财务报表分析与证券估值全套配套课件英文PPT中文PPT案例教学建议Chap006.ppt 34页

CHAPTERSIXMcGraw-Hill/IrwinCopyright©2013byTheMcGraw-HillCompanies,Inc.Allrightsreserved. Chapter6Preparedby:StephenH.Penman–ColumbiaUniversityWithcontributionsbyNirYehuda–NorthwesternUniversityMingcherngDeng–UniversityofMinnesotaPeterD.EastonandGregoryA.Sommers–NotreDameandSouthernMethodistUniversitiesLuisPalencia–UniversityofNavarra,IESEBusinessSchool6-2 WhatYouWillLearnFromThisChapterWhataP/EratiomeansWhat“abnormalearningsgrowth”isHowforecastingabnormalearningsgrowthyieldstheintrinsicP/EratioWhatismeantbyanormalP/EratioThedifferencebetweenex-dividendearningsgrowthandcum-dividendearningsgrowthThedifferencebetweenaCase1andCase2abnormalearningsgrowthvaluationHowabnormalearningsgrowthvaluationprotectstheinvestorfrompayingtoomuchforearningsgrowthTheadvantagesanddisadvantagesofusinganabnormalearningsgrowthvaluationandhowthevaluationcompareswithresidualearningsvaluationThatabnormalearningsgrowthisequaltothechangeinresidualearningsHowabnormalearningsgrowthvaluationprotectstheinvestorfrompayingforgrowthWhataPEGratiois6-3 TheBigPictureforthisChapterTopriceearnings,onethinksofearningsgrowth:moregrowth,higherP/EBut:BewareofpayingforgrowthOnlypayforgrowththataddsvalueGrowthisrisky:BewareofpayingforriskygrowthAbnormalearningsgrowthisthemetricthatprotectsfrompayingtoomuchforgrowth6-4 TheConceptBehindtheP/ERatioPriceinnumeratorofP/EisbasedonexpectedfutureearningsEarningsindenominatoriscurrent(orforward)earningsP/Eisthusbasedonexpectedgrowthinearnings:fortrailingP/E,growthfromcurrentearningsonwardsforforwardP/E,growthfromone-year-aheadearningsonwardsBut……growthisrisky,sotheP/EratioalsoinvolvesadiscountforriskexpectedearninggrowthincreasestheP/EratioriskreducestheP/Eratio6-5 BewareofPayingTooMuchforEarningsGrowthInvestmentcreatesgrowthbutdoesnotnecessarilyaddvalueEarningsgrowthcanbecreatedbytheaccountingWeneedavaluationmethodthatprotectsusfrompayingtoomuchforearningsgrowth6-6 Reminder:ResidualEarningsValuationProtectsYouFromPayingTooMuchForEarningsEarningsfromnewinvestmentischargedwiththerequiredreturnoninvestmentResidualearningsbeforenewinvestment:10%hurdlerateRE=12–(0.10x100)=2(ROCE=12%)Residualearningsafternewinvestmentof$20millionearningat10%RE=14–(0.10x120)=2NovalueaddedfromnewinvestmentCreatingearningsbyaccountingmethodsalsoincreasesresidualearningsbutreducesbookvalue.Theneteffectiszero.SeeChapter5.AP/Emodelmustalsoprotectyoufrompayingtoomuchforearningsgrowth.6-7 P/BValuationforNike,Inc.(Ch.5)6-8 FromP/BValuationtoP/EValuationTheresidualearningsproformaforNike,Inc:6-9 ChangeinResidualEarningsandAbnormalEarningsGrowthEquivalentvaluations:V=BookValue+PVofResidualEarnings=Capitalizedforwardearnings+PVofChangesinResidualEarningsEquivalentmeasures:ChangeinResidualEarnings=AbnormalEarningsGrowthAbnormalEarningsGrowth(AEG)isgrowthinearningsovertherequiredgrowthrateAEGisthefocusforP/Evaluation6-10 ThePrototypeSavingsAccount6-11 