剩余收益模型

Chapter5AccrualAccountingandValuation:PricingBookValues----ResidualEarningsModel权责发生制与价值评估:账面价值定价--剩余收益模型Chapter5

公司在进行交易时，价格并非是账面价值。资产负债表中的资产和负债有的是公允价值，有的是历史成本，还有一些则被从资产负债表中删除。这就导致分析家们忽略了从资产负债表中删除的价值。分析家们会问：到底在账面价值的基础上增加多少才是固有的价值？每支股票在交易时基于账面价值的溢价到底是多少？本章提出的剩余收益模型解决了分析家们的困惑。Chapter5结构P/B简单模型剩余收益模型复杂模型Equities剩余收益模型的应用PrijectsStategies剩余收益模型的优点、缺点剩余收益模型对投资者的提醒总结

/dx//dx/150612/4638735.html/dx/150612/4638744.html/dx/150612/4638768.html/dx/150613/4639087.html/dx/150613/4639088.html/dx/150614/4639159.html/dx/150614/4639163.html/dx/150614/4639177.html/dx/150615/4639640.html/dx/150615/4639690.html/dx/150616/4640265.html/dx/150619/4642366.html/dx/150619/4642386.html/dx/150619/4642459.html/dx/150620/4642818.html/dx/150622/4643090.html/dx/150622/4643099.html/dx/150623/4643481.html/dx/150623/4643496.html/dx/150623/4643509.html本章重要专业英文词汇residualearningsorresidualincome:剩余收益residualearningsmodel:剩余收益模型premium:溢价price-to-bookratio(P/B):市净率rateofreturnoncommonequity(ROCE):普通股本回报率terminalinvestment:终端投资goingconcerninvestment：持续投资withdrawl:撤回；提款forecasthorizon:预测期间fiscalyears:会计年度shareissue：发行股票earningspershare(EPS):每股收益dividendspershare(DPS):每股股利discountedcashflowmethod(DCF):现金流量折现法continuingvalue（CV）:持续价值P/Bratio

P/B公式：

P/B与剩余收益、剩余收益模型的两个驱动因素都有密切的联系。同时，提醒投资者：Bewareofpayingtoomuchforearnings!剩余收益模型(简单)1.什么是剩余收益？定义：Residualearningsistheearningsinexcessoftheserequireddollarearnings.公式:2.剩余收益模型是什么？定义：Amodelthatmeasuresvalueaddedfromforecastsofresidualearningsiscalledtheresidualearningsmodel.公式：

value=Bookvalue+Premium=Bookvalue+presentvalueofexpectedresidualearnings.Example:ValuingaOne-PeriodProject(1)Investment$400Requiredreturn10%Revenueforecast$440Forecastedearnings$40

DCFValuation:

Arateofreturnof10percentontheinvestmentof$400.Example:ValuingaOne-PeriodProject(2)Investment $400Requiredreturn 10%Revenueforecast $448Earningsforecast$48Arateofreturnof12percentontheinvestmentof$400.TheprojectaddsvalueExample:ValuingaSavingsAccountForecastsforaSavingsAccountwith$100investedattheendof2000.Earning5%peryear.Value=BookValue+PresentValueofResidualEarnings=100+0=100TheNormalPrice-to-BookRatioNormalP/B=1.0(Price=BookValue)TheNormalP/BfirmearnsanexpectedrateofreturnonitsbookvalueequaltotherequiredreturnTheNormalP/Bfirmearnsexpectedresidualearningsofzero.LessonsfromtheSavingsAccount从储蓄账户这个例子得到一些准则，这些准则在将要介绍的模型中也是适用的。Anassetisworthapremiumordiscounttoitsbookvalueonlyifthebookvalueisexpectedtoearnnon-zeroresidualearnings.Residualearningstechniquesrecognizethatearningsgrowthdoesnotaddvalueifthatgrowthcomesfrominvestmentearningattherequiredreturn.Eventhoughanassetdoesnotpaydividends,itcanbevaluedfromitsbookvalueandearningsforecasts.Thevaluationofthesavingsaccountdoesnotdependondividendpayout.Thetwoscenarioshavedifferentexpecteddividends,butthesamevalue.Thevaluationofasavingsaccountisunrelatedtofreecashflows:Thetwoaccountshavethesamevalue,butdifferentfreecashflow.Example:aSimpleModelInmillionsofdollars.Requiredreturnis10%peryear.

ForecastYear

01234 5Earnings 12.00 12.36 12.73 13.11 13.51 13.91Dividends 9.09 9.36 9.64 9.93 10.23 10.53Bookvalue 100.00 103.00 106.09 109.27 112.55 115.93RE(10%charge) 2.36 2.43 2.50 2.58 2.66REgrowthrate 3% 3% 3% 3%.

