经济方向-专业财务管理00lecture04a valuing

6-

2Topics

CoveredStocks

and

the

Stock

MarketValuing

Common

StocksSimplifying

the

Dividend

Discount

ModelDividend

Discount

Model

with

GrowthValuation

with

Share

RepurchaseFree

Cash

Flow

Valuation

ModelValuation

MultiplesMarket

EfficiencyMarket

Anomalies

and

Behavioral

FinanceMcGraw-Hill/IrwinCopyright

©2007

by

The

McGraw-Hill

Companies,

Inc.s6-

3Stocks

&

Stock

MarketPrimary

Market-

Place

where

the

sale

of

newstock

occurs.Initial

Public

Offering

(IPO)- offering

ofstock

to

t eral

public.Seasoned

Issue-

Sale

of

new

shares

by

a

firmthat

has

already

been

through

an

IPO增发配股（Right

Offering）McGraw-Hill/IrwinCopyright

©2007

by

The

McGraw-Hill

Companies,

Inc.s6-

4Stocks

&

Stock

MarketSecondary

Market

-

market

in

which

alreadyissued

securities

are

traded

by

investors.Auction

Market

-Dealer

Market,

specialist

–Odd

lot

-McGraw-Hill/IrwinCopyright

©2007

by

The

McGraw-Hill

Companies,

Inc.s6-

5委托申报的单位数量、价格种类交易单位每笔申报限制委托价格最小变动单位100股，每股面额1元流通股<3000万，不得超过10万股；≥3000万但<1亿的，不得超过20万股0.01元基金100份，每份面额1元同0.001元国债1手，每手面额1000元不得超过10000手0.01元企业债券同上同上0.01元金融债券同上同上0.01元可转换债券同上同上0.01元债券回购（国债回购）同上100手或其整数倍，不得超过10000手0.005元B股1000股，每股面额1元-0.002McGraw-Hill/IrwinCopyright

©2007

by

The

McGraw-Hill

Companies,

Inc.s6-

6Stocks

&

Stock

MarketCommon

Stock-

Ownership

shares

in

a

publicly

heldcorporation.Prefer

Stock-Dividend-

Periodic

cash

distribution

from

the

firm

tothe

shareholders.分红、送股、转增P/E

Ratio-

Price

per

share

divided

by

earnings

pershare.McGraw-Hill/IrwinCopyright

©2007

by

The

McGraw-Hill

Companies,

Inc.s6-

7Stocks

&

Stock

MarketBook

Value

-

Net

worth

of

the

firm

accordingto

the

balance

sheet.Liquidation

Value

-

Net

proceeds

that

wouldbe

realized

b

sellin

the

firm’s

assets

andpaying

off

its

creditors.Market

Value

Balance

Sheet

-

Financialstatement

that

uses

market

value

of

assetsand

liabilities.McGraw-Hill/IrwinCopyright

©2007

by

The

McGraw-Hill

Companies,

Inc.s6-

8mon

StocksExpected

Return

-

The

percentage

yield

thataninvestor

forecasts

from

a

specific

investment

overa

set

period

of

time. Sometimes

called

the

holdingperiod

return(HPR).(annualize)The

formula

can

be

broken

into

two

parts.Dividend

Yield

+

Capital

AppreciationMcGraw-Hill/IrwinCopyright

©2007

by

The

McGraw-Hill

Companies,

Inc.sStock

Prices,

Returns,

andthe

Investment

HorizonDividend

Yields,

Capital

Gains,

and

Total

Returns

Div

1

P1

P0P0The

expected

annual

dividendofthe

stock

divided

by

currentpriceThe

different

between

the

expected

saleprice

and

purchase

priceof

the

stock.9Total

Returns=The

sum

ofthedividend

yield

and

capital

gain

rateThe

expected

total

return

of

the

stock

should

equal

the

expected

return

of

other

investments

available

m

ket

hrisk.Ex.