TheTrailingP/EandForwardP/E6-12 Cum-DividendEarningsCum-dividendearningsisearningswiththeprioryear’sdividendreinvested:Forthefull-payoutaccount:Earningsfor2014$5.00Earningsfromreinvestingprioryear’sdividend0.25Cum-dividendearnings$5.25Forzero-payoutaccount:Earningsfor2014$5.00Earningsfromreinvestingprioryear’sdividend0.00Cum-dividendearnings$5.25Thetwosavingsaccountshavethesamecum-dividendearnings!6-13 NormalEarnings=1.05x5.00=5.256-14 AbnormalEarningsGrowth(AEG)AbnormalEarningsGrowthisgrowthovernormalearningsgrowth(indollars):AEG=Cum-dividendearnings–NormalearningsFortheSavingsaccount:6-15 LessonsfromtheSavingsAccount1.Anassetisworthcapitalizedforwardearningsifabnormalearningsgrowthisexpectedtobezero.2.AnassethasanormalP/Eratioifabnormalearningsgrowthisexpectedtobezero.3.Earningscomesfromtwosources:earningsfromtheassetearningsfromreinvestingdividends4.Dividendsdonotaffectcum-dividendearnings.5.Dividendpayoutdoesnotaffectvalue.6-16 AnAnchoringPrincipleIfoneforecaststhatcum-dividendearningswillgrowatarateequaltotherequiredrateofreturn,theasset’svaluemustbeequaltoitsearningscapitalizedOr,equivalently:Ifoneforecaststhatabnormalearningsgrowthwillbezero,theasset’svaluemustbeequaltoitsearningscapitalized6-17 ABadP/EModelDoesnotworkforasavingsaccount!6-18 AModeloftheForwardP/EValueofsavingsaccount=Capitalizedforwardearnings+NoextravalueExtravalueisaddedifabnormalearningsgrowthisforecastedThemodel:Valueofequity=Capitalizedforwardearnings+ExtravalueforabnormalearningsgrowthTheintrinsicP/EisgivenbydividingthroughbyEarn16-19 MeasuringAbnormalEarningsGrowthforEquities:DellandNike,2010Abnormalearningsgrowtht(AEGt)=Cum-dividendearnt-Normalearnt=[Earnt+(ρE–1)dt-1]–ρEarnt-1Dell:Requiredreturn=9%Eps2009=$1.25Nike:Requiredreturn=9%Eps2009=$3.07DellInc.Nike,Inc.Eps2010Dps2009Earningsonreinvested2009dividendsCum-dividendearnings2010Normalearningsfrom2009:Dell:1.25x1.09;Nike:3.07x1.09Abnormalearningsgrowth(AEG)2010$0.00$0.73$0.000.731.363-$0.633$0.98$3.930.0884.0183.346$0.6726-20 Cum-dividendEarningsGrowthRateCum-dividendearningsgrowthrate(plusone):Note:Thisisnot6-21 AlternativeCalculationofAEGAbnormalearningsgrowtht=[Gt–ρE]xEarningst-1WhereGt=Cum-dividendearningsgrowthrate(plusone)ForNike:G2010=4.018/3.07=1.3088(a30.88%growthrate)AEG2010=[1.3088–1.09]x3.07=$0.6726-22 StepsinApplyingtheModelForecastearningsanddividendsuptoaforecasthorizon.CalculateAEGaftertheforwardyearfromtheforecastsofearningsanddividends.DiscounttheAEGtopresentvalueattheendoftheforwardyear.Calculateacontinuingvalueattheforecasthorizon.Discountthecontinuingvaluetopresentvalueattheendoftheforwardyear.Add3,5,andforwardearningsCapitalizethistotalattherequiredrateofreturn.6-23 ApplyingtheModelCumdividendearnings2Normalearnings2Cumdividendearnings3Normalearnings2Cumdividendearnings4Normalearnings4Year4aheadYear3aheadYear2aheadAbnormalEarnings2AbnormalEarnings3AbnormalEarnings4ForwardEarnings1Year1aheadPVofAEG2TotalearningsplusgrowthCurrentValueCapitalizeDiscountbyDiscountby2Discountby3ForecastsPVofAEG3PVofAEG4++++--+6-24 