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Darlene · 2024年05月24日

请问从FCFF开始，算出FCFE，然后再用GGM算出V0这样为什么不对？

  1. CFA II
  2. Equity

NO.PZ2018103102000114

问题如下：

Matt is preparing to calculate the intrinsic value of Company M’s equity by using the FCFF model with the constant growth rate of 5% indefinitely. The relevant information is shown in the following table. What `s the value of Company M`s equity?

选项：

A.

$5,145 million

B.

$8,575 million

C.

$12,862.5 million

解释：

C is correct.

考点：Valuation Models

解析：M公司的权益回报率为：E(Ri) = RF + βi[E(RM) – RF] = 2.4% + 0.8(7%) = 8%.

M公司的WACC为：WACC = Wd*Rd*(1 - T) + We*Re

WACC = 0.40(5%)(1 – 0.3) + 0.60(8%) = 1.4% + 4.8% = 6.2%

FCFF = NI + Int × (1-T) + NCC – Wcinv - FCinv

= 212 + 100 × (1-0.3) + 88 – (50-25) – 100 = $245 million

Firm  Value=FCFF0×(1+g)WACC−g=245×(1+5%)6.2%−5%=$21437.5millionFirm\;Value=\frac{FCFF_0\times\left(1+g\right)}{WACC-g}=\frac{245\times\left(1+5\%\right)}{6.2\%-5\%}=\$21437.5million

Debt value = 0.4 * 21437.5 = $8575 million

Equity value = 0.6 * 21437.5 = $12862.5 million

我的做法：

FCFF=NI+int(1-t)+dep-WCinv-FCinv

=212+100*70%+88-WCinv(50-25)-FCinv(100)

=245


FCFE=FCFF-int(1-t)+NB

=245-70+NB(60-50)

=185


re=8%


Vo=FCFE(1+g)/re-g=6475

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1 个答案

王园圆_品职助教 · 2024年05月24日

同学你好，要仔细读题哦：“Matt is preparing to calculate the intrinsic value of Company M’s equity by using the FCFF model with the constant growth rate of 5% indefinitely. ”所以必须用FCFF先求firm value再减去debt来计算value，而不能用FCFE直接计算

实务中用不同的模型计算出来的 value也不会完全相同，所以同学要严格按照题目的要求进行计算哦

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