投资学10版习题答案CH18.docx
- 文档编号:26125461
- 上传时间:2023-06-17
- 格式:DOCX
- 页数:21
- 大小:171.40KB
投资学10版习题答案CH18.docx
《投资学10版习题答案CH18.docx》由会员分享,可在线阅读,更多相关《投资学10版习题答案CH18.docx(21页珍藏版)》请在冰豆网上搜索。
投资学10版习题答案CH18
CHAPTER18:
EQUITYVALUATIONMODELS
PROBLEMSETS
1.Theoretically,dividenddiscountmodelscanbeusedtovaluethestockofrapidlygrowingcompaniesthatdonotcurrentlypaydividends;inthisscenario,wewouldbevaluingexpecteddividendsintherelativelymoredistantfuture.However,asapracticalmatter,suchestimatesofpaymentstobemadeinthemoredistantfuturearenotoriouslyinaccurate,renderingdividenddiscountmodelsproblematicforvaluationofsuchcompanies;freecashflowmodelsaremorelikelytobeappropriate.Attheotherextreme,onewouldbemorelikelytochooseadividenddiscountmodeltovalueamaturefirmpayingarelativelystabledividend.
2.Itismostimportanttousemultistagedividenddiscountmodelswhenvaluingcompanieswithtemporarilyhighgrowthrates.Thesecompaniestendtobecompaniesintheearlyphasesoftheirlifecycles,whentheyhavenumerousopportunitiesforreinvestment,resultinginrelativelyrapidgrowthandrelativelylowdividends(or,inmanycases,nodividendsatall).Asthesefirmsmature,attractiveinvestmentopportunitiesarelessnumeroussothatgrowthratesslow.
3.Theintrinsicvalueofashareofstockistheindividualinvestor’sassessmentofthetrueworthofthestock.Themarketcapitalizationrateisthemarketconsensusfortherequiredrateofreturnforthestock.Iftheintrinsicvalueofthestockisequaltoitsprice,thenthemarketcapitalizationrateisequaltotheexpectedrateofreturn.Ontheotherhand,iftheindividualinvestorbelievesthestockisunderpriced.,intrinsicvalue>price),thenthatinvestor’sexpectedrateofreturnisgreaterthanthemarketcapitalizationrate.
4.Firstestimatetheamountofeachofthenexttwodividendsandtheterminalvalue.Thecurrentvalueisthesumofthepresentvalueofthesecashflows,discountedat%.
5.Therequiredreturnis9%.
6.TheGordonDDMusesthedividendforperiod(t+1)whichwouldbe.
7.ThePVGOis$:
8.a.
b.
Thepricefallsinresponsetothemorepessimisticdividendforecast.Theforecastforcurrentyearearnings,however,isunchanged.Therefore,theP/Eratiofalls.ThelowerP/Eratioisevidenceofthediminishedoptimismconcerningthefirm'sgrowthprospects.
9.a.g=ROEb=16%=8%
D1=$2(1–b)=$2(1–=$1
b.P3=P0(1+g)3=$253=$
10.a.
b.LeadingP0/E1=$$=
TrailingP0/E0=$$=
c.
ThelowP/EratiosandnegativePVGOareduetoapoorROE(9%)thatislessthanthemarketcapitalizationrate(16%).
d.Now,yourevisebto1/3,gto1/39%=3%,andD1to:
E0(1+g)(2/3)
$3(2/3)=$
Thus:
V0=$–=$
V0increasesbecausethefirmpaysoutmoreearningsinsteadofreinvestingapoorROE.Thisinformationisnotyetknowntotherestofthemarket.
11.a.
b.Thedividendpayoutratiois8/12=2/3,sotheplowbackratioisb=1/3.TheimpliedvalueofROEonfutureinvestmentsisfoundbysolving:
g=bROEwithg=5%andb=1/3ROE=15%
c.AssumingROE=k,priceisequalto:
Therefore,themarketispaying$40pershare($160–$120)forgrowthopportunities.
