兹维博迪金融学第二版课件Chapter.ppt

Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,1,Chapter 7:市场估值原理,ObjectiveExplain the principles ofasset evaluation,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,2,Chapter 7 Contents,7.1 资产价值和价格的关系7.2 价值最大化和金融决策7.3 一价定律与套利7.4 套利与金融资产价格7.5 利率与一价定律,7.6 汇率与三角套利7.7 用参照物估值7.8 估值模型7.9 价值的会计度量7.10 信息如何反映在证券价格之中？7.11 有效市场假说,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,3,Introduction,Recall that the three pillars of finance are货币的时间价值风险管理资产估值许多金融决策本质上是一项资产价值的决定,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,4,Introduction(Continued),资产估值的关键是将待赋值的资产与具有类似特征和已知价值的一组资产的比较根据“一价定律”（law of one price），所有等同（equivalent）资产的价格必须相同,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,5,7.1 Relationship between Assets Value and Its Price,Definition:一项资产的“基本价值”是自由、竞争市场上，消息灵通的投资者购买它必须支付的价格,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,6,Relationship between Asset Value and Price,对一项资产来说，可能存在市场价格与基本价值之间暂时的差异证券分析师以发现这些偏差为生许多消息灵通的职业人士寻找这些偏差。一个合理的初始假设是偏差较小,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,7,7.2 Value Maximization and Financial Decisions,金融决策可以纯粹基于价值最大化理性地做出，不管风险偏好和预期如何金融资产市场提供了在一些选项之间进行选择所需要的信息,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,8,7.3 The Law of One Price and Arbitrage,Law of One Price:在一个竞争性市场，若两项资产等同，则其价格倾向于相同,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,9,The Law of One Price and Arbitrage,“一价定律”由所谓“套利”过程强制实施套利是指购买一组资产并立即出售，以从价差中赚取无风险利润。【更精确地讲，套利指不使用自有资金便可无风险地赚钱。】,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,10,The Law of One Price and Arbitrage,套利者从事具有价差的类似资产的贸易，该价差不能由交易和转换成本完全解释Example:一国内任意两地的黄金价格不应当相差超过运输该黄金的交易成本【杨百万在证券市场兴起初期在上海、安徽两地之间进行“国库券”套利】,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,11,7.4 Arbitrage and the Prices of Financial Assets,实物商品（黄金）套利意味着比金融资产（股票）套利更高的交易成本我们预期两个市场上相同金融品交易的价格非常接近,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,12,Arbitrage and the Prices of Financial Assets,一价定律是金融中最基础的估值原则若两项非常相似的证券以显著不同的价格交易，我们首先怀疑正常市场运作受到干涉存在一些未意识到的二者的差异,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,13,Arbitrage and the Prices of Financial Assets,没有两项（不同一）资产是完全一样的，并且可能有很多时候两项几乎完全相同的资产以不同价格交易Dollar bills with certain serial numbers are very valuable to players of liars pokerNot even a dollar is always worth a dollar!【投币公交车】,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,14,7.5 Interest Rates and the Law of One Price,若可信度类似的组织发行条款类似的债券，则其利率也将类似需要小心保证如下方面没有微妙的差别：债券的税收等级抵押品价值或支持债券的资产价值,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,15,7.6 Exchange Rates and Triangular Arbitrage,The law of one price also applies to foreign exchange markets如果三种货币在竞争性市场上可自由兑换，则知道任意两种汇率就足以计算出第三种汇率,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,16,Triangular Arbitrage,USA,Japan,UK,100/$or$0.01/,0.005/or 200/,$2/or 0.5/$,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,17,Triangular Arbitrage,每个国家有自己的表达汇率的习惯 英国的交易者将汇率表达为“外国货币/英镑”美国的交易者将汇率表达为“美元/每单位外国货币”在$/汇率情形中，两个国家的交易者使用相同的汇率表达，即 2$/,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,18,Triangular Arbitrage,If we select the form of the rate correctly,we obtain the relationshipR/=R/$*R$/在设定的条件下【自由兑换、竞争性市场】，这个均衡关系必须成立(or a risk-free,almost cost-less,arbitrage will immediately reestablish the equilibrium),Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,19,Triangular Arbitrage,More generallyRA/C=RA/B*RB/CRA/B=1/RB/A,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,20,Triangular Arbitrage,More specifically,in the exampleR/=R/$*R$/=0.5*0.01=0.005R/=1/R/=1/0.005=200The other two pair follow the same form,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,21,Triangular Arbitrage,如果直接汇率与间接汇率相等的关系明显不成立，则交易者通过立即沿着图示货币圈顺时针或逆时针兑换货币就可获得利润 货币交易者可以接近政府利率的利率借入大量资金汇率偏差只存在于转瞬间,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,22,7.7 Valuation Using Comparables,Some assets are not traded,or are only traded infrequently,but we still need to evaluate themThe law of one price may be used to evaluate assets,even when arbitrage can not be used to enforce the law,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,23,Valuation Using Comparables,Two casesa work of art in an estate that needs to be evaluated for computation of estate taxesa home that needs to be evaluated to ensure the fairness of property taxes,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,24,Valuation Using Comparables,为了估值无交易资产，可以找到某交易资产的可比价格在一个“特征-时间”框架中思考资产价格是有用的相似资产的价格倾向于随时间一起升降在一特定时点，资产价格的差异很大程度上可以其某些特征的差异来解释,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,25,Valuation Using Comparables,To evaluate a work of art,it is necessary to find assets that are“close”in feature-time spaceThe closer the features match,the longer the data collection period may beThe closer to the present time an asset was sold,the more diverse the features may beBoth kinds of“closeness”are needed,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,26,Past,Feature Differential,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,27,Valuation Using Comparables,In the above diagram,the black stars indicate usable price exemplars,and the pink stars indicate poor exemplarsThe variable“feature”is a aggregate of many factors,some objective,some subjective,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,28,Valuation Using Comparables,ExampleCollect prices and feature differentials forart by the same artist:10-years art of the same quality:5-yearsart from the same school:5-yearsbroadly similar art:2-years,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,29,Valuation Using Comparables,From this information you candetermine price trends in the general art marketobtain trend-adjusted benchmark pricesgain an understanding of how to adjust the benchmark for feature differences,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,30,7.8 Valuation Models,一个估值模型是一种数量方法，用来从其他资产（并非待估值资产的完全等同物）的已知价格估计待估值资产的价值所用估值模型可能依赖于估值的目的traditional shareholder v.take-over specialist,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,31,Stock Evaluation using P/Es,The price-over-earnings ratios of similar companies are determinedBased on these,an estimate is made of the p/e ratio of the non-priced firmThe earnings of the firm are multiplied by this p/e ratio to obtain an evaluation,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,32,Stock Evaluation using P/Es,The accuracy of this method depends on the appropriateness of the exemplar firmsFuture profitability,accounting methods,leverage,technology,and a host of other factors,will affect the exemplars p/e ratios,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,33,Valuation Model Refinement,You are a security analyst for an asset You have developed a valuation model you believe is superior to valuation models used by other traders 假定高级模型属私人专利，it may be difficult to exploit it,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,34,Valuation Model Refinement,When a market is driven by a valuation model,using a superior model may lead to inferior trading performance用“高级”模型创造的套利策略的效果，有时要差于那些用标准模型创造的策略用高级私人专利模型，对什么时候用你需要很讲究,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,35,P/E Ratio and Small Businesses,You already have enough theoretical knowledge to price a small business correctly using NPVTraditionally,small businesses were priced using P/Es(sub-optimal model)This leads to price aberrations from which you can still benefit(use NPV),Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,36,7.9 Accounting Measures of Value,股东权益不是企业市值的准确表示资产和负债不是以市值计价使资产负债表“盯市”是解决办法之一无形资产没有完整记录在账本里 企业是一个持续经营的过程，而不只是一些实物资产和负债,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,37,7.10 How Information is reflected in Security Prices,Sometimes a stock price will rise sharply with the release of informationAn important drug has achieved an important step on its road to being marketedPoor trading results are announced,but they are better than those anticipated by tradersAn unanticipated positive Fed announcement【美联储声明】,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,38,How Information is reflected in Security Prices,Market traders form probability distributions of key stock-price determinants(Example,sales revenue)When these distributions change to assimilate new information,the stock market reacts,and the price changesThis leads to the efficient market hypothesis,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,39,7.11 Efficient Market Hypothesis,“有效市场假说”一项资产当前的价格反映了这样的信息：a.全部公开可得；b.关于未来影响市价的经济因素,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,40,Efficient Market Hypothesis,The mechanism leading to the efficient markets hypothesis Collection of relevant informationAnalysis of this information to obtain a price【EtPt+1】Trading on this analysis until the price aberration is eliminated【Dt(EtPt+1-Pt)=0】,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,41,Collection of Relevant Information,Collect information or“facts”about a company,and the factors that may affect itSEC filings,annual reports,clipping services,conferences with CEO/CFO,industry analyses,patent filings,rumors,discussions with competitors and customers,informal market surveys,advertising campaigns,recruitment activity,technological surveys,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,42,Analysis of this Information,At one time,analysts were content to form just a point estimate of the priceToday,analysts try to incorporate probability into their pricing,by working with ranges,for instanceThe more accurate the information,the smaller the price dispersion（离差）-less risk,Copyright 2009 Pearson Education,Inc.Publishing as Prentice Hall,43,Trading on this Analysis,Based on her estimates,the analyst may recommend a tradeThe magnitude of resulting trades depend on her past successes and her current statusBarriers to entry are low,and successful analysts are well rewarded&gain influenceResult:Knowledgeable individuals keep the market efficient,