INVESTMENTS 投资学 Chap018 Equity Valuation Models

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2019年-INVESTMENTS 投资学 (博迪BODIE, KANE, MARCUS)Chap018 Equity Valuation Models-PPT精选文档

• g=ROE x b = 10% x .6 = 6%
P0 .1$52.06$22.22
INVESTMENTS | BODIE, KANE, MARCUS
Example 18.4 Growth Opportunities
$2 P0 .15.06$22.22
• PVGO =Price per share – no-growth value per share
• 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.
P 0
• The expected HPR may be more or less than the required rate of return, based on the stock’s risk.
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Required Return
INVESTMENTS | BODIE, KANE, MARCUS
Intrinsic Value and Market Price
• The intrinsic value (IV) is the “true” value, according to a model.
• The market value (MV) is the consensus value of all market participants
dividends. • The stock price is expected to grow at the

INVESTMENTS 投资学 Chap018 Equity Valuation Models

P 0
• The expected HPR may be more or less than the required rate of return, based on the stock’s risk.
INVESTMENTS | BODIE, KANE, MARCUS
Required Return
Intrinsic Value vs. Market Price
• The return on a stock is composed of dividends and capital gains or losses.
E x p e c te d H P R = E (r) E (D 1 ) E (P 1 ) P 0
Figure 18.1 Dividend Growth for Two Earnings Reinvestment Policies
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Present Value of Growth Opportunities
• The value of the firm equals the value of the assets already in place, the nogrowth value of the firm,
INVESTMENTS | BODIE, KANE, MARCUS
Intrinsic Value and Market Price
• The intrinsic value (IV) is the “true” value, according to a model.
• The market value (MV) is the consensus value of all market participants

投资学博迪 Chap001

1.2 金融资产
• 实物资产（Real assets）：创造收入的资产，为经济创造利润，且一旦拥有就可以直接提供服务。代表一个经济的生产能力，决定一个社会的财富。 • 金融资产（Financial assets）：实物资产的要求权，定义实物资产在投资者之间的配置。
– 金融资产的价值与其物质形态没有任何关系：债券可能并不比印制债券的纸张更值钱。 – 整个社会财富的总量与金融资产数量无关，金融资产不是社会财富的代表。
• 点金术？ • 超能英雄 • Bob
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投资具有复杂性
• 投资是一门科学，也是一种艺术，是一件知难行易的事. • 如果只碰运气，却是难以成功的。 • 投资必须要有策略和方法，加上果断的决策与好运，才能成功。
�� 更好地认识和理解市场一种理性的思维方式只有理解了市场�� 才可能利用市场
INVESTMENTS | BODIE, KANE, MARCUS
1.1 投资
• 西方经济学中的投资
– �� 狭义的投资，金融学意义上的投资。具体投资对象为政府公债、公司股票、公司债券以及期权、期货等。 – �� 广义的投资，以获利为目的的资本使用，其形式为收益或增值。凡是购买证券、运用资本添加机器设备、建筑物、原材料等活动均为投资。
INVESTMENTS | BODIE, KANE, MARCUS
投资学研究的对象
• 在微观层面上
– �� 投资学研究如何把个人、机构的有限财富或者资源分配到诸如股票、国库券、不动产等各种（金融）资产上，以获得合理的现金流量和风险/收益特征。

投资学之投资概论(ppt 34页)

2019/12/27 青岛大学经济学院
张宗强
31
Figure 1.3 Building Creates a Complex Security
2019/12/27 青岛大学经济学院
张宗强
32
1.8 全书大纲
Part One: 简述金融市场、金融工具、证券交易与基金投资。
Part Two & Three: 现代组合理论的核心内容。风险与收益的刻画、投资者效用与组合优化；资本市场均衡(CAPM、index model、APT)。
金融资产（Financial assets）：实物资产的要求权（ Claims on real assets ），定义实物资产在投资者之间的配置。
金融资产的价值与其物质形态没有任何关系：股票可能并不比印制股票的纸张更值钱。
整个社会财富的总量与金融资产数量无关，金融资产不是社会财富的代表。
2019/12/27 青岛大学经济学院
张宗强
6
投资学课程的基本框架
三大内容：金融工具与金融市场、投资理论、证券投资分析实务。
金融工具与金融市场：基础性金融工具与衍生工具、交易所、中间商、价格决定过程以及市场微观结构等。
投资理论：证券的风险与收益、组合投资理论、CAPM理论、APT、股票理论、债券理论、期权定价模型等。
Part Four- Six: 证券分析与估值(债券、股票、衍生品)。
Part Seven: 积极投资介绍。
2019/12/27 青岛大学经济学院
张宗强
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1.4 小结
什么是投资实物资产与金融资产家庭、企业与政府金融中介金融环境的发展趋势
2019/12/27 青岛大学经济学院

