财务分析与证券定价英文chapter21
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财务分析-财务分析与证券定价(英文)chapter7 精品
For Financial Assets (FA)
FAt FAt1 Ct It it dt
For financial obli Nhomakorabeaations (FO)
FOt FOt1 Ct It it dt
(it is interest paid)
For given interest payments and net dividends, cash flow from operations (C) reduces borrowing and cash investment (I) increases it
C (I) C-I
d
F d+F
Balance Sheet
Assets Operating assets Financial assets Total Assets
OA FA OA + FA
Equities
Operating liabilities
OL
Financial obligations
FO
Common stockholders’ equity
The Firm
Net Financial
Assets
(NFA)
Capital Markets
F
Debt
Holders or
Issuers
d
Share
Holders
Financing Activities
• F is net cash flow to debt holders (or issuers) • d is net dividend to shareholders
• The difference between operating and financing aspects of a business
FAt FAt1 Ct It it dt
For financial obli Nhomakorabeaations (FO)
FOt FOt1 Ct It it dt
(it is interest paid)
For given interest payments and net dividends, cash flow from operations (C) reduces borrowing and cash investment (I) increases it
C (I) C-I
d
F d+F
Balance Sheet
Assets Operating assets Financial assets Total Assets
OA FA OA + FA
Equities
Operating liabilities
OL
Financial obligations
FO
Common stockholders’ equity
The Firm
Net Financial
Assets
(NFA)
Capital Markets
F
Debt
Holders or
Issuers
d
Share
Holders
Financing Activities
• F is net cash flow to debt holders (or issuers) • d is net dividend to shareholders
• The difference between operating and financing aspects of a business
财务分析与证券定价(英文)chapter9
Operating assets: all else
Operating liabilities: all else Common equity
An Example: Standard Balance Sheet of VF Corporation
CONSOLIDATED BALANCE SHEETS In thousands January 1, 1994 January 2, 1993 - ----------------------------------------------------------------------------------------------------------------ASSETS Current Assets Cash and equivalents $151,564 $86,320 Accounts receivable, less allowances of $28,808 in 1993 and $30,275 in 1992 511,887 493,030 Inventories 778,767 742,474 Deferred income taxes 38,138 21,788 Other current assets 19,824 21,961 - ----------------------------------------------------------------------------------------------------------------Total current assets 1,500,180 1,365,573 Property, Plant and Equipment 712,759 711,087 Intangible Assets 575,359 554,703 Other Assets 89,050 81,017 - ----------------------------------------------------------------------------------------------------------------$2,877,348 $2,712,380 - ----------------------------------------------------------------------------------------------------------------LIABILITIES AND SHAREHOLDERS' EQUITY Current Liabilities Short-term borrowings $35,648 $125,822 Current portion of long-term debt 110,119 54,195 Accounts payable 246,503 248,592 Accrued liabilities 267,578 255,393 - ----------------------------------------------------------------------------------------------------------------Total current liabilities 659,848 684,002 Long-term Debt Other Liabilities 527,573 126,978 767,641 95,248
财务报表分析与证券定价StephenHPenman
1-8
财经易文
© E-win 2002 All rights reserved.
1-9
财经易文
© E-win 2002 All rights reserved.
1-10
基本面分析的过程
Chapter 1 Page 11
Figure 1.2
步骤 5 – 根据价值评估进行交易 •外部投资者
将价值与买、卖或持有的价格进行 比较
• 介绍美国GAAP的教材：
– Keiso & Weygandt, “Intermediate Accounting”, Wiley, 9th Edition,2019.
• 一本公司理财专著：
– Brealey, “Principles of Corporate Finance”, McGraw-Hill, 6th Edition, 2019.
估价误差(%)
140.00%
120.00%
100.00% 80.00%
63.30%
60.00%
40.00% 20.00%
10.30%
0.00%
Dividends
Cash Flow s
Residual Dividends Earnings
Cash Flow s
Residual Earnings
财经易文
© E-win 2002 All rights reserved.
1-21
0
180.00%
160.00%
140.00%
预测期间 4年
176.20%
预测期间之外
4年之后 的增长
Source: Penman and Sougiannis “A Comparison of Dividend, Cash Flow and Earnings Approaches to Equity Valuation”. Contemporary Accounting Research, 2019: 343-382.
