投资回报率_股本价值_财务报表

InvestmentReturns,EquityValue,andFinancialStatements,PARTI,GainingtheUnderstandingtodoFundamentalAnalysis,Chapter3,InvestmentReturns,InvestmentReturns,Whatyouwilllearninthischapter,HowinvestmentreturnsarecalculatedThedifferencebetweennormalandabnormalreturnsWhatanefficientmarketpricemeansWhatanarbitrageopportunityisThedifferencebetweenactiveandpassiveinvestmentThedifferencebetweenanalphaandabetaHowassetpricingmodelswork(inoutline)Howscreeningstrategieswork(anddontwork)WhatacontrarianstrategyisHowfundamentalanalysisdiffersfromscreeningandcontrariananalysisHowvariousstockselectionstrategieshaveworkedinthepast,Foraterminalinvestment:Foraninvestmentinequity:Foraone-yearequityinvestmentPayoff:Return:Rate-of-Return:ExpectedReturn:ExpectedRate-of-Return:RequiredPayoffperdollar:RequiredRate-of-Return:Therequiredreturnisalsocalledthenormalreturnorthecostofcapital,TheStructureofInvestmentReturns,Hewlett-Packard:Returnsfor1991,Ifthepricepaidforastockis(expectedpayoffdiscountedattherequiredpayoffperdollar,r),thestockisappropriatelypriced:themarketpriceisefficientOr,priceisefficientifitequalstheexpectedreturncapitalizedattherequiredrate-of-return:Or,todaysprice(P0)mustbesuchthattherequiredrate-of-return,r-1,willequalthe(expected)rate-of-return:,TheNoArbitrageCondition(NA),RequiredRate-of-Return,ExpectedRate-of-Return,ArbitrageTradingStrategies,IfNAholds,themarketisefficientinthatstock:thereisnoarbitrageopportunityAnydiscrepancybetweenexpectedandrequiredrate-of-return,isanarbitrageopportunitythat,ifexploited,willprofitthearbitragetraderAnarbitrageopportunityarisesifIfthenBUYIfSELLThedifferenceiscalledtheexpectedabnormalreturnandtherulecanberestatedas:BUYiftheexpectedabnormalreturnispositive,andSELLifnegative.Ifitiszero,donothing(HOLD),TypesofArbitrage,Risk1.Pure(Risk-Free)ArbitrageYougetsomethingfornothing,forsure2.ExpectationalArbitrageYouhaveabetterchanceofanabnormalreturnthannotLocationofprices1.Cross-sectionalArbitrageDifferentpricesforthesamecommodityatthesamepointintime2.IntertemporalArbitrageDifferentpricesforthesamecommodityatdifferentpointsintime,Theseconceptsapplytoaninvestmentformorethanoneperiodwithtwomodifications:Themultiperiodrate-of-returnwillbethecompoundedannualrate.ForaT-yearperiodandaflattermstructure,therequiredpayoffis:ForachangingtermstructureitwouldbeDividendsfortheintermediateyearscanbereinvestedatr.TheaccumulatedvalueatyearTofreinvesteddividendsiscalledterminalvalueofdividendsatTAddingthesellingpricewillgivethecumdividendpayofforcum-dividendterminalprice:AndtheT-periodcumdividendreturnwillbe,MultiyearEquityInvestments,Hewlett-Packard1990-95:Payoffs,1994,1995,1993,1992,1991,1990,d4=0.55,P5=84,d3=0.45,d2=0.36,d1=0.24,d5=0.90,P0=13,TerminalValueofDividends,0,1,2,3,4,5,d,1,d,2,d,3,d,4,d,5,d,2,x,r,-2,d,3,x,r,-3,d,4,x,r,-4,d,5,x,r,-5,d,1,r,-1,d,2,r,-2,d,3,r,-3,d,4,r,-4,d,5,r,-5,(Year0value),(Year5value),1,2,3,4,5,d,1,d,2,d,3,d,4,d,5,(Year5value),(Year0value