案例三：上港集团估价.doc

案例五上港集团(600018)估值报告1、 公司基本情况上海港位于我国海岸线与长江“黄金水道”交叉点，服务腹地主要是长江三角洲和长江流域。主业领域包括港口集装箱、大宗散货和件杂货的装卸生产，以及与港口生产有关的引航、船舶拖带、理货、驳运、仓储、船货代理、集卡运输、国际邮轮服务等港口服务以及港口物流业务。上港集团是目前我国最大的港口股份制企业，是全球货物吞吐量第一、集装箱吞吐量第二的综合性港口。上港集团是我国大陆地区最大的港口集团,也是全球最大的港口集团之一,上港集团共拥有生产泊位121个,其中万吨级泊位78个,吞吐能力13981万吨,生产用泊位长度20公里,生产用仓库总面积29.3万平方米,生产用堆场总面积472.1万平方米；2008年上半年,公司完成货物吞吐量1.9亿吨,同比增长9.9%,其中,完成集装箱吞吐量1382万标准箱,同比增长10.4%,完成散杂货吞吐量6271万吨,同比增长7.6%。二、公司发展机遇2009年中央政府提出上海要建国际金融中心和国际航运中心，尤其是国际航运中心将使上港集团大大受益。到2020年，上海要基本建成航运资源高度集聚、航运服务功能健全、航运市场环境优良、现代物流服务高效，具有全球航运资源配置能力的国际航运中心。这一政策对于上海港的国际中转、长江中转将有很大的帮助。伴随着这个中长期的建设过程，上海港的受益也将是长期深远的。上海建设国际航运中心对上港集团而言，不仅能增长现有箱量，还能带来发箱、修箱等产业链衍生业务量，可谓是功在长远。2010年随着全球经济复苏及航运中心政策逐步到位，预计上海港吞吐量增长将在9%以上。 3、 估值过程 上港集团预计2009-2014年期间有一定发展空间，此后进入稳定发展阶段。据此，对上港集进行两阶段的FCFE模型估值。第一阶段：20092014年 高增长第二阶段：2015年以后 稳定增长（一）绝对估值法1. FCFE法（1） 参数的确定A. 08年FCFE的计算：（单位：万元）FCFE净利润流动资产增加额长期资产净值增加额 流动负债增加额长期负债增加额 = 净利润流动资产增加额（长期投资增加额固定资产净值增加额无形资产增加额）流动负债增加额长期负债增加额 =6,029,522,770.65 -（17,917,808,515.00-14,902,490,412.26）-（2,981,353,888.56-2,368,475,339.43）-（26,539,166,885.65-24,703,321,835.89 ）-（5,891,354,383.08-5,833,443,408.82）+（14,928,887,849.54-17,463,940,394.40）+（7,971,272,459.78- 2,945,189,621.31）= 2,770,641,291.20FCFE=FCFE/总股本 =2,770,641,291.20/20,990,800,132 =0.132 B. g的确定： i = 利息费用/债务总额 =365,004,500.62/（247,503,612.00+3,088,921,100.00+2,176,322,754.78） = 0.0662 g =BROA+ ROAi（1t） =（3,884,558,777.47/6,029,522,770.65）* 6,029,522,770.65/ 59,081,292,290.02+23,111,135,055.30/35,970,157,234.72*6,029,522,770.65/ 59,081,292,290.02- 6.62%*（1-15.06%） = 0.6443*0.102+0.6425*0.102-0.0562 = 8.47% C. k的确定：参考该行业的发展状况和同行业的贴现率，使用资本资产定价模型确定超常增长期内的贴现率。资本资产定价模型：E（R） = r + （ER-r）（a） 无风险利率为同期银行一年期定期存款利率，即=2.25%（b） 的计算 =公司股价与市场总体价格的协方差/市场总体价格波动方差市场总体价格波动率用上证综指来计算，以2009年6月6日之前的连续交易的265周的交易日（2004年1月2日至2009年6月5日）的指数为基础来计算其价格波动率。由于上港集团和上证综指2004年1月2日至2009年6月5日的周数据有差异，上证综指比上港集团多7个数据，此处剔除上证综指的多余数据，以使上证和上港的周数据能一一对应。 