案例三上港集團(tuán)估價

1、案例五上港集團(tuán)(600018)估值報告1、 公司基本情況上海港位于我國海岸線與長江“黃金水道”交叉點(diǎn)，服務(wù)腹地主要是長江三角洲和長江流域。主業(yè)領(lǐng)域包括港口集裝箱、大宗散貨和件雜貨的裝卸生產(chǎn)，以及與港口生產(chǎn)有關(guān)的引航、船舶拖帶、理貨、駁運(yùn)、倉儲、船貨代理、集卡運(yùn)輸、國際郵輪服務(wù)等港口服務(wù)以及港口物流業(yè)務(wù)。上港集團(tuán)是目前我國最大的港口股份制企業(yè)，是全球貨物吞吐量第一、集裝箱吞吐量第二的綜合性港口。上港集團(tuán)是我國大陸地區(qū)最大的港口集團(tuán),也是全球最大的港口集團(tuán)之一,上港集團(tuán)共擁有生產(chǎn)泊位121個,其中萬噸級泊位78個,吞吐能力13981萬噸,生產(chǎn)用泊位長度20公里,生產(chǎn)用倉庫總面積29.3萬平方米,生

2、產(chǎn)用堆場總面積472.1萬平方米；2008年上半年,公司完成貨物吞吐量1.9億噸,同比增長9.9%,其中,完成集裝箱吞吐量1382萬標(biāo)準(zhǔn)箱,同比增長10.4%,完成散雜貨吞吐量6271萬噸,同比增長7.6%。二、公司發(fā)展機(jī)遇2009年中央政府提出上海要建國際金融中心和國際航運(yùn)中心，尤其是國際航運(yùn)中心將使上港集團(tuán)大大受益。到2020年，上海要基本建成航運(yùn)資源高度集聚、航運(yùn)服務(wù)功能健全、航運(yùn)市場環(huán)境優(yōu)良、現(xiàn)代物流服務(wù)高效，具有全球航運(yùn)資源配置能力的國際航運(yùn)中心。這一政策對于上海港的國際中轉(zhuǎn)、長江中轉(zhuǎn)將有很大的幫助。伴隨著這個中長期的建設(shè)過程，上海港的受益也將是長期深遠(yuǎn)的。上海建設(shè)國際航運(yùn)中心對上港

3、集團(tuán)而言，不僅能增長現(xiàn)有箱量，還能帶來發(fā)箱、修箱等產(chǎn)業(yè)鏈衍生業(yè)務(wù)量，可謂是功在長遠(yuǎn)。2010年隨著全球經(jīng)濟(jì)復(fù)蘇及航運(yùn)中心政策逐步到位，預(yù)計上海港吞吐量增長將在9%以上。 3、 估值過程 上港集團(tuán)預(yù)計2009-2014年期間有一定發(fā)展空間，此后進(jìn)入穩(wěn)定發(fā)展階段。據(jù)此，對上港集進(jìn)行兩階段的FCFE模型估值。第一階段：20092014年 高增長第二階段：2015年以后 穩(wěn)定增長（一）絕對估值法1. FCFE法（1） 參數(shù)的確定A. 08年FCFE的計算：（單位：萬元）FCFE凈利潤流動資產(chǎn)增加額長期資產(chǎn)凈值增加額 流動負(fù)債增加額長期負(fù)債增加額 = 凈利潤流動資產(chǎn)增加額（長期投資增加額固定資產(chǎn)凈值增加

4、額無形資產(chǎn)增加額）流動負(fù)債增加額長期負(fù)債增加額 =6,029,522,770.65 -（17,917,808,515.00-14,902,490,412.26）-（2,981,353,888.56-2,368,475,339.43）-（26,539,166,885.65-24,703,321,835.89 ）-（5,891,354,383.08-5,833,443,408.82）+（14,928,887,849.54-17,463,940,394.40）+（7,971,272,459.78- 2,945,189,621.31）= 2,770,641,291.20FCFE=FCFE/總股本 =2

