财务报表与证券定价佩因曼英文ppt.ppt

CHAPTERFOUR McGraw Hill Irwin Copyright 2010byTheMcGraw HillCompanies Inc Allrightsreserved Chapter4 CashAccounting AccrualAccounting andDiscountedCashFlowValuation WhatyouwilllearnfromthisChapter Howthedividenddiscountmodelworks ordoesnotwork WhatismeantbycashflowfromoperationsWhatismeantbycashusedininvestingactivitiesWhatismeantbyfreecashflowHowdiscountedcashflowvaluationworksProblemsthatariseinapplyingcashflowvaluationWhyfreecashflowmaynotmeasurevalueaddedinoperationsWhyfreecashflowisaliquidationconceptHowdiscountedcashflowvaluationinvolvescashaccountingforoperatingactivitiesWhy cashflowfromoperations reportedinU S financialstatementsdoesnotmeasureoperatingcashflowscorrectlyWhy cashflowsininvestingactivities reportedinU S financialstatementsdoesnotmeasurecashinvestmentinoperationscorrectlyHowaccrualaccountingforoperationsdiffersfromcashaccountingforoperationsThedifferencebetweenearningsandcashflowfromoperationsThedifferencebetweenearningsandfreecashflowHowaccrualsandtheaccountingforinvestmentaffectthebalancesheetaswellastheincomestatementWhyanalystsforecastearningsratherthancashflowsHowavaluationmodelisamodelofaccountingforthefutureHowreverseengineeringworksasananalysistoolWhata simplevaluation is 4 3 ValuationModels GoingConcerns Theterminalvalue TVTisthepricepayoff PTwhentheshareissoldValuationissues Theforecasttarget dividends cashflow earnings Thetimehorizon T 5 10 TheterminalvalueThediscountrate 4 4 TheDividendDiscountModel TargetingDividends DDM Problems Howfardoesoneproject DoesprovideagoodestimateofVE0 i Dividendpolicycanbearbitraryandnotlinkedtovalueadded ii Thefirmcanborrowtopaydividends thisdoesnotcreatevalue iii Thinkofafirmthat paysnodividends ThedividendirrelevancyconceptThedividendconundrum Equityvalueisbasedonfuturedividends butforecastingdividendsoverfinitehorizonsdoesnotgiveanindicationofthisvalueConclusion Focusoncreationofwealthratherthandistributionofwealth 4 5 TerminalValuesfortheDDM A CapitalizeexpectedterminaldividendsB CapitalizeexpectedterminaldividendswithgrowthWillitwork 4 6 SomeMath TheValueofaPerpetuityandaPerpetuitywithGrowth TheValueofaPerpetuityAperpetuityisaconstantstreamthatcontinueswithoutend Theperiodicpayoffinthestreamissometimesreferredtoasanannuity soaperpetuityisanannuitythatcontinuesforever Tovaluethatstream onecapitalizestheconstantamountexpected Ifthedividendexpectednextyearisexpectedtobeaperpetuity thevalueofthedividendstreamisValueofaperpetualdividendstream TheValueofaPerpetuitywithGrowthIfanamountisforecastedtogrowataconstantrate itsvaluecanbecalculatedbycapitalizingtheamountattherequiredreturnadjustedforthegrowthrate Valueofadividendgrowingataconstantrate 4 7 DividendDiscountAnalysis AdvantagesandDisadvantages AdvantagesEasyconcept dividendsarewhatshareholdersget soforecastthemPredictability dividendsareusuallyfairlystableintheshortrunsodividendsareeasytoforecast intheshortrun DisadvantagesRelevance dividendspayoutisnotrelatedtovalue atleastintheshortrun dividendforecastsignorethecapitalgaincomponentofpayoffs Forecasthorizons typicallyrequiresforecastsforlongperiods terminalvaluesforshorterperiodsarehardtocalculatewithanyreliability WhenItWorksBestWhenpayoutispermanentlytiedtothevaluegenerationinthefirm