财务报表分析与证券估值-英文-课件6

CHAPTERSIXMcGraw-Hill/IrwinCopyright©2013byTheMcGraw-HillCompanies,Inc.Allrightsreserved.CHAPTERSIXMcGraw-Hill/IrwinCoChapter6Preparedby:StephenH.Penman–ColumbiaUniversityWithcontributionsbyNirYehuda–NorthwesternUniversityMingcherngDeng–UniversityofMinnesotaPeterD.EastonandGregoryA.Sommers–NotreDameandSouthernMethodistUniversitiesLuisPalencia–UniversityofNavarra,IESEBusinessSchool6-2Chapter6Preparedby:StephenWhatYouWillLearnFromThisChapterWhataP/EratiomeansWhat“abnormalearningsgrowth”isHowforecastingabnormalearningsgrowthyieldstheintrinsicP/EratioWhatismeantbyanormalP/EratioThedifferencebetweenex-dividendearningsgrowthandcum-dividendearningsgrowthThedifferencebetweenaCase1andCase2abnormalearningsgrowthvaluationHowabnormalearningsgrowthvaluationprotectstheinvestorfrompayingtoomuchforearningsgrowthTheadvantagesanddisadvantagesofusinganabnormalearningsgrowthvaluationandhowthevaluationcompareswithresidualearningsvaluationThatabnormalearningsgrowthisequaltothechangeinresidualearningsHowabnormalearningsgrowthvaluationprotectstheinvestorfrompayingforgrowthWhataPEGratiois6-3WhatYouWillLearnFromThisTheBigPictureforthisChapterTopriceearnings,onethinksofearningsgrowth:moregrowth,higherP/EBut:BewareofpayingforgrowthOnlypayforgrowththataddsvalueGrowthisrisky:BewareofpayingforriskygrowthAbnormalearningsgrowthisthemetricthatprotectsfrompayingtoomuchforgrowth6-4TheBigPictureforthisChaptTheConceptBehindtheP/ERatioPriceinnumeratorofP/EisbasedonexpectedfutureearningsEarningsindenominatoriscurrent(orforward)earningsP/Eisthusbasedonexpectedgrowthinearnings:fortrailingP/E,growthfromcurrentearningsonwardsforforwardP/E,growthfromone-year-aheadearningsonwardsBut… …growthisrisky,sotheP/EratioalsoinvolvesadiscountforriskexpectedearninggrowthincreasestheP/EratioriskreducestheP/Eratio6-5TheConceptBehindtheP/ERatBewareofPayingTooMuchfor

EarningsGrowthInvestmentcreatesgrowthbutdoesnotnecessarilyaddvalueEarningsgrowthcanbecreatedbytheaccounting

Weneedavaluationmethodthatprotectsusfrompayingtoomuchforearningsgrowth6-6BewareofPayingTooMuchforReminder:ResidualEarningsValuationProtectsYouFromPayingTooMuchForEarningsEarningsfromnewinvestmentischargedwiththerequiredreturnoninvestment Residualearningsbeforenewinvestment:10%hurdlerate

RE=12–(0.10x100)=2(ROCE=12%) Residualearningsafternewinvestmentof$20millionearningat10%

RE=14–(0.10x120)=2 NovalueaddedfromnewinvestmentCreatingearningsbyaccountingmethodsalsoincreasesresidualearningsbutreducesbookvalue.Theneteffectiszero.SeeChapter5.AP/Emodelmustalsoprotectyoufrompayingtoomuchforearningsgrowth.6-7Reminder:ResidualEarningsVaP/BValuationforNike,Inc.(Ch.5)6-8P/BValuationforNike,Inc.(FromP/BValuationtoP/EValuationTheresidualearningsproformaforNike,Inc:6-9FromP/BValuationtoP/EValuChangeinResidualEarningsandAbnormalEarningsGrowthEquivalentvaluations:V=BookValue+PVofResidualEarnings=Capitalizedforwardearnings+PVofChangesinResidualEarningsEquivalentmeasures:ChangeinResidualEarnings=AbnormalEarningsGrowthAbnormalEarningsGrowth(AEG)isgrowthinearningsovertherequiredgrowthrateAEGisthefocusforP/Evaluation6-10ChangeinResidualEarningsanThePrototypeSavingsAccount6-11ThePrototypeSavingsAccount6TheTrailingP/EandForwardP/E6-12TheTrailingP/EandForwardPCum-DividendEarningsCum-dividendearningsisearningswiththeprioryear’sdividendreinvested:Forthefull-payoutaccount:Earningsfor2014 $5.00Earningsfromreinvestingprioryear’sdividend0.25

