Investing with a Stock Valuation Model Yale University：投资股票的估值模型耶鲁大学.ppt

motivation existingstockvaluationmodels variantsofthegordonmodel toomanyunrealisticassumptions e g aconstantandflattermstructure constantdividendgrowthforever multi stagedividend earnings cashflowdiscountmodels nostructuralparameterizationofthefirm sbusinessnoattentionpaidtohowthestockhashistoricallybeenvaluedbymarketfairvaluesdeterminedbythesemodelsaretoooftenbelowmarketprice thebakshi chen dong bcd model fundamentalvariables currenteps expectedfutureeps and30 yrbondyieldfirm specificparameters epsgrowthvolatilitylong runepsgrowthratedurationofbusiness growthcyclesystematicorbetariskofthefirmcorrelationbetweenthefirm sepsandtheinterest rateenvironment30 yrtreasuryyield sparameters itslong runlevelinterest ratevolatilitydurationofinterest ratecycle comparison thebcdmodeldetailedparameterizationofepsprocessesandinterest rateprocessparameterstobeestimatedfrompastdataclosed formstockvaluationformulapastdataareusedtoestimateparametersso valuationreflectsbothpastvaluationstandardforthestockandthestochasticdiscountingoffutureprospects theresidual earningsmodel e g lee meyerandswaminathan 1998 twoparameters betaanddividend payoutrationoclosed formvaluationformula requiresadhocapproximationofthestock sfuturepriceatendofforecastinghorizonvaluationisindependentofpastvaluationstandardforthestock data i b e s crsp andcompustatfutureepsforecasts consensusanalystestimatesperiodcovered jan 1979 dec 1996stockuniverse about2500u s stocks mostlylargecap whatconstitutesagoodstock selectionmeasure mean reverting sothatiftoolow youcanbuythestock countingonthemeasuretogobacktoitsnorm nottoopersistent e g ifbook marketratioistoopersistent youwillnotwanttobuyastockjustbecauseithasahighb mratio youwouldlikefastmean reversionhighpredictivepoweroffuturestockperformance behaviorofbook marketratioovertime thisfigureshowstheaverageb mratiopathforeachquartileobtainedbysortingallstocksaccordingtotheirb mratiosasofjanuary1990 behavioroflmsvalue priceovertime thisfigureshowstheaveragelee myers swaminathanv pratiopathforeachquartileobtainedbysortingallstocksaccordingtotheirv pasofjanuary1990 behaviorofe pratio thisfigureshowstheaveragee pratiopathforeachquartileobtainedbysortingallstocksaccordingtotheire pratiosasofjanuary1990 youwouldliketoseetheqartilescrossingeachotherovertime yes theydotosomeextent bcdmodelmispricing step1 usepast2 yrdatatoestimatemodelparametersforthestockstep2 usecurrenteps 1 yr forwardepsforecastand30 yryield plustheestimatedparameters tocomputethestock scurrentmodelprice outofsample mispricing marketprice modelprice modelpricethus anegativemispricingmeansanundervaluedstock andsoon behaviorofbcdmodelmispricing thisfigureshowstheaveragebcdmodelmispricingpath foreachquartileobtainedbysortingallstocksaccordingtotheirmispricinglevelsasofjanuary1990 thequartilesswitchfromover toundervalued andviceversa everyfewyears persistenceofbcdmodelmispricing asmallsummary bcdmodelmispricingistheleastpersistentovertimeandmean revertingthefastestittakesabout1 5yearsforagroupofstockstogofrommostover tomostunderpriced orthereversep eratioisthesecondleastpersistent highp estocksdonotalwayshavethehighestp e b mandv parethemostpersistent stockswiththehighestb mseemtobealwaysso lowb mstocksseemtoalwayshavelowb m trytounderstandthemeasuresagain trytounderstandthemeasuresonemoretime predictivepowerforfuturereturns fromtheregressiontables bcdmodelmispricinghasthehighestpredictivepower forfuture1 month 6 monthand12 monthreturns momentumcomessecond definedonpast6 monthor12 monthreturns sizeisthethirdmostsignificant thesmallerthefirm thehigherthefuturereturn lastcomesb m v p regressionsof1 month forwardstockreturnsonpredictivevariables dotheyperformdifferentlyacrossmonths month of the yeareffect forming2 dimensionalportfolios takemispricing sizequintileportfoliosasanexamplestep1 foreachmonth sortallstocksinto5quintilesaccordingtotheirmispricinglevels independently sortallstocksinto5firm sizequintiles step3 intersectionsofthe5mispricingand5sizequintilesresultin25portfolios foreachmonth step3 averagemonthlyreturnandvolatilityarethencalculatedforeachmispricing sizesortedportfolio allsortingandportfolioformationsareoutofsample investmentperformancebymispricing size investmentbymispricing book market investmentbymispricing momentum alpha beta formispricing momentumportfolios alltheportfoliosherearesameasinprecedingchart basedonmispricing momentum lmsmispricing momentum fairvalueinthev pratioisdeterminedbythelmsresidual incomemodel wherebookvalue epsestimatesandcapm basedexpectedreturnsareusedasthebasis investmentbymispricing sharperatio sharperatioisbasedonthestock spast 5 yraveragereturndividedbyitsvolatility itmeasurestherisk returntradeoffofferedbythestock hencerepresenting quality notshowninthisfigureisthatineachgivenmispricinggroup thehigherthesharperatio thelowertheportfolio svolatility forecastingthestockmarket the ofundervaluedstocks pathindicatesthethen currentpercentageofstocksthatwereundervaluedatthetime relativetotheentirestockuniverse theotherpath