CFA二级基础段权益（标准版）

Equity

Valuation

CFA二级培训项目

TopicWeightingsinCFALevelII

SessionNO.ContentWeightings1

StudySession1Ethical&ProfessionalStandards10-15

StudySession2-3QuantitativeMethods5-10

StudySession4Economics5-10

StudySession5-6FinancialReportingandAnalysis10-15

StudySession7-8CorporateFinance5-10

StudySession9-11Equity10-15

StudySession12-13FixedIncome10-15

StudySession14Derivatives5-10

StudySession15AlternativeInvestments5-10

StudySession16-17PortfolioManagement10-15

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(•)FrameworkSS9:EquityValuation(1)

•R24EquityValuation:

ApplicationsandProcesses

•R25ReturnConcepts

SS10:EquityValuation(2)

….一•R26IndustryandCompany

Analysis

>SS11:EquityValuation(3)

•R27DiscountedDividend

•R28FreeCashFlowValuation

Valuation

•R29Market-BasedValuation:Priceand

EnterpriseValueMultiples

•R30ResidualIncomeValuation

•R31PrivateCompanyValuation

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1.ValueDefinitionsandApplications

Framework2.TheValuationProcess

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.1.ValueDefinitionsandApplications

>Intrinsicvalueisthevalueofanassetgiveahypotheticallycomplete

understandingoftheassets'investmentcharacteristics.Valuationisapart

oftheactivemanager'sattempttoproductionpositiveexcessreturn.

>Alpha,anexcessrisk-adjustedreturn,alsocalledanabnormalreturn,

perceivedmispricingtruemispricing

V^-P=(V^P)+(VE--V)

theerrorintheestimateoftheintrinsicvalue

•Thefirstcomponentisthetruemispricing,thatis,thedifference

betweenthetruebutunobservableintrinsicvalueVandtheobserved

marketpriceP(thisdifferencecontributestotheabnormalreturn).

•Thesecondcomponentisthedifferencebetweenthevaluation

estimateandthetruebutunobservableintrinsicvalue,thatisztheerror

intheestimateoftheintrinsicvalue.

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.ValueDefinitionsandApplications

>Going-ConcernValueandLiquidationValue

•Going-concernvalueisthevalueunderagoing-concernassumption.

Thevaluationmodelswewillcoverareallbasedonthegoingconcern

assumption.

•Liquidationvalueisthevalueofacompanyifthecompanywere

dissolvedanditsassetssoldindividually.

>FairMarketValueandInvestmentValue

•Fairmarketvalueisthepriceatwhichanasset(orliability)would

changehandsbetweenawillingbuyerandawillingsellerwhenbothof

themarenotunderanycompulsion.

•Investmentvalueisthevaluetoaspecificbuyer;takingaccountof

potentialsynergiesbasedontheinvestor'srequirementsand

expectations.

>Underefficientmarket

•Liquidationvalue<intrinsicvalue=fairmarketvalue<investment

value

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♦ValueDefinitionsandApplications

•Stockselection:Checkifthissecurityisfairlypriced,overpriced,or

underpricedrelativetoitscurrentestimatedintrinsicvalueandrelativeto

thepricesofcomparablesecurities.

eInferring(extracting)marketexpectations:Marketpricesreflectthe

expectationsofinvestorsaboutthefutureperformanceofcompanies.

Analystscanestimatetheseexpectationsbycomparingthemarket

impliedexpectationstohisownexpectations.

•Evaluatingcorporateevents:Investmentbankers,corporateanalysts,

andinvestmentanalystsusevaluationtoolstoassesstheimpactofsuch

corporateeventsasmergers,acquisitions,divestitures,spin-offs,and

goingprivatetransactions.

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♦ValueDefinitionsandApplications

•Fairnessopinions:Thepartiestoamergermayberequiredtoseekafairness

opiniononthetermsofthemergerfromathirdparty,suchasaninvestment

bank.

•Evaluatingbusinessstrategiesandmodels:Companiesconcernedwith

maximizingshareholdervalueevaluatetheeffectofalternativestrategieson

sharevalue.

