公司理财05债券和股票的定价.ppt

第5章债券和股票的定价 5 1债券的定义5 2如何对债券定价5 3债券的概念5 4普通股现值5 5股利折现模型中的参数估计5 6增长机会5 7股利增长模型5 8市盈率5 9股市行情 5 1债券的定义和例子DefinitionandExampleofaBond 债券是在借款人和出借人依法签定的协议 Abondisalegallybindingagreementbetweenaborrowerandalender Specifiestheprincipalamountoftheloan Specifiesthesizeandtimingofthecashflows 5 2如何对债券定价HowtoValueBonds 确定现金流的大小和时间Identifythesizeandtimingofcashflows 贴现率Discountatthecorrectdiscountrate Ifyouknowthepriceofabondandthesizeandtimingofcashflows theyieldtomaturity 到期收益率 isthediscountrate 5 2 1纯贴现债券PureDiscountBonds Informationneededforvaluingpurediscountbonds Timetomaturity T Maturitydate today sdateFacevalue F Discountrate r Presentvalueofapurediscountbondattime0 5 2 2平息债券Level CouponBonds Informationneededtovaluelevel couponbonds Couponpaymentdatesandtimetomaturity T Couponpayment C perperiodandFacevalue F Discountrate ValueofaLevel couponbond PVofcouponpaymentannuity PVoffacevalue 5 3债券的概念BondConcepts 1 Bondpricesandmarketinterestratesmoveinoppositedirections 2 Whencouponrate YTM price parvalue 面值 Whencouponrate YTM price parvalue premiumbond溢价债券 Whencouponrate YTM price parvalue discountbond折价债券 3 Abondwithlongermaturityhashigherrelative pricechangethanonewithshortermaturitywheninterestrate YTM changes Allotherfeaturesareidentical 4 AlowercouponbondhasahigherrelativepricechangethanahighercouponbondwhenYTMchanges Allotherfeaturesareidentical 到期收益率 贴现率 与债券价值 800 1000 1100 1200 1300 1400 0 0 01 0 02 0 03 0 04 0 05 0 06 0 07 0 08 0 09 0 1 DiscountRate BondValue WhentheYTM coupon thebondtradesatapremium WhentheYTM coupon thebondtradesatpar WhentheYTM coupon thebondtradesatadiscount 债券期限与债券价值MaturityandBondPriceVolatility Considertwootherwiseidenticalbonds Thelong maturitybondwillhavemuchmorevolatilitywithrespecttochangesinthediscountrate ShortMaturityBond 债券利率与债券价值CouponRateandBondPriceVolatility Considertwootherwiseidenticalbonds Thelow couponbondwillhavemuchmorevolatilitywithrespecttochangesinthediscountrate HighCouponBond LowCouponBond 债券的到期收益率 例 某人1035 67元买入一份两年期 票面金额为1000元 票面利率为10 的债券 每年末支付一次利息 求到期收益率 用插值法或用Excel求解y 8 5 4普通股现值ThePresentValueofCommonStocks 股利和资本利得DividendsversusCapitalGainsValuationofDifferentTypesofStocks零增长ZeroGrowth固定增长ConstantGrowth变动增长DifferentialGrowth Case1 零增长ZeroGrowth Assumethatdividendswillremainatthesamelevelforever Sincefuturecashflowsareconstant thevalueofazerogrowthstockisthepresentvalueofaperpetuity Case2 固定增长ConstantGrowth Sincefuturecashflowsgrowataconstantrateforever thevalueofaconstantgrowthstockisthepresentvalueofagrowingperpetuity Assumethatdividendswillgrowataconstantrate g forever i e Case3 变动增长DifferentialGrowth Assumethatdividendswillgrowatdifferentratesintheforeseeablefutureandthenwillgrowataconstantratethereafter