Chap018 Equity Valuation Models 博迪投资学课件
2019年-INVESTMENTS 投资学 (博迪BODIE, KANE, MARCUS)Chap018 Equity Valuation Models-PPT精选文档
P0 .1$52.06$22.22
INVESTMENTS | BODIE, KANE, MARCUS
Example 18.4 Growth Opportunities
$2 P0 .15.06$22.22
• PVGO =Price per share – no-growth value per share
• V0 =current value; Dt=dividend at time t; k = required rate of return
• The DDM says the stock price should equal the present value of all expected future dividends into perpetuity.
P 0
• The expected HPR may be more or less than the required rate of return, based on the stock’s risk.
INVESTMENTS | BODIE, KANE, MARCUS
Required Return
INVESTMENTS | BODIE, KANE, MARCUS
Intrinsic Value and Market Price
• The intrinsic value (IV) is the “true” value, according to a model.
• The market value (MV) is the consensus value of all market participants
dividends. • The stock price is expected to grow at the
INVESTMENTS 投资学 Chap018 Equity Valuation Models
• The expected HPR may be more or less than the required rate of return, based on the stock’s risk.
INVESTMENTS | BODIE, KANE, MARCUS
Required Return
Intrinsic Value vs. Market Price
• The return on a stock is composed of dividends and capital gains or losses.
E x p e c te d H P R = E (r) E (D 1 ) E (P 1 ) P 0
Figure 18.1 Dividend Growth for Two Earnings Reinvestment Policies
INVESTMENTS | BODIE, KANE, MARCUS
Present Value of Growth Opportunities
• The value of the firm equals the value of the assets already in place, the nogrowth value of the firm,
INVESTMENTS | BODIE, KANE, MARCUS
Intrinsic Value and Market Price
• The intrinsic value (IV) is the “true” value, according to a model.
• The market value (MV) is the consensus value of all market participants
投资学英文第7TestBank答案chap018
Chapter18EquityValuationModelsMultipleChoiceQuestions________isequaltothetotalmarketvalueofthefirm'scommonstockdividedby(thereplacementcostofthefirm'sass etslessliabilities).BookvaluepershareLiquidationvaluepershareMarketvaluepershareTobin'sQNoneoftheabove.Answer:D Difficulty:EasyRationale:Bookvaluepershareisassetsminusliabilitiesdividedbynumberofshares.Liquidationvaluepershareisthe amountashareholderwouldreceiveintheeventofbankruptcy.Marketvaluepershareisthemarketpriceofthestock. HighP/Eratiostendtoindicatethatacompanywill_______,ceterisparibus.growquicklygrowatthesamespeedastheaveragecompanygrowslowlynotgrownoneoftheaboveAnswer:A Difficulty:EasyRationale:Investorspayforgrowth;hencethehighP/Eratioforgrowthfirms;however,theinvestorshouldbesurethathe orsheispayingforexpected,nothistoric,growth._________isequalto(commonshareholders'equity/commonsharesoutstanding).BookvaluepershareLiquidationvaluepershareMarketvaluepershareTobin'sQnoneoftheaboveAnswer:A Difficulty:EasyRationale:Seerationalefortestbankquestion4184.________areanalystswhouseinformationconcerningcurrentandprospectiveprofitabilityofafirmstoassessthefirm'sfairmarketvalue.CreditanalystsFundamentalanalystsSystemsanalystsTechnicalanalystsSpecialists5.Answer:B Difficulty:EasyRationale:Fundamentalistsuseallpublicinformationinanattempttovaluestock(whilehopingtoidentifyundervaluedsecurities).The_______isdefinedasthepresentvalueofallcashproceedstotheinvestorinthestock.dividendpayoutratiointrinsicvaluemarketcapitalizationrateplowbackrationoneoftheaboveAnswer:B Difficulty:EasyRationale:Thecashflowsfromthestockdiscountedattheappropriaterate,basedontheperceivedriskinessofthestock, themarketriskpremiumandtheriskfreerate,determinetheintrinsicvalueofthestock._______istheamountofmoneypercommonsharethatcouldberealizedbybreakingupthefirm,sellingtheassets,repayingt hedebt,anddistributingtheremaindertoshareholders.BookvaluepershareLiquidationvaluepershareMarketvaluepershareTobin'sQNoneoftheaboveAnswer:B Difficulty:EasyRationale:Seeexplanationfortestbankquestion18.1.419Since1955,Treasurybondyieldsandearningsyieldsonstockswere_______.identicalnegativelycorrelatedpositivelycorrelateduncorrelatedAnswer:C Difficulty:EasyRationale:Theearningsyieldonstocksequalstheexpectedrealrateofreturnonthestockmarket,whichshouldbeequalto theyieldtomaturityonTreasurybondsplusariskpremium,whichmaychangeslowlyovertime.TheyieldsareplottedinFigu re18.8.Historically,P/Eratioshavetendedtobe_________.higherwheninflationhasbeenhighlowerwheninflationhasbeenhigh uncorrelatedwithinflationratesbutcorrelatedwithothermacroeconomicvariables uncorrelatedwithanymacroeconomicvariablesincludinginflationratesnoneoftheabove9.Answer:B Difficulty:EasyRationale:P/Eratioshavetendedtobelowerwheninflationhasbeenhigh,reflectingthemarket'sassessmentthatearningsintheseperiodsareof"lowerquality",i.e.,artificiallydistortedbyinflation,andwarrantinglowerP/Eratios.The______isacommontermforthemarketconsensusvalueoftherequiredreturnonastock.dividendpayoutratiointrinsicvaluemarketcapitalizationrateplowbackratenoneoftheaboveAnswer:C Difficulty:EasyRationale:Themarketcapitalizationrate,whichconsistsoftherisk-freerate,thesystematicriskofthestockandthemarketriskpremium,istherateatwhichastock'scashflowsarediscountedinordertodetermineintrinsicvalue.420The_________isthefractionofearningsreinvestedinthefirm.dividendpayoutratioretentionrateplowbackratioAandCBandCAnswer:E Difficulty:EasyRationale:Retentionrate,orplowbackratio,representstheearningsreinvestedinthefirm.Theretentionrate,or(1-plowback)=dividendpayout.TheGordonmodelisageneralizationoftheperpetuityformulatocoverthecaseofagrowingperpetuity. isvalidonlywhengislessthank.isvalidonlywhenkislessthang.AandB.AandC.12.Answer:D Difficulty:EasyRationale:TheGordonmodelassumesconstantgrowthindefinitely.Mathematically,gmustbelessthank;otherwise,theintrinsicvalueisundefined.Youwishtoearnareturnof13%oneachoftwostocks,XandY.StockXisexpectedtopayadividendof$3intheupcomingyearwhileStockYisexpectedtopayadividendof$4intheupcomingyear.Theexpectedgrowthrateofdividendsforbothstocksis7%.TheintrinsicvalueofstockX______.cannotbecalculatedwithoutknowingthemarketrateofreturnwillbegreaterthantheintrinsicvalueofstockYwillbethesameastheintrinsicvalueofstockYwillbelessthantheintrinsicvalueofstockYnoneoftheaboveisacorrectanswer.Answer:D Difficulty:EasyRationale:PV0=D1/(k-g);givenkandgareequal,thestockwiththelargerdividendwillhavethehighervalue.42113.Youwishtoearnareturnof11%oneachoftwostocks,CandD.StockCisexpectedtopayadividendof$3intheupcomingyearwhileStockDisexpectedtopayadividendof$4intheupcomingyear.Theexpectedgrowthrateofdividendsforbothstocksis7%.TheintrinsicvalueofstockC______.willbegreaterthantheintrinsicvalueofstockDwillbethesameastheintrinsicvalueofstockDwillbelessthantheintrinsicvalueofstockDcannotbecalculatedwithoutknowingthemarketrateofreturnnoneoftheaboveisacorrectanswer.Answer:C Difficulty:EasyRationale:PV0=D1/(k-g);givenkandgareequal,thestockwiththelargerdividendwillhavethehighervalue. Youwishtoearnareturnof12%oneachoftwostocks,AandB.Eachofthestocksisexpectedtopayadividendof$2intheupcomin gyear.Theexpectedgrowthrateofdividendsis9%forstockAand10%forstockB.TheintrinsicvalueofstockA_____. willbegreaterthantheintrinsicvalueofstockBwillbethesameastheintrinsicvalueofstockBwillbelessthantheintrinsicvalueofstockB