[经济学]财务报表与证券定价佩因曼英文课件.ppt
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1、McGraw-Hill/Irwin Copyright 2010 by The McGraw-Hill Companies,Inc.All rights reserved.Cash Accounting,Accrual Accounting,and Discounted Cash Flow ValuationHow the dividend discount model works(or does not work)What is meant by cash flow from operationsWhat is meant by cash used in investing activiti
2、esWhat is meant by free cash flowHow discounted cash flow valuation worksProblems that arise in applying cash flow valuationWhy free cash flow may not measure value added in operationsWhy free cash flow is a liquidation conceptHow discounted cash flow valuation involves cash accounting for operating
3、 activitiesWhy“cash flow from operations”reported in U.S.financial statements does not measure operating cash flows correctlyWhy“cash flows in investing activities”reported in U.S.financial statements does not measure cash investment in operations correctlyHow accrual accounting for operations diffe
4、rs from cash accounting for operationsThe difference between earnings and cash flow from operationsThe difference between earnings and free cash flowHow accruals and the accounting for investment affect the balance sheet as well as the income statementWhy analysts forecast earnings rather than cash
5、flowsHow a valuation model is a model of accounting for the futureHow reverse engineering works as an analysis toolWhat a“simple valuation”is4-3CF1CF2CF3CF4CF5A Firm123450d1d2d3d4d5Dividend Flow123450TVTTd TEquity The terminal value,TVT is the price payoff,PT when the share is sold Valuation issues:
6、The forecast target:dividends,cash flow,earnings?The time horizon:T=5,10,?The terminal valueThe discount rate4-4 DDM:Problems:How far does one project?Doesprovide a good estimate of VE0?(i)Dividend policy can be arbitrary and not linked to value added.(ii)The firm can borrow to pay dividends;this do
7、es not create value(iii)Think of a firm that“pays no dividends”The dividend irrelevancy concept The dividend conundrum:Equity value is based on future dividends,but forecasting dividends over finite horizons does not give an indication of this value Conclusion:Focus on creation of wealth rather than
8、 distribution of wealth.312023EEEEdddV312023ETTEEEEddddV4-5A.Capitalize expected terminal dividendsB.Capitalize expected terminal dividends with growthWill it work?T 1TTEdTVP1T 1TTEdTVPg4-6The Value of a PerpetuityA perpetuity is a constant stream that continues without end.The periodic payoff in th
9、e stream is sometimes referred to as an annuity,so a perpetuity is an annuity that continues forever.To value that stream,one capitalizes the constant amount expected.If the dividend expected next year is expected to be a perpetuity,the value of the dividend stream is Value of a perpetual dividend s
10、tream=The Value of a Perpetuity with GrowthIf an amount is forecasted to grow at a constant rate,its value can be calculated by capitalizing the amount at the required return adjusted for the growth rate:Value of a dividend growing at a constant rate=110EEdVgdVEE104-7 Easy concept:dividends are what
11、 shareholders get,so forecast them Predictability:dividends are usually fairly stable in the short run so dividends are easy to forecast(in the short run)Relevance:dividends payout is not related to value,at least in the short run;dividend forecasts ignore the capital gain component of payoffs.Forec
12、ast horizons:typically requires forecasts for long periods;terminal values for shorter periods are hard to calculate with any reliability When payout is permanently tied to the value generation in the firm.For example,when a firm has a fixed payout ratio(dividends/earnings).4-8Cash flow from operati
13、ons(inflows)Cash investment(outflows)Free cash flowTime,tC1C2C3C4I1I2I3I4C1-I1C2-I2C3-I3C4-I4C5I5C5-I512435Free cash flow is cash flow from operations that results from investments minus cash used to make investments.4-9Cash flow from operations(inflows)C1 C2 C3 C4 C5 -Cash investment I1 I2 I3 I4 I5
14、 -(outflows)Free cash flow C1 I1 C2 I2 C3 I3 C4 I4 C5 I5-_ -Time,t 1 2 3 4 5 D0TFTTFTT3F332F22F11E0VVCICICICICV FOVD0F0E0VVV4-10A.Capitalize terminal free cash flowB.Capitalize terminal free cash flow with growthWill it work?1ICCVF1T1TTgICCVF1T1TT4-11In millions of dollars except share and per-share
15、 numbers.Required return for the firm is 9%199920002001200220032004Cash from operations3,6574,0974,7365,4575,929Cash investments 9471,1871,167 906 618Free cash flow2,7102,9103,5694,5515,311Discount rate(1.09)t 1.09 1.1881 1.2950 1.4116 1.5386Present value of free cash flows2,4862,4492,7563,2243,452T
16、otal present value to 2004 14,367Continuing value(CV)*139,414Present value of CV 90,611Enterprise value 104,978Book value of net debt 4,435Value of equity 100,543Shares outstanding 2,472 Value per share$40.67*CV=5,311 x 1.05 =139,414 1.09-1.05Present value of CV =139,414 =90,611 1.53864-12Here are t
17、he steps to follow for a DCF valuation:1.Forecast free cash flow to a horizon2.Discount the free cash flow to present value3.Calculate a continuing value at the horizon with an estimated growth rate4.Discount the continuing value to the present5.Add 2 and 46.Subtract net debt4-13A Firm with Negative
18、 Free Cash Flows:General Electric CompanyIn millions of dollars,except per-share amounts.20002001200220032004Cash from operations30,00939,39834,84836,10236,484Cash investments37,69940,30861,22721,84338,414Free cash flow(7,690)(910)(26,379)14,259(1,930)Earnings12,73513,68414,11815,00216,593Earnings p
19、er share(eps)1.29 1.38 1.42 1.50 1.60Dividends per share(dps)0.57 0.66 0.73 0.77 0.824-14 Formal valuation aims to reduce our uncertainty about value and to discipline speculation The most uncertain(speculative)part of a valuation is the continuing value.So valuation techniques are preferred if they
20、 result in a smaller amount of the value attributable to the continuing value DCF techniques can result in more than 100%of the valuation in the continuing value:See General Electric.4-15million$140,904 sharesmillion 2,472 x 57 P Coke,For$o$4,435-1.5386g -1.09g x 311,55386.1311,54116.1551,42950.1569
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