投資回報率與財務(wù)報表(英文版)(-)課件

InvestmentReturns,EquityValue,andFinancialStatementsPARTIUnderstandinginvestmentreturnsandhowanalysts’stylesaredeterminedbytheirapproachtoforecastingreturnsChapter3UnderstandingvaluationmodelsthatvalueforecastedreturnsChapter4Understandinghowearningsarerelatedtoreturnsandhowvaluationsbasedonforecastedearningswork(ordon’twork)Chapter5UnderstandinghowforecastsofincomestatementsandbalancesheetsproduceavaluationChapter6Withthisunderstandingproceedto·Analysisofinformation(PartII)·ForecastingandValuation(PartIII)GainingtheUnderstandingtodoFundamentalAnalysisChapter3InvestmentReturnsInvestmentReturnsChapter1establishedthatforecastingreturnsisattheheartoffundamentalanalysisLinktoPreviousChapterThischapterexplainswhatreturnsare,distinguishesnormalandabnormalreturns,andexplainshowanalystsspecializeinforecastingnormalandabnormalreturnsThisChapterChapter4willshowhowvaluationmodelsareconstructedtomeasurethevalueofforecastedreturnsLinktoNextChapterLinktoWebPageHowarereturnscalculated?Whatisanormalreturnandanabnormalreturn?Howmightananalystgainanadvantageinforecastingnormalorabnormalreturns?Whathasbeenthehistoricalexperienceinequityinvesting?WhatyouwilllearninthischapterHowinvestmentreturnsarecalculatedThedifferencebetweennormalandabnormalreturnsWhatanefficientmarketpricemeansWhatanarbitrageopportunityisThedifferencebetweenactiveandpassiveinvestmentThedifferencebetweenanalphaandabetaHowassetpricingmodelswork(inoutline)Howscreeningstrategieswork(anddon’twork)WhatacontrarianstrategyisHowfundamentalanalysisdiffersfromscreeningandcontrariananalysisHowvariousstockselectionstrategieshaveworkedinthepastForaterminalinvestment:Foraninvestmentinequity:Foraone-yearequityinvestmentPayoff:Return:Rate-of-Return:ExpectedReturn:ExpectedRate-of-Return:RequiredPayoffperdollar:RequiredRate-of-Return: TherequiredreturnisalsocalledthenormalreturnorthecostofcapitalTheStructureofInvestmentReturnsd1d2d3dT-1123T-10TP0

InvestmentHorizon:WhenstockissoldPT+dTDividendatTSellingPrice(ifsoldatT)+

DividendsInitialPriceHewlett-Packard:Returnsfor1991Ifthepricepaidforastockis(expectedpayoffdiscountedattherequiredpayoffperdollar,r),thestockisappropriatelypriced:themarketpriceisefficientOr,priceisefficientifitequalstheexpectedreturncapitalizedattherequiredrate-of-return:Or,today’sprice(P0)mustbesuchthattherequiredrate-of-return,r-1,willequalthe(expected)rate-of-return:TheNoArbitrageCondition(NA)RequiredRate-of-ReturnExpectedRate-of-ReturnArbitrageTradingStrategiesIfNAholds,themarketisefficientinthatstock:thereisnoarbitrageopportunityAnydiscrepancybetweenexpectedandrequiredrate-of-return,isanarbitrageopportunitythat,ifexploited,willprofitthearbitragetraderAnarbitrageopportunityarisesif

If thenBUYIfSELLThedifferenceiscalledtheexpectedabnormalreturnandtherulecanberestatedas:BUYiftheexpectedabnormalreturnispositive,andSELLifnegative.Ifitiszero,donothing(HOLD)TypesofArbitrageRisk1.Pure(Risk-Free)ArbitrageYougetsomethingfornothing,forsure2.ExpectationalArbitrageYouhaveabetterchanceofanabnormalreturnthannotLocationofprices1.Cross-sectionalArbitrageDifferentpricesforthesamecommodityatthesamepointintime2.IntertemporalArbitrageDifferentpricesforthesamecommodityatdifferentpointsintimeTheseconceptsapplytoaninvestmentformorethanoneperiodwithtwomodifications:Themultiperiodrate-of-returnwillbethecompoundedannualrate.ForaT-yearperiodandaflattermstructure,therequiredpayoffis:

ForachangingtermstructureitwouldbeDividendsfortheintermediateyearscanbereinvestedatr.TheaccumulatedvalueatyearTofreinvesteddividendsiscalledterminalvalueofdividendsatTAddingthesellingpricewillgivethecumdividendpayofforcum-dividendterminalprice:AndtheT-periodcumdividendreturnwillbeMultiyearEquityInvestmentsHewlett-Packard1990-95:Payoffs199419951993199219911990d4=0.55P5=84d3=0.45d2=0.36d1=0.24d5=0.90P0=13TerminalValueofDividends012345d1d2d3d4d5

