Chap018权益估值模型

,Click to edit Master title style,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,INVESTMENTS,|,BODIE,KANE,MARCUS,18-,*,INVESTMENTS,|,BODIE,KANE,MARCUS,Copyright 2011 by The McGraw-Hill Companies,Inc.All rights reserved.,McGraw-Hill/Irwin,Click to edit Master title style,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,CHAPTER 18,Equity Valuation Models,权益估值模型,Chap018权益估值模型共38页，您现在浏览的是第1页!,18-,2,Valuation:Fundamental Analysis,估值：基础分析,Fundamental analysis models a panys 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。,Chap018权益估值模型共38页，您现在浏览的是第2页!,18-,3,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,Models of Equity Valuation,权益估值模型,Chap018权益估值模型共38页，您现在浏览的是第3页!,18-,4,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 unmon,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,Tobins q is the ratio of market price to replacement cost.,托宾,Q,是每股股价,/,重置成本（各类资产的市场现值）,Chap018权益估值模型共38页，您现在浏览的是第4页!,18-,5,Required Return,必要收益,CAPM gives the required return,k:,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）,Chap018权益估值模型共38页，您现在浏览的是第5页!,18-,6,V,0,=current value;D,t,=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金流折现后的现值和就是资产的现价,Dividend Discount Models(DDM),股利贴现模型（投行常用模型，更复杂）,Chap018权益估值模型共38页，您现在浏览的是第6页!,18-,7,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：,Example 18.1 Preferred Stock and the DDM,优先股和股利贴现模型,Chap018权益估值模型共38页，您现在浏览的是第7页!,18-,8,DDM Implications,内在含义,The constant-growth rate DDM implies that a stocks value will be greater:,该模型意味着在下列情形下，股票价格越高：,The larger its expected dividend per share.,预期的每股股利越高,The lower the market capitalization rate,k.,市场资本化率越低,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.,Chap018权益估值模型共38页，您现在浏览的是第8页!,18-,9,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,Chap018权益估值模型共38页，您现在浏览的是第9页!,18-,10,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,Chap018权益估值模型共38页，您现在浏览的是第10页!,18-,11,Example 18.4 Growth Opportunities,增长机会,PVGO=Price per share no-growth value per share,增长机会价值为股价减去无增长的每股价值,Chap018权益估值模型共38页，您现在浏览的是第11页!,18-,12,Honda Example,Hondas beta is 0.95 and the risk-free rate is 3.5%.If the market risk premium is 8%,then k is:,贝塔值,0.95,，无风险收益,3.5%,，如果加上市场风险溢价,8%,，那么：,k=3.5%+0.95(8%)=11.1%,Therefore:,Chap018权益估值模型共38页，您现在浏览的是第12页!,18-,13,Price-Earnings Ratio and Growth,市盈率与增长,The ratio of PVGO to E/k is the ratio of firm value due to growth opportunities to value due to assets already in place(i.e.,the no-growth value of the firm,E/k).,增长机会的现值、已有资产的现值两部分,Chap018权益估值模型共38页，您现在浏览的是第13页!,18-,14,Price-Earnings Ratio and Growth,市盈率与增长,P/E increases:,市盈率增长,As ROE increases,资产收益率增长,As plowback increases,as long as ROEk,只有资产收益率高过必要收益率，,b,越高市盈率也越高,Chap018权益估值模型共38页，您现在浏览的是第14页!,18-,15,P/E and Growth Rate,市盈率与增长,Wall Street rule of thumb:The growth rate is roughly equal to the P/E ratio.,华尔街经验法则：增长率约等于市盈率,“If the P/E ratio of Coca Cola is 15,youd expect the pany to be growing at about 15%per year,etc.But if the P/E ratio is less than the growth rate,you may have found yourself a bargain.”,若市盈率比增长率低，大概有便宜可占,Quote from Peter Lynch in,One Up on Wall Street,.,Chap018权益估值模型共38页，您现在浏览的是第15页!,18-,16,Pitfalls in P/E Analysis,市盈率分析陷阱,Use of accounting earnings,会计利润,Earnings Management,盈余管理,Choices on GAAP,会计准则的选择,Inflation,通胀,Reported earnings fluctuate around the business cycle,报表中的利润通常会随着商业周期曲线的变换上下波动,Chap018权益估值模型共38页，您现在浏览的是第16页!,18-,17,Figure 18.4 Earnings Growth for Two Companies,两家不同公司的盈利增长,Chap018权益估值模型共38页，您现在浏览的是第17页!,18-,18,Other Comparative Value Approaches,其他的估值比率,Price-to-book ratio,市净率，市值,/,账面,Price-to-cash-flow ratio,股价,/,现金流,Price-to-sales ratio,股价,/,销售额,Chap018权益估值模型共38页，您现在浏览的是第18页!,18-,19,Free Cash Flow Approach,自由现金流估值方法,Value the firm by discounting free cash flow at WACC.,使用税后债务成本和权益成本的加权平均收益,Free cash flow to the firm,FCFF,公司自有现金流,equals:,After tax EBIT,税后息税前利润,Plus depreciation,加上折旧,Minus capital expenditures,减去资本化支出,Minus increase in net working capital,再减去净运营资本增加,Chap018权益估值模型共38页，您现在浏览的是第19页!,18-,20,The Aggregate Stock Market,整体股票市场,Exp