全套美国投资哲学,过千张pdf版pptgrowthn

AswathDamodaran1SmallCapandGrowthInvestingAswathDamodaranAswathDamodaran2Whoisagrowthinvestor?QTheConventionaldefinition:Aninvestorwhobuyshighpriceearningsratiostocksorhighpricetobookratiostocks.QTheGenericdefinition:Aninvestorwhobuysgrowthcompanieswherethevalueofgrowthpotentialisbeingunderestimated.Inotherwords,bothvalueandgrowthinvestorswanttobuyundervaluedstocks.Thedifferenceliesmostlyinwheretheythinktheycanfindthesebargainsandwhattheyviewastheirstrengths.AswathDamodaran3ThemanyfacesofgrowthinvestingQTheSmallCapinvestor:Thesimplestformofgrowthinvestingistobuysmallercompaniesintermsofmarketcap,expectingthesecompaniestobebothhighgrowthcompaniesandalsoexpectingthemarkettounderestimatethevalueofgrowthinthesecompanies.QTheIPOinvestor:Presumably,stocksthatmakeinitialpublicofferingstendtobesmaller,highergrowthcompanies.QThePassiveScreener:Likethepassivevaluescreener,agrowthscreenercanusescreens-lowPEratiosrelativetoexpectedgrowth,earningsmomentum-topickstocks.QTheActivistGrowthinvestor:Theseinvestorstakepositionsinyounggrowthcompanies(evenbeforetheygopublic)andplayanactiverolenotonlyinhowthesecompaniesaremanagedbutinhowandwhentotakethempublic.AswathDamodaran4I.SmallCapInvestingQOneofthemostwidelyusedpassivegrowthstrategiesisthestrategyofinvestinginsmall-capcompanies.QThereissubstantialempiricalevidencebackingthisstrategy,thoughitisdebatablewhethertheadditionalreturnsearnedbythisstrategyarereallyexcessreturns.AswathDamodaran5TheSmallFirmEffectSmallest23456789LargestValueWeightedEquallyWeighted0.00%5.00%10.00%15.00%20.00%25.00%30.00%AverageAnnualReturnMarketValueClassFigure9.1:AnnualReturnsbyMarketValueClass-1927-2001ValueWeightedEquallyWeightedAswathDamodaran6SmallFirmEffectOverTimeFigure9.2:SmallFirmPremiumovertime-1927-2001-40.00%-20.00%0.00%20.00%40.00%60.00%80.00%100.00%1927193019331936193919421945194819511954195719601963196619691972197519781981198419871990199319961999YearSmallFirmReturn-AverageAswathDamodaran7CyclesinSmallFirmPremiumSmallCapEffectoverTime0.00%5.00%10.00%15.00%20.00%25.00%30.00%35.00%40.00%45.00%1973-19941982-19901990-19941995-1999LargeCapMidCapSmallMicro-capAswathDamodaran8Hasthesmallfirmpremiumdisappeared?QThesmallstockpremiumhaslargelydisappearedsince1981.Whetherthisisalongtermshiftinthesmallstockpremiumorjustatemporarydipisstillbeingdebated.QJeremySiegelnotesinhisbookonthelongtermperformanceofstocksthatthesmallstockpremiumcanbealmostentirelyattributedtotheperformanceofsmallstocksinthe1970s.Sincethiswasadecadewithhighinflation,couldthesmallstockpremiumhavesomethingtodowithinflation?AswathDamodaran9TheSizeandJanuaryEffectsSmallest234LargestJanuaryRestoftheyear0.00%2.00%4.00%6.00%8.00%10.00%12.00%14.00%AverageReturn:1935-86SizeClassFigure9.4:TheSmallFirmEffectinJanuaryJanuaryRestoftheyearAswathDamodaran10PossibleExplanationsQThetransactionscostsofinvestinginsmallstocksissignificantlyhigherthanthetransactionscotsofinvestinginlargerstocks,andthepremiumsareestimatedpriortothesecosts.Whilethisisgenerallytrue,thedifferentialtransactionscostsareunlikelytoexplainthemagnitudeofthepremiumacrosstime,andarelikelytobecomeevenlesscriticalforlongerinvestmenthorizons.QThedifficultiesofreplicatingthesmallfirmpremiumsthatareobservedinthestudiesinrealtimeareillustratedinFigure9.11,whichcomparesthereturnsonahypotheticalsmallfirmportfolio(CRSPSmallStocks)withtheactualreturnsonasmallfirmmutualfund(DFASmallStockFund),whichpassivelyinvestsinsmallstocks.AswathDamodaran11DifficultiesinReplicatingSmallFirmEffect1982198319841985198619871988198919901991CRSPSmallDFASmallFirmFund-10.00%-5.00%0.00%5.00%10.00%15.00%Figure9.5:ReturnsonCRSPSmallStocksversusDFASmallStockFundAswathDamodaran12RiskModelsandtheSizeEffectQThecapitalassetpricingmodelmaynotbetherightmodelforrisk,andbetasunderestimatethetrueriskofsmallstocks.Thus,thesmallfirmpremiumisreallyameasureofthefailureofbetatocapturerisk.Theadditionalriskassociatedwithsmallstocksmaycomefromseveralsources.•First,theestimationriskassociatedwithestimatesofbetaforsmallfirmsismuchgreaterthantheestimationriskassociatedwithbetaestimatesforlargerfirms.Thesmallfirmpremiummaybearewardforthisadditionalestimationrisk.•Second,theremaybeadditionalriskininvestinginsmallstocksbecausefarlessinformationisavailableonthesestocks.Infact,studiesindicatethatstocksthatareneglectedbyanalystsandinstitutionalinvestorsearnanexcessreturnthatparallelsthesmallfirmpremium.AswathDamodaran13ThereislessanalystcoverageofsmallfirmsAnalystCoverage0%20%40%60%80%100%120%LargeCapMidCapSmallMicro-cap0510152025%coveredbyanalystsAveragenumberofanalystsAswathDamodaran14But..QThereissomecounter-evidenceontheriskinessofsmallstocksAswathDamodaran15DeterminantsofSuccessatSmallCapInvestingQTheimportanceofdisciplineanddiversificationbecomeevengreater,ifyouareasmallcapinvestor.Sincesmallcapstockstendtobeconcentratedinafewsectors,youwillneedamuchlargerportfoliotobediversifiedwithsmallcapstocks.Inaddition,diversificationshouldalsoreducetheimpactofestimationriskandsomeinformationrisk.•Wheninvestinginsmallcapstocks,theresponsibil