资本估价模型

18P/E(P/E)18.1bookvalue18-1DowChemical18-1(19961231()246731670979643.2711996123124.43796400000032710000078.3751996123119951231DigitalEquipmentCorp.36.2934.25liquidationvaluereplacementcostqTobin’sqJamesTobin1118.2ABCE(D1)4P048E(P1)52E(D1)E(P1)P0P0E(r){E(D1)[E(P1)P0]}/P0[4(5248)]/480.16716.7448E()E(P1)E(r)E(D1)/P0[E(P1)P0]/P0ABCCAPMrf[E(rM)rf]CAPMkkrf6E(rM)rf51.2kk61.2512ABC4.7ABCintrinsicvalueV0kABCP152V0505048ABC3ABCV0P0E(D1)E(P1)kkmarketcapitalizationrate1IBX59.77502.15a.b.1.15614IBXc.IBX18.3SSED1P1P1E(P1)(18-1)V0=D1+P11+k4521.12E(D1)E(P1)1k18449P118-1V1V1P118-1P2(D3P3)/(1k)P2P0HHPH(18-2)14(18-3)18-3dividenddiscountmodel,DDM18-318-1P118-318-2PHH0[1]18.3.118-3gg0.05D03.81D1D0(1g)3.811.054.00D2D0(1g)23.811.0524.20D3D0(1g)33.811.0534.41V0=D11+k+D2(1+k)2+D3(1+k)3+⋅⋅⋅V0=D11+k+D2(1+k)2+⋅⋅⋅+DH+PH(1+k)HV0=D11+k+D2+P2(1+k)2V1=D2+P21+k450[1]18-3[1](18-4)18-4D1D0kgSSE1218-4SSE4/(0.120.05)57.1418-4constant-growthDDMMyronJ.GordonV0D1/k[2]18-4gD1gkkkg1)2)k3)SSE57.14V0P0P0=D1k-gV0=D0(1+g)k-g=D1k-gV0=D0(1+g)1+k+D0(1+g)2(1+k)2+D0(1+g)3(1+k)3+⋅⋅⋅18451[1]V0D1/(kg)g(a)(1k)/(1g)(b)ba[2]11/kk101/0.101018-4g0V0=D1k-g(k+g)V0(1+g)=D1(1+g)1+k1+gV0-V0=D11+g(1+k)(1+g)V0=D11+g+D11+k+D1(1+g)(1+k)2+⋅⋅⋅V0=D11+k+D1(1+g)(1+k)2+D1(1+g)2(1+k)3+⋅⋅⋅SSE55D241.054.20P1D2/(kg)4.20/(0.120.05)60.0057.145gV0P0E(r)D1/P0(P1P0)/P0D1/P0g(18-5)E(r)kkD1/P0gD1/P0kDCFD1/P0g2a.IBX2.1511.2IBX15.2b.IBXc.2.1518.3.2ABC482gV050V1501.0452P048P1481.0449.92V0P02V1P121.042.08P0V08.33812.3312E(r)D1/P0g4/480.040.08330.040.123333P1=D2k-g=D1(1+g)k-g=D1k-g(1+g)=P0(1+g)452P1V152E(r)D1/P0(P1P0)/P04/48(5248)/480.08330.08330.166712.3316.6718.3.3CashCow,Inc.GrowthProspects55k12.5D1/k5/0.12540/15k12.51512.5dividendpayoutratio1004060plowbackratioearningsretentionratio2540518-11ROE1510.15115003005600.6015009001845318-19ROEb999g(ROE)b0.150.600.09P0D1/(kg)2/(0.1250.09)57.14404057.14E1PVGO17.14+(18-6)P0E1/kPVGO57.1440+17.14k12.5k0b0g0E1/k5/0.12540/b0.60ggROEb0.1250.600.075P0D1/(kg)2/(0.1250.075)40(PVGO)00PVGOP0E1/k40400(ROE)kPVGO030.6020(E1)5k12.546010k152545418.3.418-218-2()()(1995~1998)()AnalogDevices16.50.011.6CirrusLogic18.00.07.7Intel24.04.09.8MicronTechnologies22.55.09.7Motorola13.515.04.6NationalSemiconductor14.02.013.4Novellus16.00.011.3Teradyne19.00.03.1TexasInstruments18.513.03.418.04.38.3BostonEdison8.073.06.3CentralMainePower6.567.07.2CentralVermont8.055.06.1CommonweathEnergy8.070.00.7ConsolidatledEdison8.075.01.1EasternUtilities8.069.04.2LongIslandLighting6.582.02.3NewEnglandElectric7.576.01.5NotheasternUtilities8.070.04.77.670.83.8ValueLineInvestmentSurvey,1997.188.37.670.83.81845518-21997ABCD(ROE)ECDE199800-0220002002200119980.5420010.8516.31998200119980.5419990.6420000.7420010.8520010.1515.0gROEb15(10.15)12.75200118-2P200120012001kkCAPM1.3019975.37.0[1]+5.37.012.3krf[E(rM)rf]5.31.3[12.35.3]14.4P2001=D2002k-g=D2001(1+g)k-g=0.85×1.1275k-0.1275V1997=D19981+k+D1999(1+k)2+D2000(1+k)3+D2001+P2001(1+k)4=0.541+k+0.64(1+k)2+0.74(1+k)3+0.85+P2001(1+k)4456[1]8.519972001P2001(0.851.1275)/(0.1440.1275)58.08V20010.54/1.1440.64/(1.144)20.74/(1.144)3(0.8558.08)/(1.144)435.8618-2Motorola,October24,1997.71B1845720011615199772.422001199820015ROE1672.422001200118.4(P/E)18.4.1(P/E)-(price-earningsmultiple)P/E18-1-40(P/E)387%6%8%7%3019931019951230500PaineWebberEdwardkerschner50021304581998(P/E)Wrigley810TheWallStreetJournal,December1,1997.(P/E)EPS5601540(P/E)40/58.057.14(P/E)57.14/511.4(P/E)18-6(18-7)PVGO018-7P0E1/k(EPS1)(P/E)1/k(PVGO)(P/E)E/kE/k(P/E)1998(P/E)3314(P/E)(P/E)1981199753218-4(P/E)(P/E)(P/E)P0D1/(kg)D1E1(1b)gROEbD1g(P/E)(18-8)P0E1=1-bk-ROE×bP0=E1(1-b)k-ROE×bP0E1=1k(1+PVGOE/k)18459(P/E)(ROE)[1]k(P/E)b(P/E)18-3(P/E)(b)()ROE00.250.500.75A.(g)()1002.55.07.51203.06.09.01403.57.010.5B.(P/E)()108.337.897.145.56128.338.338.338.33148.338.8210.0016.67k1218-318-8b(P/E)18-3A(P/E)B18-3B(P/E)(P/E)(P/E)kkkk12(P/E)(P/E)(P/E)(P/E)OneUponWallStreet(P/E)......(P/E)1515460[1]18-8ROEbggk18-8ROEbk(P/E)rf8rMrf8b0.4rMrf88161k16(ROE)16gROEb160.46.4P/E(10.4)/(0.160.064)6.26P/Egrf5rMrf58131(ROE)kg130.45.2P/E(10.4)/(0.130.052)7.69P/Eg(P/E)(P/E)6ABC1221.5010a.(P/E)b.0.4(P/E)18.4.2(P/E)(P/E)18-8k(P/E)(P/E)(P/E)(P/E)(P/E)PE=1-bk-g1846118.4.3(P/E)(P/E)(P/E)18-3(P/E)(P/E)18-3(P/E)(P/E)18-718-8(P/E)18-8(P/E)E1(P/E)18-419801.300.75(P/E)18-5(P/E)(P/E)19850.31(P/E)462P/E()56.3(P/E)(P/E)18-418-5(P/E)1980~19979.72.4(P/E)(P/E)18-61997(P/E)(P/E)19971997(P/E)199818-418-5(P/E)184633.002.502.001.501.000.500.0018-619971998(P/E)InstitutionalBrokersEstimateSystem(I/B/E/S),U.S.Comments,December3,1997.18.4.4(P/E)(P/E)18-22001(P/E)20.020015.502001205.501102001110V19970.54/1.1440.64/(1.144)20.74/(1.144)3(0.85110)/(1.144)466.177118.5ModiglianiMM[1][2]MMMM464I/B/E/S*[1]M.MillerandF.Modigliani,DividendPolicy,GrowthandtheValuationofShares,JournalofBusiness,October1961;andF.ModiglianiandM.Miller,TheCostofCapital,CorporationFinance,andtheTheoryofInvestment,AmericanEconomicReview,June1958.M.Miller,DebtandTaxes,JournalofFinance,May1976,andModigliani,Debt,DividendPolicy,Taxes,InflationandMarketValuation,JournalofFinance,May1982.[2]Ste