投資回報率與財務報表(英文版)

1、investment returns, equity value, and financial statementspart iunderstanding investment returns and how analysts styles are determined by their approach to forecasting returnschapter 3understanding valuation models that value forecasted returnschapter 4understanding how earnings are related to retu

2、rns and how valuations based on forecasted earnings work (or dont work)chapter 5understanding how forecasts of income statements and balance sheets produce a valuationchapter 6with this understanding proceed to analysis of information (part ii) forecasting and valuation (part iii)gaining the underst

3、anding to do fundamental analysischapter 3investment returnsinvestment returnschapter 1 established that forecasting returns is at the heart of fundamental analysislink to previous chapterthis chapter explains what returns are, distinguishes normal and abnormal returns, and explains how analysts spe

4、cialize in forecasting normal and abnormal returnsthis chapterchapter 4 will show how valuation models are constructed to measure the value of forecasted returnslink to next chapterlink to web pagehow are returns calculated?what is a normal return and an abnormal return?how might an analyst gain an

5、advantage in forecasting normal or abnormal returns?what has been the historical experience in equity investing?what you will learn in this chapterhow investment returns are calculatedthe difference between normal and abnormal returnswhat an efficient market price meanswhat an arbitrage opportunity

6、isthe difference between active and passive investmentthe difference between an alpha and a betahow asset pricing models work (in outline)how screening strategies work (and dont work)what a contrarian strategy ishow fundamental analysis differs from screening and contrarian analysishow various stock

7、 selection strategies have worked in the pastfor a terminal investment:for an investment in equity:for a one-year equity investment4payoff:4return:4rate-of-return:4expected return:4expected rate-of-return:4required payoff per dollar:4required rate-of-return:the required return is also called the nor

8、mal return or the cost of capitalthe structure of investment returnsd1d2d3dt-1123t-10tp0 investment horizon: when stock is soldpt+dtdividend at tselling price (if sold at t) + dividends initial price0011ppdp011pdp011pdp0011ppdpcf1cf2cf3cft-1123t-10ti0 investment horizon: t terminal cash flowcash flo

9、wsinitial investmentcft11dp 1hewlett-packard: returns for 1991_ hewlett-packard company: returns for 1991 required return is 12% price at end of 1991$50.375 1991 dividend .480 1991 payoff50.855 price at end of 1990 26.000 1991 return24.855 rate of return =$24.855/26.0 =95.6% normal return: $26 x .12

10、 3.120 abnormal return21.735 abnormal rate of return =21.735/26.00 =83.6% rate of return =95.6% normal return12.0 abnormal rate of return =83.6% _if the price paid for a stock is (expected payoff discounted at the required payoff per dollar, , the stock is appropriately priced: the market price is e

11、fficientor, price is efficient if it equals the expected return capitalized at the required rate-of-return:or, todays price (p0) must be such that the required rate-of-return, -1, will equal the (expected) rate-of-return :the no arbitrage condition (na)requiredrate-of-returnexpectedrate-of-return1pd

12、pp01100011ppdp1110dpparbitrage trading strategiesif na holds, the market is efficient in that stock: there is no arbitrage opportunityany discrepancy between expected and required rate-of-return, is an arbitrage opportunity that, if exploited, will profit the arbitrage traderan arbitrage opportunity

13、 arises ifif then buyif sellthe difference is called the expected abnormal return and the rule can be restated as: buy if the expected abnormal return is positive, and sell if negative. if it is zero, do nothing (hold)1ppdp00111ppdp00111ppdp0011types of arbitragerisk1. pure (risk-free) arbitrageyou

14、get something for nothing, for sure2. expectational arbitrageyou have a better chance of an abnormal return than notlocation of prices1. cross-sectional arbitrage different prices for the same commodity at the same point in time2. intertemporal arbitrage different prices for the same commodity at di

15、fferent points in timethese concepts apply to an investment for more than one period with two modifications:4the multiperiod rate-of-return will be the compounded annual rate. for a t-year period and a flat term structure, the required payoff is: for a changing term structure it would be 4dividends

16、for the intermediate years can be reinvested at . the accumulated value at year t of reinvested dividends is called terminal value of dividends at t4adding the selling price will give the cum dividend payoff or cum-dividend terminal price:4and the t-period cum dividend return will bemultiyear equity

17、 investmentst1ttttdt1tttttdp0t1tttttpdpt321thewlett-packard 1990-95: payoffs199419951993199219911990d4=0.55p5=84d3=0.45d2=0.36d1=0.24d5=0.90p0=13terminal value of dividends 012345d1d2d3d4d5 d2 x -2 d3 x -3 d4 x -4 d5 x -5 d1-1 d2-2 d3-3 d4-4 d5-5(year 0 value)(year 5 value) dt5tt15 dttt1512345d1d2d3