cannotbecalculatedwithoutknowingtherateofreturnonthemarketportfolio. noneoftheaboveisacorrectstatement.Answer:C Difficulty:EasyRationale:PV0=D1/(k-g);giventhatdividendsareequal,thestockwiththehighergrowthratewillhavethehighervalue. Youwishtoearnareturnof10%oneachoftwostocks,CandD.Eachofthestocksisexpectedtopayadividendof$2intheupcomin gyear.Theexpectedgrowthrateofdividendsis9%forstockCand10%forstockD.TheintrinsicvalueofstockC_____. willbegreaterthantheintrinsicvalueofstockDwillbethesameastheintrinsicvalueofstockDwillbelessthantheintrinsicvalueofstockD cannotbecalculatedwithoutknowingtherateofreturnonthemarketportfolio. noneoftheaboveisacorrectstatement.Answer:C Difficulty:EasyRationale:PV0=D1/(k-g);giventhatdividendsareequal,thestockwiththehighergrowthratewillhavethehighervalue.42216.Eachoftwostocks,AandB,areexpectedtopayadividendof$5intheupcomingyear.Theexpectedgrowthrateofdividendsis10%forbothstocks.Yourequirearateofreturnof11%onstockAandareturnof20%onstockB.TheintrinsicvalueofstockA_____.willbegreaterthantheintrinsicvalueofstockBwillbethesameastheintrinsicvalueofstockBwillbelessthantheintrinsicvalueofstockBcannotbecalculatedwithoutknowingthemarketrateofreturn.noneoftheaboveistrue.Answer:A Difficulty:EasyRationale:PV0=D1/(k-g);giventhatdividendsareequal,thestockwiththelargerrequiredreturnwillhavethelowervalue. Eachoftwostocks,CandD,areexpectedtopayadividendof$3intheupcomingyear.Theexpectedgrowthrateofdividendsis9 %forbothstocks.Yourequirearateofreturnof10%onstockCandareturnof13%onstockD.TheintrinsicvalueofstockC_____.willbegreaterthantheintrinsicvalueofstockDwillbethesameastheintrinsicvalueofstockDwillbelessthantheintrinsicvalueofstockDcannotbecalculatedwithoutknowingthemarketrateofreturn.noneoftheaboveistrue.18.Answer:A Difficulty:EasyRationale:PV0=D1/(k-g);giventhatdividendsareequal,thestockwiththelargerrequiredreturnwillhavethelowervalue.IftheexpectedROEonreinvestedearningsisequaltok,themultistageDDMreducestoA)V0=(ExpectedDividendPerShareinYear1)/kB)V0=(ExpectedEPSinYear1)/kV0=(TreasuryBondYieldinYear1)/kC)V0=(MarketreturninYear1)/knoneoftheaboveAnswer:B Difficulty:ModerateRationale:IfROE=k,nogrowthisoccurring;b=0;EPS=DPS423LowTechCompanyhasanexpectedROEof10%.Thedividendgrowthratewillbe________ifthefirmfollowsapolicyofpaying40%ofearningsintheformofdividends.6.0%4.8%7.2%3.0%noneoftheaboveAnswer:A Difficulty:EasyRationale:10%X=6.0%.MusicDoctorsCompanyhasanexpectedROEof14%.Thedividendgrowthratewillbe________ifthefirmfollowsapolicyo fpaying60%ofearningsintheformofdividends.4.8%5.6%7.2%6.0%noneoftheaboveAnswer:B Difficulty:EasyRationale:14%X=5.6%.MedtronicCompanyhasanexpectedROEof16%.Thedividendgrowthratewillbe________ifthefirmfollowsapolicyofpaying70%ofearningsintheformofdividends.3.0%6.0%7.2%4.8%noneoftheaboveAnswer:D Difficulty:EasyRationale:16%X=4.8%.424HighSpeedCompanyhasanexpectedROEof15%.Thedividendgrowthratewillbe________ifthefirmfollowsapolicyofpaying50%ofearningsintheformofdividends.3.0%4.8%7.5%6.0%noneoftheaboveAnswer:C Difficulty:EasyRationale:15%X=7.5%.LightConstructionMachineryCompanyhasanexpectedROEof11%.Thedividendgrowthratewillbe_______ifthefirmfo llowsapolicyofpaying25%ofearningsintheformofdividends.3.0%4.8%8.25%9.0%noneoftheaboveAnswer:C Difficulty:EasyRationale:11%X=8.25%.XlinkCompanyhasanexpectedROEof15%.Thedividendgrowthratewillbe_______ifthefirmfollowsapolicyofplowingback75%ofearnings.3.75%11.25%8.25%15.0%noneoftheaboveAnswer:B Difficulty:EasyRationale:15%X=11.25%.425ThinkTankCompanyhasanexpectedROEof26%.Thedividendgrowthratewillbe_______ifthefirmfollowsapolicyofplowingback90%ofearnings.2.6%10%23.4%90%noneoftheaboveAnswer:C Difficulty:EasyRationale:26%X=23.4%.BubbaGummCompanyhasanexpectedROEof9%.Thedividendgrowthratewillbe_______ifthefirmfollowsapolicyofplowingback10%ofearnings.90%10%9%0.9%noneoftheaboveAnswer:D Difficulty:EasyRationale:9%X=0.9%.27.Apreferredstockwillpayadividendofintheupcomingyear,andeveryyearthereafter,i.e.,dividendsarenotexpectedtogrow.Yourequireareturnof10%etheconstantgrowthDDMtocalculatetheintrinsicvalueofthispreferredstock.noneoftheaboveAnswer:B Difficulty:ModerateRationale:/.10=42628.Apreferredstockwillpayadividendoftheupcomingyear,andeveryyearthereafter,i.e.,dividendsarenotexpectedtogrow.Yourequireareturnof9%etheconstantgrowthDDMtocalculatetheintrinsicvalueofthispreferredstock.$0..27noneoftheaboveAnswer:A Difficulty:ModerateRationale:/.09=29.Apreferredstockwillpayadividendofintheupcomingyear,andeveryyearthereafter,i.e.,dividendsarenotexpectedtogrow.Yourequireareturnof12%etheconstantgrowthDDMtocalculatetheintrinsicvalueofthispreferredstock.noneoftheaboveAnswer:D Difficulty:ModerateRationale:/.12=30.Apreferredstockwillpayadividendofintheupcomingyear,andeveryyearthereafter,i.e.,dividendsarenotexpectedtogrow.Yourequireareturnof11%etheconstantgrowthDDMtocalculatetheintrinsicvalueofthispreferredstock.noneoftheaboveAnswer:C Difficulty:ModerateRationale:/.11=42731.Apreferredstockwillpayadividendofintheupcomingyear,andeveryyearthereafter,i.e.,dividendsarenotexpectedtogrow.Yourequireareturnof10%etheconstantgrowthDDMtocalculatetheintrinsicvalueofthispreferredstock.noneoftheaboveAnswer:E Difficulty:ModerateRationale:/.10=32.Apreferredstockwillpayadividendofintheupcomingyear,andeveryyearthereafter,i.e.,dividendsarenotexpectedtogrow.Yourequireareturnof10%etheconstantgrowthDDMtocalculatetheintrinsicvalueofthispreferredstock.$600noneoftheaboveAnswer:E Difficulty:ModerateRationale:/.10=33.Youareconsideringacquiringacommonstockthatyouwouldliketoholdforoneyear.Youexpecttoreceivebothindividendsand$32fromthesaleofthestockattheendoftheyear.Themaximumpriceyouwouldpayforthestocktodayis_____ifyouwantedtoearna10%return.noneoftheaboveAnswer:A Difficulty:ModerateRationale:.10=(32-P+1.25)/P;.10P=32-P+1.25;=33.25;P=30.23.42834.Youareconsideringacquiringacommonstockthatyouwouldliketoholdforoneyear.Youexpecttoreceivebothindividendsand$16fromthesaleofthestockattheendoftheyear.Themaximumpriceyouwouldpayforthestocktodayis_____ifyouwantedtoearna12%return.noneoftheaboveAnswer:B Difficulty:ModerateRationale:.12=(16-P+0.75)/P;.12P=16-P+0.75;=16.75;P=14.96.35.Youareconsideringacquiringacommonstockthatyouwouldliketoholdforoneyear.Youexpecttoreceivebothindividendsand$28fromthesaleofthestockattheendoftheyear.Themaximumpriceyouwouldpayforthestocktodayis_____ifyouwantedtoearna15%return.noneoftheaboveAnswer:C Difficulty:ModerateRationale:.15=(28-P+2.50)/P;.15P=28-P+2.50;=30.50;P=26.52.36.Youareconsideringacquiringacommonstockthatyouwouldliketoholdforoneyear.Youexpecttoreceivebothindividendsand$42fromthesaleofthestockattheendoftheyear.Themaximumpriceyouwouldpayforthestocktodayis_____ifyouwantedtoearna10%return.noneoftheaboveAnswer:E Difficulty:ModerateRationale:.10=(42-P+3.50)/P;.10P=42-P+3.50;=45.50;P=41.36.429Usethefollowingtoanswerquestions37-40:PaperExpressCompanyhasabalancesheetwhichlists$85millioninassets,$40millioninliabilitiesand$45million