第三章证券估值

第三章证券估值估值简介Aphilosophicalbasisforvaluation'biggerfool'theorysoundinvesting

GeneralitiesaboutValuation

(估值方法的几个误区)Myth1:Sincevaluationmodelsarequantitative,valuationisobjectiveMyth2:Awell-researchedandwell-donevaluationistimelessMyth3.:AgoodvaluationprovidesapreciseestimateofvalueMyth4:.Themorequantitativeamodel,thebetterthevaluationLOREMIPSUMDOLORMyth5:Tomakemoneyonvaluation,youhavetoassumethatmarketsareinefficientAPPROACHESTOVALUATIONDiscountedcashflowvaluationrelativevaluationcontingentclaimvaluationDiscountedCashflowValuation(DCFV)Loremipsumdolorsitamet,consecteturadipisicingelit,seddoeiusmodtemporincididuntutlaboreetdoloremagnaaliqua.Utenimadminimveniam,quisnostrudexercitationullamcolaborisnisiutaliquipexeacommodoconsequat.StreamofExpectedReturns(CashFlows)FromofreturnsDependingontheinvestment,returnscanbeintheformof:EarningsDividendsInterestpaymentsCapitalgainsWhenwillthecashflowsbereceivedfromtheinvestment?RequiredRateofReturnDeterminedbytheriskofaninvestmentandavailablereturnsinthemarketDeterminedby:Therealrisk-freerateofreturn,plusTheexpectedrateofinflation,plusAriskpremiumtocompensatefortheuncertaintyofreturnsSourcesofuncertainty,andthereforeriskpremiums,varybythetypeofinvestmentBondValuationPresentvalueofabondPresentvalueofinterestpaymentsPresentvalueofmaturityvaluePromisesinterest10percenteachyear;Promisestopaytheprincipalamountof$1000attheendoftwelveyears;Hasayieldof5percentperyear;Interestispaidsemi-annually;Supposeyouareconsideringinvestinginacouponbondthat:练习对债券估值对国债的进行估值，并将结果与市场价格对比股权估值LoremipsumdolorsitametCategorizingDiscountedCashFlowModelsEquityValuationversusFirmValuationThevalueofequityThedividenddiscountmodelisaspecializedcaseofequityvaluation.LOREMIPSUMDOLORAssumethatyouareanalyzingacompanywiththefollowingcashflowsforthenextfiveyears.Assumealsothatthecostofequityis13.625%Wediscountcashflowstoequityatthecostofequity:LOREMIPSUMDOLORThevalueofthefirmLOREMIPSUMDOLORLOREMIPSUMDOLORAssumethatyouareanalyzingacompanywiththefollowingcashflowsforthenextfiveyears.Assumealsothatthecostofequityis13.625%andthefirmcanborrowlongtermat10%.(Thetaxrateforthefirmis50%.)Thecurrentmarketvalueofequityis$1,073andthevalueofdebtoutstandingis$800.LOREMIPSUMDOLORLoremipsumdolorsitamet,consecteturadipisicingelit.LOREMIPSUMDOLORLoremipsumdolorsitamet,consecteturadipisicingelit,seddoeiusmodtemporincididuntutlaboreetdoloremagnaaliqua.Utenimadminimveniam,quisnostrudexercitationullamcolaborisnisiutaliquipexeacommodoconsequat.ApplicabilityandLimitationsofDCFValuation(1)Firmsintrouble(2)CyclicalFirms(3)Firmswithunutilizedassets(4)Firmswithpatentsorproductoptions(5)Firmsintheprocessofrestructuring(6)Firmsinvolvedinacquisitions(7)PrivateFirms练习题yearcashflowetofirm2011E14,681.212012E14,754.612013E14,828.392014E14,902.532015E14,977.042016E15,051.932016E15,127.192017E15,202.82负债20489.52股本6500股本价值46605债务资本成本（Kd)3.79%股权资本成本（ce)12.20%普通股估值Assumethatastockhasjustpaidadividendsothattheseriesoffutureperiodicdividends(Dt)canberepresentedas:Theoriginalbuyeratt=0buysthesharewithaviewtosellitattheendofthefirstyearatanexpectedpriceofP1.Thisentitlestheinvestortoreceivethefirstyear'sdividendD1.

Assumethediscountrate(=requiredrateofreturn)forthisstockisconstantandequaltore.LOREMIPSUMDOLORThenthebuyervaluestheshareas:ButwhatdeterminesP1?Simplyassumethebuyerinoneyear'stimedeterminesthepriceinjustthesameway,andusesthesamediscountrate:

Or,generally,forperiodT:LOREMIPSUMDOLOR…Substitutingequation(2)intoequation(1)gives:Continuingthesameprocess:Inordertomakeuseofthisexpression,wehavetomakesomeassumptionsaboutfuturedividends(1)The"ConstantGrowth"FormulaThesimplestassumptionaboutdividendsisthattheystayconstantovertime,sothatUnfortunately,constancyofdividendsisaveryspecificassumptionwithlittlerealism,andthereforefewapplications.Amoregeneralassumptionisthatdividendsgrowataconstantrate.Assumethatgissmallerthanre.ThenthegeneralformulaforaddingthisseriesisGrowthPattern某公司2006年的每股收益为4.24元，其中50%的收益将用于派发股息，并且预计未来了的股息将长期保持稳定。该股票的必要回报率为9.45%。公司股票当前的市场价格为35元。股票理论价格2005年某公司的每股收益是3.82元，其中65%的收益用于派发股息，近5年公司的利润和股息增长率均为6%，并且预计将保持这一速度长期增长。公司股票的不要回报率为10.15%。公司股票当前的市场价格为55元。股票理论价格requirerateofreturnUsingtheCAPM如何估算β值对β值估算的一般方法是对股票收益率（R1）与市场收益率（Rm）进行回归分析：

其中：a=回归曲线的截距

b=回归曲线的斜率=直接利用EXCEL的回归分析工具来进行估计。在表单1，点击菜单栏的“工具”中的“DataAnalysis”（如果你的EXCEL无此功能，请将Office光盘放入电脑的光驱，然后点击“工具”中的“加载宏”，选定有关选项后点击“确定”完成安装即可）在弹出的对话框中选择“Regression”后按“OK”键，在弹出的对话框中，填上Y和X数据所在的单元格区间。让X为上证综合指数收益率，Y分别股票收益率。然后选上ConfidenceLevel95%、NewWorksheetPly以及LineFitPlots后按“OK”键RelativeValuationthevalueofanassetisderivedfromthepricingof'comparable'assets,standardizedusingacommonvariablesuchasearnings,cashflows,

bookvalueorrevenues.industry-averageprice-earningsratiopricetobookvalueratioaverageprice-salesratiosUnderpinningsof