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婧婧Maggie · 2024年12月19日

高估低估怎么判断

  1. CFA I
  2. Quantitative

NO.PZ2023052407000008

问题如下：

An analyst observes the benchmark Indian NIFTY 50 stock index trading at a forward price-to-earnings ratio of 15. The index’s expected dividend payout ratio in the next year is 50 percent, and the index’s required return is 7.50 percent. If the analyst believes that the NIFTY 50 index dividends will grow at a constant rate of 4.50 percent in the future, which of the following statements is correct?

选项：

A.

The analyst should view the NIFTY 50 as overpriced.

B.

The analyst should view the NIFTY 50 as underpriced.

C.

The analyst should view the NIFTY 50 as fairly priced

解释：

B is correct. Using Equation 24, the previous input results in the following inequality:


The above inequality implies that the analyst should view the NIFTY 50 as priced too low. The fundamental inputs into the equation imply a forward price to earnings ratio of 16.67 rather than 15. An alternative approach to answering the question would be to solve for implied growth using the observed forward price to earnings ratio of 15 and compare this to the analyst’s growth expectations:


Solving for g yields a result of 4.1667 percent. Since the analyst expects higher NIFTY 50 dividend growth of 4.50 percent, the index is viewed as underpriced.

我算出来g是4.1667，但是怎么理解是低估了呢

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1 个答案

品职助教_七七 · 2024年12月20日

嗨，爱思考的PZer你好：


高估和低估指得都是价格，所以判断方式也要往价格上去靠。

g是dividend的持续增长速度，显然未来增长更快的股票现在的价格也应该更高。即g高对应的价格也高。

所以，由于分析师认为g应该是4.5，而根据当下市场数据算出来的g却是4.1667。可以得知当下市场上（g=4.1667对应的）价格一定低于了（g=4.5对应的）合理价格。也就是当下的价格是低估的。


了解了上述逻辑后，此后就可以根据g来直接判断。如果算出来的市场的g低于了分析师或模型认为合理的g，则（价格）就是被低估的。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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