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clarissaren · 2019年12月25日

问一道题：NO.PZ2015122802000166

  1. CFA I
  2. Equity

问题如下：

An analyst gathers or estimates the following information about a stock:

Based on a dividend discount model, the stock is most likely:

选项：

A.

undervalued.

B.

fairly valued.

C.

overvalued.

解释：

A  is correct.

The current price of €22.56 is less than the intrinsic value (V0) of €24.64; therefore, the stock appears to be currently undervalued. According to the two-stage dividend discount model:

V0=∑t=1nD0(1+gs)t(1+r)t+Vn(1+r)nV_0=\sum_{t=1}^n\frac{{\displaystyle D_0(1+g_s)}^t}{{\displaystyle(1+r)}^t}+\frac{V_n}{{(1+r)}^n} and Vn=Dn+1r−gLV_n=\frac{D_{n+1}}{r-g_L}

Dn+1 = D0(1+gS)n(1+gL)

D1 = €1.60 × 1.09 = €1.744

D2 = €1.60 × (1.09)2 = €1.901

D3 = €1.60 × (1.09)3 = €2.072

D4 = €1.60 × (1.09)4 = €2.259

D5 = [€1.60 × (1.09)4](1.04) = €2.349

V4 = €2.349/(0.12 – 0.04) = €29.363

V0=1.744(1.12)1+1.901(1.12)2+2.072(1.12)3+2.259(1.12)4+29.363(1.12)4V_0=\frac{1.744}{{(1.12)}^1}+\frac{1.901}{{(1.12)}^2}+\frac{2.072}{{(1.12)}^3}+\frac{2.259}{{(1.12)}^4}+\frac{29.363}{{(1.12)}^4}

  = 1.557+1.515+1.475+1.436+18.661

  = €24.64(which is greater than the current price of €22.56)

请问最后D5 为什么不需要折现呢？还有为什么算的是V4 而不是V5呢？

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2 个答案
已采纳答案

maggie_品职助教 · 2019年12月26日

1、D5已经被包含在V4里了，所以不需要再折现

2、根据公式：V0=D1/r-g, 因此V4=D5/r-g

blade8932 · 2022年05月31日

如果是三阶段的，用计算器计算NPV的话，最后应该输入1阶段和2阶段哪个利率（1阶段和2阶段利率不同）？谢谢！

王园圆_品职助教 · 2022年05月31日

嗨，从没放弃的小努力你好：


同学你好，无论是几个阶段的DDM，require rate of return 都只有一个~~不可能存在两个或两个以上不同利率的~~NPV中的利率输入的就是require rate of return的值，以本题为例，就是输入12%的这个利率哦

你说的不同的利率是增长率g,这个是体现在分子上的，可以在计算每一期的dividend的时候体现的

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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NO.PZ2015122802000166 问题如下 analyst gathers or estimates the following information about a stock:Baseon a vinscount mol, the stois most likely: A.unrvalue B.fairly value C.overvalue is correct.The current priof €22.56 is less ththe intrinsic value (V0) of €24.64; therefore, the stoappears to currently unrvalue Accorng to the two-stage vinscount mol:V0=∑t=1n(1+gs)t(1+r)t+Vn(1+r)nV_0=\sum_{t=1}^n\frac{{\splaystyle 0(1+g_s)}^t}{{\splaystyle(1+r)}^t}+\frac{V_n}{{(1+r)}^n}V0​=∑t=1n​(1+r)t​(1+gs​)t​+(1+r)nVn​​ anVn=+1r−gLV_n=\frac{{n+1}}{r-g_L}Vn​=r−gL​+1​​+1 = (1+gS)n(1+gL) = €1.60 × 1.09 = €1.744 = €1.60 × (1.09)2 = €1.901 = €1.60 × (1.09)3 = €2.072 = €1.60 × (1.09)4 = €2.259 = [€1.60 × (1.09)4](1.04) = €2.349V4 = €2.349/(0.12 – 0.04) = €29.363V0=1.744(1.12)1+1.901(1.12)2+2.072(1.12)3+2.259(1.12)4+29.363(1.12)4V_0=\frac{1.744}{{(1.12)}^1}+\frac{1.901}{{(1.12)}^2}+\frac{2.072}{{(1.12)}^3}+\frac{2.259}{{(1.12)}^4}+\frac{29.363}{{(1.12)}^4}V0​=(1.12)11.744​+(1.12)21.901​+(1.12)32.072​+(1.12)42.259​+(1.12)429.363​ = 1.557+1.515+1.475+1.436+18.661 = €24.64(whiis greater ththe current priof €22.56)考点Multi-stage Mol计算器具体步奏如下CFO=0, C01=1.744,F01=1,C02=1.901,F02=1,C03=2.072,F03=1,C04=2.259+29.363,F04=1,NPV , I=12,CPT NPV 此题V4是用什么公式算的？为什么不用讲义P495页求P的公式？求V4,我下方的算法有问题吗？这一类题的解题思路，李老师根本没讲清楚。

2024-08-10 18:02 1 · 回答

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2024-01-19 11:42 2 · 回答

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2023-03-28 23:40 1 · 回答

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2021-12-23 15:07 3 · 回答

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2021-06-07 00:07 1 · 回答