Cum-dividendearnings $5.25Forzero-payoutaccount:Earningsfor2014 $5.00Earningsfromreinvestingprioryear’sdividend0.00

Cum-dividendearnings$5.25Thetwosavingsaccountshavethesamecum-dividendearnings!6-13Cum-DividendEarningsCum-divNormalEarnings=1.05x5.00=5.256-14NormalEarnings=1.05x5.006-AbnormalEarningsGrowth(AEG)AbnormalEarningsGrowthisgrowthovernormalearningsgrowth(indollars):

AEG=Cum-dividendearnings–Normalearnings

FortheSavingsaccount:6-15AbnormalEarningsGrowth(AEG)LessonsfromtheSavingsAccount1.Anassetisworthcapitalizedforwardearningsifabnormalearningsgrowthisexpectedtobezero.2.AnassethasanormalP/Eratioifabnormalearningsgrowthisexpectedtobezero.3.Earningscomesfromtwosources:earningsfromtheassetearningsfromreinvestingdividends4.Dividendsdonotaffectcum-dividendearnings.5.Dividendpayoutdoesnotaffectvalue.6-16LessonsfromtheSavingsAccouAnAnchoringPrincipleIfoneforecaststhatcum-dividendearningswillgrowatarateequaltotherequiredrateofreturn,theasset’svaluemustbeequaltoitsearningscapitalizedOr,equivalently:Ifoneforecaststhatabnormalearningsgrowthwillbezero,theasset’svaluemustbeequaltoitsearningscapitalized6-17AnAnchoringPrincipleIfoneABadP/EModelDoesnotworkforasavingsaccount!6-18ABadP/EModelDoesnotworkfAModeloftheForwardP/EValueofsavingsaccount= Capitalizedforwardearnings+NoextravalueExtravalueisaddedifabnormalearningsgrowthisforecastedThemodel: Valueofequity=Capitalizedforwardearnings+Extravaluefor abnormalearningsgrowthTheintrinsicP/EisgivenbydividingthroughbyEarn16-19AModeloftheForwardP/EValuMeasuringAbnormalEarningsGrowthforEquities:DellandNike,2010Abnormalearningsgrowtht(AEGt)=Cum-dividendearnt-Normalearnt

=[Earnt+(ρE–1)dt-1]–ρEarnt-1Dell:Requiredreturn=9%Eps2009=$1.25Nike:Requiredreturn=9%Eps2009=$3.07DellInc.Nike,Inc.Eps2010Dps2009Earningsonreinvested2009dividendsCum-dividendearnings2010Normalearningsfrom2009:Dell:1.25x1.09;Nike:3.07x1.09Abnormalearningsgrowth(AEG)2010$0.00$0.73

$0.000.73

1.363-$0.633$0.98$3.93

0.0884.018

3.346$0.6726-20MeasuringAbnormalEarningsGrCum-dividendEarningsGrowthRateCum-dividendearningsgrowthrate(plusone):Note:Thisisnot

