CFA二级基础段权益（打印版）

&ꢀWeightingsLevelIISessionContentWeightingsSession1Ethical&ProfessionalSessionSession4QuantitativeMethodsEconomicsSession5-6Session7-8StudySession9-11SessionSessionSessionSessionFinancialReportingandAnalysisCorporateFinanceEquity10-15FixedIncomeDerivativesAlternativeInvestmentsPortfolioManagementSS9:Equity¾¾•R24EquityApplicationsandProcessesR25ReturnConceptsEquityvaluation•SS10:Equity•R26IndustryandCompanyAnalysis¾SS11:Equity•R27DiscountedDividend••R28FreeCashFlowR29Market-BasedPriceEnterpriseMultiples••R30ResidualIncomeR31PrivateCompany24EquityValuation:ApplicationsandProcesses1..DefinitionsandApplicationsTheProcess21.DefinitionsandApplications¾¾Intrinsictheanassetgiveahypotheticallycompleteunderstandingtheassets’investmentcharacteristics.aparttheactivemanager’sattempttoproductionpositiveexcessreturn.Alpha,anexcessrisk-adjustedreturn,alsocalledanabnormalreturn.perceivedmispricingtruemispricingVE–P=(V–P)+(VE–V)theerrortheestimatetheintrinsiczThefirstcomponentisthetruemispricing,thatis,thedifferencebetweenthetruebutunobservableintrinsicVandtheobservedmarketpriceP(thisdifferencecontributestotheabnormalreturn).zThesecondcomponentisthedifferencebetweenthevaluationestimateandthetruebutunobservableintrinsicvalue,thatis,theerrorintheestimatetheintrinsicvalue.DefinitionsandApplications¾¾Going-ConcernandLiquidationzGoing-concernvaluetheunderagoing-concernassumption.Thevaluationmodelswewillcoverareallbasedonthegoingconcernassumption.zLiquidationtheacompanythecompanyweredissolvedandassetssoldMarketandInvestmentzmarketthepriceatwhichanasset(orliability)wouldchangehandsbetweenawillingbuyerandawillingsellerwhenboththemarenotunderanycompulsion.zInvestmentisthetoaspecifictakingaccountpotentialsynergiesbasedontheinvestor’srequirementsandexpectations.¾UnderefficientmarketzLiquidationvalue<intrinsicvalue=fairmarketvalue<investmentDefinitionsandApplications¾ApplicationsEquityzStockselection:Checkthissecurityfairlypriced,overpriced,orunderpricedrelativetocurrentestimatedintrinsicandrelativetothepricescomparablesecurities.zInferring(extracting)marketexpectations:Marketpricesreflecttheexpectationsinvestorsaboutthefutureperformancecompanies.Analystscanestimatetheseexpectationsbycomparingthemarketimpliedexpectationstohisownexpectations.zEvaluatingcorporateevents:Investmentbankers,corporateanalysts,andinvestmentanalystsusevaluationtoolstoassesstheimpactsuchcorporateeventsasmergers,acquisitions,divestitures,spin-offs,andgoingprivatetransactions.DefinitionsandApplicationsz:aaaz:z:az:z:2.TheProcess¾GeneralstepstheequityvaluationprocesszUnderstandthebusiness;zForecastcompanyperformance;zSelecttheappropriatevaluationmodel;zConverttheforecastsintoavaluation;zApplythevaluationconclusions.TheProcess¾processzStep1:understandingthebusiness9Elementsindustrystructure(Porter’sfiveforces)‹‹‹‹‹Intra-industryrivalryNewentrantsSubstitutesSupplierpowerBuyerpowerzzz9Threegenericstrategies‹Costleadership‹Differentiation‹FocuszStepforecastingcompanyperformance99forecastingapproachBottom-upforecastingapproachTheProcesszStepselectingtheappropriatevaluationmodel9AbsolutionvaluationmodelDDM,FCFM,residualincomeapproach,asset-basedmodel.RelativevaluationmodelMultiples,suchasP/E,P/B,etc.zStep4:convertingforecaststoavaluation‹9‹9importantaspectsconvertingforecaststovaluationaresensitivityandsituationaladjustments.‹‹‹ControlpremiumLackmarketabilitydiscountsIlliquiditydiscounts/blockagefactorzStep5:makingtheinvestmentdecisionTheProcess¾¾Sum-of-the-partsvaluationzSum-of-the-partsvaluationbreakupvalueorprivatemarketvalueAvaluationthatsumstheestimatedvalueseachthecompany’sbusinessesaseachbusinesswereanindependentgoingconcern.ConglomeratediscountzThemarketappliesadiscounttothestockacompanyoperatingmultiple,unrelatedbusinessescomparedtothestockcompanieswithnarrowerfocuses.zThreeexplanationsforconglomeratediscounts9Inefficiencyinternalcapitalmarkets:companies’allocationinvestmentcapitalamongdivisionsdoesnotmaximizeoverallshareholdervalue;99Endogenousfactors:poorlyperformingcompaniestendtoexpandbymakingacquisitionsunrelatedbusinesses;Researchmeasurementerrors:conglomeratediscountsdonotactuallyexist,andevidencesuggestingthattheydoaresultflawedmeasurement.TheProcess¾¾Howdoesoneselectavaluationmodel?SelectedmodelsshouldbezConsistentwiththecharacteristicsthecompanybeingvalued;zAppropriategiventheavailabilityandqualitydata;zConsistentwiththepurposevaluation,includingtheanalyst’sperspective.25ReturnConcepts1234....ReturnConceptsEquityRiskPremiumRequiredReturnonEquityInternationalConsiderationDiscountRateSelectionRelationCashFlow1.ReturnConcepts¾zazP-P+D1D1P-P0r==+=dividendyield+priceappreciationreturnP0P0P0z9ReturnConcepts¾&zzAlpha,anexcessrisk-adjustedreturn,alsocalledanabnormalreturn.Formula¾¾zExpectedalpha(exantealpha)=Expectedreturn–RequiredreturnzRealizedalpha(expostalpha)=Actualholdingperiodreturn–ContemporaneousrequiredreturnReturnConcepts¾Requiredreturn(opportunitycost)zTheminimumlevelexpectedreturnthataninvestorrequiresordertoinvestintheassetoveraspecifictimeperiod,giventheassets’riskiness.zItrepresents99Athresholdforbeingfairlycompensatedfortherisktheasset;Ifinvestor’sexpectedreturn>requiredreturn,theassetisundervalued;andviceversa.ReturnConcepts¾ExpectedreturnzWhenaassetmispriced,priceassetsconvergestoitsintrinsicaperiodtime.zTheinvestor’sexpectedratereturncomprises:99Requiredreturn;Pricetoconvergetooverhisorhertimehorizon.E(R)|r+V-PPwhere,V,thereintrinsicthestock;P,thecurrentpricethestockr,requiredreturnduringtheconvergencetimeperiodReturnConcepts¾¾DiscountratezItarateusedfindingthePVfuturecashflows;zUsedtodeterminetheintrinsicdependsonthecharacteristicstheinvestmentratherthanthatInternalratereturn(IRR)zTheinternalratereturn(IRR)onaninvestmentthediscountratethatequatesthepresenttheasset’sexpectedfuturecashflowstotheasset’sprice.zIfpriceequaltocurrentintrinsicvalue,thengenerally,adiscountratecanbefound,usuallybyiteration,whichequatesthatpresenttothemarketprice.2.EquityRiskPremium¾¾¾Theequitypremiumistheincrementalreturn(premium)thatinvestorsrequireforholdingequitiesratherthanarisk-freeasset.zEquityriskpremium=Requiredreturnonequityindex–Risk-freerateCAPMzRequiredreturnonsharei=Currentexpectedrisk-freereturn+βi(Equityriskpremium)Build-upMethodzRequiredreturnonsharei=Currentexpectedrisk-freereturn+Equitypremium’Otherriskpremium/discountsEquityRiskPremium¾HistoricalestimatezAhistoricalequitypremiumestimateusuallycalculatedasthemeanthedifferencesbetweenbroad-basedequity-market