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kazaya · 2020年01月30日

问一道题:NO.PZ2018103102000114

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?

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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