Chap018权益估值模型

INVESTMENTS|BODIE,KANE,MARCUSCopyright©2011byTheMcGraw-HillCompanies,Inc.Allrightsreserved.McGraw-Hill/IrwinCHAPTER18EquityValuationModels权益估值模型INVESTMENTS|BODIE,KANE,MARCUS18-2Valuation:FundamentalAnalysis估值：基础分析•Fundamentalanalysismodelsacompany’svaluebyassessingitscurrentandfutureprofitability.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•Thepurposeoffundamentalanalysisistoidentifymispricedstocksrelativetosomemeasureof“true”valuederivedfromfinancialdata.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。INVESTMENTS|BODIE,KANE,MARCUS18-3•BalanceSheetModels资产平衡表模型•DividendDiscountModels(DDM)股利贴现模型•Price/EarningsRatios市盈率模型•FreeCashFlowModels自由现金流模型ModelsofEquityValuation权益估值模型INVESTMENTS|BODIE,KANE,MARCUS18-4ValuationbyComparables比较估值•Comparevaluationratiosoffirmtoindustryaverages.将公司的某个价值比率与行业的平均值比较•Ratioslikeprice/salesareusefulforvaluingstart-upsthathaveyettogeneratepositiveearnings.比如价格/销售收入就在评估那些刚创业还没用取得正盈利公司的价值INVESTMENTS|BODIE,KANE,MARCUS18-5LimitationsofBookValue账面价值的局限性•Bookvaluesarebasedonhistoricalcost,notactualmarketvalues.账面价值衡量的是历史成本，而不是实际的市场价值•Itispossible,butuncommon,formarketvaluetobelessthanbookvalue.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”orminimumvalueistheliquidationvaluepershare.底价或最低价是每股清算价值•Tobin’sqistheratioofmarketpricetoreplacementcost.托宾Q是每股股价/重置成本（各类资产的市场现值）INVESTMENTS|BODIE,KANE,MARCUS18-6IntrinsicValuevs.MarketPrice内在价值v.s.市场价格•Thereturnonastockiscomposedofdividendsandcapitalgainsorlosses.•股票回报有股利和资本利得•TheexpectedHPRmaybemoreorlessthantherequiredrateofreturn,basedonthestock’srisk.期望收益可能比资本资产模型所定义的必要收益率或高或低，反映了公司特有的风险1100()()ExpectedHPR=()EDEPPErPINVESTMENTS|BODIE,KANE,MARCUS18-7RequiredReturn必要收益•CAPMgivestherequiredreturn,k:•Ifthestockispricedcorrectly,kshouldequalexpectedreturn.如果证券正确的定价，那么k与期望收益相同•kisthemarketcapitalizationrate.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）()fMfkrErrINVESTMENTS|BODIE,KANE,MARCUS18-8•Theintrinsicvalue(IV)isthe“true”value,accordingtoamodel.根据模型，内在价值是真实价值•Themarketvalue(MV)istheconsensusvalueofallmarketparticipants市场价值是市场参与者达成共识的价格TradingSignal:买卖信号IVMVBuyIVMVSellorShortSellIV=MVHoldorFairlyPricedIntrinsicValueandMarketPrice内在价值和市场价格INVESTMENTS|BODIE,KANE,MARCUS18-9•V0=currentvalue;Dt=dividendattimet;k=requiredrateofreturn•TheDDMsaysthestockpriceshouldequalthepresentvalueofallexpectedfuturedividendsintoperpetuity.