Stock

Prices

and

Returns1.2.回报率的计算1R

Pt

*

(1

)

DPt

1

*C其中，PtD：第t期的股价：分红：配股或增发时，除权认购率C：配股或增发时，现金认购价：送股或转增无偿配股率116-

12Topics

CoveredStocks

and

the

Stock

MarketValuing

Common

StocksSimplifying

the

Dividend

Discount

ModelDividend

Discount

Model

with

GrowthValuation

with

Share

RepurchaseFree

Cash

Flow

Valuation

ModelValuation

MultiplesMarket

EfficiencyMarket

Anomalies

and

Behavioral

FinanceCopyright

©2007

by

The

McGraw-Hill

Companies,

Inc.sMcGraw-Hill/IrwinStock

Prices,

Returns,

andthe

Investment

HorizonA

One-Year

InvestorWhere is

current

market

price

; is

the

new

market

price,the

total

dividends

paid

per

share

of

the

stock

during

the

yearequity

cost

of

capitalBasic

Principle:

To

value

a

stock,

we

need

to

know

theexpected

cash

flows

an

investor

will

receive

and

theappropriate

cost

of

capital

with

which

to

discount

theties

can

be

challenging13cash

flows.

Both

of

theseto

estimate!Arbitrage

and

the

Law

of

One

PriceArbitrage:

The

practice

of

buying

and

sellingequivalent

goods

in

different

markets

totake

advantage

of

a

price

difference.Law

of

One

PriceIf

equivalent

investment

opportunities

tradesimultaneously

in

different

competitive

markets,then

they

must

trade

for

the

same

price

inbothmarkets.=>

When

evaluatingcosts

and

benefitsto

compute

anet

present

value,

we

can

use

any

competitive

price

to

determinea

cash

value,

without

checkingthe

price

in

all

possible

markets.1417Value

additivityThe

value

of

a

portfolio

is

equal

to

the

sum

ofthe

values

of

its

parts.The

price

or

value

of

the

entire

firm

is

equal

tothe

sum

of

the

values

of

all ro

ects

andinvestments

within

the

firm.Financial

transactions

are

not

sources

of

value,but

merely

serve

to

adjust

the

timing

and

riskof

the

cash

flows

to

best

suit

the

needs

of

thefirm

or

its

investors.18No

Arbitrage

Price

of

a

SecurityPrice

(Security)=

PV

(All

cash

flows

paid

by

the

security)The

No‐Arbitrage

Price

of

a

Risky

SecurityRisk

Premiums

depend

on

Risk

and

RiskAversionRisk

is

relative

to

the

overall

marketThe

Net

Present

Value

of

trading

a

security

in

anormal

(competitive)

market

is

zero.19Risk

AversionInvestors

prefer

to

have

a

safe e

ratherthan

a

risky

one

of

the

same

average

amount.Since

investors

are

risk

averse,

the

risk‐freeinterest

rate

is

not

the

right

rate

to

use

whendiscounting

risky

cash

flows

across

time.The

market

risk

premium

is

(Rm‐Rf).If

the

security

is

half

as

risky

as

the

market,then

the

risk‐premium

for

the

security

shouldbe

half

of

the

market

risk

premium.Stock

Prices,

Returns,

andthe

Investment

HorizonA

Multi-Year

InvestorFor

the

horizon

N,

the

stock

price

as

following

equation:Dividend

Discount

Modelshare

value

equals

the

present

value

of

all

expected

future

dividends.We

let

N

go

to

infinity20The

price

of

the

stock

is

equal

to

the

present

value

of

the

expectedfuture

dividends

it

will

pay.6-

21mon

StocksExampleCurrent

forecasts

are

for

XYZCompany

topay

dividends

of

$3,

$3.24,

and

$3.50

over

the

nextthree

years,

respect

.

t

tyou

anticipate

selling

your

stock

at

a

market

price

of

$94.48.

What

is

the

price

of

the

stock

given

a

12%

expected

return?McGraw-Hill/IrwinCopyright

©2007

by

The

McGraw-Hill

Companies,

Inc.s6-

22mon

StocksExampleCurrent

forecasts

are

for

XYZ

Company

to

pay

dividends

of

$3,

$3.24,and

$3.50

over

the

next

three

year

,

respectively

A of

threeyears

you

anticipate

selling

your

stock

at

a

market

price

of

$94.48.What

is

the

price

of

the

stock

given

a

12%

expected

return?3.00

3.24

3.50

94.48(1

.12)3(1

.12)1

(1

.12)2PV

PV

$75.00McGraw-Hill/IrwinCopyright

©2007

by

The

McGraw-Hill

Companies,

Inc.s6-

24mon

StocksEstimating

the

dividends

in

the

dividend-discount

model-especially

for

the

distant

future-is

difficult.

If

we

forecastno

rowth

and

lan

to

hold

out

stock

indefini

wewill

then

value

the

stock

as

RPETUITY.0Perpetuity

P

Div1

or

EPS1r

rAssumes

all

earnings

arepaid

to

shareholders.Without

growth,

P/E

=

1/rMcGraw-Hill/IrwinCopyright

©2007

by

The

McGraw-Hill

Companies,

Inc.s6-

25Topics

CoveredStocks

and

the

Stock

MarketValuing

Common

StocksSimplifying

the

Dividend

Discount

ModelDividend

Discount

Model

with

GrowthValuation

with

Share

RepurchaseFree

Cash

Flow

Valuation

ModelValuation

MultiplesMarket

EfficiencyMarket

Anomalies

and

Behavioral

FinanceMcGraw-Hill/IrwinCopyright

©2007

by

The

McGraw-Hill

Companies,

Inc.s6-

26mon

StocksConstan Growth

Dividend

Discount

Model

(DDM)-

A

version

of

the

dividend

growth

model

inwhich

dividends

grow

onstant

rate

(GordonGrowth

Model).P

Div10r

gGiven

any

combination

of

variables

in

theequation,

you

can

solve

for

the

unknown

variable.McGraw-Hill/IrwinCopyright

©2007

by

The

McGraw-Hill

Companies,

Inc.sThe

Dividend-Discount

Model27Estimating

the

dividends

in

the

dividend-discountmodel-

especially

for

the

distant

future-is

difficult.

Acommon

approximation

is

to

assume

that

in

the

longrun,

dividends

willgrow

onstant

rate.Based

on

Constant

Dividend

Growth

Model=>6-

28mon

StocksExampleWhat

is

the

value

of

a

stock

that

expects

to

pay

a

$3.00

dividendnextyear,

andthenperpetuallyincre the

d

eof

8%

per

year,indefini y?

Assume

a

12%

expected

return.P

Div1

$3.000r

g

.12.08

$75.00McGraw-Hill/IrwinCopyright

©2007

by

The

McGraw-Hill

Companies,

Inc.s6-

29mon

StocksExample-

continuedIf

the

same

stock

is

selling

for

$100

in

the

stockmarket,

what

might

the

market

be

assuming

aboutthe

growth

in

dividends?$100

$3.00.12

gg

.09AnswerThe

market

is

assumingthe

dividend

will

grow

at9%

per

year,

indefini

y.McGraw-Hill/IrwinCopyright

©2007

by

The

McGraw-Hill

Companies,

Inc.s6-

30mon

StocksPayout

Ratio

-

Fraction

of

earnings

paid

out

as

dividendsPlowback

Ratio

-

Fraction

of

earnings

retained

by

the

firm（=retention

rate

=1-payout

ratio）.If

a

firm

elects

to

pay

a

lower

dividend,

andreinvest

the

funds,

the

stock

price

may

increasebecause

future

dividends

may

be

higher.

(if

ROA

>

equity

cost

of

capital)McGraw-Hill/IrwinCopyright

©2007

by

The

McGraw-Hill

Companies,

Inc.s6-

31mon

StocksSustainable

Growth

Rate

-

Steady

rate

atwhich

a

firm

can

growGrowth

can

be

derived

from

applying

thereturn

on

equity

to

the

percentage

ofearnings

plowed

back

into

operations.g

=

return

on

equity

×

plowback

ratioThe

equation

shows

that

a

firm

can

increase

its

growth

rate

by

retainingmore

of

its

earnings.McGraw-Hill/IrwinCopyright

©2007

by

The

McGraw-Hill

Companies,

Inc.s6-

32mon

StocksExampleOur

company

forecasts

to

pay

a$5.00dividend

next

year,

which

represents

100%o its

earnin

s. Thiswill rovide

investorswith

a

12%

expected

return. Instead,

wedeci low

back

40%

of

the

earnings

atthe

firm’s

current

return

on

equity

of

20%.What

is

the

value

of

the

stock

before

andafter

the

plowback

decision?McGraw-Hill/IrwinCopyright

©2007

by

The

McGraw-Hill

Companies,

Inc.s6-

33mon

StocksExampleOur

company

forecasts

to

pay

a

$5.00

dividend

next

year,

whichrepresents

100%

of

its

earnings.