incommonshareholders'equity.Ithas1,400,000commonsharesoutstanding.Thereplacementcostoftheassetsis$115mil lion.Themarketsharepriceis$90.WhatisPaperExpress'sbookvaluepershare?noneoftheaboveAnswer:C Difficulty:ModerateRationale:=$32.14.WhatisPaperExpress'smarketvaluepershare?noneoftheaboveAnswer:E Difficulty:EasyWhatisPaperExpress'sreplacementcostpershare?noneoftheaboveAnswer:C Difficulty:ModerateRationale:$115M-=$53.57.430WhatisPaperExpress'sTobin'sq?noneoftheaboveAnswer:A Difficulty:ModerateRationale:$90/=Oneoftheproblemswithattemptingtoforecaststockmarketvaluesisthat therearenovariablesthatseemtopredictmarketreturn. theearningsmultiplierapproachcanonlybeusedatthefirmlevel. thelevelofuncertaintysurroundingtheforecastwillalwaysbequitehigh. dividendpayoutratiosarehighlyvariable.noneoftheabove.Answer:C Difficulty:EasyRationale:Althoughsomevariablessuchasmarketdividendyieldappeartobestronglyrelatedtomarketreturn,themarke thasgreatvariabilityandsothelevelofuncertaintyinanyforecastwillbehigh. Themostpopularapproachtoforecastingtheoverallstockmarketistousethedividendmultiplier.theaggregatereturnonassets.thehistoricalratioofbookvaluetomarketvalue.theaggregateearningsmultiplier.Tobin'sQ.Answer:D Difficulty:EasyRationale:Theearningsmultiplierapproachisthemostpopularapproachtoforecastingtheoverallstockmarket. Usethefollowingtoanswerquestions43-44:SureToolCompanyisexpectedtopayadividendof$2intheupcomingyear.Therisk-freerateofreturnis4%andtheexpectedreturnonthemarketportfoliois14%.AnalystsexpectthepriceofSure ToolCompanysharestobe$22ayearfromnow.ThebetaofSureToolCompany'sstockis1.25.431Themarket'srequiredrateofreturnonSure'sstockis_____.14.0%17.5%16.5%15.25%noneoftheaboveAnswer:C Difficulty:ModerateRationale:4%+1.25(14%-4%)=16.5%.WhatistheintrinsicvalueofSure'sstocktoday?noneoftheaboveAnswer:A Difficulty:DifficultRationale:k=.04+(.14-.04);k=.165;.165=(22-P+2)/P;.165P=24-P;=24;P=20.60.IfSure'sintrinsicvalueistoday,whatmustbeitsgrowthrate?0.0%10%4%6%7%Answer:E Difficulty:DifficultRationale:k=.04+(.14-.04);k=.165;.165=2/21+g;g=.07Usethefollowingtoanswerquestions46-47:TorqueCorporationisexpectedtopayadividendofintheupcomingyear.Dividendsareexpectedtogrowatt herateof6%peryear.Therisk-freerateofreturnis5%andtheexpectedreturnonthemarketportfoliois13%.ThestockofTorqueCorporationh asabetaof1.2.432WhatisthereturnyoushouldrequireonTorque'sstock?12.0%14.6%15.6%20%noneoftheaboveAnswer:B Difficulty:ModerateRationale:5%+1.2(13%-5%)=14.6%.WhatistheintrinsicvalueofTorque'sstock?noneoftheaboveAnswer:D Difficulty:DifficultRationale:k=5%+1.2(13%-5%)=14.6%;P=1/(.146-.06)=$11.62.48.MidwestAirlineisexpectedtopayadividendof$7inthecomingyear.Dividendsareexpectedtogrowattherateof15%peryear.Therisk-freerateofreturnis6%andtheexpectedreturnonthemarketportfoliois14%.ThestockofMidwestAirlinehasabetaof3.00.Thereturnyoushouldrequireonthestockis________.10%18%30%42%noneoftheaboveAnswer:C Difficulty:ModerateRationale:6%+3(14%-6%)=30%.43349.FoolsGoldMiningCompanyisexpectedtopayadividendof$8intheupcomingyear.Dividendsareexpectedtodeclineattherateof2%peryear.Therisk-freerateofreturnis6%andtheexpectedreturnonthemarketportfoliois14%.ThestockofFoolsGoldMiningCompanyhasabetaof-0.25.Thereturnyoushouldrequireonthestockis________.2%4%6%8%noneoftheaboveAnswer:B Difficulty:ModerateRationale:6%+[-0.25(14%-6%)]=4%.HighTechChipCompanyisexpectedtohaveEPSinthecomingyearof$2.50.TheexpectedROEis12.5%.Anappropriaterequ iredreturnonthestockis11%.Ifthefirmhasaplowbackratioof70%,thegrowthrateofdividendsshouldbe5.00%6.25%6.60%7.50%8.75%Answer:E Difficulty:EasyRationale:12.5%X=8.75%.Acompanypaidadividendlastyearof$1.75.TheexpectedROEfornextyearis14.5%.Anappropriaterequiredreturnonthestockis10%.Ifthefirmhasaplowbackratioof75%,thedividendinthecomingy earshouldbenoneoftheaboveAnswer:D Difficulty:ModerateRationale:g=.155X.75=10.875%;$1.75(1.10875)=434HighTechChipCompanypaidadividendlastyearof$2.50.TheexpectedROEfornextyearis12.5%.Anappropriaterequir edreturnonthestockis11%.Ifthefirmhasaplowbackratioof60%,thedividendinthecomingyearshouldbenoneoftheaboveAnswer:C Difficulty:ModerateRationale:g=.125X.6=7.5%;$2.50(1.075)=SupposethattheaverageP/Emultipleintheoilindustryis20.DominionOilisexpectedtohaveanEPSofinthecomingye ar.TheintrinsicvalueofDominionOilstockshouldbe_____.noneoftheaboveAnswer:C Difficulty:EasyRationale:20X=$60.00.SupposethattheaverageP/Emultipleintheoilindustryis22.ExxonOilisexpectedtohaveanEPSofinthecomingyear. TheintrinsicvalueofExxonOilstockshouldbe_____.noneoftheaboveAnswer:A Difficulty:EasyRationale:22X=$33.00.435SupposethattheaverageP/Emultipleintheoilindustryis16.MobilOilisexpectedtohaveanEPSofinthecomingyear. TheintrinsicvalueofMobilOilstockshouldbe_____.noneoftheaboveAnswer:D Difficulty:EasyRationale:16X=$72.00.56.SupposethattheaverageP/Emultipleinthegasindustryis17.KMPisexpectedtohaveanEPSofinthecomingyear.TheintrinsicvalueofKMPstockshouldbe_____.noneoftheaboveAnswer:B Difficulty:EasyRationale:17X=$93.50.57.AnanalysthasdeterminedthattheintrinsicvalueofHPQstockis$20pershareusingthecapitalizedearningsmodel.IfthetypicalP/Eratiointhecomputerindustryis25,thenitwouldbereasonabletoassumetheexpectedEPSofHPQinthecomingyearis______.noneoftheaboveAnswer:C Difficulty:EasyRationale:$20(1/25)=$0.80.43658.AnanalysthasdeterminedthattheintrinsicvalueofDellstockis$34pershareusingthecapitalizedearningsmodel.IfthetypicalP/Eratiointhecomputerindustryis27,thenitwouldbereasonabletoassumetheexpectedEPSofDellinthecomingyearis______.noneoftheaboveAnswer:D Difficulty:EasyRationale:$34(1/27)=$1.26.59.AnanalysthasdeterminedthattheintrinsicvalueofIBMstockis$80pershareusingthecapitalizedearningsmodel.IfthetypicalP/Eratiointhecomputerindustryis22,thenitwouldbereasonabletoassumetheexpectedEPSofIBMinthecomingyearis______.noneoftheaboveAnswer:A Difficulty:EasyRationale:$80(1/22)=$3.64.60.OldQuartzGoldMiningCompanyisexpectedtopayadividendof$8inthecomingyear.Dividendsareexpectedtodeclineattherateof2%peryear.Therisk-freerateofreturnis6%andtheexpectedreturnonthemarketportfoliois14%.ThestockofOldQuartzGoldMiningCompanyhasabetaof-0.25.Theintrinsicvalueofthestockis______.noneoftheaboveAnswer:B Difficulty:DifficultRationale:k=6%+[-0.25(14%-6%)]=4%;P=8/[.04-(-.02)]=$133.33.43761.LowFlyAirlineisexpectedtopayadividendof$7inthecomingyear.Dividendsareexpectedtogrowattherateof15%peryear.Therisk-freerateofreturnis6%andtheexpectedreturnonthemarketportfoliois14%.ThestockoflowFlyAirlinehasabetaof3.00.Theintrinsicvalueofthestockis______.noneoftheaboveAnswer:A Difficulty:ModerateRationale:6%+3(14%-6%)=30%;P=7/(.30-.15)=$46.67.62.SunshineCorporationisexpectedtopayadividendofintheupcomingyear.Dividendsareexpectedtogrowattherateof6%peryear.Therisk-freerateofreturnis6%andtheexpectedreturnonthemarketportfoliois14%.ThestockofSunshineCorporationhasabetaof0.75.Theintrinsicvalueofthestockis_______.noneoftheaboveAnswer:D Difficulty:ModerateRationale:6%+0.75(14%-6%)=12%;P=/(.12-.06)=$25.LowTechChipCompanyisexpectedtohaveEPSinthecomingyearof$2.50.TheexpectedROEis14%.Anappropriaterequire dreturnonthestockis11%.Ifthefirmhasadividendpayoutratioof40%,theintrinsicvalueofthestockshouldbenoneoftheaboveAnswer:D Difficulty:DifficultRationale:g=14%X=8.4%;ExpectedDPS=$2.50(0.4)=$1.00;P=1/(.11-.084)=$38.46.438Usethefollowingtoanswerquestions64-65:RiskMetricsCompanyisexpectedtopayadividendofinthecomingyear.Dividendsareexpectedtogrowatarateof10%pe ryear.Therisk-freerateofreturnis5%andtheexpectedreturnonthemarketportfoliois13%.Thestockistradinginthemarkettodayatapr iceof$90.00.WhatisthemarketcapitalizationrateforRiskMetrics?13.6%13.9%15.6%16.9%noneoftheaboveAnswer:B Difficulty:ModerateRationale:k=/90+.10;k=13.9%WhatistheapproximatebetaofRiskMetrics'sstock?noneoftheaboveAnswer:C Difficulty:DifficultRationale:k=13.9%from18.64;=5%+b(13%-5%)=1.11.ThemarketcapitalizationrateonthestockofFlexsteelCompanyis12%.TheexpectedROEis13%andtheexpectedEPSare $3.60.Ifthefirm'splowbackratiois50%,theP/Eratiowillbe_________.noneoftheaboveAnswer:C Difficulty:DifficultRationale:g=13%X=6.5%;.5/(.12-.065)=439ThemarketcapitalizationrateonthestockofFlexsteelCompanyis12%.TheexpectedROEis13%andtheexpectedEPSare $3.60.Ifthefirm'splowbackratiois75%,theP/Eratiowillbe________.noneoftheaboveAnswer:D Difficulty:DifficultRationale:g=13%X=9.75%;.25/(.12-.0975)=ThemarketcapitalizationrateonthestockofFastGrowingCompanyis20%.TheexpectedROEis22%andtheexpectedEPSa re$6.10.Ifthefirm'splowbackratiois90%,theP/Eratiowillbe________.50Answer:E Difficulty:DifficultRationale:g=22%X=19.8%;.1/(.20-.198)=5044069.J.C.PenneyCompanyisexpectedtopayadividendinyear1of$1.65,adividendinyear2of$1.97,andadividendinyear3of$2.54.Afteryear3,dividendsareexpectedtogrowattherateof8%peryear.Anappropriaterequiredreturnforthestockis11%.Thestockshouldbeworth_______today.noneoftheabove1Answer:C Difficulty:DifficultRationale:Calculationsareshowninthetablebelow.Yr Dividend PVofDividend@11%$1.65$1.65/(1.11)=$1.97/(1.11)2=$2.54/(1.11)3=SumP3=(1.08)/(.11-.08)=$91.44;PVof3P=$91.44/(1.08)3=$72.5880;PO=+=$77.53.70.ExerciseBicycleCompanyisexpectedtopayadividendinyear1of$1.20,adividendinyear2of$1.50,andadividendinyear3of$2.00.Afteryear3,dividendsareexpectedtogrowattherateof10%peryear.Anappropriaterequiredreturnforthestockis14%.Thestockshouldbeworth_______today.1A)B)C)D)E)Answer:EDifficulty:DifficultRationale:Calculationsareshowninthetablebelow.Yr Dividend PVofDividend@14%=$1.50/(1.14)2=$2.00/(1.14)3=SumP3=2(1.10)/(.14-.10)=$55.00;PVofP3=$55/(1.14)3=$37.12;PO=+=$40.68.441AntiquatedProductsCorporationproducesgoodsthatareverymatureintheirproductlifecycles.AntiquatedProduc tsCorporationisexpectedtopayadividendinyear1of$1.00,adividendofinyear2,andadividendofinyear3.Afteryear3, dividendsareexpectedtodeclineatarateof2%peryear.Anappropriaterequiredrateofreturnforthestockis8%.Thestoc kshouldbeworth______.noneoftheaboveAnswer:A Difficulty:DifficultRationale:Calculationsareshownbelow.Yr. Dividend PVofDividend@8%$1.00$1.00/(1.08)=$0.90/(1.08)2=$0.85/(1.08)3=SumP3=(.98)/[.08-(-.02)]=$8.33;PVofP3=$8.33/(1.08)3=$6.1226;PO=+=$8.49.442MatureProductsCorporationproducesgoodsthatareverymatureintheirproductlifecycles.MatureProductsCorpor ationisexpectedtopayadividendinyear1of$2.00,adividendofinyear2,andadividendofinyear3.Afteryear3,dividend sareexpectedtodeclineatarateof1%peryear.Anappropriaterequiredrateofreturnforthestockis10%.Thestockshould beworth______.noneoftheabove1Answer:B Difficulty:DifficultRationale:Calculationsareshownbelow.Yr. Dividend PVofDividend@10%=$1.50/(1.10)2=$1.00/(1.10)3=Sum3P3=(.99)/[.10-(-.01)]=$9.00;PVofP3=$9/(1.10)=$6.7618;PO=+=$10.57.44373.Considerthefreecashflowapproachtostockvaluation.UticaManufacturingCompanyisexpectedtohavebefore-taxcashflowfromoperationsof$500,000inthecomingyear.Thefirm'scorporatetaxrateis30%.Itisexpectedthat$200,000ofoperatingcashflowwillbeinvestedinnewfixedassets.Depreciationfortheyearwillbe$100,000.Afterthecomingyear,cashflowsareexpectedtogrowat6%peryear.Theappropriatemarketcapitalizationrateforunleveragedcashflowis15%peryear.Thefirmhasnooutstandingdebt.TheprojectedfreecashflowofUticaManufacturingCompanyforthecomingyearis_______.$150,000$180,000$300,000$380,000noneoftheaboveAnswer:BDifficulty:DifficultRationale:Calculationsareshownbelow.Before-taxcashflowfromoperations$500,000-Depreciation$100,000Taxableincome$400,000-Taxes(30%)$120,000After-taxunleveragedincome$280,000After-taxunleveredincome+dep$380,000-Newinvestment$200,000Freecashflow$180,00074.Considerthefreecashflowapproachtostockvaluation.UticaManufacturingCompanyisexpectedtohavebefore-taxcashflowfromoperationsof$500,000inthecomingyear.Thefirm'scorporatetaxrateis30%.Itisexpectedthat$200,000ofoperatingcashflowwillbeinvestedinnewfixedassets.Depreciationfortheyearwillbe$100,000.Afterthecomingyear,cashflowsareexpectedtogrowat6%peryear.Theappropriatemarketcapitalizationrateforunleveragedcashflowis15%peryear.Thefirmhasnooutstandingdebt.ThetotalvalueoftheequityofUticaManufacturingCompanyshouldbe$1,000,000$2,000,000$3,000,000$4,000,000noneoftheaboveAnswer:B Difficulty:DifficultRationale:Projectedfreecashflow=$180,000(seetestbankproblem18.73);V0=180,000/(.15-.06)=$2,000,000.444Chapter18EquityValuationModelsAfirm'searningspershareincreasedfrom$10to$12,dividendsincreasedfromto$4.80,andthesharepriceincreased from$80to$90.Giventhisinformation,itfollowsthat________.thestockexperiencedadropintheP/EratiothefirmhadadecreaseindividendpayoutratiothefirmincreasedthenumberofsharesoutstandingtherequiredrateofreturndecreasednoneoftheaboveAnswer:A Difficulty:ModerateRationale:$80/$10=8;$90/$12=7.5.76.Inthedividenddiscountmodel,_______whichofthefollowingarenotincorporatedintothediscountrate?realrisk-freerateriskpremiumforstocksreturnonassetsexpectedinflationratenoneoftheabove77.Answer:C Difficulty:ModerateRationale:A,B,andDareincorporatedintothediscountrateusedinthedividenddiscountmodel.AcompanywhosestockissellingataP/EratiogreaterthantheP/Eratioofamarketindexmostlikelyhas_________.ananticipatedearningsgrowthratewhichislessthanthatoftheaveragefirm adividendyieldwhichislessthanthatoftheaveragefirmlesspredictableearningsgrowththanthatoftheaveragefirm greatercyclicalityofearningsgrowththanthatoftheaveragefirmnoneoftheabove.Answer:B Difficulty:ModerateRationale:Firmswithlowerthanaveragedividendyieldsareusuallygrowthfirms,whichhaveahigherP/Eratiothanaverage.445。
INVESTMENTS 投资学 (博迪BODIE, KANE, MARCUS)Chap018 Equity Valuation Models-精品文档40页
Figure 18.1 Dividend Growth for Two Earnings Reinvestment Policies
INVESTMENTS | BODIE, KANE, MARCUS
Present Value of Growth Opportunities
• The value of the firm equals the value of the assets already in place, the nogrowth value of the firm,
• Price = No-growth value per share + PVGO
P0
E1 k
PVGO
INVESTMENTS | BODIE, KANE, MARCUS
Example 18.4 Growth Opportunities
• Firm reinvests 60% of its earnings in projects with ROE of 10%, capitalization rate is 15%. Expected year-end dividend is $2/share, paid out of earnings of $5/share.
