剩余收益模型

AccrualAccountingandValuation:PricingBookValues----ResidualEarningsModel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PrijectsStategies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://://sj.39.net/dx/150612/4638735.html://sj.39.net/dx/150612/4638768.html://sj.39.net/dx/150613/4639088.html://sj.39.net/dx/150614/4639163.html://sj.39.net/dx/150615/4639640.html://sj.39.net/dx/150616/4640265.html://sj.39.net/dx/150619/4642386.html://sj.39.net/dx/150620/4642818.html://sj.39.net/dx/150622/4643099.html://sj.39.net/dx/150623/4643496.html本章重要专业英文词汇•residualearningsorresidualincome:剩余收益•residualearningsmodel:剩余收益模型•premium:溢价•price-to-bookratio(P/B):市净率•rateofreturnoncommonequity(ROCE):普通股本回报率•terminalinvestment:终端投资•goingconcerninvestment：持续投资•withdrawl:撤回；提款•forecasthorizon:预测期间•fiscalyears:会计年度•shareissue：发行股票•earningspershare(EPS):每股收益•dividendspershare(DPS):每股股利•discountedcashflowmethod(DCF):现金流量折现法•continuingvalue（CV）:持续价值P/BratioP/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：Bewareofpayingtoomuchforearnings!00/BVBPE剩余收益模型(简单)1.什么是剩余收益？定义：Residualearningsistheearningsinexcessoftheserequireddollarearnings.公式:2.剩余收益模型是什么？定义：Amodelthatmeasuresvalueaddedfromforecastsofresidualearningsiscalledtheresidualearningsmodel.公式：value=Bookvalue+Premium=Bookvalue+presentvalueofexpectedresidualearnings.)InvestmentreturnxRequired(EarningsearningsResidual011Example:ValuingaOne-PeriodProject(1)Investment$400Requiredreturn10%Revenueforecast$440Forecastedearnings$40DCFValuation:Arateofreturnof10percentontheinvestmentof$400.4001.100400Value0400)x(0.10-40)InvestmentreturnxRequired(EarningsearningsResidual01140010.1440VExample:ValuingaOne-PeriodProject(2)Investment$400Requiredreturn10%Revenueforecast$448Earningsforecast$48Arateofreturnof12percentontheinvestmentof$400.1Residualearnings48-(0.10x400)=88ValueProject400407.271.10Theprojectaddsvalue27.4071.10448valueDCFExample:ValuingaSavingsAccountForecastYear________________________________________200020012002200320042005Earningswithdrawneachyear(fullpayout)Earnings55555Dividends55555Bookvalue100100100100100100Residualearnings00000______________________________________________________________________________________Nowithdrawals(zeropayout)Earnings55.255.515.796.08Dividends00000Bookvalue100105110.25115.76121.55127.63Residualearnings00000______________________________________________________________________________________ForecastsforaSavingsAccountwith$100investedattheendof2000.Earning5%peryear.Value=BookValue+PresentValueofResidualEarnings=100+0=100TheNormalPrice-to-BookRatioNormalP/B=1.0(Price=BookValue)TheNormalP/BfirmearnsanexpectedrateofreturnonitsbookvalueequaltotherequiredreturnTheNormalP/Bfirmearnsexpectedresidualearningsofzero.LessonsfromtheSavingsAccount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.Anassetisworthapremiumordiscounttoitsbookvalueonlyifthebookvalueisexpectedtoearnnon-zeroresidualearnings.2.Residualearningstechniquesrecognizethatearningsgrowthdoesnotaddvalueifthatgrowthcomesfrominvestmentearningattherequiredreturn.3.Eventhoughanassetdoesnotpaydividends,itcanbevaluedfromitsbookvalueandearningsforecasts.4.Thevaluationofthesavingsaccountdoesnotdependondividendpayout.Thetwoscenarioshavedifferentexpecteddividends,butthesamevalue.5.Thevaluationofasavingsaccountisunrelatedtofreecashflows:Thetwoaccountshavethesamevalue,butdifferentfreecashflow.Example:aSimpleModelInmillionsofdollars.Requiredreturnis10%peryear.ForecastYear012345Earnings12.0012.3612.7313.1113.5113.91Dividends9.099.369.649.9310.2310.53Bookvalue100.00103.00106.09109.27112.55115.93RE(10%charge)2.362.432.502.582.66REgrowthrate3%3%3%3%.$133.71millionTheintrinsicprice-to-bookratio(P/B)is$133.71/$100=1.34.gREBVE10003.110.136.2$100$0EV剩余收益模型（复杂）Anequityinvestmentisagoingconcern,andagoingconcerngoesonindefinitely.E120023EEEREREREValueofcommonequityV...ρρρwhereREisresidualearningsforequity:Residualearningscomprehensiveearnings-(requiredreturnforequitBttEt1yxbeginningofperiodbookvalue)REEarn(ρ1)B--Wecalculatetheintrinsicpremiumoverbookvalue,,asthepresentvalueofforecastedresidualincome.Thispremiumisthemissingvalueinthebalancesheet.P/B与RE的关系（见下表）HighP/BfirmspayhighRE,onaverage,whilelowP/BfirmspaylowRE.00BVE000BREofValuePr1REofValuePrBP/BesentBesentRelationBetweenP/BRatiosandSubsequentRE(有问题)____