羅斯公司理財06

1、McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.股票估價第六章McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.主要概念和方法o理解為什么股票價格取決于未來股利和股利增長率o能夠利用股利增長模型計算股票價格o理解為什么增長機會影響股票價格o理解PE比率o理解股票市場如何運行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o6.3 增長機會o6.4 股利增長模型和NPVGO模型o6.5 價格盈余比率o6.6 普通股和優(yōu)先股的特征o6.7 股票市場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)的價值等于其預期未來現(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n零增長n固定增長n

3、階段增長McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.情形1： 零增長率o假定股利在可預見的未來保持不變o因為未來現(xiàn)金流固定不變，零增長股票的價值就等于永續(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：固定增長率o假定股利以

4、一個固定增長率g增長o因為未來現(xiàn)金流以一個固定的增長率增長，固定增長率股票的價值就等于永續(xù)增長年金的現(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，預期該股利每年的增長率為2%。如果市場要求的報酬率為15%，計算該股利的價格？oP0 = .50(1+.02) / (.15 - .02) = $3

5、.92McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.情形3：階段增長率o假定股利在可預見的未來具有不同的增長率，以后將以一個固定不變的增長率增長。o要對階段增長的股票進行估價，我們需要：n估計在可預見的未來其股利水平n當股票成為固定增長股票時，估計其未來價格n以適當?shù)馁N現(xiàn)率計算估計的未來股利的現(xiàn)值和未來股票價格McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights re

6、served.情形3：階段增長率o假定股利在前N年的增長率為g1 ，以后的增長率為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：階段增長率o假定股利在前N年的增長率為g1 ，以后的增長率為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：階段增長率o計算它們之和：n增長率為g1的N年增長年金n加上從N+1年開始的增長率為g2永續(xù)增長年金的現(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.階段增長率：例子o某股票剛剛發(fā)放$2的股利，該股利預期在前3年的增長率為8%，以后每年的增長率為4%。o計算該股票的價格？當貼現(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 估計參數(shù)o公司價值取決于增長率g以及貼現(xiàn)率R。ng來源于何處？ng=留存收益率留存收益的報酬率McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.R來源于何處？o貼現(xiàn)率可以分解為兩部分：n股利收益率n股利增長率o實踐中

11、，在估計R時會出現(xiàn)許多估計誤差McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.利用DGM計算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 增長機會o增長機會是投資于NPV為正的項目的機會o公司價值等于當公司將全部盈余作為股利發(fā)放時的價值

12、加上增長機會的凈現(xiàn)值NPVGOrEPSPMcGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.6.4 NPVGO模型o股票估價的兩種方法：o股利貼現(xiàn)模型o“現(xiàn)金?！钡膬r值加上增長機會的價值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)，所以股利增長率=14%=0.7020%o利用股利增長模型，股票價格為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，計算當公司為“現(xiàn)金?！睍r的價值o第二步，計算增長機會的價值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 價格盈余比率o分析師經(jīng)常將每股盈余與價格聯(lián)系起來o價格盈余比率就是股票當前價格除以每股盈余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o代理投票權o股票種類o其他權利n股利分配權n剩余財產(chǎn)分配權n優(yōu)先認購權

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股利支付不構成公司的義務，股利可以無限期地延遲n大多數(shù)優(yōu)先股股利是累計的-在發(fā)放普通股股利之前，先發(fā)放以前所有沒有發(fā)放的優(yōu)先股股利o優(yōu)先股股票一般沒有投票權McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.6.7 股票市場o經(jīng)銷商和經(jīng)紀人 o紐約股票交易所 n

16、世界上最大的股票交易市場 n成員 o擁有“席位”o傭金經(jīng)紀人 o專業(yè)會員 o場內(nèi)經(jīng)紀人 o場內(nèi)交易人 n運行 n交易大廳的活動 McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.納斯達克 o沒有實際的交易場所 -一個計算機報價系統(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.股票市場報告 Gap 公司股票去年最高價格為$25.72。Gap公司股票去年的最低價格為$18.12。Gap 公司發(fā)放每股$0.18