CFA二级-复习冲刺-权益.docx
(依依)uo+3en-B>PU p>PSUno3SQOZMU-PBBH (虫依)SMuvAUBdljU0。PUeAISnPU-06ZQD(Z) UOAe-e> >OIUo-SsasAPrUS(依依)l>+jdcu3uo3 -EZ MfPBSa ol-PUB oro-< oro-ro> -O ro(T) uo=e-e> >6Uo-Ssas Apn*ls4cWQUSe-Ssnefts- s(依)u04ro-r>AUBdLUoQ ro>-mmcu0U-PBH (依依依)Uo4Jnro> EoULq-BnP-SBH 7m wro (依)sc-d4-n-ro> n-PUB un-三OQBn-3> -uroml-ro -ImMLI-PBaH(依依)uoIen-B>Mo-uB3 i京 MEPe (色匚。=宙-BA >3wIIno一Ss5AprusccouIlo=3n!J-,MfioS3ssa3三dIrasos=aasl三l三s三n总DefinitionOfVaIuationIntrinsicValue1.iquidationValueFairMarketValueInvestmentValue5PsofVaIuationProcessUnderstandingthebusiness(Porter5zStrategies3,GIGO)ForecastingcompanyperformanceSelectingtheappropriatevaluationmodel(DCF,Relative,sumofparts,Conglomeratediscount)ConvertingforecaststoavaluationApplyingthevaluationconclusionsSummaryImportance:Content:ValueValuationprocessExamtips:-本节为概况介绍，不重要，只要掌握基本定义即可。ReturnConceptsModels for require rate of return Weighted average cost of capitalCAPMAPTBuilduprConceptsHPRRequiredreturnDiscountrateIRREquityriskpremium(ERPlDefinitionofequityriskpremium(incremental,consistent)Historicalestimates(index,riskfree,time,meanupwardlybiased,stationary)ioEquityriskpremium(ERP)Forward-lookingestimates(frequentupdate,assumption)GordongrowthmodelERPgR，roMacroeconomicmodelSupplyside,IbbotsonandChenERP=EDY+(l+EINFL)(l+EGREPS)(l+EGPE)-l-E(Rf)EINFLiT-Bond-Tips,EGPE:baseline=OSurveyestimateswidedisparity11elsforRequiredReturnonEquityThecapitalassetpricingmodelBetaforapubliccompanyregressing,BetaDriftAdjustedBeta=(23)(Unadjustedbeta)+(1/3)(1)BetaforthinlytradedstocksornonpubliccompaniesUnleverthebeta:BUmeVered=l(l+(DEpeer)BERelever beta:Bnonpublic二1(D/Enonpublic)BunleveredModelsforRequiredReturnonEquityThemultifactormodels(APT)TheFama-Frenchmodel(FFM)riRfB呐XRMRFB严NMB,HMLThePastor-Stambaughmodel(PSM)r1RfB咐XRMRFB严mBzHMLIQaverage-liquidity=OMacroeconomicmultifactormodelConfidence,Timehorizon,Inflationrisk,Businesscycle,MarkettimingModelsforRequiredReturnonEquityBuild-upmethod(unobtainable,closelyheldcompanies)Build-upmethodforprivatebusinessvaluationriRfEquityriskpremiumSizepremiumSpecific-companypremiur11iUnsystematicrisklesseasilydiversifiedBondyieldplusriskpremiumri=YTMonthecompany'slongtermdebt+riskpremiumwithpubliclytradeddebtModelsforRequiredReturnonEauityInternationalconsiderationsinrequiredExchangeratesCountryspreadmodelEquityriskpremiumforanemergingmarket=Equityriskpremiumforadevelopedmarket+CountrypremiumelsforRequiredReturnonEquityStrengthsandWeaknessesofRequiredReturnApproachesStrengthWeaknessCAPMSimple,easytocomputeSinglefactormodelpotentiallossofexplanatorypowerMulti-factormodelsHigherexplanatorypowercomplexandexpensiveBuild-upmodelssimpleappliedtocloselyheldfirmsusehistoricalvaluesWeightedaveragecostofcapitalWACCMVD“QrMVE”MVD-MVEUaxrae"dMVD-MVEDiscountrateselectioninrelationtocashflowalignthediscountratewiththecashflowsmary-Importance:Content:ERP*ReturnmodelExamtips:-本节主要掌握ERP及Retiim的各种计算方法，注意本节return的计算在之后DDM,Privateconipanyvaluation中均再次出现。2三4MSnBEOU三EIU-Sn!-pjx4=、PBaU-A-Sop-0nu3>J/SDoz>-B'-Ol-Cooo0ucd0u4BJCLJdoPKqAHPSeqAlpedeo0UJrUBXBLU-JJdmUOHOSESroESn-d-ModD:10Pdol>-0OElsEO0-as01-三OSSEinancialmodelingNon-operatingcostNetinterestexpense:netdebttax:Statutory,Effective,CashtaxOtheritemsfuturedividendgrowth:sharesoutstanding,dilutionFinancialmodelingBalancesheetandcashflowstatementmodelingUseofefficiencyratiosInventory:InventoryvalueforecastedannualCOGSinventoryturnoverratioaccountreceivable:Projectedaccountreceivabledayssalesoutstanding×UseofBASEforecastedsales365FinancialmodelingScenarioandsensitivityanalysisSensitivityanalysis:oneassumptionScenarioanalysis:multipleassumptionsOthertopicsPorter'smodelInflationandDeflationpassOnJstructure,Price-volumetrade-offTechnologicalDevelopmentsCannibalizationfactorForecasthorizon=expectedholdingperiodBuildingaModel(Sales-basedProFormaModel)marvImportance:Content:FinancialmodelingExamtips:本节考试较难考核，主要掌握financialmodeling的基本方,.DiscountedDividendValuationPVmodelComparationGGMDDM=HPVGoTwostage-basicMUItiStagemOdelTWc)Stage-HmodelThreestagePVModelsComparisonsDCFModelsComparisonDividenddiscountmodelad:lessvolatile,reinvestedearningsdis:lessdividends,notreflectthecontrolperspectiveApp:consistentdiv,Minority,MaturePVModelsComparisonsFreecashflowmodelFCFF:firmFCFE:equityad:diffdiv,divcapacity,populardis:negativeFCFzlongforecastperiodsApp:Nodividend,ControllingResidualincomemodelad:Wide,opportunitycostdis:accrual,qualityofaccountingApp:Nodividend,negativeFCFDividendDiscountModelDDMprincipalsSingleperiodV。O¼O P(Il-心Multiple periodV0 t-111 rP1 rDividendDiscountModelGordongrowthmodelVDOXCg)DBasicso(rg)-r=impliedgrowthrateg=厂2requiredrateofreturnv=g+PresentvalueofgrowthopportunitiesV0=+PVGOf=l+EY.rElrEljustifiedPEPO二DlEI二(1-b)=y+g)q(-顷+g)r-gEIr-gr-g一Multi-StageDDMBasicsofmulti-stageDDMGrowthstagepatternsGrowth:EPS,fast;FCF<O;ROE>r;l-bjowTransition:EPS,slow;FCF>O;ROEr;l-b,increaseMature:EPSwide;FCF>O;ROE=r;saturationTerminalvaluemultiple/GGMMulti-StageDDMTwo-StageDDMModelsgrowthdropsuddenlyDividendGrowth(g)DO(Ig)"(1g)Stage24yearsvVDO(I&MD(Ig)<1g)4(1r)fUr)Irg)£Iti-StageDDMTwo-StageDDMModelsHmodel:growthdropgraduallyDividendGrowth(g)15%、3%Stage1Stage24yearsDOXIgDo×H×ggkIti-StageDDMThree-StageDDMModelsAddanadditionalgrowthstagetothetwostagemodelGrowth,transition,andmatureSpreadsheetModelingDetermineGrowthRateThesustainablegrowthrate(SGRzg)g=retentionrate×ROEROEROEnet income sales Inet profit . l'm argin J x Isalesassetsasset turnoverXequityPRATmodelg=Profitmargin*Retentionratio*Assetturnover*LeverageImportance:Content:*PVGOHmodelSingle,multistagevaluationExamtips:本节重点掌握二级增加的知识点，并能运用DCF进行估值。0-sFCFFFCFF=NI+NCC+lnt(l-1)-WCInv-FCInvFCFF=CFO+lnt(l-t)-FCInvFCFF=EBIT(1-1)+NCC-WCInv-FCInvFCFF=EBITDA(1t)+(NCCXt)-WCInv-FCInvFCFE=FCFF-lnt(l-t)+NBFCFEFCFE=NI÷NCC-WCInv-FCInv+NBFCFE=CFo-FClnv+NBFCFE=EBIT(1-t)-lnt(l-t)+NCC-WCInv-FCInv+NBFCFE=EBITDA(1-t)-lnt(l-t)+NCC(t)-WCInv-FCInv+NBFCFE=NI-(l-DR)(FCInv+WCInv-Dep)1CalculationNoncashchargesNoncashItemadjustmenttoNIdepreciationaddedbackamortizationandimpairmentofintangiblesaddedbackrestructuringexpensesaddedbackrestructuringcharges(incomefromreversal)subtractedlossesaddedbackgainssubtractedamortizationoflong-termbonddiscountsaddedbackamortizationoflong-termpremiumssubtractedExclusionscash/cashequivalents,notespayablecurrentportionofL.T.debtInclusionsInventory,AccountsReceivable,AccountsPayable,Accrueds=qe=-0uMIBqdzsu04BJtj-PSISSeU-SBMUBIpUeUMlBqo-zo->oSAU山一ump<>O5se三so三uFcinv=CAPEX-ProceedsNodisposalFCInv=CAPEXFcinv=GVi-GVoFCInv=BVi-BVo+DepexpSSo+/U-BMIdXeQ+0>m>>OMSPOJd÷esodqp>D+>ET>9TAUOU-PSodSQSlU(Lulsmpv>-0Mse三so三uCalculationNetborrowingadjustmentsOnlyaffectFCFE,donotaffectFCFFNB=newdebtissuances一debtrepurchasesNB=debtl-debtNotesPayable,CurrentPortionofLTDebt,1.ongTermDebtCalculationFreeCashflowdirectionComputefromNI,CFO2EBIT,EBITDACalculationFreeCashflowdirectionuses-of-free-cash-flowbasisUsesofFCFE=increasesincashbalances+paymentstoprovidersofequitycapitalUsesofFCFF=increasesincashbalances+netpaymenttoprovidersofdebtcapital+paymentstoprovidersofequitycapitalForecastTwoapproachestoforecastFCFCalculatehistoricalFCFForecastcomponentsofFCFSales-basedforecastingmethodFCInvDepWC7VDRDASaesASaIeSDEFCFE1=NI-(l-DR)(FCInv-Dep)-(I-DR)(WCInv)=NI-(l-DR)(FCInv+WCInv-Dep)FCFVaIuationEffectoffinancingdecisionsonFCFFCFFFCFEDividendsNoneSharerepurchaseNoneShareissueNoneNoneNoneNoneChangeinleverageNoneST<effectspartiallyoffset*Sharerepurchase/issueisuseofFCF;notdeterminantFCFVaIuationFCFEandDDMnumeratorisdifferentsameeconomicforcesFCFEtakesacontrolperspectiveDDMtakesaminorityperspectiveAI三b0unlP上nbIBPelUnoUS-PLLlU-3IJ-Hae>Al'5bLUOufPSUnOQS-Pu:Ouu->UJ上LL'POI1M-OM-Mi<QH三、_N)AXojd00dSOI三FCFVaIuationModelAppropriatenessSinglestage:slow,constantMultistages:competitivewilldissapearGrowthpattern,lifecyclematchvalueoftheoperating(excesscash,excessmarketablesecurities,landforinvestmentetc.)SummaryImportance:Content:FCFformulasNCC,WCInv,FCInvadjustmentValuationExamtips:本节非常重要，利用公式计算FCF并能进行估值计算是本节的重点。Market-BasedValuationPricemultiple:PE,PB,PS,PCF,DYEnterprisevaluemultipleOthers:momentumindicators-d三nujQdPls三一u<-5olsdnobc-o-山(JO¾MBl-raEP一SS80jJoPolS-d4-nlu->S三-IuLLl>-a-nlu。-JdSEall=au晶Pricemultiples-PEPEratioEarningsDrawbacksNegativeandverylowVolatile/CyclicalityTransitory,non-recurringgrowth,risk,andcashflowsPricemultiples-PEPEratioEarningsDrawbackssolutionEarningsyieldNormalized(EPS,ROE),MolodovskyUnderlyingearningTrailingvs.LeadingPredictedP/EfromRegressionPricemultiples-PEPredictedP/E=5+(6×dividendpayout)+(10×growth)-(O.5×beta)Sample,time,predictable,change,MulticollinearityPricemultiples-PETypicalvaluationbenchmarksPriceratiooftheclosestmatchedindividualstockAverage/medianratioforpeergroupAverage/medianforsectororindustryValuefromrepresentativeequityindexAveragehistoricalratioforthesecuritypiePEGratioPEGPricemultiples-PBPBratioDrawbacksnointangibleassets,off-B/SassetsinB,undervalued(adjust:off-B/S,+patent-goodwill,restateLIFO)misleadingdifferencesinassetsizePricemultiples-PBPBratioDrawbacksdifferentaccountingconventionsInflationandtechnologicalchangesharerepurchaseandissuancesPricemultiples-PBAppropriateliquidityasset,financialcompanyPricemultiples-PBJustifiedP0.0.BorgR0E-r±argerspread=valuecreation=highermarketvalueComparetoresidualincomemodelROE=rwillhaveaP/Bof1ROE,g,randPBrelationPricemultiples-PSPSratioAppropriatedistressedfirms,mature,cyclical,andzero-incomestocksFormulaFO(E/S)x(11)x(1g)inflationincreasePSdecreasePricemultiples-PCFPCFratioAppropriatedifficulttomanipulateFormulaV0/FCFE0Pricemultiples-DivyieldDividendYieldratioDrawbacksnottotalreturn,tradeoffbetweendivandearningFormulaD"P。产1gEnterpriseValueEnterpriseValueMultiplesRationales:differentfinancialleveragecontrolsfordepEBITDAusuallypositiveEnterpriseValueEnterpriseValueMultiplesDrawbacks:EBITDAignoreschangesinWCinvEnterpriseValue(EV)orFirmValue=MVofcommonstock+MVofdebt+MVpreferred一cashandinvestmentsCrossbordervaluationdifferencesMomentumindicatorsrelativestrengthUnexpectedearnings:UE=EPS-E(EPS)tttstandardizedunexpectedearningsSUEtEPS,E(EPSt)b(EPSt-E(EPS)CentraltendencymeasureArithmeticmean:largeoutliersHarmonicmean:smalloutliers,lowerthanarithmeticWeighted harmonic mean:MediancorrespondstoportfoliovalueSummaryImportance:Content:*PE,PB,PS,PCF,Divyield*EV/EBITDAIndicatorsandmeasuresExamtips:本节主要关注PE,PB的定量定性分析。ResidualIncomeValuationResidualincomedefinitionSinglestagemodelMultistagemodelDefinitionofResidualIncomeResidualincome(RI)Rl=NetInc-(equitycapital×costofequity)Rl=EBIT(l-t)-(totalcapitalXWACC%)EconomicvalueaddedEVA=NOPAT-(WACC%×TotalCapital)R&Dexpenses,deferredtaxes,LIFOreserveMarketvalueaddedMVA=marketvalueoffirm一investedcapitalBasicprincipalRlcalculateRlt=EPSt-(r×BVPSt-I)RIt=(ROEt-T)XBVPSt-IcleansurplusrelationBI=Bo+Nl-DivEquityvaluation%BVPS°(ROE/；VPSUIHSdp三ISnyou-山OHj一IAcdPBW-SnUOA-HU0PUe山OHuMIBqUo4eQe->-Su-匕U-Jool-nA-Pu-LlulOl>-Ss-OQPUB三UBBMieqUu之一。Vsous-三9ntt=siisu,s1三sValuationsusingResidualIncomeSingle-stageResidualIncomeModelFormulaimpliedgrowthraterB°X(ROEr)justifiedP/BVtiRoEgBorgMulti-StageModelApproach1:premiumoverbookvalue嗫=*+£(EPS,-4一)(1+少P-B(1+F)Multi-StageModelApproach2:persistencefactorPV(continuingRIinyearT-1)RI工3=l+g1r-w-=01PV=O;=lzPV=RITrFactorssuggestinghigher:divpayoutratio,historicRlFactorssuggestinglower:ROE,nonrecurring,accrualAlmqBl=OJdu-EOoo0SrDou-WqelePBJdUnJo-4-0>jJeuUIlM-qe-ddx/Mo-O>JoSPUP>pl-5oll-Mzn-<-q-ss33raepMoo<IBUJ4S->O-SUEU-一BU-IUoPIoUBn-BA-BU-EJBlJZU匕S-PolUBLUOOLq-BnP-SBJJoSBSSu>IBMPUeLlIcu0uJIStt三ous-三si=,snMsels-SStrengthandweaknessesofresidualincomemodelWeaknessesAccountingdatacanbemanipulatedRequiresmanyadjustmentscleansurplusrelationholdsAccountingissuesViolationsofcleansurplusrelationshipFXtranslationgain/lossesBalancesheetadjustmentstofairvaluePensionliabilityUnrecognizedgain(loss)onAFSsecuritiesDeferredgain(loss)oncashflowhedgesmaryImportance:Content:ResidualincomedefinationResidualincomecalculationMultistagevaluation*AccountingissuesExamtips:本节非常重要，主要掌握每期Rl的计算，Persistentfactor的公式，定性定量都非常重要。PrivateCompanyValuationBasicvaluation:earningadjustmentIncomeapproach:excessearningMarketapproach：GPCMzGTM,PTMAssetbasedapproachDiscountandpremium:DLOC,DLOMISJJIU-三ol-oo<oPUBM三ol-ouQSUBdXB一-S-3oJIEeUJUOUABUo4OsQcuu'roJIUoU+JuaJUJtmpE°0U-UJraP-ELUJONIUIUISmPeo-ra>-5BcddBPSBqSSB>BLUdIUooU一Uo