投资学英文第7TestBank答案chap018

Chapter18EquityValuationModelsMultipleChoiceQuestions________isequaltothetotalmarketvalueofthefirm'scommonstockdividedby(thereplacementcostofthefirm'sass etslessliabilities).BookvaluepershareLiquidationvaluepershareMarketvaluepershareTobin'sQNoneoftheabove.Answer:D Difficulty:EasyRationale:Bookvaluepershareisassetsminusliabilitiesdividedbynumberofshares.Liquidationvaluepershareisthe amountashareholderwouldreceiveintheeventofbankruptcy.Marketvaluepershareisthemarketpriceofthestock. HighP/Eratiostendtoindicatethatacompanywill_______,ceterisparibus.growquicklygrowatthesamespeedastheaveragecompanygrowslowlynotgrownoneoftheaboveAnswer:A Difficulty:EasyRationale:Investorspayforgrowth;hencethehighP/Eratioforgrowthfirms;however,theinvestorshouldbesurethathe orsheispayingforexpected,nothistoric,growth._________isequalto(commonshareholders'equity/commonsharesoutstanding).BookvaluepershareLiquidationvaluepershareMarketvaluepershareTobin'sQnoneoftheaboveAnswer:A Difficulty:EasyRationale:Seerationalefortestbankquestion4184.________areanalystswhouseinformationconcerningcurrentandprospectiveprofitabilityofafirmstoassessthefirm'sfairmarketvalue.CreditanalystsFundamentalanalystsSystemsanalystsTechnicalanalystsSpecialists5.Answer:B Difficulty:EasyRationale:Fundamentalistsuseallpublicinformationinanattempttovaluestock(whilehopingtoidentifyundervaluedsecurities).The_______isdefinedasthepresentvalueofallcashproceedstotheinvestorinthestock.dividendpayoutratiointrinsicvaluemarketcapitalizationrateplowbackrationoneoftheaboveAnswer:B Difficulty:EasyRationale:Thecashflowsfromthestockdiscountedattheappropriaterate,basedontheperceivedriskinessofthestock, themarketriskpremiumandtheriskfreerate,determinetheintrinsicvalueofthestock._______istheamountofmoneypercommonsharethatcouldberealizedbybreakingupthefirm,sellingtheassets,repayingt hedebt,anddistributingtheremaindertoshareholders.BookvaluepershareLiquidationvaluepershareMarketvaluepershareTobin'sQNoneoftheaboveAnswer:B Difficulty:EasyRationale:Seeexplanationfortestbankquestion18.1.419Since1955,Treasurybondyieldsandearningsyieldsonstockswere_______.identicalnegativelycorrelatedpositivelycorrelateduncorrelatedAnswer:C Difficulty:EasyRationale:Theearningsyieldonstocksequalstheexpectedrealrateofreturnonthestockmarket,whichshouldbeequalto theyieldtomaturityonTreasurybondsplusariskpremium,whichmaychangeslowlyovertime.TheyieldsareplottedinFigu re18.8.Historically,P/Eratioshavetendedtobe_________.higherwheninflationhasbeenhighlowerwheninflationhasbeenhigh uncorrelatedwithinflationratesbutcorrelatedwithothermacroeconomicvariables uncorrelatedwithanymacroeconomicvariablesincludinginflationratesnoneoftheabove9.Answer:B Difficulty:EasyRationale:P/Eratioshavetendedtobelowerwheninflationhasbeenhigh,reflectingthemarket'sassessmentthatearningsintheseperiodsareof"lowerquality",i.e.,artificiallydistortedbyinflation,andwarrantinglowerP/Eratios.The______isacommontermforthemarketconsensusvalueoftherequiredreturnonastock.dividendpayoutratiointrinsicvaluemarketcapitalizationrateplowbackratenoneoftheaboveAnswer:C Difficulty:EasyRationale:Themarketcapitalizationrate,whichconsistsoftherisk-freerate,thesystematicriskofthestockandthemarketriskpremium,istherateatwhichastock'scashflowsarediscountedinordertodetermineintrinsicvalue.420The_________isthefractionofearningsreinvestedinthefirm.dividendpayoutratioretentionrateplowbackratioAandCBandCAnswer:E Difficulty:EasyRationale:Retentionrate,orplowbackratio,representstheearningsreinvestedinthefirm.Theretentionrate,or(1-plowback)=dividendpayout.TheGordonmodelisageneralizationoftheperpetuityformulatocoverthecaseofagrowingperpetuity. isvalidonlywhengislessthank.isvalidonlywhenkislessthang.AandB.AandC.12.Answer:D Difficulty:EasyRationale:TheGordonmodelassumesconstantgrowthindefinitely.Mathematically,gmustbelessthank;otherwise,theintrinsicvalueisundefined.Youwishtoearnareturnof13%oneachoftwostocks,XandY.StockXisexpectedtopayadividendof$3intheupcomingyearwhileStockYisexpectedtopayadividendof$4intheupcomingyear.Theexpectedgrowthrateofdividendsforbothstocksis7%.TheintrinsicvalueofstockX______.cannotbecalculatedwithoutknowingthemarketrateofreturnwillbegreaterthantheintrinsicvalueofstockYwillbethesameastheintrinsicvalueofstockYwillbelessthantheintrinsicvalueofstockYnoneoftheaboveisacorrectanswer.Answer:D Difficulty:EasyRationale:PV0=D1/(k-g);givenkandgareequal,thestockwiththelargerdividendwillhavethehighervalue.42113.Youwishtoearnareturnof11%oneachoftwostocks,CandD.StockCisexpectedtopayadividendof$3intheupcomingyearwhileStockDisexpectedtopayadividendof$4intheupcomingyear.Theexpectedgrowthrateofdividendsforbothstocksis7%.TheintrinsicvalueofstockC______.willbegreaterthantheintrinsicvalueofstockDwillbethesameastheintrinsicvalueofstockDwillbelessthantheintrinsicvalueofstockDcannotbecalculatedwithoutknowingthemarketrateofreturnnoneoftheaboveisacorrectanswer.Answer:C Difficulty:EasyRationale:PV0=D1/(k-g);givenkandgareequal,thestockwiththelargerdividendwillhavethehighervalue. Youwishtoearnareturnof12%oneachoftwostocks,AandB.Eachofthestocksisexpectedtopayadividendof$2intheupcomin gyear.Theexpectedgrowthrateofdividendsis9%forstockAand10%forstockB.TheintrinsicvalueofstockA_____. willbegreaterthantheintrinsicvalueofstockBwillbethesameastheintrinsicvalueofstockBwillbelessthantheintrinsicvalueofstockB cannotbecalculatedwithoutknowingtherateofreturnonthemarketportfolio. noneoftheaboveisacorrectstatement.Answer:C Difficulty:EasyRationale:PV0=D1/(k-g);giventhatdividendsareequal,thestockwiththehighergrowthratewillhavethehighervalue. Youwishtoearnareturnof10%oneachoftwostocks,CandD.Eachofthestocksisexpectedtopayadividendof$2intheupcomin gyear.Theexpectedgrowthrateofdividendsis9%forstockCand10%forstockD.TheintrinsicvalueofstockC_____. willbegreaterthantheintrinsicvalueofstockDwillbethesameastheintrinsicvalueofstockDwillbelessthantheintrinsicvalueofstockD cannotbecalculatedwithoutknowingtherateofreturnonthemarketportfolio. noneoftheaboveisacorrectstatement.Answer:C Difficulty:EasyRationale:PV0=D1/(k-g);giventhatdividendsareequal,thestockwiththehighergrowthratewillhavethehighervalue.42216.Eachoftwostocks,AandB,areexpectedtopayadividendof$5intheupcomingyear.Theexpectedgrowthrateofdividendsis10%forbothstocks.Yourequirearateofreturnof11%onstockAandareturnof20%onstockB.TheintrinsicvalueofstockA_____.willbegreaterthantheintrinsicvalueofstockBwillbethesameastheintrinsicvalueofstockBwillbelessthantheintrinsicvalueofstockBcannotbecalculatedwithoutknowingthemarketrateofreturn.noneoftheaboveistrue.Answer:A