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410140980 · 2021年11月23日

unadjusted beta

  1. CFA II
  2. Equity

* 问题详情，请 查看题干

NO.PZ201512300100000406

问题如下：

6. The estimate of beta for Twin Industries is closest to:

选项：

A.

0.44.

B.

0.85.

C.

0.89.

解释：

C is correct.

The steps to estimating a beta for a non-traded company are:

Step 1 Select the comparable benchmark

Step 2 Estimate benchmark’s beta

Step 3 Un-lever the benchmark’s beta

Step 4 Lever the beta to reflect the subject company’s financial leverage

The beta of the benchmark peer company data is given as 1.09. Next, this beta needs to be unlevered, calculated as:

βu=[11+((1−t)DE)]βl\beta_u=\left[\frac1{1+\left(\left(1-t\right){\displaystyle\frac DE}\right)}\right]\beta_l

βu=[11+((1−0.3)0.60.4)]1.09=0.532\beta_u=\left[\frac1{1+\left(\left(1-0.3\right)\frac{0.6}{0.4}\right)}\right]1.09=0.532

The beta of the benchmark peer company data is given as 1.09. Next, this beta needs to be unlevered, calculated as:

lβE′=[1+(1−t)D′E′]βu{l}\beta'_E=\left[1+\left(1-t\right)\frac{D'}{E'}\right]\beta_u\\

lβE′≈[1+(1−0.3)(0.490.51)](0.532)=0.889{l}\\\beta'_E\approx\left[1+\left(1-0.3\right)\left(\frac{0.49}{0.51}\right)\right]\left(0.532\right)=0.889

老师这种题目什么时候需要对β进行adjusted =unadjusted*2/3+1/3*1

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王园圆_品职助教 · 2021年11月23日

嗨，爱思考的PZer你好：


同学你好，除非题目明确告诉考生，公司的贝塔在未来是会更加趋近于市场平均的，或是明确说需要进行贝塔的调整，否则不需要考虑哦~~


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NO.PZ201512300100000406 老师好 2022 年改了， 这类题目是否11月考的还是 忽略tax? 谢谢

2021-11-22 14:20 2 · 回答

NO.PZ201512300100000406 我看提问里面，大家引用的答案是没有考虑1-t的，答案是选B。怎么现在答案又重新考虑了1-t呢？有些混乱了。

2021-08-19 16:26 3 · 回答

NO.PZ201512300100000406 0.85. 0.89. C is correct. The steps to estimating a beta for a non-tracompany are: Step 1 Selethe comparable benchmark Step 2 Estimate benchmark’s beta Step 3 Un-lever the benchmark’s beta Step 4 Lever the beta to reflethe subjecompany’s financileverage The beta of the benchmark peer company ta is given 1.09. Next, this beta nee to unlevere calculateas: βu=[11+((1−t))]βl\beta_u=\left[\frac1{1+\left(\left(1-t\right){\splaystyle\fr}\right)}\right]\beta_lβu​=⎣⎢⎢⎢⎡​1+((1−t)E)1​⎦⎥⎥⎥⎤​βl​ βu=[11+((1−0.3)0.60.4)]1.09=0.532\beta_u=\left[\frac1{1+\left(\left(1-0.3\right)\frac{0.6}{0.4}\right)}\right]1.09=0.532βu​=[1+((1−0.3)0.40.6​)1​]1.09=0.532 The beta of the benchmark peer company ta is given 1.09. Next, this beta nee to unlevere calculateas: lβE′=[1+(1−t)E′]βu{l}\beta'_E=\left[1+\left(1-t\right)\frac{}{E'}\right]\beta_u\\lβE′​=[1+(1−t)E′​]βu​ lβE′≈[1+(1−0.3)(0.490.51)](0.532)=0.889{l}\\\beta'_E\approx\left[1+\left(1-0.3\right)\left(\frac{0.49}{0.51}\right)\right]\left(0.532\right)=0.889lβE′​≈[1+(1−0.3)(0.510.49​)](0.532)=0.889 请问老师，本题是否应该考虑tax的因素呢。

2021-07-14 22:01 2 · 回答

请问这是哪个reang的考点，又忘了李老师的推算过程了，返工复习。。

2020-02-18 22:49 1 · 回答