问一道题：NO.PZ201809170300000107 第7小题 [ CFA II ]

NO.PZ201809170300000107 问题如下 Yane Izzo manages a vingrowth strategy for a large asset management firm. Izzo meets with her investment teto scuss potentiinvestments in three companies: Company Company anCompany Statements of cash flow for the three companies are presentein Exhibit 1. Exhibit 1. Statements of Cash Flow, Most Recent FiscYeEn(Amounts in Millions of llars) Izzo’s tefirst scusses key characteristiof Company The company ha history of paying most vin relative to FCFE, ha stable capitstructure, anis ownea controlling investor. The tealso consirs the impaof Company A’s three non-cash transactions in the most recent yeon its FCFE, inclung the following: Transaction 1: A $900 million loss on a sale of equipment Transaction 2: impairment of intangibles of $400 million Transaction 3: A $300 million reversof a previously recorrestructuring charge In aition, Company A’s annureport incates ththe firm expects to incur aitionnon-cash charges relateto restructuring over the next few years. To value the three companies’ shares, one temember suggests valuing the companies’ shares using net income a proxy for FCFE. Another temember proposes forecasting FCFE using a sales-basemethology baseon the following equation: FCFE = NI- (1 - )(FCInv - p) - (1 -– )(WCInv) Izzo’s teultimately cis to use actufree cash flow to value the three companies’ shares. Selecteta anassumptions are proviin Exhibit 2. Exhibit 2. Supplementta anValuation Assumptions The tecalculates the intrinsic value of Company B using a two-stage FCFE mol. FCFE growth rates for the first four years are estimate10%, 9%, 8%, an7%, respectively, before clining to a constant 6% starting in the fifth year. To calculate the intrinsic value of Company C’s equity, the teuses the FCFF approaassuming a single-stage mol where FCFF is expecteto grow 5% infinitely. Based on Exhibits 1 an2 anthe proposesingle-stage FCFF mol, the intrinsic value of Company C’s equity is closest to: $277,907 million. $295,876 million. $306,595 million. C is correct. Company C’s firm value is calculatefollows: The requirerate of return on equity for Company C is r = E(Ri) = RF + βi[E(RM) –  RF] = 3% + 1.1(7%) = 10.7%. WACC = r(1 - Trate) + re WACC = 0.40(6%)(1 –  0.30) + 0.60(10.7%) = 1.68% + 6.42% = 8.10% FCFF for the most recent yefor Company C is calculatefollows: Investment in working capitis founaing the increase in accounts receivable, the increase in inventories, the crease in accounts payable, anthe increase in other current liabilities: – $536 million –  $803 million –  $3 million + $350 million = – $992 million. FCFF is expecteto grow 5.0% infinitely. Thus, Firm value = =  = = $510,990.97 million The value of equity is the value of the firm minus the value of bt. The value of is founmultiplying the target ratio the totfirm value: bt value = 0.40($510,990.97) = $204,396.39 Therefore, equity value = $510,990.97 –  $204,396.39 = $306,594.58 million. CFO中的数据，是真金白银的流出/入，所以我做的时候想的就是552就是真正税后的利息费用，虽然不影响选答案吧，但还是想了解下原因

NO.PZ201809170300000107 问题如下 Based on Exhibits 1 an2 anthe proposesingle-stage FCFF mol, the intrinsic value of Company C’s equity is closest to: $277,907 million. $295,876 million. $306,595 million. C is correct. Company C’s firm value is calculatefollows: The requirerate of return on equity for Company C is r = E(Ri) = RF + βi[E(RM) –  RF] = 3% + 1.1(7%) = 10.7%. WACC = r(1 - Trate) + re WACC = 0.40(6%)(1 –  0.30) + 0.60(10.7%) = 1.68% + 6.42% = 8.10% FCFF for the most recent yefor Company C is calculatefollows: Investment in working capitis founaing the increase in accounts receivable, the increase in inventories, the crease in accounts payable, anthe increase in other current liabilities: – $536 million –  $803 million –  $3 million + $350 million = – $992 million. FCFF is expecteto grow 5.0% infinitely. Thus, Firm value = =  = = $510,990.97 million The value of equity is the value of the firm minus the value of bt. The value of is founmultiplying the target ratio the totfirm value: bt value = 0.40($510,990.97) = $204,396.39 Therefore, equity value = $510,990.97 –  $204,396.39 = $306,594.58 million. 这道题可否直接算FCFE方式来解答？