Difficulty:EasyRationale:PV0=D1/(k-g);giventhatdividendsareequal,thestockwiththelargerrequiredreturnwillhavethelowervalue. Eachoftwostocks,CandD,areexpectedtopayadividendof$3intheupcomingyear.Theexpectedgrowthrateofdividendsis9 %forbothstocks.Yourequirearateofreturnof10%onstockCandareturnof13%onstockD.TheintrinsicvalueofstockC_____.willbegreaterthantheintrinsicvalueofstockDwillbethesameastheintrinsicvalueofstockDwillbelessthantheintrinsicvalueofstockDcannotbecalculatedwithoutknowingthemarketrateofreturn.noneoftheaboveistrue.18.Answer:A Difficulty:EasyRationale:PV0=D1/(k-g);giventhatdividendsareequal,thestockwiththelargerrequiredreturnwillhavethelowervalue.IftheexpectedROEonreinvestedearningsisequaltok,themultistageDDMreducestoA)V0=(ExpectedDividendPerShareinYear1)/kB)V0=(ExpectedEPSinYear1)/kV0=(TreasuryBondYieldinYear1)/kC)V0=(MarketreturninYear1)/knoneoftheaboveAnswer:B Difficulty:ModerateRationale:IfROE=k,nogrowthisoccurring;b=0;EPS=DPS423LowTechCompanyhasanexpectedROEof10%.Thedividendgrowthratewillbe________ifthefirmfollowsapolicyofpaying40%ofearningsintheformofdividends.6.0%4.8%7.2%3.0%noneoftheaboveAnswer:A Difficulty:EasyRationale:10%X=6.0%.MusicDoctorsCompanyhasanexpectedROEof14%.Thedividendgrowthratewillbe________ifthefirmfollowsapolicyo fpaying60%ofearningsintheformofdividends.4.8%5.6%7.2%6.0%noneoftheaboveAnswer:B Difficulty:EasyRationale:14%X=5.6%.MedtronicCompanyhasanexpectedROEof16%.Thedividendgrowthratewillbe________ifthefirmfollowsapolicyofpaying70%ofearningsintheformofdividends.3.0%6.0%7.2%4.8%noneoftheaboveAnswer:D Difficulty:EasyRationale:16%X=4.8%.424HighSpeedCompanyhasanexpectedROEof15%.Thedividendgrowthratewillbe________ifthefirmfollowsapolicyofpaying50%ofearningsintheformofdividends.3.0%4.8%7.5%6.0%noneoftheaboveAnswer:C Difficulty:EasyRationale:15%X=7.5%.LightConstructionMachineryCompanyhasanexpectedROEof11%.Thedividendgrowthratewillbe_______ifthefirmfo llowsapolicyofpaying25%ofearningsintheformofdividends.3.0%4.8%8.25%9.0%noneoftheaboveAnswer:C Difficulty:EasyRationale:11%X=8.25%.XlinkCompanyhasanexpectedROEof15%.Thedividendgrowthratewillbe_______ifthefirmfollowsapolicyofplowingback75%ofearnings.3.75%11.25%8.25%15.0%noneoftheaboveAnswer:B Difficulty:EasyRationale:15%X=11.25%.425ThinkTankCompanyhasanexpectedROEof26%.Thedividendgrowthratewillbe_______ifthefirmfollowsapolicyofplowingback90%ofearnings.2.6%10%23.4%90%noneoftheaboveAnswer:C Difficulty:EasyRationale:26%X=23.4%.BubbaGummCompanyhasanexpectedROEof9%.Thedividendgrowthratewillbe_______ifthefirmfollowsapolicyofplowingback10%ofearnings.90%10%9%0.9%noneoftheaboveAnswer:D Difficulty:EasyRationale:9%X=0.9%.27.Apreferredstockwillpayadividendofintheupcomingyear,andeveryyearthereafter,i.e.,dividendsarenotexpectedtogrow.Yourequireareturnof10%etheconstantgrowthDDMtocalculatetheintrinsicvalueofthispreferredstock.noneoftheaboveAnswer:B Difficulty:ModerateRationale:/.10=42628.Apreferredstockwillpayadividendoftheupcomingyear,andeveryyearthereafter,i.e.,dividendsarenotexpectedtogrow.Yourequireareturnof9%etheconstantgrowthDDMtocalculatetheintrinsicvalueofthispreferredstock.$0..27noneoftheaboveAnswer:A Difficulty:ModerateRationale:/.09=29.Apreferredstockwillpayadividendofintheupcomingyear,andeveryyearthereafter,i.e.,dividendsarenotexpectedtogrow.Yourequireareturnof12%etheconstantgrowthDDMtocalculatetheintrinsicvalueofthispreferredstock.noneoftheaboveAnswer:D Difficulty:ModerateRationale:/.12=30.Apreferredstockwillpayadividendofintheupcomingyear,andeveryyearthereafter,i.e.,dividendsarenotexpectedtogrow.Yourequireareturnof11%etheconstantgrowthDDMtocalculatetheintrinsicvalueofthispreferredstock.noneoftheaboveAnswer:C Difficulty:ModerateRationale:/.11=42731.Apreferredstockwillpayadividendofintheupcomingyear,andeveryyearthereafter,i.e.,dividendsarenotexpectedtogrow.Yourequireareturnof10%etheconstantgrowthDDMtocalculatetheintrinsicvalueofthispreferredstock.noneoftheaboveAnswer:E Difficulty:ModerateRationale:/.10=32.Apreferredstockwillpayadividendofintheupcomingyear,andeveryyearthereafter,i.e.,dividendsarenotexpectedtogrow.Yourequireareturnof10%etheconstantgrowthDDMtocalculatetheintrinsicvalueofthispreferredstock.$600noneoftheaboveAnswer:E Difficulty:ModerateRationale:/.10=33.Youareconsideringacquiringacommonstockthatyouwouldliketoholdforoneyear.Youexpecttoreceivebothindividendsand$32fromthesaleofthestockattheendoftheyear.Themaximumpriceyouwouldpayforthestocktodayis_____ifyouwantedtoearna10%return.noneoftheaboveAnswer:A Difficulty:ModerateRationale:.10=(32-P+1.25)/P;.10P=32-P+1.25;=33.25;P=30.23.42834.Youareconsideringacquiringacommonstockthatyouwouldliketoholdforoneyear.Youexpecttoreceivebothindividendsand$16fromthesaleofthestockattheendoftheyear.Themaximumpriceyouwouldpayforthestocktodayis_____ifyouwantedtoearna12%return.noneoftheaboveAnswer:B Difficulty:ModerateRationale:.12=(16-P+0.75)/P;.12P=16-P+0.75;=16.75;P=14.96.35.Youareconsideringacquiringacommonstockthatyouwouldliketoholdforoneyear.Youexpecttoreceivebothindividendsand$28fromthesaleofthestockattheendoftheyear.Themaximumpriceyouwouldpayforthestocktodayis_____ifyouwantedtoearna15%return.noneoftheaboveAnswer:C Difficulty:ModerateRationale:.15=(28-P+2.50)/P;.15P=28-P+2.50;=30.50;P=26.52.36.Youareconsideringacquiringacommonstockthatyouwouldliketoholdforoneyear.Youexpecttoreceivebothindividendsand$42fromthesaleofthestockattheendoftheyear.Themaximumpriceyouwouldpayforthestocktodayis_____ifyouwantedtoearna10%return.noneoftheaboveAnswer:E Difficulty:ModerateRationale:.10=(42-P+3.50)/P;.10P=42-P+3.50;=45.50;P=41.36.429Usethefollowingtoanswerquestions37-40:PaperExpressCompanyhasabalancesheetwhichlists$85millioninassets,$40millioninliabilitiesand$45million incommonshareholders'equity.Ithas1,400,000commonsharesoutstanding.Thereplacementcostoftheassetsis$115mil lion.Themarketsharepriceis$90.WhatisPaperExpress'sbookvaluepershare?noneoftheaboveAnswer:C Difficulty:ModerateRationale:=$32.14.WhatisPaperExpress'smarketvaluepershare?noneoftheaboveAnswer:E Difficulty:EasyWhatisPaperExpress'sreplacementcostpershare?noneoftheaboveAnswer:C Difficulty:ModerateRationale:$115M-=$53.57.430WhatisPaperExpress'sTobin'sq?noneoftheaboveAnswer:A