•Communicatingwithanalystsandshareholders:Valuationconcepts

facilitatecommunicationanddiscussionamongcompanymanagement,

shareholders,andanalystsonarangeofcorporateissuesaffectingcompany

value.

•Appraisingprivatebusinesses:Valuationoftheequityofprivatebusinesses

isimportantfortransactionalpurposesandtaxreportingpurposesamong

others.

•Share-basedpayment(compensation):Share-basedpayments(e.g.,

restrictedstockgrants)aresometimespartofexecutivecompensation.

Estimationoftheirvaluefrequentlydependsonusingequityvaluationtools.

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♦2.TheValuationProcess

>Generalstepsintheequityvaluationprocess

•Understandthebusiness;

•Forecastcompanyperformance;

•Selecttheappropriatevaluationmodel;

•Converttheforecastsintoavaluation;

•Applythevaluationconclusions.

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♦TheValuationProcess

>Valuationprocess

•Step1:understandingthebusiness

/Elementsofindustrystructure(Porter'sfiveforces)

♦Intra-industryrivalry

♦Newentrants•Howattractivearetheindustriesinwhich

♦Substitutesthecompanyoperates,intermsofoffering

prospectsforsustainedprofitability?

♦Supplierpower

•Whatisthecompany'srelativecompetitive

♦Buyerpower

positionwithinitsindustry,andwhatisits

/Threegenericstrategiescompetitivestrategy?

♦Costleadership•Howwellhasthecompanyexecutedits

♦Differentiationstrategyandwhatareitsprospectsfor

♦Focusfutureexecution?

•Step2:forecastingcompanyperformance

/Top-downforecastingapproach

/Bottom-upforecastingapproach

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TheValuationProcess

•Step3:selectingtheappropriatevaluationmodel

/Absolutionvaluationmodel

♦DDM,FCFM,residualincomeapproach,asset-basedmodel.

/Relativevaluationmodel

♦Multiples,suchasP/E,P/B,P/CF,etc.

•Step4:convertingforecaststoavaluation

/Twoirriportdnlaspectsofconvertingforecaststovdludlionare

sensitivityanalysisandsituationaladjustments.

♦Controlpremium

♦Lackofmarketabilitydiscounts

♦Illiquiditydiscounts/blockagefactor

•Step5:makingtheinvestmentdecision

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TheValuationProcess

Sum-of-the-partsvaluation

•Sum-of-the-partsvaluation(breakupvalueorprivatemarketvalue):A

valuationthatsumstheestimatedvaluesofeachofthecompany's

businessesasifeachbusinesswereanindependentgoingconcern.

Conglomeratediscount

•Themarketappliesadiscounttothestockofacompanyoperatingin

multiple,unrelatedbusinessescomparedtothestockofcompanieswith

narrowerfocuses.

•Threeexplanationsforconglomeratediscounts

/Inefficiencyofinternalcapitalmarkets:companies'allocationof

investmentcapitalamongdivisionsdoesnotmaximizeoverall

shareholdervalue;

/Endogenousfactors:poorlyperformingcompaniestendtoexpand

bymakingacquisitionsinunrelatedbusinesses;

/Researchmeasurementerrors:conglomeratediscountsdonot

actuallyexist,andevidencesuggestingthattheydoisaresultof

flawedmeasurement.

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♦TheValuationProcess

>Howdoesoneselectavaluationmodel?

>Selectedmodelsshouldbe

•Consistentwiththecharacteristicsofthecompanybeingvalued;

•Appropriategiventheavailabilityandqualityofdata;

•Consistentwiththepurposeofvaluation,includingtheanalyst's

perspective.

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Reading

25

ReturnConcepts

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1.ReturnConcepts

Framework2.EquityRiskPremium

3.RequiredReturnonEquity

4.InternationalConsideration

5.WACC

6.DiscountRateSelectioninRelation1b

CashFlow

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♦LReturnConcepts

>Holdingperiodreturn

•Holdingperiodreturnisthereturnearnedfrominvestinganasset

overaspecifiedtimeperiod.

•Theformula

产

r=1-P0+D,DiP1-P0....11.....

---------i-=—+——=dividendyield+priceappreciationreturn

0

•AnnualizedHPR.

/Forexample:ifthereturnforonemonthis1%thenthe

annualizedHPRis(1+0.01)12-1=12.68%

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♦ReturnConcepts

“Realized&expectedreturn

■Realizedreturn:isthesamewithHPR.Itisbackward-looking

context.最新资料领取微信xuebajun888s

•Expectedreturn:inforward-looking,aninvestorcanforman

expectationconcerningthedividendandsellingprice.

>Alpha,anexcessrisk-adjustedreturn,alsocalledanabnormalreturn.

>Formula

•Expectedalpha(exantealpha)=Expectedreturn-Requiredreturn

•Realizedalpha(expostalpha)=Actualholdingperiodreturn-

Contemporaneousrequiredreturn

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♦ReturnConcepts

>Requiredreturn(opportunitycost)

•Theminimumlevelofexpectedreturnthataninvestorrequiresinorder

toinvestintheassetoveraspecifictimeperiod,giventheassets;

riskiness.

•Itrepresents

JAthresholdvalueforbeingfairlycompensatedfortheriskofthe

asset;

/Ifinvestor'sexpectedreturn>requiredreturn,theassetis

undervalued;andviceversa.

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♦ReturnConcepts

>Expectedreturn

•Whenaassetismispriced,priceofassetsconvergestoitsintrinsicvalue

inaperiodtime.

•Theinvestor'sexpectedrateofreturncomprises:

/Requiredreturn;

JPricetoconvergetovalueoverhisorhertimehorizon.

E(R)=FT4-VO-PO

Po

where,

Vo,thereintrinsicvalueofthestock;

Po,thecurrentpriceofthestock

ry,requiredreturnduringtheconvergencetimeperiod

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♦ReturnConcepts

>Discountrate

•ItisarateusedinfindingthePVoffuturecashflows;

•Usedtodeterminetheintrinsicvaluedependsonthecharacteristicsof

theinvestmentratherthanthatofpurchaser.

>Internalrateofreturn(IRR)

•Theinternalrateofreturn(IRR)onaninvestmentisthediscountrate

thatequatesthepresentvalueoftheasset'sexpectedfuturecashflows

totheasset'sprice.

•Ifpriceisequaltocurrentintrinsicvalue,thengenerally,adiscountrate

canbefound,usuallybyiteration,whichequatesthatpresentvalueto

themarketprice.

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♦2.EquityRiskPremium

>Theequityriskpremiumistheincrementalreturn(premium)thatinvestors

requireforholdingequitiesratherthanarisk-freeasset.

•Equityriskpremium=Requiredreturnonequityindex-Risk-freerate

>CAPM

•Requiredreturnonsharei=Currentexpectedrisk-freereturn+白

(Equityriskpremium)

>Build-upMethod

・Requiredreturnonsharei=Currentexpectedrisk-freereturn

+Equityriskpremium

±Otherriskpremium/discounts

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♦EquityRiskPremium

>Historicalestimate

•Ahistoricalequityriskpremiumestimateisusuallycalculatedasthe

meanvalueofthedifferencesbetweenbroad-basedequity-market-

indexreturnsandgovernmentdebtreturnsoversomeselectedsample

period.

•Issuesinhistoricalestimate

/Selectanappropriateindex.Indrivingthereturn,anindexshould

berelativelystationary.

YTimeperiod.Thelongertheperiodused,themoreprecisethe

estimate;

/Arithmeticmeanorgeometricmean(lower)inestimatingthereturn;

.Riskpremiumwillbelowerwhenqeomctricmeanisused;

/Longtermbondorshorttermbillisaproxyfortherisk-freeassets;

♦Industrypracticeprefertouselonger-termbondsthanshorter-

termbondstoestimatetherisk-freerate.

/Survivorshipbias

♦Thatr-ltsth—cvar-astimaWruturncnindexandtheERP

♦Downwardadjustmentisusedtooffsetthebias.

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♦EquityRiskPremium

>Forward-looking(ex-ante)estimate-conceptualframework

•ERPisbasedonexpectationsforeconomicandfinancialvariablesfrom

thepresentgoingforward.ItislogicaltoestimateERPdirectlybasedon

currentinformationandexpectation.

