Chap权益估值模型PPT课件

1、INVESTMENTS | BODIE, KANE, MARCUSCopyright 2011 by The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/IrwinCHAPTER 18Equity Valuation Models权益估值模型第1页/共38页18-18-2 2Valuation: Fundamental Analysis估值：基础分析估值：基础分析 Fundamental analysis models a companys value by assessing its current and futu

2、re profitability.基础分析是指通过公司现在以及未来的盈利状况对公司价值进行建模分析 The purpose of fundamental analysis is to identify mispriced stocks relative to some measure of “true” value derived from financial data.基础分析的目的是为了找出定价错误的股票，定价错误是相对于某个金融数据计算出来的价值“真值”而言。第2页/共38页18-18-3 3 Balance Sheet Models资产平衡表模型 Dividend Discount M

3、odels (DDM)股利贴现模型 Price/Earnings Ratios市盈率模型 Free Cash Flow Models自由现金流模型Models of Equity Valuation权益估值模型权益估值模型第3页/共38页18-18-4 4Valuation by Comparables比较比较估值估值 Compare valuation ratios of firm to industry averages.将公司的某个价值比率与行业的平均值比较 Ratios like price/sales are useful for valuing start-ups that hav

4、e yet to generate positive earnings.比如价格/销售收入就在评估那些刚创业还没用取得正盈利公司的价值第4页/共38页18-18-5 5Limitations of Book Value账面价值的局限性账面价值的局限性 Book values are based on historical cost, not actual market values.账面价值衡量的是历史成本，而不是实际的市场价值 It is possible, but uncommon, for market value to be less than book value.有可能，但不是经常

5、见，市场价值比账面价值低（前景很悲观的时候） “Floor” or minimum value is the liquidation value per share.底价或最低价是每股清算价值 Tobins q is the ratio of market price to replacement cost.托宾Q是每股股价/重置成本（各类资产的市场现值）第5页/共38页18-18-6 6Intrinsic Value vs. Market Price内在价值内在价值v.s.市场价格市场价格 The return on a stock is composed of dividends and

6、capital gains or losses. 股票回报有股利和资本利得 The expected HPR may be more or less than the required rate of return, based on the stocks risk.期望收益可能比资本资产模型所定义的必要收益率或高或低，反映了公司特有的风险第6页/共38页18-18-7 7Required Return必要收益必要收益CAPM gives the required return, k: If the stock is priced correctly, k should equal expec

7、ted return.如果证券正确的定价，那么k与期望收益相同 k is the market capitalization rate.它也被称作市场的资本化率（意思是市场所要求的资本基础风险收益率）第7页/共38页18-18-8 8 The intrinsic value (IV) is the “true” value, according to a model.根据模型，内在价值是真实价值 The market value (MV) is the consensus value of all market participants市场价值是市场参与者达成共识的价格Trading Sign

8、al: 买卖信号IV MV BuyIV k 只有资产收益率高过必要收益率，b越高市盈率也越高bROEkbEPx110第25页/共38页18-18-2626Table 18.3 Effect of ROE and Plowback on Growth and the P/E Ratio资产收益率与再投资率对增长率和市盈率的影响资产收益率与再投资率对增长率和市盈率的影响第26页/共38页18-18-2727P/E and Growth Rate市盈率与增长市盈率与增长 Wall Street rule of thumb: The growth rate is roughly equal to th

9、e P/E ratio.华尔街经验法则：增长率约等于市盈率 “If the P/E ratio of Coca Cola is 15, youd expect the company to be growing at about 15% per year, etc. But if the P/E ratio is less than the growth rate, you may have found yourself a bargain.”若市盈率比增长率低，大概有便宜可占Quote from Peter Lynch in One Up on Wall Street.第27页/共38页18

10、-18-2828P/E Ratios and Stock Risk市盈率与股票风险市盈率与股票风险 When risk is higher, k is higher; therefore, P/E is lower.风险越高，必要收益率也越高，那么市盈率也越低第28页/共38页18-18-2929Pitfalls in P/E Analysis市盈率分市盈率分析陷阱析陷阱 Use of accounting earnings会计利润 Earnings Management盈余管理 Choices on GAAP会计准则的选择 Inflation通胀 Reported earnings fluc

11、tuate around the business cycle报表中的利润通常会随着商业周期曲线的变换上下波动第29页/共38页18-18-3030Figure 18.3 P/E Ratios of the S&P 500 Index and Inflation市盈市盈率与通货膨胀率与通货膨胀第30页/共38页18-18-3131Figure 18.4 Earnings Growth for Two Companies 两家不同公司的盈利两家不同公司的盈利增长增长第31页/共38页18-18-3232Figure 18.6 P/E Ratios for Different Indust

12、ries, 2007不同行不同行业的市盈率业的市盈率第32页/共38页18-18-3333Other Comparative Value Approaches其他的估值比率其他的估值比率 Price-to-book ratio市净率，市值/账面 Price-to-cash-flow ratio股价/现金流 Price-to-sales ratio股价/销售额第33页/共38页18-18-3434Figure 18.7 Market Valuation Statistics市场估值的统计市场估值的统计 第34页/共38页18-18-3535Free Cash Flow Approach自由现金流

13、估值方法自由现金流估值方法 Value the firm by discounting free cash flow at WACC.使用税后债务成本和权益成本的加权平均收益 Free cash flow to the firm, FCFF, 公司自有现金流equals:After tax EBIT税后息税前利润Plus depreciation加上折旧Minus capital expenditures减去资本化支出Minus increase in net working capital再减去净运营资本增加第35页/共38页18-18-3636Comparing the Valuation Models估值模型的比较估值模型的比较 In practice Values from these models may differ各个估值模型的价值可能不同 Analys