投资回报率&股本价值&财务报表

InvestmentReturns,EquityValue,andFinancialStatementsPARTIUnderstandinginvestmentreturnsandhowanalysts’stylesaredeterminedbytheirapproachtoforecastingreturnsChapter3UnderstandingvaluationmodelsthatvalueforecastedreturnsChapter4Understandinghowearningsarerelatedtoreturnsandhowvaluationsbasedonforecastedearningswork(ordon’twork)Chapter5UnderstandinghowforecastsofincomestatementsandbalancesheetsproduceavaluationChapter6Withthisunderstandingproceedto·Analysisofinformation(PartII)·ForecastingandValuation(PartIII)GainingtheUnderstandingtodoFundamentalAnalysisChapter3InvestmentReturnsInvestmentReturnsChapter1establishedthatforecastingreturnsisattheheartoffundamentalanalysisLinktoPreviousChapterThischapterexplainswhatreturnsare,distinguishesnormalandabnormalreturns,andexplainshowanalystsspecializeinforecastingnormalandabnormalreturnsThisChapterChapter4willshowhowvaluationmodelsareconstructedtomeasurethevalueofforecastedreturnsLinktoNextChapterLinktoWebPageHowarereturnscalculated?Whatisanormalreturnandanabnormalreturn?Howmightananalystgainanadvantageinforecastingnormalorabnormalreturns?Whathasbeenthehistoricalexperienceinequityinvesting?Whatyouwilllearninthischapter•Howinvestmentreturnsarecalculated•Thedifferencebetweennormalandabnormalreturns•Whatanefficientmarketpricemeans•Whatanarbitrageopportunityis•Thedifferencebetweenactiveandpassiveinvestment•Thedifferencebetweenanalphaandabeta•Howassetpricingmodelswork(inoutline)•Howscreeningstrategieswork(anddon’twork)•Whatacontrarianstrategyis•Howfundamentalanalysisdiffersfromscreeningandcontrariananalysis•Howvariousstockselectionstrategieshaveworkedinthepast•Foraterminalinvestment:•Foraninvestmentinequity:•Foraone-yearequityinvestmentPayoff:Return:Rate-of-Return:ExpectedReturn:ExpectedRate-of-Return:RequiredPayoffperdollar:RequiredRate-of-Return:TherequiredreturnisalsocalledthenormalreturnorthecostofcapitalTheStructureofInvestmentReturnsd1d2d3dT-1123T-10TP0InvestmentHorizon:WhenstockissoldPT+dTDividendatTSellingPrice(ifsoldatT)+DividendsInitialPrice0011PPdP011PdP011PdP0011PPdPCF1CF2CF3CFT-1123T-10TI0InvestmentHorizon:TTerminalCashFlowCashFlowsInitialInvestmentCFT11dP1Hewlett-Packard:Returnsfor1991_____________________________________________________________Hewlett-PackardCompany:Returnsfor1991Requiredreturnis12%Priceatendof1991$50.3751991Dividend.4801991Payoff50.855Priceatendof199026.0001991Return24.855Rateofreturn=$24.855/26.0=95.6%Normalreturn:$26x.123.120Abnormalreturn21.735Abnormalrateofreturn=21.735/26.00=83.6%Rateofreturn=95.6%Normalreturn12.0Abnormalrateofreturn=83.6%____________________________________________________________•Ifthepricepaidforastockis(expectedpayoffdiscountedattherequiredpayoffperdollar,,thestockisappropriatelypriced:themarketpriceisefficient•Or,priceisefficientifitequalstheexpectedreturncapitalizedattherequiredrate-of-return:•Or,today’sprice(P0)mustbesuchthattherequiredrate-of-return,-1,willequalthe(expected)rate-of-return:TheNoArbitrageCondition(NA)RequiredRate-of-ReturnExpectedRate-of-Return1PdPP01100011PPdP1110dPPArbitrageTradingStrategies•IfNAholds,themarketisefficientinthatstock:thereisnoarbitrageopportunity•Anydiscrepancybetweenexpectedandrequiredrate-of-return,isanarbitrageopportunitythat,ifexploited,willprofitthearbitragetrader•AnarbitrageopportunityarisesifIfthenBUYIfSELL•Thedifferenceiscalledtheexpectedabnormalreturnandtherulecanberestatedas:BUYiftheexpectedabnormalreturnispositive,andSELLifnegative.Ifitiszero,donothing(HOLD)1PPdP00111PPdP00111PPdP0011TypesofArbitrage•Risk1.Pure(Risk-Free)ArbitrageYougetsomethingfornothing,forsure2.ExpectationalArbitrageYouhaveabetterchanceofanabnormalreturnthannot•Locationofprices1.Cross-sectionalArbitrageDifferentpricesforthesamecommodityatthesamepointintime2.IntertemporalArbitrageDifferentpricesforthesamecommodityatdifferentpointsintime•Theseconceptsapplytoaninvestmentformorethanoneperiodwithtwomodifications:Themultiperiodrate-of-returnwillbethecompoundedannualrate.ForaT-yearperiodandaflattermstructure,therequiredpayoffis:ForachangingtermstructureitwouldbeDividendsfortheintermediateyearscanbereinvestedat.TheaccumulatedvalueatyearTofreinvesteddividendsiscalledterminalvalueofdividendsatTAddingthesellingpricewillgivethecumdividendpayofforcum-dividendterminalprice:AndtheT-periodcumdividendreturnwillbeMultiyearEquityInvestmentsT1tttTdT1tttTTdP0T1tttTTPdPT321THewlett-Packard1990-95:Payoffs199419951993199219911990d4=0.55P5=84d3=0.45d2=0.36d1=0.24d5=0.90P0=13TerminalValueofDividends012345d1d2d3d4d5d2x-2d3x-3d4x-4d5x-5d1-1d2-2d3-3d4-4d5-5(Year0value)(Year5value)dt5tt15dttt1512345d1d2d3d4d5d4x3dx2d2x3d1x4d5d41d32d23d14(Year5value)(Year0value)0()-5dt5tt15dt5tt15dttt15()5dttt15HP1990-95:TerminalDividendPayoff199019911992199319941995d92=0.36(1995value)(1990value)d91=0.24d93=0.45d94=0.55d95=0.700.24x1.1240.55x1.120.45x1.1220.36x1.1230.700.620.560.510.382.76=2.76x1.12-5=1.57dt