投资回报率

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How various stock selection strategies have worked in the past
The Structure of Investment Returns
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For a terminal investment:
I0 0 CF 1 CF2 CF3 CF T-1 CFT Initial Investm ent 1 2 3 T -1 T Term inal Cash Flow Cash Flows Investm ent Horizon: T
This Chapter This chapter explains what returns are, distinguishes normal and abnormal returns, and explains how analysts specialize in forecasting normal and abnormal returns
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For an investment in equity:
P0 Initial Price 1 2 3 T-1 T
Investment Horizon: When stock is sold
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d1 d2 d3 dT-1 P T+d T Selling Price (if sold at T) + Dividend at T
Dividends
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For a one-year equity investment

Payoff: P1 d1 Return: P1 d1 P0 Rate-of-Return: P1 d1 P0 P0 Expected Return: P1 d1 P0 Expected Rate-of-Return: P1 d1 P0 P0 Required Payoff per dollar: Required Rate-of-Return: 1
How are returns calculated? What is a normal return and an abnormal return? How might an analyst gain an advantage in forecasting normal or abnormal returns? What has been the historical experience in equity investing?
Chapter 3
Investment Returns
Investment Returns
Link to Previous Chapter Chapter 1 established that forecasting returns is at the heart of fundamental analysis
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How investment returns are calculated The difference between normal and abnormal returns
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What an efficient market price means
What an arbitrage opportunity is The difference between active and passive investment The difference between an alpha and a beta How asset pricing models work (in outline) How screening strategies work (and don’t work) What a contrarian strategy is How fundamental analysis differs from screening and contrarian analysis
Chapter 4 Understanding valuation models that value forecasted returns
Chapter 5 Understanding how earnings are related to returns and how valuations based on forecasted earnings work (or don’t work)
The required return is also called the normal return or the cost of capital
Hewlett-Packard: Returns for 1991
_____________________________________________________________ Hewlett-Packard Company: Returns for 1991 Required return is 12% Price at end of 1991 1991 Dividend 1991 Payoff Price at end of 1990 1991 Return Rate of return = = Normal return: $26 x .12 Abnormal return Abnormal rate of return = = $24.855/26.0 95.6% 3.120 21.735 21.735/26.00 83.6% $50.375 .480 50.855 26.000 24.855
Link to Next Chapter Chapter 4 will show how valuation models are constructed to measure the value of forecasted returns
Link to Web Page
What you will learn inห้องสมุดไป่ตู้this chapter
T
For a changing term structure it would be
1 2 3 T

Dividends for the intermediate years can be reinvested at . The accumulated value at year T of reinvested dividends is called terminal value of dividends at T
Types of Arbitrage
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Risk
1. Pure (Risk-Free) Arbitrage You get something for nothing, for sure 2. Expectational Arbitrage You have a better chance of an abnormal return than not
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Or, price is efficient if it equals the expected return capitalized at the required rate-of-return:
P0 P1 d1 P0 1
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Or, today’s price (P0) must be such that the required rate-of-return, -1, will equal the (expected) rate-ofreturn :
Chapter 6 Understanding how forecasts of income statements and balance sheets produce a valuation
With this understanding proceed to · Analysis of information (Part II) · Forecasting and Valuation (Part III)
PART I
Investment Returns, Equity Value, and Financial Statements
Gaining the Understanding to do Fundamental Analysis
Chapter 3
Understanding investment returns and how analysts’ styles are determined by their approach to forecasting returns
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If the price paid for a stock is
P0 P1 d1
(expected payoff discounted at the required payoff per dollar, , the stock is appropriately priced: the market price is efficient
Multiyear Equity Investments
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These concepts apply to an investment for more than one period with two modifications:

The multiperiod rate-of-return will be the compounded annual rate. For a T-year period and a flat term structure, the required payoff is:
1 P1 d1 P0 P0
Required Rate-of-Return
Expected Rate-of-Return