湖南工业大学《风险投资学》课件-第二章

单元1：股票内含价值单元2：股利折现模型与固定成长股利折现模型单元3：投资机会单元4：多阶段成长模型单元5：市盈率主题二：权益型证券评价2单元1：股票内含价值单元2：股利折现模型与固定成长股利折现模型单元3：投资机会单元4：多阶段成长模型单元5：本益比主题二：权益型证券评价3Models

of

Equity

Valuation4Basic

Types

of

ModelsEstimating

Growth

Rates

and

OpportunitiesFree

Cash

Flow

Models•

Balance

Sheet

Models

(资产负债表模型)•

Dividend

Discount

Models

(股利折现模型)•

Price/Earning

Ratios

(市盈率)5Balance

Sheet

Models

Liquidation

Value

清算价值

•

Floor

of

stock

price

•

Market

price<Liquidation

value

take-over

target

•

合理的情况下，Market

price

≥

Liquidation

value

Replacement

cost

of

the

asset

重置成本

•

Market

price>Replacement

cost

attracting

competitors•

Tobin’sq=

𝑚𝑘𝑡

𝑝𝑟𝑖𝑐𝑒𝑟𝑒𝑝𝑙𝑎𝑐𝑒𝑚𝑒𝑛𝑡

𝑐𝑜𝑠𝑡→1HPR(Holding

period

return)持有期间报酬率6E

r

=𝐸

𝐷1

+

𝐸

𝑃1

−

𝑃0

𝑃0=𝐸(𝐷1)

𝑃0+𝐸𝑃1

−𝑃0

𝑃0

Dividend

yield

Capital

gain

yield

(纯价格变动)Example𝑃0

=

48,𝑃1

=

52,𝐷1

=

4/𝑠ℎ𝑎𝑟𝑒E

r

=𝐸𝐷1

+𝐸𝑃1

−𝑃0

𝑃0=4+(52−48)

48=

16.7%Required

rate

of

return7Example𝐸(𝑟𝑖)=𝑟

𝑓

+

𝛽

𝐸

𝑟

𝑚

−

𝑟

𝑓𝑟

𝑓

=

6%,𝛽

=

1.2,𝐸

𝑟

𝑚

=

11%𝐸(𝑟𝑖)=𝑟

𝑓

+

𝛽

𝐸

𝑟

𝑚

−

𝑟

𝑓

=

6%

+

1.2

×

5%

=

12%HPR

and

RRRTrading

Signal

交易讯号•

Expected

HPR>

Required

rate

of

return,

Buy•

Expected

HPR<

Required

rate

of

return,

Sell

or

Short

Sell•

Expected

HPR=

Required

rate

of

return,

Hold

or

Fairly

PricedIntrinsic

Value

and

Market

PriceIntrinsic

Value

内含价值Market

Price

市场价格Trading

Signal

交易讯号•

Self

assigned

Value•

Variety

of

models

are

used

for

estimation•

Consensus

value

of

all

potential

traders•

Intrinsic

Value

>

Market

Price,

Buy•

Intrinsic

Value

<

Market

Price,

Sell

or

Short

Sell•

Intrinsic

Value

=

Market

Price,

Hold

or

Fairly

Pricedk:consensusd=，HPR=price

appreciation=Intrinsic

value

内含价值𝑉0

=𝐸𝐷1

+𝐸(𝑃1)

1+𝑘value

of

required

rate

of

return

或

市场资本化利率

Example𝑃0

=

50,𝑃1

=

59.77,𝐷1

=

2.15/𝑠ℎ𝑎𝑟𝑒,

E(𝑟

𝑚)

=

14%,

𝑟

𝑓

=

6%,𝛽

=

1.152.15

50，9.7711.92

50

50=

23.84%Required

rate

of

return=6%+1.15

x

8%

=

15.2%

<

HPR=

23.84%

(𝑎𝑑𝑑

𝑚𝑜𝑟𝑒)intrinsic

value=2.15+59.77

1+15.2%=

53.75

>

𝑃0

=

50

(𝑎𝑑𝑑

𝑚𝑜𝑟𝑒)

<𝑃0Intrinsic

value

>𝑃0

=𝑃0overpriced,sellunderpriced

,

add

morehold单元1：股票内含价值单元2：股利折现模型与固定成长股利折现模型单元3：投资机会单元4：多阶段成长模型单元5：本益比主题二：权益型证券评价11DtDividend

Discount

Models:

General

Modelt𝑉0

=

𝐷11+𝐾+

𝐷2(1+𝐾)2+⋯⋯+𝐷𝐻+𝑃𝐻

1+𝐾

𝐻=

𝐷𝑡

(1+𝐾)𝑡注：并不是忽略capital

gain，而是capital

gain都反映在预期的股利上。Dividend

Discount

Models:

General

Model

(假设可用intrinsic

value

卖掉股票，即𝑃1

=

𝑉

1)𝑉

1

=$2………………..

𝐷2

+

𝑃2

1

+

𝐾1𝑉0

=𝐷1

+

𝑃1

1

+

𝐾

0

⋯=同乘=

𝐾−

𝑔

(𝐺𝑜𝑙𝑑𝑒𝑛

𝑚𝑜𝑑𝑒𝑙,𝐾

>

𝑔)Dividend

Discount

Models:

Gordon

Model证明：𝐷1

=

𝐷0

1

+

𝑔

,𝐷2

=

𝐷0(1

+

𝑔)2因为𝑬(𝑫𝒕)每期都要预期太麻烦，因此，简化成受单一参数g影响。𝑉0

=

𝐷11+𝐾+

𝐷2(1+𝐾)2+𝐷0(1+𝑔)

1+𝐾+𝐷0(1+𝑔)2

(1+𝐾)2+⋯(1)1+𝑔1+𝐾→1+𝑔1+𝐾𝑉0

=𝐷0(1+𝑔)2

(1+𝐾)2+⋯(2)(1)-(2)(1

−1+𝑔1+𝐾)𝑉0=𝐷0(1+𝑔)

1+𝐾→

𝑉0

=𝐷0(1+𝑔)

𝐾−𝑔D1𝑉

1

=$2………………𝐷2

+

𝑃2

1

+

𝐾

1𝑉0

=𝐷1

+

𝑃1

1

+

𝐾

0Constant

Growth

Model

(Gordon

Model)

g

=

constant

perpetual

growth

rateNote:

k>gNo

Growth

Model•

Stocks

that

have

earnings(盈余E)

and

dividends(股利D)

that

are

expected

to

remain

constant.•

g

=0表示保留盈余比率=0盈余全发放做股利，盈余E=股利D•

优先股D

kVo

DDM

implication(1)当E(𝐷1)

↑、K↓、g

↑，股票内在价值↑(2)Stock

price

is

expected

to

grow

at

the

same

rate

as

dividends.𝑃1

=

𝑃0(1

+

𝑔)假设可以内含价值出售股票𝑃0

=

𝑉0

=

𝐷1𝐾−𝑔,

𝑃1

=

𝑉

1

=

𝐷2𝐾−𝑔=𝐷1(1+𝑔)

𝐾−𝑔=

𝑃0

1

+

𝑔在Gordon

model之下，K亦可由观察DDM

implication(3)若可以内含价值出售股票，则K=𝐷1𝑃0+

𝑔，discount

cash

flow

formula(DCF)𝐷1𝑃0+

𝑔,required

rate

of

return

=

HPR,K=E(r)=(证明)因为

E(r)=𝐷1𝑃0+𝑃1−𝑃0

𝑃0=𝐷1𝑃0+

𝑔又𝑃0

=

𝑉0

=

𝐷1𝐾−𝑔∴E

r

=K−g+g=K𝐷1𝑃0与估计g得出例题优先股和股利贴现模型a.假设某种优先股的固定股利为每股2美元，贴现率为8%，则该优先股的股价为？b.HF公司刚刚派发了每股3美元的年度股利，预期股利将以8%的固定增长率增长，无风险利率为6%，市场风险溢价为8%，该股票内在价值为多少？当你认为该公司股票风险更高，该公司股票的β值应为1.25，那么你估计该公司股票的内在价值是多少？3.假如你将持有一只普通股1年，你期望获得1.5美元/股的股息并能在期末以26美元/股的价格卖出，如果你的预期收益率是15%，那么在期初你愿意支付的最高价格是多少？单元1：股票内含价值单元2：股利折现模型与固定成长股利折现模型单元3：投资机会单元4：多阶段成长模型单元5：本益比主题二：权益型证券评价19Estimating

