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李艳林 · 2020年03月06日

问一道题：NO.PZ201710200100000408

  1. CFA II
  2. Equity

* 问题详情，请 查看题干

问题如下：

8. Based on Exhibits 2 and 3 and the multistage RI model, Castovan should estimate the intrinsic value of TTCI to be closest to:

选项：

A.

€54.88.

B.

€83.01.

C.

€85.71.

解释：

C is correct.

Residual income per share for the next three years is calculated as follows.

Because Castovan forecasts that residual income per share will be constant into perpetuity, equal to Year 3 residual income per share, the present value of the terminal value is calculated using a persistence factor of 1.

Present value of terminal value = 8.54−(0.087×58.25)(1+0.087−1)(1+0.087)2\frac{8.54-(0.087\times58.25)}{(1+0.087-1)(1+0.087)^2}

= 3.47(0.087)(1.087)2\frac{3.47}{ ( 0.087 ) ( 1.087 ) ^2} =33.78

So, the intrinsic value of TTCI is then calculated as follows.

V0=45.25+3.881.087+3.68/(1.087)2+33.78\frac{45.25+3.88}{1.087+3.68/(1.087)^2+33.78}=85.71

如果从第3年开始roe卫12%，并且ri为0，那是不是折现率要=12%，为什么折现率还是8.7%呢？

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1 个答案

李艳林 · 2020年03月06日

看错了，ri是不变得，看成了ri=0了

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NO.PZ201710200100000408问题如下8. Baseon Exhibits 2 an3 anthe multistage RI mol, Castovshoulestimate the intrinsic value of TTto closest to:A.€54.88.B.€83.01.C.€85.71. C is correct.Resiincome per share for the next three years is calculatefollows.Because Castovforecasts thresiincome per share will constant into perpetuity, equto Ye3 resiincome per share, the present value of the terminvalue is calculateusing a persistenfactor of 1.Present value of terminvalue = 8.54−(0.087×58.25)(1+0.087−1)(1+0.087)2\frac{8.54-(0.087\times58.25)}{(1+0.087-1)(1+0.087)^2}(1+0.087−1)(1+0.087)28.54−(0.087×58.25)​= 3.47(0.087)(1.087)2\frac{3.47}{ ( 0.087 ) ( 1.087 ) ^2}(0.087)(1.087)23.47​ =33.78 So, the intrinsic value of TTis then calculatefollows.V0=\frac{45.25+3.88/1.087+3.68/(1.087)^2+33.78}=85.71 没搞明白为什么单阶段模型里的PVRI可以用（ROE-r)*B0/(r-g)来计算，这道题多阶段模型的后面说了ROE=12%不变，r=8.7%不变，g也不变，为什么就不能用前面这个公式呢？

2024-10-01 20:35 1 · 回答

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2024-09-29 11:30 1 · 回答

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2024-04-08 23:50 1 · 回答