剩余收益模型

13.91 10.53 115.93 2.66 3%
The intrinsic price-to-book ratio (P/B) is $133.71 / $100 = 1.34.
剩余收益模型（复杂）
An equity investment is a going concern, and a going concern goes on indefinitely.
Forecasts for a Savings Account with $100 invested at the end of 2000.Earning5% per year. Value = Book Value + Present Value of Residual Earnings
= 100 + 0 = 100
Accrual Accounting and Valuation: Pricing Book
Values---Residual Earnings Model
权责发生制与价值评估: 账面价值定价--剩余收益模型
Chapter5
公司在进行交易时，价格并非是账 面价值。资产负债表中的资产和负债有 的是公允价值，有的是历史成本，还有 一些则被从资产负债表中删除。这就导 致分析家们忽略了从资产负债表中删除 的价值。分析家们会问：到底在账面价 值的基础上增加多少才是固有的价值？ 每支股票在交易时基于账面价值的溢价 到底是多少？本章提出的剩余收益模型 解决了分析家们的困惑。
P/B B0 Pr esent Value of RE B0
Pr esent Value of RE 1
B0
P/B与RE的关系（见下表） High P/B firms pay high RE,on average,while low P/B firms pay low RE.
Relation Between P/B Ratios and Subsequent RE(有问题)
The Normal Price-to-Book Ratio
Normal P/B = 1.0 (Price = Book Value)
The Normal P/B firm earns an expected rate of return on its book value equal to the required return The Normal P/B firm earns expected residual earnings of zero.
Residual earnings1 Earnings 1 (Required return x Investment0)
2.剩余收益模型是什么？ 定义：A model that measures value added from forecasts of residual earnings is called the residual earnings model. 公式：
5. The valuation of a savings account is unrelated to free cash flows: The two accounts have the same value, but different free cash flow.
Example: a Simple Model
0
______________________________________________________________________________________
No withdrawals (zero payout)
Earnings Dividends Book value
5
5.25
5.51 5.79
400
V 440 400 1.10
A rate of return of 10 percent on the investment of $400.
Example:Valuing a One-Period Project (2)
Inven 10%
Group
P/B
_____________________________________________________________
0
1
2
3
4
5
6
_____________________________________________________________________________________
Value of common equity
V0E
B0
RE1 ρE
RE2
ρ
2 E
RE ρ3E
...
where RE is residual earnings for equity:
Residual earnings comprehensive earnings - (required return for equity x beginning - of - period book value)
Revenue forecast $448
Earnings forecast $ 48
Residual earnings1 48 - (0.10 x 400) = 8
Value Project
400 8 407.27 1.10
The project adds value
DCF
value 448 1.10
P/B ratio
P/B
公式：
P
/
B
V
E 0
B0
P/B与剩余收益、剩余收益模型的两个驱动因 素都有密切的联系。同时，提醒投资者： Beware of paying too much for earnings!
剩余收益模型(简单)
1.什么是剩余收益？ 定义：Residual earnings is the earnings in excess of these required dollar earnings. 公式:
6.08
0
0
0
0
0
100
105 110.25 115.76 121.55 127.63
Residual earnings
0
0
0
0
0
______________________________________________________________________________________
12.36 9.36 103.00 2.36
.
V0E
B0
RE1 g
V0E
$100 $2.36 1.10 1.03
$133.71 million
12.73 9.64 106.09 2.43 3%
13.11 9.93 109.27 2.50 3%
13.51 10.23 112.55 2.58 3%
2000 2001 2002 2003 2004 2005
Earnings withdrawn each year (full payout)
Earnings Dividends Book value
5
5
5
5
100
100 100
5
5
5
5
5
5
100
100
100
Residual earnings
0
0
0
0
Lessons from the Savings Account
从储蓄账户这个例子得到一些准则，这些准则在将要介绍的模型 中也是适用的。 1. An asset is worth a premium or discount to its book value only if the book value is expected to earn non-zero residual earnings.
Chapter5 结构
P/B 简单模型
剩余收益模型 复杂模型 Equities
剩余收益模型的应用 Prijects Stategies
剩余收益模型的优点、缺点
剩余收益模型对投资者的提醒
总结
本章重要专业英文词汇
• residual earnings or residual income: 剩余收益 • residual earnings model: 剩余收益模型 • premium:溢价 • price-to-book ratio(P/B):市净率 • rate of return on common equity(ROCE): 普通股本
2. Residual earnings techniques recognize that earnings growth does not add value if that growth comes from investment earning at the required return.
value=Book value+Premium =Book value +present value of expected residual earnings.
Example:Valuing a One-Period Project (1)
Investment
$400
Required return
10%
Revenue forecast $440
Forecasted earnings $ 40
Residual earnings1 Earnings1 (Required return xInvestment0)
40 - (0.10 x 400)
0
Value
400 0 1.10
DCF Valuation:
回报率 • terminal investment:终端投资 • going concern investment：持续投资 • withdrawl: 撤回；提款 • forecast horizon:预测期间 • fiscal years:会计年度 • share issue：发行股票 • earnings per share(EPS):每股收益 • dividends per share(DPS):每股股利 • discounted cash flow method(DCF):现金流量折现法 • continuing value（CV）: 持续价值
3. Even though an asset does not pay dividends, it can be valued from its book value and earnings forecasts.
4. The valuation of the savings account does not depend on dividend payout. The two scenarios have different expected dividends, but the same value.
REt Earnt (ρE 1)Bt1
We calculate the intrinsic premium over book value,V E0B0,as the present value of forecasted residual income.This premium is the missing value in the balance sheet.
407
.27
A rate of return of 12 percent on the investment of $400.
Example:Valuing a Savings Account
Forecast Year ________________________________________
_____________________________________________________________________________________
Residual Earnings for
P/B
Years After P/B Groups Are Formed (Year 0)
In millions of dollars. Required return is 10% per year.
0
1
Forecast Year
2
3
4
5
Earnings Dividends Book value RE (10% charge) RE growth rate
12.00 9.09 100.00