羅斯公司理財(cái)06

1、McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.股票估價(jià)第六章McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.主要概念和方法o理解為什么股票價(jià)格取決于未來(lái)股利和股利增長(zhǎng)率o能夠利用股利增長(zhǎng)模型計(jì)算股票價(jià)格o理解為什么增長(zhǎng)機(jī)會(huì)影響股票價(jià)格o理解PE比率o理解股票市場(chǎng)如何運(yùn)行McGraw-Hill/IrwinCopyright 2007 by The

2、 McGraw-Hill Companies, Inc. All rights reserved.本章目錄o6.1 普通股的現(xiàn)值o6.2 股利貼現(xiàn)模型中參數(shù)的估計(jì)o6.3 增長(zhǎng)機(jī)會(huì)o6.4 股利增長(zhǎng)模型和NPVGO模型o6.5 價(jià)格盈余比率o6.6 普通股和優(yōu)先股的特征o6.7 股票市場(chǎng)McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.6.1普通股的現(xiàn)值o任何資產(chǎn)的價(jià)值等于其預(yù)期未來(lái)現(xiàn)金流的現(xiàn)值o股票產(chǎn)生的現(xiàn)金流主要有：n股利n資本利得o不同股票的估價(jià)n零增長(zhǎng)n固定增長(zhǎng)n

3、階段增長(zhǎng)McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.情形1： 零增長(zhǎng)率o假定股利在可預(yù)見(jiàn)的未來(lái)保持不變o因?yàn)槲磥?lái)現(xiàn)金流固定不變，零增長(zhǎng)股票的價(jià)值就等于永續(xù)年金的現(xiàn)值 321DivDivDivRPRRRPDiv)1 (Div)1 (Div)1 (Div03322110McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.情形2：固定增長(zhǎng)率o假定股利以

4、一個(gè)固定增長(zhǎng)率g增長(zhǎng)o因?yàn)槲磥?lái)現(xiàn)金流以一個(gè)固定的增長(zhǎng)率增長(zhǎng)，固定增長(zhǎng)率股票的價(jià)值就等于永續(xù)增長(zhǎng)年金的現(xiàn)值)1 (DivDiv01g2012)1 (Div)1 (DivDivgg3023)1 (Div)1 (DivDivgggRP10DivMcGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.o假定Big公司剛剛發(fā)放$0.50股利，預(yù)期該股利每年的增長(zhǎng)率為2%。如果市場(chǎng)要求的報(bào)酬率為15%，計(jì)算該股利的價(jià)格？oP0 = .50(1+.02) / (.15 - .02) = $3

5、.92McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.情形3：階段增長(zhǎng)率o假定股利在可預(yù)見(jiàn)的未來(lái)具有不同的增長(zhǎng)率，以后將以一個(gè)固定不變的增長(zhǎng)率增長(zhǎng)。o要對(duì)階段增長(zhǎng)的股票進(jìn)行估價(jià)，我們需要：n估計(jì)在可預(yù)見(jiàn)的未來(lái)其股利水平n當(dāng)股票成為固定增長(zhǎng)股票時(shí)，估計(jì)其未來(lái)價(jià)格n以適當(dāng)?shù)馁N現(xiàn)率計(jì)算估計(jì)的未來(lái)股利的現(xiàn)值和未來(lái)股票價(jià)格McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights re

6、served.情形3：階段增長(zhǎng)率o假定股利在前N年的增長(zhǎng)率為g1 ，以后的增長(zhǎng)率為g2)(1DivDiv101g210112)(1Div)(1DivDivggNNNgg)(1Div)(1DivDiv1011)(1)(1Div)(1DivDiv21021gggNNN.McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.情形3：階段增長(zhǎng)率o假定股利在前N年的增長(zhǎng)率為g1 ，以后的增長(zhǎng)率為g2)(1Div10g210)(1DivgNg )(1Div10)(1)(1Div)(1Di

7、v2102gggNN0 1 2NN+1McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.情形3：階段增長(zhǎng)率o計(jì)算它們之和：n增長(zhǎng)率為g1的N年增長(zhǎng)年金n加上從N+1年開(kāi)始的增長(zhǎng)率為g2永續(xù)增長(zhǎng)年金的現(xiàn)值TTARggRCP)1 ()1 (111NBRgRP)1 (Div21NMcGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.情形3：階段增長(zhǎng)率NTTRg

8、RRggRCP)1 (Div)1 ()1 (121N11McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.階段增長(zhǎng)率：例子o某股票剛剛發(fā)放$2的股利，該股利預(yù)期在前3年的增長(zhǎng)率為8%，以后每年的增長(zhǎng)率為4%。o計(jì)算該股票的價(jià)格？當(dāng)貼現(xiàn)率為12%。McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.利用公式3333)12. 1 (04.12.)04. 1

