来源：财萃网 | 更新：2016-05-12 16:42:20 | 关键词：CFA二级考试
1. Sudbury Industries expects FCFF in the coming year of 400 million Canadian dollars ($), and expects FCFF to grow forever at a rate of 3 percent. The company maintains an all-equity capital structure, and Sudbury’s required rate of return on equity is 8 percent.
Sudbury Industries has 100 million outstanding common shares. Sudbury’s common shares are currently trading in the market for $80 per share.
Using the Constant-Growth FCFF Valuation Model, Sudbury’s stock is:
答案及解析:“The correct answer is A.
Based on a free cash flow valuation model, Sudbury Industries shares appear to be fairly valued.
Since Sudbury is an all-equity firm, WACC is the same as the required return on equity of 8%.
The firm value of Sudbury Industries is the present value of FCFF discounted by using WACC. Since FCFF should grow at a constant 3 percent rate, the result is:
Firm value = FCFF1 / WACC?g = 400 million / 0.08?0.03 = 400 million / 0.05 = $8,000 million
Since the firm has no debt, equity value is equal to the value of the firm. Dividing the $8,000 million equity value by the number of outstanding shares gives the estimated value per share:
V0 = $8,000 million / 100 million shares = $80.00 per share
2. Excerpt from item set
Financial information on a company has just been published including the following:
Net income $240 million
Cost of equity 12%
Dividend payout rate (paid at year end) 60%
Common stock shares in issue 20 million
Dividends and free cash flows will increase a growth rate that steadily drops from 14% to 5% over the next four years, then will increase at 5% thereafter.
The intrinsic value per share using dividend-based valuation techniques is closest to:
“The H-model is frequently required in Level II item sets on dividend or free cash flow valuation.
The model itself can be written as V0 = D0 ÷ (r – gL) x [(1 + gL) + (H x (gS – gL))] where gS and gL are the short-term and long-term growth rates respectively, and H is the “half life” of the drop in growth.
For this question, the calculation is: dividend D0 = $240m x 0.6 ÷ 20m = $7.20 per share.
V0 = $7.20 ÷ (0.12 – 0.05) x [1.05 + 2 x (0.14 – 0.05)] = $126.51, answer B.
However, there is a neat shortcut for remembering the formula. Sketch a graph of the growth rate against time: a line decreasing from short-term gS down to long-term gL over 2H years, then horizontal at level gL. Consider the area under the graph in two parts: the ‘constant growth’ part, and the triangle.
If you look at the formula, the ‘constant growth’ component uses the first part of the square bracket, i.e. D0 ÷ (r – gL) x [(1 + gL) …], which is your familiar D1 ÷ (r – gL). For the triangle, what is its area? Half base x height = 0.5 x 2H x (gS – gL) = H x (gS – gL). This is the second part of the square bracket.
Hence the H-model can be rewritten as V0 = D0 ÷ (r – gL) x [(1 + gL) + triangle].”