英國某大學(xué)財(cái)務(wù)分析課程

FinancialStatementAnalysisandValuation

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Lecturesandtutorials

-Lecturesprovideaframeworkfororganisingideas.

-Additionalreadingnecessary!

-Ryanaircase:goodpreparationforthecoursework

-Exercises:Foryourownwork

-Tutorials:goodpreparationfortheexam

-Coursework

Nikola.

Thursday,13-14.00

Friday,11.30-12.30

1B14第一頁，共二十五頁。Week12

AFrameworkforFundamentalAnalysis

BusinessAnalysis第二頁，共二十五頁。BusinessactivitiesandcapitalmarketsOperatingactivitiesFinancingactivitiesInvestingactivitiesThefirm:ThevaluegeneratorTheInvestors:TheclaimantsonvalueDebtholdersShareholdersSecondaryDebtholdersSecondaryShareholdersCashfromloansCashfromshareissuesDividendsandcashfromsharerepurchasesInterestandloanpaymentsCashfromsaleofdebtCashfromsaleofsharesTheCapitalMarket:TradingvalueSource:Penman,p.8第三頁，共二十五頁。Whatarewedoing?Financialanalystsare:informationintermediaries;theydigestinformationandprovidesummaryinformationtothepublic/lesssophisticatedinvestors.especiallyimportantwherecapitalmarketsarewelldeveloped.Theyaredoing:Fundamentalanalysis:contextualanalysisofallpubliclyavailableinformationinordertovaluethecompany.Technicalanalysis:spottingsharepricetime-seriespatternsinordertopredictmovementofprices.第四頁，共二十五頁。Whatarewedoing?Partoffundamentalanalysis:Financialstatementanalysisandvaluationofsharessoastogivewellinformedinvestmentadvicetoanequityinvestor.Similartowhatsell-sideequitywithinbrokeragehousesaredoing(asopposedtobuy-sideanalystsaffiliatedwithinstitutionalinvestors)Finalproduct:equityresearchreportNoteofcautioninregardoffinancialstatementanalysis:Financialstatementanalysiscanbedoneforvariouspurposes:creditanalysis,competitivebenchmarking,analysisofmergersandacquisitions,etc.DifferentpurposesrequiredifferentapproachtoanalysisFocusofthiscourse:analysisoffinancialperformanceandfinancialpositioninordertoforecastfuturepayoffstoequityholders第五頁，共二十五頁。Whyarewedoingit?Socialwelfare:Theactivityofanalystsmakemarketsefficient.Therefore,contributiontoefficientallocationofresources.Personalgains:Ifmarketsarenotefficient,theproperanalysishelpsinidentifyingmispricedcompanies.1980’s:marketefficiencyparadigmwidelyaccepted→passiveinvestmentEvidenceofmarketinefficiency→activeinvestmentandarenewedinterestinfundamentalanalysis(WarrenBuffet)Fundamentalanalysis:anchoringonreliableinformation(accounting)ratherthanrumoursandspeculations;long-termperspectiveasopposedtoshort-termgain第六頁，共二十五頁。Dot-combubble:DellillustrationLate1990’s:unlimitedfaithinprospectofnewtechnologyandinternetfirms;bubbleburstin2001Forthey/e2000Dellhadreportedearningsof$1.7billiononsalesof$25.3billion.TheMVofDell’ssharesatthetimewas$146.4billion3*theMVofGMCandFordMotorCompanycombined(P/E8.5/5.0respectively)Dell’ssharestradedataP/Eof87.9!DespitehealthytradingandforecastedgrowthDell’sstockappearedover-valued.In2000thepersharestockpricefellfrom$58inearly2000to$29in2003.Thepricehadonlyrecoveredto$40in2005.第七頁，共二十五頁。Dot-combubble:Whatweretheanalystsdoing?Theywereridingthewave:involvedinshort-termspeculationofthemarketmoodratherthanprovidingmoresoberpicturetotheirclientsbasedonfundamentalsofthecompanies.AnalysisbasedoninternetclicksthatdonotgenerateanyincomeConflictofinterest:Manybrokeragehousesaffiliatedwithinvestmentbanks:thebetterpictureofbusiness,morelucrativebusinessiscreatedforthebanks(SEO’s,mergers,etc.)第八頁，共二十五頁。Dot-combubble:TheroleoffinancialstatementsTheroleofF/Sisto“anchortheinvestorontherisingtideofspeculation”withhardinformationEarningsdidmatter!LossesreportedbyneweconomyfirmsduringthebubbleturnedouttobeagoodpredictoroffailureSurvivingfirmsreportedearningsturnedouttobeabetterindicatoroffutureperformanceMostoftheintangibleassetsdisappearedThemuch-criticisedSoFP(B/S)alsoprovidedgoodforecasts.Theratioofdebtassumedtopursueintangibleswaslargerelativetotangibleassetsandthatratiopredictsimpendingfailure第九頁，共二十五頁。