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aileen20180623 · 2019年11月10日

问一道题：NO.PZ2018103102000078

  1. CFA II
  2. Equity

问题如下：

Company M with a required rate of return of 10%. The company shares are currently selling for $24 per share and have paid a dividend of $1 per share for the most recent year. The company’s ROE is 8.5% and its payout ratio is 60%. Based on the relationship between the implied growth rate and the sustainable growth rate, which of the following statements is correct?

选项：

A.

The stock price is fairly valued.

B.

The stock price is undervalued.

C.

The stock price is overvalued.

解释：

C is correct.

考点：Implied Dividend Growth Rate

解析：Sustainable growth rate = Retention ratio × ROE = 0.4 × 8.5% = 3.4%

根据公式P0=D0×(1+g)r−gP_0=\frac{D_0\times\left(1+g\right)}{r-g},计算implied growth rate

将P0 = 24，r = 10%，D0 = 1代入，求得g = 5.6%

由于内含增长率大于可持续增长率，所以股票价格被高估。

1.1/24+g=0.1 g=0.05833,不等于0.56吧？

2.sustainable /或者expected 都是期望的代言词，不是implied对吧？

3.那是否有其他描绘expected 或者sustainable的词汇？


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1 个答案

maggie_品职助教 · 2019年11月11日

1、你的计算有误，(1+g)/24+g=0.1

2、implied g是我们从GGM里倒推得到的g。讲义104页。

3、而sustainable  g= Retention ratio × ROE,请见讲义113页

4、我感觉你的问题在于基础没打好，建议先去听课再来做题，这样会事半功倍的。

woilulu · 2021年07月31日

想请问一下，g 这个增长率，我发现在equity讲义中，ddm模型时候，提到三个g ,分别是implied growth rate，sustainable growth rate 和expected growth rate？请问怎么区分。 我理解是，implied growth rate 是定价合理P=V，反求的目前fairvalued假设下，内在隐含g. 另外两个g怎么作区分呢？因为我看到题目练习中，都有通过分别比较implied-g和sustainable_g/ expected _g的大小，表达股票是否高低估的问题哦。 所以有点晕了，希望给解答一下。

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NO.PZ2018103102000078问题如下Company M with a requirerate of return of 10%. The company shares are currently selling for $24 per share anhave paia vinof $1 per share for the most recent year. The company’s ROE is 8.5% anits payout ratio is 60%. Baseon the relationship between the impliegrowth rate anthe sustainable growth rate, whiof the following statements is correct?A.The stopriis fairly valueB.The stopriis unrvalueC.The stopriis overvalueC is correct.考点ImplievinGrowth Rate解析Sustainable growth rate = Retention ratio × ROE = 0.4 × 8.5% = 3.4%根据公式P0=×(1+g)r−gP_0=\frac{0\times\left(1+g\right)}{r-g}P0​=r−g​×(1+g)​,计算impliegrowth rate将P0 = 24，r = 10%， = 1代入，求得g = 5.6%由于内含增长率大于可持续增长率，所以股票价格被高估。可以用sustainable g算出合理定价下的v，然后再和p进行比较吗？sustainable g=roe*b=3.4%，所以合理定价下的V=/（re—g）=1（1+3.4%）/（10%—3.4%）=15.67，小于p=24，故高估可以这样吗

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