Difficulty:ModerateRationale:$90/=Oneoftheproblemswithattemptingtoforecaststockmarketvaluesisthat therearenovariablesthatseemtopredictmarketreturn. theearningsmultiplierapproachcanonlybeusedatthefirmlevel. thelevelofuncertaintysurroundingtheforecastwillalwaysbequitehigh. dividendpayoutratiosarehighlyvariable.noneoftheabove.Answer:C Difficulty:EasyRationale:Althoughsomevariablessuchasmarketdividendyieldappeartobestronglyrelatedtomarketreturn,themarke thasgreatvariabilityandsothelevelofuncertaintyinanyforecastwillbehigh. Themostpopularapproachtoforecastingtheoverallstockmarketistousethedividendmultiplier.theaggregatereturnonassets.thehistoricalratioofbookvaluetomarketvalue.theaggregateearningsmultiplier.Tobin'sQ.Answer:D Difficulty:EasyRationale:Theearningsmultiplierapproachisthemostpopularapproachtoforecastingtheoverallstockmarket. Usethefollowingtoanswerquestions43-44:SureToolCompanyisexpectedtopayadividendof$2intheupcomingyear.Therisk-freerateofreturnis4%andtheexpectedreturnonthemarketportfoliois14%.AnalystsexpectthepriceofSure ToolCompanysharestobe$22ayearfromnow.ThebetaofSureToolCompany'sstockis1.25.431Themarket'srequiredrateofreturnonSure'sstockis_____.14.0%17.5%16.5%15.25%noneoftheaboveAnswer:C Difficulty:ModerateRationale:4%+1.25(14%-4%)=16.5%.WhatistheintrinsicvalueofSure'sstocktoday?noneoftheaboveAnswer:A Difficulty:DifficultRationale:k=.04+(.14-.04);k=.165;.165=(22-P+2)/P;.165P=24-P;=24;P=20.60.IfSure'sintrinsicvalueistoday,whatmustbeitsgrowthrate?0.0%10%4%6%7%Answer:E Difficulty:DifficultRationale:k=.04+(.14-.04);k=.165;.165=2/21+g;g=.07Usethefollowingtoanswerquestions46-47:TorqueCorporationisexpectedtopayadividendofintheupcomingyear.Dividendsareexpectedtogrowatt herateof6%peryear.Therisk-freerateofreturnis5%andtheexpectedreturnonthemarketportfoliois13%.ThestockofTorqueCorporationh asabetaof1.2.432WhatisthereturnyoushouldrequireonTorque'sstock?12.0%14.6%15.6%20%noneoftheaboveAnswer:B Difficulty:ModerateRationale:5%+1.2(13%-5%)=14.6%.WhatistheintrinsicvalueofTorque'sstock?noneoftheaboveAnswer:D Difficulty:DifficultRationale:k=5%+1.2(13%-5%)=14.6%;P=1/(.146-.06)=$11.62.48.MidwestAirlineisexpectedtopayadividendof$7inthecomingyear.Dividendsareexpectedtogrowattherateof15%peryear.Therisk-freerateofreturnis6%andtheexpectedreturnonthemarketportfoliois14%.ThestockofMidwestAirlinehasabetaof3.00.Thereturnyoushouldrequireonthestockis________.10%18%30%42%noneoftheaboveAnswer:C Difficulty:ModerateRationale:6%+3(14%-6%)=30%.43349.FoolsGoldMiningCompanyisexpectedtopayadividendof$8intheupcomingyear.Dividendsareexpectedtodeclineattherateof2%peryear.Therisk-freerateofreturnis6%andtheexpectedreturnonthemarketportfoliois14%.ThestockofFoolsGoldMiningCompanyhasabetaof-0.25.Thereturnyoushouldrequireonthestockis________.2%4%6%8%noneoftheaboveAnswer:B Difficulty:ModerateRationale:6%+[-0.25(14%-6%)]=4%.HighTechChipCompanyisexpectedtohaveEPSinthecomingyearof$2.50.TheexpectedROEis12.5%.Anappropriaterequ iredreturnonthestockis11%.Ifthefirmhasaplowbackratioof70%,thegrowthrateofdividendsshouldbe5.00%6.25%6.60%7.50%8.75%Answer:E Difficulty:EasyRationale:12.5%X=8.75%.Acompanypaidadividendlastyearof$1.75.TheexpectedROEfornextyearis14.5%.Anappropriaterequiredreturnonthestockis10%.Ifthefirmhasaplowbackratioof75%,thedividendinthecomingy earshouldbenoneoftheaboveAnswer:D Difficulty:ModerateRationale:g=.155X.75=10.875%;$1.75(1.10875)=434HighTechChipCompanypaidadividendlastyearof$2.50.TheexpectedROEfornextyearis12.5%.Anappropriaterequir edreturnonthestockis11%.Ifthefirmhasaplowbackratioof60%,thedividendinthecomingyearshouldbenoneoftheaboveAnswer:C Difficulty:ModerateRationale:g=.125X.6=7.5%;$2.50(1.075)=SupposethattheaverageP/Emultipleintheoilindustryis20.DominionOilisexpectedtohaveanEPSofinthecomingye ar.TheintrinsicvalueofDominionOilstockshouldbe_____.noneoftheaboveAnswer:C Difficulty:EasyRationale:20X=$60.00.SupposethattheaverageP/Emultipleintheoilindustryis22.ExxonOilisexpectedtohaveanEPSofinthecomingyear. TheintrinsicvalueofExxonOilstockshouldbe_____.noneoftheaboveAnswer:A Difficulty:EasyRationale:22X=$33.00.435SupposethattheaverageP/Emultipleintheoilindustryis16.MobilOilisexpectedtohaveanEPSofinthecomingyear. TheintrinsicvalueofMobilOilstockshouldbe_____.noneoftheaboveAnswer:D Difficulty:EasyRationale:16X=$72.00.56.SupposethattheaverageP/Emultipleinthegasindustryis17.KMPisexpectedtohaveanEPSofinthecomingyear.TheintrinsicvalueofKMPstockshouldbe_____.noneoftheaboveAnswer:B Difficulty:EasyRationale:17X=$93.50.57.AnanalysthasdeterminedthattheintrinsicvalueofHPQstockis$20pershareusingthecapitalizedearningsmodel.IfthetypicalP/Eratiointhecomputerindustryis25,thenitwouldbereasonabletoassumetheexpectedEPSofHPQinthecomingyearis______.noneoftheaboveAnswer:C Difficulty:EasyRationale:$20(1/25)=$0.80.43658.AnanalysthasdeterminedthattheintrinsicvalueofDellstockis$34pershareusingthecapitalizedearningsmodel.IfthetypicalP/Eratiointhecomputerindustryis27,thenitwouldbereasonabletoassumetheexpectedEPSofDellinthecomingyearis______.noneoftheaboveAnswer:D Difficulty:EasyRationale:$34(1/27)=$1.26.59.AnanalysthasdeterminedthattheintrinsicvalueofIBMstockis$80pershareusingthecapitalizedearningsmodel.IfthetypicalP/Eratiointhecomputerindustryis22,thenitwouldbereasonabletoassumetheexpectedEPSofIBMinthecomingyearis______.noneoftheaboveAnswer:A Difficulty:EasyRationale:$80(1/22)=$3.64.60.OldQuartzGoldMiningCompanyisexpectedtopayadividendof$8inthecomingyear.Dividendsareexpectedtodeclineattherateof2%peryear.Therisk-freerateofreturnis6%andtheexpectedreturnonthemarketportfoliois14%.ThestockofOldQuartzGoldMiningCompanyhasabetaof-0.25.Theintrinsicvalueofthestockis______.noneoftheaboveAnswer:B Difficulty:DifficultRationale:k=6%+[-0.25(14%-6%)]=4%;P=8/[.04-(-.02)]=$133.33.43761.LowFlyAirlineisexpectedtopayadividendof$7inthecomingyear.Dividendsareexpectedtogrowattherateof15%peryear.Therisk-freerateofreturnis6%andtheexpectedreturnonthemarketportfoliois14%.ThestockoflowFlyAirlinehasabetaof3.00.Theintrinsicvalueofthestockis______.noneoftheaboveAnswer:A Difficulty:ModerateRationale:6%+3(14%-6%)=30%;P=7/(.30-.15)=$46.67.62.SunshineCorporationisexpectedtopayadividendofintheupcomingyear.Dividendsareexpectedtogrowattherateof6%peryear.Therisk-freerateofreturnis6%andtheexpectedreturnonthemarketportfoliois14%.ThestockofSunshineCorporationhasabetaof0.75.Theintrinsicvalueofthestockis_______.noneoftheaboveAnswer:D