投资学10版习题答案CH18

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1、CHAPTR 1: EQUIY AATN ODELSPROLEM SES 1Theoreiclly, dividendiscoun odls can be usd to value the sck f apdly gowi copanies thatot rntly aydividends;i thi cenari, we wold be valug xpete iviends i the eaivel mo disant future. owev,as pacal tr, uch eimaes o aymets o be mae in th mre distat fre arentrulyi

2、nccurate, deringdiidd discout models probleaic fr aluio sch cmanies；fee casflow mdels re morelikely to be aprpiate. At th other exrm, oeod b more lkel to choseaivied discount mde t valu amature irm yng a elaively sbledividen.It is os mportant touse mutta didediscount modls he valungcopanies with tem

3、orarilyhigh gwthraes. These companie td to bomaiesin thealy phses of teire yles, when h hav numerous opportunities for renestment, resultn nrtyrpidgowhand elavey odividns (o, in many cas, nodividends all) A tee fims mtue,atractive inesment oportunities rless nmeru so thtgrwth rates ow.3.The nrnsi va

4、lue of shreof sockis the iivi invtors sssmentf e tr worhf tsock. The arke capitalizon rte is te met cnses fr te reuired rate ofreturnfor th stock.If the intrinsic valu of he sto equato it prce, hth maret caitaliationate i eual tote expcted rate of return. O te otherhand,f thindividal invesor believe

5、 thstock sudrprce (e.,itinsi vaurice), thntht invtors expecterate of turn is great thn hmrket aitalzaion r.4.Firstimaeheaoun eachf e ex two divided andtetermn vaue Te curen valu isthe sm of the prenvalueofthes cash flo,scunte at8.5.he ruire return is .TGordon DDuses the didnd for prid(t+1） which wul

6、e 1.5.TheVGO $0.56:8a.b.The prie alls i rose t more essmstcdn reat.Th foecasfr curen year earnins, her, is uchanged. Threfore,he /E tio fall Thewer P/E rato s evidnc of tedinshd otis cncern the irmrohprosps9.a.g = ROE b = 1% 0.5 8%1 = $2 (1 b）= (1 .5） $1b.P3= P0(1 g）3 = 25（1.08)3 $31.410.a. b.Lag P0

7、= $1060/$.1 3.33Trailing P0/E = $.6$3.0 = 53c.Te lowEratos andngaive PVGO ae uet apor ROE(%) at i lss than te maret aitalizatin at (16%）.d. Now, y rvise b o 1/3, g to1/3 9% = 3%, ad 1 to:E0 (1 + g) (2/3)$ 10 (2/3) = $2.06h:V0 = $206/(01 003） =$1.85V0irae beause the irm pys tmorearningsinsta of reist

8、ng a por ROE. Thisinfortion s notyt now to the rest f themarkt.11.a.b. T dvden paot ato is8/12 = 2/3, stheplowback rtio is b = 1T ipled lue OE on fture nvestments s found by olig:g b OE with g 5% an b=1/3 ROE 15%c. Assming ROE = k, rce is eua o：Thereore, the market is ying 0 per share($160 $120）fr g

9、owh opportuitie12. = D/P0 gD1= .5 $2 = $1=b ROE = 0.5 0.20 = .1ereore: k (/$1) +.10 =0.2, or 20%.Snck RE， teNV ofutineste pprtunitsi r：c.Sic =RO,thtoc price would e affcteby utn the diven an invetngthe addtialarings.13a. = rf + E（rM ) rf = 8% 12(15% %) = 16.4%g = b ROE .6 20 = 2%bP = V 0( ) 1.2 1.12

10、= $11.44：0156Et$10000$12.00$24.883$27.123 t$ 00$ 0.0$ 000$0.4b101.01.000.602.20%200%9.%The year-6 earingstimeis ad n gowth rate of 0.15 （1.0.40)= 009. a.b. Theprce houd ris b 1% er year untl ea6:bcause herino divdend, he ntre rturn ust binaganscThe au tiould hv noeffec on irinsicvauebcause RO= k.15.