6-21Cum-dividendEarningsGrowthRAlternativeCalculationofAEGAbnormalearningsgrowtht=[Gt–ρE]xEarningst-1WhereGt=Cum-dividendearningsgrowthrate(plusone)ForNike: G2010=4.018/3.07=1.3088(a30.88%growthrate) AEG2010=[1.3088–1.09]x3.07=$0.6726-22AlternativeCalculationofAEGStepsinApplyingtheModelForecastearningsanddividendsuptoaforecasthorizon.CalculateAEGaftertheforwardyearfromtheforecastsofearningsanddividends.DiscounttheAEGtopresentvalueattheendoftheforwardyear.Calculateacontinuingvalueattheforecasthorizon.Discountthecontinuingvaluetopresentvalueattheendoftheforwardyear.Add3,5,andforwardearningsCapitalizethistotalattherequiredrateofreturn.6-23StepsinApplyingtheModelForApplyingtheModelCumdividendearnings2

Normalearnings2

Cumdividendearnings3

Normalearnings2

Cumdividendearnings4

Normalearnings4

Year4aheadYear3aheadYear2aheadAbnormalEarnings2AbnormalEarnings3AbnormalEarnings4ForwardEarnings1

Year1aheadPVofAEG2TotalearningsplusgrowthCurrentValueCapitalizeDiscountbyDiscountby2Discountby3ForecastsPVofAEG3PVofAEG4++++--+6-24ApplyingtheModelCumdividendApplyingtheModel:ASimpleExampleandaSimpleModelForecastforafirmwithexpectedearningsgrowthof3percentperyear(indollars).Requiredreturnis10%peryear.Residualearningsvaluation:AEGvaluation:6-25ApplyingtheModel:ASimpleEACase1Valuation:GeneralElectricRequiredreturnis10%Inthiscase,abnormalearningsgrowthisexpectedtobezeroafter2004

Sameasresidualearningsvaluation6-26ACase1Valuation:GeneralElACase2Valuation:Nike,Inc.Requiredreturnis9%Inthiscase,abnormalearningsgrowthisexpectedtogrowata4.5percentrateafter2012Sameasresidualearningsvaluation6-27ACase2Valuation:Nike,Inc.ConvertingAnalysts’ForecaststoaValuation:GoogleInc.,2010Price,early2011=$624 Requiredreturn=11%Consensusepsforecasts: 2011 $33.83 2012 $39.47 5-yeargrowthrateforecasted=17.4%

6-28ConvertingAnalysts’ForecastsAbnormalEarningsGrowthisEqualtotheChangeinResidualEarningsAEGt

=[earnt+(ρE

–1)dt-1]

-ρEearnt-1

Bythestocksandflowsequationforaccountingforthebookvalueofequity(Chapter2),Bt-1=Bt-2+earnt-1

–

dt-1,soearnt-1

–dt-1=Bt-1–Bt-2.Thus,

AEGt=earnt

–earnt-1-(ρE

–1)[Bt-1–Bt-2]

=[earnt

-(ρE

–1)Bt-1]-[earnt-1

-(ρE

–1)Bt-2]

=REt

–REt-1

So,theAEGmodelcanbewrittenas:6-29AbnormalEarningsGrowthisEqProtectionFromEarningsCreatedbyAccounting:ARestructuringCharge6-30ProtectionFromEarningsCreatAbnormalEarningsGrowthAnalysis:

