剩余收益模型培训课件.ppt

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Accrual Accounting and Valuation: Pricing Book Values---- Residual Earnings Model 权责发生制与价值评估: 账面价值定价--剩余收益模型 C h a p t e r 5 公司在进行交易时，价格并非是账 面价值。资产负债表中的资产和负债有 的是公允价值，有的是历史成本，还有 一些则被从资产负债表中删除。这就导 致分析家们忽略了从资产负债表中删除 的价值。分析家们会问：到底在账面价 值的基础上增加多少才是固有的价值？ 每支股票在交易时基于账面价值的溢价 到底是多少？本章提出的剩余收益模型 解决了分析家们的困惑。 C h a p t e r 5 结 构 P/B 简单模型 剩余收益模型 复杂模型 Equities 剩余收益模型的应用 Prijects Stategies 剩余收益模型的优点、缺点 剩余收益模型对投资者的提醒 总结 本本 章章 重重 要要 专专 业业 英英 文文 词词 汇汇 • residual earnings or residual income: 剩余收益 • residual earnings model: 剩余收益模型 • premium:溢价 • price-to-book ratio(P/B):市净率 • rate of return on common equity(ROCE): 普通股本 回报率 • terminal investment:终端投资 • going concern investment：持续投资 • withdrawl: 撤回；提款 • forecast horizon:预测期间 • fiscal years:会计年度 • share issue：发行股票 • earnings per share(EPS):每股收益 • dividends per share(DPS):每股股利 • discounted cash flow method(DCF):现金流量折现法 • continuing value（CV）: 持续价值 PP // BB rr aa tt ii oo P/B 公式： P/B与剩余收益、剩余收益模型的两个驱动因 素都有密切的联系。同时，提醒投资者： Beware of paying too much for earnings! 剩余收益模型剩余收益模型((简单简单)) 1.什么是剩余收益？ 定义：Residual earnings is the earnings in excess of these required dollar earnings. 公式: 2.剩余收益模型是什么？ 定义：A model that measures value added from forecasts of residual earnings is called the residual earnings model. 公式： value=Book value+Premium =Book value +present value of expected residual earnings. Example:Example:Valuing a One-Period Project (1)Valuing a One-Period Project (1) Investment $400 Required return 10% Revenue forecast $440 Forecasted earnings $ 40 DCF Valuation: A rate of return of 10 percent on the investment of $400. EE xx aa mm pp ll ee :: VV aa ll uu ii nn gg aa OO nn ee -- PP ee rr ii oo dd PP rr oo jj ee cc tt (( 22 )) Investment $400 Required return 10% Revenue forecast $448 Earnings forecast $ 48 A rate of return of 12 percent on the investment of $400. The project adds value Example:Example:Valuing a Savings AccountValuing a Savings Account Forecasts for a Savings Account with $100 invested at the end of % per year. Value = Book Value + Present Value of Residual Earnings = 100 + 0 = 100 TT hh ee NN oo rr mm aa ll PP rr ii cc ee -- tt oo -- BB oo oo kk RR aa tt ii oo Normal P/B = (Price = Book Value) The Normal P/B firm earns an expected rate of return on its book value equal to the required return The Normal P/B firm earns expected residual earnings of zero. LL ee ss ss oo nn ss ff rr oo mm tt hh ee SS aa vv ii nn gg ss AA cc cc oo uu nn tt 从储蓄账户这个例子得到一些准则，这些准则在将要介绍的模型 中也是适用的。 1. An asset is worth a premium or discount to its book value only if the book value is expected to earn non-zero residual earnings. 2. Residual earnings techniques recognize that earnings growth does not add value if that growth comes from investment earning at the required return. 3. Even though an asset does not pay dividends, it can be valued from its book value and earnings forecasts. 4. The valuation of the savings account does not depend on dividend payout. The two scenarios have different expected dividends, but the same value. 5. The valuation of a savings account is unrelated to free cash flows: The two accounts have the same value, but different free cash flow. EE xx aa mm pp ll ee :: aa SS ii mm pp ll ee MM oo dd ee ll In millions of dollars. Required return is 10% per year. Forecast Year 0 1 2 3 4 5 Earnings Dividends Book value RE (10% charge) RE growth rate 3% 3% 3% 3% . $ million The intrinsic price-to-book ratio (P/B) is $ / $100 = . 剩余收益模型（复杂）剩余收益模型（复杂） An equity investment is a going concern, and a going concern goes on indefinitely. We calculate the intrinsic premium over book value, ,as the present value of forecasted residual premium is the missing value in the balance sheet. P/B与RE的关系（见下表） High P/B firms pay high RE,on average,while low P/B firms pay low RE. Relation Between P/B Ratios and Subsequent RERelation Between P/B Ratios and Subsequent RE((有问题有问题)) Alternative Measure of Residual EarningsAlternative Measure of Residual Earnings Residual earnings is the return on common equity, expressed as a dollar excess return rather than a ratio. We also restate residual earnings as: 剩剩 余余 收收 益益 模模 型型 的的 驱驱 动动 因因 素素 DD rr ii vv ee rr ss oo ff RR ee ss ii dd uu aa ll EE aa rr nn ii nn gg ss Two Drivers: • If forecasted ROCE equals the required return, then RE will be zero, and V = B • If forecasted ROCE is greater than the required return, then V > B • If forecasted ROCE is less than the required return, then V < B 2. Growth in book value RE will change with change with ROCE and growth in book value PP // BB ,, RR OO CC EE aa nn dd GG rr oo ww tt hh ii nn BB oo oo kk VV aa ll uu ee P/B in 2003 ROCE in 2004 Growth Rate for Book Value in 2004 The Gap Inc. % % General Electric Co. % % Verizon Communications Inc. % % Citigroup Inc. % % Home Depot Inc. % % General Motors Corp. % % Federated Department Stores % % ROCE is positively related to P/ growth in book value is also positively related to P/B. RR OO CC EE aa nn dd PP // BB RR aa tt ii oo ss :: SS && PP 55 00 00 FF ii rr mm ss Ingredients of the ModelIngredients of the Model 1. The current book value 2. Forecasts of residual earnings 3. Forecasted premium at the horizon Component 3 is called the continuing value. As efficient prices equal intrinsic values, then Steps in Applying the ModelSteps in Applying the Model 1. Identify the book value in the most recent balance sheet. 2. Calculate future residual earnings from the forecasts of earnings and book values. 3. Discount the residual earnings to present value. 4. Calculate a continuing value at the forecast horizon. 5. Discount the continuing value to the present value. 6. Add 1, 3, and 5. How the Residual Earnings Model Works How the Residual Earnings Model Works ROCE1 Current book value ROCE2 Book value1 ROCE3 Book value2 Year 3 aheadYear 2 aheadYear 1 ahead Residual earnings1 Residual earnings2 Residual earnings3 Current book value Current year PV of RE1 Discount by  Forecasts PV of RE2 PV of RE3 Current book value Discount by 3 Discount by 2 Current Data 剩余收益模型的应用剩余收益模型的应用------Equities ------Equities Case 1: Zero RE after TCase 1: Zero RE after T Flanigan’s Enterprises Inc. Required rate of return is 9 percent. In this case,residual earnings is expected to be zero after 2003. Forecast Year 1999 2000 2001 2002 2003 Eps Dps Bps ROCE % % % % RE (9% charge) Discount rate () Present value of RE Total present value of RE to 2003 Value per share Case 1: Zero RE after TCase 1: Zero RE after T--------Continuing Value Continuing Value RE is forecasted to be zero in perpetuity at the horizon So The forecasted premium at the horizon is Case 2: Constant RE after TCase 2: Constant RE after T General Electric rate of return is 10 percent. In this case ,residual earnings is expected to be constant,but nonzero after that RE beyond 2004 is going to be the same as the in 2004. Forecast Year 1999 2000 2001 2002 2003 2004 Eps Dps Bps ROCE % % % % % RE (10% charge) Discount rate () Present value of RE Total present value of RE to 2004 Continuing value (CV) Present value of CV Value per share The continuing value: CV = = Present value of continuing value = = Assuming constant RE after period T: RE is forecasted to be constant in perpetuity at the horizon So Case 2: Constant RE after TCase 2: Constant RE after T----------Continuing ValueContinuing Value For GE, CVT = Case 3: Growing RE after TCase 3: Growing RE after T Dell Inc. Required rate of return is 11 percent. In this case ,residual earnings is expected to grow at a percent rate after 2005. Forecast Year 2000 2001 2002 2003 2004 2005 Eps Dps Bps ROCE % % 2 % % % RE (11% charge) Discount rate ()t Present value of RE Total present value of RE to 2005 Continuing value (CV) Present value of CV Value per share The continuing value (with growth at %): CV = = Present value of continuing value = = Assuming growing RE after period T : Case 3: Growing RE after TCase 3: Growing RE after T----------Continuing ValueContinuing Value RE is forecasted to grow at constant rate in perpetuity at the horizon So Forecasting Target Prices Case 1 (Flannigan’s) Case 2 (GE) Case 3 (Dell) 剩余收益模型应用剩余收益模型应用------------Project Project Value added: PV of RE = 330 (same as NPV) 剩余收益模型应用剩余收益模型应用------------Strategy EvaluationStrategy Evaluation Residual Earnings Model and DCF Residual Earnings Model and DCF ApproachApproach （！！！）