Chap018权益估值模型

Valuation: Fundamental Analysis 估值：基础分析
18-2
• Fundamental analysis models a company’s 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 measure 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。
CHAPTER 18
Equity Valuation Models
权益估值模型
INVESTMENTS | BODIE, KANE, MARCUS
McGraw-Hill/Irwin Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
INVESTMENTS | BODIE, KANE, MARCUS
18-11
Example 18.1 Preferred Stock and the DDM优先股和股利贴现模型
• No growth case股利不增长的情况 • Value a preferred stock paying 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：
$2 Vo $25 0.08 0
INVESTMENTS | BODIE, KANE, MARCUS
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 capitalization rate (from CAPM) is 14%. • 给定以下参数后的股票价值：
INVESTMENTS | BODIE, KANE, MARCUS
18-3
Models of Equity Valuation 权益估值模型
• 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
金流折现后的现值和就是资产的现价
INVESTMENTS | BODIE, KANE, MARCUS
18-10
Constant Growth DDM 股利增长率g固定时的DDM模型
D0 1 g D1 V0 kg kg
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
18-8
Trading Signal: 买卖信号 IV > MV Buy IV < MV Sell or Short Sell IV = MV Hold or Fairly Priced
INVESTMENTS | BODIE, KANE, MARCUS
18-9
Dividend Discount Models (DDM)
INVESTMENTS | BODIE, KANE, MARCUS
Intrinsic Value and Market Price 内在价值和市场价格
• 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 consensus value of all market participants市场价值是市场参与者达成 共识的价格
18-5
INVESTMENTS | BODIE, KANE, MARCUS
18-6
Intrinsic 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 E ( D1 ) E ( P 1) P 0 Expected HPR= E (r ) P0
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
INVESTMENTS | BODIE, KANE, MARCUS
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

• The expected HPR may be more or less than the required rate of return, based on the stock’s 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
INVESTMENTS | BODIE, KANE, MARCUS
18-15
INVESTMENTS | BODIE, KANE, MARCUS
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, the nogrowth 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
INVESTMENTS | BODIE, KANE, MARCUS
18-4
Valuation by Comparables比较估值
• Compare 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
D1 $3.24 V0 $54 k g .14 .08
INVESTMENTS | BODIE, KANE, MARCUS
18-13
DDM Implications内在含义
• The constant-growth rate DDM implies that a stock’s value will be greater:该模型意味着在下列情形下，股 票价格越高： 1. The larger its expected dividend per share.预期的每 股股利越高 2. The lower the market capitalization rate, k.市场资本
INVESTMENTS | BODIE, KANE, MARCUS
18-18
Example 18.4 Growth Opportunities 增长机会的例子
• 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%
18-7
Required Return必要收益
• CAPM gives the required return, k:
k rf E ( r ) r M f
• 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）
INVESTMENTS | BODIE, KANE, MARCUS
Limitations of Book Value 账面价值的局限性
• Book values are based on historical cost, not actual market values.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 • Tobin’s q is the ratio of market price to replacement cost.托宾Q是每股股价/重置型，更复杂）
D3 D1 D2 V0 ... 2 3 1 k 1 k 1 k
• V0 =current value; Dt=dividend at time t; k = required rate of return • The DDM says the stock price should equal the present value of all expected future dividends into perpetuity.其基本原理是资产所产生的现
18-14
Estimating Dividend Growth Rates 估计股利增长速率
g ROE x b
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)
化率越低
3. The higher the expected 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.
INVESTMENTS | BODIE, KANE, MARCUS
INVESTMENTS | BODIE, KANE, MARCUS
18-17
Present Value of Growth Opportunities 增长机会现值模型
• Price = No-growth value per share + PVGO 没有增长机会的价值+未来投资 机会的现值
E1 P0 PVGO k