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I Yuan · 2020年08月15日

问一道题:NO.PZ2016021706000032

问题如下:

Aldrich Company has a debt-to-equity ratio of 2.0, and a marginal tax rate of 30%. Aldrich is considering a project in the clothing distribution industry and planning to use TAT Company as a comparable firm.TAT Company is a publicly traded firm that operating clothing distribution business only, which has a debt-to-equity ratio of 1.5, a marginal tax rate of 30%, and an equity beta of 1.1. The project beta that Aldrich considering is most likely to be?

选项:

A.

0.44.

B.

0.88.

C.

1.29.

解释:

C is correct.

The project beta calculated using the following formulas:

βasset = βequity [1/(1+((1-t)*D/E)]

βproject = βasset[1+((1t)D/E)]\lbrack1+((1-t)D/E)\rbrack

Beta asset=1.1*[1/(1+(1-30%)*1.5)]=0.537

Beta project= 0.537[1+(1-30%)*2]=1.29

助教您好,请麻烦用李老师自己写的公式算一下好吗?楼上的解答也依然是用教材的公式来算的。李老师的写法是A*BetaA = E*BetaE. 谢谢。

1 个答案

王琛_品职助教 · 2020年08月15日

嗨,努力学习的PZer你好:


同学你好,

结论

解析中的公式,就是从 A x BetaA = E x BetaE 推导出来的哈

参考

  1. 关于公式推导,请见基础班视频 Beta of a None-public Company

2. 关于计算过程,请见下图


参考:https://class.pzacademy.com/qa/32252


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努力的时光都是限量版,加油!


I Yuan · 2020年08月15日

好的,十分感谢。