11、Te slin s hown the xcelpredhtbel:b.， .Usi th Excel spreashet, we fnthathe intrnicvalues are $33 n $2.80, esptivly.6.The solutis dried fom Spreaset 1.2 are a follow:Intrinsic Value：FFIntrsi Vlue:FFEInrisi Vae pr hre: FCFFntrnsicale Shre: FFEa.00,07，2838.89414b19,42281,7954.1245.44c.9，6966，1433.1636.6

12、77.Tim:012Dt$1.00$1.00$156$1.953g25.0%25.%5.0%5.0%a.he dvidndtoe paid at te nd ofye 3i te fist instllmnt of adividen stram hat wll ncese infinitly att constant growh ate 5.Thrfo, w ca use te cnantgowh ode as f the edofyear 2 n order t acl intrinsc vaub adng thpeent vlof th fistwo idedspu the preent

13、value of te price of te tock at th end of ye Te epctedric yer romnowis:2 = D/(k ）= $1.95312/(20 00） = $13he of thxectprice is $1302/.2 =$9.04hePV oxpecte iviend in ears 1ad 2 isThuse crrenpricehld be: $9.4 2.13 = $1.1b. Eect didendyil = 1/P0 = $1.5/$1117 =0.112, 11.%c.Te expected prc one ar from o i

14、s h PVat that time f 2 and D:1 （D 2)1.0 =($1.5625 + $130)/.20 = $1.15The ipied apital gan s(1 P)/0 = （$1.15 $11.1）$117 =0088 = 8%esumotipied apital gans yel and te exected didend yild is qulto temaet pilization ate.Ti iconistent witht DDM.8.Te：045E $5.006.00$0.3680.368D t$0.0000.00$0.00$0.368Didnd =

15、 0for th net four years， so b 1 (00 plowbak ati）.a (Sine ROE,knowngthe lock ra iunecesary）Price shoudinreaeat a ae 15er th net year, so tht th HR willqua k.19.Befortx cash flow fom peations$，100,00Depreciatin210,Taxabl Income,890,000Taxes ( 35%）66,500Afe-taxunlevragd incme1，22,00After-tx cash flo fr

16、ooeratis(Ae-taxnlerag ncoe+ depiion）1,38,500Ne ietmnt（20% ofcash w fo operatis)42，00re csh fow(Af-ta casflow fo peats ew invtmnt)$1,018，00Thevalue ofthefrm （ie.， deb plsequity） is:Si the vauof the debt s $ million, the vale o the equy is 10,550,00020.a.g = ROE = 2 .5=10%bTimeEPSDiideComnt0$.0000$0.0

17、011.000.550g= 10%, lowbac = 0.502.210.7260EPS has gow by 10% aon lst yea earnisploback and RO； thiasearnispowbak tio ow fals to0.4andpaoutratio = 03$12826696EPSows by (0.) (15%) 6%and youtrato 0.6At tie 2: Atme 0: .P0 = $1 and P1 P0(1 g） = $2.(Becaue the mrkt s uwre oft chngdcompetti situatio, it be

18、lievs hstckprie oud gro a 0%per yea.）P2= $8.551 aer the marke bcmes aware th chang mptitve situio.P3 $8.5 10= $9.04(T ew groh rate is 6%）YerRturn12 Moal: I noal periwhener s npecial iformatin,thetoc retur =15 When eial iomtion arre， all the bnormal ruracue thaterid, a oe wouexect in a fficietmare.CF

19、A ROBEMS. This iectris confud In he cotext f e coant oth mdel.e., P0 =1/ k g), i i tre ttprceis hiherwhn diidendarihr hli evetgelse iluding ividendrth cnsant. Buteething else will ot be onstant. If te firm increases the dividen payout rate, thegowtrat g l all, ntck re willot ncslyrise. nfct, f ROE ，

20、prcewi fl.b. (i)An iceaseindividn ayut wil rede th sstainabl grwt rate as less funds ae reinvestd in th m. h sustinble ro rate (i.e. OE plowbck) willfal s plowbck atio fals(ii） hincraed ividndpayt rat wil ducethegoth rate of klu he sam rason - less fndsre reietein the firm.2.sin a to-ta divienddicou

21、nt model, crent vlueof aeof Sndanci calculaeas folows.whee:E0 = $095D0 = $0.86E1 = E0(1.2)1= $0952 1.3 = 1.256D1 1 0.3 1.26 0.30 =$0.37702=E0 (.32)2 $0.52 (12)2 =.65D2= E2 03 =$1.58 0.3= $96E3 E0 (1.32)2 1.13 $0952 (32)2 1.1 =$1.874D3 =E 0.30 =$1.8743 0.3 = $0.56233.a.Free ash fl o eity(E) is define

22、d he ca fow remainingafer meetin al fnancial obligations (includng dbt paymnt)an after coverin aital epeditur an orking capi ned. he FC i a measure of homch the firm cn affod to pay out as divided ut, in a gen year, may be moreo les a the amunt acal ad ou.Sndancis FCFE frtyar is cmued as follws:CFE