5、,770,641,291.20/20,990,800,132 =0.132 B. g的確定： i = 利息費(fèi)用/債務(wù)總額 =365,004,500.62/（247,503,612.00+3,088,921,100.00+2,176,322,754.78） = 0.0662 g =BROA+ ROAi（1t） =（3,884,558,777.47/6,029,522,770.65）* 6,029,522,770.65/ 59,081,292,290.02+23,111,135,055.30/35,970,157,234.72*6,029,522,770.65/ 59,081,292,290.02

6、- 6.62%*（1-15.06%） = 8.47% C. k的確定：參考該行業(yè)的發(fā)展?fàn)顩r和同行業(yè)的貼現(xiàn)率，使用資本資產(chǎn)定價模型確定超常增長期內(nèi)的貼現(xiàn)率。資本資產(chǎn)定價模型：E（R） = r + （ER-r）（a） 無風(fēng)險利率為同期銀行一年期定期存款利率，即=2.25%（b） 的計算 =公司股價與市場總體價格的協(xié)方差/市場總體價格波動方差市場總體價格波動率用上證綜指來計算，以2009年6月6日之前的連續(xù)交易的265周的交易日（2004年1月2日至2009年6月5日）的指數(shù)為基礎(chǔ)來計算其價格波動率。由于上港集團(tuán)和上證綜指2004年1月2日至2009年6月5日的周數(shù)據(jù)有差異，上證綜指比上港集團(tuán)多7個

7、數(shù)據(jù)，此處剔除上證綜指的多余數(shù)據(jù)，以使上證和上港的周數(shù)據(jù)能一一對應(yīng)。 令Ui=ln(Si/Si-1),因為Si=Si-1*eUi,所以Ui是第i個時間間隔后的連續(xù)復(fù)利收益，Ui 的標(biāo)準(zhǔn)差即為該段時間市場總體價格的波動率，設(shè)為，以下面的公式來估計波動率：=1/(n-1)*Ui -1/n*(n-1)* (Ui)則上證綜指周波動率的估計值為：=1*0.44/213 -1/（214*213）*0.578 =0.045=0.045*0.045=0.002可得=0.00154/0.002=0.77（c）市場風(fēng)險溢價的計算ER-r=市場平均收益率-無風(fēng)險收益率還是以上證綜指代表市場組合，上證綜指的收益率即為

8、市場組合收益率。以剔除多余數(shù)據(jù)后的2004年1月2日至2009年6月5日連續(xù)交易的265周交易日的上證綜指和上港集團(tuán)股價數(shù)據(jù)為基礎(chǔ)來計算Rm。 令Ui=ln(1+Rw) =ln(Si/Si-1),Ui是第i個時間間隔后的連續(xù)復(fù)利收益。這期間上證綜指平均連續(xù)復(fù)利收益率Uw為0.22582，進(jìn)而估算其年連續(xù)復(fù)利收益率（以一年52周計算）。(1+Ry)(1+Rw)52 ，對其兩邊取自然對數(shù)，有l(wèi)n(1+Ry)=52*ln(1+Rw)=0.22582%*52=11.7424%Ryeln(1+Ry)=e11.7424%=12.46%（上證綜指的年收益率）市場組合收益率RmRy12.46%則ER-r=市場

9、平均收益率-無風(fēng)險收益率 =12.46%-2.25% =10.21%（d）計算k k=+*(12.46%-2.25%)=10.11% D. k,g的確定： 根據(jù)該公司的發(fā)展前景、發(fā)展階段，結(jié)合宏觀經(jīng)濟(jì)因素確定。公司在5年后將進(jìn)入穩(wěn)定增長期，增長期內(nèi)的增長率和貼現(xiàn)率將低于超常增長期，預(yù)計 k=8.1% g=6%（2）計算 P0 = = =0.631+6.18 =6.81元2. FCFF法（1） 參數(shù)的確定A. 08年FCFF的計算：（單位：萬元）FCFFFCFE利息費(fèi)用×（1稅率）債務(wù)本金償還發(fā)行的新債優(yōu)先股紅利 = 2,770,641,291.20 -365,004,500.62*（

10、1-15.06%）+（3,056,800,000.00-247,503,612.00）+（3,088,921,100.00-3,088,921,100.00）+（0.00-2,176,322,754.78）+0.00= 3,713,643,834.28 FCFF=FCFF/總股本 =3,713,643,834.28/20,990,800,132 =0.177B. WACC和WACC的確定： WACC = = D/A*i*(1-t)+E/A*k = 23,111,135,055.30/59,081,292,290.02*6.62%*(1-15.06%)+35,970,157,234.72/59,

11、081,292,290.02*10.11% =8.36% 由于當(dāng)前經(jīng)濟(jì)還處于衰退到復(fù)蘇的過渡期，因此利率較低。五年后宏觀經(jīng)濟(jì)好轉(zhuǎn)，利率提高，因此債務(wù)利率也會相應(yīng)提高，預(yù)計為7.6%，即=7.6%。 WACC= = = 23,111,135,055.30/59,081,292,290.02*7.6%*(1-15.06%)+ 35,970,157,234.72/59,081,292,290.02*8.1% =7.5%C. 其他變量的確定同F(xiàn)CFE法（2）計算 P0 =-債務(wù)部分的價值 =-債務(wù)部分的價值 =（0.89+12.57）×（1-0.4） =8.07元綜合FCFE和FCFF兩種方

12、法，我們預(yù)計上港集團(tuán)的股票價值在區(qū)間【6.81，8.07】元之間。而上港集團(tuán)2009年6月5日的股價為5.63元，因此可以認(rèn)為目前上港集團(tuán)的股價被低估了。（二）相對估值法 市盈率估值模型： =1-B=1-0.64=0.36 由于公司在穩(wěn)定增長階段投資較少，公司可以減少留存收益，增加紅利的發(fā)放，因此預(yù)計公司在穩(wěn)定增長階段的紅利支付率為0.6，即=0.6。P0/E0= =0.36*1.0847*(1-1.08475/1.10115)/(0.101-0.0847)+0.6*1.08475*1.06/(0.021*1.10115) =29.82E0=0.2201，P0=29.82*0.2201=6.5

13、6元上港集團(tuán)的理論價格為6.56元。2008年，由于受金融危機(jī)影響，公司每股凈利潤為0.2201元。隨著2009年經(jīng)濟(jì)情況開始好轉(zhuǎn)，同時作為港口行業(yè)的龍頭老大，且地處上海的地理優(yōu)勢將使上港集團(tuán)大大受益于上海國際航運(yùn)中心的建設(shè)。預(yù)計2009年公司每股凈利潤將為0.29元，預(yù)計動態(tài)市盈率為2123倍，因此上港集團(tuán)的理論價值處于區(qū)間【6.09，6.67】元之間。而上港集團(tuán)2009年6月5日的股價為5.63元，因此可以認(rèn)為目前上港集團(tuán)的股價被低估了。附錄上證綜指和上港集團(tuán)股價數(shù)據(jù)及ERm計算過程原始數(shù)據(jù)和計算過程 上港集團(tuán)上證綜指上港集團(tuán)上證綜指 時間收盤價 收盤價Ui=ln(Si/Si-1)Ui=l

14、n(Si/Si-1)2004-1-214.341517.192004-1-914.91581.470.038308377780.0414948545292004-1-1615.591600.430.0452684701182004-1-3015.141590.73-0.02928943506-0.0060793127732004-2-614.931679.190.0541185039242004-2-1314.51658.54-0.0292239621252004-2-2014.841721.750.0231775883130.0374035181492004-2-2714.121675.07