9、 ()08. 1 (2$)12. 1 ()08. 1 (108.12.)08. 1 (2$P3)12. 1 (75.32$8966.154$P31.23$58. 5$P89.28$PMcGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.利用現(xiàn)金流08).2(1$208).2(1$0 1 234308).2(1$)04. 1 (08).2(1$316. 2$33. 2$0 1 2 308.62. 2$52. 2$89.28$)12. 1 (75.32$52. 2$)12. 1

10、(33. 2$12. 116. 2$320P75.32$08.62. 2$3PMcGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.6.2 估計(jì)參數(shù)o公司價(jià)值取決于增長(zhǎng)率g以及貼現(xiàn)率R。ng來(lái)源于何處？ng=留存收益率留存收益的報(bào)酬率McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.R來(lái)源于何處？o貼現(xiàn)率可以分解為兩部分：n股利收益率n股利增長(zhǎng)率o實(shí)踐中

11、，在估計(jì)R時(shí)會(huì)出現(xiàn)許多估計(jì)誤差McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.利用DGM計(jì)算Ro利用DGM：o整理得出RgPD gPg)1 (D Rg-RDg - Rg)1 (DP0100100McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.6.3 增長(zhǎng)機(jī)會(huì)o增長(zhǎng)機(jī)會(huì)是投資于NPV為正的項(xiàng)目的機(jī)會(huì)o公司價(jià)值等于當(dāng)公司將全部盈余作為股利發(fā)放時(shí)的價(jià)值

12、加上增長(zhǎng)機(jī)會(huì)的凈現(xiàn)值NPVGOrEPSPMcGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.6.4 NPVGO模型o股票估價(jià)的兩種方法：o股利貼現(xiàn)模型o“現(xiàn)金?！钡膬r(jià)值加上增長(zhǎng)機(jī)會(huì)的價(jià)值McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.NPVGO模型：例子o假定一家公司第1年年末的EPS為$5，股利支付率為30%，貼現(xiàn)率為16%，留存收益的報(bào)酬率為20

13、%o第1年的股利為$50.30=$1.50 每股o留存比率=0.70(=1-0.30)，所以股利增長(zhǎng)率=14%=0.7020%o利用股利增長(zhǎng)模型，股票價(jià)格為75$14.16.50. 1$Div10gRPMcGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.NPVGO模型：例子o第一步，計(jì)算當(dāng)公司為“現(xiàn)金?！睍r(shí)的價(jià)值o第二步，計(jì)算增長(zhǎng)機(jī)會(huì)的價(jià)值o最后，25.31$16.5$EPS0RP75.43$14.16.875$.16.20.50. 350. 30gRP75$75.4325

14、.310PMcGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.6.5 價(jià)格盈余比率o分析師經(jīng)常將每股盈余與價(jià)格聯(lián)系起來(lái)o價(jià)格盈余比率就是股票當(dāng)前價(jià)格除以每股盈余EPSshareper Priceratio P/EMcGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.普通股的特征o投票權(quán)o代理投票權(quán)o股票種類(lèi)o其他權(quán)利n股利分配權(quán)n剩余財(cái)產(chǎn)分配權(quán)n優(yōu)先認(rèn)購(gòu)權(quán)

15、McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.優(yōu)先股的特征o股利n股利分配優(yōu)先于普通股n股利支付不構(gòu)成公司的義務(wù)，股利可以無(wú)限期地延遲n大多數(shù)優(yōu)先股股利是累計(jì)的-在發(fā)放普通股股利之前，先發(fā)放以前所有沒(méi)有發(fā)放的優(yōu)先股股利o優(yōu)先股股票一般沒(méi)有投票權(quán)McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.6.7 股票市場(chǎng)o經(jīng)銷(xiāo)商和經(jīng)紀(jì)人 o紐約股票交易所 n

16、世界上最大的股票交易市場(chǎng) n成員 o擁有“席位”o傭金經(jīng)紀(jì)人 o專(zhuān)業(yè)會(huì)員 o場(chǎng)內(nèi)經(jīng)紀(jì)人 o場(chǎng)內(nèi)交易人 n運(yùn)行 n交易大廳的活動(dòng) McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.納斯達(dá)克 o沒(méi)有實(shí)際的交易場(chǎng)所 -一個(gè)計(jì)算機(jī)報(bào)價(jià)系統(tǒng)o多種做市商o電子交易系統(tǒng) o多為科技股McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.股票市場(chǎng)報(bào)告 Gap 公司股票去年最高價(jià)格為$25.72。Gap公司股票去年的最低價(jià)格為$18.12。Gap 公司發(fā)放每股$0.18