• No growth case • Value a preferred stock paying a
fixed dividend of $2 per share when the discount rate is 8%:
Vo $2 $25 0.080
INVESTMENTS | BODIE, KANE, MARCUS
• V0 =current value; Dt=dividend at time t; k = required rate of return
Chap008 Index Models 博迪投资学课件
8-9
Table 8.1 Excel Output: Regression Statistics for the SCL of Hewlett-Packard
8-10
Figure 8.4 Excess Returns on Portfolio Assets
8-11
2
s s 2 P
2 M
(eAA)
8-17
Figure 8.5 Efficient Frontiers with the Index Model and Full-Covariance Matrix
8-18
Table 8.2 Comparison of Portfolios from the Single-Index and Full-Covariance Models
Alpha and Security Analysis
• Macroeconomic analysis is used to estimate the risk premium and risk of the market index
• Statistical analysis is used to estimate the beta coefficients of all securities and their residual variances, σ2 ( e i )
CHAPTER 8 Index Models
McGraw-Hill/Irwin
Investments, 8th edition
Bodie, Kane and Marcus
Slides by Susan Hine
Copyright © 2009 by The McGraw-Hill Companies, Inc. All rights reserved.
博迪投资学第九版 Investment Chap018 习题答案
CHAPTER 18: EQUITY VALUATION MODELSPROBLEM SETS1. Theoretically, dividend discount models can be used to value the stock of rapidlygrowing companies that do not currently pay dividends; in this scenario, we would be valuing expected dividends in the relatively more distant future. However, as a practical matter, such estimates of payments to be made in the more distant future are notoriously inaccurate, rendering dividend discount models problematic for valuation of such companies; free cash flow models are more likely to be appropriate. At the other extreme, one would be more likely to choose a dividend discount model to value a mature firm paying a relatively stable dividend.2. It is most important to use multi-stage dividend discount models when valuingcompanies with temporarily high growth rates. These companies tend to be companies in the early phases of their life cycles, when they have numerous opportunities for reinvestment, resulting in relatively rapid growth and relatively low dividends (or, in many cases, no dividends at all). As these firms mature, attractive investment opportunities are less numerous so that growth rates slow.3. The intrinsic value of a share of stock is the individual investor’s assessment ofthe true worth of the stock. The market capitalization rate is the marketconsensus for the required rate of return for the stock. If the intrinsic value of the stock is equal to its price, then the market capitalization rate is equal to theexpected rate of return. On the other hand, if the individual investor believes the stock is underpriced (i.e., intrinsic value > price), then that investor’s expected rate of return is greater than the market capitalization rate.4. First estimate the amount of each of the next two dividends and the terminalvalue. The current value is the sum of the present value of these cash flows, discounted at 8.5%. 5. The required return is 9%. $1.22(1.05)0.05.099%$32.03k ⨯=+==6. The Gordon DDM uses the dividend for period (t+1) which would be 1.05.$1.05$35.088%(.05)r k =⇒==-7. The PVGO is $0.56:$3.64$41$0.560.09PVGO =-= 8. a.b.10$2$18.180.160.05D P k g ===-- The price falls in response to the more pessimistic dividend forecast. The forecast for current year earnings, however, is unchanged. Therefore, the P/E ratio falls. The lower P/E ratio is evidence of the diminished optimism concerning the firm's growth prospects.9.a.g = ROE ⨯ b = 16% ⨯ 0.5 = 8% D 1 = $2 ⨯ (1 – b) = $2 ⨯ (1 – 0.5) = $110$1$25.000.120.08D P k g ===--b. P 3 = P 0(1 + g)3 = $25(1.08)3 = $31.4910. a.b. Leading P 0/E 1 = $10.60/$3.18 = 3.33 Trailing P 0/E 0 = $10.60/$3.00 = 3.53c.275.9$16.018.3$60.10$k E P PVGO 10-=-=-= The low P/E ratios and negative PVGO are due to a poor ROE (9%) that isless than the market capitalization rate (16%).1$20.160.1212%$50D k g P g g =+=+⇒==1010[()]6% 1.25(14%6%)16%29%6%31(1)(1)$3(1.06)$1.063$1.06$10.600.160.06f m f k r E r rg D E g b D P k g β=+⨯-=+⨯-==⨯==⨯+⨯-=⨯⨯====--d.Now, you revise b to 1/3, g to 1/3 ⨯ 9% = 3%, and D 1 to:E 0 ⨯ 1.03 ⨯ (2/3) = $2.06 Thus:V 0 = $2.06/(0.16 – 0.03) = $15.85V 0 increases because the firm pays out more earnings instead of reinvesting a poor ROE. This information is not yet known to the rest of the market.11. a. 160$05.010.08$g k D P 10=-=-=b.The dividend payout ratio is 8/12 = 2/3, so the plowback ratio is b = 1/3. The implied value of ROE on future investments is found by solving:g = b ⨯ ROE with g = 5% and b = 1/3 ⇒ ROE = 15%c.Assuming ROE = k, price is equal to:120$10.012$k E P 10===Therefore, the market is paying $40 per share ($160 – $120) for growth opportunities.12. a.k = D 1/P 0 + g D 1 = 0.5 ⨯ $2 = $1g = b ⨯ ROE = 0.5 ⨯ 0.20 = 0.10Therefore: k = ($1/$10) + 0.10 = 0.20 = 20%b.Since k = ROE, the NPV of future investment opportunities is zero:010$10$kE P PVGO 10=-=-= c.Since k = ROE, the stock price would be unaffected by cutting the dividend and investing the additional earnings.13. a.k = r f + β [E(r M ) – r f ] = 8% + 1.2(15% – 8%) = 16.4% g = b ⨯ ROE = 0.6 ⨯ 20% = 12%82.101$12.0164.012.14$g k )g 1(D V 00=-⨯=-+=b. P 1 = V 1 = V 0(1 + g) = $101.82 ⨯ 1.12 = $114.04%52.181852.0100$100$04.114$48.4$P P P D )r (E 0011==-+=+=-14.Time: 01 5 6 E t $10.000 $12.000 $24.883 $27.123 D t $ 0.000 $ 0.000 $ 0.000 $10.849 b 1.00 1.00 1.00 0.60 g20.0%20.0%20.0%9.0%a.65$10.85$180.820.150.09D V k g ===⇒-- 5055$180.82$89.90(1) 1.15V V k ===+ b. The price should rise by 15% per year until year 6: because there is no dividend, the entire return must be in capital gains.c. The payout ratio would have no effect on intrinsic value because ROE = k.15. a.The solution is shown in the Excel spreadsheet below:b.,c. Using the Excel spreadsheet, we find that the intrinsic values are $29.71and $17.39, respectively.16. The solutions derived from Spreadsheet 18.2 are as follows:Intrinsic value: FCFF Intrinsic value: FCFE Intrinsic valueper share: FCFFIntrinsic value per share: FCFEa. 81,171 68,470 36.0137.83b. 59,961 49,185 24.29 27.17c. 69,81357,91329.7332.0017.Time: 0 1 2 3 D t g 25.0%25.0%25.0%5.0%a.The dividend to be paid at the end of year 3 is the first installment of adividend stream that will increase indefinitely at the constant growth rate of 5%. Therefore, we can use the constant growth model as of the end of year 2 in order to calculate intrinsic value by adding the present value of the first two dividends plus the present value of the price of the stock at the end of year 2. The expected price 2 years from now is:P 2 = D 3/(k – g) = $1.953125/(0.20 – 0.05) = $13.02 The PV of this expected price is: $13.02/1.202 = $9.04 The PV of expected dividends in years 1 and 2 is:13.2$20.15625.1$20.125.1$2=+ Thus the current price should be: $9.04 + $2.13 = $11.17b. Expected dividend yield = D 1/P 0 = $1.25/$11.17 = 0.112 = 11.2%c.The expected price one year from now is the PV at that time of P 2 and D 2:P 1 = (D 2 + P 2)/1.20 = ($1.5625 + $13.02)/1.20 = $12.15 The implied capital gain is:(P 1 – P 0)/P 0 = ($12.15 – $11.17)/$11.17 = 0.088 = 8.8%The sum of the implied capital gains yield and the expected dividend yield is equal to the market capitalization rate. This is consistent with the DDM.Time: 0 1 4 5 E t $5.000 $6.000 $10.368 $10.368 D t$0.000$0.000$0.000$10.368Dividends = 0 for the next four years, so b = 1.0 (100% plowback ratio). a.54$10.368$69.120.15D P k === (Since k=ROE, knowing the plowback rate is unnecessary)4044$69.12$39.52(1) 1.15P V k ===+b.Price should increase at a rate of 15% over the next year, so that the HPR will equal k.19. Before-tax cash flow from operations$2,100,000 Depreciation 210,000 Taxable Income 1,890,000 Taxes (@ 35%)661,500 After-tax unleveraged income1,228,500 After-tax cash flow from operations(After-tax unleveraged income + depreciation) 1,438,500 New investment (20% of cash flow from operations) 420,000 Free cash flow(After-tax cash flow from operations – new investment)$1,018,500The value of the firm (i.e., debt plus equity) is:000,550,14$05.012.0500,018,1$10=-=-=g k C V Since the value of the debt is $4 million, the value of the equity is $10,550,000.20. a.g = ROE ⨯ b = 20% ⨯ 0.5 = 10%11$10.015.010.150.0$g k )g 1(D g k D P 010=-⨯=-+=-=b. Time EPS Dividend Comment 0 $1.0000 $0.50001 $1.1000 $0.5500 g = 10%, plowback = 0.502 $1.2100 $0.7260EPS has grown by 10% based on last year’s earnings plowback and ROE; this year’s earnings plowback ratio now falls to 0.40 and payout ratio = 0.603 $1.2826$0.7696 EPS grows by (0.4) (15%) = 6% andpayout ratio = 0.60At time 2: 551.8$06.015.07696.0$g k D P 32=-=-= At time 0: 493.7$)15.1(551.8$726.0$15.155.0$V 20=++=c.P 0 = $11 and P 1 = P 0(1 + g) = $12.10(Because the market is unaware of the changed competitive situation, itbelieves the stock price should grow at 10% per year.)P 2 = $8.551 after the market becomes aware of the changed competitive situation.P 3 = $8.551 ⨯ 1.06 = $9.064 (The new growth rate is 6%.) Year Return1 %0.15150.011$55.0$)11$10.12($==+-2 %3.23233.010.12$726.0$)10.12$551.8($-=-=+-3%0.15150.0551.8$7696.0$)551.8$064.9($==+-Moral: In "normal periods" when there is no special information, the stock return = k = 15%. When special information arrives, all the abnormal return accrues in that period , as one would expect in an efficient market.CFA PROBLEMS1. a. This director is confused. In the context of the constant growth model[i.e., P 0 = D 1/(k – g)], it is true that price is higher when dividends are higher holding everything else including dividend growth constant . But everything else will not be constant. If the firm increases the dividend payout rate, the growth rate g will fall, and stock price will not necessarily rise. In fact, if ROE > k , price will fall.b. (i) An increase in dividend payout will reduce the sustainable growth rateas less funds are reinvested in the firm. The sustainable growth rate (i.e. ROE ⨯ plowback) will fall as plowback ratio falls.(ii) The increased dividend payout rate will reduce the growth rate of book value for the same reason -- less funds are reinvested in the firm.2.Using a two-stage dividend discount model, the current value of a share of Sundanci is calculated as follows.2322110)k 1()g k (D )k 1(D )k 1(D V +-++++= 98.43$14.1)13.014.0(5623.0$14.14976.0$14.13770.0$221=-++= where: E 0 = $0.952 D 0 = $0.286E 1 = E 0 (1.32)1 = $0.952 ⨯ 1.32 = $1.2566 D 1 = E 1 ⨯ 0.30 = $1.2566 ⨯ 0.30 = $0.3770 E 2 = E 0 (1.32)2 = $0.952 ⨯ (1.32)2 = $1.6588 D 2 = E 2 ⨯ 0.30 = $1.6588 ⨯ 0.30 = $0.4976E 3 = E 0 ⨯ (1.32)2 ⨯ 1.13 = $0.952 ⨯ (1.32)3 ⨯ 1.13 = $1.8744 D 3 = E 3 ⨯ 0.30 = $1.8743 ⨯ 0.30 = $0.56233. a. Free cash flow to equity (FCFE) is defined as the cash flow remaining aftermeeting all financial obligations (including debt payment) and aftercovering capital expenditure and working capital needs. The FCFE is ameasure of how much the firm can afford to pay out as dividends, but in agiven year may be more or less than the amount actually paid out.Sundanci's FCFE for the year 2008 is computed as follows: FCFE = Earnings + Depreciation - Capital expenditures - Increase in NWC= $80 million + $23 million - $38 million - $41 million = $24 millionFCFE per share =$24 million$0.286 # of shares outstanding84 million sharesFCFE==At this payout ratio, Sundanci's FCFE per share equals dividends per share.b. The FCFE model requires forecasts of FCFE for the high growth years(2009 and 2010) plus a forecast for the first year of stable growth (2011) inorder to allow for an estimate of the terminal value in 2010 based onperpetual growth. Because all of the components of FCFE are expected togrow at the same rate, the values can be obtained by projecting the FCFE atthe common rate. (Alternatively, the components of FCFE can be projectedand aggregated for each year.)This table shows the process for estimating the current per share value: FCFE Base AssumptionsShares outstanding: 84 million, k = 14%Actual 2008 Projected2009Projected2010Projected2011Growth rate (g) 27% 27% 13%Total Per shareEarnings after tax $80 $0.952 $1.2090 $1.5355 $1.7351 Plus: Depreciation expense $23 $0.274 $0.3480 $0.4419 $0.4994 Less: Capital expenditures $38 $0.452 $0.5740 $0.7290 $0.8238 Less: Increase in net working capital $41 $0.488 $0.6198 $0.7871 $0.8894 Equals: FCFE $24 $0.286 $0.3632 $0.4613 $0.5213 Terminal value $52.1300*Total cash flows to equity $0.3632 $52.5913** Discounted value $0.3186*** $40.4673*** Current value per share $40.7859*****Projected 2010 Terminal value = (Projected 2011 FCFE)/(r - g)**Projected 2010 Total cash flows to equity =Projected 2010 FCFE + Projected 2010 Terminal value***Discounted values obtained usingk= 14%****Current value per share=Sum of Discounted Projected 2009 and 2010 Total FCFEc. i. The DDM uses a strict definition of cash flows to equity, i.e. the expecteddividends on the common stock. In fact, taken to its extreme, the DDM cannotbe used to estimate the value of a stock that pays no dividends. The FCFEmodel expands the definition of cash flows to include the balance of residualcash flows after all financial obligations and investment needs have been met.Thus the FCFE model explicitly recognizes the firm’s investment and financingpolicies as well as its dividend policy. In instances of a change of corporatecontrol, and therefore the possibility of changing dividend policy, the FCFEmodel provides a better estimate of value. The DDM is biased toward findinglow P/E ratio stocks with high dividend yields to be undervalued and conversely,high P/E ratio stocks with low dividend yields to be overvalued. It is considereda conservative model in that it tends to identify fewer undervalued firms asmarket prices rise relative to fundamentals. The DDM does not allow for thepotential tax disadvantage of high dividends relative to the capital gainsachievable from retention of earnings.ii. Both two-stage valuation models allow for two distinct phases of growth, aninitial finite period where the growth rate is abnormal, followed by a stablegrowth period that is expected to last indefinitely. These two-stage modelsshare the same limitations with respect to the growth assumptions. First, thereis the difficulty of defining the duration of the extraordinary growth period. Forexample, a longer period of high growth will lead to a higher valuation, andthere is the temptation to assume an unrealistically long period of extraordinarygrowth. Second, the assumption of a sudden shift from high growth to lower,stable growth is unrealistic. The transformation is more likely to occurgradually, over a period of time. Given that the assumed total horizon does notshift (i.e., is infinite), the timing of the shift from high to stable growth is acritical determinant of the valuation estimate. Third, because the value is quitesensitive to the steady-state growth assumption, over- or under-estimating thisrate can lead to large errors in value. The two models share other limitations aswell, notably difficulties in accurately forecasting required rates of return, indealing with the distortions that result from substantial and/or volatile debtratios, and in accurately valuing assets that do not generate any cash flows.4. a. The formula for calculating a price earnings ratio (P/E) for a stable growthfirm is the dividend payout ratio divided by the difference between therequired rate of