财务报表分析与证券定价StephenHPenman
财务报表分析与证券定价
Stephen H. Penman
制作人：
Peter D. Easton and Gregory A. Sommers
Fisher College of Business The Ohio State University
协助人： Stephen H. Penman – Columbia University Luis Palencia – University of Navarra, IESE Business School
20-18
融资风险
融资溢价的驱动因素: • 财务杠杆 (FLEV)风险 • 借款成本风险
Chapter 20 Page 695
财经易文
© E-win 2002 All rights reserved.
20-19
成长性风险
Chapter 20 Page 696
Growthin NOA Growthin Sales 1 ATO
盈利能力风险
成长性风险
风险是得不到预期的剩余收入的可能
财经易文
© E-win 2002 All rights reserved.
20-15
盈利能力风险: 达不到预期 ROCE 水
Chapter 20 Page 695
平的可能
驱动因素:
Return on Common Equity Return on Net Operating Assets Financial Leverage x Operating Spread ROCE RNOA NFO RNOA NBC
20-8
风险的分散
在组合中加入更多的证券对组合标准差的影响
Portfolio Standard Deviation
Stephen H. Penman
制作人：
Peter D. Easton and Gregory A. Sommers
Fisher College of Business The Ohio State University
协助人： Stephen H. Penman – Columbia University Luis Palencia – University of Navarra, IESE Business School
20-18
融资风险
融资溢价的驱动因素: • 财务杠杆 (FLEV)风险 • 借款成本风险
Chapter 20 Page 695
财经易文
© E-win 2002 All rights reserved.
20-19
成长性风险
Chapter 20 Page 696
Growthin NOA Growthin Sales 1 ATO
盈利能力风险
成长性风险
风险是得不到预期的剩余收入的可能
财经易文
© E-win 2002 All rights reserved.
20-15
盈利能力风险: 达不到预期 ROCE 水
Chapter 20 Page 695
平的可能
驱动因素:
Return on Common Equity Return on Net Operating Assets Financial Leverage x Operating Spread ROCE RNOA NFO RNOA NBC
20-8
风险的分散
在组合中加入更多的证券对组合标准差的影响
Portfolio Standard Deviation
财务报表分析与证券定价StephenHPenman-精品文档
– 自我蒙骗；忽视鉴别直觉的能力
Chapter 1 Pages 4-5
• 消极方法的危险之处：
– 你付出的是价格，所得到的是价值
• 筛选法的危险之处：
– 忽视了关于未来的信息
• 基本面分析
– 要求做大量的工作！
审慎投资要求进行分析：以防止支付一个错误的价格（或者在错误的价位 上卖出）
防守型投资者
积极投资要求进行分析：这样有可能发现市场定价有误
• 商业计划和商业战略是怎样转变成价值评估的？
财经易文
© E-win 2002 All rights reserved.
1-7
企业、它的利益要求方和资本市场
T h e C a p ita l M a r k e t: T r a d in g V a lu e T h e F ir m : T h e V a lu e G e n e r a to r
–就企业的价值进行辩论 –供应的安全性 –政策制订 –规制 –征税 –政府采购
• 政府
• 管理层
• 竞争者
• 雇员
投资者和管理层是财务信息的主要使用者
财经易文
© E-win 2002 All rights reserved.
1-4
投资风格
• 直觉投资
依赖于直觉和预感：不作分析
Chapter 1 Page 3
财经易文
© E-win 2002 All rights reserved.
1-3
企业财务信息的使用者（需求方）
• 权益投资者 • 债权投资者
– 投资分析 – 管理绩效评估 – 违约概率 – 决定借贷利率 – 违约
– 战略规划 – 运营中的企业投资 – 对下属工作绩效的评估
Chapter 1 Pages 4-5
• 消极方法的危险之处：
– 你付出的是价格，所得到的是价值
• 筛选法的危险之处：
– 忽视了关于未来的信息
• 基本面分析
– 要求做大量的工作！
审慎投资要求进行分析：以防止支付一个错误的价格（或者在错误的价位 上卖出）
防守型投资者
积极投资要求进行分析：这样有可能发现市场定价有误
• 商业计划和商业战略是怎样转变成价值评估的？
财经易文
© E-win 2002 All rights reserved.
1-7
企业、它的利益要求方和资本市场
T h e C a p ita l M a r k e t: T r a d in g V a lu e T h e F ir m : T h e V a lu e G e n e r a to r
–就企业的价值进行辩论 –供应的安全性 –政策制订 –规制 –征税 –政府采购
• 政府
• 管理层
• 竞争者
• 雇员
投资者和管理层是财务信息的主要使用者
财经易文
© E-win 2002 All rights reserved.
1-4
投资风格
• 直觉投资
依赖于直觉和预感：不作分析
Chapter 1 Page 3
财经易文
© E-win 2002 All rights reserved.
1-3
企业财务信息的使用者（需求方）
• 权益投资者 • 债权投资者
– 投资分析 – 管理绩效评估 – 违约概率 – 决定借贷利率 – 违约
– 战略规划 – 运营中的企业投资 – 对下属工作绩效的评估
财务分析与证券定价(英文)chapter(6)
Credit losses: quality of net accounts receivable Inventory obsolescence: quality of carrying values of inventory Rebate programs: quantity of sales and estimated liabilities
Two Directions for Manipulation
1. Borrowing income from the future
Increase in current revenue Both increase Decrease in current expenses current NOA
2. Banking income for the future
Decrease current revenue Increase current expenses
Both reduce current NOA
Distinguish:
Conservative Accounting vs.
• How to carry out an accounting quality analysis
• The devices management can use to manipulate earnings
• How to detect manipulated earnings
• How an accounting quality analysis is combined with financial statement analysis and a red-flag analysis to discover the quality of earnings
Two Directions for Manipulation
1. Borrowing income from the future
Increase in current revenue Both increase Decrease in current expenses current NOA
2. Banking income for the future
Decrease current revenue Increase current expenses
Both reduce current NOA
Distinguish:
Conservative Accounting vs.
• How to carry out an accounting quality analysis
• The devices management can use to manipulate earnings
• How to detect manipulated earnings
• How an accounting quality analysis is combined with financial statement analysis and a red-flag analysis to discover the quality of earnings
财务分析与证券定价(英文)chapter(12)
What is the Dividend Discount Model? Does it
work?
What is the Discounted Cash Flow
Model? Does it work?
Link to Next Chapter
Chapter 5 will investigate valuations based on forecasting earnings
Link to Web Page
What you will learn in this chapter
• How valuation models guide fundamental analysis • How a valuation model is constructed • How valuation models for bond and projects differ
Valuation issues: Forecasting cash flows Discount rate
Value Creation: V0 > I0
• The Bond (no value created):
V0 = 1,079.85 I0 = 1,079.85 NPV = 0.00
• The Project (value created):
Required return: 8%
Year Coupon Redemp. Discount Present Value
1
100
0 0.926
92.59
2
100
0 0.857
85.73
3
100
0 0.794
79.38
4
财务分析与证券定价(英文)chapter9
267,578
255,393
- -----------------------------------------------------------------------------------------------------------------
Total current liabilities
• How to allocate income taxes in a reformulated income statement
• How to do common size and trend analysis
• How to calculate balance sheet and income statement ratios
Long-term liabilities:
Bank loans Bonds payable Long-term notes payable Lease obligations Commitments and contingencies Deferred taxes Pension liabilities Post employment liabilities
Minority Interest
Preferred equity Common equity
The Reformulated Balance Sheet
Assets Financial assets:
- Cash equivalents - Short-term investments
- Short-term notes receivable (?)
Current Liabilities
Short-term borrowings
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evaluation of the risk of a firm defaulting on its debt. Value-at-
risk profiles are developed to assess default risk.
Do the financial statements give indications of whether a firm might default on its debt? What ratios are relevant?
Chapter 21
The Analysis of
Credit Risk
Links
ra
at
fo
sta
d
de
in
bu
ev
Link to Previous Chapters
wh
m
Chapter 20 showed how the
o W
p
analysis of fundamentals helps in
How are credit rating scores developed?
How are valueat risk profiles developed for business debt?