15、-0.049734005674-0.0274862599942004-3-514.541662.10.02931124004-0.00777309235372004-3-1214.771694.742004-3-1915.011747.870.0308685670222004-3-2614.451734.05-0.038022231087-0.00793819075232004-4-215.031768.650.0393537892062004-4-914.51728.01-0.035899554338-0.0232460863062004-4-1613.91693.86-0.04225980

16、9292004-4-2313.741635.5-0.035061380192004-4-3013.261595.56-0.035559302036-0.0247237962012004-5-1313.151562.69-0.0083302261339-0.020816076562004-5-2113.241558.330.0068207918851-0.00279396020292004-5-2813.411548.72-0.00618595171932004-6-413.11542.09-0.023388467086-0.00429014411692004-6-1113.041472.07-

17、0.0045906737086-0.0464690656732004-6-1812.351427.3-0.054365493425-0.030885025872004-6-2512.171401.112004-7-212.811441.190.0512522089090.0282043815872004-7-913.071430.650.020093411727-0.00734027475362004-7-1613.881456.130.0601294274432004-7-2314.21407.40.022793009529-0.0340382009532004-7-3014.11386.2

18、-0.00706716722312004-8-613.881390.460.00306843714572004-8-13141368.450.0086083745366-0.015955915172004-8-1914.11341.740.00711746776892004-8-2713.611320.61-0.0353699807212004-9-313.641327.120.00220183575190.00491742973662004-9-1013.51287.08-0.0306350940582004-9-1714.51414.70.0714589639820.09454140773

19、82004-9-2414.651435.562004-9-3014.91396.7-0.0274427056592004-10-815.091422.930.018605814722004-10-1514.551330.52-0.036441279162-0.0671482827842004-10-2215.271329.350.048299125613-0.000879742299782004-10-2915.391320.540.0078278286202-0.00664935711322004-11-515.511305.130.00776702933772004-11-1215.891

20、352.220.024205003360.0354450336052004-11-1916.21379.960.019321261690.0203068269652004-11-2615.671356.73-0.033263185872004-12-315.241337.2-0.027824506109-0.014499517182004-12-1015.351317.720.00719192377472004-12-1715.031291.45-0.021067270268-0.0201373522842004-12-2414.951285.04-0.0053369039282-0.0049

21、7577186412004-12-3115.241266.52005-1-615.21239.43-0.0026281224063-0.0216055939462005-1-1415.61245.620.0259754864030.00498180141422005-1-2115.521234.48-0.0051413995004-0.00898356914692005-1-2515.961254.230.0279560772670.015872009692005-2-115.611188.93-0.022173857494-0.0534680954982005-2-1816.391258.9

22、70.0487596582280.057240183372005-2-2516.831312.440.0264916154470.041594073812005-3-416.191287.71-0.0387692405132005-3-1116.841289.940.0393632411252005-3-1816.261227.4-0.035048904695-0.0496975946912005-3-2516.421205.630.00979199990462005-4-117.251223.570.0493120394532005-4-818.21248.520.0536094506050

23、.0201860346552005-4-1517.541216.96-0.036937607139-0.0256029040752005-4-2217.11169.19-0.025405523435-0.0400447443962005-4-2916.91159.15-0.01176484158-0.0086242234632005-5-1316.031107.63-0.052851655308-0.045464380362005-5-2015.231099.27-0.051194799714-0.00757627440172005-5-2714.991051.95-0.04400073846

24、82005-6-313.541013.64-0.0370977721242005-6-1015.481108.290.0892704743862005-6-1716.191085.610.044844899528-0.0206762459392005-7-8151017.98-0.076343566587-0.0643217694222005-7-1515.91026.110.0582689081240.00795468190742005-7-2215.61046.322005-7-2716.621083.030.0633358751720.0344834222672005-8-2612.31

25、171.86-0.301007527050.0788295616292005-9-212.081188.852005-9-912.031189.63-0.00414766252010.000655881090412005-9-1612.081212.950.00414766252010.019413074592005-9-2312.161151.980.0066006840314-0.0515732079852005-9-3012.071155.61-0.00742884142860.00314614207392005-10-1411.181139.55-0.0765965673822005-

