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1、(依依)uo+3en-BPU pPSUno3SQOZMU-PBBH (虫依)SMuvAUBdljU0。PUeAISnPU-06ZQD(Z) UOAe-e OIUo-SsasAPrUS(依依)l+jdcu3uo3 -EZ MfPBSa ol-PUB oro- -O ro(T) uo=e-e 6Uo-Ssas Apn*ls4cWQUSe-Ssnefts- s(依)u04ro-rAUBdLUoQ ro-mmcu0U-PBH (依依依)Uo4Jnro EoULq-BnP-SBH 7m wro (依)sc-d4-n-ro n-PUB un-三OQBn-3 -uroml-ro -ImMLI-PBaH(依依
2、)uoIen-BMo-uB3 i京 MEPe (色匚。=宙-BA 3wIIno一Ss5AprusccouIlo=3n!J-,MfioS3ssa3三dIrasos=aasl三l三s三n总DefinitionOfVaIuationIntrinsicValue1.iquidationValueFairMarketValueInvestmentValue5PsofVaIuationProcessUnderstandingthebusiness(Porter5zStrategies3,GIGO)ForecastingcompanyperformanceSelectingtheappropriateval
3、uationmodel(DCF,Relative,sumofparts,Conglomeratediscount)ConvertingforecaststoavaluationApplyingthevaluationconclusionsSummaryImportance:Content:ValueValuationprocessExamtips:-本节为概况介绍，不重要，只要掌握基本定义即可。ReturnConceptsModels for require rate of return Weighted average cost of capitalCAPMAPTBuilduprConcep
4、tsHPRRequiredreturnDiscountrateIRREquityriskpremium(ERPlDefinitionofequityriskpremium(incremental,consistent)Historicalestimates(index,riskfree,time,meanupwardlybiased,stationary)ioEquityriskpremium(ERP)Forward-lookingestimates(frequentupdate,assumption)GordongrowthmodelERPgR，roMacroeconomicmodelSup
5、plyside,IbbotsonandChenERP=EDY+(l+EINFL)(l+EGREPS)(l+EGPE)-l-E(Rf)EINFLiT-Bond-Tips,EGPE:baseline=OSurveyestimateswidedisparity11elsforRequiredReturnonEquityThecapitalassetpricingmodelBetaforapubliccompanyregressing,BetaDriftAdjustedBeta=(23)(Unadjustedbeta)+(1/3)(1)Betaforthinlytradedstocksornonpub
6、liccompaniesUnleverthebeta:BUmeVered=l(l+(DEpeer)BERelever beta:Bnonpublic二1(D/Enonpublic)BunleveredModelsforRequiredReturnonEquityThemultifactormodels(APT)TheFama-Frenchmodel(FFM)riRfB呐XRMRFB严NMB,HMLThePastor-Stambaughmodel(PSM)r1RfB咐XRMRFB严mBzHMLIQaverage-liquidity=OMacroeconomicmultifactormodelCo
7、nfidence,Timehorizon,Inflationrisk,Businesscycle,MarkettimingModelsforRequiredReturnonEquityBuild-upmethod(unobtainable,closelyheldcompanies)Build-upmethodforprivatebusinessvaluationriRfEquityriskpremiumSizepremiumSpecific-companypremiur11iUnsystematicrisklesseasilydiversifiedBondyieldplusriskpremiu
8、mri=YTMonthecompanyslongtermdebt+riskpremiumwithpubliclytradeddebtModelsforRequiredReturnonEauityInternationalconsiderationsinrequiredExchangeratesCountryspreadmodelEquityriskpremiumforanemergingmarket=Equityriskpremiumforadevelopedmarket+CountrypremiumelsforRequiredReturnonEquityStrengthsandWeaknes
9、sesofRequiredReturnApproachesStrengthWeaknessCAPMSimple,easytocomputeSinglefactormodelpotentiallossofexplanatorypowerMulti-factormodelsHigherexplanatorypowercomplexandexpensiveBuild-upmodelssimpleappliedtocloselyheldfirmsusehistoricalvaluesWeightedaveragecostofcapitalWACCMVD“QrMVE”MVD-MVEUaxraedMVD-
10、MVEDiscountrateselectioninrelationtocashflowalignthediscountratewiththecashflowsmary-Importance:Content:ERP*ReturnmodelExamtips:-本节主要掌握ERP及Retiim的各种计算方法，注意本节return的计算在之后DDM,Privateconipanyvaluation中均再次出现。2三4MSnBEOU三EIU-Sn!-pjx4=、PBaU-A-Sop-0nu3J/SDoz-B-Ol-Cooo0ucd0u4BJCLJdoPKqAHPSeqAlpedeo0UJrUBXBLU
11、-JJdmUOHOSESroESn-d-ModD:10Pdol-0OElsEO0-as01-三OSSEinancialmodelingNon-operatingcostNetinterestexpense:netdebttax:Statutory,Effective,CashtaxOtheritemsfuturedividendgrowth:sharesoutstanding,dilutionFinancialmodelingBalancesheetandcashflowstatementmodelingUseofefficiencyratiosInventory:Inventoryvalue
12、forecastedannualCOGSinventoryturnoverratioaccountreceivable:ProjectedaccountreceivabledayssalesoutstandingUseofBASEforecastedsales365FinancialmodelingScenarioandsensitivityanalysisSensitivityanalysis:oneassumptionScenarioanalysis:multipleassumptionsOthertopicsPortersmodelInflationandDeflationpassOnJ
13、structure,Price-volumetrade-offTechnologicalDevelopmentsCannibalizationfactorForecasthorizon=expectedholdingperiodBuildingaModel(Sales-basedProFormaModel)marvImportance:Content:FinancialmodelingExamtips:本节考试较难考核，主要掌握financialmodeling的基本方,.DiscountedDividendValuationPVmodelComparationGGMDDM=HPVGoTwos
14、tage-basicMUItiStagemOdelTWc)Stage-HmodelThreestagePVModelsComparisonsDCFModelsComparisonDividenddiscountmodelad:lessvolatile,reinvestedearningsdis:lessdividends,notreflectthecontrolperspectiveApp:consistentdiv,Minority,MaturePVModelsComparisonsFreecashflowmodelFCFF:firmFCFE:equityad:diffdiv,divcapa
15、city,populardis:negativeFCFzlongforecastperiodsApp:Nodividend,ControllingResidualincomemodelad:Wide,opportunitycostdis:accrual,qualityofaccountingApp:Nodividend,negativeFCFDividendDiscountModelDDMprincipalsSingleperiodV。OO P(Il-心Multiple periodV0 t-111 rP1 rDividendDiscountModelGordongrowthmodelVDOX
16、Cg)DBasicso(rg)-r=impliedgrowthrateg=厂2requiredrateofreturnv=g+PresentvalueofgrowthopportunitiesV0=+PVGOf=l+EY.rElrEljustifiedPEPO二DlEI二(1-b)=y+g)q(-顷+g)r-gEIr-gr-g一Multi-StageDDMBasicsofmulti-stageDDMGrowthstagepatternsGrowth:EPS,fast;FCFr;l-bjowTransition:EPS,slow;FCFO;ROEr;l-b,increaseMature:EPSw
17、ide;FCFO;ROE=r;saturationTerminalvaluemultiple/GGMMulti-StageDDMTwo-StageDDMModelsgrowthdropsuddenlyDividendGrowth(g)DO(Ig)(1g)Stage24yearsvVDO(I&MD(Ig)oSAU山一umpO5se三so三uFcinv=CAPEX-ProceedsNodisposalFCInv=CAPEXFcinv=GVi-GVoFCInv=BVi-BVo+DepexpSSo+/U-BMIdXeQ+0mOMSPOJdesodqpD+ET9TAUOU-PSodSQSlU(Lulsm
18、pv-0Mse三so三uCalculationNetborrowingadjustmentsOnlyaffectFCFE,donotaffectFCFFNB=newdebtissuances一debtrepurchasesNB=debtl-debtNotesPayable,CurrentPortionofLTDebt,1.ongTermDebtCalculationFreeCashflowdirectionComputefromNI,CFO2EBIT,EBITDACalculationFreeCashflowdirectionuses-of-free-cash-flowbasisUsesofF
