经济学财务报表与证券定价佩因曼英文

Chapter4CashAccounting,AccrualAccounting,andDiscountedCashFlowValuationWhatyouwilllearnfromthisChapterHowthedividenddiscountmodelworks(ordoesnotwork)WhatismeantbycashflowfromoperationsWhatismeantbycashusedininvestingactivitiesWhatismeantbyfreecashflowHowdiscountedcashflowvaluationworksProblemsthatariseinapplyingcashflowvaluationWhyfreecashflowmaynotmeasurevalueaddedinoperationsWhyfreecashflowisaliquidationconceptHowdiscountedcashflowvaluationinvolvescashaccountingforoperatingactivitiesWhy“cashflowfromoperations”reportedinU.S.financialstatementsdoesnotmeasureoperatingcashflowscorrectlyWhy“cashflowsininvestingactivities”reportedinU.S.financialstatementsdoesnotmeasurecashinvestmentinoperationscorrectlyHowaccrualaccountingforoperationsdiffersfromcashaccountingforoperationsThedifferencebetweenearningsandcashflowfromoperationsThedifferencebetweenearningsandfreecashflowHowaccrualsandtheaccountingforinvestmentaffectthebalancesheetaswellastheincomestatementWhyanalystsforecastearningsratherthancashflowsHowavaluationmodelisamodelofaccountingforthefutureHowreverseengineeringworksasananalysistoolWhata“simplevaluation”is4-2ValuationModels:GoingConcernsCF1CF2CF3CF4CF5AFirm123450d1d2d3d4d5DividendFlow123450TVTTdTEquityTheterminalvalue,TVTisthepricepayoff,PTwhentheshareissoldValuationissues:Theforecasttarget:dividends,cashflow,earnings?Thetimehorizon:T=5,10,?TheterminalvalueThediscountrate4-3TheDividendDiscountModel:TargetingDividendsDDM:Problems:Howfardoesoneproject?Does

provideagoodestimateofVE0?(i)Dividendpolicycanbearbitraryandnotlinkedtovalueadded.(ii)Thefirmcanborrowtopaydividends;thisdoesnotcreatevalue(iii)Thinkofafirmthat“paysnodividends”ThedividendirrelevancyconceptThedividendconundrum:Equityvalueisbasedonfuturedividends,butforecastingdividendsoverfinitehorizonsdoesnotgiveanindicationofthisvalueConclusion:Focusoncreationofwealthratherthandistributionofwealth.4-4TerminalValuesfortheDDMA.CapitalizeexpectedterminaldividendsB.CapitalizeexpectedterminaldividendswithgrowthWillitwork?4-5SomeMath:TheValueofaPerpetuityanda

PerpetuitywithGrowth

TheValueofaPerpetuity

Aperpetuityisaconstantstreamthatcontinueswithoutend.Theperiodicpayoffinthestreamissometimesreferredtoasanannuity,soaperpetuityisanannuitythatcontinuesforever.Tovaluethatstream,onecapitalizestheconstantamountexpected.Ifthedividendexpectednextyearisexpectedtobeaperpetuity,thevalueofthedividendstreamis

Valueofaperpetualdividendstream=

TheValueofaPerpetuitywithGrowth

Ifanamountisforecastedtogrowataconstantrate,itsvaluecanbecalculatedbycapitalizingtheamountattherequiredreturnadjustedforthegrowthrate:

Valueofadividendgrowingataconstantrate

=

4-6DividendDiscountAnalysis:

AdvantagesandDisadvantagesAdvantagesEasyconcept:dividendsarewhatshareholdersget,soforecastthemPredictability:dividendsareusuallyfairlystableintheshortrunsodividendsareeasytoforecast(intheshortrun)DisadvantagesRelevance:dividendspayoutisnotrelatedtovalue,atleastintheshortrun;dividendforecastsignorethecapitalgaincomponentofpayoffs.Forecasthorizons:typicallyrequiresforecastsforlongperiods;terminalvaluesforshorterperiodsarehardtocalculatewithanyreliabilityWhenItWorksBestWhenpayoutispermanentlytiedtothevaluegenerationinthefirm.Forexample,whenafirmhasafixedpayoutratio(dividends/earnings).4-7CashFlowsforaGoingConcernCashflowfromoperations(inflows)Cashinvestment(outflows)FreecashflowTime,tC1C2C3C4I1I2I3I4C1-I1C2-I2C3-I3C4-I4C5I5C5-I512435Freecashflowiscashflowfromoperationsthatresultsfrominvestmentsminuscashusedtomakeinvestments.4-8TheDiscountedCashFlow(DCF)Model4-9TheContinuingValuefortheDCFModelA.CapitalizeterminalfreecashflowB.CapitalizeterminalfreecashflowwithgrowthWillitwork?4-10DCFValuation:TheCoca-ColaCompanyInmillionsofdollarsexceptshareandper-sharenumbers.Requiredreturnforthefirmis9%

