CFA一级试题一共18套十三.docx
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CFA一级试题一共18套十三.docx
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CFA一级试题一共18套十三
十三AssetValuation:
EquityInvestments
1.A:
AnIntroductiontoSecurityValuation
a:
Explainthetop-downapproachanditsunderlyinglogictothesecurityvaluationprocess.
Step1Generaleconomicinfluences:
fiscalpolicy:
taxcutsencouragespendingandtaxincreasesdiscouragespending.monetarypolicy:
arestrictivepolicyreducestheavailabilityoffundsandcausesinterestratestoriseputtingupwardpressuresoncosts.Inadditiontofiscalandmonetaryactionsyoumustalsoconsidertheeconomicconsequencesofpoliticalchangesaroundtheglobe.Fromaglobalportfolioperspectiveyouhavetoconsidertheeconomiceventsinothercountries.
Step2Industryinfluences:
Thenextstepinthevaluationprocessistoidentifythoseindustriesthatwillprosperorsufferduringthetimeframeofyoureconomicforecast.Youshouldconsiderthecyclicalnatureoftheindustryunderstudy.Someindustriesarecyclical,somearecontracyclicalandsomearenon-cyclical.Finally,youranalysisshouldalsoaccountforforeigneconomicshifts.Ingeneral,anindustry’sprospectswithintheglobalbusinessenvironmentdeterminehowwellorpoorlyindividualfirmsintheindustrydo.
Step3CompanyAnalysis:
Afterdeterminingtheindustry’soutlookyoushouldcomparetheindividualfirm’sperformancewithintheentireindustryusingfinancialratiosandcashflowvalues.Yourgoalistoidentifythebestcompanyinapromisingindustry.Thisinvolvesnotonlyexaminingthefirm’spastperformance,butalsoitsfutureprospects.
b:
Calculatethevalueofapreferredstock,assumingaperpetualdividend.
Valuationofpreferredstockiseasysincethedividendisfixedandthepreferred’slifeisinfinite(it’saperpetuity)appearsintheupperrighthandcorner.Again,theonlyproblemisdeterminingkP.Becauseofdefaultriskfactors,thepreferred’sdiscountrate(kP)shouldbeabovethefirm’sbondrate(kB).Butsincedividendspaidbyonecorporationtoanothercorporationare80%taxexempt,preferredyieldsarebelowthefirm’shighest-gradebondyields.
preferredvalue=
D
+
D
+...+
D
=
D
(1+kp)1
(1+kp)2
(1+kp)°°
kp
Example:
valuethepreferredofacompanythatpaysa$5annualdividend.Thefirm’sbondsarecurrentlyyielding8.5%andpreferredsharesaresellingtoyieldfiftybasispointsbelowthefirm’sbondyield.
Step1:
determinethediscountrate.8.5%-.5%=8%
Step2:
valuethepreferred.D/kP=$5/.08=$62.50
c:
Calculatethevalueofacommonstock,usingthedividenddiscountmodel(DDM)forbothaone-yearholdingperiodandamultiple-yearholdingperiod.
Example:
whatisthevalueofastockthatlastyearpaida$1dividend,ifyouthink:
nextyear’sdividendwillbe10%higher;thestockwillbesellingfor$25atyearend;theriskfreerateofinterestis5%,themarketreturnis10%andthestock’sbetais1.2?
Step1:
solveforthediscountrate.ke=.05+(1.2)(.1-.05)=11%.
Step2:
findthePVofthefuturedividend.FV=D1=$1(1.1)=$1.10;n=1;i=11;PV=$.99.
Step3:
findthePVofthefutureprice:
FV=$25,n=1;i=11;PV=$22.52.
Step4:
sumsteps2and3.Thecurrentvaluebasedontheinvestor’sexpectationsis$.99+$22.52=$23.51.
Modelingastock'svaluewithamultiple-yearholdingperiodjustexpandstheone-yearapproachtoforecastingtwoorthreeyears'worthofdividendsandtheterminalpriceofthestockattheendoftheperiod.
d:
Calculatethevalueofacommonstock,usingtheinfiniteperiodDDM.
Thereisonemultiperiodmodelthatusesadifferentapproachthough.
StockValue=
D0(1+g)1
+
D0(1+g)2
+
D0(1+g)3
+...+
D0(1+g)°°
(1+ke)1
(1+ke)2
(1+ke)3
(1+ke)°°
Thisistheinfiniteperiodmodel.Theinfiniteperiodmodelassumesthatthegrowthrate(g)individendsbetweenyearsisconstant.Sonextyear’sdividendD1isjustD0(1+g)andthesecondyear’sdividendisjustD0(1+g)2.Theequationusingthisassumptionlookslikewhatappearsabove.
Thisequationsimplifiestotheinfiniteperioddividenddiscountmodel.
ProjectedStockValueP0=
D0(1+g)
=
D1
ke-g
ke-g
Note:
thismodelisalsocalledtheconstantgrowthDDMintheliterature.
e:
Calculatethevalueofacommonstockforacompanyexperiencingtemporarysupernormalgrowth.
TheinfiniteperiodDDMdoesn'tworkwithgrowthcompanies.Growthcompaniesarefirmsthatcurrentlyhavetheabilitytoearnratesofreturnoninvestmentsthatarecurrentlyabovetheirrequiredratesofreturn.TheinfiniteperiodDDMassumesthedividendstreamgrowsataconstantrateforeverwhilegrowthcompanieshavehighgrowthratesintheearlyyearsthatleveloutatsomefuturetime.Thehighearlyorsupernormalgrowthrateswillalsogenerallyexceedtherequiredrateofreturn.Sincetheassumptions(constantgandk>g)don'thold,theinfiniteperiodDDMcannotbeusedtovaluegrowthcompanies.
