剩余收益模型課件

1、Chapter 5Accrual Accounting and Accrual Accounting and Valuation: Pricing Book Valuation: Pricing Book Values-Values-Residual Earnings ModelResidual Earnings Model權(quán)責(zé)發(fā)生制與價(jià)值評(píng)估權(quán)責(zé)發(fā)生制與價(jià)值評(píng)估: :賬面價(jià)值定價(jià)賬面價(jià)值定價(jià)-剩余收益模型剩余收益模型 公司在進(jìn)行交易時(shí)，價(jià)格并非是賬面價(jià)值。資產(chǎn)負(fù)債表中的資產(chǎn)和負(fù)債有的是公允價(jià)值，有的是歷史成本，還有一些則被從資產(chǎn)負(fù)債表中刪除。這就導(dǎo)致分析家們忽略了從資產(chǎn)負(fù)債表中刪除的價(jià)值。分

2、析家們會(huì)問：到底在賬面價(jià)值的基礎(chǔ)上增加多少才是固有的價(jià)值？每支股票在交易時(shí)基于賬面價(jià)值的溢價(jià)到底是多少？本章提出的剩余收益模型解決了分析家們的困惑。P/BP/B 簡(jiǎn)單模型簡(jiǎn)單模型剩余收益模型剩余收益模型 復(fù)雜模型復(fù)雜模型 Equities Equities剩余收益模型的應(yīng)用剩余收益模型的應(yīng)用 Prijects Prijects Stategies Stategies剩余收益模型的優(yōu)點(diǎn)、缺點(diǎn)剩余收益模型的優(yōu)點(diǎn)、缺點(diǎn)剩余收益模型對(duì)投資者的提醒剩余收益模型對(duì)投資者的提醒總結(jié)總結(jié) residual earnings or residual income: 剩余收益 residual earnings

3、model: 剩余收益模型 premium:溢價(jià) price-to-book ratio(P/B):市凈率 rate of return on common equity(ROCE): 普通股本回報(bào)率 terminal investment:終端投資 going concern investment：持續(xù)投資 withdrawl: 撤回；提款 forecast horizon:預(yù)測(cè)期間 fiscal years:會(huì)計(jì)年度 share issue：發(fā)行股票 earnings per share(EPS):每股收益 dividends per share(DPS):每股股利 discounted

4、cash flow method(DCF):現(xiàn)金流量折現(xiàn)法 continuing value（CV）: 持續(xù)價(jià)值 P/B P/B 公式：公式： P/BP/B與剩余收益、剩余收益模型的兩個(gè)驅(qū)動(dòng)因與剩余收益、剩余收益模型的兩個(gè)驅(qū)動(dòng)因素都有密切的聯(lián)系。同時(shí)，提醒投資者：素都有密切的聯(lián)系。同時(shí)，提醒投資者：Beware of paying too much for earnings!Beware of paying too much for earnings!00/BVBPE1.什么是剩余收益？ 定義：Residual earnings is the earnings in excess of the

5、se required dollar earnings. 公式:2.剩余收益模型是什么？ 定義：A model that measures value added from forecasts of residual earnings is called the residual earnings model. 公式： value=Book value+Premiumvalue=Book value+Premium =Book value +present value of expected =Book value +present value of expected r residual e

6、arnings.esidual earnings.)Investmentreturn x Required(Earningsearnings Residual0 11Investment $400Required return 10%Revenue forecast $440Forecasted earnings $ 40 DCF Valuation: A rate of return of 10 percent on the investment of $400.400 1.100 400 Value0 400) x (0.10 - 40 )Investmentreturn x Requir

7、ed(Earningsearnings Residual0 1140010. 1440VInvestment $400Required return 10%Revenue forecast$448Earnings forecast $ 48A rate of return of 12 percent on the investment of $400.1Residual earnings 48 - (0.10 x 400) = 88Value Project 400 407.271.10The project adds value27.4071.10448 valueDCFForecasts

8、for a Savings Account with $100 invested at the end of 2000.Earning5% per year.Value = Book Value + Present Value of Residual Earnings = 100 + 0 = 100Normal P/B = 1.0(Price = Book Value)The Normal P/B firm earns an expected rate of return on its book value equal to the required returnThe Normal P/B

9、firm earns expected residual earnings of zero. 從儲(chǔ)蓄賬戶這個(gè)例子得到一些準(zhǔn)則，這些準(zhǔn)則在將要介紹的模型中也是適用的。An asset is worth a premium or discount to its book value only if the book value is expected to earn non-zero residual earnings.Residual earnings techniques recognize that earnings growth does not add value if that gro

10、wth comes from investment earning at the required return. Even though an asset does not pay dividends, it can be valued from its book value and earnings forecasts.The valuation of the savings account does not depend on dividend payout. The two scenarios have different expected dividends, but the sam

11、e value.1. The valuation of a savings account is unrelated to free cash flows: The two accounts have the same value, but different free cash flow.In millions of dollars. Required return is 10% per year. Forecast Year 0 1 2 3 4 5Earnings 12.0012.3612.7313.1113.5113.91Dividends 9.09 9.36 9.64 9.93 10.

