FinancialStatementAnalysisandSecurityValuation財務(wù)報表分析與安全評估

FinancialStatementAnalysis

andSecurityValuation

StephenH.PenmanPreparedbyPeterD.EastonandGregoryA.SommersFisherCollegeofBusinessTheOhioStateUniversityWithcontributionsbyStephenH.Penman–ColumbiaUniversityLuisPalencia–UniversityofNavarra,IESEBusinessSchoolIntroductiontoInvesting

andValuationChapter1TheAimoftheCourseTodevelopandapplytechnologiesforvaluingfirmsandforplanningtogeneratevaluewithinthefirmusingfinancialstatementanalysisFeaturesoftheapproach:Adisciplinedapproachtovaluation:minimizesadhockeryBuildsfromfirstprinciplesMarriesfundamentalanalysisandfinancialstatementanalysisStressesthedevelopmentoftechnologiesthatcanbeusedinpractice:howcantheanalystgainanedge?Comparesdifferenttechnologiesonacost/benefitcriterionAdoptsactivistpointofviewtoinvesting:themarketmaybeinefficientIntegratesfinancialstatementanalysiswithcorporatefinanceExploitsaccountingasasystemformeasuringvalueaddedDiscoversgood(andbad)accountingfromavaluationperspectiveWhatWillYouLearn

FromtheCourseHowintrinsicvaluesarecalculatedHowbusinessplansareevaluatedWhatdeterminesafirm’svalueTheroleoffinancialstatementsindeterminingfirms’valuesHowtopullapartthefinancialstatementstogetattherelevantinformationHowratioanalysisaidsinvaluationTherelevanceofcashflowandaccrualaccountinginformationHowtocalculatewhattheP/EratioshouldbeHowtocalculatewhattheprice-to-bookratioshouldbeHowtodobusinessforecastingUsersofFirms’FinancialInformation(DemandSide)EquityInvestorsInvestmentanalysisManagementperformanceevaluationDebtInvestorsProbabilityofdefaultDeterminationoflendingratesCovenantviolationsManagementStrategicplanningInvestmentinoperationsEvaluationofsubordinatesEmployeesSecurityandremunerationInvestorsandmanagementaretheprimaryusersoffinancialstatementsLitigantsDisputesovervalueinthefirmCustomersSecurityofsupplyGovernmentsPolicymakingRegulationTaxationGovernmentcontractingCompetitors

InvestmentStylesIntuitiveinvestingRelyonintuitionandhunches:noanalysisPassiveinvestingAcceptmarketpriceasvalue:noanalysisScreeningUseafewpiecesofinformationandnoforecasting:minimalanalysisFundamentalinvestingDiscoverthevalueinaninvestmentthroughanticipationsofpayoffsAnalyzeinformationForecastpayoffsfrominformationChapter1Page3CostsofEachApproachDangerinintuitiveapproach:Selfdeception;ignoresabilitytocheckintuitionDangerinpassiveapproach:Priceiswhatyoupay,valueiswhatyougetDangerinscreeningIgnoresinformationaboutthefutureFundamentalanalysisRequireswork!Prudencerequiresanalysis:adefenseagainstpayingthewrongprice(orsellingatthewrongprice)TheDefensiveInvestorActivismrequiresanalysis:anopportunitytofindmispricedinvestmentsTheEnterprisingInvestorChapter1Pages4-5QuestionsthatFundamentalInvestorsAskDellComputertradedat76timesearnings(in1998).Historically,P/Eratioshaveaveragedabout12.IsDell’sP/Eratiotoohigh?WhatgrowthinearningsisrequiredtojustifyaP/Eof76?Yahoo!hadamarketcapitalizationof$92billion(in1999).Whatfuturesalesandprofitsdoesthisimply?Coca-Colahadaprice-to-bookratioof17(in1999).Whyisitsmarketvaluesomuchmorethanitsbookvalue?Howarebusinessplansandstrategiestranslatedintoavaluation?TheFirm,ItsClaimants,

andtheCapitalMarketChapter1Page7Figure1.1Valueofthefirm=ValueofAssets=ValueofDebt+ValueofEquityTypicallyvaluationofdebtisarelativelyeasytaskValue-BasedManagementTeststrategicideastoseeiftheygeneratevalueDevelopstrategicideasandplansForecastpayoffs:proformaanalysisUseproformaanalysistodiscovervaluecreationApplications:CorporatestrategyMergers&acquisitionsBuyouts&spinoffsRestructurings CapitalbudgetingManageimplementedstrategiesbyexaminingdecisionsintermsofthevalueaddedRewardmanagersbasedonvalueaddedChapter1Page9InvestingWithinaBusiness:

InsideInvestorsChapter1Page10BusinessIdeas(Strategy)InvestmentFunds:ValueInApplyIdeaswithFundsValueGenerated:ValueOutTheProcessofFundamentalAnalysisAvaluationmodelguidestheprocessForecastingisattheheartoftheprocessandavaluationmodelspecifieswhatistobeforecasted(Step3)andhowaforecastisconvertedtoavaluation(Step4).Whatistobeforecasted(Step3)dictatestheinformationanalysis(Step2)Step1-KnowingtheBusinessTheProductsTheKnowledgeBaseTheCompetitionTheRegulatoryConstraintsStep2-AnalyzingInformationInFinancialStatementsOutsideofFinancialStatementsStep3-ForecastingPayoffsMeasuringValueAddedForecastingValueAddedStep4-ConvertForecaststoaValuationStep5-TradingontheValuationOutsideInvestorCompareValuewithPricetoBUY,SELL,orHOLDInsideInvestorCompareValuewithCosttoACCEPTorREJECTStrategyStrategyChapter1Page11Figure1.2TheArchitectureofFundamentalAnalysis:TheValuationModelRoleofavaluationmodel:Directswhatistobeforecasted(Step3)Directshowtoconvertaforecasttoavaluation(Step4)Pointstoinformationforforecasting(Step2)A(Too)SimpleValuationModel:ConvertingaForecasttoaValuationValueofa$100savingsaccountbearing5%interest: Value=$5.00/0.05=$100.00(Itworks!)ValueofDellwithforecastedearningsof$1.43pershareand12%requiredreturn Value=$1.43/0.12=$11.92pershareIsthisthecorrectmodel?Shouldearningsorsomethingelsebeforecasted?ReverseEngineering:Converting

aPricetoaForecastSo, Forecastedearningsfrommarketprice =PricexRequiredReturn =$66x0.12=$7.92pershareAreweusingasoundmodel?Oristhemarketpriceincorrect?Delltradesat$66pershare.Whatforecastofearningsisimplied?CourseMaterialsTextBook:“FinancialStatementAnalysisandSecurityValuation〞byStephenPenman)Website://mhhe/penmanOtherUsefulReferenceMaterialsAgoodintroductionis:Copeland,Koller,Murrin,“Valuation:MeasuringandManagingtheValueofCompanies〞,Wiley,2000,3rdEdition.Otherbooksonfinancialstatementanalysis:Stickney,“FinancialReportingandStatementAnalysis:AStrategicPerspective〞,DrydenPress,4thEdition,1999.White,Sondhi&Fried,“TheAnalysisandUseofFinancialStatements〞,Wiley,2ndEdition,1998.Palepu,Bernard&Healy,“BusinessAnalysisandValuation:UsingFinancialStatements:TextandCases〞,ITP(IntrepidTravellerPublications),2ndEdition,1999.AtextonUSGAAP:Keiso&Weygandt,“IntermediateAccounting〞,Wiley,9thEdition,1998.Acorporatefinancetext:Brealey,“PrinciplesofCorporateFinance〞,McGraw-Hill,6thEdition,1999.LayoutofBookChapters3-6:DevelopingandunderstandingtheresidualincomevaluationformulaChapters7-10:Re-formattingthefinancialstatementinformationtohighlighttheimportantattributesChapter11-12:Cuttingtothecoreoperationsofthebusiness:determiningthesourcesofvalueaddedChapters13-16:ForecastingresidualincomeandvaluationChapters17-19:ThereliabilityandthequalityofaccountingdataChapters20-21:TheanalysisofriskandthevaluationofdebtCURRENTANDPASTFINANCIALSTATEMENTS(analysisofinformation,trends,comparisons,etc.)FORECASTINGFORECASTSOFCASHFLOWSDISCOUNTEDCASHFLOWSVALUEOFTHEFIRM/DIVISIONDISCOUNTEDRESIDUALEARNINGSFORECASTSOFEARNINGS(andBookValues)AFrameworkforValuationBasedonFinancialStatementDataSneakPreviewDividendCapitalization:Accounting:anditisobvious(!!)that:ResidualIncomeModel:ForecastPeriodBeyondtheHorizon04YearsSource:PenmanandSougiannis“AComparisonofDividend,CashFlowandEarningsApproachestoEquityValuation〞.ContemporaryAccountingResearch,1998:343-382.ValuationError(%)UsedtoestimateimplicitpriceForecastsavailablefornext4YearsForecastPeriodBeyondtheHorizon4YearsSource:PenmanandSougiannis“AComparisonofDividend,CashFlowandEarningsApproachestoEquityValuation〞.ContemporaryAccountingResearch,1998:343-382.ValuationError(%)0ForecastPeriodBeyondtheHorizon04YearsSource:PenmanandSougiannis“AComparisonofDividend,CashFlowandEarningsApproachestoEquityValuation〞.ContemporaryAccountingResearch,1998:343-382.ValuationError(%)GrowthbeyondYear4ForecastPeriodBeyondtheHorizon04YearsSource:PenmanandSougiannis“AComparisonofDividend,CashFlowandEarningsApproachestoEquityValuation〞.ContemporaryAccountingResearch,1998: