Chap018权益估值模型.ppt

1、CHAPTER 18,Equity Valuation Models 权益估值模型,18-2,Valuation: Fundamental Analysis估值：基础分析,Fundamental analysis models a companys value by assessing its current and future profitability.基础分析是指通过公司现在以及未来的盈利状况对公司价值进行建模分析 The purpose of fundamental analysis is to identify mispriced stocks relative to some m

2、easure of “true” value derived from financial data.基础分析的目的是为了找出定价错误的股票，定价错误是相对于某个金融数据计算出来的价值“真值”而言。,18-3,Balance Sheet Models资产平衡表模型 Dividend Discount Models (DDM)股利贴现模型 Price/Earnings Ratios市盈率模型 Free Cash Flow Models自由现金流模型,Models of Equity Valuation权益估值模型,18-4,Valuation by Comparables比较估值,Compare

3、 valuation ratios of firm to industry averages.将公司的某个价值比率与行业的平均值比较 Ratios like price/sales are useful for valuing start-ups that have yet to generate positive earnings.比如价格/销售收入就在评估那些刚创业还没用取得正盈利公司的价值,18-5,Limitations of Book Value账面价值的局限性,Book values are based on historical cost, not actual market v

4、alues.账面价值衡量的是历史成本，而不是实际的市场价值 It is possible, but uncommon, for market value to be less than book value.有可能，但不是经常见，市场价值比账面价值低（前景很悲观的时候） “Floor” or minimum value is the liquidation value per share.底价或最低价是每股清算价值 Tobins q is the ratio of market price to replacement cost.托宾Q是每股股价/重置成本（各类资产的市场现值）,18-6,In

5、trinsic Value vs. Market Price内在价值v.s.市场价格,The return on a stock is composed of dividends and capital gains or losses. 股票回报有股利和资本利得 The expected HPR may be more or less than the required rate of return, based on the stocks risk.期望收益可能比资本资产模型所定义的必要收益率或高或低，反映了公司特有的风险,18-7,Required Return必要收益,CAPM give

6、s the required return, k: If the stock is priced correctly, k should equal expected return.如果证券正确的定价，那么k与期望收益相同 k is the market capitalization rate.它也被称作市场的资本化率（意思是市场所要求的资本基础风险收益率）,18-8,The intrinsic value (IV) is the “true” value, according to a model.根据模型，内在价值是真实价值 The market value (MV) is the con

7、sensus value of all market participants市场价值是市场参与者达成共识的价格 Trading Signal: 买卖信号 IV MV Buy IV MV Sell or Short Sell IV = MV Hold or Fairly Priced,Intrinsic Value and Market Price内在价值和市场价格,18-9,V0 =current value; Dt=dividend at time t; k = required rate of return The DDM says the stock price should equa

8、l the present value of all expected future dividends into perpetuity.其基本原理是资产所产生的现金流折现后的现值和就是资产的现价,Dividend Discount Models (DDM)股利贴现模型（投行常用模型，更复杂）,18-10,Constant Growth DDM股利增长率g固定时的DDM模型,g=dividend growth rate G就是股利增长率，类似永续年金增长公式扣减掉股利的增长率,18-11,No growth case股利不增长的情况 Value a preferred stock paying

9、 a fixed dividend of $2 per share when the discount rate is 8%:固定分红、固定折现率的股票价格为：,Example 18.1 Preferred Stock and the DDM优先股和股利贴现模型,18-12,Example 18.2 Constant Growth DDM固定增长的DDM模型,A stock just paid an annual dividend of $3/share. The dividend is expected to grow at 8% indefinitely, and the market c

10、apitalization rate (from CAPM) is 14%. 给定以下参数后的股票价值：,18-13,DDM Implications内在含义,The constant-growth rate DDM implies that a stocks value will be greater:该模型意味着在下列情形下，股票价格越高： The larger its expected dividend per share.预期的每股股利越高 The lower the market capitalization rate, k.市场资本化率越低 The higher the expec

11、ted growth rate of dividends.预期的股利增长率越高 The stock price is expected to grow at the same rate as dividends.,18-14,g = growth rate in dividends增长速率 ROE = Return on Equity for the firm资产收益率 b = plowback or retention percentage rate (1- dividend payout percentage rate) 盈余再投资率或者是留存收益率、盈余再投资率、是指留存的收益占总收益的

12、比率 每赚取的1美元中有b美元用于增加资产，ROE*b是b美元资产所增加的收益，也就是股利增长率,Estimating Dividend Growth Rates估计股利增长速率,18-15,Figure 18.1 Dividend Growth for Two Earnings Reinvestment Policies两种不同再投资率下的股利增长图示,18-16,Present Value of Growth Opportunities增长机会价值模型,The value of the firm equals the value of the assets already in place

13、, the no-growth value of the firm,如果没有投资机会了，公司价值不再继续增长，公司的价值等于已有的资产价值 Plus the NPV of its future investments,再加上未来投资的净现值 Which is called the present value of growth opportunities or PVGO.就是所谓的增长机会价值模型,18-17,Present Value of Growth Opportunities增长机会现值模型,Price = No-growth value per share + PVGO 没有增长机会

14、的价值+未来投资机会的现值,18-18,Firm reinvests 60% of its earnings in projects with ROE of 10%, capitalization rate is 15%. Expected year-end dividend is $2/share, paid out of earnings of $5/share.公司坚持将盈利的60%再投资于资产净收益10%的项目，期望股利为2元每股，每股盈余5元； g=ROE x b = 10% x .6 = 6%,Example 18.4 Growth Opportunities增长机会的例子,18-

15、19,Example 18.4 Growth Opportunities增长机会,PVGO =Price per share no-growth value per share增长机会价值为股价减去无增长的每股价值,18-20,Life Cycles and Multistage Growth Models生命周期与多阶段增长模型,Expected dividends for Honda: 2010 $.50 2012 $ .83 2011 $.66 2013 $1.00 本田公司的预期股利 Since the dividend payout ratio is 30% and ROE is 1

16、1%, the “steady-state” growth rate is 7.7%. 股利支付率30%，净资产收益11%，稳定阶段的增长率7.7%=11*（1-0.3）=7.7,18-21,Honda Example,Hondas beta is 0.95 and the risk-free rate is 3.5%. If the market risk premium is 8%, then k is:贝塔值0.95，无风险收益3.5%，如果加上市场风险溢价8%，那么： k=3.5% + 0.95(8%) = 11.1% Therefore:,18-22,Honda Example,Fi

17、nally内在价值使用“股利贴现模型” In 2009, one share of Honda Motor Company Stock was worth $23.04. 因此股票价格应该是23.04,18-23,Price-Earnings Ratio and Growth市盈率与增长,The ratio of PVGO to E / k is the ratio of firm value due to growth opportunities to value due to assets already in place (i.e., the no-growth value of the

18、 firm, E / k ). 增长机会的现值、已有资产的现值两部分,18-24,Price-Earnings Ratio and Growth市盈率与增长,When PVGO=0, P0=E1 / k. The stock is valued like a nongrowing perpetuity.这种情况下股票就是不增长的资产 P/E rises dramatically with PVGO.净值增长会很快的推动市盈率上涨 High P/E indicates that the firm has ample growth opportunities.高市盈率说明公司投资增长的机会很大,1

19、8-25,Price-Earnings Ratio and Growth市盈率与增长,P/E increases:市盈率增长 As ROE increases资产收益率增长 As plowback increases, as long as ROEk 只有资产收益率高过必要收益率，b越高市盈率也越高,18-26,Table 18.3 Effect of ROE and Plowback on Growth and the P/E Ratio资产收益率与再投资率对增长率和市盈率的影响,18-27,P/E and Growth Rate市盈率与增长,Wall Street rule of thum

20、b: The growth rate is roughly equal to the P/E ratio.华尔街经验法则：增长率约等于市盈率 “If the P/E ratio of Coca Cola is 15, youd expect the company to be growing at about 15% per year, etc. But if the P/E ratio is less than the growth rate, you may have found yourself a bargain.”若市盈率比增长率低，大概有便宜可占 Quote from Peter

21、Lynch in One Up on Wall Street.,18-28,P/E Ratios and Stock Risk市盈率与股票风险,When risk is higher, k is higher; therefore, P/E is lower.风险越高，必要收益率也越高，那么市盈率也越低,18-29,Pitfalls in P/E Analysis市盈率分析陷阱,Use of accounting earnings会计利润 Earnings Management盈余管理 Choices on GAAP会计准则的选择 Inflation通胀 Reported earnings f

22、luctuate around the business cycle报表中的利润通常会随着商业周期曲线的变换上下波动,18-30,Figure 18.3 P/E Ratios of the S&P 500 Index and Inflation市盈率与通货膨胀,18-31,Figure 18.4 Earnings Growth for Two Companies 两家不同公司的盈利增长,18-32,Figure 18.6 P/E Ratios for Different Industries, 2007不同行业的市盈率,18-33,Other Comparative Value Approaches其他的估值比率,Price-to-book ratio市净率，市值/账面 Price-to-cash-flow ratio股价/现金流 Pric