ApplyingtheModel:ASimpleExampleandaSimpleModelForecastforafirmwithexpectedearningsgrowthof3percentperyear(indollars).Requiredreturnis10%peryear.Residualearningsvaluation:AEGvaluation:6-25 ACase1Valuation:GeneralElectricRequiredreturnis10%Inthiscase,abnormalearningsgrowthisexpectedtobezeroafter2004Sameasresidualearningsvaluation6-26 ACase2Valuation:Nike,Inc.Requiredreturnis9%Inthiscase,abnormalearningsgrowthisexpectedtogrowata4.5percentrateafter2012Sameasresidualearningsvaluation6-27 ConvertingAnalysts’ForecaststoaValuation:GoogleInc.,2010Price,early2011=$624Requiredreturn=11%Consensusepsforecasts:2011$33.832012$39.475-yeargrowthrateforecasted=17.4%6-28 AbnormalEarningsGrowthisEqualtotheChangeinResidualEarningsAEGt=[earnt+(ρE–1)dt-1]-ρEearnt-1Bythestocksandflowsequationforaccountingforthebookvalueofequity(Chapter2),Bt-1=Bt-2+earnt-1–dt-1,soearnt-1–dt-1=Bt-1–Bt-2.Thus,AEGt=earnt–earnt-1-(ρE–1)[Bt-1–Bt-2]=[earnt-(ρE–1)Bt-1]-[earnt-1-(ρE–1)Bt-2]=REt–REt-1So,theAEGmodelcanbewrittenas:6-29 ProtectionFromEarningsCreatedbyAccounting:ARestructuringCharge6-30 AbnormalEarningsGrowthAnalysis:AdvantagesandDisadvantagesAdvantagesEasytounderstand:Investorsthinkintermsoffutureearnings;investorsbuyearnings.Focusesdirectlyonthemostcommonmultipleused,theP/Eratio.UsesAccrualaccounting:embedsthepropertiesofaccrualaccountingbywhichrevenuesarematchedwithexpensestomeasurevalueaddedfromsellingproducts.Versatility:Canbeusedunderavarietyofaccountingprinciples(Chapter17).Alignedwithwhatpeopleforecast:Analystsforecastearningsandearningsgrowth.DisadvantagesAccountingcomplexity:Requiresanunderstandingofhowaccrualaccountingworks.Conceptcomplexity:Requiresanappreciationoftheconceptofcum-dividendearnings;thatis,valueisbasedonearningstobeearnedwithinthefirmandfromearningsfromthereinvestmentofdividends.Applicationtostrategy:Doesnotgiveaninsightintothedriversofearningsgrowth,particularlybalancesheetitems,soisnotsuitedtostrategyanalysis.Suspectaccounting:Reliesonearningsnumbersthatcanbesuspect(Chapter18).6-31 TheFedModelIfEarningsYieldislessthan10-yeartreasurynoteyield,stocksareoverpricedInGreenspan1998:“irrationalexuberance”speechTreasuryyield=5.60%(P/E=17.86)Earningsyield=4.75%(P/E=21.05)Agoodmodel?DifferentriskforbondsandstocksP/Eshouldbehigherforbonds(andearningsyieldslower)StocksdeliverAEG,bondsdonotP/Ecanbehigherforstocks(andearningsyieldslower)But:growthmayberisky.TheFedModelsaysthatgrowth=risk,Sothetwocancelintheprice.6-32 P/ERatiosandInterestRates:1963–2003MedianP/Eratiosandinterestrates(inpercentages)onone-yearTreasurybills6-33 ThePEGRatioPEGRATIO=P/E1-yearaheadpercentageearningsgrowthDoesitworkasascreenforbuyandsell?Threepoints:One-year-aheadgrowthdoesnotcapturelong-termgrowth:Useanaverage5-yeargrowthrateindenominator?A1.0cutoffappliesonlyforarequiredreturnof10%.Growthrateshouldbethecum-dividendgrowthrate.6-34