投资学：Chap022.ppt

1、INVESTMENTS | BODIE, KANE, MARCUS Copyright 2011 by The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin CHAPTER 22 Equity Valuation Models INVESTMENTS | BODIE, KANE, MARCUS Valuation: Fundamental Analysis Fundamental analysis models a companys value by assessing its current and fu

2、ture profitability. The purpose of fundamental analysis is to identify mispriced stocks relative to some measure of “true” value derived from financial data. INVESTMENTS | BODIE, KANE, MARCUS Balance Sheet Models Dividend Discount Models (DDM) Price/Earnings Ratios Free Cash Flow Models Models of Eq

3、uity Valuation INVESTMENTS | BODIE, KANE, MARCUS Valuation by Comparables Compare valuation ratios of firm to industry averages. Ratios like price/sales are useful for valuing start-ups that have yet to generate positive earnings. INVESTMENTS | BODIE, KANE, MARCUS Limitations of Book Value Book valu

4、es are based on historical cost, not actual market values. It is possible, but uncommon, for market value to be less than book value. “Floor” or minimum value is the liquidation value per share. Tobins q is the ratio of market price to replacement cost. INVESTMENTS | BODIE, KANE, MARCUS Intrinsic Va

5、lue vs. Market Price The return on a stock is composed of dividends and capital gains or losses. The expected HPR may be more or less than the required rate of return, based on the stocks risk. 110 0 ()() Expected HPR= ( ) E DE PP E r P INVESTMENTS | BODIE, KANE, MARCUS Required Return CAPM gives th

6、e required return, k: If the stock is priced correctly, k should equal expected return. k is the market capitalization rate. () fMf krE rr INVESTMENTS | BODIE, KANE, MARCUS The intrinsic value (IV) is the “true” value, according to a model. The market value (MV) is the consensus value of all market

7、participants Trading Signal: IV MV Buy IV k bROEk b E P x 1 1 0 INVESTMENTS | BODIE, KANE, MARCUS Table 22.3 Effect of ROE and Plowback on Growth and the P/E Ratio INVESTMENTS | BODIE, KANE, MARCUS P/E and Growth Rate Wall Street rule of thumb: The growth rate is roughly equal to the P/E ratio. “If

8、the P/E ratio of Coca Cola is 15, youd expect the company 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.” Quote from Peter Lynch in One Up on Wall Street. INVESTMENTS | BODIE, KANE, MARCUS P/E Ratios and Stock Risk

9、When risk is higher, k is higher; therefore, P/E is lower. 1Pb Ekg INVESTMENTS | BODIE, KANE, MARCUS Pitfalls in P/E Analysis Use of accounting earnings Earnings Management Choices on GAAP Inflation Reported earnings fluctuate around the business cycle INVESTMENTS | BODIE, KANE, MARCUS Figure 22.3 P

10、/E Ratios of the S&P 500 Index and Inflation INVESTMENTS | BODIE, KANE, MARCUS Figure 22.4 Earnings Growth for Two Companies INVESTMENTS | BODIE, KANE, MARCUS Figure 22.6 P/E Ratios for Different Industries, 2007 INVESTMENTS | BODIE, KANE, MARCUS Other Comparative Value Approaches Price-to-book rati

11、o Price-to-cash-flow ratio Price-to-sales ratio INVESTMENTS | BODIE, KANE, MARCUS Figure 22.7 Market Valuation Statistics INVESTMENTS | BODIE, KANE, MARCUS Free Cash Flow Approach Value the firm by discounting free cash flow at WACC. Free cash flow to the firm, FCFF, equals: After tax EBIT Plus depr

12、eciation Minus capital expenditures Minus increase in net working capital INVESTMENTS | BODIE, KANE, MARCUS Comparing the Valuation Models In practice Values from these models may differ Analysts are always forced to make simplifying assumptions INVESTMENTS | BODIE, KANE, MARCUS The Aggregate Stock Market Explaining Past Behavior Forecasting the Stock Market INVESTMENTS | BODIE, KANE, MARCUS Table 22.4 S&P 500 Price Forecasts Under Various Scenarios