金融经济学Valuation and shareholder value

E (d 3 ) E (d1 ) E (d 2 ) P0 ... 2 3 1 E (r ) (1 E (r )) (1 E (r ))
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Dividends vs Cash Flows
E (d 3 ) E (d1 ) E (d 2 ) P0 ... 2 3 1 E (r ) (1 E (r )) (1 E (r ))
Operating
• Sales Growth • Op. Prof. Margin • Income tax rate
Investment
• Working Capital • Fixed Capital • Cost of Capital • Debt Capacity
Discount Rate
Invested Capital
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Example – Sbux, balance sheet
BALANCE SHEET Cash Marketable securities Inventories Accounts receivable Other current assets Total current assets Net fixed assets LT Investments Other assets Total assets Accounts payable ST borrowings Other ST liabs Current liabilities LT Debt Other LT liabs Minority interests Equity Total liabilities and equity 1999 66 51 181 48 40 386 760 106 1.252 56 64 131 251 7 33 961 1.252 2000 71 61 202 76 50 460 930 3 96 1.489 74 57 183 314 6 21 4 1.148 1.489 2001 113 107 221 90 62 593 1.137 63 54 1.847 128 63 255 446 6 19 1.376 1.847 2002 100 227 263 98 85 773 1.265 102 77 2.217 136 1 326 463 5 26 1.723 2.217 2003 201 149 343 114 117 924 1.383 136 286 2.729 169 1 439 609 4 34 2.082 2.729 2004 299 354 423 140 153 1.369 1.469 135 356 3.329 191 1 591 783 4 55 2.487 3.329
Financing
Debt
2
Equity = Discounted dividends
Why is the stock price (value) the discounted sum of the future cash flows (dividends)?
E (d1 ) E (d 2 ) P0 ... 2 1 r (1 r )
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A view from the balance sheet
Assets FA STA Cash Total Assets Assets FA WC = STA - STL Cash Liabilities Equity Debt STL Total Liabilities Liabilities Equity Debt
E (d1 ) P 1 P0 1 E (r ) 1 E (r )
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Derivation
The same applies to P1, which can E (d 2 ) P2 P then be substitutied in P0, and so 1 1 E (r ) 1 E (r ) on recursively E (d1 ) E (d 2 ) P2 P0 1 E (r ) (1 E (r ))2 (1 E (r ))2 ...
Is equivalent to (remember this proposition?):
E ( FCF3 ) E ( FCF1 ) E ( FCF2 ) P0 ... 2 3 1 E (r ) (1 E (r )) (1 E (r ))
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Free Cash Flow
Valuation and Shareholder Value
The Shareholder Value Approach
Management Decisions Value Drivers Valuation Components Corporate Objective
Value Growth Duration Creating Shareholder Value CFFO Shareholder Returns: • Dividends • Capital Gains
• Or: FCF is the net cash flow generated by the firm’s invested capi Cash Flows
Free Cash Flow = Cash Inflow – cash outflow Cash Inflow = Sales x Operating Margin Cash Outflow = Fixed Assets + Working Capital + Taxes Cash Flow to Equity = FCF – Payments to debt-holders
Value = sum of discounted expected free cash flows Definition:
• FCFt is the net cash flow received by all security holders of the firm together
Cash flow to equity holders + cash flow to debt holders
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Derivation
The expected return on the stock is, by definition:
E (r )
E (d1 ) P 1P 0 P0
Which, rearranged, gives:
P0
E (d1 ) P 1 1 E (r )
And: