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fEquity

CFA二級培訓項目

唾8出面間即詞S力小皿如I

TopicWeightingsinCFALevelII

SessionNO.ContentWeightings

StudySession1-2Ethical&ProfessionalStandards10-15

StudySession3QuantitativeMethods5-10

StudySession4Economics5-10

StudySession5-6FinancialReportingandAnalysis10-15

StudySession7-8CorporateFinance5-10

StudySession9-11Equity10-15

StudySession12-13FixedIncome10-15

StudySession14Derivatives5-10

StudySession15AlternativeInvestments5-10

/Session16-17PortfolioManagement10-15

專業?創新?憎值

(?)FrameworkSS9:EquityValuation(1)

9

t

t?R24EquityValuation:

t

t

ApplicationsandProcesses

Equity?R25ReturnConcepts

SS10:EquityValuation⑵

j?R26IndustryandCompany

Analysis

>SS11:EquityValuation⑶

?R27DiscountedDividend

?R28FreeCashFlowValuation

Valuation

?R29Market-BasedValuation:Priceand

EnterpriseValueMultiples

?R30ResidualIncomeValuation

31PrivateCompanyValuation

4-120

亙業?創新?憎值

Reading

24A

EquityValuation:ApplicationsandProcesses

5-120

專業?創新?憎值

1.ValueDefinitionsandApplications

Framework2.TheValuationProcess

6-120

專業?創新?憎值

.1.ValueDefinitionsandApplications

>Intrinsicvalueisthevalueofanassetgiveahypotheticallycomplete

understandingoftheassets'investmentcharacteristics.Valuationisapart

oftheactivemanager'sattempttoproductionpositiveexcessreturn.

>Alpha,anexcessrisk-adjustedreturn,alsocalledanabnormalreturn,

perceivedmispricingtruemispricing

vE-p=（vt7p）+（ViL-v）

theerrorintheestimateoftheintrinsicvalue

?Thefirstcomponentisthetruemispricing,thatis,thedifference

betweenthetruebutunobservableintrinsicvalueVandtheobserved

marketpriceP（thisdifferencecontributestotheabnormalreturn）.

?Thesecondcomponentisthedifferencebetweenthevaluation

estimateandthetruebutunobservableintrinsicvalue,thatis,theerror

intheestimateoftheintrinsicvalue.

7-120

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2017(1)

2.TheValuationProcess

>Valuationprocess

?Step1:understandingthebusiness

/Elementsofindustrystructure(Porter'sfiveforces)

?Intra-industryrivalry

?Newentrants?Howattractivearetheindustriesinwhich

?Substitutesthecompanyoperates,intermsofoffering

prospectsforsustainedprofitability?

?Supplierpower

?Whatisthecompany'srelativecompetitive

?Buyerpowerpositionwithinitsindustry,andwhatisits

/Threegenericstrategiescompetitivestrategy?

?Costleadership?Howwellhasthecompanyexecutedits

?Differentiationstrategyandwhatareitsprospectsfor

futureexecution?

?Focus

?Step2:forecastingcompanyperformance

/Top-downforecastingapproach

?Bottom-upforecastingapproach

8-120

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TheValuationProcess

?Step3:selectingtheappropriatevaluationmodel

/Absolutionvaluationmodel

?DDMZFCFM,residualincomeapproach,asset-basedmodel.

/Relativevaluationmodel

?Multiples,suchasP/E,P/B,P/CF,etc.

?Step4:convertingforecaststoavaluation

/Twoimportantaspectsofconvertingforecaststovaluationare

sensitivityanalysisandsituationaladjustments.

?Controlpremium

?Lackofmarketabilitydiscounts

?Illiquiditydiscounts/blockagefactor

?Step5:makingtheinvestmentdecision

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專業?創新?憎值

?Sum-of-the-partsValuation

>Sum-of-the-partsvaluation

?Sum-of-the-partsvaluation(break-upvalueorprivatemarketvalue):A

valuationthatsumstheestimatedvaluesofeachofthecompany's

businessesasifeachbusinesswereanindependentgoingconcern.

>Conglomeratediscount

?Themarketappliesadiscounttothestockofacompanyoperatingin

multiple,unrelatedbusinessescomparedtothestockofcompanieswith

narrowerfocuses.

?Threeexplanationsforconglomeratediscounts

/Inefficiencyofinternalcapitalmarkets:companies*allocationof

investmentcapitalamongdivisionsdoesnotmaximizeoverall

shareholdervalue;

/Endogenousfactors:poorlyperformingcompaniestendtoexpand

bymakingacquisitionsinunrelatedbusinesses;

/Researchmeasurementerrors:conglomeratediscountsdonot

actuallyexist,andevidencesuggestingthattheydoisaresultof

flawedmeasurement.

10-120

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Reading

25A

ReturnConcepts

11-120

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1.ReturnConcepts

2.EquityRiskPremium

Framework3.RequiredReturnonEquity

4.InternationalConsideration

5.WACC

6.DiscountRateSelectioninRelationTo

CashFlow

12-120

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?1.ReturnConcepts

>Holdingperiodreturn

P】-P0+D=2+Pl-Po

=dividendyield+priceappreciationreturn

PoPo

■AnnualizedHPR:ifthereturnforonemonthis1%thenthe

annualizedHPRis(1+0.01)12-1=12.68%

>Realized&expectedreturn

?Realizedreturn:isthesamewithHPR.Itisbackward-looking

context.

?Expectedreturn:inforward-looking,aninvestorcanforman

expectationconcerningthedividendandsellingprice.

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?ReturnConcepts

>Requiredreturn(opportunitycost)

?Theminimumlevelofexpectedreturnthataninvestorrequiresinorder

toinvestintheassetoveraspecifictimeperiod,giventheassets/

riskiness.

?Itrepresents

/Athresholdvalueforbeingfairlycompensatedfortheriskofthe

asset;

/Ifinvestor'sexpectedreturn>requiredreturn,theassetis

undervalued;andviceversa.

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?ReturnConcepts

>Discountrate

?ItisarateusedinfindingthePVoffuturecashflows;

?Usedtodeterminetheintrinsicvaluedependsonthecharacteristicsof

theinvestmentratherthanthatofpurchaser.

>Internalrateofreturn(IRR)

?Theinternalrateofreturn(IRR)onaninvestmentisthediscountrate

thatequatesthepresentvalueoftheassetsexpectedfuturecashflows

totheasset'sprice.

?Ifpriceisequaltocurrentintrinsicvalue,thengenerally,adiscountrate

canbefound,usuallybyiteration,whichequatesthatpresentvalueto

themarketprice.

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?2.EquityRiskPremium

>Theequityriskpremiumistheincrementalreturn(premium)thatinvestors

requireforholdingequitiesratherthanarisk-freeasset.

?Equityriskpremium=Requiredreturnonequityindex-Risk-freerate

>CAPM

?Requiredreturnonsharei=Currentexpectedrisk-freereturn+&

(Equityriskpremium)

>Build-upMethod

?Requiredreturnonsharei=Currentexpectedrisk-freereturn

+Equityriskpremium

±Otherriskpremium/discounts

16-120

亙業?創新?憎值

2018(1)

?EquityRiskPremium

>Historicalestimate

?Ahistoricalequityriskpremiumestimateisusuallycalculatedasthe

meanvalueofthedifferencesbetweenbroad-basedequity-market-

indexreturnsandgovernmentdebtreturnsoversomeselectedsample

period.

?Issuesinhistoricalestimate

/Selectanappropriateindex.Indrivingthereturn,anindexshould

berelativelystationary.

/Timeperiod.Thelongertheperiodused,themoreprecisethe

estimate;

/Arithmeticmeanorgeometricmean(lower)inestimatingthereturn;

.Riskpremiumwillbelowerwhengeometricmeanisused;

/LongtermbondorshorttermNIIisaproxyfortherisk-freeassets;

?Industrypracticeprefertouselonger-termbondsthanshorter-

termbondstoestimatetherisk-freerate.

/Survivorshipbias

?Thatresultstheover-estimatereturnonindexandtheERR

?Downwardadjustmentisusedtooffsetthebias.

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專業?創新?憎值

?EquityRiskPremium

>Forward-looking(ex-ante)estimate-conceptualframework

?ERPisbasedonexpectationsforeconomicandfinancialvariablesfrom

thepresentgoingforward.ItislogicaltoestimateERPdirectlybasedon

currentinformationandexpectation.

?Itisnotsubjecttotheissuessuchasnon-stationaryordataseriesis

historicalestimate.Butitissubjecttopotentialerrorsrelatedtomodels

andbehavioralbias.

?3approaches

/Gordongrowthmodel(GGM)estimate;

/Macroeconomicsmodelestimate;

/Surveyestimate.

18-120

亙業?創新?憎值

?EquityRiskPremium

>GGM

?GGMequityriskpremiumestimate=Dividendyieldontheindexbased

onyear-aheadaggregateforecasteddividendsandaggregatemarket

value+Consensuslong-termearningsgrowthrate-Long-term

governmentbondyield.

?Asimplewaytounderstandtheequation

ERP=r-RFR=—+g-RFR

Poy

?Theaboveequationassumesgrowthrateisconstant.

/AnanalystmaymakeadjustmenttoreflectP/Eboomorbust.

/Anothermethodtosolvetheseproblems

EquityIndexPrice=PVrapid(r)+PVlransition(r)+PVmature(r)

19-120

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2017(1)2020(1)

?EquityRiskPremium

>Supply-SideEstimates(MacroeconomicModel)

E7?P={[(14-E/A^Z)x(14-EG^￡，P5)x(l+￡jpPE)-l]-i-E/^c}

l.j/.jr,\ExpectedchangesintheP/Eratio/

-Expecled/risk"ee勺"〃\Expectedincomecomponent

ExpectedinflationriJfr“一。ExP—"「心1EPS

rExpectedrisk-freerate

?Expectedinflation

?(1+YTMof20-yearT-bonds)1

(1+YTMof20-yearTIPS)""一

TIPS:TreasuryInflationProtectedSecurities

?ExpectedgrowthinrealEPS

Expectedgrowthinrealearningpershare=realGDPgrowth

=laborproductivitygrowthrate+laborsupplygrowthrate

A^iirveyestimates

?Usetheconsensusoftheopinionsfromasampleofpeople.

20-120

專業?創新?憎值

2017(1)

?3.RequiredReturnonEquity

>CAPMmodel

Requiredreturnonsharei=Currentexpectedrisk-freereturn+印

(Equityriskpremium)

?It'sanequilibriummodelbasedonkeyassumptions

^Investorsareriskaversion;

^Investorsmakeinvestmentdecisionbaseonthemean「eturn

andvarianceofreturnoftheirportfolio.

>CAPMmodel—BetaEstimatesforPublicCompanies

?EstimatingBetaforpubliccompany

/Thechoiceoftheindexusedtorepresentthemarket

portfolio.

?AdjustedBetaforPublicCompaniesintroducedbyBlume

,Adjustedbeta=(2/3)(Unadjustedbeta)+(1/3)(1.0);

/Thebetavalueinafutureperiodhasbeenfoundtobeon

averageclosertothemeanvalueof1.0.

21-120

專業?創新?憎值

2017(1)2018(1)2019(1)

?RequiredReturnonEquity

>EstimatingBetafortinytradedstockornonpubliccompanies

?Step1:Selectingbenchmarkcompany(comparable);

/Usethepubliccompanies,informationinthesameindustry;

?Step2:Estimatethebenchmarksbeta(similarwithprevioussection);

?Step3:Unleveredbenchmark'sbeta

Bux1+(D/E)BE

?Step4:Leveruptheunleveredbetafortinytradedstockornonpublic

companies命卜+由壓版

22-120

亙業?創新?憎值

2016(1)2017(1)

?RequiredReturnonEquity

>Multifactormodel

?Fama-FrenchModelVS.Pastor-StambaughModel(PSM)

/NotethedefinitionofRMRFintermsofashort-termrate;

availablehistoricalseriesareintermsofapremiumoverashort-

termgovernmentdebtrate.

RequiredReturn=RF+x(Rmkt—RF)

Small/largecap+/?嚴，-R)-FFM

xbig-PSM

High/lowbook-to-market+優出x(即?”一RLBM)-

Low/highliquidity+呼x(RLL-RHL)

0嚴e>osmallcap

pyalue>0,value-oriented

>0,low-liquidity

23-120

亙業?創新?憎值

2020(1)

?RequiredReturnonEquity

>Build-upmethod

?Thebasicideafortherequiredreturnonequityis

r(=risk-freerate+equityriskpremium±oneormorepremium

(discounts)

?Forprivatebusinessvaluation

r,=risk-freerate+equityriskpremium+sizepremium

+specific-companypremium

?Bondyieldplusriskpremiummethod

BYPRPcostofequity=YTMonthecompany'slong-termdebt+Risk

premium

?Tips:becarefulwiththesignsofeachcomponentandgetitthrough

logicaldeduction.

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亙業?創新?憎值

?4.InternationalConsideration

>Exchangeraterisk

?Thevolatilityofexchangerateinfluencesthereturnonforeign

investmentintermofhomecurrency.

>Dataandmodelissuesinemergingmarkets

?Countryspreadmodel:thecountrypremiumrepresentsapremium

associatedwiththeexpectedgreaterriskoftheemergingmarket

comparedtothebenchmarkdevelopedmarket.

Equityriskpremium=Equityriskpremiumforadeveloped

market+Countrypremium

?Countryriskratingmodel:providesaregression-basedestimateof

theequityriskpremium.Theestimatedregressionequationisthenused

withtheriskratingsforlessdevelopedmarketstopredicttherequired

returnforthosemarkets.

25-120

亙業?創新?憎值

5.WACC

>Thecostofcapitalismostcommonlyestimatedusingthecompany'safter-

taxweightedaveragecostofcapital,orweightedaveragecostofcapital

(WACC)forshort.

?Aweightedaverageofrequiredratesofreturnforthecomponent

sourcesofcapital

MVDMVCE

WACC=r^(l-Taxrate)+r<

MVD+MVCEMVD+MVCE

>ThechangesincapitalstructureresultsinchangesinWACC.Eliminatethe

impactfromfrequentchangesofcapitalstructureinestimatingWACC,the

targetcapitalstructureisusedtoestimatetheWACC.

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?6.DiscountRateSelectioninRelationtoCashFlow

>Beingusedasdiscountratesinvaluation,reauiredreturnsneedtobe

definedappropriatelyrelativetothecashflowstobediscounted.

?Cashflowtoequity玲therequiredreturnonequity

?Cashflowtothefirm玲thefirm'scostofcapital(after-taxweighted

averagecostofcapital)

>Whencashflowsarestatedinrealterms,amountsreflectoffsetsmadetor

actualoranticipatedchangesinthepurchasingpowerofmoney.

?Nominalcashflows->nominaldiscountrates

?Realcashflows->realdiscountrates

27-120

亙業?創新?憎值

IndustryandCompanyAnalysis

28-120

專業?創新?憎值

1.ApproachesforEquityValuationModels

?RevenueForecastApproaches

Framework?ForecastCOGS

?ForecastSellingGeneraland

AdministrativeCosts(SG&A)

?ForecastFinancingCost

?ForecastIncomeTaxExpense

2.ForecastingBalanceSheetItems

3.ReturnonInvestedCapital(ROIC)

4.CompetitivePositionBasedonaPorter's

FiveForces

5.ForecastSalesandCostsSubjecttoPrice

InflationandDeflation

6.ForecastHorizon

7.Sales-basedProFormaCompanyModel

29-120

專業?創新?憎值

2016(1)2019(1)

?1.ApproachesforEquityValuationModels

>Abottom-upapproachbeginsattheleveloftheindividualcompanyora

unitwithinthecompany,suchasindividualproductlines,locations,or

businesssegments.

?E.G.timeseries,returnoncapital,capacity-basedmeasure.

>Atop-downapproachusuallybeginsattheleveloftheoveralleconomy.

?E.g.growthrelativetoGDPgrowth,marketgrowthandmarketshare.

>Ahybridapproachcombineselementsofbothtop-downandbottom-up

analysis.

?Hybridanalysisisthemostcommontype.

?Canbeusefulforuncoveringimplicitassumptionsorerrorsthatmay

arisefromusingasingleapproach.

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?Top-downApproachestoModelingRevenue

>GrowthrelativetoGDPgrowth

?Firstforecaststhegrowthrateofnominalgrossdomesticproduct

?Thenconsidershowthegrowthrateofthespecificcompanybeing

examinedwillcomparewithnominalGDPgrowth.

+x%x

gGDPorgGDP(l+x%)

>Marketgrowthandmarketshare

?Firstforecastsgrowthinaparticularmarket;

?Thenconsidersthecompan/scurrentmarketshare,andhowthatshare

islikelytochangeovertime.

?Analystsoftenthinkintermsofpercentagepointpremiumsordiscounts

derivedfromacompany'spositionintheindustriallifecycleorbusiness

cyclesensitivity.

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專業?創新?憎值

?Bottom-upApproachestoModelingRevenue

>Timeseries

?Forecastsbasedonhistoricalgrowthratesortime-seriesanalysis.

>Returnoncapital

?Forecastsbasedonbalancesheetaccounts,forexampleinterest

revenueforabankmaybecalculatedasloansmultipliedbytheaverage

interestrate.

>Capacity-basedmeasure

?Forecasts(forexample,inretailing)basedonsame-storesalesgrowth

andsalesrelatedtonewstores.

32-120

亙業?創新?憎值

2019(1)

?ForecastCOGS

>ForecastingCOGSasapercentageofsalesandforecastinggrossmargin

percentageareequivalentinthatavalueforoneimpliesavalueforthe

other.

>Competitors'grossmarginscanalsoprovideausefulcrosscheckfor

estimatingarealisticgrossmargin

>Closerexaminationofthevolumeandpriceofafirm'sinputs

>Grossmargindifferencesamongcompanieswithinasectorshould

logicallyrelatetodifferencesivtheirbusinessoperations.

ForecastCOGS=(historicalCOGS/revenue)x(estimateoffuturerevenue)

ForecastCOGS=(1-grossmargin)x(estimateoffuturerevenue)

33-120

專業?創新?憎值

2019(1)

?EconomiesofScale

>Characteristicsofeconomiesofscale

?Athigherlevelsofproduction,greaterbargainingpowerwithsuppliers,

lowercostofcapital,andlowerperunitadvertisingexpenses;

?Grossandoperatingmarginstendtobepositivelycorrelatedwithsales

levelsinanindustrythatenjoyseconomiesofscale.

>Economiesofscalemayappear

?Factorsthatcanleadtoeconomiesofscaleinclude,athigherlevelsof

production,greaterbargainingpowerwithsuppliers,lowercostof

capital,andlowerperunitadvertisingexpenses;

?Evidenceofeconomies

/LowerproportionofCOGS;

JLowerproportionofSG&A.

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亙業?創新?憎值

?ForecastSellingGeneral&AdministrativeCosts

>SG&Aoperatingexpenseshavelessofadirectrelationshipwiththe

revenueofacompany.

?Fixedcomponent

/Researchanddevelopmentexpense

?Fluctuatelessthansales.

/Overheadcostsmajorlydeterminedby

?Numberofemployeesattheheadoffice;

?Supportingitandadministrativeoperations.

?Variablecomponent:sellinganddistributionexpensesoftenhavea

largevariablecomponentandcanbeestimated.

>CertainexpenseswithinSG&Aaremorevariablethanothers.Selling

anddistributionexpensesoftenhavealargevariablecomponentandcanbe

stimatedasapercentageofsales.

35-120

專業?創新?憎值

?ForecastFinancingCost

>Thedebtlevelincombinationwiththeinterestratearethemaindriversin

forecastingdebtfinancingexpenses

?Netdebt:grossdebtLesscash,cashequivalents,andshort-term

deposits;

?Netinterestexpense:Interestexpenseminusinterestincome.

>Financialstatementsprovidedetailaboutthematuritystructureofthe

company'sdebtandthecorrespondinginterestrates.Thisinformationcan

beusedtoestimatefuturefinancingexpenses.

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?ForecastIncomeTaxExpense

>Typesoftaxrates

?Thestatutorytaxrate,whichisthetaxrateapplyingtowhatis

consideredtobeacompany'sdomestictaxbase;

?Theeffectivetaxrate,whichiscalculatedasthereportedtaxamount

ontheincomestatementdividedbythepre-taxincome;

?Thecashtaxrate,whichisthetaxactuallypaid(cashtax)dividedby

pre-taxincome.

>Thereconciliationbetweentheprofitandlosstaxamountandthecash

flowtaxfiguresshouldbethechangeinthedeferredtaxassetorliability.

?Taxamount=cashflowtaxfigure+changesindeferredtax

liabilities-changesindeferredtaxassets

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專業?創新?憎值

?2.ForecastingBalanceSheetItems

>Somebalancesheetlineitemsflowdirectlyfromtheincomestatement

whereasotherlinesareverycloselylinkedtoincomestatementprojections.

>Workingcapitalitems:assumedthatworkingcapitalasapercentageof

saleswillremainconstant.

?Inventory=forecastedannualCOGS/Inventoryturnoverratio

?Projectedaccountsreceivable=(dayssalesoutstanding)X(forecasted

sales/365)

?Esti