文档介绍：该【CFA二级基础段权益（打印版） 】是由【经管专家】上传分享，文档一共【90】页，该文档可以免费在线阅读，需要了解更多关于【CFA二级基础段权益（打印版） 】的内容，可以使用淘豆网的站内搜索功能，选择自己适合的文档，以下文字是截取该文章内的部分文字，如需要获得完整电子版，请下载此文档到您的设备，方便您编辑和打印。EquityValuation&)$????亩??&ProfessionalStandards10-15StudySession2-3StudySession4QuantitativeMethodsEconomics5-105-10StudySession5-6StudySession7-8StudySession9-11StudySession12-13StudySession14StudySession15StudySession16-17FinancialReportingandAnalysisCorporateFinanceEquity10-155-1010-1510-155-10eDerivativesAlternativeInvestments5-10PortfolioManagement10-153-270FrameworkSS9:EquityValuation(1)???R24EquityValuation:ApplicationsandProcessesR25ReturnConceptsEquityvaluation?SS10:EquityValuation(2)?panyAnalysis?SS11:EquityValuation(3)?R27DiscountedDividendValuation??R28FreeCashFlowValuationR29Market-BasedValuation:PriceandEnterpriseValueMultiples??eValuationpanyValuation4-270Reading24EquityValuation:ApplicationsandProcesses5-2701..ValueDefinitionsandApplicationsTheValuationProcessFramework26-??pleteunderstandingoftheassets’’,anexcessrisk-adjustedreturn,–P=(V–P)+(VE–V)theerrorintheestimateoftheintrinsicvalueponentisthetruemispricing,thatis,thedifferencebetweenthetruebutunobservableintrinsicvalueVandtheobservedmarketpriceP(thisdifferencecontributestotheabnormalreturn).ponentisthedifferencebetweenthevaluationestimateandthetruebutunobservableintrinsicvalue,thatis,-270ValueDefinitionsandApplications??Going-ConcernValueandLiquidationValuezGoing-concernvalueisthevalueunderagoing-(orliability),ountofpotentialsynergiesbasedontheinvestor’srequirementsandexpectations.?UnderefficientmarketzLiquidationvalue<intrinsicvalue=fairmarketvalue<investmentvalue8-270ValueDefinitionsandApplications?ApplicationsofEquityValuationzStockselection:Checkifthissecurityisfairlypriced,overpriced,(extracting)marketexpectations::Investmentbankers,corporateanalysts,andinvestmentanalystsusevaluationtoolstoassesstheimpactofsuchcorporateeventsasmergers,acquisitions,divestitures,spin-offs,-270ValueDefinitionsandApplicationszFairnessopinions:Thepartiestoamergermayberequiredtoseekafairnessopiniononthetermsofthemergerfromathirdparty,:Valuationconceptspanymanagement,shareholders,:-pensation):Share-basedpayments(.,restrictedstockgrants)-?GeneralstepsintheequityvaluationprocesszUnderstandthebusiness;panyperformance;zSelecttheappropriatevaluationmodel;zConverttheforecastsintoavaluation;-270TheValuationProcess?ValuationprocesszStep1:understandingthebusiness9Elementsofindustrystructure(Porter’sfiveforces)?????Intra-industryrivalryNewentrantsSubstitutesSupplierpowerBuyerpowerzzzHowattractivearetheindustriesinwhichpanyoperates,intermsofofferingprospectsforsustainedprofitability?pany’petitivepositionwithinitsindustry,andwhatisitscompetitivestrategy?panyexecuteditsstrategyandwhatareitsprospectsforfutureexecution?9Threegenericstrategies?Costleadership?Differentiation?FocuszStep2:panyperformance99Top-downforecastingapproachBottom-upforecastingapproach12-270TheValuationProcesszStep3:selectingtheappropriatevaluationmodel9AbsolutionvaluationmodelDDM,FCFM,eapproach,asset-,suchasP/E,P/B,P/CF,:convertingforecaststoavaluation?9?9Twoimportantaspectsofconvertingforecaststovaluationaresensitivityanalysisandsituationaladjustments.???ControlpremiumLackofmarketabilitydiscountsIlliquiditydiscounts/blockagefactorzStep5:makingtheinvestmentdecision13-270TheValuationProcess??Sum-of-the-partsvaluationzSum-of-the-partsvaluation(breakupvalueorprivatemarketvalue):Apany’,’allocationofinvestmentcapitalamongdivisionsdoesnotmaximizeoverallshareholdervalue;99Endogenousfactors:paniestendtoexpandbymakingacquisitionsinunrelatedbusinesses;Researchmeasurementerrors:conglomeratediscountsdonotactuallyexist,-270TheValuationProcess??Howdoesoneselectavaluationmodel?Selectedmodelsshouldbepanybeingvalued;zAppropriategiventheavailabilityandqualityofdata;zConsistentwiththepurposeofvaluation,includingtheanalyst’-270Reading25ReturnConcepts16-2701234....