-indexreturnsandgovernmentdebtreturnsoversomeselectedsampleperiod.zIssueshistoricalestimate9999Selectanappropriateindex.Indrivingthereturn,anindexshouldberelativelystationary.Timeperiod.Thelongertheperiodused,themoreprecisetheestimate;Arithmeticmeanorgeometricmean(lower)estimating‹Riskpremiumwillbelowerwhengeometricmeanused;Longtermbondorshorttermbillafortherisk-freeassets;‹Industrypracticeprefertouselonger-termbondsthanshorter-termbondstoestimatetherisk-freerate.9Survivorshipbias‹‹Thatresultstheover-estimatereturnonindexandtheDownwardadjustmentusedtooffsetthebias.EquityRiskPremium¾Forward-looking(ex-ante)estimate–conceptualframeworkzERPbasedonexpectationsforeconomicandfinancialvariablesfromthepresentgoingforward.ItlogicaltoestimateERPdirectlybasedoncurrentinformationandexpectation.zItnotsubjecttotheissuessuchasnon-stationaryordataserieshistoricalestimate.Butsubjecttopotentialerrorsrelatedtomodelsandbehavioral.z3approaches999Gordongrowthmodel(GGM)estimate;Macroeconomicsmodelestimate;Surveyestimate.EquityRiskPremium¾GGMzGGMequityriskpremiumestimate=Dividendyieldontheindexbasedonyear-aheadaggregateforecasteddividendsandaggregatemarket+Consensuslong-termearningsgrowthrate–Long-termgovernmentbondyield.zAsimplewaytounderstandtheequationDERP=r-RFR=0zTheaboveequationassumesgrowthrateconstant.99AnanalystmayadjustmenttoreflectP/Eboomorbust.AnothermethodtosolvetheseproblemsrapidEquityRiskPremium¾Supply-SideEstimates(MacroeconomicModel)ERPªꢀꢂ1EINFLꢁu1ꢂEGREPSꢁu1ꢂEGPEꢁꢃºꢂEINC`1¼¬ꢃExpectedriskfreereturnzExpectedinflation(1+YTMof20-yearT-bonds)(1+YTMof20-yearTIPS)|-1TIPS:TreasuryInflationProtectedSecuritieszExpectedgrowthrealEPSlaborproductivitygrowthrate+laborsupplygrowthrate=¾SurveyestimateszUsetheconsensustheopinionsfromasamplepeople.EquityRiskPremium¾ComparisonEstimatesStrengthWeakness••stationary(if••A(if(ifHistoricalEstimates•••••Forward-lookingEstimates••EquityRiskPremium¾ComparisonEstimatesGGMStrengthWeakness••••a.•.Supply-SideEstimates••••SurveyEstimates•to3.RequiredReturnonEquity¾estimatetherequiredreturnontheanalystchoosefollowingmodelszCAPMzMulti-factormodels999Fama-FrenchModel(FFM)Pastor-Stambaughmodel(PSM)MacroeconomicMultifactormodelszBuild-upmethod9BondYieldPlusRiskPremiumMethodRequiredReturnonEquity¾CAPMmodelRequiredreturnonsharei=Currentexpectedrisk-freereturn+βi(Equityriskpremium)zanequilibriummodelbasedonassumptions99Investorsareriskaversion;Investorsmakeinvestmentdecisionbaseonthemeanreturnandvariancereturntheirportfolio.RequiredReturnonEquity¾¾CAPMmodel—BetaEstimatesforPublicCompaniesEstimatingBetaforpubliccompanyzThechoicetheindexusedtorepresentthemarketportfolio:ForUSequities,theS&P500andCompositehavebeentraditionalchoices.zThelengthdataperiodandthefrequencyobservations99Themostcommonchoicefiveyearsmonthlydata,yieldingobservations;yearsweeklyobservationsespeciallyappropriatefastgrowingmarkets.¾AdjustedBetaforPublicCompaniesintroducedbyBlumezAdjustedbeta=(2/3)(Unadjustedbeta)+(1/3)(1.0);zThebetaafutureperiodhasbeenfoundtobeonaverageclosertothemean1.0.RequiredReturnonEquity¾EstimatingBetafortinytradedstockornonpubliccompanieszSelectingbenchmarkcompany(comparable);9Usethepubliccompanies’informationthesameindustry;zEstimatethebenchmark’sbeta(similarwithprevioussection);zUnleveredbenchmark’sbetaβ1β|«1+D/Eꢁ»z4:Leveruptheunleveredbetafortinytradedstockornonpubliccompaniesβ1+Dꢁβ|RequiredReturnonEquity¾MultifactormodelzThebetaCAPMdoesnotdescribetheriskcompletely.Multifactormodelsaredeveloptoaccountfortherisksmorecompletely.=iiuizFactorsensitivityorfactorbetaistheasset’ssensitivitytoaparticularfactor(holdingallotherfactorsconstant),andzerosensitivitytoallotherfactors.RequiredReturnonEquity¾MultifactormodelzFama-FrenchModelPastor-StambaughModel(PSM)9NotethedefinitionRMRFtermsashort-termrate;availablehistoricalseriesaretermsapremiumoverashort-termgovernmentdebtrate.ꢀ‡“—‹”‡†ꢁꢀ‡–—”ൌܴܨ൅ൈ௠௞௧െܴܨFFMSmall/largecapൈെPSMHigh/lowbook-to-marketLow/highliquidity௩௔௟௨௘ൈு஻ெെ௅஻ெ൅௜ൈ௅௅െு௅௦௜௭௘൐Ͳ,smallcap௩௔௟௨௘൐Ͳ,value-oriented൐Ͳ,low-liquidityRequiredReturnonEquity¾MultifactormodelzTheFFMviewsthesizeandfactorsasrepresentingproxyingfor”)asetunderlyingriskfactors.99Smallmarket-capcompaniesmaybesubjecttoriskfactorssuchaslessreadyaccesstoprivateandpubliccreditmarketsandcompetitivedisadvantages.Highbook-to-marketmayrepresentshareswithdepressedpricesbecauseexposuretofinancialdistress.Example:Fama-FrenchModel¾TheestimatedfactorsensitivitiesEnergytoFama-FrenchfactorsandtheriskpremiumassociatedwiththosefactorsaregiventhetableSensitivityPremium(%)MarketSize1..BasedontheFama-frenchmodel,calculatetherequiredreturnforEnergyusingthesesestimates.Assumethatthebillrate4.7percent.2Describetheexpectedstylecharacteristicsbasedonfactorsensitivities.Example:Fama-FrenchModelCorrectAnswer:r=4.7%+(1.20x4.5%)+(-0.50x2.7%)+˄-0.15x4.3%)=+--=Energyappearstobealarge-cap,growth-oriented,highmarketriskstockasindicatedbynegativesizebeta,negativebeta,andmarketbetaaboveRequiredReturnonEquity¾Macroeconomicmulti-factormodelszAspecificexamplemacroeconomicfactormodelsthefive-factorBIRRmodel,presentedandwithfactordefinitionsasfollows:9Confidencerisk:theunanticipatedchangethereturndifferencebetweenriskycorporatebondsandgovernmentbonds,bothwithmaturitiesyears.9Timehorizonrisk:theunanticipatedchangethereturndifferencebetween20-yeargovernmentbondsandTreasurybills..99Inflationrisk:theunexpectedchangetheinflationrate.Business-cyclerisk:theunexpectedchangethelevelrealbusiness9Markettimingrisk:theportionthetotalreturnanequitymarketthatremainsunexplainedbythefirstfourriskfactors.RequiredReturnonEquity¾Build-upmethodzThebasicideafortherequiredreturnonequityri=risk-freerate+equityriskpremium’oneormorepremium(discounts)zForprivatebusinessvaluationri=risk-freerate+equityriskpremium+sizepremium+specific-companypremiumzBondyieldplusriskpremiummethodcostequity=YTMonthecompany’slong-termdebt+RiskpremiumzTips:becarefulwiththesignseachcomponentandgetitthroughlogicaldeduction.RequiredReturnonEquity¾ComparisonthemethodsMethodsCAPMStrengthWeakness••Choosingtheappropriatefactor.Lowexplanatorypowersomecases••VerysimplethatusesonlyonefactorHigherexplanatorypower(notassured)••MorecomplexityandexpensiveMultifactorBuild-up••SimpleCanapplytocloselyheldcompanies.valuesmaynotberelevanttocurrentmarketconditionsRequiredReturnonEquity¾SummarycalculationszCalculateERP(equityriskpremium)99Historicalestimate;Forward-lookingestimate.