开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

糙糙米 · 2022年05月26日

第0年的现金流为什么不用加上

  1. CFA II
  2. Equity

NO.PZ2018103102000120

问题如下：

Matt is preparing to evaluate the value of Company M`s equity by using the two-stage FCFF model. The growth rates for the first three years are estimated at 5% and then it may grow at 2.5% per year into the indefinite future. The most recent FCFF is $2,000 million and the company is in the 30% tax bracket. The relevant information is shown in the following table. Determine whether the common stock is fairly valued, overvalued or undervalued?

选项：

A.

undervalued.

B.

overvalued.

C.

fairly valued.

解释：

A is correct.

考点：Valuation Models.

解析：先计算WACC = wd × rd × (1–T) + (wp × rp) + (we × re)

= (15,000/40,000)(0.06)(1– 0.3) + (5,000/40,000)(0.04) + (20,000/40,000)(0.1)

= 7.08%

PV3=FCFF3×(1+g)r−g=2000×1.053×(1+2.5%)7.08%−2.5%=51,815.09millionPV_3=\frac{FCFF_3\times\left(1+g\right)}{r-g}=\frac{2000\times1.05^3\times\left(1+2.5\%\right)}{7.08\%-2.5\%}=51,815.09million

PV=21001.0708+22051.07082+2315.25+51,815.091.07083=47,971.73millionPV=\frac{2100}{1.0708}+\frac{2205}{1.0708^2}+\frac{2315.25+51,815.09}{1.0708^3}=47,971.73million

V common stock = 47,971.73 – 15,000 – 5,000 = $27,971.73 million

大于市场价值20,000 million，所以common stock被低估。

老师，这题我做对了，但突然想到有一个问题：第0年的FCFF也就是2000为什么不用加总在价值中，之前惯性思维直接从第一年现金流开始折现，但原因没有想过，现在突然有点疑问。谢谢老师！

添加评论
1 个答案

王园圆_品职助教 · 2022年05月27日

嗨，爱思考的PZer你好：


同学你好，因为我们估计资产的价值的原理是：资产把资产所有未来产生的现金流折现到0时刻计算出来的值，就是资产0时刻的价值。而第0年的FCFF是已经发生的，过去的现金流，不属于未来，所以不可以在计算的时候考虑。

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

  • 1

    回答

  • 1

    关注

  • 294

    浏览
相关问题

NO.PZ2018103102000120 问题如下 Matt is preparing to evaluate the value of Company M`s equity using the two-stage FCFF mol. The growth rates for the first three years are estimate5% anthen it mgrow 2.5% per yeinto the infinite future. The most recent FCFF is $2,000 million anthe company is in the 30% tbracket. The relevant information is shown in the following table. termine whether the common stois fairly value overvalueor unrvalue A.unrvalue B.overvalue C.fairly value A is correct.考点Valuation Mols.解析先计算WA= w× r× (1–T) + (wp × rp) + (we × re) = (15,000/40,000)(0.06)(1– 0.3) + (5,000/40,000)(0.04) + (20,000/40,000)(0.1)= 7.08%PV3=FCFF3×(1+g)r−g=2000×1.053×(1+2.5%)7.08%−2.5%=51,815.09millionPV_3=\frac{FCFF_3\times\left(1+g\right)}{r-g}=\frac{2000\times1.05^3\times\left(1+2.5\%\right)}{7.08\%-2.5\%}=51,815.09millionPV3​=r−gFCFF3​×(1+g)​=7.08%−2.5%2000×1.053×(1+2.5%)​=51,815.09millionPV=21001.0708+22051.07082+2315.25+51,815.091.07083=47,971.73millionPV=\frac{2100}{1.0708}+\frac{2205}{1.0708^2}+\frac{2315.25+51,815.09}{1.0708^3}=47,971.73millionPV=1.07082100​+1.070822205​+1.070832315.25+51,815.09​=47,971.73millionV common sto= 47,971.73 – 15,000 – 5,000 = $27,971.73 million大于市场价值20,000 million，所以common stock被低估。 想请问一下FCFF现金流折现的时候是不是应该用WAC谢谢