ProcessoffundamentalanalysisBusinessanalysisTradingonthevaluationAccountinganalysisFinancialanalysisForecastingValuationUnderstandingthePast第十頁，共二十五頁。ProcessoffundamentalanalysisBusinessanalysisEconomicfactorsIndustrystructureCompetitivestrategyCorporatestrategyAccountinganalysisEvaluationoftheextenttowhichafirm’saccountingcapturestheunderlyingbusinessrealityUnderstandingaccountingdistortionsFinancialanalysisAnalysisoffinancialperformanceandfinancialpositionusingratioandcashflowanalysis第十一頁，共二十五頁。ProcessoffundamentalanalysisForecastingthefutureForecastingofpayoffsthroughforecastsofbalancesheet,incomestatementandcashflowsValuationConvertingforecastintheestimatesofequityvaluebyusingsomeoftheavailablevaluationmodelsTradingonthevaluationInvestmentrecommendation:hold,buyorsell第十二頁，共二十五頁。ProcessoffundamentalanalysisFinancialStatementsYear1CurrentfinancialstatementsOtherinformationValuationofequityFinancialStatementsYear2FinancialStatementsYear3ForecastsConvertforecaststovaluation第十三頁，共二十五頁。ValuationValue=PresentvalueoffuturepayoffsDepositaccount,Loan,Bond=PVoffutureinterestreceivable+principalInvestmentproject=PVoffuturenetcashflowsfromtheprojectCalloption=PVoffutureexpecteddifferencebetweensharepriceandstrikepriceHouse=PVoffuturerentsEquity=PVoffuturepayoffstoshareholdersValueofthefirm=Valueofdebt+ValueofequityNote:Valuation≠AssetpricingValuationisaboutcurrentvalueofvariousclassesofassetsAssetpricingisaboutdeterminingreturnstovariousclassesofassets第十四頁，共二十五頁。Whatgeneratesvaluetoshareholders?Valueofthefirm=Valueofdebt+ValueofequityValueoftheoperationsandinvestment=Valueofdebt+ValueofequityMiller-Modigliani:CapitalstructureirrelevanceDividendpayoutirrelevanceInperfectandefficientcapitalmarkets,thevalueisgeneratedonlyinoperatingactivities.第十五頁，共二十五頁。BusinessanalysisEconomicenvironmentIndustryFirm第十六頁，共二十五頁。EconomicfactorsGDPforecastsMaximumrateatwhichbusinesscangrowinthelongrunInterestratesEffectoncostsofborrowingEffectofCHANGESininterestratesconsumptionvssavingdecision:lowerinterestrates,moreconsumption,highersalesInflationAffectsallocationofcapital(capitalescapestocountrieswithlowerinflationorinvestmentincommoditiesorrealassets)第十七頁，共二十五頁。EconomicfactorsForeignexchangeratesImportantforcompaniesexposedtoforeignmarkets(input,outputorinvestment)OilandothercommoditypricesKeyinputstomanybusinessesLookforthecompany’shedging,riskmanagementpoliciesanduseofderivativesBusinesscycleSensitivityofprofitabilitytobusinesscyclevariesacrossindustries第十八頁，共二十五頁。Sensitivityofsectorprofitabilitytokeymacroeconomicfactors第十九頁，共二十五頁。IndustryanalysisUnderstandindustryoperationssupply,production,distributionandmarketingprocesses,technology,natureoftheproductEffectofindustrystructureontheprofitabilityPorter’sfiveforcesanalysisIntensityofcompetitiondeterminesthepotentialforcreatingabnormalprofitsWhetherabnormalprofitsarekeptbytheindustryisdeterminedbytherelativebargainingpowerofthefirmsintheindustryandtheircustomersandsuppliers第二十頁，共二十五頁。Porter’s5forcesanalysisIndustryprofitabilityBargainingpowerofbuyersThreatofsubstituteproductsThreatofnewentrantsRivalryamongexistingfirmsBargainingpowerofsuppliersDegreeofactualandpotentialcompetitionBargainingpowerininputandoutputmarkets第二十一頁，共二十五頁。CompetitivestrategyCostleadershipFocusonmakinginternalprocessesmoreefficientOrganisationalfocusoncostcontrolCompetitiononpriceDifferentiationFocusonqualityanduniquenessInvestmentinR&D,engineeringandmarketing;OrganisationfosterscreativityandinnovationPremiumchargedfor