Difficulty:ModerateRationale:6%+0.75(14%-6%)=12%;P=/(.12-.06)=$25.LowTechChipCompanyisexpectedtohaveEPSinthecomingyearof$2.50.TheexpectedROEis14%.Anappropriaterequire dreturnonthestockis11%.Ifthefirmhasadividendpayoutratioof40%,theintrinsicvalueofthestockshouldbenoneoftheaboveAnswer:D Difficulty:DifficultRationale:g=14%X=8.4%;ExpectedDPS=$2.50(0.4)=$1.00;P=1/(.11-.084)=$38.46.438Usethefollowingtoanswerquestions64-65:RiskMetricsCompanyisexpectedtopayadividendofinthecomingyear.Dividendsareexpectedtogrowatarateof10%pe ryear.Therisk-freerateofreturnis5%andtheexpectedreturnonthemarketportfoliois13%.Thestockistradinginthemarkettodayatapr iceof$90.00.WhatisthemarketcapitalizationrateforRiskMetrics?13.6%13.9%15.6%16.9%noneoftheaboveAnswer:B Difficulty:ModerateRationale:k=/90+.10;k=13.9%WhatistheapproximatebetaofRiskMetrics'sstock?noneoftheaboveAnswer:C Difficulty:DifficultRationale:k=13.9%from18.64;=5%+b(13%-5%)=1.11.ThemarketcapitalizationrateonthestockofFlexsteelCompanyis12%.TheexpectedROEis13%andtheexpectedEPSare $3.60.Ifthefirm'splowbackratiois50%,theP/Eratiowillbe_________.noneoftheaboveAnswer:C Difficulty:DifficultRationale:g=13%X=6.5%;.5/(.12-.065)=439ThemarketcapitalizationrateonthestockofFlexsteelCompanyis12%.TheexpectedROEis13%andtheexpectedEPSare $3.60.Ifthefirm'splowbackratiois75%,theP/Eratiowillbe________.noneoftheaboveAnswer:D Difficulty:DifficultRationale:g=13%X=9.75%;.25/(.12-.0975)=ThemarketcapitalizationrateonthestockofFastGrowingCompanyis20%.TheexpectedROEis22%andtheexpectedEPSa re$6.10.Ifthefirm'splowbackratiois90%,theP/Eratiowillbe________.50Answer:E Difficulty:DifficultRationale:g=22%X=19.8%;.1/(.20-.198)=5044069.J.C.PenneyCompanyisexpectedtopayadividendinyear1of$1.65,adividendinyear2of$1.97,andadividendinyear3of$2.54.Afteryear3,dividendsareexpectedtogrowattherateof8%peryear.Anappropriaterequiredreturnforthestockis11%.Thestockshouldbeworth_______today.noneoftheabove1Answer:C Difficulty:DifficultRationale:Calculationsareshowninthetablebelow.Yr Dividend PVofDividend@11%$1.65$1.65/(1.11)=$1.97/(1.11)2=$2.54/(1.11)3=SumP3=(1.08)/(.11-.08)=$91.44;PVof3P=$91.44/(1.08)3=$72.5880;PO=+=$77.53.70.ExerciseBicycleCompanyisexpectedtopayadividendinyear1of$1.20,adividendinyear2of$1.50,andadividendinyear3of$2.00.Afteryear3,dividendsareexpectedtogrowattherateof10%peryear.Anappropriaterequiredreturnforthestockis14%.Thestockshouldbeworth_______today.1A)B)C)D)E)Answer:EDifficulty:DifficultRationale:Calculationsareshowninthetablebelow.Yr Dividend PVofDividend@14%=$1.50/(1.14)2=$2.00/(1.14)3=SumP3=2(1.10)/(.14-.10)=$55.00;PVofP3=$55/(1.14)3=$37.12;PO=+=$40.68.441AntiquatedProductsCorporationproducesgoodsthatareverymatureintheirproductlifecycles.AntiquatedProduc tsCorporationisexpectedtopayadividendinyear1of$1.00,adividendofinyear2,andadividendofinyear3.Afteryear3, dividendsareexpectedtodeclineatarateof2%peryear.Anappropriaterequiredrateofreturnforthestockis8%.Thestoc kshouldbeworth______.noneoftheaboveAnswer:A Difficulty:DifficultRationale:Calculationsareshownbelow.Yr. Dividend PVofDividend@8%$1.00$1.00/(1.08)=$0.90/(1.08)2=$0.85/(1.08)3=SumP3=(.98)/[.08-(-.02)]=$8.33;PVofP3=$8.33/(1.08)3=$6.1226;PO=+=$8.49.442MatureProductsCorporationproducesgoodsthatareverymatureintheirproductlifecycles.MatureProductsCorpor ationisexpectedtopayadividendinyear1of$2.00,adividendofinyear2,andadividendofinyear3.Afteryear3,dividend sareexpectedtodeclineatarateof1%peryear.Anappropriaterequiredrateofreturnforthestockis10%.Thestockshould beworth______.noneoftheabove1Answer:B Difficulty:DifficultRationale:Calculationsareshownbelow.Yr. Dividend PVofDividend@10%=$1.50/(1.10)2=$1.00/(1.10)3=Sum3P3=(.99)/[.10-(-.01)]=$9.00;PVofP3=$9/(1.10)=$6.7618;PO=+=$10.57.44373.Considerthefreecashflowapproachtostockvaluation.UticaManufacturingCompanyisexpectedtohavebefore-taxcashflowfromoperationsof$500,000inthecomingyear.Thefirm'scorporatetaxrateis30%.Itisexpectedthat$200,000ofoperatingcashflowwillbeinvestedinnewfixedassets.Depreciationfortheyearwillbe$100,000.Afterthecomingyear,cashflowsareexpectedtogrowat6%peryear.Theappropriatemarketcapitalizationrateforunleveragedcashflowis15%peryear.Thefirmhasnooutstandingdebt.TheprojectedfreecashflowofUticaManufacturingCompanyforthecomingyearis_______.$150,000$180,000$300,000$380,000noneoftheaboveAnswer:BDifficulty:DifficultRationale:Calculationsareshownbelow.Before-taxcashflowfromoperations$500,000-Depreciation$100,000Taxableincome$400,000-Taxes(30%)$120,000After-taxunleveragedincome$280,000After-taxunleveredincome+dep$380,000-Newinvestment$200,000Freecashflow$180,00074.Considerthefreecashflowapproachtostockvaluation.UticaManufacturingCompanyisexpectedtohavebefore-taxcashflowfromoperationsof$500,000inthecomingyear.Thefirm'scorporatetaxrateis30%.Itisexpectedthat$200,000ofoperatingcashflowwillbeinvestedinnewfixedassets.Depreciationfortheyearwillbe$100,000.Afterthecomingyear,cashflowsareexpectedtogrowat6%peryear.Theappropriatemarketcapitalizationrateforunleveragedcashflowis15%peryear.Thefirmhasnooutstandingdebt.ThetotalvalueoftheequityofUticaManufacturingCompanyshouldbe$1,000,000$2,000,000$3,000,000$4,000,000noneoftheaboveAnswer:B Difficulty:DifficultRationale:Projectedfreecashflow=$180,000(seetestbankproblem18.73);V0=180,000/(.15-.06)=$2,000,000.444Chapter18EquityValuationModelsAfirm'searningspershareincreasedfrom$10to$12,dividendsincreasedfromto$4.80,andthesharepriceincreased from$80to$90.Giventhisinformation,itfollowsthat________.thestockexperiencedadropintheP/EratiothefirmhadadecreaseindividendpayoutratiothefirmincreasedthenumberofsharesoutstandingtherequiredrateofreturndecreasednoneoftheaboveAnswer:A Difficulty:ModerateRationale:$80/$10=8;$90/$12=7.5.76.Inthedividenddiscountmodel,_______whichofthefollowingarenotincorporatedintothediscountrate?realrisk-freerateriskpremiumforstocksreturnonassetsexpectedinflationratenoneoftheabove77.Answer:C Difficulty:ModerateRationale:A,B,andDareincorporatedintothediscountrateusedinthedividenddiscountmodel.AcompanywhosestockissellingataP/EratiogreaterthantheP/Eratioofamarketindexmostlikelyhas_________.ananticipatedearningsgrowthratewhichislessthanthatoftheaveragefirm adividendyieldwhichislessthanthatoftheaveragefirmlesspredictableearningsgrowththanthatoftheaveragefirm greatercyclicalityofearningsgrowththanthatoftheaveragefirmnoneoftheabove.Answer:B Difficulty:ModerateRationale:Firmswithlowerthanaveragedividendyieldsareusuallygrowthfirms,whichhaveahigherP/Eratiothanaverage.445。