26、10-21111141.320.0015520396652005-10-2810.911080.87-0.0082154729534-0.0544192148942005-11-411.111100.052005-11-1110.551090.19-0.051719743729-0.00900364033972005-11-1810.5711170.024294527112005-11-2510.41114.92-0.0018638666282005-12-210.091094.29-0.030260971782-0.018676902322005-12-910.891113.480.0763

27、001025792005-12-1610.81127.51-0.00829880281472005-12-2311.261144.870.0417104885812005-12-3011.311161.0610.00443066741652006-1-611.491209.4210.040807490442006-1-1310.791221.461-0.0628573125910.00990595056022006-1-2010.521255.311-0.025341571960.0273356674012006-1-2510.751258.0510.0216275472640.0021803

28、4734792006-2-1011.191282.6610.040114767752006-2-1711.521267.4110.0290641329442006-2-2411.551296.870.00260078170010.0229774319522006-3-312.011293.30.039054199124-0.00275657756872006-3-1011.581245.65-0.036460163947-0.037539609412006-3-1711.381269.462006-3-2311.21294.72006-3-3110.51298.3-0.064538521138

29、0.00277670830162006-4-710.61342.960.00947874395450.0338204166482006-4-1410.821359.5410.02054227230.012271009752006-4-2110.611416.7910.0412473123412006-4-2811.021440.2210.0379148510992006-5-1213.761602.8310.222054028782006-5-1913.31659.551-0.0340017972770.0347756431082006-5-2614.061613.8910.055569851

30、155-0.0278990503642006-5-2915.471669.4010.0955687782020.0338168459622006-6-917.031551.3810.09607383009-0.0733193774552006-6-1616.551574.471-0.0285903928522006-6-2316.881605.7112006-6-3017.151672.2110.0405800537282006-7-717.311730.1910.00928619557620.0340851041672006-7-1416.81665.211-0.029905482779-0

31、.038279964912006-7-2116.71665.331-0.00597016698657.2060343363E-052006-7-2817.291662.0310.0347195802722006-8-416.621570.151-0.039521510268-0.0568685554062006-8-1116.651605.9310.0225318576372006-8-1816.421598.021-0.00493766203162006-8-2516.391623.0312006-9-116.291636.69-0.00611997014180.00838052087452

32、006-9-816.351667.980.00367647472932006-9-1516.441721.0510.00548949228480.0313218372672006-9-2216.481725.360.00243013485330.00250057363752006-9-2516.371752.421-0.00669713309830.015562536092006-10-273.581807.181-1.5200875910.0307699121642006-11-34.331866.3610.19020474160.032222373052006-11-104.191883.

33、351-0.032866808080.00906209131272006-11-174.191971.79100.0458896298142006-11-244.832050.8110.0392930578832006-12-15.192102.0510.0718872295130.0246782100942006-12-85.992093.641-0.00400887923292006-12-156.72273.9110.0825966009452006-12-226.62343.6710.0302172470222006-12-296.992675.4710.057410907213200

34、7-1-57.192641.3310.0282106154872007-1-127.382668.1110.0260824668790.010087774612007-1-197.822832.210.0579109159450.0596865942392007-1-268.242882.560.0523157893642007-2-27.462673.21-0.099444929706-0.0753987907262007-2-98.272730.390.0211644586542007-2-168.472998.470.0238959996280.0936577024372007-3-27

35、.922831.53-0.067139302838-0.0572849569672007-3-98.062937.910.0368812425922007-3-168.022930.48-0.0049751346401-0.00253221206162007-3-238.23074.290.0221957323920.0479077481522007-3-3010.033183.980.20144644770.0350580062662007-4-610.063323.580.00298656269770.0429105286642007-4-1310.333518.2710.02648511