19、CFE=increasesincashbalances+paymentstoprovidersofequitycapitalUsesofFCFF=increasesincashbalances+netpaymenttoprovidersofdebtcapital+paymentstoprovidersofequitycapitalForecastTwoapproachestoforecastFCFCalculatehistoricalFCFForecastcomponentsofFCFSales-basedforecastingmethodFCInvDepWC7VDRDASaesASaIeSD
20、EFCFE1=NI-(l-DR)(FCInv-Dep)-(I-DR)(WCInv)=NI-(l-DR)(FCInv+WCInv-Dep)FCFVaIuationEffectoffinancingdecisionsonFCFFCFFFCFEDividendsNoneSharerepurchaseNoneShareissueNoneNoneNoneNoneChangeinleverageNoneST<effectspartiallyoffset*Sharerepurchase/issueisuseofFCF;notdeterminantFCFVaIuationFCFEandDDMnumerat
21、orisdifferentsameeconomicforcesFCFEtakesacontrolperspectiveDDMtakesaminorityperspectiveAI三b0unlP上nbIBPelUnoUS-PLLlU-3IJ-HaeAl5bLUOufPSUnOQS-Pu:Ouu-UJ上LLPOI1M-OM-MiQH三、_N)AXojd00dSOI三FCFVaIuationModelAppropriatenessSinglestage:slow,constantMultistages:competitivewilldissapearGrowthpattern,lifecyclema
22、tchvalueoftheoperating(excesscash,excessmarketablesecurities,landforinvestmentetc.)SummaryImportance:Content:FCFformulasNCC,WCInv,FCInvadjustmentValuationExamtips:本节非常重要，利用公式计算FCF并能进行估值计算是本节的重点。Market-BasedValuationPricemultiple:PE,PB,PS,PCF,DYEnterprisevaluemultipleOthers:momentumindicators-d三nujQd
23、Pls三一uS三-IuLLl-a-nlu。-JdSEall=au晶Pricemultiples-PEPEratioEarningsDrawbacksNegativeandverylowVolatile/CyclicalityTransitory,non-recurringgrowth,risk,andcashflowsPricemultiples-PEPEratioEarningsDrawbackssolutionEarningsyieldNormalized(EPS,ROE),MolodovskyUnderlyingearningTrailingvs.LeadingPredictedP/Ef
24、romRegressionPricemultiples-PEPredictedP/E=5+(6dividendpayout)+(10growth)-(O.5beta)Sample,time,predictable,change,MulticollinearityPricemultiples-PETypicalvaluationbenchmarksPriceratiooftheclosestmatchedindividualstockAverage/medianratioforpeergroupAverage/medianforsectororindustryValuefromrepresent
25、ativeequityindexAveragehistoricalratioforthesecuritypiePEGratioPEGPricemultiples-PBPBratioDrawbacksnointangibleassets,off-B/SassetsinB,undervalued(adjust:off-B/S,+patent-goodwill,restateLIFO)misleadingdifferencesinassetsizePricemultiples-PBPBratioDrawbacksdifferentaccountingconventionsInflationandte
26、chnologicalchangesharerepurchaseandissuancesPricemultiples-PBAppropriateliquidityasset,financialcompanyPricemultiples-PBJustifiedP0.0.BorgR0E-rargerspread=valuecreation=highermarketvalueComparetoresidualincomemodelROE=rwillhaveaP/Bof1ROE,g,randPBrelationPricemultiples-PSPSratioAppropriatedistressedf
