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黄路迦 · 2019年12月08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%

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

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

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。

算完最后一步EV=47971之后，只能说明EV被高估啊？为什么可以说明是普通股被高估？为什么不是优先股或者是债被高估？？


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2 个答案

Kyle · 2020年06月14日

虽然求出来的是firm value，但是debt和优先股的定价，都是fix income固定收益的定价模式，就是根据debt的利率，面值，和优先股股息率来计算。固定收益类产品的特点在于，其T=0时刻的估值都是可以比较准确的计算出来的，而其价值的变化，除开极端情况（公司倒闭，对应credit risk，或者liquidation risk），而且这部分在debt的利率中也应该给予补偿了。其价值主要受利率的影响，优先股的估值，在题目假设FCFF恒定增长的情况下，优先股的估值一般也是不变的。


debt和优先股的价值，是容易受未来因素的影响，所以这道题，站在当前预测的话，只给出了对FCFF的预测，而没有对利率和优先股股息率作说明的情况下，可以假设这两个值是不变的。


希望对你理解有帮助

maggie_品职助教 · 2019年12月09日

我们在二级学习估值，是对普通股进行股票，判断的是股票（普通股）的高估还是低估，因此当我们得到公司的价值后先要扣掉债券的市场价值以及优先股的市场价值得到普通股的价值，才能和普通股的市场价格进行比较，得到股票是被高估或低估的结论。

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