23、= Eais + Deprcaion- Cptal exetures-ncease n NWC =$80 mlo+ $2 ilin - $38 millin- 1 millon = $24 illinCF per shae = tthi payout atio， Sudancs FCF rhre euals dividedser hae.bThe FCFEodel requiesforcastsf FCFE f the hgh growth years ( an) plus a frecat for teist yearof sble rowth ()in oder to allow fo a

24、 estiate of he temial value i based on prptulgrow. Becusealof the compnents FCFE are expctd t gow t th sam rat， he vaues an eobtained b prjectin theFCF at the cmmon ate. (Alteavl, th compoets FF an be prjcted an ggregate f eahye.)Thistabl shwsthresfo estmnghecrrent prshre vlue:CFEBse Aumpinshaes out

25、staing: 8 milio, = 1%AtuaojeceProjctedProectedrowt rae (g)272%1%TtalPer ShareErnigsater a$8$0.5$1.2090$1.535131Pls:preciaton eense30.70.34004419$.494Less: Cata expenditres80.452.5700.70.838Less: crease etorkigapita41.8806180.71$0894Eqals: FCF240.2860.6320.463$5213Termn vle52.1300*Tta cash flows toeq

26、it$0322591Dicoutd ae$0.86 $4.6Curen vale er shar40.7859*Pojetermnl vlu (Projected CFE)(r - )Projected Tota casows to uit =Pjet FC + Projected teminl valuDiscountd alues tie usi= 4Curren ve er aeSum of dsounted rectednd total FCFc.i.The DDM uss sricefinition f csh flows to quty, i.e. the expected div

27、iden ontomon tock.In fct,ten o itexrme, heDDM cnot be usedo stiatete vale o astctatpays odivies. FCF odl xand the defniion o csh fows o inludhe alce of rsial cas flowsafterall fncil bigation an invesmntnds hvebe m.husthe CE mdel exliity recognies the fms ietent nd inaning plicis as wel as its ivided

28、 olic. In instances ofahe of cporate cntol，ad therforethe pssibiliyof hangn dividend oliy,thFFE model provies a bettr etmate of vlue.The DDs biasd tward inding lw PErto ockwihhi divide yields to be unervaluedandconversl, high P/E ratostockswih lw dividendyiels to beoeraled. t is csiderd a nservative

29、model i that itend to idenif fewe underved fims s mret picesriserelaie to fndametal. The DDMdoes ot alowforeptentaltx diadvantagef hh dividends relatie to the aital gais ahivble fr retenton o earnings.i. Both tostage vaaomodels allow fo to ditict pa of growth, aniniieperid were th growthteis abnorl,

30、folba taleot periodthas exected to astinefintly Tese two-stage moel share th sm liittonswth resec t the goth asumtins. First，there is tedffulty f defin h duatioo the xtrordinarygowth period.or exale,a onger rid of hgh grothilead t ahieraluation,and there is te tempion t sume annreaiticaly log perio

31、o exrarinargrwth.con，th suptioofasudden shiftfom hig gohto lower, salegroth is nrealistic The trnsfmatio is orlielto cugradually，ove aperiod of ti. Gvnhte asu tot hrzon does notsift （i.e.， s infinite), he tii of tsiffrom hihto stable rowh is a tcal eerminanof the valuan eimae. hi, becae th value is

32、qte senivettestad-state growthassumpin, oer- r underestimaing tis rae can led toareeror invae.Th two mdels saohr littns swell, notbydifficulies in accuatly forecasting rquirdrtesof reurn, indealingwith tistorons tt resultom utanial aor volate dbratis， andnaccuatel vaugasets tht ot enrate an ca flo.4

33、.Th rmlfocalcuting a ric eans rio (P/) or a stabl gowhims thedidnd ayout rtdividbyhe dfference beteente rreref retrn an the gowth rate of divnds. Ifth P icalulatebased ontrilgearnings (yar 0), the payou ratio iicreasb he rowt te. If teP/ is calculatd baed nxt yearsearning(yer )， henumerato iste payo

34、ut ratio.P/Eon trilig earnngs:P/ = ayout ratio (1 +）( - g)= 0.30 13/(014 - 0.3) = 33.9P/Eon nx yar rnn: P/E =ayoutrato/(k - ) =.30/(0.14 - 0） = 30bTP/E rat s aeceasin funionf risiness; s rsk icases, th P/E ratiodecrease Increases n te rskiess of Sundci tck woldb eete o lower th P raioThe P/E rato sa

35、nincresing functon of the rowth tefhefirm； thigher he exece gowth， thhige te P/E rat Sundiwold cmmnd aigeP/E if alyss nceas hexected gowh rat.The P/E ratio decein uncn f the maretris preiu. Anincesed mrketrsk premim sethe equired te of etu, loweng theprice oa tock reatve to its earnigs. Ahighrmkt is

