NO.PZ2023032701000052
问题如下：
Singh and Ho next analyze Colanari. Last year, Colanari had FCFF of €140 million. Singh instructs Ho to perform a FCFF sensitivity analysis of Colanari’s firm value using the three sets of estimates presented in Exhibit 3. In her analysis, Ho assumes a tax rate of 35% and a stable capital structure of 30% debt and 70% equity.
Exhibit 3:. Sensitivity Analysis for Colanari Valuation
Based on Exhibit 3, Ho’s FCFF sensitivity analysis should conclude that Colanari’s value is most sensitive to the:
选项：
A.FCFF growth rate
before-tax cost of debt
required rate of return for equity
解释：
Colanari’s valuation is most sensitive to the cost of equity (re) because the range of estimated values is larger than the valuation ranges estimated from the sensitivity analysis of both the FCFF growth rate (GFCFF) and the before-tax cost of debt (rd).
WACC = [wd × rd(1 – Tax rate)] + (we × re).
Firm value = FCFF0(1 + g)/(WACC – g).
Cost of equity sensitivity
Using the base case estimates for the FCFF growth rate and the before-tax cost of debt and using the low estimate for the cost of equity (re) of 10.0%, the valuation estimate is
WACC = [(0.30)(0.049)(1 – 0.35)] + (0.70)(0.10) = 7.96%.
Firm value = 140 million(1 + 0.046)/(0.0796 – 0.046) = €4,364.18 million.
Using the base case estimates for the FCFF growth rate and the before-tax cost of debt and using the high estimate for the cost of equity (re) of 12.0%, the valuation estimate is
WACC = [(0.30)(0.049)(1 – 0.35)] + (0.70)(0.120) = 9.36%.
Firm value = 140 million(1 + 0.046)/(0.0936 – 0.046) = €3,079.38 million.
Therefore, the range in valuation estimates from using the highest and lowest estimates of the cost of equity is €1,284.80 million.
FCFF growth rate sensitivity
Using the base case estimates for the cost of equity and the before-tax cost of debt and using the low estimate for the FCFF growth rate (GFCFF) of 4.2%, the valuation estimate is
WACC = [(0.30)(0.049)(1 – 0.35)] + (0.70)(0.11) = 8.66%.
Firm value = 140 million(1 + 0.042)/(0.0866 – 0.042) = €3,274.16 million.
Using the base case estimates for the cost of equity and the before-tax cost of debt and using the high estimate for the FCFF growth rate (GFCFF) of 5.0%, the valuation estimate is
WACC = [(0.30)(0.049)(1 – 0.35)] + (0.70)(0.11) = 8.66%.
Firm value = 140 million(1 + 0.05)/(0.0866 – 0.05) = €4,021.34 million.
Therefore, the range in valuation estimates from using the highest and lowest estimates of the FCFF growth rate is €747.18 million.
Before-tax cost of debt sensitivity
Using the base case estimates for the FCFF growth rate and the cost of equity and using the low estimate for the beforetax cost of debt (rd) of 3.9%, the valuation estimate is
WACC = [(0.30)(0.039)(1 – 0.35)] + (0.70)(0.11) = 8.46%.
Firm value = 140 million(1 + 0.046)/(0.0846 – 0.046) = €3,793.29 million.
Using the base case estimates for the FCFF growth rate and the cost of equity and using the high estimate for the before-tax cost of debt (rd) of 5.9%, the valuation estimate is
WACC = [(0.30)(0.059)(1 – 0.35)] + (0.70)(0.11) = 8.85%.
Firm value = 140 million(1 + 0.046)/(0.0885 – 0.046) = €3,445.24 million.
Therefore, the range in valuation estimates from using the highest and lowest estimates of the before-tax cost of debt is €348.05 million.
比如这个，Firm value = 140 million(1 + 0.042)/(0.0866 – 0.042) = €3,274.16 million.我算的就是3270.85，不知道是不是小数点的缘故？
