《金融学》（第二版） 课件 （英文） -Chapter07 Principles of Market Valuation

Chapter7:

Principlesof MarketValuationObjectiveExplaintheprinciplesofassetevaluation1Chapter7Contents7.1Therelationshipbetweenanasset’svalue&itsprice7.2Valuemaximization&financialdecisions7.3Thelawofoneprice&arbitrage7.4Arbitrage&thelawofoneprice7.5Interestrates&thelawofoneprice7.6Exchangerates&triangulararbitrage7.7Valuationusingcomparables7.8ValuationModels7.9Accountingmeasuresofvalue7.10Howinformationisreflectedinsecurityprices7.11Theefficientmarketshypothesis2IntroductionRecallthatthethreepillarsoffinancearetimevalueofmoneyriskmanagementassetvaluationManyfinancialdecisionsare,inessence,thedeterminationofanasset’svalue3Introduction(Continued)ThekeytoassetvaluationiscomparisonoftheassettobevaluedwithasetofassetswithsimilarcharacteristicsandknownvaluesBythelawofoneprice,thepriceofallequivalentassetsmustbethesame47.1RelationshipbetweenAsset’sValueandItsPriceDefinition:Anasset’sfundamentalvalueisthepricewellinformedinvestorsmustpaytopurchaseitinafreeandcompetitivemarket5RelationshipbetweenAssetValueandPriceTherecanexisttemporarydifferencesbetweenthemarketpriceofanassetanditsfundamentalvalueSecurityanalystsmaketheirlivingbydiscoveringtheseaberrationsManywell-informedprofessionalsarelookingfortheseaberrations.Areasonableinitialassumptionisthataberrationsaresmall67.2ValueMaximizationandFinancialDecisionsFinancialdecisionscanbemaderationallypurelyonthebasisofvaluemaximization,andwithoutregardtoriskpreferencesandexpectationsMarketsforfinancialassetsprovidetheinformationneededtochoosebetweensomealternatives77.3TheLawofOnePriceandArbitrageLawofOnePrice:Inacompetitivemarket,iftwoassetsareequivalent,theywilltendtohavethesameprice8TheLawofOnePriceandArbitrageThelawofonepriceisenforcedbyaprocesscalledarbitrageArbitrageisthepurchasingofasetofassets,andimmediatesaleofanothersetofassets,insuchawayastoearnasureprofitfrompricedifferences9TheLawofOnePriceandArbitrageArbitrageursengageinthebusinessoftradingsimilarassetswithapricedifferentialthatcannotbejustifiedbytransaction-andtransformation-costsExample:Goldinanytwopartsofthecountryshouldnotdifferbymorethanthetransactioncostsofmovingit107.4ArbitrageandthePricesofFinancialAssetsArbitragingbyshippingaphysicalcommodity(gold)involveshighertransactioncoststhanarbitragingfinancialassets(sharesofstock)Weexpectthesamefinancialcommoditytradingontwomarketstobepricedveryclosely11ArbitrageandthePricesofFinancialAssetsTheruleofonepriceisthemostfundamentalvaluationprincipleinfinance.Iftwoverysimilarsecuritiestradeatsignificantlydifferentprices,wefirstsuspectInterferencewithnormalmarketoperationSomeunrecognizeddifferencebetweenthetwoassets12ArbitrageandthePricesofFinancialAssetsNotwonon-identicalassetsareexactlyalike,andtheremaybeoccasionswhentwosimilarassetstradeatdifferentpricesDollarbillswithcertainserialnumbersareveryvaluabletoplayersofliar’spokerNotevenadollarisalwaysworthadollar!137.5InterestRatesandtheLawofOnePriceIftwoorganizationswithsimilarcreditworthinessissuebondswithsimilarterms,thentheirinterestrateswillbesimilarTakecaretoensurethattherearenosubtledifferencesinthetaxstatusofthebondsthevalueofcollateralorbackingofthebonds147.6ExchangeRatesandTriangularArbitrageThelawofonepricealsoappliestoforeignexchangemarketsIfthreecurrenciesarefreelyconvertibleincompetitivemarkets,thenitisenoughknowanytwoexchangeratestocomputethethirdexchangerate15TriangularArbitrageUSAJapanUK¥100/$or$0.01/¥£0.005/¥or¥200/£$2/£or£0.5/$16TriangularArbitrageEverycountryhasitsownconventionsforexpressingexchangeratesTradersintheU.K.expressexchangeratesasforeigncurrencyperpoundTradersintheU.S.A.expressexchangeratesasdollarsperunitofforeigncurrencyInthecaseof$/£exchangerates,dealersinbothcountriesusethesamerate,say2$/£17TriangularArbitrageIfweselecttheformoftheratecorrectly,weobtaintherelationshipR£/¥=R£/$*R$/¥Undertheconditionsspecified,thisequilibriumrelationshipmusthold(orarisk-free,almostcost-less,arbitragewillimmediatelyreestablishtheequilibrium)18TriangularArbitrageMoregenerallyRA/C=RA/B*RB/CRA/B=1/RB/A19TriangularArbitrageMorespecifically,intheexampleR£/¥=R£/$*R$/¥=0.5*0.01=0.005R¥/£=1/R£/¥=1/0.005=200Theothertwopairfollowthesameform20TriangularArbitrageIfthisrelationshipweretofailsignificantly,thentraderswouldprofitbyimmediatelymovinglargesumsofmoneyroundthediagramclockwiseoranti-clockwiseCurrencytradersmayborrowlargeamountsofmoneyatclosetogovernmentratesAberrationshaveonlyfleetingexistences217.7ValuationUsingComparablesSomeassetsarenottraded,orareonlytradedinfrequently,butwestillneedtoevaluatethemThelawofonepricemaybeusedtoevaluateassets,evenwhenarbitragecannotbeusedtoenforcethelaw22ValuationUsingComparablesTwocasesaworkofartinanestatethatneedstobeevaluatedforcomputationofestatetaxesahomethatneedstobeevaluatedtoensurethefairnessofpropertytaxes23ValuationUsingComparablesToevaluatethenon-tradingasset,onefindscomparablepricesoftradedassetsItisusefultothinkofassetpricesinafeature-timeframeworkSimilarassetshavepricesthattendtomoveupanddowntogetherintimeAtaparticulartime,differencesinassetpricesarelargelyaccountableintermsofdifferencesinfeatures24ValuationUsingComparablesToevaluateaworkofart,itisnecessarytofindassetsthatare“close”infeature-timespaceThecloserthefeaturesmatch,thelongerthedatacollectionperiodmaybeTheclosertothepresenttimeanassetwassold,themorediversethefeaturesmaybeBothkindsof“closeness”areneeded25PastFeatureDifferentialOldsaleofthisworkRecentsaleofunrelatedworkRecentwell-matchedsale26ValuationUsingComparablesIntheabovediagram,theblackstarsindicateusablepriceexemplars,andthepinkstarsindicatepoorexemplarsThevariable“feature”isaaggregateofmanyfactors,someobjective,somesubjective27ValuationUsingComparablesExampleCollectpricesandfeaturedifferentialsforartbythesameartist:10-yearsartofthesamequality:5-yearsartfromthesameschool:5-yearsbroadlysimilarart:2-years28ValuationUsingComparablesFromthisinformationyoucandeterminepricetrendsinthegeneralartmarketobtaintrend-adjustedbenchmarkpricesgainanunderstandingofhowtoadjustthebenchmarkforfeaturedifferences297.8ValuationModelsAvaluationmodelisaquantitativemethodusedforestimatinganasset’svaluefromknownpricesofotherassetsthatarenotitsexactequivalentThevaluationmodelemployedmaydependonthepurposeoftheevaluationtraditionalshareholderv.take-overspecialist30StockEvaluationusingP/EsTheprice-over-earningsratiosofsimilarcompaniesaredeterminedBasedonthese,anestimateismadeofthep/eratioofthenon-pricedfirmTheearningsofthefirmaremultipliedbythisp/eratiotoobtainanevaluation31StockEvaluationusingP/EsTheaccuracyofthismethoddependsontheappropriatenessoftheexemplarfirmsFutureprofitability,accountingmethods,leverage,technology,andahostofotherfactors,willaffecttheexemplars’p/eratios32ValuationModelRefinementYouareasecurityanalystforanassetYouhavedevelopedavaluationmodelyoubelieveissuperiortovaluationmodelsusedbyothertradersAssumingthesuperiormodelremainsproprietary,itmaybedifficulttoexploitit33ValuationModelRefinementWhenamarketisdrivenbyavaluationmodel,usingasuperiormodelmayleadtoinferiortradingperformancearbitragestrategiescreatedusingthe“superiormodel”aresometimeslesseffectivethanthoseofthestandardmodelwhenusingasuperiorproprietymodel,youneedtobeselectiveaboutwhentoemployit34P/ERatioandSmallBusinessesYoualreadyhaveenoughtheoreticalknowledgetopriceasmallbusinesscorrectlyusingNPVTraditionally,smallbusinesseswerepricedusingP/Es(sub-optimalmodel)Thisleadstopriceaberrationsfromwhichyoucanstillbenefit(useNPV)35TaxCheatsSomesmallbars,restaurants,hairdressers,andothercashbusinessescheattheIRSbykeepingtwosetsofbooksAssumingap/eratioof8,suchabusinesswilllose$8forevery$1/yearcheatedwhenitcomestosellingthebusinessSuchbusinessesare“dressedforsale”acoupleofyearspriortotheplannedsale367.9AccountingMeasuresofValueOwner’sequityisnotanaccurateindicatorofthefirm’smarketvalueAssetsandliabilitiesarenotmarketpricedmarkingthebalancesheettomarkethelpsIntangiblesareunder-includedafirmisagoingconcern,notjustitsphysicalassetsandliabilities377.10HowInformationisreflectedinSecurityPricesSometimesastockpricewillrisesharplywiththereleaseofinformationAnimportantdrughasachievedanimportantsteponitsroadtobeingmarketedPoortradingresultsareannounced,buttheyarebetterthanthoseanticipatedbytradersAnunanticipatedpositiveFedannouncement38HowInformationisreflectedinSecurityPricesMarkettradersformprobabilitydistributionsofkeystock-pricedeterminants(Example,salesrevenue)Whenthesedistributionschangetoassimilatenewinformation,thestockmarketreacts,andthepricechangesThisleadstotheefficientmarkethypothesis397.11EfficientMarketHypothesisTheefficientmarkethypothesisstatesanasset’scurrentpricereflectsallpubliclyavailableinformationaboutfutureeconomicfundamentalsaffectingmarketprice40EfficientMarketHypothesisThemechanismleadingtotheefficientmark