NO.PZ201809170300000107 问题如下 Based on Exhibits 1 an2 anthe proposesingle-stage FCFF mol, the intrinsic value of Company C’s equity is closest to: $277,907 million. $295,876 million. $306,595 million. C is correct. Company C’s firm value is calculatefollows: The requirerate of return on equity for Company C is r = E(Ri) = RF + βi[E(RM) –  RF] = 3% + 1.1(7%) = 10.7%. WACC = r(1 - Trate) + re WACC = 0.40(6%)(1 –  0.30) + 0.60(10.7%) = 1.68% + 6.42% = 8.10% FCFF for the most recent yefor Company C is calculatefollows: Investment in working capitis founaing the increase in accounts receivable, the increase in inventories, the crease in accounts payable, anthe increase in other current liabilities: – $536 million –  $803 million –  $3 million + $350 million = – $992 million. FCFF is expecteto grow 5.0% infinitely. Thus, Firm value = =  = = $510,990.97 million The value of equity is the value of the firm minus the value of bt. The value of is founmultiplying the target ratio the totfirm value: bt value = 0.40($510,990.97) = $204,396.39 Therefore, equity value = $510,990.97 –  $204,396.39 = $306,594.58 million. To calculate the intrinsic value of Company C’s equity, the teuses the FCFF approaassuming a single-stage mol where FCFF is expecteto grow 5% infinitely.这题我有一个困惑点5%grow 5% infinitely.，为什么不是FCFF/5%,而是FCFF*（1+5%）/(R-G）

NO.PZ201809170300000107 问题如下 Based on Exhibits 1 an2 anthe proposesingle-stage FCFF mol, the intrinsic value of Company C’s equity is closest to: $277,907 million. $295,876 million. $306,595 million. C is correct. Company C’s firm value is calculatefollows: The requirerate of return on equity for Company C is r = E(Ri) = RF + βi[E(RM) –  RF] = 3% + 1.1(7%) = 10.7%. WACC = r(1 - Trate) + re WACC = 0.40(6%)(1 –  0.30) + 0.60(10.7%) = 1.68% + 6.42% = 8.10% FCFF for the most recent yefor Company C is calculatefollows: Investment in working capitis founaing the increase in accounts receivable, the increase in inventories, the crease in accounts payable, anthe increase in other current liabilities: – $536 million –  $803 million –  $3 million + $350 million = – $992 million. FCFF is expecteto grow 5.0% infinitely. Thus, Firm value = =  = = $510,990.97 million The value of equity is the value of the firm minus the value of bt. The value of is founmultiplying the target ratio the totfirm value: bt value = 0.40($510,990.97) = $204,396.39 Therefore, equity value = $510,990.97 –  $204,396.39 = $306,594.58 million. fcff的公式里是+int（1- T），但题目中不是给了-552吗，难道不应该用-552*（1-30%）吗？

NO.PZ201809170300000107 Baseon Exhibits 1 an2 anthe proposesingle-stage FCFF mol, the intrinsic value of Company C’s equity is closest to: $277,907 million. $295,876 million. $306,595 million. C is correct. Company C’s firm value is calculatefollows: The requirerate of return on equity for Company C is r = E(Ri) = RF + βi[E(RM) –  RF] = 3% + 1.1(7%) = 10.7%. WA= r(1 - Trate) + re WA= 0.40(6%)(1 –  0.30) + 0.60(10.7%) = 1.68% + 6.42% = 8.10% FCFF for the most recent yefor Company C is calculatefollows: Investment in working capitis founaing the increase in accounts receivable, the increase in inventories, the crease in accounts payable, anthe increase in other current liabilities: – $536 million –  $803 million –  $3 million + $350 million = – $992 million. FCFF is expecteto grow 5.0% infinitely. Thus, Firm value = =  = = $510,990.97 million The value of equity is the value of the firm minus the value of bt. The value of is founmultiplying the target ratio the totfirm value: value = 0.40($510,990.97) = $204,396.39 Therefore, equity value = $510,990.97 –  $204,396.39 = $306,594.58 million. 不是应该是-wc=-536-803-（-3）-350=-989吗？