课程-财务分析应用财报ch9post

财务分析应用北京大学光华管理学院麻志明TakeAwaysforClass91.指标分析的作用和基本方法2.各种指标的大概定义和意义3.杜邦分析4.各个指标之间的关系5.正确的解读和运用指标Valuation估值Valuation对公司或者公司的某个部分进行价值估计的过程。内部资本预算战略计划外部分析师推荐上市并购估值、价格、与投资决策你买的不是股票，而是一家企业。好的公司不一定是好的投资，坏的公司不一定是坏的投资。价格是你支付的，价值是你得到的。好的投资需要是投资估值价值大于投资成本。ValuationBasicQuestion:Howmuchwouldyoubewillingtopayif1shareofacompanywillpayyouaone-timecashflowof$10000oneyearlater?PV=CF1/(1+r)Whatwouldyoudoifthepriceoftheshareismore(less)thantheamount?ValuationBasicWhatdoweneedtoknow?1)futurecashflows2)discountrateHowcangetthem?MoreQuestionsHowabouttwoyearslater? PV=CFn/(1+r)nWhatifwearenotcertainaboutthepayment? ahigherdiscountrate…Whatifthepaymentsarearrangedasmanycashflowsatdifferenttimes? PV=CF1/(1+r)+CF2/(1+r)2+CF3/(1+r)3+…MoreQuestionsWhatifthepaymentsarearrangedasinfiniteconstantnumbers? PV=CF/r==E/r P/E=1/rWhatifthepaymentsgrowatapercentage? PV=CF/(r-g)小结估值初步净现值的计算DiscounteddividendmodelShareholdervalueisthepresentvalueoffuturedividendpayoffsV0132T-1Td1d2d3dT-10投资决策点内在价值T年末卖出投资T年末投资内在价值+T年股利股利TVT

+dTDiscounteddividendmodelQuestionsMostfirmsdonotpaydividends.Thepercentageoffirmspayingcashdividendsfallsfrom66.5in1978to20.8in1999----FamaandFrench(2001)FreecashflowmodelTerminalvalueandgrowthWhatotherswouldpayfortheassets

atthatpoint?Bookvalue?Cashflowswillgrowataconstantrateforever?Amultipletoearnings,revenuesorbookvalue?whatifthegrowthrate5%anddiscountrate12%?CarefulThetimelineofcashflowwhentheyoccur(beginning/endofperiod)Makesurediscountrateandgrowthratesarereasonable!Discountrate“r”mustbelargerthancashflowgrowthrate.GrowthfirmValuationofwhat？ValueoffirmorvalueofEquity?Equityholdersareresidualclaimants.(pricedeterminant)DCFlooksthesame,CF’sareusuallydifferentinrisksEquityvaluation:Forecastfreecashflowsavailabletoequity.Discountbythecostofequitycapital.Firmvaluation:ForecastcashflowsDiscountbyweightedaveragecostof(debtandequity)capitalCangetequityvaluebysubtractingvalueofdebt.Widelyusedinpractice.小结DiscounteddividendmodelFreecashflowmodelValueoffirmorvalueofEquityResidualemodelIntuition:Thevalueofthefirmcanbethesumofthreecomponents:1)OriginalInvestedCapital2)Costofcapital3)Abnormalreturn经济增加值EVA企业税后净利润减去资本成本后的余额激励机制---行为方式---经济效果2010年《中央企业负责人经营业绩考核暂行办法》该指标将真实反映央企是否为出资人创造了“真正利润”。而经营业绩的好坏不仅直接关系到高管薪酬，还与其职务任免息息相关。央企负责人年度经营业绩考核指标中，利润总额指标保持不变，但经济增加值将取代原有的净资产收益率成为业绩考核的核心指标，占到40%的考核权重。Abnormalreturn定价模型核心问题：有利润不意味着有财富创造。利润要超过资本成本才创造了新财富。股东投资企业存到银行了，也有利润，有价值创造吗？没有！REt=EPSt

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Equityt-1*ρe剩余收益（经济增加值）=本期利润减去期初股东投资*资本成本股权价值=股东投入（存量财富）+未来企业运作股东投入创造出的超过股东资金成本的利润的现值（增量财富）TV5=RE6/ρe

