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lcrcp3 · 2023年09月26日

如题

  1. CFA II
  2. Equity

NO.PZ2023032701000014

问题如下：

Rae is Using GGM to value Tasty Foods.

Rae notes that the EPS of the company has been increasing at an average rate of 4.48 percent per year. The dividend payout ratio has remained fairly stable of 50%, and an average ROE of 10.6%.

Rae uses the CAPM to compute the return on equity. He uses the annual yield of 4 percent on the 10-year Treasury bond as the risk-free return. He estimates the expected US equity risk premium, with the S&P 500 Index used as a proxy for the market, to be 6.5 percent per year. The estimated beta of Tasty Foods against the S&P 500 Index is 1.10.

The stock’s current price is $8.42

Last year dividend per share is 0.59$/S.

Rae considers a security trading within a band of ±10 percent of his estimate of intrinsic value to be within a “fair value range.” By that criterion, the stock of Tasty Foods is:

选项：

A.

undervalued

B.

fairly valued

C.

Overvalued

解释：

G=ROE*b=10.6%*50%=5.3%

Using CAPM to estimate required rate of return=0.04 + 1.10(0.065) = 0.1115 or 11.15 percent.

Using the Gordon Growth Model,

Rae’s estimate of the intrinsic value is $10.62. So, the band Rae is looking at is $10.62 ± 0.10($10.62), which runs from $10.62 + $1.06 = $11.68 on the upside to $10.62 -$1.06 = $9.56 on the downside. Because $8.42 is below $9.56, Rae would consider Tasty Foods to be undervalued.

这道题的高估低估和我理解的方向是一致的，计算出来的或者说预期的或应该的价格是9.56-10.62，目前市场上实际价格是8.42，所以应该至少是9.56但是没有达到，是价格被低估了。

但是我无法理解上课讲的implied g和estimated g的高估和低估，上课举的例子：implied g：应该的（预期的）是10%，estimated g：实际的是15%，结论是低估。我的理解是实际的g高于了应该的或预期，同这道题价格的判断方法一样，不应该是高估吗？

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1 个答案

王园圆_品职助教 · 2023年09月26日

同学你好，判断高估低估，不应该以g是implied g还是expected g来判断，而应该以题目提及的这个g对应的是Price还是Value来判断，通过比较本质的value和price之间的高低来判断高估低估，这样才永远不会错

因为题目不同的表达方式下，可能会导致完全不同的结论——譬如，题目说current price implied a growth rate of xxx——那这个g对应的就是Price（而不是value）。同时题目可能再给一个分析师expected g是YYY——那这个expected g就对应的是value——此时xxx代表price,YYY代表value，那最后xxx如果更高，就是高估，如果xxx更低，那就是低估

反之，如果题目说分析师估值的implied g是aaa——那这个implied g就对应的是value；然后题目里另一个g肯定对应的就是price了

你可以验证一下题库里面遇到的同类题目，只要用助教说的这种方法来进行判断，就不可能做错了


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