-?-P0+D1D1P1-P0r==+=dividendyield+:ifthereturnforonemonthis1%thentheannualizedHPRis(1+)12-1=%18-270ReturnConcepts?Realized&expectedreturnzRealizedreturn:-:inforward-looking,,anexcessrisk-adjustedreturn,??zExpectedalpha(exantealpha)=Expectedreturn–RequiredreturnzRealizedalpha(expostalpha)=Actualholdingperiodreturn–Contemporaneousrequiredreturn19-270ReturnConcepts?Requiredreturn(opportunitycost)zTheminimumlevelofexpectedreturnthataninvestorrequiresinordertoinvestintheassetoveraspecifictimeperiod,giventheassets’;Ifinvestor’sexpectedreturn>requiredreturn,theassetisundervalued;-270ReturnConcepts?ExpectedreturnzWhenaassetismispriced,’prises:99Requiredreturn;(R)|rT+V-P00P0where,V0,thereintrinsicvalueofthestock;P0,thecurrentpriceofthestockrT,requiredreturnduringtheconvergencetimeperiod21-270ReturnConcepts??DiscountratezItisarateusedinfindingthePVoffuturecashflows;(IRR)zTheinternalrateofreturn(IRR)onaninvestmentisthediscountratethatequatesthepresentvalueoftheasset’sexpectedfuturecashflowstotheasset’,thengenerally,adiscountratecanbefound,usuallybyiteration,-???Theequityriskpremiumistheincrementalreturn(premium)thatinvestorsrequireforholdingequitiesratherthanarisk-=Requiredreturnonequityindex–Risk-freerateCAPMzRequiredreturnonsharei=Currentexpectedrisk-freereturn+βi(Equityriskpremium)Build-upMethodzRequiredreturnonsharei=Currentexpectedrisk-freereturn+Equityriskpremium?Otherriskpremium/discounts23-270EquityRiskPremium?HistoricalestimatezAhistoricalequityriskpremiumestimateisusuallycalculatedasthemeanvalueofthedifferencesbetweenbroad-basedequity-market-,,themoreprecisetheestimate;eometricmean(lower)inestimatingthereturn;?Riskpremiumwillbelowerwhengeometricmeanisused;Longtermbondorshorttermbillisaproxyfortherisk-freeassets;?Industrypracticeprefertouselonger-termbondsthanshorter-termbondstoestimatetherisk-??Thatresultstheover--270EquityRiskPremium?Forward-looking(ex-ante)estimate–-(GGM)estimate;Macroeconomicsmodelestimate;-270EquityRiskPremium?GGMzGGMequityriskpremiumestimate=Dividendyieldontheindexbasedonyear-aheadaggregateforecasteddividendsandaggregatemarketvalue+Consensuslong-termearningsgrowthrate–Long-=r-RFR=P0+g-=PVrapid(r)+PVtransition(r)+PVmature(r)26-270EquityRiskPremium?Supply-SideEstimates(MacroeconomicModel)ERP^a??1EINFL?u?1?EGREPS?u?1?EGPE??o?EINC`1???ExpectedriskfreereturnExpectedchangesintheP/EratioponentExpectedgrowthinrealEPSExpectedinflationExpectedrisk-freeratezExpectedinflation(1+YTMof20-yearT-bonds)(1+YTMof20-yearTIPS)|-1TIPS:TreasuryInflationProtectedSecuritieszExpectedgrowthinrealEPSExpectedgrowthinrealearningpershare=realGDPgrowthlaborproductivitygrowthrate+laborsupplygrowthrate=?-270EquityRiskPremium?ComparisonEstimatesStrengthWeakness??Precisionissues(duetothereduced/dividedlengthofdata)Difficult-to-maintainstationaryassumption(iftheseriesstartingpointextendedtothedistantpast)Empiricallycountercyclicalexpectedequityriskpremium??Afamiliarandpopularchoice(ifreliablelong-termrecordsareavailable)Unbiasedestimate(ifnosystematicerrorshasbeenmade)HistoricalEstimates????Objectivequality(groundedindata)Survivorshipbiasandpositive/negativesurprisesAvailable()Notsubjecttotheissueofnon-stationaryordatabiases?Oftensubjecttootherpotentialerrorsrelatedtofinancial/-lookingEstimates??Subjective28-270EquityRiskPremium?ComparisonEstimatesGGMStrengthPopularmethod;Reasonablewhenappliedtodevelopedeconomiesandmarkets;Weakness????Changethroughtimeandneedtobeupdated;Assumptionofastablegrowthrate.?-SideEstimatesProvenmodels;Currentinformation;Onlyappropriatefordevelopedcountries;????SurveyEstimatesWidedisparityfromdifferentgroups?Easytoobtain29-?Toestimatetherequiredreturnonequity,theanalystcanchoosefollowingmodelszCAPMzMulti-factormodels999Fama-FrenchModel(FFM)Pastor-Stambaughmodel(PSM)MacroeconomicMultifactormodelszBuild-upmethod9BondYieldPlusRiskPremiumMethod30-270