Amorerealisticapproachtosupernormalgrowthcompaniesandcompaniesthatdon'tpaydividendsistocombinethemultiperiodmodelwiththeinfiniteperiodmodel.
Inthetemporarysupernormalgrowthmodelyoumust:
1.Projectthesizeanddurationofthesupernormaldividendgrowthrate,(gsupernormal)
2.Forecastwhatthenormalgrowthratewillbeattheendofthesupernormalgrowthperiod,(gfuturenormal)
3.Determinethediscountrate,ke
f:
ShowhowtousetheDDMtodevelopanearningsmultipliermodelandexplainthefactorsintheDDMthataffectastock'sprice-to-earnings(P/E)ratio.
Example:
Afirmhasanexpecteddividendpayoutratioof60%,arequiredrateofreturnof11%,andanexpecteddividendgrowthrateof5%.Whatisthefirm’sexpectedP/Eratio?
Ifyouexpectnextyear’searnings(E1)tobe$3.50,whatisthevalueofthestocktoday?
Step1:
estimatetheP/Eratio:
.6/(.11-.05)=10
Step2:
calculatethevalueestimate:
(E1)(P/Eestimate)=($3.50)(10)=$35.00
Note1:
themaindeterminantofthesizeoftheP/Eratioisthedifferencebetweenkandg.
Note2:
therelevantP/Eratioyoushouldstudyistheexpected(P0/E1)rationotthehistorical(P0/E0)ratio
Note3:
theP/EratioisjustarestatementoftheDDM.SoanythingthatinfluencesstockpricesthroughtheDDMwillalsohavethesameeffectontheP/Eratio.
g:
Explaintherelationshipamongthenominalrisk-freerate,therisk-freerate,andtheexpectedrateofinflation.
Nominalriskfreerate=(1+realrisk-freerate)(1+expectedinflation)-1
Example:
therealrateis4percentandtheexpectedinflationrateis3percent.
Thenominalrisk-freerate=(1.04)(1.03)–1=1.0712–1=7.12%.
Thenominalrateisfrequentlyestimatedbysummingtherealrateandtheinflationexpectation.
Estimateofthenominalrisk-freerate=4%+3%=7%
h:
Discusstheriskfactorstobeassessedindeterminingacountryriskpremiumforuseinestimatingtherequiredreturnforforeignsecurities.
∙Businessriskisafunctionofthevariabilityofeconomicactivitywithinacountryandtheaverageoperatingleverageusedbyfirmswithinthecountry.
∙Firmsindifferentcountriesassumesignificantlydifferentfinancialrisk.
∙Countrieswithsmallorinactivecapitalmarketsoffersignificantliquidityrisk.
∙Theuncertaintyinexchangeratescausesexchangeraterisk.
∙Finally,countryriskarisesfromunexpectedeconomicandpoliticalevents.
i:
Estimatethedividendgrowthrate,giventhecomponentsofreturnonequityandincorporatingtheretentionrate.
Note:
Whydoesgequal(RR)(ROE)forastablebutexpandingcompany?
AssumeROEisconstantandthatnewfundscomesolelyfromearningsretention.Whatisthefirm'sgrowthrategiventhatthefirmearns10%onequityof$100andpaysout40%ofearningsindividends?
Earningsinperiod1:
(.10)($100)=$10.Dividendinperiod1:
(.40)($10)=$4.
Retentioninperiod1:
($10)(1-.4)=$6soEarningsinperiod2:
(.10)($100)+(.10)($6)=$10.60.
Dividendinperiod2:
(.40)($10.60)=$4.24.
Analysisofgrowth:
earningsgrowth=($10.60-$10)/$10=6%anddividendgrowth=($4.24-$4)/$4=6%.
Analysisofstockprice:
assumek=10%.
Priceatthebeginningofperiod1=D1/(k-g)=$4/(.10-.06)=$100.
Priceatthebeginningofperiod2=D2/(k-g)=$4.24/(.10-.06)=$106
Thestock'spricewillgrowata6percentratejustlikeearningsanddividends.
Whatcausedthisgrowth?
Earningsonthenewretainedearnings.Growth=(ROE)(Retentionrate)=(.1)(1-.4)=6%.
j:
DescribeaprocessfordevelopingestimatedinputstobeusedintheDDM,includingtherequiredrateofreturnandexpectedgrowthrateofdividends.
Estimatingtheinputs:
thevaluationmodelsaredominatedbytheinputskandg,soitisimportantthatyouunderstandhowtheyareestimatedandwhattheymean.
Therequiredrateofreturn(k)isinfluencedby:
1.Theeconomy’srealrisk-freerate,whichisdeterminedbythesupplyanddemandforcapitalinthecountry.
2.Theexpectedrateofinflationinthecountry,whichwillcauseinvestorstodemandhighernominalratesofinteresttocompensatefortheirpotentiallossofpurchasingpower.
3.Theriskpremiumisassociatedwiththeuncertaintyofthereturnsexpectedfromtheinvestment.
Sincedifferentinvestmentshavedifferentpatternsofreturnanddifferentguarantees,theriskpremiumsdiffer.Therequiredrateofreturnisacombinationofthenominalrealrateofreturnandtheriskpremium.Theriskpremiumcanbedeterminedbyreferencetoariskpremiumcurveorbyusingthecapitalassetpricingmodel:
k=Rnominalriskfreerate+Priskpremiumork=Rnominalriskfreerate+(beta)(Rmarket-Rnominalriskfreerate)
Expectedgrowthrateofdividends:
assumingpastinvestmentsarestableandearningsarecalculatedtoallo
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