return and the growth rate of dividends. If the P/E iscalculated based on trailing earnings (year 0), the payout ratio is increasedby the growth rate. If the P/E is calculated based on next year’s earnings(year 1), the numerator is the payout ratio.P/E on trailing earnings:P/E = [payout ratio ⨯ (1 + g)]/(k - g) = [0.30 ⨯ 1.13]/(0.14 - 0.13) = 33.9P/E on next year's earnings:P/E = payout ratio/(k - g) = 0.30/(0.14 - 0.13) = 30.0b.The P/E ratio is a decreasing function of riskiness; as risk increases, the P/E ratio decreases. Increases in the riskiness of Sundanci stock would be expected to lower the P/E ratio. The P/E ratio is an increasing function of the growth rate of the firm; the higher the expected growth, the higher the P/E ratio. Sundanci would command a higher P/E if analysts increase the expected growth rate. The P/E ratio is a decreasing function of the market risk premium. An increased market risk premium increases the required rate of return, lowering the price of a stock relative to its earnings. A higher market risk premium would be expected to lower Sundanci's P/E ratio.5. a.The sustainable growth rate is equal to: plowback ratio × return on equity = b × ROE Net Income - (Dividends per share shares outstanding)where Net Income b ⨯= ROE = Net Income/Beginning of year equity In 2007: b = [208 – (0.80 × 100)]/208 = 0.6154 ROE = 208/1380 = 0.1507 Sustainable growth rate = 0.6154 × 0.1507 = 9.3% In 2010: b = [275 – (0.80 × 100)]/275 = 0.7091 ROE = 275/1836 = 0.1498 Sustainable growth rate = 0.7091 × 0.1498 = 10.6%b.i. The increased retention ratio increased the sustainable growth rate. Retention ratio = [Net Income - (Dividend per share Shares Oustanding)]Net Income ⨯ Retention ratio increased from 0.6154 in 2007 to 0.7091 in 2010. This increase in the retention ratio directly increased the sustainable growth rate because the retention ratio is one of the two factors determining the sustainable growth rate. ii. The decrease in leverage reduced the sustainable growth rate. Financial leverage = (Total Assets/Beginning of year equity) Financial leverage decreased from 2.34 (= 3230/1380) at the beginning of 2007 to 2.10 at the beginning of 2010 (= 3856/1836) This decrease in leverage directly decreased ROE (and thus the sustainable growth rate) because financial leverage is one of the factors determining ROE (and ROE is one of the two factors determining the sustainable growth rate).6. a. The formula for the Gordon model is:00(1)D g V k g ⨯+=- where: D 0 = dividend paid at time of valuation g = annual growth rate of dividends k = required rate of return for equity In the above formula, P 0, the market price of the common stock, substitutes for V 0 and g becomes the dividend growth rate implied by the market: P 0 = [D 0 × (1 + g)]/(k – g) Substituting, we have: 58.49 = [0.80 × (1 + g)]/(0.08 – g) ⇒ g = 6.54%b.Use of the Gordon growth model would be inappropriate to value Dynamic’s common stock, for the following reasons: i. The Gordon growth model assumes a set of relationships about the growth rate for dividends, earnings, and stock values. Specifically, the model assumes that dividends, earnings, and stock values will grow at the same constant rate. In valuing Dynamic’s common stock, the Gordon growth model is inapp ropriate because management’s dividend policy has held dividends constant in dollar amount although earnings have grown, thus reducing the payout ratio. This policy is inconsistent with the Gordon model assumption that the payout ratio is constant. ii. It could also be argued that use of the Gordon model, given Dynamic’s current dividend policy, violates one of the general conditions for suitability of the model, namely that the company’s dividend policy bears an understandable and consistent relationship with the company’s profitability.7. a.The industry’s estimated P/E can be computed using the following model: 01Payout Ratio P E k g =- However, sincekand g are not explicitly given, they must be computed using the following formulas: g ind = ROE ⨯ retention rate = 0.25 ⨯ 0.40 = 0.10 k ind = government bond yield + ( industry beta ⨯ equity risk premium) = 0.06 + (1.2 ⨯ 0.05) = 0.12 Therefore: 010.6030.00.120.10P E ==-b. i. Forecast growth in real GDP would cause P/E ratios to be generallyhigher for Country A. Higher expected growth in GDP implies higher earnings growth and a higher P/E. ii. Government bond yield would cause P/E ratios to be generally higher for Country B. A lower government bond yield implies a lower risk-free rate and therefore a higher P/E. iii. Equity risk premium would cause P/E ratios to be generally higher for Country B. A lower equity risk premium implies a lower required return and a higher P/E.8. a.k = r f + β (k M – r f ) = 4.5% + 1.15(14.5% - 4.5%) = 16%b.Year Dividend2009 $1.722010 $1.72 ⨯ 1.12 = $1.932011 $1.72 ⨯ 1.122 = $2.162012 $1.72 ⨯ 1.123 = $2.422013 $1.72 ⨯ 1.123 ⨯ 1.09 = $2.63 Present value of dividends paid in 2010 – 2012:Year PV of Dividend2010 $1.93/1.161 = $1.662011 $2.16/1.162 = $1.612012 $2.42/1.163 = $1.55Total = $4.82 Price at year-end 201257.37$09.016.063.2$2013=-=-=g k D PV in 2009 of this stock price 07.24$16.157.37$3== Intrinsic value of stock = $4.82 + $24.07 = $28.89c. The data in the problem indicate that Quick Brush is selling at a pricesubstantially below its intrinsic value, while the calculations abovedemonstrate that SmileWhite is selling at a price somewhat above theestimate of its intrinsic value. Based on this analysis, Quick Brush offersthe potential for considerable abnormal returns, while SmileWhite offersslightly below-market risk-adjusted returns.d. Strengths of two-stage versus constant growth DDM:∙ Two-stage model allows for separate valuation of two distinct periods ina company’s future. This can accommodate life cycle effects. It also canavoid the difficulties posed by initial growth that is higher than thediscount rate.∙ Two-stage model allows for initial period of above-sustainable growth. Itallows the analyst to make use of her expectations regarding when growthmight shift from off-trend to a more sustainable level.A weakness of all DDMs is that they are very sensitive to input values.Small changes in k or g can imply large changes in estimated intrinsic value.These inputs are difficult to measure.9. a. The value of a share of Rio National equity using the Gordon growth modeland the capital asset pricing model is $22.40, as shown below.Calculate the required rate of return using the capital asset pricing model:k = r f + β × (k M – r f ) = 4% + 1.8 × (9% – 4%) = 13% Calculate the share value using the Gordon growth model:40.22$12.013.0)12.01(20.0$g k g)(1D P o 0=-+⨯=-+⨯=b. The sustainable growth rate of Rio National is 9.97%, calculated as follows: g = b × ROE = Earnings Retention Rate × ROE = (1 – Payout Ratio) × ROE =%97.90997.035.270$16.30$16.30$20.3$1Equity BeginningIncome Net Income Net ividends D 1==⨯⎪⎭⎫ ⎝⎛-=⨯⎪⎭⎫ ⎝⎛-10. a. To obtain free cash flow to equity (FCFE), the two adjustments that Shaarshould make to cash flow from operations (CFO) are:1. Subtract investment in fixed capital: CFO does not take into account theinvesting activities in long-term assets, particularly plant and equipment.The cash flows corresponding to those necessary expenditures are notavailable to equity holders and therefore should be subtracted from CFOto obtain FCFE.2. Add net borrowing: CFO does not take into account the amount ofcapital supplied to the firm by lenders (e.g., bondholders). The newborrowings, net of debt repayment, are cash flows available to equityholders and should be added to CFO to obtain FCFE.b. Note 1: Rio National had $75 million