投资学investment课件-Chap017.ppt

1、Investments, 8th editionBodie, Kane and MarcusMcGraw-Hill/IrwinCopyright 2009 by The McGraw-Hill Companies, Inc. All rights reserved.17-2 Fundamental Analysis基本面分析 -concept of intrinsic value which are determined by the earnings prospects -price tend to move towards intrinsic value内在价值 -find the mis

2、priced stocksFramework of Fundamental Analysis17-3 Fundamental Analysis: which factors affect a companys earning prospect? Global and domestic economy analysis Industry analysis Company specific analysis -equity valuation analysis -financial statement analysis Why use the top-down approach? - system

3、atic and unsystematic risk with portfolio diversification Fundamental v.s. technical analysis技术面分析Framework of Fundamental Analysis17-417.1 The global economy17.5 Business cycle17.2 The domestic Macreconomy17.6 Industrial analysis17.3 Demand and supply shocks17.4 Federal government policyCHAPTER 17P

4、reviewSTUDY OBJECTIVES17-5 Impact of global economy on: -export, competition and profit made from foreign countries Performance in countries and regions is highly variableTwo particular factors: Political events and political risk Exchange rate issues Competitiveness of a countrys industry Affect re

5、turns from investments in foreign market However, diversification with foreign securities included in a portfolio17.1 The Global Economy17-6Economic Performance in Selected Emerging Markets Performance in countries and regions is highly variable17-7Table 17.1 Economic Performance in selected countri

6、es17-8Figure 17.1 Change in Real Exchange Rate: U.S. Dollar versus Major Currencies, 1999200617-9Key Economic indicators Gross domestic product -alternative indicator:industrial output Level of employment -full employment and potential GDP Inflation -effect in the short term and long term Interest r

7、ate -high interest rate leads to contraction Budget deficit -crowding out effect挤出效应 to push out the investment from private sector Consumer sentiment17.2 Domestic Macroeconomy17-10Figure 17.2 S&P 500 Index versus Earnings Per Share 17-11 Demand shock需求冲击需求冲击 - an event that affects demand for goods

8、 and services in the economy -positive and negative shocks -eg. Changes in tax rate/money supply/ government spending/foreign export demand etc.17.3 Demand and supply shocks17-12 Supply shock供给冲击供给冲击 - an event that influences production capacity or production costs -positive and negative shocks -eg

9、. changes in price of imported oil, freezes, floods, draughts, changes in the educational level of an economys workforce, changes in the wage rates,etc. 17.3 Demand and supply shocks17-13Review question:Consider an economy where the dominant industry is the automobile manufacturing industry with dem

10、and from the domestic market. Now suppose that the auto market is hurt by an increase in the length of time people use their car before replacing them. What are the effect of this change on GDP, unemployment, the government budget deficit and interest rate?17.3 Demand and supply shocks17-1417.4 Fede

11、ral Government PolicyDemand-side policy and supply-side policy Demand-side policy include: Fiscal Policy Tax rate and Government spending Direct and immediate effect Monetary Policy Manipulation of the money supply to influence interest rate (short term and long term effect?) Tools of monetary polic

12、y Open market operations Discount lending Reserve requirements Indirect and lagging effect17-15Federal Government Policy Continued Supply-side Policy -fisical policy -Lower marginal taxes and less regulation -Expenditure on education, infrastructure, and research17-1617.4 Federal Government PolicyRe

13、view question:Suppose the government is applying an expansionary monetary policy by increasing money supply and reducing the interest rate, describe the possible effect on the following industries:a) Gold miningb) Construction17-1717.5 Business Cycles Business cycle经济周期-recurring pattern of recessio

14、n and recovery -caused by the imbalance between demand and supply The transition points across cycles are called peaks and troughs A peak波峰 is the transition from the end of an expansion to the start of a contraction A trough波谷 occurs at the bottom of a recession just as the economy enters a recover

15、y17-18Figure 17.3 Business cycleCapacity utilization rate:生产能力利用率GDP annual rateIndustrial production index: durable and nondurablesIndustrial production index: Consumer goodsShaded area represents recessions17-19中国经济周期1998-2010What do you think about the business cycle in China?17-2017.5 Business C

16、yclesCyclical and defensive industries Different industries with different performance at each stage of the cycle Cyclical industries周期性行业 -high sensitivity to business cycle -high beta Noncyclical/defensive industries防御性行业 -low sensitivity to business cycle -low beta Implications for investors? 17-