1999 2000 2001 2002 2003 2004

Cashfromoperations 3,657 4,097 4,736 5,457 5,929 Cashinvestments 947

1,187

1,167

906

618 Freecashflow 2,710

2,910

3,569

4,551

5,311 Discountrate(1.09)t 1.091.18811.2950 1.41161.5386 Presentvalueoffreecashflows 2,486 2,449 2,756 3,224 3,452 Totalpresentvalueto2004 14,367 Continuingvalue(CV)* 139,414 PresentvalueofCV 90,611 Enterprisevalue 104,978 Bookvalueofnetdebt 4,435 Valueofequity 100,543

Sharesoutstanding 2,472

Valuepershare $40.67

*CV=5,311x1.05=139,414 1.09-1.05

PresentvalueofCV=139,414=90,611 1.53864-11StepsforaDCFValuationHerearethestepstofollowforaDCFvaluation:ForecastfreecashflowtoahorizonDiscountthefreecashflowtopresentvalueCalculateacontinuingvalueatthehorizonwithanestimatedgrowthrateDiscountthecontinuingvaluetothepresentAdd2and4Subtractnetdebt4-12WillDCFValuationAlwaysWork?AFirmwithNegativeFreeCashFlows:GeneralElectricCompanyInmillionsofdollars,exceptper-shareamounts.

2000 2001 2002 2003 2004Cashfromoperations 30,009 39,398 34,848 36,102 36,484Cashinvestments 37,699

40,308

61,227

21,843

38,414Freecashflow (7,690)

(910)

(26,379)

14,259

(1,930)

Earnings 12,735 13,684 14,118 15,002 16,593Earningspershare(eps) 1.29 1.38 1.42 1.50 1.60Dividendspershare(dps) 0.57 0.66 0.73 0.77 0.82 4-13DCFValuationandSpeculationFormalvaluationaimstoreduceouruncertaintyaboutvalueandtodisciplinespeculationThemostuncertain(speculative)partofavaluationisthecontinuingvalue.SovaluationtechniquesarepreferrediftheyresultinasmalleramountofthevalueattributabletothecontinuingvalueDCFtechniquescanresultinmorethan100%ofthevaluationinthecontinuingvalue:SeeGeneralElectric.4-14ReverseEngineering:WhatForecastsareImpliedbytheCurrentMarketPrice?Reverseengineerasfollows:CanCokemaintainthisgrowthrate?4-15SimpleValuations Simplevaluationsuseveryshortforecastshorizons,andisolatemorespeculative,long-termforecasts.Accordingly,theyanchoron“whatweknow”orarerelativelysureabout.

AsimpleDCFforCoca-Cola,20004-16ReverseEngineeringaSimpleValuation:Coca-ColaApplyingthesimplemodeltoreverseengineerCoke’sstockprice,4-17TheDCFModel:

WillitworkforWal-MartStores?

Wal-MartStores,Inc.(FiscalyearsendingJanuary31.Amountsinmillionsofdollars.)198819891990199119921993199419951996Cashfromoperations5368289681,4221,5531,5402,5733,4102,993Cashinvestments6275418941,5262,1503,5064,4863,7923,332Freecashflow(91)28774(104)(597)(1,966)(1,913)(382)(339)Dividendspershare0.030.040.060.070.090.110.130.170.20Pricepershare6⅞8½10⅝16½2732½26½25⅞24⅜

4-18WhyFreeCashFlowisnotaValue-AddedConceptCashflowfromoperations(valueadded)isreducedbyinvestments(whichalsoaddvalue):investmentsaretreatedasvaluelossesValuereceivedisnotmatchedagainstvaluesurrenderedtogeneratevalue Afirmreducesfreecashflowbyinvestingandincreasesfreecashflowbyreducinginvestments: freecashflowispartiallyaliquidationconcept Note:analystsforecastearnings,notcashflows4-19DiscountedCashFlowAnalysis:

AdvantagesandDisadvantagesAdvantagesEasyconcept:cashflowsare“real”andeasytothinkabout;theyarenotaffectedbyaccountingrulesFamiliarity:isastraightapplicationoffamiliarnetpresentvaluetechniquesDisadvantagesSuspectconcept:

freecashflowdoesnotmeasurevalueaddedintheshortrun;valuegainedisnotmatchedwithvaluegivenup.freecashflowfailstorecognizevaluegeneratedthatdoesnotinvolvecashflowsinvestmentistreatedasalossofvaluefreecashflowispartlyaliquidationconcept;firmsincreasefreecashflowbycuttingbackoninvestments.Forecasthorizons:typicallyrequiresforecastsforlongperiods;terminalvaluesforshorterperiodsarehardtocalculatewithanyreliabilityValidation:itishardtovalidatefreecashflowforecastsNotalignedwithwhatpeopleforecast:analystsforecastearnings,notfreecashflow;adjustingearningsforecaststofreecashforecastsrequiresfurtherforecastingofaccruals.WhenItWorksBestWhentheinvestmentpatternissuchastoproduceconstantfreecashfloworfreecashflowgrowingataconstantrate.4-20PartialStatement

ofCashFlows:

DellInc.,20084-21ReportedCashFlowfromOperationsReportedcashflowsfromoperationsinU.S.cashflowstatementsisafterinterest:CashFlowfromOperations=ReportedCashFlowfromOperations+After-taxNetInterestPaymentsAfter-taxNetInterest=NetInterestx(1-taxrate)Netinterest=Interestpayments–InterestreceiptsReportedcashflowfromoperationsissometimesreferredtoasleveredcashflowfromoperations4-22ReportedCashFlowinInvestingActivities Reportedcashinvestmentsincludenetinvestmentsininterestbearingfinancialassets(excesscash):Cashinvestmentinoperations=Reportedcashflowfrominvesting-Netinvestmentininterest-bearingsecurities

4-23CalculatingFreeCashFlowfromtheCashFlowStatement:DellInc.,2008Reportedcashflowfromoperations 3,949Interestpayments 54Interestincome* (387)Netinterestpayments (333)Taxes(35%)†

117Netinterestpaymentsaftertax(65%) (216)Cashflowfromoperations 3,733Reportedcashusedininvestingactivities 1,763Purchasesofinteresting-bearingsecurities 2,394 Salesofinterest-bearingsecurities (3,679) 1,285 Cashinvestmentinoperations 3,048Freecashflow 685*Interestpaymentsaregivenassupplementaldatatothestatementofcashflows,butinterestreceiptsusuallyarenot.Interestincome(fromtheincomestatement)isusedinstead;thisincludesaccrualsbutisusuallyclosetothecashinterestreceived. †Dell’sstatutorytaxrate(forfederalandstatetaxes)is35percent,asindicatedinthefinancialstatementfootnotes.4-24FromEarningstoFreeCashFlowsItisdifficulttoforecastfreecashflowswithoutforecastingearnings.Firstforecastearningsandthenmakeadjustmentstoconvertearningstocashflowfromoperations.Followthefollowingsteps:ForecastearningsavailabletocommonForecastaccruals(thedifferencebetweenearnings andcashflowfromoperationsinthecashflow statement)Calculateleveredcashflowfromoperations(Step(i)-Step(ii))Calculateunleveredcashflowfromoperationsby addingafter-taxnetinterestForecastcashinvestmentsinoperationsCalculateforecastedfreecashflow,C-I(Step(iv)-Step(v))4-25ConvertingEarningstoFreeCashFlow:

DellInc.,20084-26ACommonApproximation4-27FeaturesoftheIncomeStatement1.Dividendsdon’taffectincome2.Investmentdoesn’taffectincome3.ThereisamatchingofValueadded (revenues)Valuelost(expenses)Netvalueadded (netincome)4.AccrualsadjustcashflowsAccrualsValueaddedthatisnotcashflowAdjustmentstocashinflowsthatarenotvalueadded4-28TheIncomeStatement:DellInc.4-29TheRevenueCalculation Revenue= Cashreceiptsfromsales +Newsalesoncredit

Cashreceivedforpreviousperi