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magico · 2019年11月30日

问一道题：NO.PZ2018103102000120

  1. CFA II
  2. Equity

问题如下：

Matt is preparing to evaluate the value of Company M`s equity by using the two-stage FCFF model. The growth rates for the first three years are estimated at 5% and then it may grow at 2.5% per year into the indefinite future. The most recent FCFF is $2,000 million and the company is in the 30% tax bracket. The relevant information is shown in the following table. Determine whether the common stock is fairly valued, overvalued or undervalued?

选项：

A.

undervalued.

B.

overvalued.

C.

fairly valued.

解释：

A is correct.

考点：Valuation Models.

解析：先计算WACC = wd × rd × (1–T) + (wp × rp) + (we × re)

      = (15,000/40,000)(0.06)(1– 0.3) + (5,000/40,000)(0.04) + (20,000/40,000)(0.1)

= 7.08%

$$\(PV_3=\frac{FCFF_3\times\left(1+g\right)}{r-g}=\frac{2000\times1.05^3\times\left(1+2.5\%\right)}{7.08\%-2.5\%}=\$51,815.09million\)</p><p>

\(PV=\frac{2100}{1.1.0708}+\frac{2205}{1.1.0708^2}+\frac{2315.25+51,815.09}{1.1.0708^3}=\$47,971.73million\)$$

V common stock = 47,971.73 – 15,000 – 5,000 = $27,971.73 million

大于市场价值20,000 million，所以common stock被低估。

是否可以先计算FCFE，然后再折现来计算呢？

FCFE=2000-15000*6%*（1-30%）-5000*4=1170

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1 个答案

maggie_品职助教 · 2019年12月01日

不可以，因为题目给你的是FCFF的增速。

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