‹‹‹GGMestimate;Macroeconomicmodelestimate;Surveyestimate.RequiredReturnonEquity¾SummarycalculationszCalculaterequiredratereturn999CAPM‹‹‹Activelytradedpubliccompany;AdjustedBeta;Tinytradedornonpubliccompany.Multifactormodel‹‹‹Fama-Frenchmodel(FFM);Pastor-Stambaughmodel(PSM);MacroeconomicMultifactormodels.Build-upmethodBondyield+riskpremium.‹4.InternationalConsideration¾¾ExchangeratezThevolatilityexchangerateinfluencesthereturnonforeigninvestmenttermhomecurrency.DataandmodelissuesemergingmarketszCountryspreadmodel:thecountrypremiumrepresentsapremiumassociatedwiththeexpectedgreaterrisktheemergingmarketcomparedtothebenchmarkdevelopedmarket.Equitypremium=Equitypremiumforadevelopedmarket+CountrypremiumzCountryratingmodel:providesaregression-basedestimatetheequityriskpremium.Theestimatedregressionequationthenusedwiththeriskratingsforlessdevelopedmarketstopredicttherequiredreturnforthosemarkets.5.¾Thecostcapitalismostcommonlyestimatedusingthecompany’safter-taxweightedaveragecostcapital,orweightedaveragecostcapitalforshort.zAweightedaveragerequiredratesreturnforthecomponentsourcescapitald1-Taxrate+ce¾ThechangescapitalstructureresultschangesEliminatetheimpactfromfrequentchangescapitalstructureestimatingthetargetcapitalstructureisusedtoestimatethe6.¾¾Beingusedasdiscountratesvaluation,requiredreturnsneedtobedefinedappropriatelyrelativetothecashflowstobediscounted.zCashflowtoequityÆtherequiredreturnonequityzCashflowtothefirmÆthecostcapital(after-taxweightedaveragecostcapital)Whenflowsstatedrealterms,amountsreflectoffsetsmadeforactualoranticipatedchangesthepurchasingpower.zNominalcashflowsÆnominaldiscountrateszRealcashflowsÆrealdiscountrates26IndustryandCompanyAnalysis1.ApproachesforEquityModelsRevenueForecastApproachesForecastCOGSForecastSellingGeneralandAdministrativeCosts(SG&A)ForecastFinancingCostForecastIncomeExpenseForecastingBalanceSheetItemsReturnonInvestedCapital(ROIC)CompetitivePositionBasedonaPorter’sFiveForcesForecastSalesandCostsSubjecttoPriceInflationandDeflation•••••5..6EffectsTechnologicalDevelopmentForecastHorizonSales-basedProFormaCompanyModel7.8.1.ApproachesEquityModels¾Abottom-upapproachbeginsattheleveltheindividualcompanyoraunitwithinthesuchasindividualproductlines,locations,orbusinesssegments.zAnalyststhenaggregatetheirprojectionsfortheindividualproductsorsegmentstoarriveataforecasttotalrevenueforthezE.G.timeseries,returnoncapital,capacity-basedmeasure.Atop-downapproachusuallybeginsattheleveltheoveralleconomzE.g.growthrelativetoGDPgrowth,marketgrowthandmarketshare.Ahybridapproachcombineselementsbothtop-downandbottom-upanalysis.¾¾zHybridanalysisthemostcommontype.zCanbeusefulforuncoveringimplicitassumptionsorerrorsthatmayarisefromusingasingleapproach.1.1ApproachestoModelingRevenue¾¾GrowthrelativetoGDPgrowthzFirstforecaststhegrowthratenominalgrossdomesticproduct;zThenconsidershowthegrowthratethespecificcompanybeingexaminedwillcomparewithnominalGDPgrowth.g+x%orgØ(1+x%)MarketgrowthandmarketsharezFirstforecastsgrowthinaparticularmarket;zThenconsidersthecompany’scurrentmarketshare,andhowthatsharechangeovertime.zAnalystsoftenthinktermspercentagepointpremiumsordiscountsderivedfromacompany’spositiontheindustriallifecycleorbusinesscycleBottom-upApproachestoModelingRevenue¾¾TimeserieszForecastsbasedonhistoricalgrowthratesortime-seriesanalysis.ReturnoncapitalzForecastsbasedonbalancesheetaccounts,forexampleinterestrevenueforabankmaybecalculatedasloansmultipliedbytheaverageinterestrate.