投资学

9
Ross据此概括了“Finance”四大课据此概括了“ 据此概括了四大课题：效率市场(efficient market)、收益与风险效率市场、
(return and risk)、期权定价理论、期权定价理论(option pricing)、公司金融、公司金融(corporate finance)
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1.2 金融资产
1.2.1 财富与资产财富（财富（ Wealth）：现时收入（Present income））与未来收入（Future income）的现值（Present value）的和。资产（资产（Assets）：所有能储存的财富）
实物资产（Real assets）与金融资产（Financial assets）
金融资产的价值与其物质形态没有任何关系：股票可能并不比印制股票的纸张更值钱。整个社会财富的总量与金融资产数量无关，金融资产不是社会财富的代表。简而言之，金融资产的价值在于对实物资产的要求权。
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金融资产在经济中的作用
1.
消费的时机安排（ Consumption Timing）：个人现实消费与现实收入分离，将高收入期的购买力转移到低收入期。风险的分配（ Allocation of Risk）：风险来源于实际资产，风险在全社会的分散和优化配置。问题：金融工具能否减少总体经济的风险？
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1.2.2实物资产与金融资产 1.2.2实物资产与金融资产实物资产（实物资产（Real assets）：创造收入的资产，且一旦拥）有就可以直接提供服务。包括土地、建筑、机器、知识等。代表一个经济的生产能力，决定一个社会的财富。金融资产（金融资产（Financial assets）：实物资产的要求权）（ Claims on real assets ），定义实物资产在投资者之间的配置。