This

will

provide

investors

with

a12%

expected

return.

Instead,

we

decide

to

blow

back

40%

of

theearnings

at

the

firm’s

current

return

on

equity

of

20%.

What

is

thevalue

o the

stock

be

ore

and

ater

the

lowback

decision?No

Growth

With

Growth0P

5

$41.67g

.20.40

.08.123P0

.12.08

$75.00McGraw-Hill/IrwinCopyright

©2007

by

The

McGraw-Hill

Companies,

Inc.sEx.

Cutting

Dividendsfor

Profitable

Growth34不考虑新增的投资方案ROE

可能较低,风险可能较高Ex. Cutting

Dividends

forProfitable

Growthdue

toROE

>equitycostof

capital6-

36mon

StocksPresent

Value

of

Growth

Opportunities

(PVGO)

-Net

present

value

of

a

firm’s

future

investments.Example

-

continuedI the

com

an did

not lowback

some

earnin

sthe

stock

price

would

remain

at

$60.00. With

theplowback,

the

price

rose

to

$64.29.The

difference

between

these

two

numbers

(64.29-60.00=4.29)

is

called

the

Present

ValueofGrowth

Opportunities

(PVGO).Copyright

©2007

by

The

McGraw-Hill

Companies,

Inc.sMcGraw-Hill/IrwinEx. Unprofitable

Growth新增投资方案ROE

降低(由于ROE

低于

成本,

因而不划算)TheDividend-Discount

Model

with

GrowthChanging

Growth

RatesThe

constant

dividend

growth

modelDividend-Discount

Model

with

Constant

Long-Term

Growth38Ex.

Valuing

a

Firm

with

TwoDifferent

Growth

Rates39Ex.

Valuing

a

Firm

with

TwoDifferent

Growth

Rates（1）（2）（3）LimitationofThe

Dividend-Discount

ModelLimitations

of

the

Dividend-Discount

Model-Values

the

stock

based

on

a

forecast

of

the

future

dividendsto

shareholders.

(a

tremendous

amount

of

uncertainty!)-

Example:paidIn

early

2006,

Kenneth

Cole

Productions

(KCP)

paid

annual

dividends

of$0.72.

With

an

equity

cost

of

capital

of

11%

and

expected

dividend

growthof

8%,

the

constant

dividend

growth

model

implies

a

share

price

for

KCP

of

:Div10

$24$0.72r

g

0.11

0.08P

Edividend

growth

rateshare

price(1)10%$72(2)8%$24(3)5%$12(plowback

ratio

and

ROE

as

mentioned

in

previous

pages)成长率的估计依据

与(1994)对于折现模式中成长率的估算，有下列的看法：1.如果在过去的一段时间中，盈余和股利的成长率不变，而且预计这种趋势将会继续下去的话，就可以用过去已实现的成长率来估计将来的成长率。(也就是说，『假设』公司过去的成长可以代表未来的趋势，所以就采用历史数据估计。)2.但是到底应该采用几年的历史数据计算过去的成长率，并没有规则可寻。48成长率的估计3.可以考虑的方法之一为：以点对点的复利平均成长率。EPS

(1

g)s

EPST

s

T亦即，49g

s

(EPST

/

EPST

s

)

1需注意的是，此法对于基期与终期是极为敏感的。4.为了缓和基期与终期敏感性的问题，可考虑采用平均值对平均值的计算方法。亦即，基期可采T-s期附近三年的EPS平均值，终期则采T期附近三年的EPS平均值，成长率之计算为：g

s

(EPST

/

EPSTs

)

1成长率的估计5.第三种方法是对数线性最小平方回归法。假设EPS

t

EPS

0

e

gt00

hg

t*h*

e

gt

)(lim

EPS

*

(1

)

EPSh两边取自然对数，然后移项，可得：t

0其中，t=1,

2,…T。也就是，将第0期至第t期的样本值都纳入无截距项的回归式中考虑，即可得到连续复利概念下的成长率g估计。此法因考虑了样本期间的所有数字，所以较不至于受基期与终期随机偏高或偏低的影响。50成长率的估计6.另外，保留盈余的成长率也可以采下式予以估计：g

b

*

ROEi.e.,

EPSt1

(1

g)EPSt

(1

b*

ROE)EPSt其中，

ROE

是每股盈余除以每股股东权益账面值，亦即股东权益

率；b为预期保留的盈余比率。此法假设了(1)股利支付率(=1-b)固定不变；2

公司不

新股，或是

新股的价格等于账面价值；(3)未来的投资计划与目前的营运有相同的风险程度。51成长率的估计由于每个产业所处的生命周期阶段不太一样，所以产业的成长可能会与整体经济的成长不同，整体经济成长虽可当作是个参考依据，但公司的成长率与整体经济成长显然仍会有所差距。要有更为接近的估计恐怕得要靠好的产业分析才行，除了参考总体经济的成长外，同时使用产业未来

成长的展望、产业集中度或公司市占率等信息，也许能较贴切地估算出成长率。也有人假设，长期而言，如果产业达到成熟期，公司的成长率与整体经济成长会趋于一致。526-

54Topics

CoveredStocks

and

the

Stock

MarketValuing

Common

StocksSimplifying

the

Dividend

Discount

ModelDividend

Discount

Model

with

GrowthValuation

with

Share

RepurchaseFree

Cash

Flow

Valuation

ModelValuation

MultiplesMarket

EfficiencyMarket

Anomalies

and

Behavioral

FinanceCopyright

©2007

by

The

McGraw-Hill

Companies,

Inc.sMcGraw-Hill/IrwinValuation

with

Share

Repurchase回购Share

RepurchasesFirm

use

excess

cash

to

buy

back

its

own

stock.→More

cash

uses

to

repurchase

shares.→Increase

ownership

and

earnings

per

shareTotal

Payout

Model:It

values

all

of

the

firm’s

e

uitrather

than

a

sin le

share.55Ex.

Valuation

with

Share

Repurchases56Ex.

Valuation

with

Share

Repurchases(1)(2)(3)6-

58Topics

CoveredStocks

and

the

Stock

MarketValuing

Common

StocksSimplifying

the

Dividend

Discount

ModelGrowth

Stocks

and e

StocksValuation

with

Share

RepurchaseFree

Cash

Flow

Valuation

ModelValuation

MultiplesMarket

EfficiencyMarket

Anomalies

and

Behavioral

FinanceCopyright

©2007

by

The

McGraw-Hill

Companies,

Inc.sMcGraw-Hill/IrwinTotal

Payout

and

Free

Cash

FlowValuation

ModelsThe

Discounted

Free

Cash

Flow

Model:

It

begins

bydetermining

the

total

value

ofthe

firm

to

all

investors-both

equityand

debt

holders. We

begin

byestimating

the

firm’s

enterprisevalue.Note:

without

deducing

interest

and

repaying

principal

of

bond.Valuing

the

Enterprise:

To

estimate

a

firm’s

enterprise

value,wecompute

thepresent

value

of

thefree

cash

flow

(FCF)that

thefirm

has

available

to

pay

all

investors.59=

Cash

Flow

from

operating

activities

+

Cash

Flowfrominvesting

activitiesTotal

Payout

and

Free

Cash

FlowValuation

ModelsWe

estimate

a

firm’s

current

enterprise

value

bycomputing

the

present

value

ofthe

firm’s

free

cash

flow:Given

the

enterprise

value,

we

can

estimate

the

stockprice

by60Total

Payout

and

Free

Cash

FlowValuation

ModelsImplementing

the

Model:

Since

we

are

discounting

the

freecash

flow

that

will

be

paid

toboth

debt

and

equity

holders,weshould

use

the

firm’s

weighted

average

cost

of

capital

(WACC).We

forecast

the

firm’s

free

cash

flow

up

to

some

horizon,

together

with

aterminal(

continuation)

value

of

the

enterprise:for

free

cash

flows

beyond

year

N,Assuming

a

constant

long-run

growth

rateso

that61Whereis

weighted

average

cost

of

capital

(WACC)Ex.

