第三章證券估值估值簡介Aphilosophicalbasisforvaluation'biggerfool'theorysoundinvesting

GeneralitiesaboutValuation

(估值方法的幾個(gè)誤區(qū))Myth1:Sincevaluationmodelsarequantitative,valuationisobjectiveMyth2:Awell-researchedandwell-donevaluationistimelessMyth3.:AgoodvaluationprovidesapreciseestimateofvalueMyth4:.Themorequantitativeamodel,thebetterthevaluationLOREMIPSUMDOLORMyth5:Tomakemoneyonvaluation,youhavetoassumethatmarketsareinefficientAPPROACHESTOVALUATIONDiscountedcashflowvaluationrelativevaluationcontingentclaimvaluationDiscountedCashflowValuation(DCFV)Loremipsumdolorsitamet,consecteturadipisicingelit,seddoeiusmodtemporincididuntutlaboreetdoloremagnaaliqua.Utenimadminimveniam,quisnostrudexercitationullamcolaborisnisiutaliquipexeacommodoconsequat.StreamofExpectedReturns(CashFlows)FromofreturnsDependingontheinvestment,returnscanbeintheformof:EarningsDividendsInterestpaymentsCapitalgainsWhenwillthecashflowsbereceivedfromtheinvestment?RequiredRateofReturnDeterminedbytheriskofaninvestmentandavailablereturnsinthemarketDeterminedby:Therealrisk-freerateofreturn,plusTheexpectedrateofinflation,plusAriskpremiumtocompensatefortheuncertaintyofreturnsSourcesofuncertainty,andthereforeriskpremiums,varybythetypeofinvestmentBondValuationPresentvalueofabondPresentvalueofinterestpaymentsPresentvalueofmaturityvaluePromisesinterest10percenteachyear;Promisestopaytheprincipalamountof$1000attheendoftwelveyears;Hasayieldof5percentperyear;Interestispaidsemi-annually;Supposeyouareconsideringinvestinginacouponbondthat:練習(xí)對債券估值對國債的進(jìn)行估值，并將結(jié)果與市場價(jià)格對比股權(quán)估值LoremipsumdolorsitametCategorizingDiscountedCashFlowModelsEquityValuationversusFirmValuationThevalueofequityThedividenddiscountmodelisaspecializedcaseofequityvaluation.LOREMIPSUMDOLORAssumethatyouareanalyzingacompanywiththefollowingcashflowsforthenextfiveyears.Assumealsothatthecostofequityis13.625%Wediscountcashflowstoequityatthecostofequity:LOREMIPSUMDOLORThevalueofthefirmLOREMIPSUMDOLORLOREMIPSUMDOLORAssumethatyouareanalyzingacompanywiththefollowingcashflowsforthenextfiveyears.Assumealsothatthecostofequityis13.625%andthefirmcanborrowlongtermat10%.(Thetaxrateforthefirmis50%.)Thecurrentmarketvalueofequityis$1,073andthevalueofdebtoutstandingis$800.LOREMIPSUMDOLORLoremipsumdolorsitamet,consecteturadipisicingelit.LOREMIPSUMDOLORLoremipsumdolorsitamet,consecteturadipisicingelit,seddoeiusmodtemporincididuntutlaboreetdoloremagnaaliqua.Utenimadminimveniam,quisnostrudexercitationullamcolaborisnisiutaliquipexeacommodoconsequat.ApplicabilityandLimitationsofDCFValuation(1)Firmsintrouble(2)CyclicalFirms(3)Firmswithunutilizedassets(4)Firmswithpatentsorproductoptions(5)Firmsintheprocessofrestructuring(6)Firmsinvolvedinacquisitions(7)PrivateFirms練習(xí)題yearcashflowetofirm2011E14,681.212012E14,754.612013E14,828.392014E14,902.532015E14,977.042016E15,051.932016E15,127.192017E15,202.82負(fù)債20489.52股本6500股本價(jià)值46605債務(wù)資本成本（Kd)3.79%股權(quán)資本成本（ce)12.20%普通股估值A(chǔ)ssumethatastockhasjustpaidadividendsothattheseriesoffutureperiodicdividends(Dt)canberepresentedas:Theoriginalbuyeratt=0buysthesharewithaviewtosellitattheendofthefirstyearatanexpectedpriceofP1.Thisentitlestheinvestortoreceivethefirstyear'sdividendD1.

Assumethediscountrate(=requiredrateofreturn)forthisstockisconstantandequaltore.LOREMIPSUMDOLORThenthebuyervaluestheshareas:ButwhatdeterminesP1?Simplyassumethebuyerinoneyear'stimedeterminesthepriceinjustthesameway,andusesthesamediscountrate:

Or,generally,forperiodT:LOREMIPSUMDOLOR…Substitutingequation(2)intoequation(1)gives:Continuingthesameprocess:Inordertomakeuseofthisexpression,wehavetomakesomeassumptionsaboutfuturedividends(1)The"ConstantGrowth"FormulaThesimplestassumptionaboutdividendsisthattheystayconstantovertime,sothatUnfortunately,constancyofdividendsisaveryspecificassumptionwithlittlerealism,andthereforefewapplications.Amoregeneralassumptionisthatdividendsgrowataconstantrate.Assumethatgissmallerthanre.ThenthegeneralformulaforaddingthisseriesisGrowthPattern某公司2006年的每股收益為4.24元，其中50%的收益將用于派發(fā)股息，并且預(yù)計(jì)未來了的股息將長期保持穩(wěn)定。該股票的必要回報(bào)率為9.45%。公司股票當(dāng)前的市場價(jià)格為35元。股票理論價(jià)格2005年某公司的每股收益是3.82元，其中65%的收益用于派發(fā)股息，近5年公司的利潤和股息增長率均為6%，并且預(yù)計(jì)將保持這一速度長期增長。公司股票的不要回報(bào)率為10.15%。公司股票當(dāng)前的市場價(jià)格為55元。股票理論價(jià)格requirerateofreturnUsingtheCAPM如何估算β值對β值估算的一般方法是對股票收益率（R1）與市場收益率（Rm）進(jìn)行回歸分析：

其中：a=回歸曲線的截距

b=回歸曲線的斜率=直接利用EXCEL的回歸分析工具來進(jìn)行估計(jì)。在表單1，點(diǎn)擊菜單欄的“工具”中的“DataAnalysis”（如果你的EXCEL無此功能，請將Office光盤放入電腦的光驅(qū)，然后點(diǎn)擊“工具”中的“加載宏”，選定有關(guān)選項(xiàng)后點(diǎn)擊“確定”完成安裝即可）在彈出的對話框中選擇“Regression”后按“OK”鍵，在彈出的對話框中，填上Y和X數(shù)據(jù)所在的單元格區(qū)間。讓X為上證綜合指數(shù)收益率，Y分別股票收益率。然后選上ConfidenceLevel95%、NewWorksheetPly以及LineFitPlots后按“OK”鍵RelativeValuationthevalueofanassetisderivedfromthepricingof'comparable'assets,standardizedusingacommonvariablesuchasearnings,cashflows,

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