《剩余收益模型》PPT课件.ppt

Chapter 5,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。,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,P/B ratio,P/B 公式： 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: 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： 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 DCF Valuation: A rate of return of 10 percent on the investment of $400.,Example:Valuing a One-Period Project (2),Investment $400 Required return 10% Revenue forecast$448 Earnings forecast $ 48 A rate of return of 12 percent on the investment of $400.,The project adds value,Example:Valuing a Savings Account,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,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.,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。 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. Residual earnings techniques recognize that earnings growth does not add value if that growth comes from investment earning at the required return. Even though an asset does not pay dividends, it can be valued from its book value and earnings forecasts. The valuation of the savings account does not depend on dividend payout. The two scenarios have different expected dividends, but the same value. 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,In millions of dollars. Required return is 10% per year. Forecast Year 0 1 2 3 4 5 Earnings 12.0012.3612.7313.1113.5113.91 Dividends 9.09 9.36 9.64 9.93 10.2310.53 Book value 100.00103.00 106.09109.27112.55 115.93 RE (10% charge) 2.362.43 2.50 2.58 2.66 RE growth rate 3%3%3%3% . $133.71 million 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.,We calculate the intrinsic premium over book value, ,as the present value of forecasted residual income.This premium is the missing value in the balance sheet. 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),Alternative Measure of Residual Earnings,Residual earnings is the return on common equity, expressed as a dollar excess return rather than a ratio. We also restate residual earnings as:,剩余收益模型的驱动因素Drivers of Residual Earnings,Two Drivers: 1.ROCE If forecasted ROCE equals the required return, then RE will be zero, and V = B If forecasted ROCE is greater than the required return, then V B If forecasted ROCE is less than the required return, then V B 2. Growth in book value RE will change with change with ROCE and growth in book value,P/B, ROCE and Growth in Book Value,P/B in 2003ROCE in 2004Growth Rate for Book Value in 2004 The Gap Inc.4.2328.1%30.7% General Electric Co.4.1622.3%39.3% Verizon Communications Inc.3.3223.4%12.2% Citigroup Inc.2.7917.4%11.5% Home Depot Inc.2.6219.2%13.2% General Motors Corp.1.1911.1% 9.7% Federated Department Stores0.9212.0% 3.1% ROCE is positively related to P/B.And growth in book value is also positively related to P/B.,ROCE and P/B Ratios: S directs strategic thinking to these drivers Incorporates the financial statements: incorporates the value already recognized in the balance sheet (the book value) Uses accrual accounting:uses the properties of accrual accounting that recognize value added ahead of cash flows, matches value added to value given up and treats investment as an asset rather than a loss of value Versatility:can be used with a wide variety of accounting principles (Chapter 16) Aligned with what people forecast:analysts forecast earnings (from which forecasted residual earnings can be calculated) Validation:forecasts of residual earnings can be validated in subsequent audited financial statements Predictability: dividends are usually fairly stable in the short run so dividends are easy to forecast (in the short run),Disadvantages Accounting complexity: requires an understanding of how accrual accounting works Suspect accounting: relies on accounting numbers that can be suspect (Chapter 17) Forecast horizon: forecast horizons can be shorter than for DCF analysis and more value is typically recognized in the immediate future; also, forecasts up to the horizon give an indication of profitability and growth for a continuing value calculation; but the forecast horizon does depend on the quality of the accrual accounting (Chapter 16),剩余收益模型对投资者的提醒：（1）Protection from Paying Too Much for Earnings Generated by Investment,The firm is expected to make a share issue of $50 in Year 1 .Required return is 10 percent per year. Forecast Year 0 1 2 3 4 5 Earnings12.0012.3617.7318.6119.5620.57 Net dividends9.09(40.64)9.649.9310.2310.53 Book value100.00153.00 161.09 169.77179.10 189.14 RE (10% charge)2.36 2.43 2.50 2.58 2.66 RE growth rate3%3%3%3% $133.71 million.,Beware!,剩余收益模型对投资者的提醒：（2）Protection from Paying Too Much for Earnings Created by the Accounting: the Simple Example,Writing inventory down by $8 million in Year 0 creates lower-cost-of-goods sold in Year 1: Forecast Year 0 1 2 3 4 5 Earnings4.0020.3612.7313.1113.5113.91 Dividends 9.09 9.369.649.9310.2310.53 Book value92.00103.00106.09109.27112.55115.93 RE (10% charge)11.162.432.502.582.66 RE growth rate 3%3% 3% = $133.71 million.,Beware!,剩余收益模型对投资者的提醒：（3）Capturing Value Not on the Balance Sheet-for All Accounting Methods,Residual earnings valuation solves the problem of the imperfect balance sheet,adding a premium by foercasting the earnings that the book values will produce.The higher residual earnings compensate for the lower book values,to produce a valuation that corrects the low book value. This makes sense:If assets are missing from the balance sheet,the P/B ratio should be higher,and a higher P/B means that residual earnings are expected to be higher.,剩余收益模型对投资者的提醒：(4)Residual Earnings Are not Affected by Dividengds,Share Issues,or Share Repurchases,Valuing a Savings Account Protection from Paying Too Much for Earnings Created by Investment. 这两个例子就说明了这个问题！,Summary,本章提出的剩余收益模型可以应用于股票、项目、战略等。该模型利用了资产负债表中的信息，但它指出了剩余收益的价值，这是报表所忽略掉的。 剩余收益模型的核心就是剩余收益这个概念。当一项投资的预期收益是按所要求的回报率计算的，那么剩余收益为0，并且没有使价值增加。剩余收益不受股利分配、股票的发行、股票的回购等地影响，所以用该模型计算的价值不受股东交易的影响。该模型并且提醒投资不要为了追求收益的增长而支付太多，因为收益的增长可能是由于过多的投资所致也可能是会计方法的不同所致。 总之，剩余收益模型给我们提供了一种思考价值的方法，尤其要关注的是和 Growth in book value。 BEWARE OF PAYING TOO MUCH FOR GROWTH!,