CFA二级-复习冲刺-权益.docx
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2、)uoIen-BMo-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)ForecastingcompanyperformanceSelectingtheappropriateval
3、uationmodel(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 capitalCAPMAPTBuilduprConcep
4、tsHPRRequiredreturnDiscountrateIRREquityriskpremium(ERPlDefinitionofequityriskpremium(incremental,consistent)Historicalestimates(index,riskfree,time,meanupwardlybiased,stationary)ioEquityriskpremium(ERP)Forward-lookingestimates(frequentupdate,assumption)GordongrowthmodelERPgR,roMacroeconomicmodelSup
5、plyside,IbbotsonandChenERP=EDY+(l+EINFL)(l+EGREPS)(l+EGPE)-l-E(Rf)EINFLiT-Bond-Tips,EGPE:baseline=OSurveyestimateswidedisparity11elsforRequiredReturnonEquityThecapitalassetpricingmodelBetaforapubliccompanyregressing,BetaDriftAdjustedBeta=(23)(Unadjustedbeta)+(1/3)(1)Betaforthinlytradedstocksornonpub
6、liccompaniesUnleverthebeta: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=OMacroeconomicmultifactormodelCo
7、nfidence,Timehorizon,Inflationrisk,Businesscycle,MarkettimingModelsforRequiredReturnonEquityBuild-upmethod(unobtainable,closelyheldcompanies)Build-upmethodforprivatebusinessvaluationriRfEquityriskpremiumSizepremiumSpecific-companypremiur11iUnsystematicrisklesseasilydiversifiedBondyieldplusriskpremiu
8、mri=YTMonthecompanyslongtermdebt+riskpremiumwithpubliclytradeddebtModelsforRequiredReturnonEauityInternationalconsiderationsinrequiredExchangeratesCountryspreadmodelEquityriskpremiumforanemergingmarket=Equityriskpremiumforadevelopedmarket+CountrypremiumelsforRequiredReturnonEquityStrengthsandWeaknes
9、sesofRequiredReturnApproachesStrengthWeaknessCAPMSimple,easytocomputeSinglefactormodelpotentiallossofexplanatorypowerMulti-factormodelsHigherexplanatorypowercomplexandexpensiveBuild-upmodelssimpleappliedtocloselyheldfirmsusehistoricalvaluesWeightedaveragecostofcapitalWACCMVD“QrMVE”MVD-MVEUaxraedMVD-
10、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-0nu3J/SDoz-B-Ol-Cooo0ucd0u4BJCLJdoPKqAHPSeqAlpedeo0UJrUBXBLU
11、-JJdmUOHOSESroESn-d-ModD:10Pdol-0OElsEO0-as01-三OSSEinancialmodelingNon-operatingcostNetinterestexpense:netdebttax:Statutory,Effective,CashtaxOtheritemsfuturedividendgrowth:sharesoutstanding,dilutionFinancialmodelingBalancesheetandcashflowstatementmodelingUseofefficiencyratiosInventory:Inventoryvalue
12、forecastedannualCOGSinventoryturnoverratioaccountreceivable:ProjectedaccountreceivabledayssalesoutstandingUseofBASEforecastedsales365FinancialmodelingScenarioandsensitivityanalysisSensitivityanalysis:oneassumptionScenarioanalysis:multipleassumptionsOthertopicsPortersmodelInflationandDeflationpassOnJ
13、structure,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=HPVGoTwos
14、tage-basicMUItiStagemOdelTWc)Stage-HmodelThreestagePVModelsComparisonsDCFModelsComparisonDividenddiscountmodelad:lessvolatile,reinvestedearningsdis:lessdividends,notreflectthecontrolperspectiveApp:consistentdiv,Minority,MaturePVModelsComparisonsFreecashflowmodelFCFF:firmFCFE:equityad:diffdiv,divcapa
15、city,populardis:negativeFCFzlongforecastperiodsApp:Nodividend,ControllingResidualincomemodelad:Wide,opportunitycostdis:accrual,qualityofaccountingApp:Nodividend,negativeFCFDividendDiscountModelDDMprincipalsSingleperiodV。OO P(Il-心Multiple periodV0 t-111 rP1 rDividendDiscountModelGordongrowthmodelVDOX
16、Cg)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;FCFr;l-bjowTransition:EPS,slow;FCFO;ROEr;l-b,increaseMature:EPSw
17、ide;FCFO;ROE=r;saturationTerminalvaluemultiple/GGMMulti-StageDDMTwo-StageDDMModelsgrowthdropsuddenlyDividendGrowth(g)DO(Ig)(1g)Stage24yearsvVDO(I&MD(Ig)oSAU山一umpO5se三so三uFcinv=CAPEX-ProceedsNodisposalFCInv=CAPEXFcinv=GVi-GVoFCInv=BVi-BVo+DepexpSSo+/U-BMIdXeQ+0mOMSPOJdesodqpD+ET9TAUOU-PSodSQSlU(Lulsm
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- CFA 二级 复习 冲刺 权益

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