36、8460.0569271605342007-4-2010.613584.20.0267446694942007-4-2711.243759.8710.057681891840.0478493511752007-4-3011.23841.271-0.00356506616450.0214186531152007-5-1111.864021.680.0572576152690.045896424362007-5-1811.294030.26-0.0492540154080.00213116422812007-5-2511.34179.7810.000885347556720.03642796281

37、32007-6-19.774000.74-0.043779508812007-6-89.123913.141-0.068846661968-0.0221389676972007-6-159.354132.8710.0249065392140.0546319465352007-6-228.634091.451-0.0801318382052007-6-297.693820.7-0.0684660229612007-7-67.323781.351-0.049310455544-0.010352298722007-7-138.13914.4010.0345809632762007-7-208.074

38、058.851-0.00371057939650.0362376121742007-7-278.964345.360.10461674470.0682086805062007-8-38.914560.771-0.00559598550410.0483830790412007-8-109.64749.3710.0745888569910.0405205000442007-8-179.384656.571-0.0231833354562007-8-2110.15107.670.0739556608290.0924639911752007-8-319.925218.83-0.017982502550

39、.0215299072992007-9-79.925277.1802007-9-149.825312.18-0.010131798930.00661043301052007-9-219.815454.670.0264698253542007-9-289.725552.3-0.00921665510490.017740133832007-10-129.555903.26-0.017644463980.0612924843622007-10-1910.295818.0490.0746313953532007-10-269.335589.629-0.097937534987-0.0400520657

40、262007-11-29.335777.8100.0331118017032007-11-98.945315.54-0.042699425674-0.0833901122722007-11-168.45316.27-0.0623038833362007-11-238.415032.129-0.0549287746292007-11-308.224871.779-0.022851264917-0.0323839868692007-12-78.475091.7590.0299602995960.0441641823012007-12-148.545007.9090.0082304991365200

41、7-12-218.865101.7790.0367857568172007-12-289.095261.5590.0256281435720.0308380682332008-1-49.295361.5690.0217636446360.018829285462008-1-119.435484.6790.014957543820.0227019126412008-1-189.285180.509-0.0570552547772008-1-258.324761.688-0.0843010867642008-2-17.114320.769-0.0971688315552008-2-57.86459

42、9.6990.0625574708982008-2-157.874497.129-0.0225516734042008-2-227.944370.2890.0088552128297-0.0286100535242008-2-298.094348.539-0.00498921302662008-3-78.084300.5192008-3-147.533962.669-0.070496830721-0.0818179249542008-3-217.143796.579-0.05318226546-0.0428173900422008-3-287.093580.149-0.007027435807

43、5-0.0586959784362008-4-37.193446.239-0.0381209281832008-4-117.083492.8892008-4-186.113094.6692008-4-256.843557.752008-4-306.863693.1090.00291971010330.0373403281522008-5-96.923613.4890.0087083278918-0.0217948631382008-5-166.693624.229-0.0338018954890.00296778843362008-5-236.213473.09-0.074452978195-

44、0.0425968884082008-5-306.263433.350.00801928916662008-6-66.073329.67-0.030821580041-0.0306632609422008-6-135.062868.82008-6-204.872831.74-0.0382725462052008-6-274.862748.429-0.0020554991821-0.0298618879942008-7-44.882669.8890.0041067819527-0.0289925771992008-7-115.092856.6290.0421326106970.067605359

45、8092008-7-184.872778.37-0.044183893468-0.0277778335162008-7-255.032865.10.0323260470170.0307388287632008-8-14.862801.82-0.034381546199-0.0223340475492008-8-84.562605.719-0.063715814386-0.0725605612232008-8-154.362450.609-0.044850566165-0.0613720797032008-8-224.432405.2292008-8-294.432397.3690-0.00327323128762008-9-54.362202.449-0.0848019629772008-9-124.382079.6690.0045766670274-0.057361176622008-9-194.292075.089-0.020761991448-0.00220470210552008-9-264.652293.7790.0805804866592008-10-103.932000.569-0.13676903572008-10-173.821930.649-0.028389003263-0.0