$133.71million

Theintrinsicprice-to-bookratio(P/B)is$133.71/$100=1.34.

剩余收益模型（复杂）

Anequityinvestmentisagoingconcern,andagoingconcerngoesonindefinitely.

Wecalculatetheintrinsicpremiumoverbookvalue,,asthepresentvalueofforecastedresidualincome.Thispremiumisthemissingvalueinthebalancesheet.

P/B与RE的关系（见下表）HighP/BfirmspayhighRE,onaverage,whilelowP/BfirmspaylowRE.RelationBetweenP/BRatiosandSubsequentRE(有问题)AlternativeMeasureofResidualEarnings

Residualearningsisthe

returnoncommonequity,expressedasadollarexcessreturnratherthanaratio.Wealsorestateresidualearningsas:

剩余收益模型的驱动因素DriversofResidualEarningsTwoDrivers:1.ROCE IfforecastedROCEequalstherequiredreturn,thenREwillbezero,andV=BIfforecastedROCEisgreaterthantherequiredreturn,thenV>BIfforecastedROCEislessthantherequiredreturn,thenV<B2.GrowthinbookvalueREwillchangewithchangewithROCEandgrowthinbookvalueP/B,ROCEandGrowthinBookValue

P/Bin2003 ROCEin2004 GrowthRatefor BookValuein2004TheGapInc. 4.23 28.1% 30.7% GeneralElectricCo. 4.16 22.3% 39.3%VerizonCommunicationsInc. 3.32 23.4% 12.2%CitigroupInc. 2.79 17.4% 11.5%HomeDepotInc. 2.62 19.2% 13.2%GeneralMotorsCorp. 1.19 11.1% 9.7%FederatedDepartmentStores 0.92 12.0% 3.1%ROCEispositivelyrelatedtoP/B.AndgrowthinbookvalueisalsopositivelyrelatedtoP/B.ROCEandP/BRatios:S&P500FirmsIngredientsoftheModel1.Thecurrentbookvalue2.Forecastsofresidualearnings

3.Forecastedpremiumatthehorizon

Component3iscalledthecontinuingvalue.

Asefficientpricesequalintrinsicvalues,thenStepsinApplyingtheModel1.Identifythebookvalueinthemostrecentbalancesheet.2.Calculatefutureresidualearningsfromtheforecastsofearningsandbookvalues.3.Discounttheresidualearningstopresentvalue.4.Calculateacontinuingvalueattheforecasthorizon.5.Discountthecontinuingvaluetothepresentvalue.6.Add1,3,and5.HowtheResidualEarningsModelWorksROCE1CurrentbookvalueROCE2Bookvalue1ROCE3Bookvalue2Year3aheadYear2aheadYear1aheadResidualearnings1Residualearnings2Residualearnings3CurrentbookvalueCurrentyearPVofRE1Discountby

ForecastsPVofRE2PVofRE3CurrentbookvalueDiscountby

3Discountby

2CurrentData

剩余收益模型的应用------Equities

Case1:ZeroREafterT

Flanigan’sEnterprisesInc.

Requiredrateofreturnis9percent.Inthiscase,residualearningsisexpectedtobezeroafter2003.

ForecastYear

1999 2000 200120022003

Eps 0.73 0.800.710.47Dps 0.110.240.250.27Bps 3.58 4.20 4.765.225.41ROCE 20.4% 19.0%14.9%9.0%RE(9%charge) 0.408 0.4220.2820.000Discountrate(1.09) 1.091.1881.2951.412PresentvalueofRE 0.3740.3550.2170.000TotalpresentvalueofREto20030.95

Valuepershare 4.53

Case1:ZeroREafterT----ContinuingValue

REisforecastedtobezeroinperpetuityatthehorizonSoTheforecastedpremiumatthehorizonisCase2:ConstantREafterT

GeneralElectricCo.Requiredrateofreturnis10percent.Inthiscase,residualearningsisexpectedtobeconstant,butnonzeroafter2004.SupposethatREbeyond2004isgoingtobethesameasthe0.882in2004. Forecast

Year

1999 2000 2001 2002 2003 2004Eps 1.29 1.38 1.42 1.50 1.60Dps 0.57 0.66 0.73 0.77 0.82Bps 4.32 5.04 5.76 6.45 7.18 7.96ROCE 29.9% 27.4% 24.7% 23.3% 22.3%RE(10%charge) 0.858 0.876 0.844 0.855 0.882Discountrate(1.10) 1.100 1.210 1.331 1.464 1.611PresentvalueofRE 0.780 0.724 0.634 0.584 0.548TotalpresentvalueofREto2004 3.27Continuingvalue(CV) 8.82PresentvalueofCV 5.48

Valuepershare 13.07Thecontinuingvalue:

CV==8.82

Presentvalueofcontinuingvalue==5.48AssumingconstantREafterperiodT: REisforecastedtobeconstantinperpetuityatthehorizon So

Case2:ConstantREafterT-----ContinuingValueForGE,CVT=Case3:GrowingREafterTDellInc.

