穨俞海琴.PDF

Size: px

Start display at page:

Download "穨俞海琴.PDF"

召井南门
7 years ago
Views:

1 Journal of Risk Management Vol.3 No.1 May 2001 pp The Comparative Study of Valuation Models In Taiwan s Electronic and Non-electronic Stock-Listed Companies * (Hai-Chin Yu) ** (Yi-Shen Yeh) Abstract The insight of value investing is to find the intrinsic value of firms. We select Taiwan's stock-listed companies in electronic and non-electronic industries from based on the similar sizes, history, sales and earnings per share. Comparing and testing these two pairs of industries in seven different valuation models, such as DCF, relative valuation model and OPM, this paper tries to find the optimal valuation model fitted to each industry. Using Theil s U and t test, we find that electronic industries show more correct valuation in FCFF and EVA than nonelectronic industries, but not significant. While non-electronic industries show more significant and correct valuation in P/BVPS and P/Sales than electronic industries. Non-electronic industries show more correct valuation in OPM but not significant. Keywords Value Investing, Valuation Model, Discounted Cash Flow. * Professor, Department of International Business, Chung-Yuan Christian University, Chungli, Taiwan, R.O.C. ** Sales Representative, Taiwan Fixed Network, Taipei, Taiwan, R.O.C. NSC H

2 (intrinsic value) (Discounted Cash Flow Approach, DCF) % % % 51.5% 32.7% 19.8%

3 (weak form efficiency) 2. (1) (2) (3) (4) Damodaran (1995) Copeland Koller & Murrin (2000) (entity approach) (equity approach) ; Cornell (1993) Reilly (1992) (Discounted Net Cash Flow Approach or Earnings Capacity) (forecast period value) (terminal value)

4 102 Clemente (1990) i. ii. iii. (EBIDT) iv. Solk and Grant (1987) Timothy (1997) M&M (constant) APV(Adjusted Present Value ) Inselbag and Kaufold (1997) APV Clubb (1995) AR(1) Block (1995) / Dow Jones Industrial Averages (1) (2) (3)

5 / / Kaplan & Ruback (1995) APV / APV 10% APV Copeland Koller & Murrin (2000) DCF / / DCF Lakonishok, Shleifer & Vishny (1994) / / / 10 Lakonishok, Shleifer, and Vishny (P/B P/C P/E etc ) Quigg (1993) (real option pricing model) 2700

6 104 6% Capual, Rowley & Sharpe (1993) (value stock) (growth Value-Growth / / / / Chan, Hamao & Lakonishok (1991) (TSE) / / (deflated) / / a. i. ii.

7 i. ii iii. b. i. (1997 ) ii. ( ) 1 iii. c. EPS AREMOS MIS ITIS 3.2 a. (FCFF Model) (FCFE Model) (EVA Model) i. (Free Cash Flow to Firm, FCFF) FCFF

8 106 ( ) ( ) - ( + )+ ( ) ii. (Free Cash Flow to Equity, FCFE) FCFE + ( ) + (1 )( ) + (1 ) iii. (Economic Value Added, EVA) (incremental value) (absolute value), (EVA) ( ) ( ) (WACC) R e (CAPM) R f β 104 β R d

9 ,126, ,715, ,341, ,218, ,228, ,531, ,006, ,942, ,478, ,357, ,047, ,878, ,382, ,048, ,830, ,815, ,080, ,401, ,602, ,586, ,844, ,877, ,959, ,757, ,801, ,591, ,682, ,648, ,598, ,144, ,534, ,400, ,954, ,399, ,298, ,251, ,899, ,417, ,075, ,013, ,206, ,482, ,949, ,926, ,545, ,369, ,853, ,814, ,100, ,270, ,584, ,577, ,392, ,319, ,658, ,644, ,958, ,397, ,627, ,534, ,500, ,211, ,457, ,350, ,371, ,295, ,160, ,127, ,257, ,505, ,918, ,867, ,837, ,665, ,346, ,338, ,639, ,506, ,296, ,161, ,469, ,326, ,989, ,987, ,530, ,942, ,347, ,325, ,391, ,866, ,089, ,075, ,888, ,393, ,917, ,812,453.36

10 ,811, ,747, ,920, ,722, ,719, ,685, ,285, ,599, ,538, ,496, ,308, ,574, ,465, ,375, ,395, ,725, ,323, ,256, ,697, ,290, ,068, ,966, ,637, ,824, ,522, ,092, = g=roe b ROE b (CV) ( ) ( ) ( )( ) = = n t t n t t t WACC WACC FC WACC g FCF CV (1) b. iv. (P/E) (Price/Earning Ratio) v. (P/BVPS)

11 (Equity Book Value Per Share, BVPS) (BVPS) (EPS) EPS BVPS ROE P BVPS = ROE b(1 + g) /( k ) (2) BVPS = ROE 0 / 0 g P / 0 0 n n b(1 + g) [ 1 (1 + g) /(1 + k) ] k g n bn (1 + g) (1 + gn ) + (3) n ( k g )(1 + k) (2) (3)b b n n k g vi. (P/Sales) P/Sales P Sales vii. (OPM) (call option) Black-Scholes rt C = SN ( d1) Xe N( d 2 ) C S X r t 10 n (4)