投资学(Investment 8th)讲义1

Investment InstitutionsWhat are Investment institutions? Contractual savings institutions -Insurance companies -Pension fundsInvestment intermediaries -Mutual funds / unit trusts -Investment trusts -Hedge funds-Private equity company❝Investment institution is a financial intermediary (company) engaged in investing in, and managing, a portfolio of securities on behalf of their shareholders. ❝Indirect investment in capital/money marketinstruments via an investment institution is the most popular way for individuals to invest surplus funds ❝In the UK, 50 –60% of equities and bonds are held and managed by investment institutions ❝Benefits: diversified portfolio, professional managements❝All investment companies charge a fee (annual expense ratio) to shareholders to pay for theoperating costs and the management fee.❝Depositary institutions◦Intermediaries with a significant proportion of their funds derived from customer deposits, e.g. Building societies. Short-term liabilities.❝Contractual savings institutions◦Typically acquire funds at periodic intervals on a contractual basis❝Investment intermediaries◦Collective investment funds, Finance companies,Investment banks, Securities firms❝Two major groups: Insurance companies and Pension funds ❝Long-term liabilities❝Liquidity of their assets is less important than for depositary institutions –they can predict with greater accuracy their future payments due to customers❝Hence, they can invest a greater proportion of funds in long-term securities (bonds,equities)❝Primary objective is to protect policyholders (firms and individuals) from adverse events ❝Receive premiums from policyholders and promise compensation if specified events occur❝Two main segments: general insurance and life insurance❝Protection against personal injury and liabilities such as accidents, theft and fire❝Usually over a fixed time period e.g. 1 year ❝Claims usually made soon after the event so liabilities are mostly short term❝Hence they hold a greater proportion of liquid assets than life insurers. Holding financial assets might be viewed as a byproduct of the business.❝Some authors (e.g. B&T) do not view this category as an investment intermediary❝Protects the policyholder in the event of death, illness or retirement; hence long-term liabilities❝Term assurance, Whole-of-life policy, Endowment policy, Annuities❝Term assurance: provides insurance cover, for specifiedperiod, against the risk of death. If the insured survivesthe specified period then no payment is made.❝Whole-of-life policy pays a capital sum on the death ofthe person assured, whenever that event occurs.❝Endowment policy pays a capital sum at the end ofsome specified term or earlier if the assured dies withinthe term.-The premium for Whole-of-life and endowment policieswill be higher than for term assurance.❝Annuities: A policyholder pay an initial lump sumwhich used by the insurance company to providean agreed income until death.-The insurance company immediately creates a fund❝Risk: certain sums are guaranteed to be paid in thefuture and these sums exceed the value of thepremiums over the life of the contract.❝Match the term structure of its assets and liabilities❝Invest in long-term assets e.g. bonds, equities andmortgages.❝Provide retirement income (in the form ofannuities) to employees covered by a pension plan❝Personal scheme and public (state) scheme❝Funded scheme and unfunded (pay-as-you-go)scheme❝Funded scheme: Receive contributions fromemployers and/or employees and invest thesefunds in assets, including equities and bonds.Returns from the investment are used to paybenefits to members of the scheme.❝Two main types of funded scheme: defined benefit(DB) and defined contribution (DC)❝DB: the sponsor agrees to pay members ofthe scheme a pension equal to apredetermined percentage of their finalsalary (average salary), subject to themember‟s years of service❝DC: the return on the investmentsdetermines pension benefits❝Occupational schemes where the sponsor isthe employer have historically been DB,while private pensions are DC❝Risk: benefits to be paid are not known with certainty;inflation complications as it increases the benefits to bepaid by fund.❝Benefit from tax deferral: in the UK, contributions arenot taxable, pensioner pays income tax❝Pension fund trustees will determine the overallinvestment strategy❝They will often decide what proportion of assets to beheld in different asset classes❝Asset mix will be influenced by the maturity of the fund❝Long-term liabilities hence long-term assets❝Index-linked bonds, Equities❝Investment companies are classified, depending on whether their own capitalisation (number of shares outstanding) is constantly changing or fixed:-Open-end : capitalisation constantly changing; new investors buy additional shares from the company and some existing shareholders sell their shares back to the company.-Closed-end : fixed capitalization; share traded onexchange.open-ended❝Mutual funds / unit trusts❝Open-ended investment companies OEICsClosed ended❝Investment trusts ❝Hedge funds❝Private equity company❝Pool resources from many individuals andcompanies and invest these in a range of assets ❝Provide opportunities for small investors to investin a diversified fund at low cost❝Take advantage of lower transaction costs in trading larger blocks of securities❝Trusts in the legal sense; controlled and monitored by trustees; who act as guardian of the assets on behalf of the beneficial owners ❝Investment decisions❝When an investor buys a stake in a unit trust, he/she purchases a new unit in the fund (unless matched with a seller by the fund manager)❝Open-ended fund where the size of the fund can varyaccording to the number of contributors to the fund ❝Price of each unit reflects current value of the fund divided by the number of outstanding units❝All sales and purchases of units are made with the trust manager.❝Do not trade on stock exchange.❝Dual pricing structure: offer price (investors buy units)and bid price (investors sell units back to the trust)❝Annual management fee (usually 0.5 -1% of the funds under management), plus the bid-offer spread on buying and selling units❝Limited in the amount that can be invested in any single security❝Total return for a mutual fund includes reinvestment dividends and capital gain.❝A cumulative total return measures the actual performance over 3, 5 or 10 years.❝In Jan 2009, 8,000 domestic mutual funds withassets of $9.4 trillion in the US.❝Short-term funds:-Money market mutual funds ❝Long-term funds: -Capital market funds;-Equity (stock) funds, Bond funds or Hybrid(balanced) funds (hold combination of stocks and bonds)-Index funds: mutual funds holding an managed portfolio of bonds or stocks designed to match particular market index, such as S&P 500. Has low expenses ratio.❝OEICs operate similarly to a unit trust in the sense that they are open-ended❝But an OEIC has a company structure and can be listed on the stock exchange ❝Shares will reflect the value of the fund ❝Shares will have a single price (rather than the separate buying and selling prices indicated for unit trusts)❝Companies whose business is the investment of funds in financial assets.❝A closed-end fund, only able to raise more funds through rights issue shares or borrowing (bonds) ❝Not a trust in the legal sense; limited liability company with listed shares (traded in stock market).❝Investors can purchase ordinary shares of the ITC ❝A portfolio, managed by ITC‟s board of directors who determine the investment strategy❝Not faced with outflow of funds, so investment strategy does not depend on maintaining cash flows to meet future liabilities❝The existence of borrowed funds in the capitalstructure implies a …gearing effect‟ on the value of the ITC shares❝Net asset value (NAV) per share is the value of assetsless debt divided by number of issued shares-E.g. ITC capital structure: £8m in equities (4m shares) + £2m debt. Thus the NAV per share = £2-If the value of ITC asset portfolio were to doubled to £20m, then the NAV per would increase to £4.5 (£18m/4m shares)-A 100% in the value of assets held has led to an increase in the NAV per share of 125%❝The gearing effect is of benefit to shareholders in a rising stock market.❝The hedge funds are largely unregulated❝Reputation is as risky funds, shrouded by mystery and only accessible to the wealthy.❝According to IFSL, the number of hedge funds increased from 4,000 with $324bn of assets in 1999 to peak of 11,000 with $2,150bn in 2007, and then declined to 10,000 hedge funds and $1,500bn by the start of 2009. ❝There is no unique definition of hedge fund since it is an industry term rather than a legal term❝“Includes a multitude of skill -based investment strategies with a broad range of risk and returnobjectives. A common element is the use of investment and risk management skills to seek positive returns regardless of market direction.”❝A hedge fund is an actively managed investment fund ❝Seeks an attractive …absolute return‟, a return whether the market go up or down.❝Do not follow any benchmark, but rather just try to generate high returns (larger than ordinary available return) while managing risks, by exploiting various market opportunities❝Typical strategies include -Short selling,-Borrowing, Leverage -Use of derivatives❝Fees include a fixed fee and management fee e.g. 1-2% of assets plus 20-25% of upside performance.Hedge fundsMutual funds and pension fundsInvestment trusts FreedomLimitation on borrowing, short selling, and the use of derivatives May borrow Limitations on short selling, and the use of derivatives❝Typical investors◦Wealthy individuals ◦Pension funds◦Other hedge funds, creating …funds of hedge funds‟ –diversity in strategy and risk❝Returns and risk can vary a great deal among the different hedge fund strategies❝Market neutral (or relative value arbitrage) funds ◦Attempt to produce returns that have no or low correlation with e.g. equity markets◦Highly quantitative portfolio construction◦Concentrate on the relative value of individual shares, bonds, currencies ...◦Commonly apply arbitrage strategies-e.g. exploit mispricing between an underlying asset and a derivative instrument-Concentrate on the difference in performance of two given securities in homogenous universe. E.g. belief that BP will do better than X in oil firm; go long on BP and short on X.-Take position with convertible bonds❝Long/short funds-Generally invest in equity and bonds, taking directional bets on individual security or sector-Analyse individual companies and individual shares-Micro investors (look at individual/specific stocks)-Some may specialize in geographical sectors -Others may specialize in either small or large companies -E.g. 130/30-Timing is crucial-Stock-picking skill (short selling overpriced stocks and buying underpriced stocks)-Not automatically market neutral e.g. could havestrong positive correlation with equityGlobal (macro) asset funds-Look at stocks, bonds, currencies, and commodities from a global point of view -Macro-investors (look at broad themes) -Have positive exposure to the market-A fund might go long in sectors they believe will provide good returns, and short on countries they believe will have negative returns❝Event driven funds-Looks to exploit special situations -Take over bids-Merger, Corporate restructuring❝A group of individuals set up a limited liabilitypartnership, might have a limited life of around 10 years.❝Make good returns by buying public companies or neglected subsidiaries at good price and turning them into more attractive business❝They will gear up with debt that a public company would not want to risk.❝Normally be turned into non-quoted company❝They get involved in the business, bringing their own expertise and give managers big incentives to improve the business❝They seek cut costs, squeeze suppliers and sell unwanted assets, sell and lease back property ❝Large amount of leverage involved❝They take their profit in a variety of ways:-Refloat the company-Sell the company to someone else in the same business -Refinancing❝The private equity market was boosted in the early 2000s.❝IFSL shows that the global private equity investment amounted to $176.6bn in 2000, this increased to $317.6bn in 2007, then hit by the credit crisis andfell to $189bn.❝In the UK, well-known firms that are or have been owned by private equity groups: Boots, Iceland, Debenhams, New Look, Kwik-Fit❝E.g. In Dec. 2003, a group of private equity firms-Texas Pacific, CVC and Merrill Lynch Global Private Equity-bough Debenhams for £1.7bn, of which £600m was their own capital.❝In two refinancing in 2004 and 2005, they reconstructed the balance sheet with new borrowings and paid themselves back £1.3bn(twice of their original capital) in about 18 months. ❝They refloated Debenhams in May 2006.Explain the different types of investment institution. Identify and analyse the factors that will influence the investment strategy applied by each type of institution.。