How does pro forma analysis
aid in the evaluation of credit risk,
Unfunded pension liabilities not booked
Guarantees of third-party or related-party debt
Reformulated Income Statements and Cash Flow Statements
Income Statement: Distinguish income from operations that “covers” net financial expense The reformulation follows that for profitability analysis in Chapter 9
Examples: Operating leases
Agreements and commitments:
?
third-party agreements
?
through-put agreements
?
take-or-pay agreements
?
repurchase agreements
?
sales of receivables with recourse
? Suppliers to the firm who grant (usually short-term) credit upon delivery of goods and services.
Off-Balance-Sheet Financing
Off-balance-sheet financing transactions are arrangements to finance assets and create obligations that do not appear on the balance sheet.
? Public debt market investors who include (long-term) bondholders and (short-term) commercial paper holders.
? Commercial banks make loans to firms.
? Other financial institutions such as insurance companies, finance houses and leasing firms make loans, much like banks, but usually with specific assets serving as collateral .liquidity plFra biblioteknning and
financial strategy?
Link to Web Page
The book's web site has more discussion of risk.
What you will learn from this chapter
? How default risk determines the price of credit (the cost of debt capital)
? How value-at-risk analysis is used to asses default risk
? How financial planning works
Default Risk and Default Premiums
Required Return on Debt = Risk-free Rate + Default Premium
The default premium is determined by the risk that the debtor could default
Similar terms: ? Required return on debt ? Cost of debt ? Price of credit
The Suppliers of Credit
the evaluation of equity risk.
Value-at-risk profiles were
developed to assess equity risk.
This Chapter
This chapter shows how fundamental analysis helps in the
Cash Flow Statement: Distinguish (unlevered) cash flow from operations that can be used to make payments on debt The reformulation follows that in Chapter 10
? What determines default risk
? How default risk is analyzed
? How credit scoring models work
? How pro forma analysis aids in assessing the default risk
risk profiles are developed to assess default risk.
Do the financial statements give indications of whether a firm might default on its debt? What ratios are relevant?
Chapter 21
The Analysis of
Credit Risk
Links
ra
at
fo
sta
d
de
in
bu
ev
Link to Previous Chapters
wh
m
Chapter 20 showed how the
o W
p
analysis of fundamentals helps in
How are credit rating scores developed?
How are valueat risk profiles developed for business debt?
How does pro forma analysis
aid in the evaluation of credit risk,
Unfunded pension liabilities not booked
Guarantees of third-party or related-party debt
Reformulated Income Statements and Cash Flow Statements
Income Statement: Distinguish income from operations that “covers” net financial expense The reformulation follows that for profitability analysis in Chapter 9
Examples: Operating leases
Agreements and commitments:
?
third-party agreements
?
through-put agreements
?
take-or-pay agreements
?
repurchase agreements
?
sales of receivables with recourse
? Suppliers to the firm who grant (usually short-term) credit upon delivery of goods and services.
Off-Balance-Sheet Financing
Off-balance-sheet financing transactions are arrangements to finance assets and create obligations that do not appear on the balance sheet.
? Public debt market investors who include (long-term) bondholders and (short-term) commercial paper holders.
? Commercial banks make loans to firms.
? Other financial institutions such as insurance companies, finance houses and leasing firms make loans, much like banks, but usually with specific assets serving as collateral .liquidity plFra biblioteknning and
financial strategy?
Link to Web Page
The book's web site has more discussion of risk.
What you will learn from this chapter
? How default risk determines the price of credit (the cost of debt capital)
? How value-at-risk analysis is used to asses default risk
? How financial planning works
Default Risk and Default Premiums
Required Return on Debt = Risk-free Rate + Default Premium
The default premium is determined by the risk that the debtor could default
Similar terms: ? Required return on debt ? Cost of debt ? Price of credit
The Suppliers of Credit
the evaluation of equity risk.
Value-at-risk profiles were
developed to assess equity risk.
This Chapter
This chapter shows how fundamental analysis helps in the
Cash Flow Statement: Distinguish (unlevered) cash flow from operations that can be used to make payments on debt The reformulation follows that in Chapter 10
? What determines default risk
? How default risk is analyzed
? How credit scoring models work
? How pro forma analysis aids in assessing the default risk