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Equity Asset Valuation workbook.pdf

Equity Asset Valuation workbook

nwguru
2012-12-16 0人阅读 0 0 0 暂无简介 举报

简介:本文档为《Equity Asset Valuation workbookpdf》,可适用于经济金融领域

EQUITYASSETVALUATIONWORKBOOKJohnDStowe,CFAThomasRRobinson,CFAJeraldEPinto,CFADennisWMcLeavey,CFAJohnWileySons,Incffirsinddiiiffirsinddiii::PM::PMcainddcaindd::PM::PMEQUITYASSETVALUATIONWORKBOOKffirsinddiffirsinddi::PM::PMCFAInstituteisthepremierassociationforinvestmentprofessionalsaroundtheworld,withover,membersincountriesSincetheorganizationhasdevelopedandadministeredtherenownedCharteredFinancialAnalyst®ProgramWitharichhistoryofleadingtheinvestmentprofession,CFAInstitutehassetthehigheststandardsinethics,education,andprofessionalexcellencewithintheglobalinvestmentcommunity,andistheforemostauthorityoninvestmentprofessionconductandpracticeEachbookintheCFAInstituteInvestmentSeriesisgearedtowardindustrypractitionersalongwithgraduatelevelfinancestudentsandcoversthemostimportanttopicsintheindustryTheauthorsofthesecuttingedgebooksarethemselvesindustryprofessionalsandacademicsandbringtheirwealthofknowledgeandexpertisetothisseriesffirsinddiiffirsinddii::PM::PMEQUITYASSETVALUATIONWORKBOOKJohnDStowe,CFAThomasRRobinson,CFAJeraldEPinto,CFADennisWMcLeavey,CFAJohnWileySons,Incffirsinddiiiffirsinddiii::PM::PMCopyright©byCFAInstituteAllrightsreservedPublishedbyJohnWileySons,Inc,Hoboken,NewJerseyPublishedsimultaneouslyinCanadaNopartofthispublicationmaybereproduced,storedinaretrievalsystem,ortransmittedinanyformorbyanymeans,electronic,mechanical,photocopying,recording,scanning,orotherwise,exceptaspermittedunderSectionoroftheUnitedStatesCopyrightAct,withouteitherthepriorwrittenpermissionofthePublisher,orauthorizationthroughpaymentoftheappropriatepercopyfeetotheCopyrightClearanceCenter,Inc,RosewoodDrive,Danvers,MA,(),fax(),oronthewebatwwwcopyrightcomRequeststothePublisherforpermissionshouldbeaddressedtothePermissionsDepartment,JohnWileySons,Inc,RiverStreet,Hoboken,NJ,(),fax(),oronlineathttp:wwwwileycomgopermissionsLimitofLiabilityDisclaimerofWarranty:Whilethepublisherandauthorshaveusedtheirbesteffortsinpreparingthisbook,theymakenorepresentationsorwarrantieswithrespecttotheaccuracyorcompletenessofthecontentsofthisbookandspecificallydisclaimanyimpliedwarrantiesofmerchantabilityorfitnessforaparticularpurposeNowarrantymaybecreatedorextendedbysalesrepresentativesorwrittensalesmaterialsTheadviceandstrategiescontainedhereinmaynotbesuitableforyoursituationYoushouldconsultwithaprofessionalwhereappropriateNeitherthepublishernorauthorshallbeliableforanylossofprofitoranyothercommercialdamages,includingbutnotlimitedtospecial,incidental,consequential,orotherdamagesForgeneralinformationonourotherproductsandservicesorfortechnicalsupport,pleasecontactourCustomerCareDepartmentwithintheUnitedStatesat(),outsidetheUnitedStatesat()orfax()WileyalsopublishesitsbooksinavarietyofelectronicformatsSomecontentthatappearsinprintmaynotbeavailableinelectronicbooksFormoreinformationaboutWileyproducts,visitourwebsiteatwwwwileycomISBNPrintedintheUnitedStatesofAmericaffirsinddivffirsinddiv::PM::PMvCONTENTSPARTILearningOutcomes,SummaryOverview,andProblemsCHAPTERTheEquityValuationProcessLearningOutcomesSummaryOverviewProblemsCHAPTERDiscountedDividendValuationLearningOutcomesSummaryOverviewProblemsCHAPTERFreeCashFlowValuationLearningOutcomesSummaryOverviewProblemsCHAPTERMarketBasedValuation:PriceMultiplesLearningOutcomesSummaryOverviewProblemsCHAPTERResidualIncomeValuationLearningOutcomesSummaryOverviewProblemsftocinddvftocinddv::PM::PMPARTIISolutionsCHAPTERTheEquityValuationProcessSolutionsCHAPTERDiscountedDividendValuationSolutionsCHAPTERFreeCashFlowValuationSolutionsCHAPTERMarketBasedValuation:PriceMultiplesSolutionsCHAPTERResidualIncomeValuationSolutionsAbouttheCFAProgramviContentsftocinddviftocinddvi::PM::PMEQUITYASSETVALUATIONWORKBOOKflastinddviiflastinddvii::PM::PMflastinddviiiflastinddviii::PM::PMPARTILEARNINGOUTCOMES,SUMMARYOVERVIEW,ANDPROBLEMScainddcaindd::PM::PMcainddcaindd::PM::PMCHAPTERTHEEQUITYVALUATIONPROCESSLEARNINGOUTCOMESAftercompletingthischapter,youwillbeabletodothefollowing:DefinevaluationDiscusstheusesofvaluationmodelsDiscusstheimportanceofexpectationsintheuseofvaluationmodelsExplaintheroleofvaluationinportfoliomanagementDiscussthestepsinthevaluationprocess,andtheobjectivesandtaskswithineachstepDiscusstheelementsofacompetitiveanalysisforacompanyContrasttopdownandbottomupapproachestoeconomicforecastingContrastquantitativeandqualitativefactorsinvaluationDiscusstheimportanceofqualityofearningsanalysisinfinancialforecastingandidentifythesourcesofinformationforsuchanalysisDescribequalityofearningsindicatorsandriskfactorsDefineintrinsicvalueDefineandcalculatealphaExplaintherelationshipbetweenalphaandperceivedmispricingDiscusstheuseofvaluationmodelswithinthecontextoftraditionalandmodernconceptsofmarketefficiencyContrastthegoingconcernconceptofvaluetotheconceptofliquidationvalueDefinefairvalueContrastabsoluteandrelativevaluationmodels,anddescribeexamplesofeachtypeofmodelExplainthebroadcriteriaforchoosinganappropriateapproachforvaluingaparticularcompanyDiscusstheroleofownershipperspectiveinvaluationExplaintheroleofanalystsincapitalmarketsDiscussthecontentsandformatofaneffectiveresearchreportExplaintheresponsibilitiesofanalystsinperformingvaluationsandcommunicatingvaluationresults••••••••••••••••••••••cainddcaindd::PM::PMLearningOutcomes,SummaryOverview,andProblemsSUMMARYOVERVIEWInthischapter,wehavediscussedthescopeofequityvaluation,outlinedthevaluationprocess,introducedvaluationconceptsandmodels,discussedtheanalyst’sroleandresponsibilitiesinconductingvaluation,anddescribedtheelementsofaneffectiveresearchreportinwhichanalystscommunicatetheirvaluationanalysisValuationistheestimationofanasset’svaluebasedonvariablesperceivedtoberelatedtofutureinvestmentreturns,orbasedoncomparisonswithcloselysimilarassetsValuationisusedforstockselection,inferring(extracting)marketexpectations,evaluatingcorporateevents,fairnessopinions,evaluatingbusinessstrategiesandmodels,communicationamongmanagement,shareholders,andanalysts,andappraisalofprivatebusinessesThethreestepsintheportfoliomanagementprocessareplanning,execution,andfeedbackValuationismostcloselyassociatedwiththeplanningandexecutionstepsForactiveinvestmentmanagers,plansconcerningvaluationmodelsandcriteriaarepartoftheelaborationofaninvestmentstrategySkillinvaluationplaysakeyroleintheexecutionstep(inselectingaportfolio,inparticular)Thevaluationprocesshasfivesteps:UnderstandingthebusinessForecastingcompanyperformanceSelectingtheappropriatevaluationmodelConvertingforecaststoavaluationMakingtheinvestmentdecision(recommendation)Thetaskswithin“understandingthebusiness”includeevaluatingindustryprospects,competitiveposition,andcorporatestrategiesBecausesimilareconomicandtechnologicalfactorstypicallyaffectallcompaniesinanindustry,andbecausecompaniescompetewitheachotherforsales,bothindustryknowledgeandcompetitiveanalysishelpanalystsunderstandacompany’seconomicsanditsenvironmentTheanalystcanthenmakemoreaccurateforecastsTwoapproachestoeconomicforecastingaretopdownforecastingandbottomupforecastingIntopdownforecasting,analystsusemacroeconomicforecaststodevelopindustryforecastsandthenmakeindividualcompanyandassetforecastsconsistentwiththeindustryforecastsInbottomupforecasting,individualcompanyforecastsareaggregatedtoindustryforecasts,whichinturnmaybeaggregatedtomacroeconomicforecastsCarefulscrutinyandinterpretationoffinancialstatements,footnotestofinancialstatements,andotheraccountingdisclosuresareessentialtoaqualityofearningsanalysisQualityofearningsanalysisconcernsthescrutinyofpossibleearningsmanagementandbalancesheetmanagementTheintrinsicvalueofanassetisitsvaluegivenahypotheticallycompleteunderstandingoftheasset’sinvestmentcharacteristicsAlphaisanasset’sexcessriskadjustedreturnExantealphaisexpectedholdingperiodreturnminusrequiredreturngivenriskHistoricalalphaisactualholdingperiodreturnminusthecontemporaneousrequiredreturnActiveinvestingisconsistentwithrationalefficientmarketsandtheexistenceoftradingcostsandassetswhoseintrinsicvalueisdifficulttodetermine•••••••••••••••••••cainddcaindd::PM::PMChapterTheEquityValuationProcessThegoingconcernassumptionistheassumptionthatacompanywillcontinueoperatingfortheforeseeablefutureAcompany’sgoingconcernvalueisitsvalueunderthegoingconcernassumptionandisthegeneralobjectiveofmostvaluationmodelsIncontrast,liquidationvalueisthecompany’svalueifitweredissolvedanditsassetssoldindividuallyFairvalueisthepriceatwhichanassetwouldchangehandsifneitherbuyernorsellerwereundercompulsiontobuysellAbsolutevaluationmodelsspecifyanasset’sintrinsicvalue,supplyingapointestimateofvaluethatcanbecomparedwithmarketpricePresentvaluemodelsofcommonstock(alsocalleddiscountedcashflowmodels)arethemostimportanttypeofabsolutevaluationmodelRelativevaluationmodelsspecifyanasset’svaluerelativetothevalueofanotherassetAsappliedtoequityvaluation,relativevaluationisknownasthemethodofcomparables:Inapplyingthemethodofcomparables,analystscompareastock’spricemultipletothepricemultipleofasimilarstockortheaverageormedianpricemultipleofsomegroupofstocksRelativeequityvaluationmodelsdonotaddressintrinsicvaluewithoutthefurtherassumptionthatthepriceofthecomparisonvalueaccuratelyreflectsitsintrinsicvalueThebroadcriteriaforselectingavaluationapproacharethatthevaluationapproachbeconsistentwiththecharacteristicsofthecompanybeingvaluedappropriategiventheavailabilityandqualityofthedataandconsistentwiththeanalyst’svaluationpurposeandperspectiveValuationmaybeaffectedbycontrolpremiums(premiumsforacontrollinginterestinthecompany),marketabilitydiscounts(discountsreflectingthelackofapublicmarketforthecompany’sshares),andliquiditydiscounts(discountsreflectingthelackofaliquidmarketforthecompany’sshares)Investmentanalystsplayacriticalroleincollecting,organizing,analyzing,andcommunicatingcorporateinformation,aswellasinrecommendingappropriateinvestmentactionsbasedontheiranalysisInfulfillingthisrole,theyhelpclientsachievetheirinvestmentobjectivesandcontributetotheefficientfunctioningofcapitalmarketsAnalystscancontributetothewelfareofshareholdersthroughmonitoringtheactionsofmanagementInperformingvaluations,analystsneedtoholdthemselvesaccountabletobothstandardsofcompetenceandstandardsofconductAneffectiveresearchreportcontainstimelyinformationiswritteninclear,incisivelanguageisunbiased,objective,andwellresearchedcontainsanalysis,forecasts,valuation,andarecommendationthatareinternallyconsistentpresentssufficientinformationthatthereadercancritiquethevaluationstatestheriskfactorsforaninvestmentinthecompanyanddisclosesanypotentialconflictsofinterestsfacedbytheanalystAnalystshaveanobligationtoprovidesubstantiveandmeaningfulcontentCFAInstitutemembershaveanadditionaloverridingresponsibilitytoadheretotheCFAInstituteCodeofEthicsandrelevantspecificStandardsofProfessionalConductPROBLEMSAStatefourusesorpurposesofvaluationmodelsBWhichuseofvaluationmodelsmaybethemostimportanttoaworkingequityportfoliomanagerCWhichuseswouldbeparticularlyrelevanttoacorporateofficer•••••••••••••••••••••cainddcaindd::PM::PMLearningOutcomes,SummaryOverview,andProblemsInExamplebasedonCornell’s()studyofIntelCorporation,inwhichCornellvaluedIntelusingapresentvaluemodelofstockvalue,wewrote:“WhatfuturerevenuegrowthrateswereconsistentwithIntel’sstockpriceof$justpriortotherelease,and$onlyfivedayslaterUsingaconservativelylowdiscountrate,Cornellestimatedthatthepriceof$wasconsistentwithagrowthrateofpercentayearforthesubsequentyears(andthenpercentperyearthereafter)”AIfCornellhadassumedahigherdiscountrate,wouldtheresultingrevenuegrowthrateestimateconsistentwithapriceof$behigherorlowerthanpercentayearBExplainyouranswertoPartAAExplaintheroleofvaluationintheplanningstepoftheportfoliomanagementprocessBExplaintheroleofvaluationintheexecutionstepoftheportfoliomanagementprocessExplainwhyvaluationmodelsareimportanttoactiveinvestorsbutnottoinvestorstryingtoreplicateastockmarketindexAnanalysthasbeenfollowingKerrMcGeeCorporation(NYSE:KMG)forseveralyearsHehasconsistentlyfeltthatthestockisundervaluedandhasalwaysrecommendedastrongbuyAnotheranalystwhohasbeenfollowingNucorCorporation(NYSE:NUE)hasbeensimilarlybullishThetablesbelowsummarizetheprices,dividends,totalreturns,andestimatesofthecontemporaneousrequiredreturnsforKMGandNUEfromtoDataforKMGYearPriceatYearEndDividendsTotalAnnualReturnContemporaneousRequiredReturn$$����DataforNUEYearPriceatYearEndDividendsTotalAnnualReturnContemporaneousRequiredReturn$$����cainddcaindd::PM::PMChapterTheEquityValuationProcessThetotalreturnisthepriceappreciationanddividendsfortheyeardividedbythepriceattheendofthepreviousyearThecontemporaneousrequiredreturnistheaverageactualreturnfortheyearrealizedbystocksthatwereofthesameriskasKMGorNUE,respectivelyAWithoutreferencetoanynumericaldata,whatcanbesaidabouteachanalyst’sexantealphaforKMGandNUE,respectivelyBCalculatetheexpostalphasforeachyearthroughforKMGandforNUEOnthelasttradingdayof(December),ananalystisreviewinghisvaluationofWalMartStores(NYSE:WMT)Theanalysthasthefollowinginformationandassumptions:Thecurrentpriceis$Theanalyst’sestimateofWMT’sintrinsicvalueis$InadditiontothefullcorrectionofthedifferencebetweenWMT’scurrentpriceanditsintrinsicvalue,theanalystforecastsadditionalpriceappreciationof$andacashdividendof$overthenextyearTherequiredrateofreturnforWalMartispercentAWhatistheanalyst’sexpectedholdingperiodreturnonWMTBWhatisWMT’sexantealphaCCalculateexpostalpha,giventhefollowingadditionalinformation:Overthenextyear,DecemberthroughDecember,WalMart’sactualrateofreturnwaspercentIn,therealizedrateofreturnforstocksofsimilarriskwas�percentThetablebelowgivesinformationontheexpectedandrequiredratesofreturnbasedontheCAPMforthreesecuritiesananalystisvaluing:ExpectedRateCAPMRequiredRateSecuritySecuritySecurityADefineexantealphaBCalculatetheexpectedalphaofSecurities,,andandrankthemfrommostattractivetoleastattractiveCBasedonyouranswertoPartB,whatrisksattachtoselectingamongSecurities,,andBenjaminGraham()wrotethat“thereisadoublefunctionoftheFinancialAnalyst,relatedinparttosecuritiesandinparttopeople”AExplaintheanalyst’sfunctionrelatedtopeopleBHowdoestheanalyst’sworkcontributetothefunctioningofcapitalmarketsInaresearchnoteontheordinarysharesoftheMariellaBuraniFashionGroup(MilanStockExchange:MBFGMI)datedearlyJulywhenarecentpricewas€andprojectedannualdividendswere€,ananalyststatedatargetpriceof€Theresearchnotedidnotdiscusshowthetargetpricewasobtainedor••••••ThetotalreturnisthepriceappreciationanddividendsfortheyeardividedbythepriceattheendofthepreviousyearThecontemporaneousrequiredreturnistheaverageactualreturnfortheyearrealizedbystocksthatwereofthesameriskasKMGorNUE,respe

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