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eee · 2018年06月10日

问一道2018mock题目



Baker informs Covey that the highest and lowest reasonable alternative estimates of the valuation model parameters are as follows: 15% for beta, 20% for equity risk premium, and 25% for growth rate. He asks Covey to perform a sensitivity analysis for each of these parameters while keeping all other inputs at the base case level. Covey’s results are shown in Exhibit 2.

EXHIBIT 2

SENSITIVITY ANALYSIS TO MODEL PARAMETERS IN VALUATION OF WADGETT’S COMMON SHARES

ParameterPer-Share Valuation
with Low Estimate
Per-Share Valuation
with High Estimate
FCFE growth rate$25.67$89.29
Equity risk premium$93.15$25.70
Beta$70.14$28.25


Q. Using the data in Exhibit 2, the parameter that causes the greatest sensitivity in valuing Wadgett’s common shares is the:

  1. beta.
  2. growth rate.
  3. equity risk premium.

Solution

C is correct. When the low/high measure of each variable is tested singly for sensitivity in predicting a range of intrinsic value while holding the other variables at the base case, the equity risk premium variable produces the largest stock price range, as shown in the following table.

VariableValuation with Low EstimateValuation with High EstimateValuation Range
Equity risk premium$93.15$25.70$67.45
FCFE growth rate$25.67$89.29$63.63
Beta$70.14$28.25$41.88

Note: The risk-free rate is 1.2% in all cases.


题目里15%for bate 20%for equity是什么意思,是变动幅度吗,那敏感性不是应该除以这个幅度算是每1%的变动引起value的变动来比较吗





1 个答案

maggie_品职助教 · 2018年06月11日

敏感性分析是针对最终公司价值说的,我们通过观察计算价值参数的变化,得到其变化对股价造成的影响。我们说当某参数的变化使得股价波动范围最大,那么股价就对该参数最敏感。

对于敏感性分析这个考点,通常题目都会把股价变化直接给你,你只需要计算价格差即可。

加油。

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