《宏观经济习题Cha.ppt》由会员分享，可在线阅读，更多相关《宏观经济习题Cha.ppt（27页珍藏版）》请在三一办公上搜索。
1、Stock Valuation,Chapter 9,Copyright 2010 by the McGraw-Hill Companies,Inc.All rights reserved.,McGraw-Hill/Irwin,Key Concepts and Skills,Understand how stock prices depend on future dividends and dividend growthBe able to compute stock prices using the dividend growth modelUnderstand how growth oppo
2、rtunities affect stock valuesUnderstand the PE ratioUnderstand how stock markets work,Chapter Outline,9.1The Present Value of Common Stocks9.2Estimates of Parameters in the Dividend Discount Model9.3Growth Opportunities9.4Price-Earnings Ratio9.5The Stock Markets,9.1 The PV of Common Stocks,The value
3、 of any asset is the present value of its expected future cash flows.Stock ownership produces cash flows from:Dividends Capital GainsValuation of Different Types of StocksZero GrowthConstant GrowthDifferential Growth,Case 1:Zero Growth,Assume that dividends will remain at the same level forever,Sinc
4、e future cash flows are constant,the value of a zero growth stock is the present value of a perpetuity:,Case 2:Constant Growth,Since future cash flows grow at a constant rate forever,the value of a constant growth stock is the present value of a growing perpetuity:,Assume that dividends will grow at
5、 a constant rate,g,forever,i.e.,.,.,.,Constant Growth Example,Suppose Big D,Inc.,just paid a dividend of$.50.It is expected to increase its dividend by 2%per year.If the market requires a return of 15%on assets of this risk level,how much should the stock be selling for?P0=.50(1+.02)/(.15-.02)=$3.92
6、,Case 3:Differential Growth,Assume that dividends will grow at different rates in the foreseeable future and then will grow at a constant rate thereafter.To value a Differential Growth Stock,we need to:Estimate future dividends in the foreseeable future.Estimate the future stock price when the stock
7、 becomes a Constant Growth Stock(case 2).Compute the total present value of the estimated future dividends and future stock price at the appropriate discount rate.,Case 3:Differential Growth,Assume that dividends will grow at rate g1 for N years and grow at rate g2 thereafter.,.,.,.,.,.,.,Case 3:Dif
8、ferential Growth,Dividends will grow at rate g1 for N years and grow at rate g2 thereafter,0 1 2,NN+1,Case 3:Differential Growth,We can value this as the sum of:a T-year annuity growing at rate g1,plus the discounted value of a perpetuity growing at rate g2 that starts in year T+1,Case 3:Differentia
9、l Growth,Consolidating gives:,Or,we can“cash flow”it out.,A Differential Growth Example,A common stock just paid a dividend of$2.The dividend is expected to grow at 8%for 3 years,then it will grow at 4%in perpetuity.What is the stock worth?The discount rate is 12%.,With the Formula,With Cash Flows,0
10、 1 234,0 1 2 3,The constant growth phase beginning in year 4 can be valued as a growing perpetuity at time 3.,9.2 Estimates of Parameters,The value of a firm depends upon its growth rate,g,and its discount rate,R.Where does g come from?g=Retention ratio Return on retained earnings,Where Does R Come
11、From?,The discount rate can be broken into two parts.The dividend yield The growth rate(in dividends)In practice,there is a great deal of estimation error involved in estimating R.,Using the DGM to Find R,Start with the DGM:,Rearrange and solve for R:,9.3Growth Opportunities,Growth opportunities are
12、 opportunities to invest in positive NPV projects.The value of a firm can be conceptualized as the sum of the value of a firm that pays out 100%of its earnings as dividends plus the net present value of the growth opportunities.,NPVGO Model:Example,Consider a firm that has forecasted EPS of$5,a disc
13、ount rate of 16%,and is currently priced at$75 per share.We can calculate the value of the firm as a cash cow.So,NPVGO must be:$75-$31.25=$43.75,Retention Rate and Firm Value,An increase in the retention rate will:Reduce the dividend paid to shareholdersIncrease the firms growth rateThese have offse
14、tting influences on stock priceWhich one dominates?If ROER,then increased retention increases firm value since reinvested capital earns more than the cost of capital.,9.4Price-Earnings Ratio,Many analysts frequently relate earnings per share to price.The price-earnings ratio is calculated as the cur
15、rent stock price divided by annual EPS.The Wall Street Journal uses last 4 quarters earnings,PE and NPVGO,Recall,Dividing every term by EPS provides the following description of the PE ratio:So,a firms PE ratio is positively related to growth opportunities and negatively related to risk(R),9.5 The S
16、tock Markets,Dealers vs.BrokersNew York Stock Exchange(NYSE)Largest stock market in the worldLicense Holders(formerly“Members”)Entitled to buy or sell on the exchange floorCommission brokersSpecialistsFloor brokersFloor tradersOperationsFloor activity,NASDAQ,Not a physical exchange computer-based qu
17、otation systemMultiple market makersElectronic Communications NetworksThree levels of informationLevel 1 median quotes,registered representativesLevel 2 view quotes,brokers&dealersLevel 3 view and update quotes,dealers onlyLarge portion of technology stocks,Stock Market Reporting,Quick Quiz,What determines the price of a share of stock?What determines g and R in the DGM?Decompose a stocks price into constant growth and NPVGO values.Discuss the importance of the PE ratio.What are some of the major characteristics of NYSE and Nasdaq?,