12.a.k=D1/P0+g
D1=$2=$1
g=bROE==
Therefore:
k=($1/$10)+=,or20%
b.Sincek=ROE,theNPVoffutureinvestmentopportunitiesiszero:
c.Sincek=ROE,thestockpricewouldbeunaffectedbycuttingthedividendandinvestingtheadditionalearnings.
13.a.k=rf+β[E(rM)–rf]=8%+(15%–8%)=%
g=bROE=20%=12%
b.P1=V1=V0(1+g)=$=$
14.
Time:
0
1
5
6
Et
$
$
$
$
Dt
$
$
$
$
b
g
%
%
%
%
Theyear-6earningsestimateisbasedongrowthrateof×=.
a.
b.Thepriceshouldriseby15%peryearuntilyear6:
becausethereisnodividend,theentirereturnmustbeincapitalgains.
c.ThepayoutratiowouldhavenoeffectonintrinsicvaluebecauseROE=k.
15.a.ThesolutionisshownintheExcelspreadsheetbelow:
b.,c.UsingtheExcelspreadsheet,wefindthattheintrinsicvaluesare$and$,respectively.
16.ThesolutionsderivedfromSpreadsheetareasfollows:
IntrinsicValue:
FCFF
IntrinsicValue:
FCFE
IntrinsicValueperShare:
FCFF
IntrinsicValueperShare:
FCFE
a.
100,000
75,128
b.
109,422
81,795
c.
89,693
66,014
17.
Time:
0
1
2
3
Dt
$
$
$
$
g
%
%
%
%
a.Thedividendtobepaidattheendofyear3isthefirstinstallmentofadividendstreamthatwillincreaseindefinitelyattheconstantgrowthrateof5%.Therefore,wecanusetheconstantgrowthmodelasoftheendofyear2inordertocalculateintrinsicvaluebyaddingthepresentvalueofthefirsttwodividendsplusthepresentvalueofthepriceofthestockattheendofyear2.
Theexpectedprice2yearsfromnowis:
P2=D3/(k–g)=$–=$
ThePVofthisexpectedpriceis$=$
ThePVofexpecteddividendsinyears1and2is
Thusthecurrentpriceshouldbe:
$+$=$
b.Expecteddividendyield=D1/P0=$$=,or%
c.TheexpectedpriceoneyearfromnowisthePVatthattimeofP2andD2:
P1=(D2+P2)/=($+$/=$
Theimpliedcapitalgainis
(P1–P0)/P0=($–$/$==%
Thesumoftheimpliedcapitalgainsyieldandtheexpecteddividendyieldisequaltothemarketcapitalizationrate.ThisisconsistentwiththeDDM.
18.
Time:
0
1
4
5
Et
$
$
$
$
Dt
$
$
$
$
Dividends=0forthenextfouryears,sob=(100%plowbackratio).
a.
(Sincek=ROE,knowingtheplowbackrateisunnecessary)
b.Priceshouldincreaseatarateof15%overthenextyear,sothattheHPRwillequalk.
19.Before-taxcashflowfromoperations$2,100,000
Depreciation210,000
TaxableIncome1,890,000
Taxes(@35%)661,500
After-taxunleveragedincome1,228,500
After-taxcashflowfromoperations
(After-taxunleveragedincome+depreciation)1,438,500
Newinvestment(20%ofcashflowfromoperations)420,000
Freecashflow
(After-taxcashflowfromoperations–newinvestment)$1,018,500
Thevalueofthefirm.,debtplusequity)is:
Sincethevalueofthedebtis$4million,thevalueoftheequityis$10,550,000.
20.a.g=ROEb=20%=10%
b.
Time
EPS
Dividend
Comment
0
$
$
1
g=10%,plowback=
2
EPShasgrownby10%basedonlastyear’searningsplowbackandROE;thisyear’searningsplowbackrationowfallstoandpayoutratio=
3
$
$
EPSgrowsby(15%)=6%andpayoutratio=
Attime2:
Attime0:
c.P0=$11andP1=P0(1+g)=$
(Becausethemarketisunawareofthechangedcompetitivesituation,itbelievesthestockpriceshouldgrowat10%peryear.)
