423，平均equity = (77088+68935)/2, 得到最后答案：19%。


这个prat model为什么要搞这么复杂呢？

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1 个答案

王园圆_品职助教 · 2023年07月14日

同学你好，那你说，为什么要有DDM，FCF，RImodel等各种model来计算股票价值，为什么要有CAPM，FAMA，甚至更复杂的模型计算Re？

不同的模型都有不同的适用条件，不是一个模型可以通吃天下的，更何况g这种极其重要的估值变量因子， 用再复杂的模型估计都不为过。

分析师为了使估计更准确，使最后的估值能和真实的价值更趋同，会根据不同的公司情况，宏观背景选择最为适配当下实际情况的模型对Re，g，乃至value进行估计，这样最后的估值才会精准哦。

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