TovalueaDifferentialGrowthStock weneedto Estimatefuturedividendsintheforeseeablefuture EstimatethefuturestockpricewhenthestockbecomesaConstantGrowthStock case2 Computethetotalpresentvalueoftheestimatedfuturedividendsandfuturestockpriceattheappropriatediscountrate Assumethatdividendswillgrowatrateg1forNyearsandgrowatrateg2thereafter Dividendswillgrowatrateg1forNyearsandgrowatrateg2thereafter 012 NN 1 Wecanvaluethisasthesumof anN yearannuitygrowingatrateg1 plusthediscountedvalueofaperpetuitygrowingatrateg2thatstartsinyearN 1 TovalueaDifferentialGrowthStock wecanuse 例 Acommonstockjustpaidadividendof 2 Thedividendisexpectedtogrowat8 for3years thenitwillgrowat4 inperpetuity Whatisthestockworth 假定贴现率12 01234 0123 Theconstantgrowthphasebeginninginyear4canbevaluedasagrowingperpetuityattime3 5 5股利折现模型中的参数估计EstimatesofParametersintheDividend DiscountModel Thevalueofafirmdependsuponitsgrowthrate g anditsdiscountrate r Wheredoesgcomefrom Wheredoesrcomefrom 5 5 1g从何来FormulaforFirm sGrowthRate g 留存收益的比率 留存收益的回报率g Retentionratio Returnonretainedearnings例 Pagemaster公司盈利200万元 计划保留40 的盈利 公司历史的权益资本回报率 ROE 为16 预期将来也不变 那么明年的盈利增长会是多少 g 200 40 16 200 6 4 或者 g 40 16 6 4 5 5 2r从何来Wheredoesrcomefrom 贴现率可分为两部分Thediscountratecanbebrokenintotwoparts ThedividendyieldThegrowthrate individends 根据永久增长年金公式 Inpractice thereisagreatdealofestimationerrorinvolvedinestimatingr 股利收益率 股利增长率 5 6增长机会GrowthOpportunities 增长机会是指投资于NPV为正的项目的机会 GrowthopportunitiesareopportunitiestoinvestinpositiveNPVprojects 公司的价值可视为两部分的和 第一部分是盈利恒定 且将所有盈利全部分给投资者 则公司每股股票价值 EPS r 第二部分是保留第一期的所有盈利进行投资一新项目 该新项目价值折现到0点的每股NPV就是NPVGO Thevalueofafirmcanbeconceptualizedasthesumofthevalueofafirmthatpaysout100 percentofitsearningsasdividendsandthenetpresentvalueofthegrowthopportunities 0 1 2 3 4 100 100 100 100 投资前每股价值 0 1 2 3 4 100 21 21 21 投资后新增每股价值 1期末 折现到0时点的价值 总价值 投资前现金流量 投资后新增现金流量 5 7股利增长模型和NPVGO模型TheDividendGrowthModelandtheNPVGOModel Advanced Wehavetwowaystovalueastock 股利贴现模型Thedividenddiscountmodel NPVGO模型Thepriceofashareofstockcanbecalculatedasthesumofitspriceasacashcowplustheper sharevalueofitsgrowthopportunities 2 NPVGO模型 下面用NPVGO模型计算上例的价值 第一 计算现金牛的价值First wemustcalculatethevalueofthefirmasacashcow 第二 计算增长机会的价值 Second wemustcalculatethevalueofthegrowthopportunities 第1年的保留盈余3 5元 股 每年增加的现金流量为3 5 0 2 0 7 0 1 2 3 3 5 0 7 0 7 0 7 0 7 4 5 第1年投资产生的每股净现值 最后 计算总价值 Finally 5 8市盈率PriceEarningsRatio Manyanalystsfrequentlyrelateearningspersharetoprice Thepriceearningsratioisa k athemultipleCalculatedascurrentstockpricedividedbyannualEPSTheWallStreetJournaluseslast4quarter searningsFirmswhosesharesare infashion sellathighmultiples Growthstocksforexample Firmswhosesharesareoutoffavorsellatlowmultiples Valuestocksforexample 5 9股市行情StockMarketReporting