AdvantagesandDisadvantagesAdvantagesEasytounderstand:Investorsthinkintermsoffutureearnings;investorsbuyearnings.Focusesdirectlyonthemostcommonmultipleused,theP/Eratio.UsesAccrualaccounting:embedsthepropertiesofaccrualaccountingbywhichrevenuesarematchedwithexpensestomeasurevalueaddedfromsellingproducts.Versatility:Canbeusedunderavarietyofaccountingprinciples(Chapter17).Alignedwithwhatpeopleforecast:Analystsforecastearningsandearningsgrowth.DisadvantagesAccountingcomplexity:Requiresanunderstandingofhowaccrualaccountingworks.Conceptcomplexity:Requiresanappreciationoftheconceptofcum-dividendearnings;thatis,valueisbasedonearningstobeearnedwithinthefirmandfromearningsfromthereinvestmentofdividends.Applicationtostrategy:Doesnotgiveaninsightintothedriversofearningsgrowth,particularlybalancesheetitems,soisnotsuitedtostrategyanalysis.Suspectaccounting:Reliesonearningsnumbersthatcanbesuspect(Chapter18).6-31AbnormalEarningsGrowthAnalyTheFedModelIfEarningsYieldislessthan10-yeartreasurynoteyield, stocksareoverpricedInGreenspan1998:“irrationalexuberance”speech Treasuryyield=5.60%(P/E=17.86) Earningsyield=4.75%(P/E=21.05)Agoodmodel?DifferentriskforbondsandstocksP/Eshouldbehigherforbonds(andearningsyieldslower)StocksdeliverAEG,bondsdonotP/Ecanbehigherforstocks(andearningsyieldslower)But:growthmayberisky.TheFedModelsaysthatgrowth=risk,Sothetwocancelintheprice.6-32TheFedModelIfEarningsYieldP/ERatiosandInterestRates:1963–2003MedianP/Eratiosandinterestrates(inpercentages)onone-yearTreasurybills6-33P/ERatiosandInterestRates:ThePEGRatio PEGRATIO= P/E 1-yearaheadpercentageearningsgrowthDoesitworkasascreenforbuyandsell?Threepoints:One-year-aheadgrowthdoesnotcapturelong-termgrowth:Useanaverage5-yeargrowthrateindenominator?A1.0cutoffappliesonlyforarequiredreturnof10%.Growthrateshouldbethecum-dividendgrowthrate.6-34ThePEGRatio PEGRATIO= CHAPTERSIXMcGraw-Hill/IrwinCopyright©2013byTheMcGraw-HillCompanies,Inc.Allrightsreserved.CHAPTERSIXMcGraw-Hill/IrwinCoChapter6Preparedby:StephenH.Penman–ColumbiaUniversityWithcontributionsbyNirYehuda–NorthwesternUniversityMingcherngDeng–UniversityofMinnesotaPeterD.EastonandGregoryA.Sommers–NotreDameandSouthernMethodistUniversitiesLuisPalencia–UniversityofNavarra,IESEBusinessSchool6-36Chapter6Preparedby:StephenWhatYouWillLearnFromThisChapterWhataP/EratiomeansWhat“abnormalearningsgrowth”isHowforecastingabnormalearningsgrowthyieldstheintrinsicP/EratioWhatismeantbyanormalP/EratioThedifferencebetweenex-dividendearningsgrowthandcum-dividendearningsgrowthThedifferencebetweenaCase1andCase2abnormalearningsgrowthvaluationHowabnormalearningsgrowthvaluationprotectstheinvestorfrompayingtoomuchforearningsgrowthTheadvantagesanddisadvantagesofusinganabnormalearningsgrowthvaluationandhowthevaluationcompareswithresidualearningsvaluationThatabnormalearningsgrowthisequaltothechangeinresidualearningsHowabnormalearningsgrowthvaluationprotectstheinvestorfrompayingforgrowthWhataPEGratiois6-37WhatYouWillLearnFromThisTheBigPictureforthisChapterTopriceearnings,onethinksofearningsgrowth:moregrowth,higherP/EBut:BewareofpayingforgrowthOnlypayforgrowththataddsvalueGrowthisrisky:BewareofpayingforriskygrowthAbnormalearningsgrowthisthemetricthatprotectsfrompayingtoomuchforgrowth6-38TheBigPictureforthisChaptTheConceptBehindtheP/ERatioPriceinnumeratorofP/EisbasedonexpectedfutureearningsEarningsindenominatoriscurrent(orforward)earningsP/Eisthusbasedonexpectedgrowthinearnings:fortrailingP/E,growthfromcurrentearningsonwardsforforwardP/E,growthfromone-year-aheadearningsonwardsBut… …growthisrisky,sotheP/EratioalsoinvolvesadiscountforriskexpectedearninggrowthincreasestheP/EratioriskreducestheP/Eratio6-39TheConceptBehindtheP/ERatBewareofPayingTooMuchfor

EarningsGrowthInvestmentcreatesgrowthbutdoesnotnecessarilyaddvalueEarningsgrowthcanbecreatedbytheaccounting

