CFA二级-阶段总结与重点精讲-权益

阶段总结与重点精讲即将开始L2–1StudySession1-2Session3&10%-15%5%-10%5%-10%Session4Session5-6Session7-8Session9-11Session12-13Session14Session15Session16-17Financial10%-15%5%-10%10%-15%10%-15%5%-10%5%-10%5%-15%100%2阶段总结L2-3➢StudySession9✓and✓Concepts➢StudySession10andAnalysisand✓andAnalysis✓Dividend4(Cont.)➢StudySession11CashFlowandOtherModels)✓Cash✓PriceandMultiples✓✓5and1,of➢IntrinsicValue➢LiquidationValue➢FairMarketValue➢InvestmentValue62,of➢Understandingthebusiness(Porter5,Strategies3,➢Forecastingcompanyperformance➢SelectingtheappropriatevaluationmodelRelative,sumofparts,Conglomeratediscount)➢Convertingforecaststoavaluation➢Applyingvaluationconclusions7Concepts1,➢HPR➢Requiredreturn➢Discountrate➢IRR82,riskpremium➢Definitionequityriskpremium(incremental,consistent)➢Historicalestimates(index,riskfree,time,meanupwardlybiased,stationary)9➢Forward-lookingestimatesupdate,assumption)✓GordongrowthmodelDP0ERP=1+g−RfEquityindexprice=PVFastGrowthStage(r)+PVTransition(r)+PVMatureStage(r)✓MacroeconomicmodelSupplyside,IbbotsonandChenERP=EDY+[(1+EINFL)(1+EGREPS)(1+EGPE)-1]-E(Rf)EINFL:T-Bond-Tips,EGPE:baseline=0✓Surveyestimateswidedisparity103,foron➢Thepricingmodel✓apublicregressing,Drift=(2/3)(Unadjusted+(1/3)(1)✓thinlyornonpubliccompaniestheBunlevered=[1/(1+(D/Epeer))]BEBnonpublic=[1+(D/E)]Bunlevered11➢Themodels(APT)✓Themodel(FFM)r=R+RMRF+sizeSMB+valueHMLifiii✓Themodel(PSM)r=R+RMRF+sizeSMB+valueHML+liqLIQifiiii✓MacroeconomicmodelConfidence,Timerisk,Businesscycle,timing12➢Build-upmethod(unobtainable,closelyheldcompanies)✓Build-upmethodbusinessr=R+Equityriskpremium+Sizepremiumifi+Specific-companypremiumirisklesseasily✓Bondyieldplusriskri=YTMonthelongdebt+riskwithpubliclydebt13➢in✓✓CountrymodelEquityriskpremiumanemerging=Equityriskpremiumadeveloped+Countrypremium14➢andofApproaches✓Simple,✓SinglemodelCAPM✓lossof✓Higher✓andmodels✓simpleBuild-upmodels✓appliedcloselyheld✓usefirms154,averagecostof➢ofMVDMVEMVDMVE+WACC=−Taxrate)r+re+dMVDMVE➢Discountselectionincashalignthediscountwiththecash16andAnalysis1,Financial➢Incomemodeling✓GDPplusx%,Timeseries;onCapacity-basedHybrid✓COGS:SG&A:lessclosely,17✓debtCash✓Otherdividendoutstanding,dilution18➢Balancesheetandcashmodeling✓Useofefficiency:forecastedannualCOGSinventoryturnoverratioInventoryvalue=account:Projectedaccountreceivable=forecastedsalesdayssalesoutstanding365on(ROIC)netoperatingprofitlessadjustedtaxes(NOPLAT)ROIC=investedcapital✓Useof19➢Scenarioandsensitivityanalysis✓Sensitivityanalysis:oneassumption✓Scenarioanalysis:multipleassumptions202,AffectingPrices➢Porter’smodel,PriceLevelTechnology➢andpasson,Price-volume➢4,=holdingperiod,BuildingaModel(Sales-basedModel)21Dividend1,CFt+r)V=0tt=1➢DCFModelsComparison✓Dividendmodelad:lessearningsdis:lessdividends,nottheApp:22✓cashmodelFCFF:firmFCFE:equityad:divpopulardis:longperiodsApp:Nodividend,✓incomemodelad:Wide,opportunitydis:accrual,qualityofaccountingApp:Nodividend,Lessdependence232,Dividend➢DDMprincipals✓SingleperiodDr)Pr)D+P11V=+=11++r)+0111✓MultipleperiodD11rDn1rPn1rV=+...++0(+)1(+)n(+)n24➢model✓BasicsD+g)D1(r−g)V=0=0(r−g)✓implied✓of✓ofopportunities✓justifiedPE253,Multi-Stage➢BasicsofDDM✓FCF<0;ROE>r;1-b,lowEPS,slow;FCF>0;r;1-b,increaseEPSwide;FCF>0;ROE=r;✓multipleGGM26➢DDMModels✓suddenlyD+g)tD+g)+g)nnV=+0s0sL0+r)t)()+rr−gnt1LD+g)+g)nV=0sLnr−gLDividend✓Hmodel:Growth(g)15%D1g)+D0H(gSg)−=0L+L0rg−rg−LL3%D00r=+g)+−g)]+gLStage1Stage2LsL4years27➢DDMModelsAddanadditionalthemodeltransition,and➢SpreadsheetModeling284,➢Thesustainable(SGR,g)g=×netincomesalesassetsROE=equitysalesassetsnetprofitassetequityROE=marginturnovermultiplier➢modelg=netP*AL29Cash1,➢FCFFFCFF=NI+NCC+[Int(1–t)]––FCFF=CFO+–t)]–FCFF=[EBIT(1–t)]+NCC––FCFF=EBITDA(1–t)+(NCC×t)––30➢FCFEFCFE=NI+NCC––+FCFE=CFO–+FCFE=EBIT(1–t)––t)+NCC––+FCFE=EBITDA(1–t)––t)+NCC(t)––+FCFE=FCFF–[Int(1–t)]+FCFE1=NI-(1-DR)(FCInv-Dep)-(1-DR)(WCInv)=NI-(1-DR)(FCInv+-Dep)312,➢NoncashchargesNoncashadjustmentNIaddedbackaddedbackaddedbackdepreciationandimpairmentof(incomelossesaddedbackofbonddiscountsoflong-termpremiumsaddedback32➢Adjustments✓portionofLdebt✓InclusionsAccountsAccountsAccrued✓changesbetweenchangesinassetsbetweenchangesinliabilities33➢Adjustments✓FCInv=CAPEX-Proceeds✓Nodisposal10✓Disposed10+Dep10desposal1+Dep034➢Netadjustments✓onlyFCFE,theydonotFCFF✓=debtissuances–debtrepurchases✓=debt10–debt✓ofDebt,LongDebt35➢Cashflowdirection✓ComputeNI,EBITDA✓uses-of-free-cash-flowbasisUsesofFCFE=increasesincashbalances+ofequityUsesofFCFF=increasesincashbalances+ofdebt+ofequity363,➢approachesFCF✓FCF✓componentsof➢Sales-based−DD+EWCInvSalesDR=FCFE1=NI-(1-DR)(FCInv-Dep)-(1-DR)(WCInv)=NI-(1-DR)(FCInv+-Dep)374,FCF➢offinancingdecisionsonFCFCFIFCFFFCFECFI,CFFFCFFNoneNoneNoneFCFENoneNoneNoneDividendsissue&partiallyChangeinNonerepurchase/issueuseofnot38➢FCFEandDDM✓is✓sameeconomic✓FCFEa✓DDMaminority➢poor(NI,EBITDA)➢Single-StageFCFModelFirm=FCFFEquity=FCFEonequityFCFFFCFE1r-gFCFEV=0Equity=1WACC-g39➢Model✓Single✓Multiwilldissapear✓cycle✓ofthecash,securities,land40Price/EnterpriseMultiples1,➢Pricemultiples/multiples➢Methodoffundamentals✓ofoneprice✓peer➢pricemultiple412,multiples➢PE✓andyield(EPS,ROE),MolodovskyUnderlyingearningnon-recurringrisk,andcashLeadingE=5+(6×dividend+(10×–(0.5×Sample,time,predictable,change,Multicollinearity42✓benchmarksPriceoftheindividualpeerorindustryequitythesecurity✓P/E=gAssumesalinearofinrisk43➢PB✓noassets,off-B/Sinundervalued(adjust:off-B/S,LIFO)misleadinginaccountingandtechnologicalchangeandissuances44✓liquidityasset,financial✓P/B00P−gr−g0=0ROE-r:Larger==higherresidualincomemodel=rwillaof1ROE,g,randPB45➢PS✓firms,cyclical,and✓P(E/S)−b)+g)000=S0r−gincreasePSdecrease46➢PCF✓difficult✓1+gr−gV/