¾Capacity-basedmeasurezForecasts(forexample,retailing)basedonsame-storesalesgrowthandsalesrelatedtonewstores.1.2ForecastCOGS¾¾ForecastingCOGSasapercentagesalesandforecastinggrossmarginpercentageareequivalentthataforoneimpliesafortheCompetitors’grossmarginscanalsoprovideausefulcrosscheckforestimatingarealisticgrossmarginzGrossmargindifferencesamongcompanieswithinasectorshouldlogicallyrelatetodifferencestheirbusinessoperations;zDifferencescompetitors’grossmarginsdoesnotalwaysindicateasuperiorcompetitivepositionbutinsteadcouldsimplyreflectdifferencesbusinessmodels.ForecastCOGS¾¾AsmallerrorthisitemcanhaveamaterialimpactontheforecastedoperatingAnalystsshouldconsiderwhetherananalysisthesecosts(e.g.,bysegment,byproductcategory,orbyvolumeandpricecomponents)canimproveforecastingaccuracy.zE.G.somecompaniesfacefluctuatinginputcoststhatcanbepassedoncustomersonlywithatimelag.Particularlyforcompaniesthathavelowgrossmargins,suddenshocksinputcostscanaffectoperatingsignificantly.EconomiesScale¾¾CharacteristicseconomieszAsituationwhichaveragecostsperunitagoodorserviceproducedfallasvolumerises.zGrossandoperatingmarginstendtobepositivelycorrelatedwithsaleslevelsanindustrythatenjoyseconomiesscale.EconomiesmayappearzFactorsthatcanleadtoeconomiesscaleinclude,athigherlevelsproduction,greaterbargainingpowerwithsuppliers,lowercostcapital,andlowerperunitadvertisingexpenses;zEvidenceeconomies99LowerproportionCOGS;LowerproportionSG&A.ForecastCOGS¾¾CloserexaminationthevolumeandpriceainputsmayimprovethequalityaforecastCOGS,especiallytheshortrun.AnalystsshouldalsoconsiderimpactahedgingzThroughvarioushedgingstrategies,acompanycanmitigatetheimpacton9E.g.Thenegativeimpactincreasingsalespricesonsalesvolumecanbemitigatedbyapolicygradualsalespriceincreases.¾Grossmargindifferencesamongcompanieswithinasectorshouldlogicallyrelatetodifferencestheirbusinessoperations.ForecastCOGS=(historicalCOGS/revenue)u(estimateoffutureForecastCOGS=(1-grossmargin)u(estimateof1.3&¾SG&AoperatingexpenseshavelessadirectrelationshipwiththerevenueazFixedcomponent99ResearchanddevelopmentexpenseFluctuatelessthansales.Overheadcostsmajorlydeterminedby‹‹Numberemployeesattheheadoffice;Supportingandadministrativeoperations.‹zcomponent:sellinganddistributionexpensesoftenhavealargevariablecomponentandcanbeestimated.¾CertainexpenseswithinSG&Amorevariablethanothers.Sellinganddistributionexpensesoftenhavealargevariablecomponentandcanbeestimatedasapercentagesales.1.4ForecastFinancingCost¾¾ThedebtlevelcombinationwiththeinterestratearethemaindriversforecastingdebtfinancingexpenseszNetdebt:grossdebtLesscash,cashequivalents,andshort-termdeposits;zNetinterestexpense:Interestexpenseminusinterestincome.Financialstatementsprovidedetailaboutthematuritystructurethecompany’sdebtandthecorrespondinginterestrates.Thisinformationcanbeusedtoestimatefuturefinancingexpenses.Example¾DutchGrocerAholdhasadebtstructurewitharelativelyhighamountcashonbalancesheet.