Chap018 Equity Valuation Models 投资学博迪 第九版 英文教学课件

CHAPTER18EquityValuationModelsValuation:FundamentalAnalysisFundamentalanalysismodelsacompany’svaluebyassessingitscurrentandfutureprofitability.Thepurposeoffundamentalanalysisistoidentifymispricedstocksrelativetosomemeasureof“true〞valuederivedfromfinancialdata.BalanceSheetModelsDividendDiscountModels(DDM)Price/EarningsRatiosFreeCashFlowModelsModelsofEquityValuationValuationbyComparablesComparevaluationratiosoffirmtoindustryaverages.Ratioslikeprice/salesareusefulforvaluingstart-upsthathaveyettogeneratepositiveearnings.LimitationsofBookValueBookvaluesarebasedonhistoricalcost,notactualmarketvalues.Itispossible,butuncommon,formarketvaluetobelessthanbookvalue.“Floor〞orminimumvalueistheliquidationvaluepershare.Tobin’sqistheratioofmarketpricetoreplacementcost.IntrinsicValuevs.MarketPriceThereturnonastockiscomposedofdividendsandcapitalgainsorlosses.TheexpectedHPRmaybemoreorlessthantherequiredrateofreturn,basedonthestock’srisk.RequiredReturnCAPMgivestherequiredreturn,k:Ifthestockispricedcorrectly,kshouldequalexpectedreturn.kisthemarketcapitalizationrate.Theintrinsicvalue(IV)isthe“true〞value,accordingtoamodel.Themarketvalue(MV)istheconsensusvalueofallmarketparticipantsTradingSignal:IV>MVBuyIV<MVSellorShortSellIV=MVHoldorFairlyPricedIntrinsicValueandMarketPriceV0=currentvalue;Dt=dividendattimet;k=requiredrateofreturnTheDDMsaysthestockpriceshouldequalthepresentvalueofallexpectedfuturedividendsintoperpetuity.DividendDiscountModels(DDM)ConstantGrowthDDMg=dividendgrowthrateNogrowthcaseValueapreferredstockpayingafixeddividendof$2persharewhenthediscountrateis8%:Example18.1PreferredStockandtheDDMExample18.2ConstantGrowthDDMAstockjustpaidanannualdividendof$3/share.Thedividendisexpectedtogrowat8%indefinitely,andthemarketcapitalizationrate(fromCAPM)is14%.DDMImplicationsTheconstant-growthrateDDMimpliesthatastock’svaluewillbegreater:Thelargeritsexpecteddividendpershare.Thelowerthemarketcapitalizationrate,k.Thehighertheexpectedgrowthrateofdividends.Thestockpriceisexpectedtogrowatthesamerateasdividends.g=growthrateindividendsROE=ReturnonEquityforthefirmb=plowbackorretentionpercentagerate(1-dividendpayoutpercentagerate)EstimatingDividendGrowthRatesFigure18.1DividendGrowthforTwoEarningsReinvestmentPoliciesPresentValueofGrowthOpportunitiesThevalueofthefirmequalsthevalueoftheassetsalreadyinplace,theno-growthvalueofthefirm,PlustheNPVofitsfutureinvestments,WhichiscalledthepresentvalueofgrowthopportunitiesorPVGO.PresentValueofGrowthOpportunitiesPrice=No-growthvaluepershare+PVGOFirmreinvests60%ofitsearningsinprojectswithROEof10%,capitalizationrateis15%.Expectedyear-enddividendis$2/share,paidoutofearningsof$5/share.g=ROExb=10%x.6=6%Example18.4GrowthOpportunitiesExample18.4GrowthOpportunitiesPVGO=Pricepershare–no-growthvaluepershareLifeCyclesandMultistageGrowthModelsExpecteddividendsforHonda:2021$.50 2021$.832021$.66 2021$1.00Sincethedividendpayoutratiois30%andROEis11%,the“steady-state〞growthrateis7.7%.HondaExampleHonda’sbetais0.95andtherisk-freerateis3.5%.Ifthemarketriskpremiumis8%,thenkis:k=3.5%+0.95(8%)=11.1%Therefore:HondaExampleFinally,In2021,oneshareofHondaMotorCompanyStockwasworth$23.04.Price-EarningsRatioandGrowthTheratioofPVGOtoE/kistheratiooffirmvalueduetogrowthopportunitiestovalueduetoassetsalreadyinplace(i.e.,theno-growthvalueofthefirm,E/k).Price-EarningsRatioandGrowthWhenPVGO=0,P0=E1/k.Thestockisvaluedlikeanongrowingperpetuity.P/ErisesdramaticallywithPVGO.HighP/Eindicatesthatthefirmhasamplegrowthopportunities.Price-EarningsRatioandGrowthP/Eincreases:AsROEincreasesAsplowbackincreases,aslongasROE>kTable18.3EffectofROEandPlowbackonGrowthandtheP/ERatioP/EandGrowthRateWallStreetruleofthumb:ThegrowthrateisroughlyequaltotheP/Eratio.“IftheP/EratioofCocaColais15,you’dexpectthecompanytobegrowingatabout15%peryear,etc.ButiftheP/Eratioislessthanthegrowthrate,youmayhavefoundyourselfabargain.〞QuotefromPeterLynchinOneUponWallStreet.P/ERatiosandStockRiskWhenriskishigher,kishigher;therefore,P/Eislower.PitfallsinP/EAnalysisUseofaccountingearningsEarningsManagementChoicesonGAAPInflationReportedearningsfluctuatearoundthebusinesscycleFigure18.3P/ERatiosoftheS&P500IndexandInflationFigure18.4EarningsGrowthforTwoCompaniesFigure18.6P/ERatiosforDifferentIndustries,2007OtherComparativeValueApproachesPrice-to-bookratioPrice-to-cash-flowratioPrice-to-salesratioFigure18.7MarketValuationStatisticsFreeCashFlowApproachValuethefirmbydiscountingfreecashflowatWACC.Freecashflowtothefirm,FCFF,equals:AftertaxEBITPlusdepreciationMinuscapitalexpendituresMinusincreaseinnetworking