Forexample whenafirmhasafixedpayoutratio dividends earnings 4 8 CashFlowsforaGoingConcern Cashflowfromoperations inflows Cashinvestment outflows FreecashflowTime t Freecashflowiscashflowfromoperationsthatresultsfrominvestmentsminuscashusedtomakeinvestments 4 9 TheDiscountedCashFlow DCF Model 4 10 TheContinuingValuefortheDCFModel A CapitalizeterminalfreecashflowB CapitalizeterminalfreecashflowwithgrowthWillitwork 4 11 DCFValuation TheCoca ColaCompany Inmillionsofdollarsexceptshareandper sharenumbers Requiredreturnforthefirmis9 199920002001200220032004Cashfromoperations3 6574 0974 7365 4575 929Cashinvestments9471 1871 167906618Freecashflow2 7102 9103 5694 5515 311Discountrate 1 09 t1 091 18811 29501 41161 5386Presentvalueoffreecashflows2 4862 4492 7563 2243 452Totalpresentvalueto200414 367Continuingvalue CV 139 414PresentvalueofCV90 611Enterprisevalue104 978Bookvalueofnetdebt4 435Valueofequity100 543Sharesoutstanding2 472Valuepershare 40 67 CV 5 311x1 05 139 4141 09 1 05PresentvalueofCV 139 414 90 6111 5386 4 12 StepsforaDCFValuation HerearethestepstofollowforaDCFvaluation ForecastfreecashflowtoahorizonDiscountthefreecashflowtopresentvalueCalculateacontinuingvalueatthehorizonwithanestimatedgrowthrateDiscountthecontinuingvaluetothepresentAdd2and4Subtractnetdebt 4 13 WillDCFValuationAlwaysWork AFirmwithNegativeFreeCashFlows GeneralElectricCompanyInmillionsofdollars exceptper shareamounts 20002001200220032004Cashfromoperations30 00939 39834 84836 10236 484Cashinvestments37 69940 30861 22721 84338 414Freecashflow 7 690 910 26 379 14 259 1 930 Earnings12 73513 68414 11815 00216 593Earningspershare eps 1 291 381 421 501 60Dividendspershare dps 0 570 660 730 770 82 4 14 DCFValuationandSpeculation FormalvaluationaimstoreduceouruncertaintyaboutvalueandtodisciplinespeculationThemostuncertain speculative partofavaluationisthecontinuingvalue SovaluationtechniquesarepreferrediftheyresultinasmalleramountofthevalueattributabletothecontinuingvalueDCFtechniquescanresultinmorethan100 ofthevaluationinthecontinuingvalue SeeGeneralElectric 4 15 ReverseEngineering WhatForecastsareImpliedbytheCurrentMarketPrice Reverseengineerasfollows CanCokemaintainthisgrowthrate 4 16 SimpleValuations Simplevaluationsuseveryshortforecastshorizons andisolatemorespeculative long termforecasts Accordingly theyanchoron whatweknow orarerelativelysureabout AsimpleDCFforCoca Cola 2000 4 17 ReverseEngineeringaSimpleValuation Coca Cola ApplyingthesimplemodeltoreverseengineerCoke sstockprice 4 18 TheDCFModel WillitworkforWal MartStores 4 19 WhyFreeCashFlowisnotaValue AddedConcept Cashflowfromoperations valueadded isreducedbyinvestments whichalsoaddvalue investmentsaretreatedasvaluelossesValuereceivedisnotmatchedagainstvaluesurrenderedtogeneratevalueAfirmreducesfreecashflowbyinvestingandincreasesfreecashflowbyreducinginvestments freecashflowispartiallyaliquidationconceptNote analystsforecastearnings notcashflows 4 20 DiscountedCashFlowAnalysis AdvantagesandDisadvantages AdvantagesEasyconcept cashflowsare real andeasytothinkabout theyarenotaffectedbyaccountingrulesFamiliarity isastraightapplicationoffamiliarnetpresentvaluetechniques DisadvantagesSuspectconcept