投资分析与投资组合管理ppt课件.ppt

,LecturePresentationSoftwaretoaccompanyInvestmentAnalysisandPortfolioManagementSeventhEditionbyFrankK.Reilly&KeithC.Brown,Chapter10,1,Chapter10AnalysisofFinancialStatements,Questionstobeanswered:Whatarethemajorfinancialstatementsprovidedbyfirmsandwhatspecificinformationdoeseachofthemcontain?Whydoweusefinancialratiostoexaminetheperformanceofafirmandwhyisitimportanttoexamineperformancerelativetotheeconomyandafirmsindustry?,2,Chapter10AnalysisofFinancialStatements,Whatarethemajorcategoriesforfinancialratiosandwhatquestionsareansweredbytheratiosinthesecategories?Whatspecificratioshelpdetermineafirmsinternalliquidity,operatingperformance,riskprofile,growthpotential,andexternalliquidity?HowcantheDuPontanalysishelpevaluateafirmsreturnonequityovertime?,3,Chapter10AnalysisofFinancialStatements,WhataresomeofthemajordifferencesbetweenU.S.andnon-U.S.financialstatementsandhowdothesedifferencesaffectthefinancialratios?Whatisa“quality”balancesheetorincomestatement?Whyisfinancialstatementanalysisdoneifmarketsareefficientandforward-looking?,4,Chapter10AnalysisofFinancialStatements,Whatmajorfinancialratioshelpanalystsinthefollowingareas:stockvaluation,estimatingandevaluatingsystematicrisk,predictingthecreditratingsonbonds,andpredictingbankruptcy?,5,MajorFinancialStatements,Corporateshareholderannualandquarterlyreportsmustinclude,6,MajorFinancialStatements,CorporateshareholderannualandquarterlyreportsmustincludeBalancesheet,7,MajorFinancialStatements,CorporateshareholderannualandquarterlyreportsmustincludeBalancesheetIncomestatement,8,MajorFinancialStatements,CorporateshareholderannualandquarterlyreportsmustincludeBalancesheetIncomestatementStatementofcashflows,9,MajorFinancialStatements,CorporateshareholderannualandquarterlyreportsmustincludeBalancesheetIncomestatementStatementofcashflowsReportsfiledwithSecuritiesandExchangeCommission(SEC),10,MajorFinancialStatements,CorporateshareholderannualandquarterlyreportsmustincludeBalancesheetIncomestatementStatementofcashflowsReportsfiledwithSecuritiesandExchangeCommission(SEC)10-Kand10-Q,11,GenerallyAcceptedAccountingPrinciples(GAAP),FormulatedbytheFinancialAccountingStandardsBoard(FASB)ProvidessomechoicesofaccountingprinciplesFinancialstatementsfootnotesmustdisclosewhichaccountingprinciplesareusedbythefirm,12,BalanceSheet,Showsresources(assets)ofthefirmandhowithasfinancedtheseresourcesIndicatescurrentandfixedassetsavailableatapointintimeFinancingisindicatedbyitsmixtureofcurrentliabilities,long-termliabilities,andownersequity,13,IncomeStatement,ContainsinformationontheprofitabilityofthefirmduringsomeperiodoftimeIndicatestheflowofsales,expenses,andearningsduringthetimeperiod,14,StatementofCashFlows,IntegratestheinformationonthebalancesheetandincomestatementShowstheeffectsonthefirmscashflowofincomeflowsandchangesinvariousitemsonthebalancesheet,15,StatementofCashFlows,Ithasthreesections:CashFlowfromOperatingActivitiesthesourcesandusesofcashthatarisefromthenormaloperationsofafirmCashFlowfromInvestingactivitieschangeingrossplantandequipmentplusthechangeintheinvestmentaccountCashFlowfromFinancingactivitiesfinancingsourcesminusfinancinguses,16,AlternativeMeasuresofCashFlow,CashflowfromoperationsTraditionalcashflowequalsnetincomeplusdepreciationexpenseanddeferredtaxesAlsoadjustforchangesinoperatingassetsandliabilitiesthatuseorprovidecashFreecashflowrecognizesthatsomeinvestingandfinancingactivitiesarecriticaltoongoingsuccessofthefirmCapitalexpendituresanddividends,17,PurposeofFinancialStatementAnalysis,Evaluatemanagementperformanceinthreeareas:ProfitabilityEfficiencyRisk,18,AnalysisofFinancialRatios,RatiosaremoreinformativethatrawnumbersRatiosprovidemeaningfulrelationshipsbetweenindividualvaluesinthefinancialstatements,19,ImportanceofRelativeFinancialRatios,ComparetootherentitiesExamineafirmsperformancerelativeto:TheaggregateeconomyItsindustryorindustriesItsmajorcompetitorswithintheindustryItspastperformance(time-seriesanalysis),20,ComparingtoTheAggregateEconomy,MostfirmsareinfluencedbyeconomicexpansionsandcontractionsinthebusinesscycleAnalysishelpsyouestimatethefutureperformanceofthefirmduringsubsequentbusinesscycles,21,ComparingtoAFirmsIndustry,MostpopularcomparisonIndustriesaffectthefirmswithinthemdifferently,buttherelationshipisalwayssignificantTheindustryeffectisstrongestforindustrieswithhomogenousproductsExaminetheindustrysperformancerelativetoaggregateeconomicactivity,22,ComparingtoAFirmsMajorCompetitors,IndustryaveragesmaynotberepresentativeSelectasubsetofcompetitorstocomparetousingcross-sectionalanalysis,orConstructacompositeindustryaveragefromindustriesthefirmoperatesin,23,ComparingtoAFirmsHistoricalPerformance,DeterminewhetheritisprogressingordecliningHelpfulforestimatingfutureperformanceConsidertrendsaswellasaveragesovertime,24,FiveCategoriesofFinancialRatios,1.Internalliquidity(solvency)2.Operatingperformancea.Operatingefficiencyb.Operatingprofitability3.Riskanalysisa.Businessriskb.Financialrisk,25,SixCategoriesofFinancialRatios,4.Growthanalysis,26,SixCategoriesofFinancialRatios,5.Externalliquidity(marketability),27,CommonSizeStatements,NormalizebalancesheetsandincomestatementitemstoalloweasiercomparisonofdifferentsizefirmsAcommonsizebalancesheetexpressesaccountsasapercentageoftotalassetsAcommonsizeincomestatementexpressesallitemsasapercentageofsales,28,EvaluatingInternalLiquidity,Internalliquidity(solvency)ratiosindicatetheabilitytomeetfutureshort-termfinancialobligationsCurrentRatioexaminescurrentassetsandcurrentliabilities,29,EvaluatingInternalLiquidity,QuickRatioadjustscurrentassetsbyremovinglessliquidassets,30,EvaluatingInternalLiquidity,CashRatioisthemostconservativeliquidityratio,31,EvaluatingInternalLiquidity,Receivablesturnoverexaminesthequalityofaccountsreceivable,Receivablesturnovercanbeconvertedintoanaveragecollectionperiod,32,EvaluatingInternalLiquidity,Inventoryturnoverrelatesinventorytosalesorcostofgoodssold(CGS),Giventheturnovervalues,youcancomputetheaverageinventoryprocessingtimeAverageInventoryProcessingPeriod=365/AnnualTurnover,33,EvaluatingInternalLiquidity,Cashconversioncyclecombinesinformationfromthereceivablesturnover,inventoryturnover,andaccountspayableturnover,ReceivableDays+InventoryProcessingDays-PayablesPaymentPeriodCashConversionCycle,34,EvaluatingOperatingPerformance,Ratiosthatmeasurehowwellmanagementisoperatingabusiness(1)OperatingefficiencyratiosExaminehowthemanagementusesitsassetsandcapital,measuredintermsofsalesdollarsgeneratedbyassetorcapitalcategories(2)OperatingprofitabilityratiosAnalyzeprofitsasapercentageofsalesandasapercentageoftheassetsandcapitalemployed,35,OperatingEfficiencyRatios,Totalassetturnoverratioindicatestheeffectivenessofafirmsuseofitstotalassetbase(netassetsequalsgrossassetsminusdepreciationonfixedassets),36,OperatingEfficiencyRatios,Netfixedassetturnoverreflectsutilizationoffixedassets,37,OperatingProfitabilityRatios,Operatingprofitabilityratiosmeasure1.Therateofprofitonsales(profitmargin)2.Thepercentagereturnoncapital,38,OperatingProfitabilityRatios,Grossprofitmarginmeasurestherateofprofitonsales(grossprofitequalsnetsalesminusthecostofgoodssold),39,OperatingProfitabilityRatios,Operatingprofitmarginmeasurestherateofprofitonsalesafteroperatingexpenses(operatingprofitisgrossprofitminussales,generalandadministrative(SG+A)expenses),40,OperatingProfitabilityRatios,Netprofitmarginrelatesnetincometosales,41,OperatingProfitabilityRatios,Returnontotalcapitalrelatesthefirmsearningstoallcapitalintheenterprise,42,OperatingProfitabilityRatios,Returnonownersequity(ROE)indicatestherateofreturnearnedonthecapitalprovidedbythestockholdersafterpayingforallothercapitalused,43,OperatingProfitabilityRatios,Returnonownersequity(ROE)canbecomputedforthecommon-shareholdersequity,44,OperatingProfitabilityRatios,TheDuPontSystemdividestheratiointoseveralcomponentsthatprovideinsightsintothecausesofafirmsROEandanychangesinit,45,OperatingProfitabilityRatios,46,OperatingProfitabilityRatios,AnextendedDuPontSystemprovidesadditionalinsightsintotheeffectoffinancialleverageonthefirmandpinpointstheeffectofincometaxesonROE,47,OperatingProfitabilityRatios,AnextendedDuPontSystemprovidesadditionalinsightsintotheeffectoffinancialleverageonthefirmandpinpointstheeffectofincometaxesonROEWebeginwiththeoperatingprofitmargin(EBITdividedbysales)andintroduceadditionalratiostoderiveanROEvalue,48,OperatingProfitabilityRatios,49,OperatingProfitabilityRatios,Thisistheoperatingprofitreturnontotalassets.Toconsiderthenegativeeffectsoffinancialleverage,weexaminetheeffectofinterestexpenseasapercentageoftotalassets,50,OperatingProfitabilityRatios,51,OperatingProfitabilityRatios,Weconsiderthepositiveeffectoffinancialleveragewiththefinancialleveragemultiplier,52,OperatingProfitabilityRatios,53,OperatingProfitabilityRatios,Thisindicatesthepretaxreturnonequity.ToarriveatROEwemustconsiderthetaxrateeffect.,54,OperatingProfitabilityRatios,55,OperatingProfitabilityRatios,Insummary,wehavethefollowingfivecomponentsofreturnonequity(ROE),56,OperatingProfitabilityRatios,57,OperatingProfitabilityRatios,58,OperatingProfitabilityRatios,59,OperatingProfitabilityRatios,60,OperatingProfitabilityRatios,61,RiskAnalysis,RiskanalysisexaminestheuncertaintyofincomeflowsforthetotalfirmandfortheindividualsourcesofcapitalDebtPreferredstockCommonstock,62,RiskAnalysis,Totalriskofafirmhastwocomponents:BusinessriskTheuncertaintyofincomecausedbythefirmsindustryGenerallymeasuredbythevariabilityofthefirmsoperatingincomeovertimeFinancialriskAdditionaluncertaintyofreturnstoequityholdersduetoafirmsuseoffixedobligationdebtsecuritiesTheacceptableleveloffinancialriskforafirmdependsonitsbusinessrisk,63,BusinessRisk,Variabilityofthefirmsoperatingincomeovertime,64,BusinessRisk,VariabilityofthefirmsoperatingincomeovertimeStandarddeviationofthehistoricaloperatingearningsseries,65,BusinessRisk,TwofactorscontributetothevariabilityofoperatingearningsSalesvariabilityEarningsmustbeasvolatileassalesSomeindustriesarecyclicalOperatingleverageProductionhasfixedandvariablecostsFixedproductioncostscauseprofitvolatilitywithchangesinsalesFixedproductioncostsareoperatingleverage,66,FinancialRisk,BondsinterestpaymentscomebeforeearningsareavailabletostockholdersThesearefixedobligationsSimilartofixedproductioncosts,theseleadtolargerearningsduringgoodtimes,andlowerearningsduringabusinessdeclineThisdebtfinancingincreasesthefinancialriskandpossibilityofdefault,67,FinancialRisk,TwosetsoffinancialratioshelpmeasurefinancialriskBalancesheetratiosEarningsorcashflowavailabletopayfixedfinancialchargesAcceptablelevelsoffinancialriskdependonbusinessrisk,68,FinancialRisk,Proportionofdebt(balancesheet)ratios,69,FinancialRisk,Proportionofdebt(balancesheet)ratios,70,FinancialRisk,Proportionofdebt(balancesheet)ratiosThismaybecomputedwithandwithoutdeferredtaxes,71,FinancialRisk,Long-termdebt/totalcapitalratioindicatestheproportionoflong-termcapitalderivedfromlong-termdebtcapital,72,FinancialRisk,Long-termdebt/totalcapitalratioindicatestheproportionoflong-termcapitalderivedfromlong-termdebtcapital,73,FinancialRisk,Totaldebtratioscomparetotaldebt(currentliabilitiespluslong-termliabilities)tototalcapital(totaldebtplustotalequity),74,FinancialRisk,Totaldebtratioscomparetotaldebt(currentliabilitiespluslong-termliabilities)tototalcapital(totaldebtplustotalequity),75,FinancialRisk,EarningsorCashFlowRatiosRelatetheflowofearningsCashavailabletomeetthepaymentsHigherratiomeanslowerrisk,76,FinancialRisk,InterestCoverage,77,FinancialRisk,InterestCoverage,78,FinancialRisk,InterestCoverage,79,FinancialRisk,Firmsmayalsohavenon-interestfixedpaymentsdueforleaseobligationsTheriskeffectissimilartobondriskBond-ratingagenciestypicallyadd1/3leasepaymentsastheinterestcomponentoftheleaseobligations,80,FinancialRisk,Totalfixedchargecoverageincludesanynoncancellableleasepaymentsandanypreferreddividendspaidoutofearningsaftertaxes,81,FinancialRisk,Totalfixedchargecoverageincludesanynoncancellableleasepaymentsandanypreferreddividendspaidoutofearningsaftertaxes,82,FinancialRisk,Cashflowratiosrelatetheflowofcashavailablefromoperationstoeitherinterestexpense,totalfixedcharges,orthefacevalueofoutstandingdebt,83,FinancialRisk,84,FinancialRisk,85,FinancialRisk,86,ExternalMarketLiquidity,MarketLiquidityistheabilitytobuyorsellanassetquicklywithlittlepricechangefromapriortransactionassumingnonewinformationExternalmarketliquidityisasourceofrisktoinvestors,87,ExternalMarketLiquidity,DeterminantsofMarketLiquidityThedollarvalueofsharestradedThiscanbeestimatedfromthetotalmarketvalueofoutstandingsecuritiesItwillbeaffectedbythenumberofsecurityownersNumerousbuyersandsellersprovideliquidity,88,ExternalMarketLiquidity,Tradingturnover(percentageofoutstandingsharestradedduringaperiodoftime),89,ExternalMarketLiquidity,Ameasureofmarketliquidityisthebid-askspread,90,AnalysisofGrowthPotential,CreditorsareinterestedinthefirmsabilitytopayfutureobligationsValueofafirmdependsonitsfuturegrowthinearningsanddividends,91,DeterminantsofGrowth,ResourcesretainedandreinvestedintheentityRateofreturnearnedontheresourcesretained=RRxROEwhere:g=potentialgrowthrateRR=theretentionrateofearningsROE=thefirmsreturnonequity,92,DeterminantsofGrowth,ROEisafunctionofNetprofitmarginTotalassetturnoverFinancialleverage(totalassets/equity),93,ComparativeAnalysisofRatios,InternalliquidityCurrentratio,quickratio,andcashratioOperatingperformanceEfficiencyratiosandprofitabilityratiosFinancialriskGrowthanalysis,94,AnalysisofNon-U.S.FinancialStatements,StatementformatswillbedifferentDifferencesinaccountingprinciplesRatioanalysiswillreflectlocalaccountingpractices,95,TheQualityofFinancialStatements,Reflectrealityratherthanuseaccountingtricksorone-timeadjustmentstomakethingslookbetterthantheyare,96,TheQualityofFinancialStatements,High-qualitybalancesheetstypicallyhaveConservativeuseofdebtAssetswithmarketvaluegreaterthanbookNoliabilitiesoffthebalancesheet,97,TheQualityofFinancialStatements,High-qualityincomestatementsreflectrepeatableearningsGainsfromnonrecurringitemsshouldbeignoredwhenexaminingearningsHigh-qualityearningsresultfromtheuseofconservativeaccountingprinciplesthatdonotoverstaterevenuesorunderstatecosts,98,TheValueofFinancialStatementAnalysis,Financialstatements,bytheirnature,arebackward-lookingAnefficientmarketwillhavealreadyincorporatedthesepastresultsintosecurityprices,sowhyanalyzethestatements?AnalysisprovidesknowledgeofafirmsoperatingandfinancialstructureThisaidsinestimatingfuturereturns,99,SpecificUsesofFinancialRatios,1.Stockvaluation2.Identificationofcorporatevariablesaffectingastockssystematicrisk(beta)3.Assigningcreditqualityratingsonbonds4.Predictinginsolvency(bankruptcy)offirms,100,StockValuationModels,ValuationmodelsattempttoderiveavaluebasedupononeofseveralcashfloworrelativevaluationmodelsAllvaluationmodelsareinfluencedby:Expectedgrowthrateofearnings,cashflows,ordividendsRequiredrateofreturnonthestockFinancialratioscanhelpinestimatingthesecriticalinputs,101,StockValuationModels,FinancialRatios1.Averagedebt/equity2.Averageinterestcoverage3.Averagedividendpayout4.Averagereturnonequity5.Averageretentionrate6.Averagemarketpricetobookvalue7.Averagemarketpricetocashflow8.Averagemarketpricetosales,102,StockValuationModels,VariabilityMeasures1.Coefficientofvariationofoperatingearnings2.Coefficientofvariationofsales3.Coefficientofvariationofnetincome4.Systematicrisk(beta)NonratioVariables1.Averagegrowthrateofearnings,103,FinancialRatiosandSystematicRisk,FinancialRatios1.Dividendpayout2.Totaldebt/totalassets3.Cashflow/totaldebt4.Interestcoverage5.Workingcapital/totalassets6.CurrentRatio,104,FinancialRatiosandSystematicRisk,VariabilityMeasures1.Varianceofoperatingearnings2.Coefficientofvariationofoperatingearnings3.Coefficientofvariationofoperatingprofitmargins4.Operatingearningsbeta(companyearningsrelatedtoaggregateearn