INESTMENTS 投資學 博迪BODIE, KANE, MARCUSChap018 Equity Valuation Models

1、investments | bodie, kane, marcuscopyright 2011 by the mcgraw-hill companies, inc. all rights reserved.mcgraw-hill/irwinchapter 18equity valuation modelsinvestments | bodie, kane, marcus18-2valuation: fundamental analysis fundamental analysis models a companys value by assessing its current and futu

2、re 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, marcus18-3 balance sheet models dividend discount models (ddm) price/earnings ratios free cash flow modelsmodels of eq

3、uity valuationinvestments | bodie, kane, marcus18-4valuation 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, marcus18-5limitations of book value book

4、values 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, marcus18-6intrin

5、sic value 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.1100()()expected hpr= ( )e de ppe rpinvestments | bodie, kane, marcus18-7required return capm gives t

6、he required return, k: if the stock is priced correctly, k should equal expected return. k is the market capitalization rate.()fmfkre rrinvestments | bodie, kane, marcus18-8 the intrinsic value (iv) is the “true” value, according to a model. the market value (mv) is the consensus value of all market

7、 participantstrading signal: iv mv buyiv kbroekbepx110investments | bodie, kane, marcus18-26table 18.3 effect of roe and plowback on growth and the p/e ratioinvestments | bodie, kane, marcus18-27p/e and growth rate wall street rule of thumb: the growth rate is roughly equal to the p/e ratio. “if the

8、 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, marcus18-28p/e ratios and stock risk w

9、hen risk is higher, k is higher; therefore, p/e is lower.1pbekginvestments | bodie, kane, marcus18-29pitfalls in p/e analysis use of accounting earningsearnings managementchoices on gaap inflation reported earnings fluctuate around the business cycleinvestments | bodie, kane, marcus18-30figure 18.3

10、p/e ratios of the s&p 500 index and inflationinvestments | bodie, kane, marcus18-31figure 18.4 earnings growth for two companies investments | bodie, kane, marcus18-32figure 18.6 p/e ratios for different industries, 2007investments | bodie, kane, marcus18-33other comparative value approaches pri

11、ce-to-book ratio price-to-cash-flow ratio price-to-sales ratioinvestments | bodie, kane, marcus18-34figure 18.7 market valuation statistics investments | bodie, kane, marcus18-35free cash flow approach value the firm by discounting free cash flow at wacc. free cash flow to the firm, fcff, equals:after tax ebitplus depreciationminus capital expendituresminus increase in net working capitalinvestments | bodie, kane, marcus18-36comparing the valuation models in practicevalues from these models may differanalysts are always forced to make simplifying assumptionsinvestments | bodie, kane, ma