課程-財務分析應用財報ch9post

財務分析應用北京大學光華管理學院麻志明TakeAwaysforClass91.指標分析的作用和基本方法2.各種指標的大概定義和意義3.杜邦分析4.各個指標之間的關系5.正確的解讀和運用指標Valuation估值Valuation對公司或者公司的某個部分進行價值估計的過程。內(nèi)部資本預算戰(zhàn)略計劃外部分析師推薦上市并購估值、價格、與投資決策你買的不是股票，而是一家企業(yè)。好的公司不一定是好的投資，壞的公司不一定是壞的投資。價格是你支付的，價值是你得到的。好的投資需要是投資估值價值大于投資成本。ValuationBasicQuestion:Howmuchwouldyoubewillingtopayif1shareofacompanywillpayyouaone-timecashflowof$10000oneyearlater?PV=CF1/(1+r)Whatwouldyoudoifthepriceoftheshareismore(less)thantheamount?ValuationBasicWhatdoweneedtoknow?1)futurecashflows2)discountrateHowcangetthem?MoreQuestionsHowabouttwoyearslater? PV=CFn/(1+r)nWhatifwearenotcertainaboutthepayment? ahigherdiscountrate…Whatifthepaymentsarearrangedasmanycashflowsatdifferenttimes? PV=CF1/(1+r)+CF2/(1+r)2+CF3/(1+r)3+…MoreQuestionsWhatifthepaymentsarearrangedasinfiniteconstantnumbers? PV=CF/r==E/r P/E=1/rWhatifthepaymentsgrowatapercentage? PV=CF/(r-g)小結(jié)估值初步凈現(xiàn)值的計算DiscounteddividendmodelShareholdervalueisthepresentvalueoffuturedividendpayoffsV0132T-1Td1d2d3dT-10投資決策點內(nèi)在價值T年末賣出投資T年末投資內(nèi)在價值+T年股利股利TVT

+dTDiscounteddividendmodelQuestionsMostfirmsdonotpaydividends.Thepercentageoffirmspayingcashdividendsfallsfrom66.5in1978to20.8in1999----FamaandFrench(2001)FreecashflowmodelTerminalvalueandgrowthWhatotherswouldpayfortheassets

atthatpoint?Bookvalue?Cashflowswillgrowataconstantrateforever?Amultipletoearnings,revenuesorbookvalue?whatifthegrowthrate5%anddiscountrate12%?CarefulThetimelineofcashflowwhentheyoccur(beginning/endofperiod)Makesurediscountrateandgrowthratesarereasonable!Discountrate“r”mustbelargerthancashflowgrowthrate.GrowthfirmValuationofwhat？ValueoffirmorvalueofEquity?Equityholdersareresidualclaimants.(pricedeterminant)DCFlooksthesame,CF’sareusuallydifferentinrisksEquityvaluation:Forecastfreecashflowsavailabletoequity.Discountbythecostofequitycapital.Firmvaluation:ForecastcashflowsDiscountbyweightedaveragecostof(debtandequity)capitalCangetequityvaluebysubtractingvalueofdebt.Widelyusedinpractice.小結(jié)DiscounteddividendmodelFreecashflowmodelValueoffirmorvalueofEquityResidualemodelIntuition:Thevalueofthefirmcanbethesumofthreecomponents:1)OriginalInvestedCapital2)Costofcapital3)Abnormalreturn經(jīng)濟增加值EVA企業(yè)稅后凈利潤減去資本成本后的余額激勵機制---行為方式---經(jīng)濟效果2010年《中央企業(yè)負責人經(jīng)營業(yè)績考核暫行辦法》該指標將真實反映央企是否為出資人創(chuàng)造了“真正利潤”。而經(jīng)營業(yè)績的好壞不僅直接關系到高管薪酬，還與其職務任免息息相關。央企負責人年度經(jīng)營業(yè)績考核指標中，利潤總額指標保持不變，但經(jīng)濟增加值將取代原有的凈資產(chǎn)收益率成為業(yè)績考核的核心指標，占到40%的考核權(quán)重。Abnormalreturn定價模型核心問題：有利潤不意味著有財富創(chuàng)造。利潤要超過資本成本才創(chuàng)造了新財富。股東投資企業(yè)存到銀行了，也有利潤，有價值創(chuàng)造嗎？沒有！REt=EPSt

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Equityt-1*ρe剩余收益（經(jīng)濟增加值）=本期利潤減去期初股東投資*資本成本股權(quán)價值=股東投入（存量財富）+未來企業(yè)運作股東投入創(chuàng)造出的超過股東資金成本的利潤的現(xiàn)值（增量財富）TV5=RE6/ρe