12、2310.53Book value 100.00103.00 106.09109.27112.55 115.93RE (10% charge) 2.362.43 2.50 2.58 2.66RE growth rate 3%3%3%3% . $133.71 million The intrinsic price-to-book ratio (P/B) is $133.71 / $100 = 1.34. gREBVE10003. 110. 136. 2$100$0EV An equity investment is a going concern, and a going concern goe

13、s on indefinitely.E120023EEEREREREValue of common equity V.where RE is residual earnings for equity:Residual earnings comprehensive earnings - (required return for equitBttEt 1y x beginning of period book value)REEarn(1)B- We calculate the intrinsic premium over book value, ,as the present value of

14、forecasted residual income.This premium is the missing value in the balance sheet. P/B與RE的關(guān)系（見下表） High P/B firms pay high RE,on average,while low P/B firms pay low RE.00BVE000BRE of Value Pr1 RE of Value PrBP/BesentBesent Residual earnings is the return on common equity, expressed as a dollar excess

15、 return rather than a ratio. We also restate residual earnings as: ttt-1Comprehensive earnings to commonROCEBook value1111tEttEtBROCEBEarnRE1ttBEarnTwo Drivers:1.ROCE If forecasted ROCE equals the required return, then RE will be zero, and V = BIf forecasted ROCE is greater than the required return,

16、 then V BIf forecasted ROCE is less than the required return, then V B2. Growth in book valueRE will change with change with ROCE and growth in book valueP/B in 2003ROCE in 2004Growth Rate forBook Value in 2004The Gap Inc.4.2328.1%30.7%General Electric Co.4.1622.3%39.3%Verizon Communications Inc.3.3

17、223.4%12.2%Citigroup Inc.2.7917.4%11.5%Home Depot Inc.2.6219.2%13.2%General Motors Corp.1.1911.1% 9.7%Federated Department Stores0.9212.0% 3.1% ROCE is positively related to P/B.And growth in book value is also positively related to P/B.1. The current book value2. Forecasts of residual earnings 3. F

18、orecasted premium at the horizon Component 3 is called the continuing value. As efficient prices equal intrinsic values, thenTETETTET2E2E10E0BVRE.REREBVTTETCBV1. Identify the book value in the most recent balance sheet.2. Calculate future residual earnings from the forecasts of earnings and book val

19、ues.3. Discount the residual earnings to present value. 4. Calculate a continuing value at the forecast horizon.5. Discount the continuing value to the present value.6. Add 1, 3, and 5.TETETTET2E2E10E0BVRE.REREBVROCE1Current book valueROCE2Book value1ROCE3Book value2Year 3 aheadYear 2 aheadYear 1 ah

20、eadResidual earnings1Residual earnings2Residual earnings3Current book valueCurrent yearPV of RE1Discount by ForecastsPV of RE2PV of RE3Current book valueDiscount by 3Discount by 2Current DataVBPV of RE fE00or T periods95.058.353.40EV Flanigans Enterprises Inc. Required rate of return is 9 percent. I

21、n this case,residual earnings is expected to be zero after 2003. Forecast Year1999 2000 2001 2002 2003 Eps 0.73 0.80 0.71 0.47Dps 0.11 0.24 0.25 0.27Bps3.58 4.20 4.76 5.22 5.41ROCE 20.4% 19.0% 14.9% 9.0%RE (9% charge) 0.408 0.422 0.282 0.000Discount rate (1.09) 1.09 1.188 1.295 1.412Present value of

22、 RE 0.374 0.355 0.217 0.000Total present value of RE to 2003 0.95 Value per share 4.53 RE is forecasted to be zero in perpetuity at the horizon So The forecasted premium at the horizon is0CVT0BVTETTET2E2E10E0RE.REREBV48. 527. 332. 407.13VE0 General Electric Co.Required rate of return is 10 percent.

23、In this case ,residual earnings is expected to be constant,but nonzero after 2004.Suppose that RE beyond 2004 is going to be the same as the 0.882 in 2004.Forecast Year1999 2000 2001 2002 2003 2004Eps 1.29 1.38 1.42 1.50 1.60Dps 0.57 0.66 0.73 0.77 0.82Bps4.32 5.04 5.76 6.45 7.18 7.96ROCE 29.9% 27.4

24、% 24.7% 23.3% 22.3%RE (10% charge) 0.858 0.876 0.844 0.855 0.882Discount rate (1.10) 1.100 1.210 1.331 1.464 1.611Present value of RE 0.780 0.724 0.634 0.584 0.548Total present value of RE to 2004 3.27Continuing value (CV) 8.82Present value of CV5.48Value per share 13.07The continuing value: CV = =

25、8.82 Present value of continuing value = = 5.48Assuming constant RE after period T:10.0882.06105. 182. 8 RE is forecasted to be constant in perpetuity at the horizonSoTEETRE1RE.REREBV1TET2E2E10E01RECVE1+TTFor GE, CVT = 82. 810. 0882. 0TETETTET2E2E10E0BVRE.REREBVDell Inc. Required rate of return is 1

26、1 percent. In this case ,residual earnings is expected to grow at a 6.5 percentrate after 2005.Forecast Year2000 2001 2002 2003 2004 2005Eps 0.84 0.48 0.82 1.03 1.18Dps 0.0 0.0 0.0 0.0 0.0Bps2.06 2.90 3.38 4.20 5.23 6.41ROCE 40.8% 16.6% 24.3% 24.5% 22.6%RE (11% charge) 0.613 0.161 0.448 0.568 0.605

27、Discount rate (1.11)t 1.110 1.232 1.368 1.518 1.685Present value of RE 0.553 0.131 0.328 0.374 0.359Total present value of RE to 2005 1.75 Continuing value (CV) 14.32Present value of CV 8.50Value per share 12.31 The continuing value (with growth at 6.5%): CV = = 14.32 Present value of continuing val

28、ue = = 8.50 Assuming growing RE after period T :50. 875. 106. 231.120EV065. 111. 1065. 1605. 0685. 132.14RE is forecasted to grow at constant rate in perpetuity at the horizonSo32.14gRECVE1+TT1.065 - 1.111.065 x 605.0CV Dell,For TTEETgRE1TET2E2E10E0RE.REREBVTETETTET2E2E10E0BVRE.REREBVTTTCVB PriceTar

29、get 41. 520032003 BVE73.20 32.14 41. 6 200520052005CVBVECase 1 (Flannigans)Case 2 (GE)Case 3 (Dell)16.78 82. 8 96. 7 200420042004CVBVEValue added: PV of RE = 330 (same as NPV) 在前面的例子中，我們看到剩余收益模型計(jì)在前面的例子中，我們看到剩余收益模型計(jì)算的價(jià)值與現(xiàn)金流量折現(xiàn)法計(jì)算的價(jià)值是相同算的價(jià)值與現(xiàn)金流量折現(xiàn)法計(jì)算的價(jià)值是相同的。的。 The foercasts of RE have captuerd the val

30、ue added over the cost of the investment. Focus on value drivers: focuses on profitability of investment and growth in investment that drive value; directs strategic thinking to these drivers Incorporates the financial statements: incorporates the value already recognized in the balance sheet (the b

31、ook value) Uses accrual accounting: uses the properties of accrual accounting that recognize value added ahead of cash flows, matches value added to value given up and treats investment as an asset rather than a loss of value Versatility: can be used with a wide variety of accounting principles (Cha

32、pter 16) Aligned with what people forecast: analysts forecast earnings (from which forecasted residual earnings can be calculated) Validation: forecasts of residual earnings can be validated in subsequent audited financial statements Predictability: dividends are usually fairly stable in the short r

33、un so dividends are easy to forecast (in the short run) Accounting complexity: requires an understanding of how accrual accounting works Suspect accounting: relies on accounting numbers that can be suspect (Chapter 17) Forecast horizon: forecast horizons can be shorter than for DCF analysis and more

34、 value is typically recognized in the immediate future; also, forecasts up to the horizon give an indication of profitability and growth for a continuing value calculation; but the forecast horizon does depend on the quality of the accrual accounting (Chapter 16) The firm is expected to make a share

35、 issue of $50 in Year 1 .Required return is 10 percent per year. Forecast Year 0 1 2 3 4 5Earnings12.0012.3617.7318.6119.5620.57Net dividends9.09(40.64)9.649.9310.2310.53Book value100.00153.00 161.09 169.77179.10 189.14RE (10% charge)2.36 2.43 2.50 2.58 2.66RE growth rate3%3%3%3% $133.71 million.03.

36、 110. 136. 2$100$0EVBeware! Writing inventory down by $8 million in Year 0 creates lower-cost-of-goods sold in Year 1: Forecast Year 0 1 2 3 4 5Earnings4.0020.3612.7313.1113.5113.91Dividends 9.09 9.369.649.9310.2310.53Book value92.00103.00106.09109.27112.55115.93RE (10% charge)11.162.432.502.582.66RE growth rate 3%3% 3%= $133.71 million. 10. 103.