in capital expenditures during the year.Adjustment: negative $75 millionThe cash flows required for those capital expenditures (–$75 million) areno longer available to the equity holders and should be subtracted from netincome to obtain FCFE.Note 2: A piece of equipment that was originally purchased for $10 million was sold for $7 million at year-end, when it had a net book value of $3million. Equipment sales are unusual for Rio National.Adjustment: positive $3 millionIn calculating FCFE, only cash flow investments in fixed capital should beconsidered. The $7 million sale price of equipment is a cash inflow nowavailable to equity holders and should be added to net income. However, the gain over book value that was realized when selling the equipment ($4million) is already included in net income. Because the total sale is cash, not just the gain, the $3 million net book value must be added to net income.Therefore, the adjustment calculation is:$7 million in cash received – $4 million of gain recorded in net income =$3 million additional cash received added to net income to obtain FCFE.Note 3: The decrease in long-term debt represents an unscheduled principal repayment; there was no new borrowing during the year.Adjustment: negative $5 millionThe unscheduled debt repayment cash flow (–$5 million) is an amount nolonger available to equity holders and should be subtracted from net income to determine FCFE.Note 4: On January 1, 2008, the company received cash from issuing400,000 shares of common equity at a price of $25.00 per share.No adjustmentTransactions between the firm and its shareholders do not affect FCFE.To calculate FCFE, therefore, no adjustment to net income is requiredwith respect to the issuance of new shares.Note 5: A new appraisal during the year increased the estimated marketvalue of land held for investment by $2 million, which was not recognizedin 2008 income.No adjustmentThe increased market value of the land did not generate any cash flow andwas not reflected in net income. To calculate FCFE, therefore, no adjustment to net income is required.c. Free cash flow to equity (FCFE) is calculated as follows:FCFE = NI + NCC – FCINV – WCINV + Net Borrowingwhere NCC = non-cash chargesFCINV = investment in fixed capitalWCINV = investment in working capital*Supplemental Note 2 in Table 18H affects both NCC and FCINV.11. Rio National’s equity is relatively undervalued compared to the industry on a P/E-to-growth (PEG) basi s. Rio National’s PEG ratio of 1.33 is below the industry PEG ratio of 1.66. The lower PEG ratio is attractive because it implies that the growth rate at Rio National is available at a relatively lower price than is the case for theindustry. The PEG ratios for Rio National and the industry are calculated below: Rio NationalCurrent Price = $25.00Normalized Earnings per Share = $1.71Price-to-Earnings Ratio = $25/$1.71 = 14.62Growth Rate (as a percentage) = 11PEG Ratio = 14.62/11 = 1.33IndustryPrice-to-Earnings Ratio = 19.90Growth Rate (as a percentage) = 12PEG Ratio = 19.90/12 = 1.66。
博迪《投资学》笔记及习题(权益估值模型)【圣才出品】
第18章权益估值模型18.1 复习笔记1．比较估值（1）用账面价值进行比较估值比较估值是指通过可得到的市场资料以及从公司和它的竞争同行得来的财务报表来建立模型，并进而估计本公司股票的“基础性”价格。
这些估价模型根据分析师们采纳的具体数据特性和模型本身所包含的理论复杂程度而有所不同。
比较估值的一种方法是重视公司的账面价值，另一种方法是重视预期未来股利的现值。
（2）账面价值的局限性账面价值衡量的是资产和负债的历史成本，而市场价值衡量的是资产和负债的当前价值。
股东权益的市场价值等于所有资产和负债的市场价值之差。
市场价格反映的是基于持续经营假设计算出的公司价值，通常，股票的市场价值不等于其账面价值。
清算价值更好地反映了股价的底线。
清算价值是指公司破产后，出售资产、清偿债务以后余下的可向股东分配的价值。
资产减去负债后的重置成本是资产负债表中另一个用来评估公司价值的概念。
竞争的压力迫使所有公司的市值下跌，直到与重置成本相等。
市值对重置成本的比率被称为托宾q 值。
从长期来看，市值与重置成本的比值将趋向于1，但金融市场证据却表明该比值可在长期内显著不等于1。
2．内在价值与市场价格股票投资者所获得的收益包括现金股利和资本利得。
比较持有期间的股票期望收益率和CAPM模型所显示的投资者的期望收益率。
如果持有期间的股票期望收益率高于必要收益率，则应该投资该股票。
股票的内在价值是指股票能为投资者带来的所有现金回报的现值，是把股利和最终出售股票的所得用适当的风险调整利率k进行贴现得到的。
若股票的内在价值超过了其市场价格说明该股票的价格被低估了，值得进行投资。
当市场均衡时，股票的市场价格反映了所有市场参与者对其内在价值的估计。
市场对必要收益率所达成的共识叫做市场资本化率。
3．股利贴现模型股利贴现模型（DDM）主张每股股票的价格应该等于以与股票风险相当的利率折现的每股未来股利的现值，如下所示：V0＝D1/（1＋k）＋D2/（1＋k）2＋D3/（1＋k）3＋…该式阐述了股票价格应当等于无限期内所有预期股利的贴现值之和。
博迪《投资学》教材精讲讲义-第1~8章【圣才出品】
六、市场参不者
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圣才电子书
1．金融市场主体
十万种考研考证电子书、题库规频学习平台
（1）公司（企业）。公司通常筹集资金幵将其投资二厂房和训备。返些实物资产创造
的收益为该公司収行证券的投资者提供收益。
（2）家庭。家庭通常是纯储蓄者，它们质买需要融资的公司収行的证券。
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圣才电子书 十万种考研考证电子书、题库规频学习平台
【比较】美国家庭资产负债表（如表 1-1 所示）不美国国民财富净值表（如表 1-2 所示）， 可以収现实物资产不金融资产乀间存在明显的区别。家庭财富包括银行败户、企业股票戒债券 等金融资产。返些家庭金融证券对収行者杢说是负债。因此，在汇总所有的资产负债表时，金 融资产会相互抵消，叧剩下实物资产作为净资产。
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圣才电子书 十万种考研考证电子书、题库规频学习平台
（1）提供引寻资本有效配置信息：资本价格収现和传逑； （2）给主体选择消费时机的机会：金融市场可以使个人的消费不收入在时间上分离（个 人和企业收入的生命周期）； （3）在绊济主体间配置风险：资本市场将投资所固有的风险转秱给了愿意承担风险的投资 者； （4）便利公司所有权和绊营权的分离。 两权分离的优势：与业化绊营、聚集资本觃模效应、分散风险、所有权转讥丌破坏 公司运营等。 代理问题：代理问题是指公司的管理者追求自己的利益而非股东利益所产生的管理 者不股东潜在的利益冲突。解决代理问题的管理机制有：薪酬（包括期权等）激励机制、通 过董亊会解雇管理者、讥外部证券分析师（戒其他独立人士）和大机构投资者（比如养老基 金）对公司实斲密切监督、以及讥绩效差的公司管理者面临着被接管的危机（公司收质、代 理权竞赛）等。 3．公司治理和公司伦理 要想使证券市场能够有效地収挥返一功能，就必须有一定的透明度，以便投资者能够在 信息灵通的情冴下做出投资决策。如果企业可以在公司的収展前景斱面误寻公众，那举很多 决策都会出错。 公司治理和伦理危机：会计丑闻、分析师丑闻、审计师丑闻等——信用危机。 公司追求完美的声誉最终将成为企业不客户乀间构建长丽关系的关键，也是企业最有价 值的资产乀一。
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Intrinsic Value and Market Price
• Intrinsic Value – Self assigned Value – Variety of models are used for estimation
• Market Price – Consensus value of all potential traders
Vot 1(1 Dkt )t
V0 = Value of Stock Dt = Dividend k = required return
18-9
No Growth Model
D Vo
k
• Stocks that have earnings and dividends that are expected to remain constant
PH = the expected sales price for the stock at time H
H = the specified number of years the stock is expected to be held
18-8
Dividend Discount Models: General Model
P0
D1 kg
பைடு நூலகம்
• If all earnings paid out as dividends, price should be lower (assuming growth opportunities exist)
18-16
Present Value of Growth Opportunities Continued
– Liquidation value – Replacement cost
18-4
Expected Holding Period Return
• The return on a stock investment comprises cash dividends and capital gains or losses – Assuming a one-year holding period
E x p e c te d H P R = E (r) E (D 1 ) E (P 1 ) P 0
P 0
18-5
Required Return
• CAPM gave us required return:
krf E(rM)rf
• If the stock is priced correctly
– Required return should equal expected return
• Trading Signal – IV > MP Buy – IV < MP Sell or Short Sell – IV = MP Hold or Fairly Priced
18-7
Specified Holding Period
V0(1 D k 1)1(1 D k2)2...D (1 H kP )H H
Figure 18.1 Dividend Growth for Two Earnings Reinvestment Policies
18-15
Present Value of Growth Opportunities
• If the stock price equals its IV, growth rate is sustained, the stock should sell at:
18-18
Partitioning Value: Example Continued
gROE b
g = growth rate in dividends ROE = Return on Equity for the firm b = plowback or retention percentage rate
(1- dividend payout percentage rate)
18-14
18-12
Constant Growth Model: Example
Vo Do(1g) kg
E1 = $5.00 b = 40% k = 15% (1-b) = 60% D1 = $3.00 g = 8% V0 = 3.00 / (.15 - .08) = $42.86
18-13
Estimating Dividend Growth Rates
– Preferred Stock
18-10
No Growth Model: Example
Vo D k
E1 = D1 = $5.00 k = .15 V0 = $5.00 /.15 = $33.33
18-11
Constant Growth Model
Vo
Do(1 g ) kg
g = constant perpetual growth rate
CHAPTER 18 Equity Valuation
Models
McGraw-Hill/Irwin
Investments, 8th edition
Bodie, Kane and Marcus
Slides by Susan Hine
Copyright © 2009 by The McGraw-Hill Companies, Inc. All rights reserved.
• Price = No-growth value per share + PVGO (present value of growth opportunities)
P0
E1 k
PVGO
18-17
Partitioning Value: Example
ROE = 20% d = 60% b = 40% E1 = $5.00 D1 = $3.00 k = 15% g = .20 x .40 = .08 or 8%
18-2
18-3
Limitations of Book Value
• Book value is an application of arbitrary accounting rules
• Can book value represent a floor value? • Better approaches