（！！！） 在前面的例子中，我们看到剩余收益模型计 算的价值与现金流量折现法计算的价值是相同的。 The foercasts of RE have captuerd the value added over the cost of the investment. �� 剩剩 余余 收收 益益 模模 型型 的的 优优 点点 、、 缺缺 点点 �� AdvantagesAdvantages • Focus on value drivers: focuses on profitability of investment and growth in investment that drive value; directs strategic thinking to these drivers • Incorporates the financial statements: incorporates the value already recognized in the balance sheet (the book value) • Uses accrual accounting: uses the properties of accrual accounting that recognize value added ahead of cash flows, matches value added to value given up and treats investment as an asset rather than a loss of value • Versatility: can be used with a wide variety of accounting principles (Chapter 16) • Aligned with what people forecast: analysts forecast earnings (from which forecasted residual earnings can be calculated) • Validation: forecasts of residual earnings can be validated in subsequent audited financial statements • Predictability: dividends are usually fairly stable in the short run so dividends are easy to forecast (in the short run) DisadvantagesDisadvantages • Accounting complexity: requires an understanding of how accrual accounting works • Suspect accounting: relies on accounting numbers that can be suspect (Chapter 17) • Forecast horizon: forecast horizons can be shorter than for DCF analysis and more value is typically recognized in the immediate future; also, forecasts up to the horizon give an indication of profitability and growth for a continuing value calculation; but the forecast horizon does depend on the quality of the accrual accounting (Chapter 16) 剩余收益模型对投资者的提醒： （（11））Protection from Paying Too Much for Earnings Protection from Paying Too Much for Earnings Generated by InvestmentGenerated by Investment The firm is expected to make a share issue of $50 in Year 1 .Required return is 10 percent per year. Forecast Year 0 1 2 3 4 5 Earnings Net dividends () Book value RE (10% charge) RE growth rate 3% 3% 3% 3% $ million. Beware! 剩余收益模型对投资者的提醒：剩余收益模型对投资者的提醒： （（22））Protection from Paying Too Much for Earnings Protection from Paying Too Much for Earnings Created by the Accounting: the Simple ExampleCreated by the Accounting: the Simple Example Writing inventory down by $8 million in Year 0 creates lower-cost-of-goods sold in Year 1: Forecast Year 0 1 2 3 4 5 Earnings Dividends Book value RE (10% charge) RE growth rate 3% 3% 3% = $ million. Beware! 剩剩 余余 收收 益益 模模 型型 对对 投投 资资 者者 的的 提提 醒醒 ：： �� （（ 33 ）） CC aa pp tt uu rr ii nn gg VV aa ll uu ee NN oo tt oo nn tt hh ee BB aa ll aa nn cc ee SS hh ee ee tt -- -- -- -- ff oo rr AA ll ll AA cc cc oo uu nn tt ii nn gg MM ee tt hh oo dd ss Residual earnings valuation solves the problem of the imperfect balance sheet,adding a premium by foercasting the earnings that the book values will higher residual earnings compensate for the lower book values,to produce a valuation that corrects the low book value. This makes sense:If assets are missing from the balance sheet,the P/B ratio should be higher,and a higher P/B means that residual earnings are expected to be higher. 剩剩 余余 收收 益益 模模 型型 对对 投投 资资 者者 的的 提提 醒醒 ：： �� (( 44 )) RR ee ss ii dd uu aa ll EE aa rr nn ii nn gg ss AA rr ee nn oo tt AA ff ff ee cc tt ee dd bb yy DD ii vv ii dd ee nn gg dd ss ,, SS hh aa rr ee II ss ss uu ee ss ,, oo rr SS hh aa rr ee RR ee pp uu rr cc hh aa ss ee ss • Valuing a Savings Account • Protection from Paying Too Much for Earnings Created by Investment. 　这两个例子就说明了这个问题！ SS uu mm mm aa rr yy 本章提出的剩余收益模型可以应用于股票、项目、 战略等。该模型利用了资产负债表中的信息，但它指出 了剩余收益的价值，这是报表所忽略掉的。 剩余收益模型的核心就是剩余收益这个概念。当一 项投资的预期收益是按所要求的回报率计算的，那么剩 余收益为0，并且没有使价值增加。剩余收益不受股利 分配、股票的发行、股票的回购等地影响，所以用该模 型计算的价值不受股东交易的影响。该模型并且提醒投 资不要为了追求收益的增长而支付太多，因为收益的增 长可能是由于过多的投资所致也可能是会计方法的不同 所致。 总之，剩余收益模型给我们提供了一种思考价值的 方法，尤其要关注的是ＲＯＣＥ和 Growth in book value。 BEWARE OF PAYING TOO MUCH FOR GROWTH!