INVESTMENTS 投资学 （博迪BODIE, KANE, MARCUS）Chap018 Equity Valuation Models.ppt

CHAPTER18 EquityValuationModels 18 2 Valuation FundamentalAnalysis Fundamentalanalysismodelsacompany svaluebyassessingitscurrentandfutureprofitability Thepurposeoffundamentalanalysisistoidentifymispricedstocksrelativetosomemeasureof true valuederivedfromfinancialdata 18 3 BalanceSheetModelsDividendDiscountModels DDM Price EarningsRatiosFreeCashFlowModels ModelsofEquityValuation 18 4 ValuationbyComparables Comparevaluationratiosoffirmtoindustryaverages Ratioslikeprice salesareusefulforvaluingstart upsthathaveyettogeneratepositiveearnings 18 5 LimitationsofBookValue Bookvaluesarebasedonhistoricalcost notactualmarketvalues Itispossible butuncommon formarketvaluetobelessthanbookvalue Floor orminimumvalueistheliquidationvaluepershare Tobin sqistheratioofmarketpricetoreplacementcost 18 6 IntrinsicValuevs MarketPrice Thereturnonastockiscomposedofdividendsandcapitalgainsorlosses TheexpectedHPRmaybemoreorlessthantherequiredrateofreturn basedonthestock srisk 18 7 RequiredReturn CAPMgivestherequiredreturn k Ifthestockispricedcorrectly kshouldequalexpectedreturn kisthemarketcapitalizationrate 18 8 Theintrinsicvalue IV isthe true value accordingtoamodel Themarketvalue MV istheconsensusvalueofallmarketparticipantsTradingSignal IV MVBuyIV MVSellorShortSellIV MVHoldorFairlyPriced IntrinsicValueandMarketPrice 18 9 V0 currentvalue Dt dividendattimet k requiredrateofreturnTheDDMsaysthestockpriceshouldequalthepresentvalueofallexpectedfuturedividendsintoperpetuity DividendDiscountModels DDM 18 10 ConstantGrowthDDM g dividendgrowthrate 18 11 NogrowthcaseValueapreferredstockpayingafixeddividendof 2persharewhenthediscountrateis8 Example18 1PreferredStockandtheDDM 18 12 Example18 2ConstantGrowthDDM Astockjustpaidanannualdividendof 3 share Thedividendisexpectedtogrowat8 indefinitely andthemarketcapitalizationrate fromCAPM is14 18 13 DDMImplications Theconstant growthrateDDMimpliesthatastock svaluewillbegreater Thelargeritsexpecteddividendpershare Thelowerthemarketcapitalizationrate k Thehighertheexpectedgrowthrateofdividends Thestockpriceisexpectedtogrowatthesamerateasdividends 18 14 g growthrateindividendsROE ReturnonEquityforthefirmb plowbackorretentionpercentagerate 1 dividendpayoutpercentagerate EstimatingDividendGrowthRates 18 15 Figure18 1DividendGrowthforTwoEarningsReinvestmentPolicies 18 16 PresentValueofGrowthOpportunities Thevalueofthefirmequalsthevalueoftheassetsalreadyinplace theno growthvalueofthefirm PlustheNPVofitsfutureinvestments WhichiscalledthepresentvalueofgrowthopportunitiesorPVGO 18 17 PresentValueofGrowthOpportunities Price No growthvaluepershare PVGO 18 18 Firmreinvests60 ofitsearningsinprojectswithROEof10 capitalizationrateis15 Expectedyear enddividendis 2 share paidoutofearningsof 5 share g ROExb 10 x 6 6 Example18 4GrowthOpportunities 18 19 Example18 4GrowthOpportunities PVGO Pricepershare no growthvaluepershare 18 20 LifeCyclesandMultistageGrowthModels ExpecteddividendsforHonda 2010 502012 832011 662013 1 00Sincethedividendpayoutratiois30 andROEis11 the steady state growthrateis7 7 18 21 HondaExample Honda sbetais0 95andtherisk freerateis3 5 Ifthemarketriskpremiumis8 thenkis k 3 5 0 95 8 11 1 Therefore 18 22 HondaExample Finally In2009 oneshareofHondaMotorCompanyStockwasworth 23 04 18 23 Price EarningsRatioandGrowth TheratioofPVGOtoE kistheratiooffirmvalueduetogrowthopportunitiestovalueduetoassetsalreadyinplace i e theno growthvalueofthefirm E k 18 24 Price EarningsRatioandGrowth WhenPVGO 0 P0 E1 k Thestockisvaluedlikeanongrowingperpetuity P ErisesdramaticallywithPVGO HighP Eindicatesthatthefirmhasamplegrowthopportunities 18 25 Price EarningsRatioandGrowth P Eincreases AsROEincreasesAsplowbackincreases aslongasROE k 18 26 Table18 3EffectofROEandPlowbackonGrowthandtheP ERatio 18 27 P EandGrowthRate WallStreetruleofthumb ThegrowthrateisroughlyequaltotheP Eratio IftheP EratioofCocaColais15 you dexpectthecompanytobegrowingatabout15 peryear etc ButiftheP Eratioislessthanthegrowthrate youmayhavefoundyourselfabargain QuotefromPeterLynchinOneUponWallStreet 18 28 P ERatiosandStockRisk Whenriskishigher kishigher therefore P Eislower 18 29 PitfallsinP EAnalysis UseofaccountingearningsEarningsManagementChoicesonGAAPInflationReportedearningsfluctuatearoundthebusinesscycle 18 30 Figure18 3P ERatiosoftheS P500IndexandInflation 18 31 Figure18 4EarningsGrowthforTwoCompanies 18 32 Figure18 6P ERatiosforDifferentIndustries 2007 18 33 OtherComparativeValueApproaches Price to bookratioPrice to cash flowratioPrice to salesratio 18 34 Figure18 7MarketValuationStatistics 18 35 FreeCashFlowApproach ValuethefirmbydiscountingfreecashflowatWACC Freecashflowtothefirm FCFF equals AftertaxEBITPlusdepreciationMinuscapitalexpendituresMinusincreaseinnetworkingcapital 18 36 Compa