Valuing

Kenneth

Cole

UsingFree

Cash

Flow62Ex.

Valuing

Kenneth

Cole

UsingFree

Cash

FlowEx.

Sensitivity ysis

forStock

ValuationFig.

A

Comparisonof

Discounted

CashFlow

Models

of

Stock

ValuationBy

computing

the

present

value

of

the

firm’s

dividends,

total

payouts

or

free

cashflows,

we

can

estimate

the

value

of

the

stock,

the

total

value

of

the

firm’s

equity,or

the

firm’s

enterprise

value.666-

67Topics

CoveredStocks

and

the

Stock

MarketValuing

Common

StocksSimplifying

the

Dividend

Discount

ModelDividend

Discount

Model

with

GrowthValuation

with

Share

RepurchaseFree

Cash

Flow

Valuation

ModelValuation

MultiplesMarket

EfficiencyMarket

Anomalies

and

Behavioral

FinanceMcGraw-Hill/IrwinCopyright

©2007

by

The

McGraw-Hill

Companies,

Inc.s6-

68Market

MultiplesP/E

(for

firms

with

non-negative

earnings)P/EBITDA

(for

firms

witvarying apitaleenditure)substantial

tangible

a

sets)P/B

(for

firms

witP/SP/CD/PMcGraw-Hill/IrwinCopyright

©2007

by

The

McGraw-Hill

Companies,

Inc.smndardizingVduecbe

standardizedu血g

a

mmmon画iab,le

Sil].ch

as

e扛mngsaJueor

revenue.-m晕amin它s:Ratio

壬．）贮…一：旺tGaOO缸ive芘',la

lj`i,la妯r

rr-－妯－妯晕c""·

,ODlll-

P,-心;a

l量

氏一

e-

P,3:P笣＇已且areq

Ieci，五cv．担气:Price

p釭t-－,．m,.．，，一）Valuation

Based

on

Comparable

FirmsAnother

application

of

the

Law

of

One

Price

is

the

method

ofcomparables. Inthe

method

of

comparables

(or

“comps”),

wees

imate

the

value

of

the

firm

based

on

the

value

ofother,comparable

firms

or

investments

that

we

expect

will

generate

very

similar

cash

flows

in

the

future.Valuation

Multiples- The

Price-Earnings

Ratio

(P/E

ratio):

Either

trailing

earnings(earnings

over

the

prior

12

months)

or

forward

earnings(expected

earnings

over

the

coming

12

months)

is

used.71Ex.

Valuation

Using

thePrice-Earnings

Ratio74Valuation

Based

on

Comparable

FirmsEnterprise

Value

Multiples:

Because

the

firm’s

enterprisevalue

represents

the

total

value

ofthe

firm’sunderlying

businessrather

than

just

the

value

of equity,

usingthe

enterpriseva

iadvantageous

if

we

want

to

compare

firms

with

different

amounts

of

leverage.Because

the

enterprise

value

represents

the

entire

value

of

the

firmbefore

it

pays

its

debt,

to

form

an

appropriate

multiple,

we

divide

it

by

a

measure

of

earnings

or

cash

flows

before

interest

payments

are

made.Common

multiples:

Enterprise

Value

to

EBIT,

EBITDA

and

FreeCash

Flow. Most

practitioners

rely

on

enterprise

value

toEBITDA

multiple.75Ex.

Valuation

Using

an

EnterpriseValue

Multiple(

)(second)

(1)(2)(Third)Table Stock

Prices

and

Multiples

for

theFootwear

Industry,

January

2006Fig. Range

of

Valuations

for

KCP

StockUsing

Alternative

Valuation

Methods78Valuations

from

multiples

are

based

on

the

low,

high,

and

average

values

of

thecomparable

firms

from

previous

table.