Weneedavaluationmethodthatprotectsusfrompayingtoomuchforearningsgrowth6-40BewareofPayingTooMuchforReminder:ResidualEarningsValuationProtectsYouFromPayingTooMuchForEarningsEarningsfromnewinvestmentischargedwiththerequiredreturnoninvestment Residualearningsbeforenewinvestment:10%hurdlerate

RE=12–(0.10x100)=2(ROCE=12%) Residualearningsafternewinvestmentof$20millionearningat10%

RE=14–(0.10x120)=2 NovalueaddedfromnewinvestmentCreatingearningsbyaccountingmethodsalsoincreasesresidualearningsbutreducesbookvalue.Theneteffectiszero.SeeChapter5.AP/Emodelmustalsoprotectyoufrompayingtoomuchforearningsgrowth.6-41Reminder:ResidualEarningsVaP/BValuationforNike,Inc.(Ch.5)6-42P/BValuationforNike,Inc.(FromP/BValuationtoP/EValuationTheresidualearningsproformaforNike,Inc:6-43FromP/BValuationtoP/EValuChangeinResidualEarningsandAbnormalEarningsGrowthEquivalentvaluations:V=BookValue+PVofResidualEarnings=Capitalizedforwardearnings+PVofChangesinResidualEarningsEquivalentmeasures:ChangeinResidualEarnings=AbnormalEarningsGrowthAbnormalEarningsGrowth(AEG)isgrowthinearningsovertherequiredgrowthrateAEGisthefocusforP/Evaluation6-44ChangeinResidualEarningsanThePrototypeSavingsAccount6-45ThePrototypeSavingsAccount6TheTrailingP/EandForwardP/E6-46TheTrailingP/EandForwardPCum-DividendEarningsCum-dividendearningsisearningswiththeprioryear’sdividendreinvested:Forthefull-payoutaccount:Earningsfor2014 $5.00Earningsfromreinvestingprioryear’sdividend0.25

Cum-dividendearnings $5.25Forzero-payoutaccount:Earningsfor2014 $5.00Earningsfromreinvestingprioryear’sdividend0.00

Cum-dividendearnings$5.25Thetwosavingsaccountshavethesamecum-dividendearnings!6-47Cum-DividendEarningsCum-divNormalEarnings=1.05x5.00=5.256-48NormalEarnings=1.05x5.006-AbnormalEarningsGrowth(AEG)AbnormalEarningsGrowthisgrowthovernormalearningsgrowth(indollars):

AEG=Cum-dividendearnings–Normalearnings

FortheSavingsaccount:6-49AbnormalEarningsGrowth(AEG)LessonsfromtheSavingsAccount1.Anassetisworthcapitalizedforwardearningsifabnormalearningsgrowthisexpectedtobezero.2.AnassethasanormalP/Eratioifabnormalearningsgrowthisexpectedtobezero.3.Earningscomesfromtwosources:earningsfromtheassetearningsfromreinvestingdividends4.Dividendsdonotaffectcum-dividendearnings.5.Dividendpayoutdoesnotaffectvalue.6-50LessonsfromtheSavingsAccouAnAnchoringPrincipleIfoneforecaststhatcum-dividendearningswillgrowatarateequaltotherequiredrateofreturn,theasset’svaluemustbeequaltoitsearningscapitalizedOr,equivalently:Ifoneforecaststhatabnormalearningsgrowthwillbezero,theasset’svaluemustbeequaltoitsearningscapitalized6-51AnAnchoringPrincipleIfoneABadP/EModelDoesnotworkforasavingsaccount!6-52ABadP/EModelDoesnotworkfAModeloftheForwardP/EValueofsavingsaccount= Capitalizedforwardearnings+NoextravalueExtravalueisaddedifabnormalearningsgrowthisforecastedThemodel: Valueofequity=Capitalizedforwardearnings+Extravaluefor abnormalearningsgrowthTheintrinsicP/EisgivenbydividingthroughbyEarn16-53AModeloftheForwardP/EValuMeasuringAbnormalEarningsGrowthforEquities:DellandNike,2010Abnormalearningsgrowtht(AEGt)=Cum-dividendearnt-Normalearnt