27、irms,mature,cyclical,andzero-incomestocksFormulaFO(E/S)x(11)x(1g)inflationincreasePSdecreasePricemultiples-PCFPCFratioAppropriatedifficulttomanipulateFormulaV0/FCFE0Pricemultiples-DivyieldDividendYieldratioDrawbacksnottotalreturn,tradeoffbetweendivandearningFormulaDP。产1gEnterpriseValueEnterpriseValu
28、eMultiplesRationales:differentfinancialleveragecontrolsfordepEBITDAusuallypositiveEnterpriseValueEnterpriseValueMultiplesDrawbacks:EBITDAignoreschangesinWCinvEnterpriseValue(EV)orFirmValue=MVofcommonstock+MVofdebt+MVpreferred一cashandinvestmentsCrossbordervaluationdifferencesMomentumindicatorsrelativ
29、estrengthUnexpectedearnings:UE=EPS-E(EPS)tttstandardizedunexpectedearningsSUEtEPS,E(EPSt)b(EPSt-E(EPS)CentraltendencymeasureArithmeticmean:largeoutliersHarmonicmean:smalloutliers,lowerthanarithmeticWeighted harmonic mean:MediancorrespondstoportfoliovalueSummaryImportance:Content:*PE,PB,PS,PCF,Divyie
30、ld*EV/EBITDAIndicatorsandmeasuresExamtips:本节主要关注PE,PB的定量定性分析。ResidualIncomeValuationResidualincomedefinitionSinglestagemodelMultistagemodelDefinitionofResidualIncomeResidualincome(RI)Rl=NetInc-(equitycapitalcostofequity)Rl=EBIT(l-t)-(totalcapitalXWACC%)EconomicvalueaddedEVA=NOPAT-(WACC%TotalCapital)
31、R&Dexpenses,deferredtaxes,LIFOreserveMarketvalueaddedMVA=marketvalueoffirm一investedcapitalBasicprincipalRlcalculateRlt=EPSt-(rBVPSt-I)RIt=(ROEt-T)XBVPSt-IcleansurplusrelationBI=Bo+Nl-DivEquityvaluation%BVPS(ROE/；VPSUIHSdp三ISnyou-山OHj一IAcdPBW-SnUOA-HU0PUe山OHuMIBqUo4eQe-Su-匕U-Jool-nA-Pu-LlulOl-Ss-OQPU
32、B三UBBMieqUu之一。Vsous-三9ntt=siisu,s1三sValuationsusingResidualIncomeSingle-stageResidualIncomeModelFormulaimpliedgrowthraterBX(ROEr)justifiedP/BVtiRoEgBorgMulti-StageModelApproach1:premiumoverbookvalue嗫=*+(EPS,-4一)(1+少P-B(1+F)Multi-StageModelApproach2:persistencefactorPV(continuingRIinyearT-1)RI工3=l+g1
33、r-w-=01PV=O;=lzPV=RITrFactorssuggestinghigher:divpayoutratio,historicRlFactorssuggestinglower:ROE,nonrecurring,accrualAlmqBl=OJdu-EOoo0SrDou-WqelePBJdUnJo-4-0jJeuUIlM-qe-ddx/Mo-OJoSPUPpl-5oll-Mzn-q-ss33raepMooO-SUEU-一BU-IUoPIoUBn-BA-BU-EJBlJZU匕S-PolUBLUOOLq-BnP-SBJJoSBSSuIBMPUeLlIcu0uJIStt三ous-三si=,
34、snMsels-SStrengthandweaknessesofresidualincomemodelWeaknessesAccountingdatacanbemanipulatedRequiresmanyadjustmentscleansurplusrelationholdsAccountingissuesViolationsofcleansurplusrelationshipFXtranslationgain/lossesBalancesheetadjustmentstofairvaluePensionliabilityUnrecognizedgain(loss)onAFSsecuriti
35、esDeferredgain(loss)oncashflowhedgesmaryImportance:Content:ResidualincomedefinationResidualincomecalculationMultistagevaluation*AccountingissuesExamtips:本节非常重要，主要掌握每期Rl的计算，Persistentfactor的公式，定性定量都非常重要。PrivateCompanyValuationBasicvaluation:earningadjustmentIncomeapproach:excessearningMarketapproach：GPCMzGTM,PTMAssetbasedapproachDiscountandpremium:DLOC,DLOMISJJIU-三ol-oo-5BcddBPSBqSSBBLUdIUooU一Uo