•Itisnotsubjecttotheissuessuchasnorvrtationaryo(dataseriesin

historicalestimate.Butitissubjecttopotentialerrorsrelatedtomodels

andbehavioralbias.

•3approaches

/Gordongrowthmodel(GGM)estimate;

/Macroeconomicsmodelestimate;

/Surveyestimate.

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♦EquityRiskPremium

>GGM

•GGMequityriskpremiumestimate=Dividendyieldontheindexbased

onyear-aheadaggregateforecasteddividendsandaggregatemarket

value+Consensuslong-termearningsgrowthrate-Long-term

governmentbondyield.

•Asimplewaytounderstandtheequation

ERP=r-RFR=—+g-RFR

Po'

•Theaboveequationassumesgrowthrateisconstant.

/AnanalystmaymakeadjustmenttoreflectP/Eboomorbust

/Anothermethodtosolvetheseproblems

EquityIndexPrice=PVraPid(r)+PVtransition(r)+PVmature(r)

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♦EquityRiskPremium

>Supply-SideEstimates(MacroeconomicModel)

ERP={[(1+EINFL)x(1+EGREPS)x(1+EGPE)-1]+EINC}

ExpectedchangesintheP/Eratio/

-Expected^iskfreereguEExpectedincomecomponent

FynprtAdinflation'ExpectedgrowthinrealEPS

txpectedintlatl0nExpectedrisk-freerate

■Expectedinflation

(1+YTMof20-yearT-bonds)1

(1+YTMof20-yearTIPS)

TIPS:TreasuryInflationProtectedSecurities

•ExpectedgrowthinrealEPS

Expectedgrowthinrealearningpershare=realGDPgrowth

=laborproductivitygrowthrate+laborsupplygrowthrate

>Surveyestimates

•Usetheconsensusoftheopinionsfromasampleofpeople.

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♦EquityRiskPremium

>Comparison

EstimatesStrengthWeakness

•Precisionissues(duetothe

•Afamiliarandpopularchoice

reduced/dividedlengthofdata)

(ifreliablelong-termrecordsare

•Difficult-to-maintainstationary

available)

assumption(iftheseriesstarting

Historical•Unbiasedestimate(ifno

pointextendedtothedistantpast)

Estimatessystematicerrorshasbeen

•Empiricallycountercyclicalexpected

made)

equityriskpremium

•Objectivequality(groundedin

•Survivorshipbiasand

data)

positive/negativesurprises

•Available(directbasedon•Oftensubjecttootherpotential

Forward­currentinfo.Andexpectationserrorsrelatedtofinancial/economic

lookingconcerningsuchvariables)modelsandbehavioralbiasesin

Estimates•Notsubjecttotheissueofnon-forecasting.

stationaryordatabiases•Subjective

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♦EquityRiskPremium

>Comparison

EstimatesStrengthWeakness

•Popularmethod;

•Changethroughtimeand

•Reasonablewhenappliedto

needtobeupdated;

GGMdevelopedeconomiesand

•Assumptionofastable

markets;

growthrate.

•Typicallysamplesources.

Supply-Side•Provenmodels;•Onlyappropriatefor

Estimates•Currentinformation;developedcountries;

Survey•Widedisparityfrom

•Easytoobtain

Estimatesdifferentgroups

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♦3.RequiredReturnonEquity

jToestimatetherequiredreturnonequity,theanalystcanchoose

followingmodels

•CAPM最新资料领取微信xuebajun888s

・Multi-factormodels

/Fama-FrenchModel(FFM)

JPastorStambaughmodel(PSM)

/MacroeconomicMultifactormodels

•Build-upmethod

/BondYieldPlusRiskPremiumMethod

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♦RequiredReturnonEquity

>CAPMmodel

Requiredreturnonsharei=Currentexpectedrisk-freereturn

+Pi(Equityriskpremium)

•It'sanequilibriummodelbasedonkeyassumptions

/Investorsareriskaversion;

JInvestorsmakeinvestmentdecisionbaseonthemeanreturnand

varianceofreturnoftheirportfolio.

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♦RequiredReturnonEquity

>CAPMmodel—BetaEstimatesforPublicCompanies

>EstimatingBetaforpubliccompany

•Thechoiceoftheindexusedtorepresentthemarketportfolio:ForUS

equities,theS&P500andNYSECompositehavebeentraditional

choices.

•Thelengthofdataperiodandthefrequencyofobservations

,Thenioslcunimonchoiceisfiveyedrsofmonlhlyddtd,yielding60

observations;

/Twoyearsofweeklyobservationsespeciallyappropriateinfast

growingmarkets.

>AdjustedBetaforPublicCompaniesintroducedbyBlume

•Adjustedbeta=(2/3)(Unadjustedbeta)+(1/3)(1.0);

•Thebetavalueinafutureperiodhasbeenfoundtobeonaverage

closertothemeanvalueof1.0.

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♦RequiredReturnonEquity

>EstimatingBetafortinytradedstockornonpubliccompanies

•Step1:Selectingbenchmarkcompany(comparable);

/Usethepubliccompanies,informationinthesameindustry;

•Step2:Estimatethebenchmark'sbeta(similarwithprevioussection);

•Step3:Unleveredbenchmarksbeta

RB

~』jl一+(D^―/E)HE

•Step4:Leveruptheunleveredbetafortinytradedstockornonpublic

companiesJ用

i+(D/E)

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♦RequiredReturnonEquity

>Multifactormodel

•ThebetainCAPMdoesnotdescribetheriskcompletely.Multifactor

modelsaredeveloptoaccountfortherisksmorecompletely.

RequiredReturn=RF+RP1+RP2+...+RPn

RP尸factorsensitivityxfactorriskpremiumi

•Factorsensitivityorfactorbetaistheasset'ssensitivitytoaparticular

factor(holdingallotherfactorsconstant),andzerosensitivitytoall

otherfactors.

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♦RequiredReturnonEquity

>Multifactormodel

■Fama-FrenchModelVS.Pastor-StambaughModel(PSM)

/NotethedefinitionofRMRFintermsofashort-termrate;

availablehistoricalseriesareintermsofapremiumoverashort­

termgovernmentdebtrate.

RequiredReturn=嵌理+挈x（晋里国展一）

引罢.日及里里里

Small/largecap+胤）现更硬辨-FFM

夸u学智-PSM

理xr地里一)」

High/lowbook-to-market4-替凄程

Low/highliquidity+（_嘤

啜*x春理4

凭;>0,smallcap

速同

缄产>0,value-oriented

鸣’>0,low-liquidity

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♦RequiredReturnonEquity

>Multifactormodel

•TheFFMviewsthesizeandvaluefactorsasrepresentingCproxyingfor")

asetofunderlyingriskfactors.

/Smallmarket-cnpcompaniesmaybesubjecttoriskfactorssuchas

lessreadyaccesstoprivateandpubliccreditmarketsand

competitivedisadvantages.

/Highbook-to-m「rketmayrepresentshareswithdepressedprices

becauseofexposuretofinancialdistress.

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♦Example:Fama-FrenchModel

圜>TheestimatedfactorsensitivitiesofTerraNovaEnergytoFama-French

factorsandtheriskpremiumassociatedwiththosefactorsaregivenin

thetablebelow.最新资料领取微信xuebajun888s

FactorSensitivityRiskPremium(%)

MarketFactor1.204.5

SizeFactor-0.502.7

ValueFactor-0.154.3

1.BasedontheFama-frenchmodel,calculatetherequiredreturnfor

TerraNovaEnergyusingthesesestimates.AssumethattheTreasurebill

rateis4.7percent.

2.DescribetheexpectedstylecharacteristicsofTerraNovabasedonits

factorsensitivities.

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♦Example:Fama-FrenchModel

jQCorrectAnswer:

1.r=4.7%+(1.20x4.5%)+(-0.50x2.7%)+(-0.15x4.3%)=4.7%+5.4%-

1.35%-0.645%=8.1%

2.TerraNovaEnergyappea