˄€millions˅20112012Average*GrossdebtCash+STsecuritiesNetdebtGrossinterestexpenseforInterestincomeforNetinterestexpensevalues=(beginning+endingvalue)/21..Calculatetheinterestexpenserateontheaveragegrossdebtandinterestrateontheaveragecashposition2Calculatetheinterestrateonaveragenetdebt,assumingtheotherfinancialincomeandexpensesarenotrelatedtothedebtorcashbalances.Example¾CorrectAnswer:zInterestexpenserateonaveragegrossdebtcalculatedasinterestexpensedividedbyaveragegrossdebt:million/€3,621million)=or6.8%.Theinterestrateonaveragecashpositioninterestincomedividedbytheaveragecashposition:million/€2,708million)=0.7%.zTheinterestrateontheaveragenetdebtcalculatedasnetinterestexpensedividedbyaveragenetdebtmillion/€913million)=24.7%.1.5ForecastIncomeExpense¾taxrateszThestatutorytaxrate,whichisthetaxrateapplyingtowhatisconsideredtobeacompany’sdomestictaxbase;zTheeffectivetaxrate,whichcalculatedasthereportedtaxamountontheincomestatementdividedbythepre-taxincome;zThetaxrate,whichthetaxactually(cashtax)dividedbypre-taxincome.¾Thereconciliationbetweentheandlosstaxamountandthecashflowtaxfiguresshouldbethechangethedeferredtaxassetorzamount=cashflowtaxfigure+changesdeferredtaxliabilities-changesdeferredtaxassetsComparisonsamongIncomeExpense¾Differencesbetweenthestatutorytaxrateandtheeffectivetaxratecanariseformanyreasons.zcredits,withholdingtaxondividends,adjustmentstopreviousyears,andexpensesnotdeductiblefortaxpurposesareamongthereasonsfordifferences.zThenotesonthefinancialstatementsshoulddiscloseothertypesitems,somewhichcouldcontributetoatemporarilyhighorloweffectivetaxrate.zEffectivetaxratescandifferwhencompaniesareactiveoutsidethecountrywhichtheyaredomiciled.¾Agoodstartingpointforestimatingfuturetaxexpenseataxratebasedonnormalizedoperatingincome.Thisnormalizedtaxrateshouldbeagoodindicationthefuturetaxexpense,ananalyst’searningsmodel.2.ForecastingBalanceSheetItems¾¾Somebalancesheetlineitemsflowdirectlyfromtheincomestatementwhereasotherlinesareverycloselylinkedtoincomestatementprojections.Workingcapitalitems:assumedthatworkingcapitalasapercentagesaleswillremainconstant.zInventory=forecastedannualCOGS/InventoryturnoverratiozProjectedaccountsreceivable=(dayssalesoutstanding)h(forecastedsales/365)zEstimateincludeonlytherelevantbalancesheetitemsrelatedtorevenuesandcosts(i.e.,inventories,tradeandotherreceivables,andtradeandotherpayables)andkeeptheotheritemsconstant.ForecastingBalanceSheetItems¾PP&E:primarilychangesaresultcapitalexpendituresanddepreciationzDepreciationforecastsareusuallybasedonhistoricaldepreciationanddisclosureaboutdepreciationschedules,whereascapitalexpenditureforecastsdependontheanalysts’judgmentthefutureneedfornewPP&E;zCapitalexpenditurescanbethoughtasincludingbothmaintenancecapitalexpenditures,whicharenecessarytosustainthecurrentbusiness,andgrowthcapitalexpenditures,whichareneededtoexpandthebusiness.3.ReturnonInvestedCapital(ROIC)¾Oncefutureincomestatementsandbalancesheetsareconstructed,analystscandeterminetheratereturnoninvestedcapital(ROIC).zInvestedcapital:calculatedasoperatingassetslessoperatingliabilitiesz࡯ࡵࡻࡾൌ9ROICisabettermeasureprofitabilitythanreturnonequitybecausenotaffectedbyacompany’sdegreefinancialleverage.9Ingeneral,sustainablyhighROICasignacompetitiveadvantage.zࡱ࡯ࡻࡾൌ9Returnoncapitalemployed(debtandequitycapital)essentiallyROICbeforetax.ROCEcanbeusefulwithdifferenttaxstructuresbecausecomparisonunderlyingprofitabilitywouldnotbebiasedfavorcompaniesbenefittingfromlowtaxrateregimes.Sensitivityanalysis&Scenarioanalysis¾SensitivityzSensitivityanalysisinvolveschangingoneassumptionatatimetoseetheeffectontheestimateintrinsicvalue;zScenarioanalysishasthesamegoal,butinvolveschangingmultipleassumptionsatthesametime.4.CompetitivePositiononaPorter’sFiveForcesThreatnewentrants¾ThecompanieshavelimitedpricingpowerzNumeroussubstitutesexistBargainingpowersuppliersRivalryamongexistingBargainingpowerbuyerszSwitchingcostsarelowcompetitorszTheindustriesarefragmentedzLimitedgrowthThreatsubstituteproductszHighexitbarriers,highfixedcostszIdenticalproductofferings¾ThecompaniesfacedownwardpressureonprofitabilityzThebargainingpowersuppliersarehighzThecustomershavegreaterabilitydemandlowerpricesand/orcontrolthequalityandquantityendproductszThethreatnewentrantsishigh5.InflationandDeflation¾¾Inflationanddeflation:cansignificantlyaffecttheaccuracyofforecastsforacompany’sfuturerevenue,profit,andcashflow.zMostof9Commoditiesorlabor.zResultinhigherpricesforendproducts.zIndustrystructurecanbeanimportantfactorindeterminingtherelationshipbetweenincreasesininputcostsandincreasesinthepriceofendproducts.最新资料领取微信：xuebajun888szInthehighlycompetitiveconsumerinfluencedbymovementsininputprices,whichcanaccountforhalfofthecostofgoodssold.InflationandDeflation¾CompanysalesandinflationdeflationzForecastingrevenueforacompanyfacedwithinflationinputcostsrequiressomeunderstandingthepriceelasticitytheproducts.zTheimpacthigherpricesonvolumedependsonthepriceelasticitydemand9Ifdemandrelativelypriceinelastic,revenueswillbenefitfrominflation;9Ifdemandrelativelypriceelastic,revenuecandeclineevenunitpricesareraised.InflationandDeflation¾IndustrycostsandinflationordeflationzFamiliaritywiththespecificpurchasingcharacteristicsanindustrycanalsobeusefulforecastingcosts;zMonitoringtheunderlyingdriversinputpricescanbeusefulforecastingcosts;zUnderstandhowinflationordeflationaffectsanindustry’scoststructuredependsonitscompetitiveenvironment.¾CompanycostsandinflationordeflationzInforecastingacompany’scosts,oftenhelpfultosegmentthecoststructurebycategoryandgeograph9Foreachitemcost,anassessmentshouldbemadeabouttheimpactpotentialinflationanddeflationoninputprices.Example¾Nestléabeveragemanufacture,thedatafollowedaparttheincomestatementforNestleSalesunits@COGSunits@GrossprofitSG&Aunits@OperatingprofitExample¾AnalystforecaststhatNestlé'sCOGSwillincrease$4/unitnextzWhatNestlé'sgrossmarginandoperatingmarginforzIfNestléwouldtooffsettheincreasingcostbyrisesellingpriceandassumethesalesvolumenotaffected,whatNestlé'smarginandoperatingmargin?zDueincreasesellingprice,Nestlé'ssalesvolumesdecreasedby5%.WhatNestlé'smarginandoperatingmargin?zDueincreasesellingprice,Nestlé'ssalesvolumesdecreasedby10%.WhatNestlé'smarginandoperatingmargin?Example¾CorrectAnswer:zGrossmarginGrossprofit/salesOperatingmarginOperatingprofit/saleszSalesunits@units@units@COGSGrossSG&AOperatingGrossmarginOperatingmarginExample¾CorrectAnswer(cont.):zSalesunits@units@$COGSGrossSG&AOperatingGrossmarginOperatingmarginExample¾CorrectAnswer(cont.):zSalesunits@units@$COGSGrossSG&AOperatingGrossmarginOperatingmarginzThemorevolumeslashedduetotheincreasingprice,thelessoperatingmarginNestlepreserved.6.EffectsDevelopment¾Ad