=[Earnt+(ρE–1)dt-1]–ρEarnt-1Dell:Requiredreturn=9%Eps2009=$1.25Nike:Requiredreturn=9%Eps2009=$3.07DellInc.Nike,Inc.Eps2010Dps2009Earningsonreinvested2009dividendsCum-dividendearnings2010Normalearningsfrom2009:Dell:1.25x1.09;Nike:3.07x1.09Abnormalearningsgrowth(AEG)2010$0.00$0.73

$0.000.73

1.363-$0.633$0.98$3.93

0.0884.018

3.346$0.6726-54MeasuringAbnormalEarningsGrCum-dividendEarningsGrowthRateCum-dividendearningsgrowthrate(plusone):Note:Thisisnot

6-55Cum-dividendEarningsGrowthRAlternativeCalculationofAEGAbnormalearningsgrowtht=[Gt–ρE]xEarningst-1WhereGt=Cum-dividendearningsgrowthrate(plusone)ForNike: G2010=4.018/3.07=1.3088(a30.88%growthrate) AEG2010=[1.3088–1.09]x3.07=$0.6726-56AlternativeCalculationofAEGStepsinApplyingtheModelForecastearningsanddividendsuptoaforecasthorizon.CalculateAEGaftertheforwardyearfromtheforecastsofearningsanddividends.DiscounttheAEGtopresentvalueattheendoftheforwardyear.Calculateacontinuingvalueattheforecasthorizon.Discountthecontinuingvaluetopresentvalueattheendoftheforwardyear.Add3,5,andforwardearningsCapitalizethistotalattherequiredrateofreturn.6-57StepsinApplyingtheModelForApplyingtheModelCumdividendearnings2

Normalearnings2

Cumdividendearnings3

Normalearnings2

Cumdividendearnings4

Normalearnings4

Year4aheadYear3aheadYear2aheadAbnormalEarnings2AbnormalEarnings3AbnormalEarnings4ForwardEarnings1

Year1aheadPVofAEG2TotalearningsplusgrowthCurrentValueCapitalizeDiscountbyDiscountby2Discountby3ForecastsPVofAEG3PVofAEG4++++--+6-58ApplyingtheModelCumdividendApplyingtheModel:ASimpleExampleandaSimpleModelForecastforafirmwithexpectedearningsgrowthof3percentperyear(indollars).Requiredreturnis10%peryear.Residualearningsvaluation:AEGvaluation:6-59ApplyingtheModel:ASimpleEACase1Valuation:GeneralElectricRequiredreturnis10%Inthiscase,abnormalearningsgrowthisexpectedtobezeroafter2004

Sameasresidualearningsvaluation6-60ACase1Valuation:GeneralElACase2Valuation:Nike,Inc.Requiredreturnis9%Inthiscase,abnormalearningsgrowthisexpectedtogrowata4.5percentrateafter2012Sameasresidualearningsvaluation6-61ACase2Valuation:Nike,Inc.ConvertingAnalysts’ForecaststoaValuation:GoogleInc.,2010Price,early2011=$624 Requiredreturn=11%Consensusepsforecasts: 2011 $33.83 2012 $39.47 5-yeargrowthrateforecasted=17.4%

6-62ConvertingAnalysts’ForecastsAbnormalEarningsGrowthisEqualtotheChangeinResidualEarningsAEGt

=[earnt+(ρE

–1)dt-1]

-ρEearnt-1

Bythestocksandflowsequationforaccountingforthebookvalueofequity(Chapter2),Bt-1=Bt-2+earnt-1

–

dt-1,soearnt-1

–dt-1=Bt-1–Bt-2.Thus,

AEGt=earnt

–earnt-1-(ρE

–1)[Bt-1–Bt-2]

=[earnt

-(ρE

–1)Bt-1]-[earnt-1

-(ρE

–1)Bt-2]