TV5=RE6/(ρe

–g)23一个存蓄账户的估值盈利率：5%当一项投资的ROE等于其资本成本时，剩余收益为0，内在价值等于账面价值StepsForecastearningsEstimate“r”,thecostofequitycapitalEstimateexpectedabnormalearningsUse“r”toestimatethePVofabnormalearningsduringtheforecasthorizonEstimatethePVofexpectedabnormalearningsbeyondtheforecasthorizonComputerequityvaluebysummingtogetherthepartsEquivalent?ForecastaccountingnumbersAdvantagesanddisadvantagesCostofcapitalcalculationLesscomplicatedTerminalvalueLessreplyonIfthebalancesheetdoesnotrecognizethecurrentvalueofassetsSelf-correctingnatureofdouble-entrybookkeepingReliesoncleansurplusrelation价值评估基本模型评估的原材料是：未来股利d未来自由现金流CF（经营现金流+投资现金流）未来盈余EPS（净利润）股权资本成本ρe（折现率）债权资本成本ρd（折现率）企业加权资本成本ρwacc（折现率）总之，是对未来的预测用资本成本折成现值理论上讲，所有模型给出的估值应该是一样的；不同“原材料”在有限的未来期间内的特征决定了模型的优劣势RealOptionsMakeyouraccountingnumbersmeaningfulExampleAdjustmenttoFinancialStatementOverseveralyears,FirmAhasconsistentlyrecordedlossesinitsavailable-for-salesecuritiesAdjustnetedownwardFirmBconsistentlycapitalizesexpendituresthatshouldhavebeenexpensedAdjustneteandbookvaluedownwardFirmChasrecordedforeigncurrencytranslationlossesonitsbalancesheetoverseveralyears;thelossesareexpectedtocontinueAdjustnetedownwardFirmDacceleratesrevenuestothecurrentperiodanddefersexpensestolaterperiodsAdjustneteandbookvaluedownward小结ResidualemodelPrice-EarningsModelOverlifeofcompany,Totaldividends=TotalneteV0=Et(1+r)t

∞∑t=1

IfstreamofearningsisinfiniteandconstantV0=ErPrice-EarningsModelShareprice(P)=Earningspershare(E)*MultipleEssentiallyadiscountedearningsmodelthatassumesaninfinitestreamofearningsRelatespricepersharetoearningspershareviaamultiplierInverseofmultipleisstockmarket’simplieddiscountrateforcompany(r)WhatdoesaP/Eof20mean？$1increaseinEPSshouldincreaseprice$20NoGrowthIfassumenogrowthinEP=E/rIfP/E=15.38,whatismarket’simplieddiscountrateforMLG?15.38=1/rr=6.5%Reasonable?

Low?ConstantGrowthIfassumeconstantgrowthinEP=E[(1+g)/(r-g)]gisthegrowthrateinearningspershareIfP/E=15.38andr=15%,whatismarket’simpliedgrowthrate?15.38=(1+g)/(0.15-g)g=7.98%Reasonable?Lessthan20%ofpublicU.S.companieshaveaveragerealgrowthrateabove5.5%WhataboutChina?MultiplesEarningsbased:PEratioandvariants(PEGandRelativePE)Value/EBITValue/EBITDAValue/CashFlowBookvaluebased:Price/Bookvalueofequity(PBV)Revenuebased:Price/Salespershare(PS)MultiplesValuationApproach1.FindbenchmarkfirmsAssumptions：marketcorrectlysetsbenchmarkfirms’stockpricesallfirmshavethesameriskcashflowgrowtharesimilaraccountingtechniquestocalculateearningsaresimilarMultiplesValuationApproach2.Selectfinancialperformancemeasuresales,cashflow,earnings,bookvalue3.Estimatepricemultiplesforcomparablefirmsusingthemeasureofperformance.4.Applycomparablefirm(s)multipletotheperformancemeasureofthefirmbeinganalyzed.SimplicityAbout85%ofequityresearchreportsarebasedonmultiples.Morethan50%acquisitionvaluationsarebaseduponmultiples.Multiplesarenotonlycommonbutareoftenthebasisforfinalvaluationjudgment.Asquithetal,2001DellDellDell小结乘数分析背后逻辑和可能问题BalanceSheetApproachWhatisvalueofthefirmaccordingtoitsbalancesheet?AccountsAsStatedCurrentassets20,000Land1000Buildingandequipment80,000Franchise2000Liabilities(50,000)Netvalue53,000BalanceSheetApproachWhatwoulditbeifadjustedassetsandliabilitiesonbalancesheettoreflectfairmarketvalues?AccountsAsStatedAdjustedCurrentassets20,00020,000Land1000

Buildingandequipment80,00080,000Franchise2000

Liabilities(50,000)(50,000)Netvalue53,000

LandandFranchiseWhatabouttheland?Itsaysthatthebookvalueisonly10%ofitsfairmarketvalue.1000/0.10=10,000WhatabouttheNHLfranchise?Itsaysthatthisvalueis12,000Net