d2

xr-2

d3

xr-3

d4

xr-4

d5

xr-5

d1r-1

d2r-2

d3r-3

d4r-4

d5r-5(Year0value)(Year5value)12345d1d2d3d4d5

d4

xr3

d

xr2

d2xr3

d1

xr4

d5

d4r1

d3r2

d2r3

d1r4(Year5value)(Year0value)0

()r-5

()r5

dtr-tt=15?HP1990-95:TerminalDividendPayoff199019911992199319941995d92=0.36

(1995value)(1990value)d91=0.24d93=0.45d94=0.55d95=0.700.24x1.1240.55x1.120.45x1.1220.36x1.1230.700.620.560.510.382.76=2.76x1.12-5=1.57199019911992199319941995(1990value)(1995value)d92=0.36d91=0.24d93=0.45d94=0.55d95=0.700.210.290.320.350.400.70x1.12-50.55x1.12-40.45x1.12-30.36x1.12-2=1.571.57x1.1252.76=HP1990-95:Five-YearReturnTerminalvalueofdividendsin1995 2.76Pricepayoffin1995(PT) 84.00 TotalPayoff 86.76Purchasepricein1990(P0) 13.00 Five-yearreturn 73.76Five-year-rate-of-return 567.38%*Normalrateofreturn(12%p.a.) 76.23% Abnormalrateofreturn 491.15%*Normalrateofreturn=(1.125-1)=76.23%TheNAconditionforamultiyearinvestmentisnowOrOrMultiyearEquityInvestment:NAExpectedrate-of-returnRequiredrate-of-returnDividendsandCapitalGainsT-periodreturncomponents:Foroneperiod:CapitalGainComponentDividendComponent+-101dPPCapitalGainComponentDividendComponentIntrinsicValuesIntrinsicvalueiscalculatedbyforecastingpayoffsfromtheinformationaboutthemandapplyingthediscountrateTwowaystocalculateintrinsicvalues(V0):1.PresentvalueoftheexpectedpayoffV0=Expectedpayoff/rT2.CapitalizedexpectedreturnsV0=Expectedreturns/(rT

-1)Alwaystwoingredients:ExpectedpayoffsanddiscountratesIntrinsicvaluesatdifferentpointsintimealwaysobeythenoarbitragecondition(NA):=Betatechnologies:CalculatesthenormalreturnIgnoresanyarbitrageopportunitiesThisisthedenominatorissueinvaluationAlphatechnologies:TriestogainabnormalreturnsbyexploitingarbitrageopportunitiesThisinvolvesthenumeratorissueinvaluationPassiveinvestmentneedsabetatechnology(exceptforindexinvesting)ActiveinvestingneedsabetaandanalphatechnologyInvestmentAdvising:AlphasandBetasBetaTechnologies:

“AssetPricingModels”Requiredreturn=Risk-freereturn+PremiumforriskPremiumforrisk=Riskpremiumonriskfactorsxsensitivitytoriskfactors

Sometechnologies:TheCapitalAssetPricingModel(CAPM)Onesingleriskfactor:ExcessmarketreturnoverRFOnly“beta”riskrequiresapremium.MultifactorpricingmodelsIdentifyriskfactorsandsensitivitiestothem:[][][]()iFactorRisktoysensitiviti

Factor

Risk

to

turnReRRRRRRRRreturn

NormaliiFkkF22F11F=b=-b++-b+-b+=,LK[]FMFRRRreturn=

Normal-b+AnticipatesthatastockmaybemispricedScenarioA:Today’spricedeviatesfromitsintrinsicvalue,butthiswillbecorrectedinthefuture().ScenarioB:Today’spriceiscorrect,butinthefutureitwilldeviatefromitsintrinsicvalue().Todiscovertheseopportunities,atechnologyforcalculatingintrinsicvaluesisneededActivestrategies:AlphatechnologiesV0P0PTC

=VTC1234T0Normalreturn,PTC

-

V0Abnormalreturn,V0

-

P0Actualreturn,PTC

-

P0TimeCum-dividendValueVTCP0=V0PTC1234T0Abnormalreturn,PTC

-

VTCNormalreturn,VTC

-

V0Actualreturn,PTC

-

P0TimeCum-dividendValueACheapAnalysis:ScreeningTechnicalscreens:identifypositionsbasedontradingindicators.Someofthem:PricescreensSmallstockscreensNeglectedstocksscreensSeasonalscreensMomentumscreensInsidertradingscreensFundamentalscreens:identifypositionsbasedonfundamentalindicatorsofthefirm’soperationsrelativetopricePrice/Earnings(P/E)ratiosMarket/BookValue(P/B)ratiosPrice/CashFlow(P/C)ratiosPrice/Dividend(P/d)ratiosAnycombinationofthesemethodsispossibleReturnstoPassiveInvestmentsTechnicalScreening:ReturnstoSizeAverageMonthlyReturnsandEstimatedBetasfromJuly1963toDecember1990forTenSizeGroupsReturnstoBeta:IsBetaDead?AverageMonthlyReturnsandEstimatedBetasfromJuly1963toDecember1990forTenBetaGroupsFundamentalScreening:ReturntoPrice-to-BookAverageMonthlyReturnsandEstimatedBetasfromJuly1963toDecember1990forTenPrice/BookGroups.ReturnstotwofundamentalscreensYearbyYearReturns:ValueminusGlamourProblemswithScreeningYoucouldbeloadinguponariskfactorYouneedariskmodelYouareindangeroftradingwithsomeonewhoknowsmorethanyouYouneedamodelthatanticipatesfuturepayoffsAfull-blownfundamentalanalysissuppliesthisAP/VRatio:

TheDowStocks,1979-98Statistics

BenchmarkDates

Mean 1.07 September 1987: 1.41

StdDev .22 April 1993: 0.87

Max 1.74 April 1994: 0.93

Min 0.61 April 1995: 1.18

Mean+2StdDev=1.51 April 1996: 1.15

Mean-2StdDev=0.63 April 1997: 1.46

April 1998: 1.74

THEP/VRATIOIS:1.52(asofmarketcloseonDecember4,1998).（第14講）考場作文開拓文路能力?分解層次(網(wǎng)友來稿)江蘇省鎮(zhèn)江中學(xué)陳乃香說明：本系列稿共24講，20XX年1月6日開始在資源上連載【要義解說】文章主旨確立以后，就應(yīng)該恰當?shù)胤纸鈱哟危箮讉€層次構(gòu)成一個有機的整體，形成一篇完整的文章。如何分解層次主要取決于表現(xiàn)主旨的需要?！静呗越庾x】一般說來，記人敘事的文章常按時間順序分解層次，寫景狀物的文章常按時間順序、空間順序分解層次；說明文根據(jù)說明對象的特點，可按時間順序、空間順序或邏輯順序分解層次；議論文主要根據(jù)“提出問題－—分析問題——解決問題”順序來分解層次。當然，分解層次不是一層不變的固定模式，而應(yīng)該富于變化。文章的層次，也常常有些外在的形式：1．小標題式。即圍繞話題把一篇文章劃分為幾個相對獨立的部分，再給它們加上一個簡潔、恰當?shù)男祟}。如《世界改變了模樣》四個小標題：壽命變“長”了、世界變“小”了、勞動變“輕”了、文明變“綠”了。2．序號式。序號式作文與小標題作文有相同的特點。序號可以是“一、二、三”，可以是“A、B、C”，也可以是“甲、乙、丙”……從全文看，序號式干凈、明快；但從題目上看，卻看不出文章內(nèi)容，只是標明了層次與部分。有時序號式作文，也適用于敘述性文章，為故事情節(jié)的展開，提供了明晰的層次。3．總分式。如高考佳作《人生也是一張答卷》。開頭：“人生就是一張答卷。它上面有選擇題、填空題、判斷題和問答題，但它又不同于一般的答卷。一般的答卷用手來書寫，人生的答卷卻要用行動來書寫?！敝黧w部分每段首句分別為：選擇題是對人生進行正確的取舍，填空題是充實自己的人生，判斷題是表明自己的人生態(tài)度，問答題是考驗自己解決問題的能力。這份“試卷”設(shè)計得合理而且實在，每個人的人生都是不同的，這就意味著這份人生試卷的“答案是豐富多彩的”。分解層次，應(yīng)追求作文美學(xué)的三個價值取向：一要勻稱美。什么材料在前，什么材料在后，要合理安排；什么材料詳寫，什么材料略寫，要通盤考慮。自然段是構(gòu)成文章的基本單位，恰當劃分自然段，自然就成為分解層次的基本要求。該分段處就分段，不要老是開頭、正文、結(jié)尾“三段式”，這種老套的層次顯得呆板。二要波瀾美。文章內(nèi)容應(yīng)該有張有弛，有起有伏，如波如瀾。只有這樣才能使文章起伏錯落，一波三折，吸引讀者。三要圓合美。文章的開頭與結(jié)尾要遙相照應(yīng)，把開頭描寫的事物或提出的問題，在結(jié)尾處用各種方式加以深化或回答，給人首尾圓合的感覺?！纠慕馄省吭掝}：忙忙，不亦樂乎忙，是人生中一個個步驟，每個人所忙的事務(wù)不同，但是不能是碌碌無為地白忙，要忙就忙得精彩，忙得不亦樂乎。忙是問號。忙看似簡單，但其中卻大有學(xué)問。忙是人生中不可缺少的一部分，但是怎么才能忙出精彩，忙得不亦樂乎，卻并不簡單。人生如同一張地圖，我們一直在自己的地圖上行走，時不時我們眼前就出現(xiàn)一個十字路口，我們該向哪兒，面對那縱軸橫軸相交的十字路口，我們該怎樣選擇?不急，靜下心來分析一下，選擇適合自己的坐標軸才是最重要的。忙就是如此，選擇自己該忙的才能忙得有意義。忙是問號，這個問號一直提醒我們要忙得有意義，忙得不亦樂乎。忙是省略號。四季在有規(guī)律地進行著冷暖交替，大自然就一直按照這樣的規(guī)律不停地忙，人們亦如此。為自己找一個目標，為目標而不停地忙，讓這種忙一直忙下去。當目標已達成，那么再找一個目標，繼續(xù)這樣忙