令Ui=ln(Si/Si-1),因为Si=Si-1*eUi,所以Ui是第i个时间间隔后的连续复利收益，Ui 的标准差即为该段时间市场总体价格的波动率，设为，以下面的公式来估计波动率：=1/(n-1)*Ui -1/n*(n-1)* (Ui)则上证综指周波动率的估计值为：=1*0.44/213 -1/（214*213）*0.578 =0.045=0.045*0.045=0.002可得=0.00154/0.002=0.77（c）市场风险溢价的计算ER-r=市场平均收益率-无风险收益率还是以上证综指代表市场组合，上证综指的收益率即为市场组合收益率。以剔除多余数据后的2004年1月2日至2009年6月5日连续交易的265周交易日的上证综指和上港集团股价数据为基础来计算Rm。 令Ui=ln(1+Rw) =ln(Si/Si-1),Ui是第i个时间间隔后的连续复利收益。这期间上证综指平均连续复利收益率Uw为0.22582，进而估算其年连续复利收益率（以一年52周计算）。(1+Ry)(1+Rw)52 ，对其两边取自然对数，有ln(1+Ry)=52*ln(1+Rw)=0.22582%*52=11.7424%Ryeln(1+Ry)=e11.7424%=12.46%（上证综指的年收益率）市场组合收益率RmRy12.46%则ER-r=市场平均收益率-无风险收益率 =12.46%-2.25% =10.21%（d）计算k k=+*(12.46%-2.25%)=10.11% D. k,g的确定： 根据该公司的发展前景、发展阶段，结合宏观经济因素确定。公司在5年后将进入稳定增长期，增长期内的增长率和贴现率将低于超常增长期，预计 k=8.1% g=6%（2）计算 P0 = = =0.631+6.18 =6.81元2. FCFF法（1） 参数的确定A. 08年FCFF的计算：（单位：万元）FCFFFCFE利息费用（1税率）债务本金偿还发行的新债优先股红利 = 2,770,641,291.20 -365,004,500.62*（1-15.06%）+（3,056,800,000.00-247,503,612.00）+（3,088,921,100.00-3,088,921,100.00）+（0.00-2,176,322,754.78）+0.00= 3,713,643,834.28 FCFF=FCFF/总股本 =3,713,643,834.28/20,990,800,132 =0.177B. WACC和WACC的确定： WACC = = D/A*i*(1-t)+E/A*k = 23,111,135,055.30/59,081,292,290.02*6.62%*(1-15.06%)+35,970,157,234.72/59,081,292,290.02*10.11% =8.36% 由于当前经济还处于衰退到复苏的过渡期，因此利率较低。五年后宏观经济好转，利率提高，因此债务利率也会相应提高，预计为7.6%，即=7.6%。 WACC= = = 23,111,135,055.30/59,081,292,290.02*7.6%*(1-15.06%)+ 35,970,157,234.72/59,081,292,290.02*8.1% =7.5%C. 其他变量的确定同FCFE法（2）计算 P0 =-债务部分的价值 =-债务部分的价值 =（0.89+12.57）（1-0.4） =8.07元综合FCFE和FCFF两种方法，我们预计上港集团的股票价值在区间【6.81，8.07】元之间。而上港集团2009年6月5日的股价为5.63元，因此可以认为目前上港集团的股价被低估了。（二）相对估值法 市盈率估值模型： =1-B=1-0.64=0.36 由于公司在稳定增长阶段投资较少，公司可以减少留存收益，增加红利的发放，因此预计公司在稳定增长阶段的红利支付率为0.6，即=0.6。P0/E0= =0.36*1.0847*(1-1.08475/1.10115)/(0.101-0.0847)+0.6*1.08475*1.06/(0.021*1.10115) =29.82E0=0.2201，P0=29.82*0.2201=6.56元上港集团的理论价格为6.56元。2008年，由于受金融危机影响，公司每股净利润为0.2201元。随着2009年经济情况开始好转，同时作为港口行业的龙头老大，且地处上海的地理优势将使上港集团大大受益于上海国际航运中心的建设。预计2009年公司每股净利润将为0.29元，预计动态市盈率为2123倍，因此上港集团的理论价值处于区间【6.09，6.67】元之间。而上港集团2009年6月5日的股价为5.63元，因此可以认为目前上港集团的股价被低估了。附录上证综指和上港集团股价数据及ERm计算过程原始数据和计算过程 上港集团上证综指上港集团上证综指 时间收盘价 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