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

黄路迦 · 2019年12月08日

问一道题: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%

$$PV_3=\frac{FCFF_3\times\left(1+g\right)}{r-g}=\frac{2000\times1.05^3\times\left(1+2.5\%\right)}{7.08\%-2.5\%}=\$51,815.09million$$

$$PV=\frac{2100}{1.1.0708}+\frac{2205}{1.1.0708^2}+\frac{2315.25+51,815.09}{1.1.0708^3}=\$47,971.73million$$

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。

算完最后一步EV=47971之后,只能说明EV被高估啊?为什么可以说明是普通股被高估?为什么不是优先股或者是债被高估??


2 个答案

Kyle · 2020年06月14日

虽然求出来的是firm value,但是debt和优先股的定价,都是fix income固定收益的定价模式,就是根据debt的利率,面值,和优先股股息率来计算。固定收益类产品的特点在于,其T=0时刻的估值都是可以比较准确的计算出来的,而其价值的变化,除开极端情况(公司倒闭,对应credit risk,或者liquidation risk),而且这部分在debt的利率中也应该给予补偿了。其价值主要受利率的影响,优先股的估值,在题目假设FCFF恒定增长的情况下,优先股的估值一般也是不变的。


debt和优先股的价值,是容易受未来因素的影响,所以这道题,站在当前预测的话,只给出了对FCFF的预测,而没有对利率和优先股股息率作说明的情况下,可以假设这两个值是不变的。


希望对你理解有帮助

maggie_品职助教 · 2019年12月09日

我们在二级学习估值,是对普通股进行股票,判断的是股票(普通股)的高估还是低估,因此当我们得到公司的价值后先要扣掉债券的市场价值以及优先股的市场价值得到普通股的价值,才能和普通股的市场价格进行比较,得到股票是被高估或低估的结论。

  • 2

    回答
  • 0

    关注
  • 385

    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.unrvalueB.overvalueC.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。 会不会因为preferrestounrvalue 或者overvalu

2024-08-30 21:24 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。 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