P2=$afterthemarketbecomesawareofthechangedcompetitivesituation.
P3=$=$(Thenewgrowthrateis6%.)
Year
Return
1
2
3
Moral:
Innormalperiodswhenthereisnospecialinformation,thestockreturn=k=15%.Whenspecialinformationarrives,alltheabnormalreturnaccruesinthatperiod,asonewouldexpectinanefficientmarket.
CFAPROBLEMS
1.a.Thisdirectorisconfused.Inthecontextoftheconstantgrowthmodel
[.,P0=D1/k–g)],itistruethatpriceishigherwhendividendsarehigherholdingeverythingelseincludingdividendgrowthconstant.Buteverythingelsewillnotbeconstant.Ifthefirmincreasesthedividendpayoutrate,thegrowthrategwillfall,andstockpricewillnotnecessarilyrise.Infact,ifROE>k,pricewillfall.
b.(i)Anincreaseindividendpayoutwillreducethesustainablegrowthrateaslessfundsarereinvestedinthefirm.Thesustainablegrowthrate
.ROEplowback)willfallasplowbackratiofalls.
(ii)Theincreaseddividendpayoutratewillreducethegrowthrateofbookvalueforthesamereason--lessfundsarereinvestedinthefirm.
2.Usingatwo-stagedividenddiscountmodel,thecurrentvalueofashareofSundanciiscalculatedasfollows.
where:
E0=$
D0=$
E1=E01=$=$
D1=E1=$=$
E2=E02=$2=$
D2=E2=$=$
E3=E02=$2=$
D3=E3=$=$
3.a.Freecashflowtoequity(FCFE)isdefinedasthecashflowremainingaftermeetingallfinancialobligations(includingdebtpayment)andaftercoveringcapitalexpenditureandworkingcapitalneeds.TheFCFEisameasureofhowmuchthefirmcanaffordtopayoutasdividendsbut,inagivenyear,maybemoreorlessthantheamountactuallypaidout.
Sundanci'sFCFEfortheyear2008iscomputedasfollows:
FCFE=Earnings+DepreciationCapitalexpendituresIncreaseinNWC
=$80million+$23million$38million$41million=$24million
FCFEpershare=
Atthispayoutratio,Sundanci'sFCFEpershareequalsdividendspershare.
b.TheFCFEmodelrequiresforecastsofFCFEforthehighgrowthyears(2012and2013)plusaforecastforthefirstyearofstablegrowth(2014)inordertoallowforanestimateoftheterminalvaluein2013basedonperpetualgrowth.BecauseallofthecomponentsofFCFEareexpectedtogrowatthesamerate,thevaluescanbeobtainedbyprojectingtheFCFEatthecommonrate.(Alternatively,thecomponentsofFCFEcanbeprojectedandaggregatedforeachyear.)
Thistableshowstheprocessforestimatingthecurrentpersharevalue:
FCFEBaseAssumptions
Sharesoutstanding:
84million,k=14%
Actual
2011
Projected
2012
Projected
2013
Projected
2014
Growthrate(g)
27%
27%
13%
Total
PerShare
Earningsaftertax
$80
$
$
$
$
Plus:
Depreciationexpense
23
$
Less:
Capitalexpenditures
38
$
Less:
Increaseinnetworkingcapital
41
$
Equals:
FCFE
24
$
Terminalvalue
$*
Totalcashflowstoequity
$
- 配套讲稿:
如PPT文件的首页显示word图标,表示该PPT已包含配套word讲稿。双击word图标可打开word文档。
- 特殊限制:
部分文档作品中含有的国旗、国徽等图片,仅作为作品整体效果示例展示,禁止商用。设计者仅对作品中独创性部分享有著作权。
- 关 键 词:
- 投资 10 习题 答案 CH18