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DividendDiscountModels(DDM)股利贴现模型（投行常用模型，更复杂）...111332210kDkDkDVINVESTMENTS|BODIE,KANE,MARCUS18-10ConstantGrowthDDM股利增长率g固定时的DDM模型gkDgkgDV1001g=dividendgrowthrateG就是股利增长率，类似永续年金增长公式扣减掉股利的增长率INVESTMENTS|BODIE,KANE,MARCUS18-1125$008.02$oV•Nogrowthcase股利不增长的情况•Valueapreferredstockpayingafixeddividendof$2persharewhenthediscountrateis8%:固定分红、固定折现率的股票价格为：Example18.1PreferredStockandtheDDM优先股和股利贴现模型INVESTMENTS|BODIE,KANE,MARCUS18-12Example18.2ConstantGrowthDDM固定增长的DDM模型•Astockjustpaidanannualdividendof$3/share.Thedividendisexpectedtogrowat8%indefinitely,andthemarketcapitalizationrate(fromCAPM)is14%.•给定以下参数后的股票价值：54$08.14.24.3$10gkDVINVESTMENTS|BODIE,KANE,MARCUS18-13DDMImplications内在含义•Theconstant-growthrateDDMimpliesthatastock’svaluewillbegreater:该模型意味着在下列情形下，股票价格越高：1.Thelargeritsexpecteddividendpershare.预期的每股股利越高2.Thelowerthemarketcapitalizationrate,k.市场资本化率越低3.Thehighertheexpectedgrowthrateofdividends.预期的股利增长率越高•Thestockpriceisexpectedtogrowatthesamerateasdividends.INVESTMENTS|BODIE,KANE,MARCUS18-14g=growthrateindividends增长速率ROE=ReturnonEquityforthefirm资产收益率b=plowbackorretentionpercentagerate(1-dividendpayoutpercentagerate)盈余再投资率或者是留存收益率、盈余再投资率、是指留存的收益占总收益的比率每赚取的1美元中有b美元用于增加资产，ROE*b是b美元资产所增加的收益，也就是股利增长率EstimatingDividendGrowthRates估计股利增长速率bROEgxINVESTMENTS|BODIE,KANE,MARCUS18-15Figure18.1DividendGrowthforTwoEarningsReinvestmentPolicies两种不同再投资率下的股利增长图示INVESTMENTS|BODIE,KANE,MARCUS18-16PresentValueofGrowthOpportunities增长机会价值模型•Thevalueofthefirmequalsthevalueoftheassetsalreadyinplace,theno-growthvalueofthefirm,如果没有投资机会了，公司价值不再继续增长，公司的价值等于已有的资产价值•PlustheNPVofitsfutureinvestments,再加上未来投资的净现值•WhichiscalledthepresentvalueofgrowthopportunitiesorPVGO.就是所谓的增长机会价值模型INVESTMENTS|BODIE,KANE,MARCUS18-17PresentValueofGrowthOpportunities增长机会现值模型•Price=No-growthvaluepershare+PVGO没有增长机会的价值+未来投资机会的现值10EPPVGOkINVESTMENTS|BODIE,KANE,MARCUS18-18•Firmreinvests60%ofitsearningsinprojectswithROEof10%,capitalizationrateis15%.Expectedyear-enddividendis$2/share,paidoutofearningsof$5/share.公司坚持将盈利的60%再投资于资产净收益10%的项目，期望股利为2元每股，每股盈余5元；•g=ROExb=10%x.6=6%Example18.4GrowthOpportunities增长机会的例子22.22$06.15.2$0PINVESTMENTS|BODIE,KANE,MARCUS18-19Example18.4GrowthOpportunities增长机会•PVGO=Pricepershare–no-growthvaluepershare增长机会价值为股价减去无增长的每股价值22.22$06.15.2$0P11.11$15.5$22.22$PVGOINVESTMENTS|BODIE,KANE,MARCUS18-20LifeCyclesandMultistageGrowthModels生命周期与多阶段增长模型•ExpecteddividendsforHonda:2010$.502012$.832011$.662013$1.00本田公司的预期股利•Sincethedividendpayoutratiois30%andROEis11%,the“steady-state”growthrateis7.7%.股利支付率30%，净资产收益11%，稳定阶段的增长率7.7%=11*（1-0.3）=7.7INVESTMENTS|BODIE,KANE,MARCUS18-21HondaExample•Honda’sbetais0.95andtherisk-freerateis