),0,(),r,5,d,t,r,-,t,t,=,1,5,HP1990-95:TerminalDividendPayoff,HP1990-95:Five-YearReturn,Terminalvalueofdividendsin19952.76Pricepayoffin1995(PT)84.00TotalPayoff86.76Purchasepricein1990(P0)13.00Five-yearreturn73.76Five-year-rate-of-return567.38%*Normalrateofreturn(12%p.a.)76.23%Abnormalrateofreturn491.15%*Normalrateofreturn=(1.125-1)=76.23%,TheNAconditionforamultiyearinvestmentisnowOrOr,MultiyearEquityInvestment:NA,Expectedrate-of-return,Requiredrate-of-return,DividendsandCapitalGains,T-periodreturncomponents:Foroneperiod:,CapitalGainComponent,DividendComponent,+,-,1,0,1,d,P,P,CapitalGainComponent,DividendComponent,IntrinsicValues,IntrinsicvalueiscalculatedbyforecastingpayoffsfromtheinformationaboutthemandapplyingthediscountrateTwowaystocalculateintrinsicvalues(V0):1.PresentvalueoftheexpectedpayoffV0=Expectedpayoff/rT2.CapitalizedexpectedreturnsV0=Expectedreturns/(rT-1)Alwaystwoingredients:ExpectedpayoffsanddiscountratesIntrinsicvaluesatdifferentpointsintimealwaysobeythenoarbitragecondition(NA):=,Betatechnologies:CalculatesthenormalreturnIgnoresanyarbitrageopportunitiesThisisthedenominatorissueinvaluationAlphatechnologies:TriestogainabnormalreturnsbyexploitingarbitrageopportunitiesThisinvolvesthenumeratorissueinvaluationPassiveinvestmentneedsabetatechnology(exceptforindexinvesting)Activeinvestingneedsabetaandanalphatechnology,InvestmentAdvising:AlphasandBetas,BetaTechnologies:“AssetPricingModels”,Requiredreturn=Risk-freereturn+PremiumforriskPremiumforrisk=RiskpremiumonriskfactorsxsensitivitytoriskfactorsSometechnologies:TheCapitalAssetPricingModel(CAPM)Onesingleriskfactor:ExcessmarketreturnoverRFOnly“beta”riskrequiresapremium.MultifactorpricingmodelsIdentifyriskfactorsandsensitivitiestothem:,(,),i,Factor,Risk,to,y,sensitivit,i,Factor,Risk,to,turn,Re,R,R,R,R,R,R,R,R,return,Normal,i,i,F,k,k,F,2,2,F,1,1,F,=,b,=,-,b,+,+,-,b,+,-,b,+,=,L,K,F,M,F,R,R,R,return=,Normal,-,b,+,AnticipatesthatastockmaybemispricedScenarioA:Todayspricedeviatesfromitsintrinsicvalue,butthiswillbecorrectedinthefuture().ScenarioB:Todayspriceiscorrect,butinthefutureitwilldeviatefromitsintrinsicvalue().Todiscovertheseopportunities,atechnologyforcalculatingintrinsicvaluesisneeded,Activestrategies:Alphatechnologies,ACheapAnalysis:Screening,Technicalscreens:identifypositionsbasedontradingindicators.Someofthem:PricescreensSmallstockscreensNeglectedstocksscreensSeasonalscreensMomentumscreensInsidertradingscreensFundamentalscreens:identifypositionsbasedonfundamentalindicatorsofthefirmsoperationsrelativetopricePrice/Earnings(P/E)ratiosMarket/BookValue(P/B)ratiosPrice/CashFlow(P/C)ratiosPrice/Dividend(P/d)ratiosAnycombinationofthesemethodsispossible,ReturnstoPassiveInvestments,TechnicalScreening:ReturnstoSize,AverageMonthlyReturnsandEstimatedBetasfromJuly1963toDecember1990forTenSizeGroups,ReturnstoBeta:IsBetaDead?,AverageMonthlyReturnsandEstimatedBetasfromJuly1963toDecember1990forTenBetaGroups,FundamentalScreening:ReturntoPri