The

constant

dividend

growth

model

is

based

onan

11%

equity

cost

of

capital

and

5%,

8%,

and

10%

dividend

growth

rates.

Thediscounted

free

cash

flow

model

is

based

on

the

range

of

parameters

in

previous

example.(Midpoints

are

based

o age

multiplesor

base

case

assumptions.

Red

and

blue

regions

show

the

variation

between

the

lowest-multiple/worst-case

scenario

and

thehighest-multiple/best-case

scenario.KCP’s

actual

share

price

of

$26.75

is

indicated

by

thegray

line.)6-

80Topics

CoveredStocks

and

the

Stock

MarketValuing

Common

StocksSimplifying

the

Dividend

Discount

ModelDividend

Discount

Model

with

GrowthValuation

with

Share

RepurchaseFree

Cash

Flow

Valuation

ModelValuation

MultiplesMarket

EfficiencyMarket

Anomalies

and

Behavioral

FinanceMcGraw-Hill/IrwinCopyright

©2007

by

The

McGraw-Hill

Companies,

Inc.s6-

81No

Free

LunchesTechnical

ystsForecast

stock

prices

based

on

the

watching

thefluctuations

in

historical

prices

(thus

“wigglewatchers”)Yahoo!

Finance短线操作McGraw-Hill/IrwinCopyright

©2007

by

The

McGraw-Hill

Companies,

Inc.s6-

82No

Free

LunchesScatter

Plot

of

NYSE

Composite

Index

returns

over

two

successive

weeks.Where’s

the

pattern?McGraw-Hill/IrwinCopyright

©2007

by

The

McGraw-Hill

Companies,

Inc.s6-

83RandomWalkTheoryThe

movement

of

st ck

prices

from

day

today

DO

NOT

reflect

any

pattern.E(P1|P0)=P0Statisticall

s

eakin the

movement

ofstock

prices

is

random

(skewed

positive

over

thelon term

.McGraw-Hill/IrwinCopyright

©2007

by

The

McGraw-Hill

Companies,

Inc.s6-

84RandomWalkTheoryCoin

Toss

Game

Heads

$103.00$106.09

Heads$100.43Tails(increase

3%)$100.00Heads$97.50$100.43Tails(decrease

.$95.06TailsMcGraw-Hill/IrwinCopyright

©2007

by

The

McGraw-Hill

Companies,

Inc.s6-

87RandomWalkTheoryMarketIndex1,3001,2001,100LastThisNextCycles

disappearMonthMonthMonthonce

identifiedMcGraw-Hill/IrwinCopyright

©2007

by

The

McGraw-Hill

Companies,

Inc.s6-

88Another

ToolFundamental

ystsResearch

the

value

ofstocks

using

NPV

and

othermeasurements

of

cash

flowMcGraw-Hill/IrwinCopyright

©2007

by

The

McGraw-Hill

Companies,

Inc.sInformation,

Competition,

andStock

PricesInformation

in

Stock

Prices:

When

a

buyer

seeks

to

buy

a

stock,

thewillingness

of

other

parties

to

sell

the

same

stock

suggests

that

they

valuethe

stockdifferently. This

information

should

lead

buyers

and

sellersrevise

their

valuations.

Ultima y,

investors

trade

untilthey

reach

a

consensus

regardingthe

valueof

the

stock. In

this

way,

stock

marketsaggregate

theinformation

and

views

of

many

different

investors.Competition

and

Efficient

MarkThe

Efficient

Market

Hypothesis:

Competition

among

investors

worksto

eliminate

all

positive-NPV

trading

opportunities.

It

implies

thatsecurities

will

be

fairly

prices,

given

all

information

that

is

available

toinvestors.89Public,

Easily

Interpretable

InformationPrivate

or

Difficult-to-Interpret

Information粉饰太平Ex.Stock

Price

ReactionstoPublic

InformationEx.

Using

the

Information

inMarket

Prices(1)(2)6-

92Efficient

Market

TheoryWeak

Form

EfficiencyMarket

prices

reflect

all

historical

informationSemi-Strong

Form

EfficiencyMarket

prices

reflect

all

publicly

availableinformationStron Form

EfficiencMarket

prices

reflect

all

information,

both