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kevinzhu · 2021年12月05日

用计算器

  1. CFA II
  2. Equity

NO.PZ2018103102000064

问题如下：

Jacques prepares to update the valuation of TMT. The company’s expected ROE in 2017 is 34.5% but it is assumed that the firm’s ROE will slowly decline towards the cost of equity thereafter.  As of the beginning of 2015, based upon the information in the below table, use the multistage-stage residual income (RI) model to determine the intrinsic value of the equity of TMT. The intrinsic value per share is closest to:

选项：

A.

22.72.

B.

14.97.

C.

78.81.

解释：

B is correct.

考点：RI

解析：B是正确的。第一步是计算2015 - 2017年的每股剩余收益:

第二步是计算终值的现值:

PV of Terminal Value =1.88/(1+0.08-0.85)(1.08)2=7

那么每股的内在价值就是: V0=5+1.6/(1.080)+1.74/(1.08)2+7=14.97

B1=B0+EPS1-Div1=5+2-1.2=5.8

B2=B1+EPS2-Div2=5.8+2.2-0.9=7.1

B3=B2+EPS3-Div3=7.1+2.45-1.11=8.44


RI1=EPS1-re*B0=2-8.7%*5=1.6

RI2=EPS2-re*B1=2.2-8.7%*5.8=1.736

RI3=EPS3-re*B2=2.45-8.7%*7.1=1.882

Terminal Value (TV)=RI3/(1+re-w)=1.882/(1+0.08-0.85)=8.8183


每股的内在价值

V0=B0+=RI1/(1+re)+RI2/(1+re)2+TV/(1+re)2= 5+1.6/(1+0.08)+1.736/(1+0.08)2+8.81826/(1+0.08)2=14.97

用计算器C01=RI1=1.6  C02=RI2+TV=1.736+8.8183=10.5543, I=8 , 求NPV=10.5301

10.5301+5=15.5301和答案的14.97不一致？错在哪里？

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1 个答案

王园圆_品职助教 · 2021年12月06日

嗨，努力学习的PZer你好：


同学你好，计算器用的都是正确的，是terminal value的值不对哦·~~

Terminal Value (TV)=RI3/(1+re-w)=1.882/(1+0.08-0.85)=8.8183——这里应该是8.1826

答案这里写错了，我会尽快通知后台改一下的哦~~



----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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