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aileen20180623 · 2019年11月17日

问一道题：NO.PZ2018103102000114

  1. CFA II
  2. Equity

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%) = 1.68% + 6.42% = 6.2%

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

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

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

Debt value = 0.4 * 21437.5 = $8575 million

Equity value = 0.6 * 21437.5 = $12862.5 million

这个题目如果用target debt ratio怎么算NB？

0.4*（-50+25+（-100）-88）？这也不等于直接求出来的值啊，直接求是10.

请问哪里算错了？

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1 个答案

maggie_品职助教 · 2019年11月18日

1、同学你这个计算方法不对啊，首先这道题让你用FCFF模型，那么我们根本不需要计算FCFE。

2、第二，我们不用D/A计算NB

3、第三，NB的公式请见讲义164页

4、第四，这道题如果要计算NB的话，应该是=新增notepaybles 60-长期贷款下降50=10

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NO.PZ2018103102000114 问题如下 Matt is preparing to calculate the intrinsic value of Company M’s equity using the FCFF mol with the constant growth rate of 5% infinitely. The relevant information is shown in the following table. Wh`s the value of Company M`s equity? A.$5,145 million B.$8,575 million C.$12,862.5 million C is correct.考点Valuation Mols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WA= WR(1 - T) + We*ReWA= 0.40(5%)(1 – 0.3) + 0.60(8%) = 1.4% + 4.8% = 6.2%FCFF = NI + Int × (1-T) + N– Wcinv - FCinv = 212 + 100 × (1-0.3) + 88 – (50-25) – 100 = $245 millionFirm  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\%}=\$21437.5millionFirmValue=WACC−gFCFF0​×(1+g)​=6.2%−5%245×(1+5%)​=$21437.5millionvalue = 0.4 * 21437.5 = $8575 millionEquity value = 0.6 * 21437.5 = $12862.5 million 我的做法FCFF=NI+int(1-t)+p-WCinv-FCinv=212+100*70%+88-WCinv(50-25)-FCinv(100)=245 FCFE=FCFF-int(1-t)+NB=245-70+NB(60-50)=185re=8%Vo=FCFE(1+g)/re-g=6475

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