12 110 N( ) ln( S / X ) + r t σ t d1 + σ t 2 d d 2 1 σ t σ = t Theil Theil s U Theil s U Theil

13 U T N t = 1 i = 1 = T ( V P ) it N t = 1 i= 1 P 2 it IT TN 2 TN V i t P i t N T U U U U t a. FCFF FCFE EVA i. FCFF FCFE EVA ( ) (normalization) FCFF EVA

14 112 2 FCFF $1,367, $582, FCFE $4,620,672 - $4,375,659 - EVA $888, $439, FCFF / EVA FCFF EVA (a) (b) FCFF EVA FCFE (c) (d) (e) ii. 3 FCFF/EVA WACC FCFE 3 (BETA) 3 BETA

15 BETA BETA FCFF/EVA % 14.32% % 8.32% FCFE % 4.74% % 3.74% iii. 4 N=183 N=183 FCFF % % % % % % % % FCFE % % % % % % % % EVA % % % % % % % % P/E % % % % % % % % P/BVPS % % % % % % % % P/Sales % % % % 58.97% % % % OPM % % % % 86.02% % % % FCFF FCFE EVA P/E P/BVPS P/Sales OPM 5 Theil s U FCFF FCFE EVA P/E P/BVPS P/Sales OPM (a) FCFF

16 Theil s U FCFF % % FCFF (b)fcfe 4 5 FCFE % % FCFE (c) EVA 4 5 EVA % % EVA FCFF EVA FCFF FCFE EVA ( ) FCFF FCFE EVA FCFF(-20.84%) EVA(-80.91%)

17 iv. (d) (P/E) % % P/E (e) (P/BVPS) % % P/BVPS ( ) 1994 (f) (P/Sales) % % P/S 6.97% 30.55%

18 116 (g) (OPM) % % OPM FCFF % EVA % P/E % 1 FCFE OPM P/BVPS 3. 2 P/S 58.97% EVA % OPM 86.02% 2 FCFE FCFF P/E FCFE t t 6

19 SD N = 183 EVA 183 FCFE 183 FCFF 183 SALE 183 EPS 183 BV 183 OPM SD N = EVA FCFE FCFF SALE EPS BV OPM 2

20 118 6 t p FCFF % % FCFE % % EVA % % P/E % % P/BVPS % % P/Sales % 58.97% OPM % 86.02% FCFF FCFE EVA P/E P/BVPS P/Sales OPM 6 1. (FCFF FCFE EVA) t 0.25 (DCF) ( ( ) ( ) DCF 2. t t t

21 (FCFF FCFE EVA) FCFF EVA FCFF FCFE EVA FCFF EVA FCFE FCFF EVA EVA FCFF FCFE

22 120 EVA EVA FCFE FCFF P/E Block, F.E., 1995, A Study of Price to Book Relationship, Financial Analysts Journal, 51, 1, Capual, C., I. Rowley and W. Sharpe, 1993, International Value and Growth Stock Returns, Financial Analysts Journal, 49, 1, Chan, L., Y.Hamao and J.Lakonishok, 1991, Fundamentals and Stock Returns in Japan, Journal of Finance, 46, 5, Cleme nte, H. A., 1990, What Wall Street Sees When It Look at Your P/E Ratio, Financial Executive, 6, 3, Clubb, Colin D.B., 1995, An Empirical Study of The Information Content of Earnings, Funds Flow and Cash Flow in The UK, Journal of Business Finance And Accounting, 22, 1, Copeland, T., T. Koller and J. Murrin, 2000, Valuation: Measuring and Managing the Value of Companies, 3 rd ed., Mckinsey & Company Inc. 8. Cornell, Bradford, 1993, Corporate Valuation: Tools for Effective Appraisal and Decision- making, Mcgraw Hill. 9. Damodaran, A., 1995, Investment Valuation: Tools and Techniques for Determining the Value of Any Asset, John Wiley & Sons Inc. 10. Kaplan, S.N. & R.S. Ruback, 1995, The Valuation of Cash Flow Forecast: An Empirical Analysis, Journal of Finance, 50, 4, Lakonishok, J., A. Shleifer and R. Vishny, 1994, Contrarian Investment, Extrapolation, and Risk, Journal of Finance, 49, 5, Quigg, Laura, 1993, Empirical Testing of Real Option-Pricing Models, Journal of Finance, 48, 2, Reilly, Robert F., 1992, The Valuation of Proprietary Technology,

23 Management Accounting, Shannon P. T., R. F. Reilly, R. P. Schweihs, 2000, Valuing a Business-The Analysis and Appraisal of Closely Held Companies, 2 nd ed., McGraw- Hill. 15. Solk, G. & R. Grant, 1987, Valuation Techniques for the Closely -Held Enterprise, Commercial Law Journal, 92, 3, Timothy, A. Luehrman, 1997, What's It Worth? A General Manager's Guide to Valuation, Harvard Business Review, 75, 3,

不确定性环境下公司并购的估价：一种实物期权.doc

不确定性环境下公司并购的估价：一种实物期权.doc Abstract In view of the inadequacy of investment valuation under uncertainty by the orthodox discounted cash flow (DCF), many scholars have begun to study the investment under uncertainty. Option pricing

穨俞海琴.PDF

穨俞海琴.PDF