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James · 2024年10月01日

如下面问题

  1. CFA II
  2. Equity

* 问题详情，请 查看题干

NO.PZ201512300100001208

问题如下：

8. Under Scenario 2, the intrinsic value per share of the equity of Amersheen is closest to:

选项：

A.

R13.29.

B.

R15.57.

C.

R16.31.

解释：

As the multistage residual income model results in an intrinsic value of R13.29. The multistage residual income model, is:

The first step is to calculate residual income per share for years 2012 2014:

ROE = earnings / book value

Growth rate = ROE × retention rate

Retention rate = 1  (dividends/earnings)

Book valuet = book valuet 1 + earningst 1  dividendst 1

Residual income per share = EPS  equity charge per share

Equity charge per share = book value per sharet × cost of equity

Under Scenario 2, at the end of 2014, it is assumed that share price will be equal to book value per share. This results in the second term in the

equation above, the present value of the terminal value, being equal to zero.

Then, intrinsic value per share is:

V0=R7.60+R2.52(1.10)+R2.31(1.10)2+R1.98(1.10)3=R13.29

按照定义，现值PV0=BV0+PVRI，PVRI=PV0-BV0，PVRI=PV0/BV0*BV0-BV0，PVRI=P/B*BV0-BV0，题目里说的是2014年末股价share price等于账面BV，并没有说PV等于BV，如何得出P/B=1呢？

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1 个答案

王园圆_品职助教 · 2024年10月01日

同学你好，一般情况下，在计算终值terminal value的时候，我们都默认市场是有效的，所以此时默认Value = P

所以P = V=BV + PVRI

现在题目说2014年年末的P=BV，就已经在说PVRI在2014年年末就是0的意思了哦

以前一级考察DDM应用的时候也有类似的题目，就是说未来某一年，认为公司的股票可以以Pn的价格卖出，然后又给了前面几年分红的增长条件，要求考生计算0时刻价值V0的——这类题就是默认未来的P0就是合理的terminal value 的哦

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NO.PZ201512300100001208问题如下8. Unr Scenario 2, the intrinsic value per share of the equity of Amersheen is closest to:A.R13.29.B.R15.57.C.R16.31.the multistage resiincome mol results in intrinsic value of R13.29. The multistage resiincome mol, is: The first step is to calculate resiincome per share for years 2012 2014:ROE = earnings / book valueGrowth rate = ROE × retention rateRetention rate = 1 (vin/earnings)Book valuet = book valuet 1 + earningst 1 vint 1Resiincome per share = EPS equity charge per shareEquity charge per share = book value per sharet × cost of equityUnr Scenario 2, the enof 2014, it is assumethshare priwill equto book value per share. This results in the seconterm in theequation above, the present value of the terminvalue, being equto zero.Then, intrinsic value per share is:V0=R7.60+R2.52(1.10)+R2.31(1.10)2+R1.98(1.10)3=R13.29题目已经说了2014年年底价格等于面值即RI为0，为何答案详解中还计算出2014年的RI

2023-09-02 22:15 1 · 回答

NO.PZ201512300100001208 share price等于book value就说明终值是0吗？

2022-03-03 17:19 1 · 回答

NO.PZ201512300100001208 Unr Scenario 2, the enof 2014, it is assumethshare priwill equto book value per share. 这说明什么呢？

2021-08-20 07:11 2 · 回答

这个地方不太明白，题目中给出了2014末之后P=B，那就说w=0了啊，那么题目咋又给出了w=0.7？这是啥意思啊。。。。

2020-05-31 11:44 1 · 回答