INVESTMENTS 投资学 (博迪BODIE, KANE, MARCUS)Chap018 Equity Valuation Models-精品文档40页

Figure 18.1 Dividend Growth for Two Earnings Reinvestment Policies
INVESTMENTS | BODIE, KANE, MARCUS
Present Value of Growth Opportunities
• The value of the firm equals the value of the assets already in place, the nogrowth value of the firm,
• Price = No-growth value per share + PVGO
P0

E1 k
PVGO
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Example 18.4 Growth Opportunities
• 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.
• No growth case • Value a preferred stock paying a
fixed dividend of $2 per share when the discount rate is 8%:
Vo $2 $25 0.080
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• V0 =current value; Dt=dividend at time t; k = required rate of return

投资学investment ch(1)

4.3 股票的市值与经济价值
• 每股市值（Market value）：股票在市场上实际的交易价格 • 经济价值（Economic Value）：未来每股股利的现值，也称为内涵价值（Intrinsic value）
• 股票是一种没有偿还期的证券，股票转让的本质是这种领取股利收入这种权利的转让
• 市值与经济价值不一定相等？
6 Copyright©Lin Hui 2005, Department of Finance, Nanjing University
（5）高收益 • 债券的收益是固定的，因此也是有限的。 • 股东的收益却是没有封顶的，一般地，股票的收益高于债券的收益。
（6）高风险 • 报酬是剩余的，清偿是附属的，因此，比起债券其收益是不可预期的——风险大， • 因为是高风险，所以需要高收益来补偿其付出的风险。
4 Copyright©Lin Hui 2005, Department of Finance, Nanjing University
（3）清偿上的附属性 • 所谓附属性就是可有可无。股本并不是必然要偿还的。 • 《破产法》规定的清偿顺序：清算费用、职工工资、有抵押债、无抵押债、优先股，在支付上述费用后有剩余（附属部门）才是股东的。 • 问题：目前《破产法》的瑕疵。仅限于调整国有企业，对有限责任公司、股份有限公司、合伙企业等统统没有涉及。即便是国企，也发生了国有控股、参股企业大量增加等新变化。什么是国有企业？
7 Copyright©Lin Hui 2005, Department of Finance, Nanjing University
（7）可转让
股票的可转让性，除了以前说的标准化之外，更为关键的是“有限责任”产生了责任的非人格化。

投资学精要Chap012

30-46
Example
再投资资金的收益率ROE
∞
∞
11-46
固定增长模型（固定增长模型（Constant growth model）——Gordon ） model
若股息 d t = d t −1 (1 + g )，则 d t = d 0 (1 + g ) v0 =
t
∑
t =1
∞
∞ dt (1 + g ) t = d0 ⋅ ∑ t (1 + k ) (1 + k ) t t =1
dt vT - = ∑ (1+ k)t t =1 dt dt +1 vT + = ∑ = t T (k − g)(1+ k) t =T (1+ k )
T dt +1 dt v0 = +∑ T (k − g)(1+ k) t =1 (1+ k)t ∞
T
(k > g)
18-46
Intrinsic Value内在价值 and Market Price市场价格内在价值市场价格
=
∑
t =1 n t =1 n
=∑ =∑
t =1
d 0 (1 + g 1 ) t d n +1 + t (1 + k ) (1 + k ) n ( k − g 2 )
其中， d n +1 = d n (1 + g )
15-46
三阶段增长模型
两阶段模型假设公司的股利在头n年以每年的速率增长，两阶段模型假设公司的股利在头年以每年g1的速率增长，年以每年个从g 从（n+1）年起由 1立刻降为 2，而不是稳定地有个从 1 ）年起由g 立刻降为g 而不是稳定地有1个从的过渡期，这是不合理的，为此，到g2的过渡期，这是不合理的，为此，Fuller（1979）提（）出了三阶段模型

INVESTMENTS 投资学 (博迪BODIE, KANE, MARCUS)Chap018 Equity Valuation Models共40页

Trading Signal: IV > MV Buy IV < MV Sell or Short Sell IV = MV Hold or Fairly Priced
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Dividend Discount Models (DDM)
V01D 1k1 Dk221 Dk33...
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Intrinsic Value and Market Price
• The intrinsic value (IV) is the “true” value, according to a model.
• The market value (MV) is the consensus value of all market participants
Valuation: Fundamental Analysis
• Fundamental analysis models a company’s value by assessing its current and future profitability.
• The purpose of fundamental analysis is to identify mispriced stocks relative to some measure of “true” value derived from financial data.
• “Floor” or minimum value is the liquidation value per share.
• Tobin’s q is the ratio of market price to replacement cost.

INVESTMENTS 投资学 Chap018 Equity Valuation Models 共39页

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Limitations of Book Value
• Book values are based on historical cost, not actual market values.
• It is possible, but uncommon, for market value to be less than book value.
Example 18.2 Constant Growth DDM
• 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%. V0kD 1g.1$34.2.048$54
Trading Signal: IV > MV Buy IV < MV Sell or Short Sell IV = MV Hold or Fairly Priced
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Dividend Discount Models (DDM)
V01D 1k1 Dk221 Dk33...
Intrinsic Value vs. Market Price
• The return on a stock is composed of dividends and capital gains or losses.
E x p e c te d H P R = E (r) E (D 1 ) E (P 1 ) P 0

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