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daiwin18 · 2021年09月26日

问一道题：NO.PZ2018103102000114 [ CFA II ]

  1. CFA II
  2. Equity

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

为什么我直接求FCFE，然后用Re折现求的equity跟答案不一样
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2 个答案

王园圆_品职助教 · 2021年09月27日

嗨，从没放弃的小努力你好：


同学，你可以认为g是针对FCFF而非FCFE的条件，所以本题不能用FCFE计算。而且题目明确说了用FCFF计算，这是有它的内在道理的。


这是因为用FCFE和FCFF的计算结果就是会出现不一致的。


从FCFF出发要用WACC折现再减去的debt，而从FCFE出发要用re折现。除非每期公司始终保持自己的资本结构永远不变，否则每期的re就会有一定的区别（由于股东风险的变化），那用一个统一的re 计算就得不出准确的值了。而WACC不受资本结构的变动影响，所以在公司资本结构发生变动或是无法确定是否有变化的时候，用FCFF出发估值更准确。

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加油吧，让我们一起遇见更好的自己！

王园圆_品职助教 · 2021年09月26日

嗨，努力学习的PZer你好：


同学你好，因为题目的题干要求的是用FCFF来计算哦~~

从FCFF计算公司价值再减去debt得到的值，和直接用FEFE来计算equity的值肯定会不一样哒~~

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努力的时光都是限量版，加油！

daiwin18 · 2021年09月27日

你这个回答是不是有歧义啊？求equity有两个方法，一个是用FCFF再减去debt，另外一个是直接求FCFE，只是这道题目的g是针对FCFF，而不是FCFE吧？

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