Dividend

Growth

Ratesg

=

growth

rate

in

dividends股利成长率ROE

=

Return

on

Equity

for

the

firm权益报酬率b

=

plowback

or

retention

percentage

rate保留盈余率(1-

dividend

payout

percentage

rate)ROE有两个用途：(1)

Dividend

payout

ratio:1-b(2)

Plowback

ratio(earnings

retention

ratio):bK=12.5%，𝑉0

=

𝑃0

=

𝐾

=

12.5%

=

40𝑃0

=𝐷1

𝐸1(1

−

𝑏)

5

×

0.4𝐾

−

𝑔12.5%

−

9%3.5%Estimating

Dividend

Growth

Ratesg==×=

𝑏

×

𝑅𝑂𝐸要成长，就要再投资ExampleCase

1:

假设盈余全发放股利，𝑬𝟏

=

𝟓𝐸1

=

𝐷1

=

5

→

𝑏

=

0

∴

𝑔

=

R

×

𝑏

=

0𝐷

5Case

2:

plowback

ratio:0.6𝑔

=

𝑅𝑂𝐸

×

𝑏

=

15%

×

0.6

=

9%

=

=

=

57.14注：减少payout

ratio，股价不一定下降，但只要可以找到好的再投资机会(ROE>K)用于再投资的收益账面价值用于再投资的收益总收益总收益账面价值

PVGOGrowth

&

No

Growth

Components

of

ValueE1

k

Vo

Vo

=

value

with

growthE1

=

Earnings

Per

Share

for

period

1PVGO

=

Present

Value

of

Growth

Opportunities

ExampleCase

1:ROE

=

15%

d

=

40%

b

=

60%

E1

=

$5.00

D1

=

$2.00

k

=

12.5%,g

=

0.15

x

0.60

=

0.09Vo

NGVo

=

no

growth

component

value

PVGOGrowth

&

No

Growth

Components

of

ValueE1

kE1

k

Vo

Vo

=

value

with

growthE1

=

Earnings

Per

Share

for

period

1PVGO

=

Present

Value

of

Growth

Opportunities

ExampleCase

2:尽管公司的市场资本化率为15%，但TT公司的管理层坚持把盈利的60%再投资于净投资收益率仅为10%的投资项目，该公司年末派发的股利为每股2美元，公司的每股盈利为5美元，股票的价格应为多少？增长机会又为多少？为什么该公司会成为其他公司的收购目标

PVGOPVGO

Growth

&

No

Growth

Components

of

ValueE1

kE1

k

Vo

Vo

=

value

with

growthE1

=

Earnings

Per

Share

for

period

1PVGO

=

Present

Value

of

Growth

Opportunities•

ROE>k

PVGO>0;•

ROE<k

PVGO<0•

当PVGO<0，易成为被接管的对象，因为可用

22.22买来，藉由不要投资(全发股利)，便可使股价

上升至33.33概念检查1a.假设某公司的盈余再投资率为60%，净资产收益率为20%，当前的每股收益E1为5美元，k为12.5%，计算该公司的股价b.若该公司的净资产收益率小于市场资本化率，为10%，股价应为多少？将该公司股价与有相同ROE和E1但盈余再投资率为0的公司的股价作比较。2预期F公司的股息增长率是5%，a预期今年年底的股息是8美元/股，资本化率为10%，请根据DDM模型计算其内在价值？b预期每股盈利12美元，求股东权益收益率c市场为公司的成长而支付的成本为多少？单元1：股票内含价值单元2：股利折现模型与固定成长股利折现模型单元3：投资机会单元4：多阶段成长模型单元5：本益比主题二：权益型证券评价25Price

Estimation

D1k

gLife

Cycles

and

Multistage

Growth

Models20092010201120122013D2010

0.5

D2011

0.66

D2012

0.83

ExampleThe

expected

dividends

from

2010

to

2013

are

$0.50,

$0.66,

$0.83,

and

$1.00,respectively.

Dividend

payout

ratio

is

30%

and

ROE

is

11%,

the

“steady-state”

growthrate

is

7.7%.