Requiredrateofreturnis11percent.Inthiscase,residualearningsisexpectedtogrowata6.5percentrateafter2005.

ForecastYear

2000 2001 2002 2003 2004 2005Eps 0.84 0.48 0.82 1.03 1.18Dps 0.0 0.0 0.0 0.0 0.0Bps 2.06 2.90 3.38 4.20 5.23 6.41ROCE 40.8% 16.6% 2 4.3% 24.5% 22.6%RE(11%charge) 0.613 0.161 0.448 0.568 0.605Discountrate(1.11)t 1.110 1.232 1.368 1.518 1.685PresentvalueofRE 0.553 0.131 0.328 0.374 0.359TotalpresentvalueofREto2005 1.75 Continuingvalue(CV) 14.32PresentvalueofCV 8.50

Valuepershare 12.31

Thecontinuingvalue(withgrowthat6.5%): CV==14.32Presentvalueofcontinuingvalue==8.50

AssuminggrowingREafterperiodT:

Case3:GrowingREafterT-----ContinuingValue

REisforecastedtogrowatconstantrateinperpetuityatthehorizon

So

ForecastingTargetPricesCase1(Flannigan’s)Case2(GE)Case3(Dell)剩余收益模型应用------ProjectValueadded:PVofRE=330(sameasNPV)剩余收益模型应用------StrategyEvaluationResidualEarningsModelandDCFApproach

（！！！）

在前面的例子中，我们看到剩余收益模型计算的价值与现金流量折现法计算的价值是相同的。

ThefoercastsofREhavecaptuerdthevalueaddedoverthecostoftheinvestment.

剩余收益模型的优点、缺点

AdvantagesFocusonvaluedrivers:focusesonprofitabilityofinvestmentandgrowthininvestmentthatdrivevalue;directsstrategicthinkingtothesedriversIncorporatesthefinancialstatements:incorporatesthevaluealreadyrecognizedinthebalancesheet(thebookvalue)Usesaccrualaccounting: usesthepropertiesofaccrualaccountingthatrecognizevalueaddedaheadofcashflows,matchesvalueaddedtovaluegivenupandtreatsinvestmentasanassetratherthanalossofvalueVersatility: canbeusedwithawidevarietyofaccountingprinciples(Chapter16)Alignedwithwhatpeopleforecast: analystsforecastearnings(fromwhichforecastedresidualearningscanbecalculated)Validation: forecastsofresidualearningscanbevalidatedinsubsequentauditedfinancialstatementsPredictability:dividendsareusuallyfairlystableintheshortrunsodividendsareeasytoforecast(intheshortrun)DisadvantagesAccountingcomplexity:requiresanunderstandingofhowaccrualaccountingworksSuspectaccounting: reliesonaccountingnumbersthatcanbesuspect(Chapter17)Forecasthorizon: forecasthorizonscanbeshorterthanforDCFanalysisandmorevalueistypicallyrecognizedintheimmediatefuture;also,forecastsuptothehorizongiveanindicationofprofitabilityandgrowthforacontinuingvaluecalculation;buttheforecasthorizondoesdependonthequalityoftheaccrualaccounting(Chapter16)剩余收益模型对投资者的提醒：

（1）ProtectionfromPayingTooMuchforEarningsGeneratedbyInvestment

Thefirmisexpectedtomakeashareissueof$50inYear1.Requiredreturnis10percentperyear.

ForecastYear

01234 5Earnings 12.00 12.36 17.73 18.61 19.56 20.57Netdividends 9.09 (40.64) 9.64 9.93 10.23 10.53Bookvalue 100.00 153.00 161.09 169.77 179.10 189.14RE(10%charge) 2.36 2.43 2.50 2.58 2.66REgrowthrate 3% 3% 3% 3%

$133.71million.Beware!剩余收益模型对投资者的提醒：

（2）ProtectionfromPayingTooMuchforEarningsCreatedbytheAccounting:theSimpleExample

Writinginventorydownby$8millioninYear0createslower-cost-of-goodssoldinYear1:

ForecastYear

01234

5Earnings