18、d4d5 d4 x 3 d x 2 d2x 3 d1 x 4 d5 d41 d32 d23 d14(year 5 value)(year 0 value)0 ( ) -5 dt5tt15 dt5tt15 dttt15 ( ) 5 dttt15hp 1990-95: terminal dividend payoff199019911992199319941995d92=0.36 (1995 value)(1990 value)d91=0.24d93=0.45d94=0.55d95=0.700.24 x 1.1240.55 x 1.120.45x 1.1220.36 x 1.1230.700.62

19、0.560.510.382.76 = 2.76x 1.12-5= 1.57 dt5tt15 dttt15199019911992199319941995(1990 value)(1995 value)d92=0.36d91=0.24d93=0.45d94=0.55d95=0.700.210.290.320.350.400.70 x 1.12-50.55 x 1.12-40.45 x 1.12-30.36 x 1.12-2= 1.571.57x 1.1252.76 = dt5tt15 dttt15hp 1990-95: five-year returnterminal value of divi

20、dends in 19952.76price payoff in 1995 (pt) 84.00total payoff 86.76purchase price in 1990 (p0) 13.00five-year return 73.76five-year-rate-of-return 567.38%*normal rate of return (12% p.a.) 76.23%abnormal rate of return 491.15%* normal rate of return = (1.125 - 1) = 76.23 %the na condition for a multiy

21、ear investment is nowor ormultiyear equity investment: naexpected rate-of-returnrequired rate-of-returntt0dividends expected of tvpp1p - dividends expected of tvppt0t000ttpp- dividends expected of tvp1dividends and capital gainst-period return components:for one period:t1tttt0tdppcapital gain compon

22、entdividend component101dppcapital gain componentdividend componentintrinsic valuesintrinsic value is calculated by forecasting payoffs from the information about them and applying the discount ratetwo ways to calculate intrinsic values (v0):1. present value of the expected payoffv0 = expected payof

23、f / t2. capitalized expected returnsv0 = expected returns / (t -1)always two ingredients: expected payoffs and discount ratesintrinsic values at different points in time always obey the no arbitrage condition (na): =vtv of expetcted dividendstv0beta technologies:4calculates the normal return4ignores

24、 any arbitrage opportunitiesthis is the denominator issue in valuationalpha technologies:4tries to gain abnormal returns by exploiting arbitrage opportunitiesthis involves the numerator issue in valuationpassive investment needs a beta technology (except for index investing)active investing needs a

25、beta and an alpha technologyinvestment advising: alphas and betasbeta technologies:“asset pricing models”required return = risk-free return + premium for riskpremium for risk = risk premium on risk factors x sensitivity to risk factors some technologies:4the capital asset pricing model (capm)one sin

26、gle risk factor: excess market return over rfonly “beta” risk requires a premium.4multifactor pricing modelsidentify risk factors and sensitivities to them:ifactorrisktoysensitiviti factor risk to turnrerrrrrrrrreturn normaliifkkf22f11fbbbb,kfmfrrrreturn = normalbanticipates that a stock may be misp

27、ricedscenario a: todays price deviates from its intrinsic value , but this will be corrected in the future ( ). scenario b: todays price is correct , but in the future it will deviate from its intrinsic value ( ).to discover these opportunities, a technology for calculating intrinsic values is neede

28、dactive strategies: alpha technologiesvp00vp00vptctcvptctcv0p0ptc = vtc1234t0normal return,ptc - v0abnormal return,v0 - p0actual return,ptc - p0timecum-dividendvaluevtcp0 = v0ptc1234t0abnormal return,ptc - vtcnormal return,vtc - v0actual return,ptc - p0timecum-dividendvaluea cheap analysis: screenin

29、gtechnical screens: identify positions based on trading indicators. some of them:4price screens4small stock screens4neglected stocks screens4seasonal screens4momentum screens4insider trading screensfundamental screens: identify positions based on fundamental indicators of the firms operations relati

30、ve to price4price/earnings (p/e) ratios4market/book value (p/b) ratios4price/cash flow (p/c) ratios4price/dividend (p/d) ratiosany combination of these methods is possiblereturns to passive investments_averagestd. dev. compound annual rates of return by decadeannualof annualreturnreturns1920s*1930s1

31、940s1950s1960s1970s1980s1990s*1926-971926-97_large company stocks19.2%0.1%9.2%19.4%7.8%5.9%17.5%16.6%13.0%20.3%small company stocks4.51.420.716.915.511.515.816.517.733.9long-term corp bonds5.26.92.71.01.76.213.010.26.18.7long-term govt bonds5.04.93.20.11.45.512.610.75.69.2treasury bills3.70.60.41.93

32、.96.38.95.03.83.2change in consumer price index1.12.05.42.22.57.45.13.13.24.5_*based on the period 1926-1929. *based on the period 1990-1997.source: stocks bonds bills and inflation 1998 yearbook, (chicago: ibbotson associates, 1998).technical screening: returns to sizeaverage monthly returns and estimated betas from july 1963 to december 1990 for ten size groupsmeansizemonthlymeangroupreturn (%)beta1 (large)0.890.9320.951.0231.101.0841.071.1651.171.2261.291.2471.251.3381.241.3491.291.3910 (small)1.521.44returns to beta: is beta dead?average monthly returns and estimated betas from july