RB内部估值模型教程.ppt

Documentnumber,1,Content,ExecutiveSummaryIntroductiontovaluationDiscountcashflow(DCF)B1.CashflowB2.DiscountrateandWACCB3.TerminalvalueB4.CommonDCFQP/S;Revenues/EBIT,etc.,RealoptionsmodelDynamicvaluecomponentsofinvestmentsandacquisitionsBasedonBlack/ScholesmodelUsedforweightingriskyprojects,Assetbasedmethod“thedivestmentview”Valuingassetsoutsidetheiroperatinguse(notasgoingconcern)ReplacementvaluesversusbookvaluesValueindications:comparableassets;independentappraises,DCFmethod-“thestrategicview”DiscountedcashflowoffutureperiodsEstimationofsynergiesAlternativeapproaches:discounteddividends,discountedincomes,etc.,Documentnumber,16,Acombinationofdifferentapproachesmustbeusedtocalculateavaluationrange,Comparablecompaniesmethod,DCFmethod,Comparabletransactionsmethod,Assetbasedmethod,Valuationrange,ChangetoRealOptions,Documentnumber,17,Discountcashflow(DCF)B1.CashflowB2.DiscountrateandWACCB3.TerminalvalueB4.CommonDCFQbettertohavea“market-driven”justificationDonottakeaccountofprobabilitydistributionofpotentialoutcomes,Documentnumber,40,Nonethelessdonotignorehurdlerates,Canaccountforriskbyrunningbase,upside,anddownsidecasesandattachingprobabilitytoeachoutcomeToease“politicalissues”highleveldecisionscanlimitavailabilityofcapitaltodisfavoredbusinesses;suchanapproachiscommonThereisatendencynottomakeriskadjustments,Documentnumber,41,TypicalChinesehurdlerates,Nominal:10-16%Real:6-12%NoteHighratesaretypicalandcompensatefor“hockey-stick”projectionsoftenmadebydivisionalmanagementTheseratesarehigherthanmarket-drivenWACCsandwouldtendtocausecompaniestounder-investTheseratesimplyhighinflationCompanieskeeptheirratesforalongtimewithoutchange,needtocheck,Documentnumber,42,Discountratecanbecalculateduseweightaveragecostofcapital(WACC),DiscountrateusedinDCFisthecostsofdifferenttypeoffinancing,debtandequity,andproportionallyweighted,Documentnumber,43,Costofdebtisrelativelysimple,7-10yearmaturityNon-convertibleFixedrateUseBoCcapitalmarketsupdateoncostsofdebtforhowtocalculatethepre-taxcostofdebt,andspreads,Documentnumber,44,asistheweightingofdebtandequity-usually,WACCshouldusemarketvalueweightsforeachfinancingelementbecausemarketvalues,unlikeaccountingvalues,reflectthetrueeconomicclaimofeachtypeoffinancingGenerallyusenetdebt,notgross,exceptwherecashonthebalancesheetisneededfortheeverydayrunningofthebusinessandcouldnotbeusedtoreducegrossdebt(veryjudgmental)Usinggrossdebtcouldbeseenasmoreconservative,butNBwouldraiseleverageinWACCcalculationandhencereduceWACCi.e.atrade-offTheshareofnetdebtshouldbethecurrentweightingunlessthecompanyisexplicitlytargetingadifferentcapitalstructure.CheckalsoyourforecastgivesrisetoafuturecapitalstructurethatiscompatiblewithyourWACCassumptionTypically10-20%debtintheChina,Check,Documentnumber,45,Costofequityishardertodefine,UncertainpaymentstreamInChina,uselong-termgovernmenthighcouponfixedinterestindex,lessmarketriskadjustmentForcontinentalEuropeweusebenchmark10-yeargovernmentbond(lessrelevantmarketriskadjustment)CAPMi.e.costofequityissomepremiumoverarisk-freerateiswidely-usedandaccepted,Documentnumber,46,Costofequitycanbecalculatedwitcapitalassetpricingmodel(CAPM),CostofequitycanberepresentedasthatinvestorsneedtobecompensatedintwowaysTimevalueofthemoney:risk-freerateofreturnRisk:premiumbyholdingthecompanystock,Companyscostofequity,Investorsexpectedreturninvestinginacompanysstock,Risk-freerateofreturn,Riskpremiumforcompanysstock,CAPM,rf,Documentnumber,47,Betameasuresthesensitivityofacompanysstocktomovementsinthemarketasawhole.,Sincetheonlyriskinthemarkerissystematicrisk,themarkerriskpremiumrewardstheinvestorinthemarketforassumingsystematicrisk.Theinvestorinacompanysstockshouldonlybecompensatedforholdingthesystematicriskofhisinvestment,AcompanysBeta=levelofsystematicriskinitsstock,Documentnumber,48,Companyriskpremiumaredeterminebymarketriskpremiumandbeta,:measuresthesensitivityofthefirmsstockreturnstothereturnsofthemarket,Marketriskpremium:premiumassociatedwithriskfromholdingthemarketcompanytoholdingriskfreeinvestment,Documentnumber,49,Selectingthe“right”Betamayleadtoheateddiscussions,Whenavailable,useBarra-Alacraprospectives(ifnothistorical),andusecomparablesforunquotedentitiesAlwayscheckbetaagainstthoseofcomparables,rememberingtoadjustforleveragebycomparingunleveredBetas.IfverydifferentusethoseofcomparablesRemembertocheckifBetasareleveredorunleveredBetas.Tounleverusetheformula:u=I/(1+(D/E(1-t)andreleveratthetargetcapitalstructureusingthesameformularearranged:I=u(1+(D/E(1-t),Documentnumber,50,InordertochoosetheproperBetatoputintotheCAPMequation,wemustincorporatetheeffectofdebt,orfinancialleverage,Asafirmtakesonmoredebt,andthereforehigherfixedcosts,theprofitabilityofthefirmbecomesmorevariableThisislikelytomakethecompanystocksprice,andreturnoftheequity,morevolatileMoredebtinafirmscapitalstructure,thereturnsofthefirmsstocktendtobemoresensitivetothereturnofthemarket,Toaccuratelycalculateafirmscostofequityatanygivencapitalstructure,youmustchooseaBetareflectingtheamountofriskinthecompanysstockatthatamountofleverage,therefore:,Beta,levered=Beta,unleveredx1+(D/Ex(1t)or,Beta,unlevered=Beta,levered/1+(D/Ex(1t),Documentnumber,51,DespitewidespreaduseofCAPMthereismuchdebateovertheexpectedmarketreturn,2mainapproaches,Historical/Fundamentalgenerallyhigher,thushigherWACCForward-lookinggenerallylower,thuslowerWACC,Documentnumber,52,Historicalapproachhowitworks,Long-termmarketreturnonequitylessreturnongovernmentlong-termdebtAmarketriskpremium(MRP)ofabout5%basedonhistoricaldata,marketexpectationsandareviewofliteratureisgenerallyaccepted(seearticletheWACCuserguide),Documentnumber,53,HistoricalapproachProsandCons,Pros,Coversbroadestrangeofeconomicevents20yearrollingaveragetakeslong-termviewconsistentwithlong-terminvestmentobjectivesRecognizesthatcurrentrelationshipbetweenbondyieldsandequityreturnsmaynotbetenable,Cons,Equitypricesaredrivenbyexpectationsoffuturecashflows,notpastonesPremiumisdrivenbyhistoricbondreturnwhichtellsyounothingabouttodaysbondyieldUnlikelytoreconcileacompanysprojectedfreecashflowswithitssharepricewhichisbesttestfora“market-driven”rate,Documentnumber,54,Forward-lookingapproachProsandCons,Pros,Forward-looking,justlikestockpricesReflectscurrentmarketconditionswhichisappropriatewhenasking“whatwouldequitycostmenow”?,Cons,Currentpremiummaynotbetenable.Indeedoccasionallyitisnegative,anditvariesconsiderably(NBbondyieldsaremorevolatilethanthemarketcostofequity)Lessconservativethanhistoricapproachshouldbeusedasaminimumrateofreturnforacompanyinitscapitalbudgeting,Documentnumber,55,Aderivativeoftheforward-lookingapproach,TakeIRRofcompanysownprojectedcashflowswiththecurrentsharepriceShouldbeusedwhentryingtodeterminethemarketvalueofacashflowstreamBUT,Bewareof“hockeystick”projectionsYoumaynothavetheprojectionsOnlypossibleforquotedcompanies,Documentnumber,56,Whentousewhichapproach,Usemarket-basedapproach,butmakesurepremiumissensibleAlwayscross-checkthatDCFisinlinewithTradingMultiplesvaluation,andifnotbeabletoexplainwhy(oftendifficult)Onsell-sideifTransactionmultiplesDCF/Tradingmultiplesthenequitymarketisbestroutei.e.IPO/spin-offRememberDCFvalueisfull,fairvalue.BuyercanaddsynergiestocashflowsbutdoesnotcreateshareholdervalueifDCFvalue(includingsynergies)ispaidAlwaysstepbackandask,howsynergieswillbestberealized?,Documentnumber,57,Bewaryofcashrichcompanies,Insuchcasesuseadifferentformula,butbewaryofwhetherclientswilllikethis:(1)WACC=Kd(1-T)(D/V)+Ke(E/V)-Cc(C)where,Kd=pre-taxmarketexpectedyield-to-maturityoffixedratedebtT=marginaltaxrateD=marketvalueofGROSSinterest-bearingdebtE=marketvalueofequityC=cashV=marketvalueofentitybeingvalued,whereV=D+E-CKe=costofequityCc=“costofcash”=Govt.longbond,Somecompanieshavenegativenetdebt(i.e.excesscash),N.BUnleveringandreleveringbetaneedstobedonewithnetdebtnotgrossThisdoesnotworkforveryextremelevelsofleverage,witherpositiveornegative,Documentnumber,58,Multi-currencyissues,Wheredoesthecompanygenerateitscashflows?Wheredoesthecompanyraiseitscapital?Uselocaltaxrates?,Documentnumber,59,Therearesomegeneralrulesofthumb,Discounteachbusiness/capitalproposalinlocalcurrency,thentranslateDCFvaluetoparentcompanycurrencyifnecessaryUsealocalcostofcapital-generalbusinessesfundthemselveslocallyUselocaltaxratesbutbearinmindthelikelydurationoftaxdifferentialsbetweenjurisdictions,Documentnumber,60,butitsnotmechanistic,BOCboughtx%ofICBC(PRC);fundedwithdebt(assumption)Solution:usedebtcost,equitycostWitcoboughtaGermanbusinessfromSchering;fundedentirelywith$debtSolution:usedebtcost,equitycost,WhatcomponentsshouldbeusedinWACCcalculation,Moral:alwaysask,wherearethecashflowsbeingrealized,Documentnumber,61,Otherissuestobearinmind,WeuselocalcostofcapitalbecauseIfyouraiseacquisitionfinanceinHKtofundaBrazilianinvestmentyoustillexpectBrazilianreturnsItsconsistenttodiscountcashflowsin(say)HK$,withaHK$basedWACCIfacquiringUScompanyand$/changes,valuein$isthesame;onlyvaluechangesBecarefulifacquisitionisbeingfundedbyaRightsissuewhichisatdiscounttosharepriceandthusraisescostofequity,Documentnumber,62,Conclusion,WACCisnotmechanisticandcanbeverycomplex;aimtosimplifyisasmuchaspossibleFocusonthebalancebetweentheissuesbehindWACC;thebalancebetweenwherecashflowsaregeneratedandwhatreturnsareexpectedBearinmindthatWACCisfrequentlyanissueduringnegotiationsonvalueUsedifferentdiscountratesfordifferenttasksAlwayscross-checkwithmultiples,Documentnumber,63,Discountcashflow(DCF)B1.CashflowB2.DiscountrateandWACCB3.TerminalvalueB4.CommonDCFQthusfirmsthatneedtoraisefreshcapitaltocovercashflowneedsdonothaveanytroubledoingso.Theotheristhatrealassetmarketsareliquid.Inotherwords,acompanythatceasesoperationswillstillgetthepresentvalueoftheexpectedcashflowsfromitsassetsinasale.Inreality,capitalmarketssometimesshutdownanddistresssalesareatdiscountedpricesWhileadherentstoDCFvaluationwillclaimthatthediscountrates(costsofequityandcapital)canbeadjustedtoreflectthelikelihoodandconsequencesofdistress,discountratesarebluntinstrumentsthataremoresuitedfordealingwithvolatilityrisk(thatearningsandcashflowswillbevolatile)thanfortruncationrisk(i.e.,thatthefirmwillnotbearoundin3years)Abetterwaytodealwiththeriskoftruncationwouldbetodothefollowing.First,assumethatyourfirmwillbeagoingconcernanddoadiscountedcashflowvaluationofit.Second,assesstheprobabilitythatyourfirmwillnotbeagoingconcern;agoodplacetolookwouldbethebondmarketifthecompanyhasbondsoutstanding.Third,estimatethedistresssalevalueoftheassetsintheeventofbankruptcy.Finally,computetheexpectedvalueofthefirm=probabilityofgoingconcern*DCFvalue+probabilityofdistress*distresssalevalue,DCFQforpubliclytradedfirms,ittakestheformofabid-askspreadandforprivatefirmsittakestheformofadiscountonestimatedvalue.Thekeyistobediscriminating.Notallprivatecompaniesareequallyilliquid.Applyingaruleofthumb(25-30%iswidelyused)strikesusasinappropriate,DCFQacompanyshouldnotgofrombeingovervaluedinonecurrencytoundervaluedinanothercurrencyatthesamepointintime.Forthispropositiontohold,though,yourforecastsoffutureexchangerates(whichyouwillneedtoconvertyourcashflowsintoabasecurrency)havetobeconsistentwithyourinterestrateassumptions.Putsimply,valuationwillbeinvarianttocurrencychoicesonlyifyouassumepurchasingpowerparity,DCFQasaconsequence,thepremiumyougetwillbetoohighasaforward-lookingestimate.AmorereasonableestimatewouldrequireyoutolookacrossanumberofdifferentequitymarketsoverthetwentiethcenturyandcomputeanaveragepremiumoverthemarketsMarketsarepricedbaseduponinvestorassessmentsofhowriskystocksareandhowmuchofapremiumtheyshouldchargeforinvestinginstocks.Inbullishtimes,stockpricesriseasinvestorsbecomemoreoptimisticaboutthefutureandreducetheirrequiredriskpremiums.Asstockpricesriseanddeliverhighpositivereturns,historicalriskpremiumsgoup.Inotherwords,historicalriskpremiumsrisejustasinvestorsexpectedriskpremiumsdecreaseThereisanalternativetohistoricalpremiums.Baseduponhowstocksarepricedcollectively(lookingatabroadequityindex)andtheexpectedcashflowsyouwouldgetfrombuyingthesestocks(presentvalueofexpecteddividends),youcanbackouttheriskpremiumthatinvestorsaredemanding.Thisriskpremiumiscalledanimpliedequityriskpremium.Thehistoricalriskpremiumform1928-2002intheUnitedStateswas4.53%.Theimpliedequityriskpremiumdeclinedto2%attheheightofthebullmarketin1999andhasaveragedabout4%overthelast40years,DCFQhowever,thecompanywillmakedecisionsdirectedtowardachievingthetargetcapitalstructure.Therefore,incalculatingWACC,thetargetcapitalstructure,ratherthanthecurrentcapitalstructure,shouldbeusedoCurrentCapitalStructureisthecombinationofdebtandequitythatacompanyhasatanygiventimeoTargetCapitalStructureisthecombinationofdebtandequitythatacompanyplanstomovetowardandmaintaininthefutureHistoricalCostOrTodaysCostOfDebt?ThecostofdebtcomponentofWACCshouldreflectthereturnthatdebtholdersintargetcompanyrequireifthecompanyisfinancedatthetargetcapitalstructureAcquiringCompanysOrTargetCompanysCostofEquity?SincewearegoingtocalculatingTargetcompanysWACC,weneedthecostofequityfortargetcompany,togetherwiththetargetcapitalstructureandthecostofdebtoftarget,DCFQwithrealgrowthrates,itwouldbearealgrowthratefortheeconomyThegrowthratecanbe0%ornegative.Infact,givenwhatweknowaboutfirmlifecycleswherefirmspeakandthenbecomesmallerovertime,youcanarguethatassuminganegativegrowthrateismorerealisticthanassumingthatyourfirmwillkeepgettinglargerovertime,DCFQwhencomparingandusingmultiples,itiscriticaltounderstandhowthemultipleshavebeendefined.Consistencyanduniformityareimportant,2,Describethemultiple,HavingalargebenchmarksamplesizebyindustryhelptousemultipletoidentifyunderorovervaluedfirmsItisalwaysusefultohavesenseofwhatahigh,lowortypicalvalueforthatmultipleisinthemarket.,3,Analyzethemultiple,Itiscriticaltounderstandthefundamentalsthatdriveeachmultiple,andthenatureoftherelationshipbetweenthemultipleandeachvariable.,Documentnumber,140,andoneneedtoaskquestionsateachsteps,Source:RolandBergerAnalysis,4,Applicationquestions,1,Definitionalquestions,2,Descriptivequestions,3,Analyticalquestions,Giventhefirmthatwearevaluing,whatisacomparablefirm?Giventhecomparablefirms,howdoweadjustfordifferencesacrossfirmsonthefundamentals?,Isthemultipleconsistentlydefined?Isthesamemultipledefinition?,Whatistheaverageandstandarddeviationforthismultiple,acrossthemarket?Whatistheindustrymedianforthismultiple?Howlargearetheoutlierstothedistribution,andhowdowedealwiththeoutliners?Howhasthismultiplechangedovertime?,Whatarethefundamentalsthatdetermineanddrivethesemultiples?Howdochangesinthesefundamentalschangethemultiples?,Selectedquestionstoaskaboutcomparablemultiple,Documentnumber,141,Therearethreecommontechniquestohelpustocontrolthedifferencesbetweencomparablecompanies,Source:RolandBergerAnalysis,Subjectiveadjustments,Toevaluatethefirm,comparisonbetweenthefirmandtheindustryaverageismade;ifitissignificantlydifferent,asubjectivejudgmentaboutwhetherthefirmsindividualcharacteristics(relatedtocashflow,growthandrisk)hastobemade,toexplainthedifference.Theweaknessinthisapproachisthatjudgmentsareoftenmadebasedononceexperiences,andcanbebiasesaboutthecompany.,Modifiedcomparables,Tomodifythemultiplestotakeintoaccountthemostimportantvariabledeterminingit,thecompanionvariable.Twoassumptionhastobemade:Thesefirmsarecomparableonalltheothermeasuresofvalue,otherthantheonebeingcontrolledfor.Therelationshipbetweenthemultiplesandfundamentalsislinear.,Statisticaltechniques,TorunsectorregressionWetrytoexplaindifferencesacrossfirmsonamultiple(PEration,EV/EVITDA)usingfundamentalvariables(cashflow,growthandrisk)Keyquestionstoask:Howtodefinedthesector?Narrowly:undercuttheusefulnessoftheregressionBroadly:entailrisksHowtofindtherightindependentvariablestouse?,Documentnumber,142,Comparablevaluationofferaquickandreasonablevalueofasset,butithasitslimitations,Source:RolandBergerAnalysis,Advantage,Disadvantage,ValuationbaseduponcomparablefirmscanbecompletedwithfarfewerassumptionsandfarmorequicklythanadiscountedcashflowvaluationComparablevaluationissimplertounderstandandeasiertopresenttoclientsandcustomersthanadiscountcashflowvaluationComparablevaluationismuchmorelikelytoreflectthecurrentmoodofthemarketsinceitisanattempttomeasurerelativeandnotintrinsicvalueParticularlyimportantforthosewhosejobitistomakejudgmentsonrelativevalue,andwhoarethemselvesjudgedonarelativebasis,Difficultiesforputtingtogetheragroupofcomparablefirms,canresultininconsistentestimatesofvalueThefactthatcomparablesreflectmarketmoodalsoimpliesthatusingcomparablevaluationtoestimatethevalueofanassetcanresultinovervalue,whenthemarketisovervaluingcomparablefirms,ortheotherwayaroundThelackoftransparencyregardingtheunderlyingassumptionsincomparablevaluationsmakeitparticularlyvulnerabletomanipulation.Abiasedanalystcouldpickthecomparablefirmscanessentiallyensurethatalmostanyvaluecanbejustified,Documentnumber,143,ComparableC1.ComparablemethodologyC2.ListedpeercomparableC3.Transactioncomparable,Documentnumber,144,Understandinglistedpeercomparable,Companyreportspreadsheet,1,2,3,Datadefinitions,Fullydilutedcalculations,4,Objectives,Ratiodefinitions,5,Datacollectiontemplate,6,Documentnumber,145,Gettingstartedwithtradingmultiples,Source:,Providesdetaileddefinitionsoftheratiostobeused,Definesthecomputationsnecessarytocalculatetheseratios,Definesthedatasourcestobeused,Definesamethodologyandcollectinformationneededforbuildingatradingmultipletable,Documentobjectives,Documentnumber,146,Understandingtradingmultiples,Companyreportspreadsheet,1,2,3,Datadefinitions,Fullydilutedcalculations,4,Objectives,Ratiodefinitions,5,Datacollectiontemplate,6,fromJason,Documentnumber,147,Buildingacomparablelistedpeerstablerequiresapreciseinformationpack,Source:,Companyinformation,A,B,C,RatioAnalysis,Notes,D,Generaleconomyandbusinessinformation,Dilutioncalculations,E,Documentnumber,148,Informationfromcompanyreports(1/3),Notes,Source:,A,fromBloomberg,GeneralInformation,Thissectionincludesthecurrencyused,yearend(identifiedfromthelatestannualreport)andthecompanysmajoractivities(bothbylineofproductandcountry,CompanyInformation,Thecompanyinformationsectiondocumentsthesoureddata:earningspersharegross