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金融民工阿聪 · 2021年06月08日

为什么WACC不是直接拿addition information算出来是8%？

  1. CFA II
  2. Equity

NO.PZ2018103102000114

问题如下：

Matt is preparing to calculate the intrinsic value of Company M’s equity by using the FCFF model with the constant growth rate of 5% indefinitely. The relevant information is shown in the following table. What `s the value of Company M`s equity?

选项：

A.

$5,145 million

B.

$8,575 million

C.

$12,862.5 million

解释：

C is correct.

考点：Valuation Models

解析：M公司的权益回报率为：E(Ri) = RF + βi[E(RM) – RF] = 2.4% + 0.8(7%) = 8%.

M公司的WACC为：WACC = Wd*Rd*(1 - T) + We*Re

WACC = 0.40(5%)(1 – 0.3) + 0.60(8%) = 1.4% + 4.8% = 6.2%

FCFF = NI + Int × (1-T) + NCC – Wcinv - FCinv

= 212 + 100 × (1-0.3) + 88 – (50-25) – 100 = $245 million

Firm  Value=FCFF0×(1+g)WACC−g=245×(1+5%)6.2%−5%=$21437.5millionFirm\;Value=\frac{FCFF_0\times\left(1+g\right)}{WACC-g}=\frac{245\times\left(1+5\%\right)}{6.2\%-5\%}=\$21437.5million

Debt value = 0.4 * 21437.5 = $8575 million

Equity value = 0.6 * 21437.5 = $12862.5 million

WACC=wd*rd*(1-T)+we*re我了解，但是我是按照addition information给的数据算出来WACC=8%，这里这个表也写了是M公司的数据！但是所以给的β，给的MRP，就应该给的是整个公司的β和整个公司的MRP啊，全篇上下都在说的是firm 层面的数据，怎么到了下面就变成equity的数据了，而且也没有任何提示？

所以我直接拿WACC=rf+β*MRP求出是8%，然后用GGM算出公司价值就是8575，然后根据DR算出Equity占60%也就是5145，选A，为什么不对？

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1 个答案

追风少年_ 品职助教 · 2021年06月09日

嗨，从没放弃的小努力你好：


同学，你这个概念弄错了，WACC是加权平均资本成本，也就是股加债综合的资本成本，你这个算出来的只是股的成本，没有债的成本，而且题目当中提示我们要用FCFF计算，所以也要用WACC来折现。

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努力的时光都是限量版，加油！

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