2023-08-09 12:24 1 · 回答

NO.PZ2018103102000120 问题如下 Matt is preparing to evaluate the value of Company M`s equity using the two-stage FCFF mol. The growth rates for the first three years are estimate5% anthen it mgrow 2.5% per yeinto the infinite future. The most recent FCFF is $2,000 million anthe company is in the 30% tbracket. The relevant information is shown in the following table. termine whether the common stois fairly value overvalueor unrvalue A.unrvalue B.overvalue C.fairly value A is correct.考点Valuation Mols.解析先计算WA= w× r× (1–T) + (wp × rp) + (we × re) = (15,000/40,000)(0.06)(1– 0.3) + (5,000/40,000)(0.04) + (20,000/40,000)(0.1)= 7.08%PV3=FCFF3×(1+g)r−g=2000×1.053×(1+2.5%)7.08%−2.5%=51,815.09millionPV_3=\frac{FCFF_3\times\left(1+g\right)}{r-g}=\frac{2000\times1.05^3\times\left(1+2.5\%\right)}{7.08\%-2.5\%}=51,815.09millionPV3​=r−gFCFF3​×(1+g)​=7.08%−2.5%2000×1.053×(1+2.5%)​=51,815.09millionPV=21001.0708+22051.07082+2315.25+51,815.091.07083=47,971.73millionPV=\frac{2100}{1.0708}+\frac{2205}{1.0708^2}+\frac{2315.25+51,815.09}{1.0708^3}=47,971.73millionPV=1.07082100​+1.070822205​+1.070832315.25+51,815.09​=47,971.73millionV common sto= 47,971.73 – 15,000 – 5,000 = $27,971.73 million大于市场价值20,000 million，所以common stock被低估。 为什么不能用每一期的FCFF-BT-优先股=FCFE,然后用每一期的FCFE去折现计算？

2023-05-28 01:33 1 · 回答

NO.PZ2018103102000120 问题如下 Matt is preparing to evaluate the value of Company M`s equity using the two-stage FCFF mol. The growth rates for the first three years are estimate5% anthen it mgrow 2.5% per yeinto the infinite future. The most recent FCFF is $2,000 million anthe company is in the 30% tbracket. The relevant information is shown in the following table. termine whether the common stois fairly value overvalueor unrvalue A.unrvalue B.overvalue C.fairly value A is correct.考点Valuation Mols.解析先计算WA= w× r× (1–T) + (wp × rp) + (we × re) = (15,000/40,000)(0.06)(1– 0.3) + (5,000/40,000)(0.04) + (20,000/40,000)(0.1)= 7.08%PV3=FCFF3×(1+g)r−g=2000×1.053×(1+2.5%)7.08%−2.5%=51,815.09millionPV_3=\frac{FCFF_3\times\left(1+g\right)}{r-g}=\frac{2000\times1.05^3\times\left(1+2.5\%\right)}{7.08\%-2.5\%}=51,815.09millionPV3​=r−gFCFF3​×(1+g)​=7.08%−2.5%2000×1.053×(1+2.5%)​=51,815.09millionPV=21001.0708+22051.07082+2315.25+51,815.091.07083=47,971.73millionPV=\frac{2100}{1.0708}+\frac{2205}{1.0708^2}+\frac{2315.25+51,815.09}{1.0708^3}=47,971.73millionPV=1.07082100​+1.070822205​+1.070832315.25+51,815.09​=47,971.73millionV common sto= 47,971.73 – 15,000 – 5,000 = $27,971.73 million大于市场价值20,000 million，所以common stock被低估。 V common sto= 47,971.73 – 15,000 – 5,000 = $27,971.73 million为什么 common stock的value是这个？根据普通股占比50%，即We=50%，得到普通股的价值不应该是 47,971.73*50%吗

2023-03-06 22:23 3 · 回答

NO.PZ2018103102000120 问题如下 Matt is preparing to evaluate the value of Company M`s equity using the two-stage FCFF mol. The growth rates for the first three years are estimate5% anthen it mgrow 2.5% per yeinto the infinite future. The most recent FCFF is $2,000 million anthe company is in the 30% tbracket. The relevant information is shown in the following table. termine whether the common stois fairly value overvalueor unrvalue A.unrvalue B.overvalue C.fairly value A is correct.考点Valuation Mols.解析先计算WA= w× r× (1–T) + (wp × rp) + (we × re) = (15,000/40,000)(0.06)(1– 0.3) + (5,000/40,000)(0.04) + (20,000/40,000)(0.1)= 7.08%PV3=FCFF3×(1+g)r−g=2000×1.053×(1+2.5%)7.08%−2.5%=51,815.09millionPV_3=\frac{FCFF_3\times\left(1+g\right)}{r-g}=\frac{2000\times1.05^3\times\left(1+2.5\%\right)}{7.08\%-2.5\%}=51,815.09millionPV3​=r−gFCFF3​×(1+g)​=7.08%−2.5%2000×1.053×(1+2.5%)​=51,815.09millionPV=21001.0708+22051.07082+2315.25+51,815.091.07083=47,971.73millionPV=\frac{2100}{1.0708}+\frac{2205}{1.0708^2}+\frac{2315.25+51,815.09}{1.0708^3}=47,971.73millionPV=1.07082100​+1.070822205​+1.070832315.25+51,815.09​=47,971.73millionV common sto= 47,971.73 – 15,000 – 5,000 = $27,971.73 million大于市场价值20,000 million，所以common stock被低估。 FCFF估值模型对WACC非常敏感，解答过程中WACC=7.075%直接≈7.08%了。虽然不影响答案，但就想知道什么时候需要精确，什么时候可以约等于呢？

2023-02-04 18:18 1 · 回答