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tzdsgn · 2022年01月02日

请教

  1. CFA II
  2. Equity

NO.PZ2018103102000105

问题如下：

Matt is evaluating Company M by using the multistage residual income model. He has forecasted that residual income per share will be constant from year 3 into perpetuity and the short-term ROE is higher than the long-term ROE. He has also estimated the earnings and dividends for the following three years in the following table. What`s the intrinsic value of Company M?

选项：

A.

$27.18

B.

$48.91

C.

$55.43

解释：

C is correct.

考点：Multistage Residual Income Valuation

解析：先计算出每一年的BV

BV1 = BV0 + EPS - Dividends per share = 28.25 + 6.5 - 1.75 = $33，同理可得BV2 = $38.19，BV3 = $43.15

再计算出每一年的RI

RI1 = EPS1 – re*B0 = 6.50-10.9%*28.25 = $3.42，同理可得RI2 = $4.22，RI3 = $2.77

终值的现值:

PV=RI3r×(1+r)3=2.770.109×1.1093=18.63PV=\frac{RI_3}{r\times\left(1+r\right)^3}=\frac{2.77}{0.109\times1.109^3}=18.63

V0=28.25+3.421.109+4.221.1092+2.771.1093+18.63=55.43V_0=28.25+\frac{3.42}{1.109}+\frac{4.22}{1.109^2}+\frac{2.77}{1.109^3}+18.63=55.43

1）constant long term growth给了一个数字 和 ri 持续 constant（g=0）不是会有冲突吗？

2） pvri 如果下标就是 pvri4对吧，是pvri4=ri3（1+g) ➗ （re-g）

3）题外问题nopat 就是ebi吗


谢谢

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2 个答案

王园圆_品职助教 · 2022年01月04日

嗨，从没放弃的小努力你好：


同学你好，题目中的constant long term growth rate就是我回答第一问公式里的g哦~~

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

王园圆_品职助教 · 2022年01月03日

嗨，爱思考的PZer你好：


同学你好，1）RI保持不变不等价于公司的增长率等于0哦~~我们看公式RI = NI- Re*BV

由于公司按g的速度稳定增长，就是公司的净利润NI和BV都按g的速度增长，从t年开始公司进入RI不变，就是RI = NI（t-1）*（1+g) - Re*BV(t-1)*(1+g)=[NI(t-1)-Re*BV（t-1)]*(1+g).只要这个公式里每个数字都是一个恒定值，RI就是恒定的哦~~

2)这道题说的是RI永续不变，适用的公式是PVRI（t-1） = RI（t-1）/r的公式

另外你说的这个公式是不存在的，RI一共有四种情况，但没有哪一种是RI会按g的速度增长的。相关讲义截图如下

3）NOPAT的全称是net operating profit after tax，相当于EBIT*（1-t)，是扣除了税的; EBI的全称是earning before interest，是包含利息的earning。两者应该相同

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

tzdsgn · 2022年01月03日

1）RI保持不变不等价于公司的增长率等于0哦~~我们看公式RI = NI- Re*BV 由于公司按g的速度稳定增长，就是公司的净利润NI和BV都按g的速度增长，从t年开始公司进入RI不变，就是RI = NI（t-1）*（1+g) - Re*BV(t-1)*(1+g)=[NI(t-1)-Re*BV（t-1)]*(1+g).只要这个公式里每个数字都是一个恒定值，RI就是恒定的哦~~ --补充问：题目中constant long term growth 5.5%是什么

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