freecashflowdoesnotmeasurevalueaddedintheshortrun valuegainedisnotmatchedwithvaluegivenup freecashflowfailstorecognizevaluegeneratedthatdoesnotinvolvecashflowsinvestmentistreatedasalossofvaluefreecashflowispartlyaliquidationconcept firmsincreasefreecashflowbycuttingbackoninvestments Forecasthorizons typicallyrequiresforecastsforlongperiods terminalvaluesforshorterperiodsarehardtocalculatewithanyreliabilityValidation itishardtovalidatefreecashflowforecastsNotalignedwithwhatpeopleforecast analystsforecastearnings notfreecashflow adjustingearningsforecaststofreecashforecastsrequiresfurtherforecastingofaccruals WhenItWorksBestWhentheinvestmentpatternissuchastoproduceconstantfreecashfloworfreecashflowgrowingataconstantrate 4 21 PartialStatementofCashFlows DellInc 2008 4 22 ReportedCashFlowfromOperations ReportedcashflowsfromoperationsinU S cashflowstatementsisafterinterest CashFlowfromOperations ReportedCashFlowfromOperations After taxNetInterestPaymentsAfter taxNetInterest NetInterestx 1 taxrate Netinterest Interestpayments InterestreceiptsReportedcashflowfromoperationsissometimesreferredtoasleveredcashflowfromoperations 4 23 ReportedCashFlowinInvestingActivities Reportedcashinvestmentsincludenetinvestmentsininterestbearingfinancialassets excesscash Cashinvestmentinoperations Reportedcashflowfrominvesting Netinvestmentininterest bearingsecurities 4 24 CalculatingFreeCashFlowfromtheCashFlowStatement DellInc 2008 Reportedcashflowfromoperations3 949Interestpayments54Interestincome 387 Netinterestpayments 333 Taxes 35 117Netinterestpaymentsaftertax 65 216 Cashflowfromoperations3 733Reportedcashusedininvestingactivities1 763Purchasesofinteresting bearingsecurities2 394Salesofinterest bearingsecurities 3 679 1 285Cashinvestmentinoperations3 048Freecashflow685 Interestpaymentsaregivenassupplementaldatatothestatementofcashflows butinterestreceiptsusuallyarenot Interestincome fromtheincomestatement isusedinstead thisincludesaccrualsbutisusuallyclosetothecashinterestreceived Dell sstatutorytaxrate forfederalandstatetaxes is35percent asindicatedinthefinancialstatementfootnotes 4 25 FromEarningstoFreeCashFlows Itisdifficulttoforecastfreecashflowswithoutforecastingearnings Firstforecastearningsandthenmakeadjustmentstoconvertearningstocashflowfromoperations Followthefollowingsteps ForecastearningsavailabletocommonForecastaccruals thedifferencebetweenearningsandcashflowfromoperationsinthecashflowstatement Calculateleveredcashflowfromoperations Step i Step ii Calculateunleveredcashflowfromoperationsbyaddingafter taxnetinterestForecastcashinvestmentsinoperationsCalculateforecastedfreecashflow C I Step iv Step v 4 26 ConvertingEarningstoFreeCashFlow DellInc 2008 4 27 ACommonApproximation 4 28 FeaturesoftheIncomeStatement 1 Dividendsdon taffectincome2 Investmentdoesn taffectincome3 ThereisamatchingofValueadded revenues Valuelost expenses Netvalueadded netincome 4 Accrualsadjustcashflows Accruals Valueaddedthatisnotcashflow Adjustmentstocashinflowsthatarenotvalueadded 4 29 TheIncomeStatement DellInc 4 30 TheRevenueCalculation Revenue Cashreceiptsfromsales Newsalesoncredit Cashreceivedforpreviousperiods sales Estimatedsalesreturnsandrebates Deferredrevenueforcashreceivedinadvanceofsale Revenueprevio