TV5=RE6/(ρe

–g)23一個存蓄賬戶的估值盈利率：5%當一項投資的ROE等于其資本成本時，剩余收益為0，內(nèi)在價值等于賬面價值StepsForecastearningsEstimate“r”,thecostofequitycapitalEstimateexpectedabnormalearningsUse“r”toestimatethePVofabnormalearningsduringtheforecasthorizonEstimatethePVofexpectedabnormalearningsbeyondtheforecasthorizonComputerequityvaluebysummingtogetherthepartsEquivalent?ForecastaccountingnumbersAdvantagesanddisadvantagesCostofcapitalcalculationLesscomplicatedTerminalvalueLessreplyonIfthebalancesheetdoesnotrecognizethecurrentvalueofassetsSelf-correctingnatureofdouble-entrybookkeepingReliesoncleansurplusrelation價值評估基本模型評估的原材料是：未來股利d未來自由現(xiàn)金流CF（經(jīng)營現(xiàn)金流+投資現(xiàn)金流）未來盈余EPS（凈利潤）股權(quán)資本成本ρe（折現(xiàn)率）債權(quán)資本成本ρd（折現(xiàn)率）企業(yè)加權(quán)資本成本ρwacc（折現(xiàn)率）總之，是對未來的預測用資本成本折成現(xiàn)值理論上講，所有模型給出的估值應該是一樣的；不同“原材料”在有限的未來期間內(nèi)的特征決定了模型的優(yōu)劣勢RealOptionsMakeyouraccountingnumbersmeaningfulExampleAdjustmenttoFinancialStatementOverseveralyears,FirmAhasconsistentlyrecordedlossesinitsavailable-for-salesecuritiesAdjustnetedownwardFirmBconsistentlycapitalizesexpendituresthatshouldhavebeenexpensedAdjustneteandbookvaluedownwardFirmChasrecordedforeigncurrencytranslationlossesonitsbalancesheetoverseveralyears;thelossesareexpectedtocontinueAdjustnetedownwardFirmDacceleratesrevenuestothecurrentperiodanddefersexpensestolaterperiodsAdjustneteandbookvaluedownward小結(jié)ResidualemodelPrice-EarningsModelOverlifeofcompany,Totaldividends=TotalneteV0=Et(1+r)t

∞∑t=1

IfstreamofearningsisinfiniteandconstantV0=ErPrice-EarningsModelShareprice(P)=Earningspershare(E)*MultipleEssentiallyadiscountedearningsmodelthatassumesaninfinitestreamofearningsRelatespricepersharetoearningspershareviaamultiplierInverseofmultipleisstockmarket’simplieddiscountrateforcompany(r)WhatdoesaP/Eof20mean？$1increaseinEPSshouldincreaseprice$20NoGrowthIfassumenogrowthinEP=E/rIfP/E=15.38,whatismarket’simplieddiscountrateforMLG?15.38=1/rr=6.5%Reasonable?

Low?ConstantGrowthIfassumeconstantgrowthinEP=E[(1+g)/(r-g)]gisthegrowthrateinearningspershareIfP/E=15.38andr=15%,whatismarket’simpliedgrowthrate?15.38=(1+g)/(0.15-g)g=7.98%Reasonable?Lessthan20%ofpublicU.S.companieshaveaveragerealgrowthrateabove5.5%WhataboutChina?MultiplesEarningsbased:PEratioandvariants(PEGandRelativePE)Value/EBITValue/EBITDAValue/CashFlowBookvaluebased:Price/Bookvalueofequity(PBV)Revenuebased:Price/Salespershare(PS)MultiplesValuationApproach1.FindbenchmarkfirmsAssumptions：marketcorrectlysetsbenchmarkfirms’stockpricesallfirmshavethesameriskcashflowgrowtharesimilaraccountingtechniquestocalculateearningsaresimilarMultiplesValuationApproach2.Selectfinancialperformancemeasuresales,cashflow,earnings,bookvalue3.Estimatepricemultiplesforcomparablefirmsusingthemeasureofperformance.4.Applycomparablefirm(s)multipletotheperformancemeasureofthefirmbeinganalyzed.SimplicityAbout85%ofequityresearchreportsarebasedonmultiples.Morethan50%acquisitionvaluationsarebaseduponmultiples.Multiplesarenotonlycommonbutareoftenthebasisforfinalvaluationjudgment.Asquithetal,2001DellDellDell小結(jié)乘數(shù)分析背后邏輯和可能問題BalanceSheetApproachWhatisvalueofthefirmaccordingtoitsbalancesheet?AccountsAsStatedCurrentassets20,000Land1000Buildingandequipment80,000Franchise2000Liabilities(50,000)Netvalue53,000BalanceSheetApproachWhatwoulditbeifadjustedassetsandliabilitiesonbalancesheettoreflectfairmarketvalues?AccountsAsStatedAdjustedCurrentassets20,00020,000Land1000

Buildingandequipment80,00080,000Franchise2000

Liabilities(50,000)(50,000)Netvalue53,000

LandandFranchiseWhatabouttheland?Itsaysthatthebookvalueisonly10%ofitsfairmarketvalue.1000/0.10=10,000WhatabouttheNHLfranchise?Itsaysthatthisvalueis12,000Net