债券与股票的定价策略(英文版)(ppt 39页).ppt

ChapterOutline,5.1DefinitionandExampleofaBond5.2HowtoValueBonds5.3BondConcepts5.4ThePresentValueofCommonStocks5.5EstimatesofParametersintheDividend-DiscountModel5.6GrowthOpportunities5.7TheDividendGrowthModelandtheNPVGOModel(Advanced)5.8PriceEarningsRatio5.9StockMarketReporting5.10SummaryandConclusions,ValuationofBondsandStock,FirstPrinciples:Valueoffinancialsecurities=PVofexpectedfuturecashflowsTovaluebondsandstocksweneedto:Estimatefuturecashflows:Size(howmuch)andTiming(when)Discountfuturecashflowsatanappropriaterate:Therateshouldbeappropriatetotheriskpresentedbythesecurity.,5.1DefinitionandExampleofaBond,Abondisalegallybindingagreementbetweenaborrowerandalender:Specifiestheprincipalamountoftheloan.Specifiesthesizeandtimingofthecashflows:Indollarterms(fixed-rateborrowing)Asaformula(adjustable-rateborrowing),5.1DefinitionandExampleofaBond,ConsideraU.S.governmentbondlistedas63/8ofDecember2009.TheParValueofthebondis$1,000.Couponpaymentsaremadesemi-annually(June30andDecember31forthisparticularbond).Sincethecouponrateis63/8thepaymentis$31.875.OnJanuary1,2002thesizeandtimingofcashflowsare:,5.2HowtoValueBonds,Identifythesizeandtimingofcashflows.Discountatthecorrectdiscountrate.Ifyouknowthepriceofabondandthesizeandtimingofcashflows,theyieldtomaturityisthediscountrate.,PureDiscountBonds,Informationneededforvaluingpurediscountbonds:Timetomaturity(T)=Maturitydate-todaysdateFacevalue(F)Discountrate(r),Presentvalueofapurediscountbondattime0:,PureDiscountBonds:Example,Findthevalueofa30-yearzero-couponbondwitha$1,000parvalueandaYTMof6%.,Level-CouponBonds,Informationneededtovaluelevel-couponbonds:Couponpaymentdatesandtimetomaturity(T)Couponpayment(C)perperiodandFacevalue(F)Discountrate,ValueofaLevel-couponbond=PVofcouponpaymentannuity+PVoffacevalue,Level-CouponBonds:Example,Findthepresentvalue(asofJanuary1,2002),ofa6-3/8couponT-bondwithsemi-annualpayments,andamaturitydateofDecember2009iftheYTMis5-percent.OnJanuary1,2002thesizeandtimingofcashflowsare:,Level-CouponBonds:Example,Findthepresentvalue(asofJanuary1,2002),ofa6-3/8couponT-bondwithsemi-annualpayments,andamaturitydateofDecember2009iftheYTMis5-percent.PV=$31.8751-1/(1.025)16+$1,000=$1,089.75.05/2(1.025)16,5.3BondConcepts,Bondpricesandmarketinterestratesmoveinoppositedirections.2.Whencouponrate=YTM,price=parvalue.WhencouponrateYTM,priceparvalue(premiumbond)WhencouponrateYTM,priceparvalue(discountbond)Abondwithlongermaturityhashigherrelative(%)pricechangethanonewithshortermaturitywheninterestrate(YTM)changes.Allotherfeaturesareidentical.4.AlowercouponbondhasahigherrelativepricechangethanahighercouponbondwhenYTMchanges.Allotherfeaturesareidentical.,YTMandBondValue,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,WhentheYTMcoupon,thebondtradesatadiscount.,MaturityandBondPriceVolatility,Considertwootherwiseidenticalbonds.Thelong-maturitybondwillhavemuchmorevolatilitywithrespecttochangesinthediscountrate,CouponRateandBondPriceVolatility,Considertwootherwiseidenticalbonds.Thelow-couponbondwillhavemuchmorevolatilitywithrespecttochangesinthediscountrate,5.4ThePresentValueofCommonStocks,DividendsversusCapitalGainsValuationofDifferentTypesofStocksZeroGrowthConstantGrowthDifferentialGrowth,Case1:ZeroGrowth,Assumethatdividendswillremainatthesamelevelforever,Sincefuturecashflowsareconstant,thevalueofazerogrowthstockisthepresentvalueofaperpetuity:,Case2:ConstantGrowth,Sincefuturecashflowsgrowataconstantrateforever,thevalueofaconstantgrowthstockisthepresentvalueofagrowingperpetuity:,Assumethatdividendswillgrowataconstantrate,g,forever.i.e.,.,.,.,Case3:DifferentialGrowth,Assumethatdividendswillgrowatdifferentratesintheforeseeablefutureandthenwillgrowataconstantratethereafter.TovalueaDifferentialGrowthStock,weneedto:Estimatefuturedividendsintheforeseeablefuture.EstimatethefuturestockpricewhenthestockbecomesaConstantGrowthStock(case2).Computethetotalpresentvalueoftheestimatedfuturedividendsandfuturestockpriceattheappropriatediscountrate.,Case3:DifferentialGrowth,Assumethatdividendswillgrowatrateg1forNyearsandgrowatrateg2thereafter,.,.,.,.,.,.,Case3:DifferentialGrowth,Dividendswillgrowatrateg1forNyearsandgrowatrateg2thereafter,012,NN+1,Case3:DifferentialGrowth,Wecanvaluethisasthesumof:anN-yearannuitygrowingatrateg1,plusthediscountedvalueofaperpetuitygrowingatrateg2thatstartsinyearN+1,Case3:DifferentialGrowth,TovalueaDifferentialGrowthStock,wecanuse,Orwecancashflowitout.,ADifferentialGrowthExample,Acommonstockjustpaidadividendof$2.Thedividendisexpectedtogrowat8%for3years,thenitwillgrowat4%inperpetuity.Whatisthestockworthiftheinterestrateis12%?,WiththeFormula,ADifferentialGrowthExample(continued),01234,0123,Theconstantgrowthphasebeginninginyear4canbevaluedasagrowingperpetuityattime3.,5.5EstimatesofParametersintheDividend-DiscountModel,Thevalueofafirmdependsuponitsgrowthrate,g,anditsdiscountrate,r.Wheredoesgcomefrom?Wheredoesrcomefrom?,FormulaforFirmsGrowthRate,g=RetentionratioReturnonretainedearnings,Wheredoesrcomefrom?,Thediscountratecanbebrokenintotwoparts.ThedividendyieldThegrowthrate(individends)Inpractice,thereisagreatdealofestimationerrorinvolvedinestimatingr.,5.6GrowthOpportunities,GrowthopportunitiesareopportunitiestoinvestinpositiveNPVprojects.Thevalueofafirmcanbeconceptualizedasthesumofthevalueofafirmthatpaysout100-percentofitsearningsasdividendsandthenetpresentvalueofthegrowthopportunities.,5.7TheDividendGrowthModelandtheNPVGOModel(Advanced),Wehavetwowaystovalueastock:Thedividenddiscountmodel.Thepriceofashareofstockcanbecalculatedasthesumofitspriceasacashcowplustheper-sharevalueofitsgrowthopportunities.,TheDividendGrowthModelandtheNPVGOModel,ConsiderafirmthathasEPSof$5attheendofthefirstyear,adividend-payoutratioof30%,adiscountrateof16-percent,andareturnonretainedearningsof20-percent.Thedividendatyearonewillbe$5.30=$1.50pershare.Theretentionratiois.70(=1-.30)implyingagrowthrateindividendsof14%=.7020%Fromthedividendgrowthmodel,thepriceofashareis:,TheNPVGOModel,First,wemustcalculatethevalueofthefirmasacashcow.,Second,wemustcalculatethevalueofthegrowthopportunities.,Finally,5.8PriceEarningsRatio,Manyanalystsfrequentlyrelateearningspersharetoprice.Thepriceearningsratioisa.k.athemultipleCalculatedascurrentstockpricedividedbyannualEPSTheWallStreetJournaluseslast4quartersearningsFirmswhosesharesare“infashion”sellathighmultiples.Growthstocksforexample.Firmswhosesharesareoutoffavorsellatlowmultiples.Valuestocksforexample.,OtherPriceRatioAnalysis,Manyanalystsfrequentlyrelateearningspersharetovariablesotherthanprice,e.g.:Price/CashFlowRatiocashflow=netincome+depreciation=cashflowfromoperationsoroperatingcashflowPrice/SalescurrentstockpricedividedbyannualsalespersharePrice/Book(a.k.aMarkettoBookRatio)pricedividedbybookvalueofequity,whichismeasuredasassets-liabilities,5.9StockMarketReporting,Gapendedtradingat$19.25,down$1.75fromyesterdaysclose,5.9StockMarketReporting,GapIncorporatedishavingatoughyear,tradingneartheir52-weeklow.Imaginehowyouwouldfeelifwithinthepastyearyouhadpaid$52.75forashareofGapandnowhadashareworth$19.25!That9-centdividendwouldntgoveryfarinmakingamends.Yesterday,Gaphadanotherroughdayinaroughyear.Gap“openedthedaydown”beginningtradingat$20.50,whichwasdownfromthepreviouscloseof$21.00=$19.25+$1.75LookslikecargopantsarenttheonlythingsonsaleatGap.,5.10Summar