投資回報(bào)率股本價(jià)值財(cái)務(wù)報(bào)表

投資回報(bào)率股本價(jià)值財(cái)務(wù)報(bào)表2024/4/3投資回報(bào)率股本價(jià)值財(cái)務(wù)報(bào)表投資回報(bào)率股本價(jià)值財(cái)務(wù)報(bào)表2024/4/2投資回報(bào)率股本價(jià)值1Understandinginvestmentreturnsandhowanalysts’stylesaredeterminedbytheirapproachtoforecastingreturnsChapter3UnderstandingvaluationmodelsthatvalueforecastedreturnsChapter4Understandinghowearningsarerelatedtoreturnsandhowvaluationsbasedonforecastedearningswork(ordon’twork)Chapter5UnderstandinghowforecastsofincomestatementsandbalancesheetsproduceavaluationChapter6Withthisunderstandingproceedto·Analysisofinformation(PartII)·ForecastingandValuation(PartIII)GainingtheUnderstandingtodoFundamentalAnalysis投資回報(bào)率股本價(jià)值財(cái)務(wù)報(bào)表Chapter3Chapter4Chapter5Cha2Chapter3InvestmentReturns投資回報(bào)率股本價(jià)值財(cái)務(wù)報(bào)表Chapter3InvestmentReturns投資回3InvestmentReturnsChapter1establishedthatforecastingreturnsisattheheartoffundamentalanalysisLinktoPreviousChapterThischapterexplainswhatreturnsare,distinguishesnormalandabnormalreturns,andexplainshowanalystsspecializeinforecastingnormalandabnormalreturnsThisChapterChapter4willshowhowvaluationmodelsareconstructedtomeasurethevalueofforecastedreturnsLinktoNextChapterLinktoWebPageHowarereturnscalculated?Whatisanormalreturnandanabnormalreturn?Howmightananalystgainanadvantageinforecastingnormalorabnormalreturns?Whathasbeenthehistoricalexperienceinequityinvesting?投資回報(bào)率股本價(jià)值財(cái)務(wù)報(bào)表InvestmentReturnsLinktoPrev4WhatyouwilllearninthischapterHowinvestmentreturnsarecalculatedThedifferencebetweennormalandabnormalreturnsWhatanefficientmarketpricemeansWhatanarbitrageopportunityisThedifferencebetweenactiveandpassiveinvestmentThedifferencebetweenanalphaandabetaHowassetpricingmodelswork(inoutline)Howscreeningstrategieswork(anddon’twork)WhatacontrarianstrategyisHowfundamentalanalysisdiffersfromscreeningandcontrariananalysisHowvariousstockselectionstrategieshaveworkedinthepast投資回報(bào)率股本價(jià)值財(cái)務(wù)報(bào)表Whatyouwilllearninthisch5Foraterminalinvestment:Foraninvestmentinequity:Foraone-yearequityinvestmentPayoff:Return:Rate-of-Return:ExpectedReturn:ExpectedRate-of-Return:RequiredPayoffperdollar:RequiredRate-of-Return: TherequiredreturnisalsocalledthenormalreturnorthecostofcapitalTheStructureofInvestmentReturnsd1d2d3dT-1123T-10TP0InvestmentHorizon:WhenstockissoldPT+dTDividendatTSellingPrice(ifsoldatT)+DividendsInitialPrice投資回報(bào)率股本價(jià)值財(cái)務(wù)報(bào)表Foraterminalinvestment:The6Hewlett-Packard:Returnsfor1991投資回報(bào)率股本價(jià)值財(cái)務(wù)報(bào)表Hewlett-Packard:Returnsfor17Ifthepricepaidforastockis(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-Return投資回報(bào)率股本價(jià)值財(cái)務(wù)報(bào)表Ifthepricepaidforastock8ArbitrageTradingStrategiesIfNAholds,themarketisefficientinthatstock:thereisnoarbitrageopportunityAnydiscrepancybetweenexpectedandrequiredrate-of-return,isanarbitrageopportunitythat,ifexploited,willprofitthearbitragetraderAnarbitrageopportunityarisesif

If thenBUYIfSELLThedifferenceiscalledtheexpectedabnormalreturnandtherulecanberestatedas:BUYiftheexpectedabnormalreturnispositive,andSELLifnegative.Ifitiszero,donothing(HOLD)投資回報(bào)率股本價(jià)值財(cái)務(wù)報(bào)表ArbitrageTradingStrategiesIf9TypesofArbitrageRisk1.Pure(Risk-Free)ArbitrageYougetsomethingfornothing,forsure2.ExpectationalArbitrageYouhaveabetterchanceofanabnormalreturnthannotLocationofprices1.Cross-sectionalArbitrageDifferentpricesforthesamecommodityatthesamepointintime2.IntertemporalArbitrageDifferentpricesforthesamecommodityatdifferentpointsintime投資回報(bào)率股本價(jià)值財(cái)務(wù)報(bào)表TypesofArbitrageRisk投資回報(bào)率股本價(jià)10Theseconceptsapplytoaninvestmentformorethanoneperiodwithtwomodifications:Themultiperiodrate-of-returnwillbethecompoundedannualrate.ForaT-yearperiodandaflattermstructure,therequiredpayoffis:

ForachangingtermstructureitwouldbeDividendsfortheintermediateyearscanbereinvestedatr.TheaccumulatedvalueatyearTofreinvesteddividendsiscalledterminalvalueofdividendsatTAddingthesellingpricewillgivethecumdividendpayofforcum-dividendterminalprice:AndtheT-periodcumdividendreturnwillbeMultiyearEquityInvestments投資回報(bào)率股本價(jià)值財(cái)務(wù)報(bào)表Theseconceptsapplytoaninv11Hewlett-Packard1990-95:Payoffs199419951993199219911990d4=0.55P5=84d3=0.45d2=0.36d1=0.24d5=0.90P0=13投資回報(bào)率股本價(jià)值財(cái)務(wù)報(bào)表Hewlett-Packard1990-95:Payof12TerminalValueofDividends012345d1d2d3d4d5d2xr-2d3xr-3d4xr-4d5xr-5d1r-1d2r-2d3r-3d4r-4d5r-5(Year0value)(Year5value)12345d1d2d3d4d5d4xr3dxr2d2xr3d1xr4d5d4r1d3r2d2r3d1r4(Year5value)(Year0value)0()r-5()r5

dtr-tt=15?投資回報(bào)率股本價(jià)值財(cái)務(wù)報(bào)表TerminalValueofDividends0113HP1990-95: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=投資回報(bào)率股本價(jià)值財(cái)務(wù)報(bào)表HP1990-95:TerminalDividend14HP1990-95: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%投資回報(bào)率股本價(jià)值財(cái)務(wù)報(bào)表HP1990-95:Five-YearReturnTe15TheNAconditionforamultiyearinvestmentisnowOrOrMultiyearEquityInvestment:NAExpectedrate-of-returnRequiredrate-of-return投資回報(bào)率股本價(jià)值財(cái)務(wù)報(bào)表TheNAconditionforamultiye16DividendsandCapitalGainsT-periodreturncomponents:Foroneperiod:CapitalGainComponentDividendComponent+-101dPPCapitalGainComponentDividendComponent投資回報(bào)率股本價(jià)值財(cái)務(wù)報(bào)表DividendsandCapitalGainsT-p17IntrinsicValuesIntrinsicvalueiscalculatedbyforecastingpayoffsfromtheinformationaboutthemandapplyingthediscountrateTwowaystocalculateintrinsicvalues(V0):1.PresentvalueoftheexpectedpayoffV0=Expectedpayoff/rT2.CapitalizedexpectedreturnsV0=Expectedreturns/(rT

-1)Alwaystwoingredients:ExpectedpayoffsanddiscountratesIntrinsicvaluesatdifferentpointsintimealwaysobeythenoarbitragecondition(NA):=投資回報(bào)率股本價(jià)值財(cái)務(wù)報(bào)表IntrinsicValuesIntrinsicvalu18Betatechnologies:CalculatesthenormalreturnIgnoresanyarbitrageopportunitiesThisisthedenominatorissueinvaluationAlphatechnologies:TriestogainabnormalreturnsbyexploitingarbitrageopportunitiesThisinvolvesthenumeratorissueinvaluationPassiveinvestmentneedsabetatechnology(exceptforindexinvesting)ActiveinvestingneedsabetaandanalphatechnologyInvestmentAdvising:AlphasandBetas投資回報(bào)率股本價(jià)值財(cái)務(wù)報(bào)表InvestmentAdvising:Alphasan19BetaTechnologies:

“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+投資回報(bào)率股本價(jià)值財(cái)務(wù)報(bào)表BetaTechnologies:

“AssetPric20AnticipatesthatastockmaybemispricedScenarioA:Today’spricedeviatesfromitsintrinsicvalue,butthiswillbecorrectedinthefuture().ScenarioB:Today’spriceiscorrect,butinthefutureitwilldeviatefromitsintrinsicvalue().Todiscovertheseopportunities,atechnologyforcalculatingintrinsicvaluesisneededActivestrategies:AlphatechnologiesV0P0PTC=VTC1234T0Normalreturn,PTC

-

V0Abnormalreturn,V0

-

P0Actualreturn,PTC

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P0TimeCum-dividendValueVTCP0=V0PTC1234T0Abnormalreturn,PTC

-

VTCNormalreturn,VTC

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V0Actualreturn,PTC

-

P0TimeCum-dividendValue投資回報(bào)率股本價(jià)值財(cái)務(wù)報(bào)表Anticipatesthatastockmayb21ACheapAnalysis:ScreeningTechnicalscreens:identifypositionsbasedontradingindicators.Someofthem:PricescreensSmallstockscreensNeglectedstocksscreensSeasonalscreensMomentumscreensInsidertradingscreensFundamentalscreens:identifypositionsbasedonfundamentalindicatorsofthefirm’soperationsrelativetopricePrice/Earnings(P/E)ratiosMarket/BookValue(P/B)ratiosPrice/CashFlow(P/C)ratiosPrice/Dividend(P/d)ratiosAnycombinationofthesemethodsispossible投資回報(bào)率股本價(jià)值財(cái)務(wù)報(bào)表ACheapAnalysis:ScreeningTec22ReturnstoPassiveInvestments投資回報(bào)率股本價(jià)值財(cái)務(wù)報(bào)表ReturnstoPassiv