Formules

Cov(Rp) = Proba*Ecart Rp*Ecart Rm

Var(Rm) = Proba * Ecart Rm ^2
Béta = Cov / Var
Vérif = Rf + Béta * MRP
Valeur = (B(Av) - Bén * ERP)/Rf
Be = Bu*(1+D/E)
Vol' = (Sum des Ecart-type (avant dette)^0.5 ) * (1 +D/E)
Ke' = Ke + (Ke - Rf) * D/E
Examen 2023 - MiF : Moussu / ACF
Part 1:
Q1 Oméga
NOSH 1,000,000
Share price: 125 Rf: 4%
Data: Proba FCF Rm
Scénario 1 50% 14% 16%
Scénario 2 50% 2% 2%
8% 9%

Cov: 0.00196 Var: 0.00245

Cov: 0.00196 Var: 0.00245
Sum: 0.00 Sum: 0.00

Answer Béta 0.80

Answer Vérif: 8% 1 <- correctly priced

Q2 Market value of debt for Véga:

Maturity 5
Taux: 7.50%
Principal 2,000,000,000
Coupon 240,000,000
Remboursement 2,200,000,000
Answer MV of Debt: 2,503,441,368

Véga
NOSH 4,000,000
Share price: 60Rf: 4%
Data: Proba FCF Rm
Scénario 1 50% 21% 16%
Scénario 2 50% 4% 2%
13% 9%

Cov: 0.00306 Var: 0.00245

Cov: 0.00306 Var: 0.00245
Sum: 0.01 Sum: 0.00

Answer Béta 1.25

Answer Vérif: 10% - <- incorrectly priced

Véga, taking into accounts the interests payement:

NOSH 4,000,000
Share price: 60 Rf: 4%
 Proba FCF Rm
Scénario 1 50% 22% 16%
Scénario 2 50% 1% 2%
11.5% 9%

Cov: 0.00333 Var: 0.00245

Cov: 0.00403 Var: 0.00245
Sum: 0.01 Sum: 0.00

Answer Béta 1.50

Answer Vérif: 11.5% 1

NOSH 4,000,000
Share price: 60 Rf: 4%
Proba FCF Rm
Scénario 1 50% 44 16%
Scénario 2 50% 2 2%
23 9%

Cov: 1.53563 Var: 0.00245

Cov: - 0.06562 Var: 0.00245
Sum: 1.47 Sum: 0.00

Answer Béta 300.00

Answer Value of Vega 200.00 ----> 50 $ per share.

Answer CAPM: ????

Q3

Bonds are not expected to default as in our worst case scénario, if the company decides to do the project
It will be able to generate a cashflow of 3.5M --> meaning the available cashflows will be 2M - 4%*50M +3.5
----> ending CF = 2M -2M +3.5M = 3.5M

Value of the company:

Value of the equi 200.00
Value of the deb 50
EV 250.00
FCF before proje 23
WACC: 0.09
FCF after project 27
Answer EV after project 288.04

Answer MV of Equity: 238.04

Answer Share price: 59.5

NPV of the project

 CF 3.5
WACC 0.09
Answer NPV: 38.04

Answer Price is correct because: Old EqV + NPV = New EqV

Answer EPS Before: 5.75

Answer EPS After: 6.625

Answer We can see an EPS accretion, and an increase in the share price…

Q4
Scenario Scenario
Vega 17 3
Omega 51 9
Synergies 2.5 3
Total 70.5 15
Average 42.5

Bridge APRES:
EqV 200
Debt 50
EV 250
FCF 42.5
wacc: 0.17

fcf avant 40
Wacc 0.17
EV 235.29
EqV 185.29
Share price: 46.3
any decides to do the project
flows will be 2M - 4%*50M +3.5M