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Carol · 2022年01月03日

如何区分题目给的是Rm还是ERP？

  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

在这道题里把market risk premium当成Rm而不是Rm-Rf了。。risk premium不能理解为market 风险的补偿吗？这样后面算对了也没用。。谢谢老师
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1 个答案

王园圆_品职助教 · 2022年01月03日

嗨，从没放弃的小努力你好：


同学，要区分ERP和Rm最好的方法就是记住ERP的全称是equity risk premium，既然是premium，必然是比某个基准值高出一部分的，所以就是Rm - Rf(Rf 就是那个基准值）

而Rm 的定义是market risk，所以不含premium，指的就是单纯的市场风险的值，不存在比某个基准值高，也不存在对谁做补偿

另外，你说“risk premium不能理解为market 风险的补偿吗”——这个说法是没有问题的哦~~但是这个说法针对的对象是ERP而非Rm哦~~

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