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Todd · 2024年05月17日

关于题中的div next year的说法

  1. CFA II
  2. Alternative

NO.PZ2018111302000033

问题如下：

The value per share of REIT C using discounted cash flow valuation using a two-step dividend model is closest to:

选项：

A.

$51.49.

B.

$58.37.

C.

$62.67.

解释：

C is correct.

考点：REITs估值方法

解析：Discount rate = risk free rate + beta * market risk premium = 4% + 0.85*5% = 8.25%

Value per share = Dividend at year 1 / (1+discount rate) + dividend at year 2 / (1+discount rate)^2 + dividend at year 3 / (1+discount rate)^3 + stock value at end of year 3

= 2/(1+8.25%) + 2*(1+6%)/(1+8.25%)^2 + 2*(1+6%)^2/(1+8.25%)^3 + [[(2*(1+6%)^2)*(1+5%)]/(8.25%-5%)]/(1+8.25%)^3 = 1.85 + 1.81 + 1.77 + 57.24 = $62.67

请问：题目中说的$2不是说next year的dividend吗，而第二年第三年的g是6%，所以第一年年末的div应该是2/(1+6%)，第二年是2，第三年是2*（1+6%），这个现金流吗？

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1 个答案

pzqa35 · 2024年05月17日

嗨，从没放弃的小努力你好：


我们站在当前为0时刻，题目中给的是第一年的Div是2，并且第2年和第三年的增长率都是6%，那么第二年的Div=2*1.06，第三年的Div=2*1.062，而未来现金流折现到第三年的价值V3=2*1.062*1.05/(8.25%-5%).我们在计算V3和折现时，应该使用的是由CAPM算出来的re=4% + 0.85*5% = 8.25%。

所以第一年的现金流是2，第二年的现金流是2.12，第三年的现金流是74.849，折现到0时刻就是62.67

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努力的时光都是限量版，加油！

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NO.PZ2018111302000033 问题如下 The value per share of REIT C using scountecash flow valuation using a two-step vinmol is closest to: $51.49. $58.37. $62.67. C is correct.考点REITs估值方法解析scount rate = risk free rate + beta * market risk premium = 4% + 0.85*5% = 8.25%Value per share = vinye1 / (1+scount rate) + vinye2 / (1+scount rate)^2 + vinye3 / (1+scount rate)^3 + stovalue enof ye3= 2/(1+8.25%) + 2*(1+6%)/(1+8.25%)^2 + 2*(1+6%)^2/(1+8.25%)^3 + [[(2*(1+6%)^2)*(1+5%)]/(8.25%-5%)]/(1+8.25%)^3 = 1.85 + 1.81 + 1.77 + 57.24 = $62.67 老师，这里的57.24 在哪里？

2023-08-28 15:39 1 · 回答

NO.PZ2018111302000033 问题如下 The value per share of REIT C using scountecash flow valuation using a two-step vinmol is closest to: $51.49. $58.37. $62.67. C is correct.考点REITs估值方法解析scount rate = risk free rate + beta * market risk premium = 4% + 0.85*5% = 8.25%Value per share = vinye1 / (1+scount rate) + vinye2 / (1+scount rate)^2 + vinye3 / (1+scount rate)^3 + stovalue enof ye3= 2/(1+8.25%) + 2*(1+6%)/(1+8.25%)^2 + 2*(1+6%)^2/(1+8.25%)^3 + [[(2*(1+6%)^2)*(1+5%)]/(8.25%-5%)]/(1+8.25%)^3 = 1.85 + 1.81 + 1.77 + 57.24 = $62.67 为什么折现没有用risk free rate呢？

2023-05-06 19:31 1 · 回答

NO.PZ2018111302000033 $58.37. $62.67. C is correct. 考点REITs估值方法 解析scount rate = risk free rate + beta * market risk premium = 4% + 0.85*5% = 8.25% Value per share = vinye1 / (1+scount rate) +  vinye2 / (1+scount rate)^2 +  vinye3 / (1+scount rate)^3 + stovalue enof ye3 = 2/(1+8.25%) + 2*(1+6%)/(1+8.25%)^2 + 2*(1+6%)^2/(1+8.25%)^3 +  [[(2*(1+6%)^2)*(1+5%)]/(8.25%-5%)]/(1+8.25%)^3 = 1.85 + 1.81 + 1.77 + 57.24 = $62.67 ​这道题是REITS计算里的F法吗？terminrate为什么是8.25%-5%？

2021-03-10 22:42 1 · 回答

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2020-10-14 15:32 1 · 回答