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Yuyu · 2020年11月17日

问一道题：NO.PZ2018101501000038

  1. CFA II
  2. Corporate Issuers

问题如下：

Company M is investing in a four-year project, relevant information is shown in the following table. The company is in the 25% tax bracket. The weighted average cost of capital and the cost of equity is 10% and 15%, respectively. What`s the market value added (MVA)?

选项：

A.

56,070.52

B.

62,625.16

C.

55,795.03

解释：

B is correct.

考点：Other Valuation Models

解析：根据公式MVA=∑t=1nEPt(1+WACC)tMVA=\sum_{t=1}^n\frac{EP_t}{{(1+WACC)}^t}

其中EP=EBIT∗(1−T)−WACC∗capitalEP=EBIT\ast(1-T)-WACC\ast capital

EP1 = 30,000*(1-25%)-10%*80,000 =14,500 同理可得EP2 = 24,000；EP3 = 18,500

需要注意的是第四年的EBIT要加回残值的影响

EBIT4 = 20,000+10,000/(1-25%) = 33,333.33，EP4 = 23,000

MVA=14,5001.1+24,0001.12+18,5001.13+23,0001.14=62,625.16MVA=\frac{14,500}{1.1}+\frac{24,000}{1.1^2}+\frac{18,500}{1.1^3}+\frac{23,000}{1.1^4}=62,625.16

这道题如果我用现金流折现求NPV，用的WACC折现率，最后的结果和MVA一样。不知是否巧合？因为当时我思考的角度是，MVA 是 market Value和Book value之差。那么把80当作book value,现金流折现是正确的市场定价（内在价值充分反映了市场价值）。这样的方向来理解的。如果不对的话，请问这个逻辑哪里出现了问题？

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1 个答案

王琛_品职助教 · 2020年11月18日

- 亲不是巧合哈，请参考基础班讲义 P58 的公式
- "如果我用现金流折现求NPV", 亲因为是计算题，下次提问时，方便把计算过程发一下嘛，方便咱们交流讨论哈
- 这道题我用现金流求 NPV 算过，答案是一样的，请参考：https://class.pzacademy.com/qa/57475

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NO.PZ2018101501000038 Company M is investing in a four-yeproject, relevant information is shown in the following table. The company is in the 25% tbracket. The weighteaverage cost of capitanthe cost of equity is 10% an15%, respectively. What`s the market value ae(MVA)? 56,070.52 62,625.16 55,795.03 B is correct. 考点Other Valuation Mols 解析根据公式 MVA=∑t=1nEPt(1+WACC)tMVA=\sum_{t=1}^n\frac{EP_t}{{(1+WACC)}^t}MVA=∑t=1n​(1+WACC)tEPt​​ 其中 EP=EBIT∗(1−T)−WACC∗capitalEP=EBIT\ast(1-T)-WACC\ast capitalEP=EBIT∗(1−T)−WACC∗capitEP1 = 30,000*(1-25%)-10%*80,000 =14,500 同理可得EP2 = 24,000；EP3 = 18,500 需要注意的是第四年的EBIT要加回残值的影响 EBIT4 = 20,000+10,000/(1-25%) = 33,333.33，EP4 = 23,000 MVA=14,5001.1+24,0001.12+18,5001.13+23,0001.14=62,625.16MVA=\frac{14,500}{1.1}+\frac{24,000}{1.1^2}+\frac{18,500}{1.1^3}+\frac{23,000}{1.1^4}=62,625.16MVA=1.114,500​+1.1224,000​+1.1318,500​+1.1423,000​=62,625.16 preciation是否要从asset里减去？

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