Equity

Question 1

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Gordon Growth Model (Risk Premium)

Answer 1

Equity risk premium = Yield + g - Rf_LT

Question 2

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Ibbotson-Chen (Risk Premium)

Answer 2

Equity risk premium = (1 + i_nflation) * (1 + g) * (1 + P/E) - 1 + Yield - Rf

Only appropriate for developed countries where public equities represent large part of economy

Inflation defined as the difference beteween T-Bond and TIPS (inflation linked bond)

Question 3

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CAPM (ke)

Answer 3

Ke = Rf + B * (risk premium)

Question 4

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Multifactor Model (ke)

Answer 4

Ke = RF + risk premium 1 + risk premium 2

risk premium = B * factor

Question 5

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Fama-French (ke)

Answer 5

Ke = RF + B_mkt * (R_mkt - RF) + B_smb * (R_small - R_big) + B_hml (R_hbm - R_lbm)

Model that account for small-cap stocks higher returns

SMB = Small cap vs Large Cap

HBM = High book-to-mkt vs Low book-to-mkt

Question 6

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Pastor-Stambaugh (ke)

Answer 6

Ke = RF + B_mkt * (R_mkt - RF) + B_smb * (R_small - R_big) + B_hml (R_hbm - R_lbm)+ Liquidez

ou

Fama-French + Liquidez

Question 7

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Macroeconomic (ke)

ou Burmeister, Roll, and Ross

Answer 7

Ke = RF + B * Confidence Risk + B * Time horizon risk + B * Inflation risk + B * Business cycle risk + B * Market timing risk

Confidence Risk = Corp vs Gvt Bonds

Time horizon risk = Long term vs bills

Inflation risk = Unexpected change in inflation

Business cycle risk = Unexpected change in level of GDP

Market timing risk = retorno não explicado pelo restante (erro)

Question 8

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Build-up (ke)

Answer 8

RF + equity risk premium + size premium + specific company premium

Talvez tenha um beta para risk premium, mas pro restante não

Question 9

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Present Value of Growth Opportunities

Answer 9

V =E1 / r + PVGO

Question 10

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Sustainable g

Answer 10

RR * ROE

Question 11

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Free Cash Flow to Firm

Answer 11

FCFF = NI + NCC + [Int × (1 – tax rate)] – Capex – WC

FCFF = [EBIT × (1 – tax rate)] + NCC – Capex – WC

FCFF = [EBITDA × (1 – tax rate)] + (NCC × tax rate) – Capex – WC

FCFF = CFO + [Int × (1 – tax rate)] – Capex

Question 12

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Justified P/E and Trailing P/E

Answer 12

Justified leading P/E = Payout / (r - g)

Justified trailing P/E = Payout / (r - g) * (1 + g)

Lembrar que trailling é maior por que considera 1 crescimento a +

Question 13

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Justified P/B

Answer 13

P/B = (ROE - g) / (r - g)

Question 14

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Justified P/S

Answer 14

Justified trailing P/E * net margin

Justified trailing P/E = Payout / (r - g) * (1 + g)

Question 15

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Justified Dividend Yield

Answer 15

D/P = (r - g) / (1 + g)

Question 16

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PEG Ratio

Answer 16

P/E - to - growth = PEG = P/E / g

Question 17

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Total discount (DLOC + DLOM)

Answer 17

Total Discount = 1 - (1 - DLOC) * (1 - DLOM) DLOC = 1 - [1 / (1 + Control premium)]

Question 18

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Unlevered Beta

Answer 18

Beta_unlevered = Beta XYZ * (1 / (1 + D/E XYZ))

Beta_levered = Beta_unlevered XYZ * (1 + D/E ABC)

Question 19

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Percistence factor in Residual Income

Answer 19

ri / (1 + r - ω)

ω = persistence factor

Question 20

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DDM H-model

Answer 20

V₀ = [D₀ * (1 + g_l) + D₀ * H * (g_s - g_l)] / (r - g_l)