罗斯公司理财06

1、McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.股票估价第六章McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.主要概念和方法o理解为什么股票价格取决于未来股利和股利增长率o能够利用股利增长模型计算股票价格o理解为什么增长机会影响股票价格o理解PE比率o理解股票市场如何运行McGraw-Hill/IrwinCopyright 2007 by The

2、 McGraw-Hill Companies, Inc. All rights reserved.本章目录o6.1 普通股的现值o6.2 股利贴现模型中参数的估计o6.3 增长机会o6.4 股利增长模型和NPVGO模型o6.5 价格盈余比率o6.6 普通股和优先股的特征o6.7 股票市场McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.6.1普通股的现值o任何资产的价值等于其预期未来现金流的现值o股票产生的现金流主要有：n股利n资本利得o不同股票的估价n零增长n固定增长n

3、阶段增长McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.情形1： 零增长率o假定股利在可预见的未来保持不变o因为未来现金流固定不变，零增长股票的价值就等于永续年金的现值 321DivDivDivRPRRRPDiv)1 (Div)1 (Div)1 (Div03322110McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.情形2：固定增长率o假定股利以

4、一个固定增长率g增长o因为未来现金流以一个固定的增长率增长，固定增长率股票的价值就等于永续增长年金的现值)1 (DivDiv01g2012)1 (Div)1 (DivDivgg3023)1 (Div)1 (DivDivgggRP10DivMcGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.o假定Big公司刚刚发放$0.50股利，预期该股利每年的增长率为2%。如果市场要求的报酬率为15%，计算该股利的价格？oP0 = .50(1+.02) / (.15 - .02) = $3

5、.92McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.情形3：阶段增长率o假定股利在可预见的未来具有不同的增长率，以后将以一个固定不变的增长率增长。o要对阶段增长的股票进行估价，我们需要：n估计在可预见的未来其股利水平n当股票成为固定增长股票时，估计其未来价格n以适当的贴现率计算估计的未来股利的现值和未来股票价格McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights re

6、served.情形3：阶段增长率o假定股利在前N年的增长率为g1 ，以后的增长率为g2)(1DivDiv101g210112)(1Div)(1DivDivggNNNgg)(1Div)(1DivDiv1011)(1)(1Div)(1DivDiv21021gggNNN.McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.情形3：阶段增长率o假定股利在前N年的增长率为g1 ，以后的增长率为g2)(1Div10g210)(1DivgNg )(1Div10)(1)(1Div)(1Di

7、v2102gggNN0 1 2NN+1McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.情形3：阶段增长率o计算它们之和：n增长率为g1的N年增长年金n加上从N+1年开始的增长率为g2永续增长年金的现值TTARggRCP)1 ()1 (111NBRgRP)1 (Div21NMcGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.情形3：阶段增长率NTTRg

8、RRggRCP)1 (Div)1 ()1 (121N11McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.阶段增长率：例子o某股票刚刚发放$2的股利，该股利预期在前3年的增长率为8%，以后每年的增长率为4%。o计算该股票的价格？当贴现率为12%。McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.利用公式3333)12. 1 (04.12.)04. 1

9、 ()08. 1 (2$)12. 1 ()08. 1 (108.12.)08. 1 (2$P3)12. 1 (75.32$8966.154$P31.23$58. 5$P89.28$PMcGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.利用现金流08).2(1$208).2(1$0 1 234308).2(1$)04. 1 (08).2(1$316. 2$33. 2$0 1 2 308.62. 2$52. 2$89.28$)12. 1 (75.32$52. 2$)12. 1

10、(33. 2$12. 116. 2$320P75.32$08.62. 2$3PMcGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.6.2 估计参数o公司价值取决于增长率g以及贴现率R。ng来源于何处？ng=留存收益率留存收益的报酬率McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.R来源于何处？o贴现率可以分解为两部分：n股利收益率n股利增长率o实践中

11、，在估计R时会出现许多估计误差McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.利用DGM计算Ro利用DGM：o整理得出RgPD gPg)1 (D Rg-RDg - Rg)1 (DP0100100McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.6.3 增长机会o增长机会是投资于NPV为正的项目的机会o公司价值等于当公司将全部盈余作为股利发放时的价值

12、加上增长机会的净现值NPVGOrEPSPMcGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.6.4 NPVGO模型o股票估价的两种方法：o股利贴现模型o“现金牛”的价值加上增长机会的价值McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.NPVGO模型：例子o假定一家公司第1年年末的EPS为$5，股利支付率为30%，贴现率为16%，留存收益的报酬率为20

13、%o第1年的股利为$50.30=$1.50 每股o留存比率=0.70(=1-0.30)，所以股利增长率=14%=0.7020%o利用股利增长模型，股票价格为75$14.16.50. 1$Div10gRPMcGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.NPVGO模型：例子o第一步，计算当公司为“现金牛”时的价值o第二步，计算增长机会的价值o最后，25.31$16.5$EPS0RP75.43$14.16.875$.16.20.50. 350. 30gRP75$75.4325

14、.310PMcGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.6.5 价格盈余比率o分析师经常将每股盈余与价格联系起来o价格盈余比率就是股票当前价格除以每股盈余EPSshareper Priceratio P/EMcGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.普通股的特征o投票权o代理投票权o股票种类o其他权利n股利分配权n剩余财产分配权n优先认购权

15、McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.优先股的特征o股利n股利分配优先于普通股n股利支付不构成公司的义务，股利可以无限期地延迟n大多数优先股股利是累计的-在发放普通股股利之前，先发放以前所有没有发放的优先股股利o优先股股票一般没有投票权McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.6.7 股票市场o经销商和经纪人 o纽约股票交易所 n

16、世界上最大的股票交易市场 n成员 o拥有“席位”o佣金经纪人 o专业会员 o场内经纪人 o场内交易人 n运行 n交易大厅的活动 McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.纳斯达克 o没有实际的交易场所 -一个计算机报价系统o多种做市商o电子交易系统 o多为科技股McGraw-Hill/IrwinCopyright 2007 by The McGraw-Hill Companies, Inc. All rights reserved.股票市场报告 Gap 公司股票去年最高价格为$25.72。Gap公司股票去年的最低价格为$18.12。Gap 公司发放每股$0.18