Honda’s

beta

is

0.95,

the

risk-free

rate

is

3.5%

and

the

market

riskpremium

is

8%.k=3.5%

+

0.95(8%)

=

11.1%

$31.68

$1

1.077

0.111

0.077

D2013

1

g

k

gD2014k

gP

2013D2013

1

g=7.7%

1.111

1.1111.1111.111Life

Cycles

and

Multistage

Growth

Models20092010201120122013D2010

0.5

D2011

0.66

D2012

0.83

ExampleThe

expected

dividends

from

2010

to

2013

are

$0.50,

$0.66,

$0.83,

and

$1.00,respectively.

Dividend

payout

ratio

is

30%

and

ROE

is

11%,

the

“steady-state”

growthrate

is

7.7%.

Honda’s

beta

is

0.95,

the

risk-free

rate

is

3.5%

and

the

market

riskpremium

is

8%.k=3.5%

+

0.95(8%)

=

11.1%$0.50

$0.66$0.83

32

23.04$1

$31.68

4

V2009D2013

1

g=7.7%

P

2013

$31.68概念检查题假设本田公司2013年到2016年的股利预测值如下表所示:预计本田公司的股利支付率为0.25，净资产增长率为10%，那么预计本田公司2012年的股票价值？其β值为0.95，2012年年末长期国债的无风险利率约为2.0%，假设风险溢价与历史持平，为8%。2013年0.78美元2015年0.92美元2014年0.85美元2016年1.00美元单元1：股票内含价值单元2：股利折现模型与固定成长股利折现模型单元3：投资机会单元4：多阶段成长模型单元5：市盈率主题二：权益型证券评价29Price

Earnings

Ratios

本益比•

P/E

Ratios

are

a

function

of

two

factors•

Required

rates

of

return

(k)•

Expected

growth

in

dividends•

Uses•

Relative

valuation•

Extensive

use

in

industryP/E

Ratio

with

Constant

Growth

P/E

ratio

(市盈率):

每股赚1块盈余，市场愿意为这1块盈余付出多少价格P/E

Ratio:

No

Expected

GrowthE1

:

expected

earnings

for

next

year,

E1

is

equal

toD1

under

no

growth.k

:

required

rate

of

return1k

ExampleE0

=

$2.50

g

=

0

k

=

12.5%P0

=

D/k

=

$2.50/0.125

=

$20.00P/E

=

1/k

=

1/0.125

=

8𝐸𝑛𝑜

𝑔𝑟𝑜𝑤𝑡ℎ<P/E

Ratio

with

Constant

Growth

Exampleb

=

60%,

ROE=

15%,

(1-b)=

40%E1=

$2.50

(1

+

(0.6)(0.15))

=

$2.73D1

=

$2.73

(1-0.6)

=

$1.09k

=

12.5%

g

=

9%P0

=

1.09/(0.125-0.09)

=

$31.14P/E

=

31.14/2.73

=

11.4P/E

=

(1

-

0.60)

/

(0.125

-

0.09)

=

11.4

𝑃

𝑃

𝐸𝑔𝑟𝑜𝑤𝑡ℎ反映未来成长机会预期+PVGO•

𝑃0

=P/E

Ratio

with

Constant

Growth𝐸1

𝐾𝑃0𝐸1=

1𝐾+𝑃𝑉𝐺𝑂

𝐸1=

1𝐾[1+𝑃𝑉𝐺𝑂

𝐸1

𝐾]•

当PVGO=0𝑃0

=𝐸1

𝐾𝑃0𝐸1=

1𝐾成分(1)与成分(2)的比重：𝑃𝑉𝐺𝑂

𝐸1/

𝐾公司价值当成分(1)PVGO

dominates

则𝑃0𝐸1高

(∴𝑃0𝐸1高，代表有高成长的机会)成分(2)

成分(1)成分(1)：growth

opportunity，未来成长机会带来的价值成分(2)：assets

in

place，现有资产创造出来的价值𝜕(

𝐸

0)>0𝐾(1−

K

×𝑏)Implications

of

P/E

Ratio𝐷1

=

𝐸1

×

1

−

𝑏

,𝑔

=

𝑅𝑂𝐸

×

𝑏∴

𝑃0

=

𝐸1

×

1

−

𝑏𝐾

−

𝑅𝑂𝐸

×

𝑏𝑃0𝐸1=

1

−

𝑏𝐾

−

𝑅𝑂𝐸

×

𝑏(1)ROE上升𝑃𝐸上升：表示有好的成长机会，可以去把握(2)b上升𝑃𝐸上升(前提ROE>K)(法一)