17、21How can we determine we are at which stage of the cycle? Leading indicators先行指标 tend to rise and fall in advance of the economy Avg. weekly hours of production workers S&P 500 M2 Coincident Indicators同步指标 - indicators that tend to change directly with the economy Industrial production Manufacturin

18、g and trade sales Lagging Indicators后滞指标 - indicators that tend to follow the lag economic performance Ratio of trade inventories to sales Change in index of labor cost per unit of outputCyclical Indicators17-22Figure 17.4 Indexes of Leading, Coincident, and Lagging IndicatorsShaded area represents

19、recessionsleadingcoincidentlagging17-23Table 17.2 Indexes of Economic Indicators published by the Conference board17-24Table 17.3 Economic Calendar17-25Table 17.4 Useful Economic Indicators 17-26Figure 17.5 Economic Calendar at Yahoo!17-27Figure 17.6 Return on Equity, 2007 17.6 Industry Analysis17-2

20、8Figure 17.7 Industry Stock Price Performance as Measured by Rate of Return on Dow Jones Sector iShares, January-October 200717-2917.6 Industry AnalysisApproaches to industry analysis: 1）Business cycles sensitivity analysis经济周期敏感度分析 2）Sector rotation analysis产业轮动分析 3）Industrial life cycle analysis产业

21、生命周期分析17-3017.6 Industry Analysis 1)Business cycles Sensitivity analysisWhich industry has a higher sensitivity to business cycle?17-3117.6 Industry Analysis 1)Business cycles sensitivity analysis Factors affecting sensitivity of earnings to business cycles: Sensitivity of sales of the firms product

22、 to the business cycles -necessities -income is not a crucial determinant for demand Operating leverage -proportion of fixed cost Financial leverage - -proportion of debt capital17-32Table 17.6 (P571)Operating Leverage of Firms A and B Throughout the Business Cycle A: FC=$5, VC=$1/unitB: FC=$8, VC=$

23、0.5/unitSuppose the sales volume is the same with the same selling pricefor both companies at any state of economy17-331)Business cycles Sensitivity analysisReview questionConsider two firms producing DVD recorder. One uses a highly automatic robotics process, While the other uses workers on an asse

24、mbly line and pays overtime when there is heavy demand.a. Which firm will have higher profits in a recession? what about a boom?b. Which firms stock has higher beta?17-3417.6 Industry Analysis 2)Sector Rotation analysis产业轮动分析 Portfolio is adjusted by selecting companies that should perform well for

25、the stage of the business cycle Peaks波峰 natural resource extraction firms Contraction收缩、萧条 defensive industries such as pharmaceuticals and food Trough波谷 capital goods industries Expansion扩张 cyclical industries such as consumer durables17-35Figure 17.10 A Stylized Depiction of the Business Cyclenatu

26、ral resource extractioncyclical industriescapital goodsdefensive industries17-36Figure 17.11 Sector Rotation17-37Sector Rotation analysis产业轮动分析Review questionMatch the industry with the economic forecast in which the industry will be the best performer IndustryEconomic forecasta. Housing constructio

27、n 1) Deep recession: falling inflation, interest rate and GDPb. Health care2)Superheated economy, rapidly rising GDP, increasing inflation and interest ratec. Gold mining3)Healthy expansion: rising GDP, mild inflation, low unemploymentd. Steel production4)Stagflation, falling GDP, high inflation17-3

28、8StageSales GrowthStart-up初创Rapid & IncreasingConsolidation成长StableMaturity成熟SlowingRelative Decline退出Minimal or Negative17.6 Industry Analysis 3)Industry Life Cycles行业生命周期分析17-39Figure 17.12 The Industry Life Cycle17-40Alternative industry classification system Slow growers缓慢增长型 Stalwarts强壮型 Fast g

29、rowers快速增长型 Cyclical周期型 Turnarounds危机转变型 Asset players资产富余型17-41Industry Life Cycles行业生命周期分析Review questionIn which stage of the industry life cycle would you place the following industries?1) Oil well equipment2) Computer hardware3) Computer software4) Genetic engineering5) railroads17-42Industry Structure and Performance Threat of entry Rivalry between existing competitors Pressure from substitute products Bargaining power of buyers Bargaining power of suppliers