MarketAnalysis(投资分析与投资组合管理)

LecturePresentationSoftwaretoaccompanyInvestmentAnalysisandPortfolioManagementSeventhEditionbyFrankK.Reilly&KeithC.BrownChapter13Chapter13StockMarketAnalysisQuestionstobeanswered:•Howdoweapplythebasicreducedformdividenddiscountmodel(DDM)tothevaluationoftheaggregatestockmarket?•WhatwouldbetheprevailingvalueofthemarketaspresentedbytheS&P400baseduponthereducedformDDM?•Whatwouldbetheprevailingvalueofthemarket(S&P400)baseduponthevalueoffreecashflowtoequity(FCFE)model?Chapter13StockMarketAnalysis•Whatarethetwocomponentsinvolvedinthetwo-partvaluationprocedure?•Giventhetwocomponentsinthevaluationprocedure,whichismorevolatile?•Whatstepsareinvolvedinestimatingtheearningspershareforanaggregatemarketseries?•Whatvariablesaffecttheaggregateoperatingprofitmarginandhowdotheyaffectit?Chapter13StockMarketAnalysis•Whatarethevariablesthatdeterminethelevelandchangesinthemarketearningsmultiplier?•Howdoyouarriveatanexpectedmarketvalueandanexpectedrateofreturnforthestockmarket?•Whathashappenedtothevaluesfortheotherrelativevaluationratios-i.e.,theP/BV,P/CF,andP/Sratios?Chapter13StockMarketAnalysis•Whatadditionalfactorsmustbeconsideredwhenyouapplythismicroanalysisapproachtothevaluationofstockmarketsaroundtheworld?•WhataresomedifferencesbetweenstockmarketstatisticsfortheU.S.versusothercountries?ApplyingtheDDMValuationModeltotheMarket•Thestreamofexpectedreturns•Thetimepatternofexpectedreturns•TherequiredrateofreturnontheinvestmentnnjkgDkgDkgDV)1()1(...)1()1()1()1(02200gkDPVjj1gkEDEPi111/ApplyingtheDDMValuationModeltotheMarketDeterminantsoftheEarningsMultiplier:1.Theexpecteddividendpayoutratio2.Therequiredrateofreturnonthestock3.TheexpectedgrowthrateofdividendsforthestockgkEDEPi111/MarketValuationUsingtheReducedFormDDM•EstimatingkandgfortheU.S.equitymarket•Thenominalrisk-freerate•Theequityriskpremium•ThecurrentestimateofRiskPremiumandk•Estimatingthegrowthrateofdividends(g)g=f(b,ROE)ROE=NetIncome/EquityEstimatingGrowthRate•Growthrateofdividendsisequalto–Retentionrate-theproportionofearningsretainedandreinvested–Returnonequity(ROE)–rateofreturnearnedoninvestmentAnincreaseineitherorbothofthesevariablescausesanincreaseintheexpectedgrowthrate(g)andanincreaseintheearningsmultiplierReturnonEquity(ROE)EquityCommonAssetsTotalAssetsTotalSalesSalesIncomeNetEquityCommonIncomeNetProfitTotalAssetFinancialMarginTurnoverLeverage=xxMarketValuationUsingtheFreeCashFlowtoEquity(FCFE)ModelFCFEis:+NetIncome+DepreciationExpense-CapitalExpenditures-DinWorkingCapital-PrincipalDebtRepayments+NewDebtissuesMarketValuationUsingtheFreeCashFlowtoEquity(FCFE)Model•TheConstantGrowthFCFEModel•TheTwoStageGrowthFCFEModelgpDkMarketValuationUsingRelativeValuationApproach•Theprice-earningsratio(P/E)•Theprice-bookvalueratio(P/BV)•Theprice-cashflowratio(P/CF)•Theprice-salesratio(P/S)MarketValuationUsingRelativeValuationApproach•Two-partvaluationproceduregkDPVjj1gkDPj11gkPDj1MarketValuationUsingRelativeValuationApproach•Importanceofbothcomponentsofvalue1.Estimatingthefutureearningspershareforthestock-marketseries2.Estimatingafutureearningsmultiplierforthestock-marketseriesEstimatingExpectedEarningsPerShare•EstimatingexpectedearningspershareEstimatesalespershareforastock-marketseriesEstimatetheoperatingprofitmarginfortheseriesEstimatedepreciationpershareforthenextyearEstimateinterestexpensepershareforthenextyearEstimatethecorporatetaxrateforthenextyear•EstimatingGrossDomesticProduct•EstimatingsalespershareforamarketseriesEstimatingExpectedEarningsPerShare•Alternativeestimatesofcorporatenetprofits–Directestimateofthenetprofitmarginbasedonrecenttrends–Estimatethenetbeforetax(NBT)profitmargin–EstimateanoperatingprofitmargintoobtainEBITDA;estimatedepreciationandinteresttoarriveatEBT;estimatethetaxrate(T)andmultiplyby(1-T)toestimatenetincomeEstimatingExpectedEarningsPerShare•Estimatingaggregateoperatingprofitmargins–Capacityutilizationrate–Unitlaborcosts–Rateofinflation–ForeigncompetitionEstimatingExpectedEarningsPerShare•Estimatingdepreciationexpense–timeseriestrends–estimatebasedonproperty,plant,andequipment•salesandturnover•depreciationEstimatingExpectedEarningsPerShare•Estimatinginterestexpense–debtlevels•totalassets•expectedcapitalstructure–interestrates–subtractresultfromEBITtoestimateEBTEstimatingExpectedEarningsPerShare•Estimatingthetaxrate–dependsonfuturepoliticalaction–multiply(1-T)timestheEBTper-sharetoestimatethenetincomepershareEstimatingtheEarningsMultiplierforaStockMarketSeries•Determinantsoftheearningsmultiplier–Dividendpayoutratio–requiredrateofreturnoncommonstock–theexpectedgrowthrateofdividendsforthestocksgkEDEPi111/EstimatingtheEarningsMultiplierforaStockMarketSeries•Estimatingtherequiredrateofreturn(k)–inverselyrelatedtotheearningsmultiplier–determinedbyrisk-freerate,expectedinflation,andtheriskpremiumfortheinvestment•Estimatingthedividendpayoutratio(D/E)–activedecisionorresidualoutcome?–timeseriesplots–long-runperspectiveEstimatingtheEarningsMultiplierforaStockMarketSeries•EstimatinganEarningsMutiplier:AnExample–TheDirectionofCh