2001 5 Journal of Risk Management Vol.3 No.1 May 2001 pp.99-121 The Comparative Study of Valuation Models In Taiwan s Electronic and Non-electronic Stock-Listed Companies * (Hai-Chin Yu) ** (Yi-Shen Yeh) 1994-1999 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 1994-1999 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 89-2416-H-033-024.
100 1. (intrinsic value) (Discounted Cash Flow Approach, DCF) 1986 24.03% 1998 42.83% 1989 2257 1999 5 5499 4.1% 51.5% 32.7% 19.8%
2001 5 101 (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)
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) 1955 1984 48 AR(1) Block (1995) / 1949 1962 30 Dow Jones Industrial Averages (1) (2) (3)
2001 5 103 / / Kaplan & Ruback (1995) 1938 1989 51 APV / APV 10% APV Copeland Koller & Murrin (2000) DCF / / DCF Lakonishok, Shleifer & Vishny (1994) 1963 1990 / / / 10 Lakonishok, Shleifer, and Vishny (P/B P/C P/E etc ) Quigg (1993) (real option pricing model) 2700
104 6% Capual, Rowley & Sharpe (1993) 1981 1992 (value stock) (growth Value-Growth / / / / Chan, Hamao & Lakonishok (1991) (TSE)1971 1988 / / (deflated) / / 3. 3.1 a. i. ii.
2001 5 105 1994 1999 1994 1996 1997 1999 i. ii. 1997 1999 iii. b. i. (1997 ) ii. (1997 1999 ) 1 iii. c. EPS AREMOS MIS ITIS 3.2 a. (FCFF Model) (FCFE Model) (EVA Model) i. (Free Cash Flow to Firm, FCFF) FCFF
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
2001 5 107 1 1 2330 1433 115,126,675.55 103,715,477.64 25 2334 1909 9,341,423.55 9,218,342.36 2 1301 2303 98,228,485.18 95,531,187.55 26 2373 2906 9,006,222.36 8,942,975.91 3 1402 2344 79,478,791.73 72,357,332.82 27 1609 2333 9,047,562.55 8,878,307.27 4 2306 1462 67,382,779.18 66,048,609.27 28 2358 1447 8,830,428.55 8,815,610.45 5 1605 2342 54,080,106.91 53,401,726.82 29 2104 2310 8,602,406.09 8,586,363.45 6 2337 1314 44,844,928.91 43,877,967.64 30 1601 2345 7,959,505.36 7,757,129.18 7 2204 2319 32,801,299.45 32,591,576.36 31 2359 1319 7,682,935.09 7,648,838.00 8 1440 2357 30,598,477.27 29,144,790.18 32 1210 2336 7,534,049.18 7,400,130.00 9 1907 2317 27,954,862.82 26,399,703.00 33 2341 1704 7,298,918.36 7,251,080.91 10 2913 2327 25,899,569.36 25,417,598.27 34 2362 1710 7,075,407.09 7,013,270.09 11 2324 1434 25,206,453.82 24,482,895.09 35 2332 1903 6,949,558.91 6,926,449.55 12 2322 1409 22,545,224.45 22,369,053.82 36 2305 1212 6,853,168.00 6,814,710.91 13 1904 2308 21,100,186.00 20,270,387.64 37 1715 2316 6,584,250.64 6,577,232.36 14 2352 2206 21,392,230.91 19,319,623.64 38 2343 1510 5,658,978.91 5,644,690.18 15 1420 2323 18,958,671.00 18,397,930.18 39 1611 2353 5,627,666.45 5,534,250.18 16 2304 1604 18,500,182.36 18,211,368.91 40 2318 2106 5,457,288.18 5,350,855.82 17 1513 2325 17,371,957.45 17,295,370.73 41 1448 2338 5,160,117.91 5,127,843.27 18 1201 2313 15,257,559.00 14,505,357.73 42 1450 2340 4,918,591.55 4,867,684.82 19 2011 2329 13,837,618.64 13,665,711.18 43 1308 2355 4,346,229.09 4,338,113.36 20 2301 1503 13,639,707.00 13,506,126.36 44 1443 2314 4,296,730.91 4,161,796.36 21 2105 2326 13,469,223.73 13,326,141.09 45 2321 1227 3,989,906.18 3,987,284.09 22 1717 2350 11,530,106.45 10,942,345.82 46 1232 2354 3,347,092.55 3,325,837.82 23 2312 2905 10,391,021.45 9,866,270.36 47 2374 1708 3,089,052.36 3,075,892.82 24 1608 2347 10,888,866.36 10,393,603.00 48 1514 2302 2,917,069.00 2,812,453.36
108 49 2372 1445 2,811,662.64 2,747,912.18 56 2356 2006 21,920,570.91 22,722,362.82 50 2351 1318 2,719,759.18 2,685,861.18 57 2346 2007 18,285,470.18 19,599,612.82 51 1516 2335 2,538,464.09 2,496,427.64 58 2023 2349 15,308,898.36 17,574,990.73 52 1439 2360 2,465,899.45 2,375,754.82 59 2348 2021 14,395,211.36 13,725,358.00 53 2390 1463 2,323,481.36 2,256,453.64 60 1107 2315 14,697,330.45 15,290,521.27 54 2383 1231 2,068,649.18 1,966,196.82 61 2331 2022 6,637,421.82 6,824,807.00 55 2014 2311 28,522,608.09 35,092,526.27 + = g=roe b ROE b (CV) ( ) ( ) ( )( ) = + + + + + = n t t n t t t WACC WACC FC WACC g FCF CV 1 1 1 1 1 (1) b. iv. (P/E) (Price/Earning Ratio) v. (P/BVPS)
2001 5 109 (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)
110 N( ) ln( S / X ) + r t σ t d1 + σ t 2 d d 2 1 σ t σ 4. 1997 61 1997 1999 122 1994 1996 1997 1999 1997 1999 = t Theil Theil s U Theil s U Theil
2001 5 111 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
112 2 FCFF $1,367,592 13 $582,297 29 FCFE $4,620,672 - $4,375,659 - EVA $888,436 17 $439,454 24 2 FCFF / 13 29 EVA 17 24 FCFF EVA (a) (b) FCFF EVA FCFE (c) (d) (e) ii. 3 FCFF/EVA WACC FCFE 3 (BETA) 3 BETA
2001 5 113 3 BETA BETA FCFF/EVA 1.2993 12.35% 14.32% 1.0793 9.77% 8.32% FCFE 0.7714 10.27% 4.74% 0.7714 8.41% 3.74% iii. 4 N=183 N=183 FCFF -20.84% 26643.95% -252.18% 726.76% -588.84% 44436598.70% -90239.89% 596.86% FCFE 684.61% 3592668.70% -97.09% 19237.51% 4458.83% 1656249598.50% -74.27% 550414.31% EVA -58.86% 12677.87% -263.48% 528.64% -80.91% 111473.22% -1250.64% 4005.06% P/E -92.81% 53356.00% -2356.60% 145.53% -207.40% 2786751.40% -16049.79% 976.60% P/BVPS 583.34% 222308.44% -64.05% 1883.81% 166.82% 362300.91% -2817.16% 1835.10% P/Sales 127.64% 1498.68% -72.61% 776.13% 58.97% 6938.81% -36.53% 745.52% OPM 199.98% 1643610.70% -84.83% 17009.17% 86.02% 16682.30% -46.99% 1096.46% FCFF FCFE EVA P/E P/BVPS P/Sales OPM 5 Theil s U FCFF 0.8921 0.2348 FCFE 2.3543 2.9874 EVA 0.7023 0.7345 P/E 0.5234 0.3574 P/BVPS 2.0340 1.5345 P/Sales 1.5854 1.2134 OPM 1.7842 1.3441 (a) FCFF
114 4 5 Theil s U FCFF -20.84% - 588.84% FCFF (b)fcfe 4 5 FCFE 684.61% 4458.83% FCFE (c) EVA 4 5 EVA -58.86% -80.91% EVA FCFF EVA FCFF FCFE EVA ( ) FCFF FCFE EVA FCFF(-20.84%) EVA(-80.91%)
2001 5 115 iv. (d) (P/E) 4 5-92.81% -207.40% P/E (e) (P/BVPS) 4 5 166.82% 583.34% P/BVPS ( ) 1994 (f) (P/Sales) 4 5 58.97% 127.64% P/S 6.97% 30.55%
116 (g) (OPM) 4 5 86.02% 199.98% OPM 1. 2. 1 FCFF -20.84% EVA -58.86% P/E -92.81% 1 FCFE OPM P/BVPS 3. 2 P/S 58.97% EVA -80.91% OPM 86.02% 2 FCFE FCFF P/E FCFE 4.2 1997 1999 t t 6
2001 5 117 6000 4000 2000 0 +- 3 SD -2000-4000 N = 183 EVA 183 FCFE 183 FCFF 183 SALE 183 EPS 183 BV 183 OPM 1 100000 +- 3 SD -100000 N = 183 183 183 183 183 183 183 EVA FCFE FCFF SALE EPS BV OPM 2
118 6 t p FCFF -20.84% -588.84% -1.156 0.250 FCFE 684.61% 4458.83% 1.219 0.225 EVA -58.86% -80.91% -0.753 0.453 P/E -92.81% -207.4% -0.808 0.420 P/BVPS 583.34% 166.82% -6.229 0.0001 P/Sales 127.64% 58.97% -4.196 0.0001 OPM 199.98% 86.02% -1.014 0.312 FCFF FCFE EVA P/E P/BVPS P/Sales OPM 6 1. (FCFF FCFE EVA) t 0.25 (DCF) ( ( ) ( ) DCF 2. t t 0.0001 3. t
2001 5 119 1. (FCFF FCFE EVA) FCFF EVA FCFF FCFE EVA FCFF EVA FCFE 2. 3. 4. FCFF EVA EVA FCFF FCFE
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