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mushroom1008 · 2020年03月05日

问一道题:NO.PZ2018103102000105 [ CFA II ]

问题如下:

Matt is evaluating Company M by using the multistage residual income model. He has forecasted that residual income per share will be constant from year 3 into perpetuity and the short-term ROE is higher than the long-term ROE. He has also estimated the earnings and dividends for the following three years in the following table. What`s the intrinsic value of Company M?

选项:

A.

$27.18

B.

$48.91

C.

$55.43

解释:

C is correct.

考点:Multistage Residual Income Valuation

解析:先计算出每一年的BV

BV1 = BV0 + EPS - Dividends per share = 28.25 + 6.5 - 1.75 = $33,同理可得BV2 = $38.19,BV3 = $43.15

再计算出每一年的RI

RI1 = EPS1 – re*B0 = 6.50-10.9%*28.25 = $3.42,同理可得RI2 = $4.22,RI3 = $2.77

终值的现值:

PV=RI3r×(1+r)3=2.770.109×1.1093=$18.63</span>PV=\frac{RI_3}{r\times\left(1+r\right)^3}=\frac{2.77}{0.109\times1.109^3}=\$18.63

<span>V0=28.25+3.421.109+4.221.1092+2.771.1093+18.63=$55.43V_0=28.25+\frac{3.42}{1.109}+\frac{4.22}{1.109^2}+\frac{2.77}{1.109^3}+18.63=\$55.43

计算终值的现值时,后面不是进入永续增长了吗,为什么不是2.77/10.9%呢?
2 个答案

张震宇 · 2020年03月12日

3年后不是进入永续增长了嘛,为什么计算PVRI3的时候不用2·77*(1+g)/re呢?而是直接用2。77/re??

maggie_品职助教 · 2020年03月06日

嗨,努力学习的PZer你好:


你计算的是终值而不是终值的现值,2.77/10.9%=V3, 此时你还要再折三年到零时刻。


-------------------------------
努力的时光都是限量版,加油!


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