36、 rei woldbe expcdt owr Suanis PE ratio.5.The suainable rowtrae is equto:back ratio eturno quity= b ROEOE= Net inc/Beinin f year equtyI :b = 208 （080 100)/2086154RE 208/1380 =0.107ustaina grow ate =0615 0.107 = 3%In :b 27 （0.80 00)/75 = 0701RO = 2751836 =.498ustnalegrowt rat 0.791 0.1498 = 106%b.i Th

37、 inreased retetionaio inrs the susanl grwth rate.Rttion ti = Rtetion rioincreae from 0.64 o0.01i .Thi icease in tertenn aio direly icreae thesutinbl growth at becaue th tetion ratiois one of htwo factr ermite sustaiabe gowthrate.i.Tedecrs n leverae euce the tinabgowtatFinncia leverag =(TotalassetBeg

38、inningf yar equity)Finacial evege decrasedom 2.(230/13） a the binning of t 2.10atth binng of (38561836)This derese n lerag drecly ecaed R （and ts the sustaiable goh ate） because finaiallerage i one of the fators dermining OE （and Ei ne of the two factrs detrmningthesuainaegowth rae）.a.The formul for

39、the ordonod is wre：D0 Diidend ad time of ation=Anual rowth ratef idendsk = Rquired raeof return for equtyn the above ormla, P0, th markt pric the omn stock, subsiutefor V0 andg becos tedivdend growth ate mplied by hemket：P0 D0 (1 g）/（k g)ubstitutig,wehae:5.49 = .80 (1+ g)(0.08 g) g = 6.54b.Use of h

40、Goro growhme would eiappoprite o ale Dnami common tock,frtheolowng eon：i he Godogrot mde ssme et f relinshps abothe ow rtefor dvidds， eanins,and stok values. Scificly， themod asumes tat diieds, earnings, and stok vue willrow a thsamecontant rte.In valuing ynamic comontc， the Grdo grot mode s inappro

41、prae becue maagements dividend olicy ha he divdndsnstnt in ola amun athough earnins hve grown， thus reduinthe payout ratio Ths poi i iconisentt the ordn model asupionthat th payout atio s costanii. It ould alsobe ued that us f theGoronodel, en Dynmics crret ividedly, vate one of hegeerlontions or ui

42、tabiityo the modl，namely hat thecmns diend policy beas a undertanae andconsitentelationhip wi h compasprotailit.7.The industrys tited P/E c be ompted using h fllwi model:oeer,sicek ng ntpcilive,heymus cmpute sn th ollwing formuas:nd = RO Retention rate 0.5 040 = 0.0kind Gvernmentboniel ( Industry be

43、ta Eity sk premum） = 0.6 +(12 .05) =0.1Thereore：b. Forecast row ieal D would caue /Eatio o be geneally higer or outryA Highe xced growt iDP ipis igherearnin gwthand a higherP/E.i. Governet bond ie woucue P/E raiotob gnerally hige fr CnB. A wergvrnment ond yiel mies a low k-fe rae andtreore a hih P.i

44、i. qity risk muuld cuse /E rtio to beenraly higher or ut B. A or equit ris premiuiliesa lower requird retuna higr P.8a. = rf + (kM r) =4.5%+ 1.15(14.5% - 4.5%) = 16.YearDivind$2$1.72 12 = $1.93$172 112 = $2.11.72 1123= 2.42$172 1.2 1.0= $26Present value of dividensaidin ：Yaof Divded$1.9/161 $1.66$2.

45、1/1.162 =$1.$./1. $.55Tota $4.82Piceat year-en PVi of ti stockceIntisic al ofck $.8 +$2407 = $28.9c.The data inhe prblm indicate tht uickBushien at priceubstatallyelow itsintrinc ale, whle te clcuatios above dmontrte tat mWhite is sellngat pricesomewhat abotesmat of is itrinic value. Baedon hi analy

46、sis, Quck Brsoferhe ptntia fr cnsiderble nrma returns,whle SmileWhite ofes slightybeow-marketi-adjuted returs.d. Senghs of twosta vesscontan growth DDM：wo-sagedl alows for earatevalti of two ditit periodinacompanys futue. This can accooate life-cycle efts. It so an avod the diffiultsposed bynitial growttati hrththe diount rateTw-taemdel allows fr ntlpeiodfabesustanabe growthtaows te analyst tmake seof er xpectatis rardigwh owhmiht sft frm of-trnd o mrsutainbe level.weaknes of allDDMs hat they aevr sitv to ipu valus. Small cages i k or can impy large hangs instimaed intric vaue