证券估值

第三章 证券估值
估值简介
A philosophical basis for valuation

'bigger fool' theory sound investing

Generalities about Valuation (估值方法的几个误区) Myth 1: Since valuation models are quantitative, valuation is objective

Or, generally, for period T :
…
Substituting equation (2) into equation (1) gives:
Continuing the same process:
In order to make use of this expression, we have to make some assumptions about future dividends
1000
24
1447 .1246
练习对债券估值

对国债的进行估值，并将结果与市场价格对比
股权估值
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C ATEGORIZING D ISCOUNTED C ASH F LOW M ODELS
Equity Valuation versus Firm Valuation
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Myth 5: To make money on valuation, you have to assume that markets are inefficient
APPROACHES TO VALUATION

Discounted cash flow valuation relative valuation contingent claim valuation
普通股估值
Assume that a stock has just paid a dividend so that the series of future periodic dividends (Dt) can be represented as:
The original buyer at t=0 buys the share with a view to sell it at the end of the first year at an expected price of P1 . This entitles the investor to receive the first year's dividend D1 .
Applicability and Limitations of DCF Valuation

(1) Firms in trouble (2) Cyclical Firms (3) Firms with unutilized assets


(4) Firms with patents or product options
(1) The "Constant Growth" Formula The simplest assumption about dividends is that they stay constant over time, so that
Unfortunately, constancy of dividends is a very specific assumption with little realism, and therefore few applications. A more general assumption is that dividends grow at a constant rate.
cash flowe to firm
14,681.21 14,754.61 14,828.39 14,902.53 14,977.04 15,051.93 15,127.19 15,202.82
负债 股本 股本价值 债务资本成本（Kd) 股权资本成本（ce)
20489.52 6500 46605 3.79% 12.20%
Assume that g is smaller than re .Then the general formula for adding this series is
Growth Pattern
某公司2006年的每股收益为4.24元，其中50%的收益将用于派发股息，并 且预计未来了的股息将长期保持稳定。该股票的必要回报率为9.45%。公 司股票当前的市场价格为35元。
B OND VALUATION
Present value of a bond
Present value of interest payments
Present value of maturity value
Ct M V t n 1 rd 1 rd t 1
n
Promises interest 10 percent each year; Promises to pay the principal amount of $1000 at the end of twelve years; Has a yield of 5percent per year; Interest is paid semi-annually;
Stream of Expected Returns (Cash Flows)
From of returns
Depending
on the investment, returns can be in the
form of:

Earnings Dividends
Interest payments
Discounted Cash flow Valuation (DCFV)
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The value of equity
The dividend discount model is a specialized case of equity valuation.
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Assume that you are analyzing a company with the following cash flows for the next five years. Assume also that the cost of equity is 13.625%
Capital gains
When
will the cash flows be received from the
investment?
Required Rate of Return

Determined by the risk of an investment and available returns in the market Determined by:
Suppose you are considering investing in a coupon bond that:
C M rd
$100 $50 2 n 12 2 24 $1000 5% 2 .5 % 2
V
t 1
24
1 0.025
50
t

1 0.025
Assume the discount rate (= required rate of return) for this stock is constant and equal to re .
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Then the buyer values the share as:
1. 2. The real risk-free rate of return, plus The expected rate of inflation, plus

3.
A risk premium to compensate for the uncertainty of returns

Sources of uncertainty, and therefore risk premiums, vary by the type of investment
Myth 2: A well-researched and well-done valuation is timeless Myth 3.: A good valuation provides a precise estimate


of value

Myth 4: .The more quantitative a model, the better the valuation
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We discount cash flows to equity at the cost of equity:
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The value of the firm
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Assume that you are analyzing a company with the following cash flows for the next five years. Assume also that the cost of equity is 13.625% and the firm can borrow long term at 10%. (The tax rate for the firm is 50%.) The current market value of equity is $1,073 and the value of debt outstanding is $800.
(5) Firms in the process of restructuring ( 6) Firms involved in acquisitions (7) Private Firms
练习题
year
2011E 2012E 2013E 2014E 2015E 2016E 2016E 2017E

But what determines P1 ?

Simply assume the buyer in one year's time determines the price in just the same way, and uses the same discount rate:

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股票理论价格
P0 D / r
4.24% 50% 22.43
9.45%
2005年某公司的每股收益是3.82元，其中65%的收益用于派发股息， 近5年公司的利润和股息增长率均为6%，并且预计将保持这一速度长 期增长。公司股票的不要回报率为10.15%。公司股票当前的市场价 格为55元。
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