𝑃𝜕𝑏>0→−1

𝐾−𝑅𝑂𝐸×𝑏

−(1−𝑏)(−𝑅𝑂𝐸)

(𝐾−𝑅𝑂𝐸×𝑏)2ROE>K(法二)𝑃0𝐸1=1−𝑏

ROE如果

𝑅𝑂𝐸

>

𝐾

则

b上升𝑃0𝐸1上升Implications

of

P/E

Ratio𝐷1

=

𝐸1

×

1

−

𝑏

,𝑔

=

𝑅𝑂𝐸

×

𝑏∴

𝑃0

=

𝐸1

×

1

−

𝑏𝐾

−

𝑅𝑂𝐸

×

𝑏𝑃0𝐸1=

1

−

𝑏𝐾

−

𝑅𝑂𝐸

×

𝑏(3)若ROE>K，b上升，则𝑝/𝐸上升，有好的投资机会，保留越多，市场评价越高。若ROE<K，b上升，则𝑝/

𝐸下降，投资机会不佳，宁愿发股利。

𝑃0

=

𝐾−

𝑔

=

0.1−0.03

=

21.429,𝑃0

=

0.1−0.048

=

23.077,Implications

of

P/E

Ratio

ExampleROE

=

0.12,𝐸1

=

2,𝐷1

=

1.5,𝐾

=

0.10(𝑅𝑂𝐸

>

𝐾)Case

1:𝐷1

=

𝐸1

×

1

−

𝑏

→

1.5

=

2

×

1

−

𝑏

,𝑏

=

0.25𝑔

=

𝑅𝑂𝐸

×

𝑏

=

0.12

×

0.25

=

0.03𝐷

1.5𝑃0𝐸1=21.429

2=

10.714Case

2:若b=0.4(b上升)，

𝐷1=𝐸1

×

1

−

𝑏

=

2

×

0.6

=

1.2,𝑔

=

𝑅𝑂𝐸

×

𝑏

=

0.12

×

0.4

=

0.048,12𝑃0𝐸1=23.077

2=

11.538

(上升)=，K上升表示风险大，所以P/E下降。但很多小型初创公司风险大，P/E

vs.

stock

risk𝑃1−𝑏𝐸

𝐾−𝑔却有高P/E，是因为此时公司通常g也大。其他条件相同之下，风险大的公司，P/E

会较低。Pitfalls

in

P/E

Analysis•

Use

of

accounting

earnings•

Historical

costs•

May

not

reflect

economic

earnings•

Earnings

management:

pro

forma

earning•

Reported

earnings

fluctuate

around

thebusiness

cycle.《彼得林奇的成功成功投资》对于任何一家公平定价的公司而言，市盈率都应该等于增长率，在这里我所说的是收益增长率........若可口可乐公司的市盈率为15，那么你预期公司将以每年15%的速度增长，但若市盈率低于增长率，你可能发现了一个很好的投资机会。练习1（）等于公司普通股的总市场价值除以公司资产扣除负债后的重置成本。A每股账面价值B每股清算价值C每股市场价值D托宾Q2其他条件不变，高市盈率意味着公司将（）A快速增长B与其他公司平均增长水平相同C增长较慢D不增长3.（）被定义为股票能为投资者带来的现金回报的现值A股利支付率B内在价值C市场资本化率D盈余再投资率4.戈登模型()A是一个不断增长的永续年金计算公式的概括B只有当g小于k时才有效C只有当k小于g时才有效D是一个不断增长的永续年金计算公式的概括，只有当g小于k时才有效E是一个不断增长的永续年金计算公式的概括，只有当k小于g时才有效5.从历史上看（）A高通货膨胀时，市盈率较高B高通货膨胀时，市盈率较低C无关，与其他宏观经济变量有关D与宏观经济变量无关5.（）是指公司破产后，变卖资产，清偿负债后余下的可向股东分配的每一普通股享有的价值。A每股账面价值B每股清算价值C每股市场价值D托宾Q6用以下信息回答问题

PE公司在资产负债表中列示的资产是8500万美元，负债是4000万美元，普通股权益是4500万美元，发行在外的普通股数量是1400000股，资产的重置成本是11500万美元，每股市场价格是90美元aPE公司的每股账面价值是多少？A1.68美元B2.6美元C32.14美元D60.71美元b预测股票市场整