FinancialStatementAnalysisandSecurityValuation财务报表分析与安全评估

FinancialStatementAnalysisandSecurityValuationStephenH.PenmanPreparedbyPeterD.EastonandGregoryA.SommersFisherCollegeofBusinessTheOhioStateUniversityWithcontributionsbyStephenH.Penman–ColumbiaUniversityLuisPalencia–UniversityofNavarra,IESEBusinessSchoolIntroductiontoInvestingandValuationChapter1TheAimoftheCourseTodevelopandapplytechnologiesforvaluingfirmsandforplanningtogeneratevaluewithinthefirmusingfinancialstatementanalysisFeaturesoftheapproach:Adisciplinedapproachtovaluation:minimizesadhockeryBuildsfromfirstprinciplesMarriesfundamentalanalysisandfinancialstatementanalysisStressesthedevelopmentoftechnologiesthatcanbeusedinpractice:howcantheanalystgainanedge?Comparesdifferenttechnologiesonacost/benefitcriterionAdoptsactivistpointofviewtoinvesting:themarketmaybeinefficientIntegratesfinancialstatementanalysiswithcorporatefinanceExploitsaccountingasasystemformeasuringvalueaddedDiscoversgood(andbad)accountingfromavaluationperspectiveWhatWillYouLearnFromtheCourseHowintrinsicvaluesarecalculatedHowbusinessplansareevaluatedWhatdeterminesafirm’svalueTheroleoffinancialstatementsindeterminingfirms’valuesHowtopullapartthefinancialstatementstogetattherelevantinformationHowratioanalysisaidsinvaluationTherelevanceofcashflowandaccrualaccountinginformationHowtocalculatewhattheP/EratioshouldbeHowtocalculatewhattheprice-to-bookratioshouldbeHowtodobusinessforecastingUsersofFirms’FinancialInformation(DemandSide)EquityInvestorsInvestmentanalysisManagementperformanceevaluationDebtInvestorsProbabilityofdefaultDeterminationoflendingratesCovenantviolationsManagementStrategicplanningInvestmentinoperationsEvaluationofsubordinatesEmployeesSecurityandremunerationInvestorsandmanagementaretheprimaryusersoffinancialstatementsLitigantsDisputesovervalueinthefirmCustomersSecurityofsupplyGovernmentsPolicymakingRegulationTaxationGovernmentcontractingCompetitorsInvestmentStylesIntuitiveinvestingRelyonintuitionandhunches: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&spinoffsRestructuringsCapitalbudgetingManageimplementedstrategiesbyexaminingdecisionsintermsofthevalueaddedRewardmanagersbasedonvalueaddedChapter1Page9InvestingWithinaBusiness:InsideInvestorsChapter1Page10BusinessIdeas(Strategy)TheProcessofFundamentalAnalysisAvaluationmodelguidestheprocessForecastingisattheheartoftheprocessandavaluationmodelspecifieswhatistobeforecasted(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%requiredreturnValue=$1.43/0.12=$11.92pershareIsthisthecorrectmodel?Shouldearningsorsomethingelsebeforecasted?ReverseEngineering:ConvertingaPricetoaForecastSo,Forecastedearningsfrommarketprice=PricexRequiredReturn=$66x0.12=$7.92pershareAreweusingasoundmodel?Oristhemarketpriceincorrect?Delltradesat$66pershare.Whatforecastofearningsisimplied?CourseMaterialsTextBook:“FinancialStatementAnalysisandSecurityValuation”byStephenPenman)Websitehttp://www.mhhe.com/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:TheanalysisofriskandthevaluationofdebtAFrameworkforValuationBasedonFinancialStatementDataCURRENTANDPASTFINANCIALSTATEMENTS(analysisofinformation,trends,comparisons,etc.)FORECASTINGFORECASTSOFCASHFLOWSDISCOUNTEDCASHFLOWSVALUEOFTHEFIRM/DIVISIONDISCOUNTEDRESIDUALEARNINGSFORECASTSOFEARNINGS(andBookValues)SneakPreviewDividendCapitalization:Accounting:ForecastPeriodBeyondtheHorizon04YearsSource:PenmanandSougiannis“AComparisonofDividend,CashFlowandEarningsApproachestoEquityValuation”.ContemporaryAccountingResearch,1998:343-382.ValuationError(%)UsedtoestimateimplicitpriceForecastsavailablefornext4YearsForecastPeriodBeyondtheHorizon4YearsSource:PenmanandSougiannis“AComparisonofDividend,CashFlowandEarningsApproachestoEquityValuation”.ContemporaryAccountingResearch,1998:343-382.ValuationError(%)0ForecastPeriodBeyondtheHorizon04YearsSource:PenmanandSougiannis“AComparisonofDividend,CashFlowandEarningsApproachestoEquityValuation”.ContemporaryAccountingResearch,1998:343-382.ValuationError(%)ForecastPeriodBeyondtheHorizon04YearsSource:PenmanandSougiannis“AComparisonofDividend,CashFlowandEarningsApproachestoEquityValuation”.ContemporaryAccountingResearch,1998:343-382.ValuationError(%)ForecastPeriodBeyondtheHorizon04YearsSource:PenmanandSougiannis“AComparisonofDividend,CashFlowandEarningsApproachestoEquityValuation”.ContemporaryAccountingResearch,1998:343-382.ValuationError(%)AFrameworkforValuationBasedonFinancialStatementDataCURRENTANDPASTFINANCIALSTATEMENTS(analysisofinformation,trends,comparisons,etc.)FORECASTINGFORECASTSOFCASHFLOWSDISCOUNTEDCASHFLOWSVALUEOFTHEFIRM/DIVISIONDISCOUNTEDRESIDUALEARNINGSFORECASTSOFEARNINGS(andBookValues)BUDGETS,TARGETS,FORECASTEDEVA*PerformanceEvaluation*BenchmarkingResidualIncomeandEVAResidualIncomeEconomicValueAddedAretheAdjustmentsNecessary?NETINCOMEgeneratedbythedivision/firm-CostofCapital*BOOKVALUEofInvestmentintheFirmADJUSTEDNETINCOMEgeneratedbythedivision/firm-CostofCapital*ADJUSTEDBOOKVALUEofInvestmentintheFirm