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kazaya · 2020年01月30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

（1）题目中说Market Risk Premium为7%，按照答案的算法，这就是ERP。可是这个表达是不是应该是Rm？ERP不是叫Equity Risk Premium吗？ 那题目中如果给Rm的话一般是怎么描述Rm的？

（2）我在算debt的market value的时候，可不可以用Int Exp/Int Rate，即100/5%=2000来计算Debt的book value，以此作为market value的近似值？

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1 个答案

maggie_品职助教 · 2020年02月06日

1、Market Risk Premium是ERP的另一叫法，因为ERP=RM-rf 是市场收益率超过无风险利率的部分，因此也叫作市场溢价。RM是大盘的收益率，因此如果题目给你指数的收益率那么就是RM.


2、不可以哦。 债券的账面价值不等于其市值，市值是二级市场随行就市的价值。我们这一章是权益，对债券的计算没有具体的要求。因此，我们只需要根据资本结构来计算即可。

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