=00➢Dividend✓notbetweendivandearningr−g✓D/P=001+g473,Multiples➢Multiples✓Rationales:financialdepEBITDAusually✓EBITDAignoreschangesin(FCFF)✓(EV)orFirm=MVofcommon+MVofdebt+MV–cashand484,➢border➢Momentum✓✓earnings:UE=EPS–E(EPS)ttt−)✓earnings=ttt−t(EPS)t49➢tendencymeasure✓Arithmeticmean:✓Harmonicmean:smallthanarithmeticnX=Hn1/Xii1✓harmonicmean:corresponds1X=n/Xiii1✓Median501,Income➢income(RI)✓RI=Inc–(equitycapital×ofequity)✓RI=EBIT(1–t)–×➢Economicadded✓=N–×Capital)✓R&DLIFO➢added=offirm–512,Income➢Basicprincipal✓RIRItt=EPSt–(r×t–1)RI=t–r)xt–1cleansurplusB=B+NI-Div10✓Equity−r)BVPSt-1tV=+00+r)tt152✓betweenRIandDCFlessterminalofintrinsic✓betweenandrIf>RI>0,justifiedPB>1If=RI=0,justifiedPB=153➢Single-stageIncome✓−rV=B+B000r−g✓impliedB(ROE−r)g=r−[]0V−B00✓justified0−g=B0r−g54➢Multi-Stage✓Approach1:book✓Approach2:RIT1+r-PV(continuingRIinyearT-1)=ω=1+g(g<0)ω=0，PV=0;ω=1,PV=RI/rTsuggestinghigherω:1-b,RIsuggestingω:ROE,nonrecurring,accrual55➢andweaknessesofresidualincomemodel✓doesnotintrinsicAccountingaccessibleApplicablewithoutdividendsorcashApplicablewhencashorunpredictableFocusoneconomic✓Accountingcanbecleansurplusholds56➢AccountingissuesViolationsofcleansurplusgain/lossesBalancesheetliabilitygain/(loss)onsecuritiesgain/(loss)oncashhedges571,Basicsofcompanyvaluation➢Approachesincome,basedapproach➢✓earningnonrecurring,Discretionary✓and582,Income➢DiscountCAPMnot,ExpandedCAPM,Buildup➢cashmethodpricemultiple,➢cashmethodsingle59➢earningsmethodRI=NI–rwc*–rfa*00+g)oftheassets:=0r−gofthewholefirm:Vfirm=Vintangible+603,Market➢Guidelinepublicmethod✓Multiplesactivityintheofpubliccompanies✓inriskand✓industrycondition,reasonableness➢Guidelinetransactionsmethod✓Acquisitionofofpublicorcompanies✓ofa✓61➢Priortransactionmethodtransactionsofthesubjectastheguideline4,Asset-Based✓Notusedgoingconcerns✓Floorprice✓Financial,625,Premiums➢Discountlackof1DLOC=1−1+controlpremiumApplication:➢Discountlackof✓Methodsofpublic,IPOputoption✓discountDiscount=1－[(1－－63重点精讲L2-641:ThesensitivitiesofN–Frenchandtheriskpremiumwiththoseinthebelow:Sensitivity1.30Risk(%)5.53.72.3−0.70−0.25theAssumethebillis3.72.Describethebasedonsensitivities.651:1,r=3.7%+1.3*5.5%+(-0.7*3.7)+（-0.25*2.3）=7.685%2，Nbeahighriskasbyitsand1.0.662:ABC,Inc.earningsbepermanently$4.00perpriceis$36and10%.Assumingthepriced,theofopportunitiesis•A)+$3.50.•B)+$4.00.•C)-$4.00.67Answer:CShareprice=(no-growthearnings/return)+36=(4/0.10)+=-$4.00683:693:704:RamonLongandSriBeujeau,aboutaspectsoftheLongthat:dividenddiscounting,theuniquebecauseitmeaningfulfirmswithearnings-IsLongA)becausetheearnings-growthiscancelledouttheoftheB)becausethemeaninglessearnings-growthcompanies.C)becausetheofthedoesnotusetheofearnings714:Answer:BTheis:=/earningsAssuch,firmswithearningswillawhichmeaningless.725:•AdvancedInstrumentsreportedthetheendoffiscalyear:✓=$50.3million.✓