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1、InvestmentReturns EquityValue andFinancialStatements PARTI GainingtheUnderstandingtodoFundamentalAnalysis Chapter3 InvestmentReturns InvestmentReturns Whatyouwilllearninthischapter HowinvestmentreturnsarecalculatedThedifferencebetweennormalandabnormalreturnsWhatanefficientmarketpricemeansWhatanarbit
2、rageopportunityisThedifferencebetweenactiveandpassiveinvestmentThedifferencebetweenanalphaandabetaHowassetpricingmodelswork inoutline Howscreeningstrategieswork anddon twork WhatacontrarianstrategyisHowfundamentalanalysisdiffersfromscreeningandcontrariananalysisHowvariousstockselectionstrategieshave
3、workedinthepast Foraterminalinvestment Foraninvestmentinequity Foraone yearequityinvestmentPayoff Return Rate of Return ExpectedReturn ExpectedRate of Return RequiredPayoffperdollar RequiredRate of Return Therequiredreturnisalsocalledthenormalreturnorthecostofcapital TheStructureofInvestmentReturns
4、Hewlett Packard Returnsfor1991 Ifthepricepaidforastockis expectedpayoffdiscountedattherequiredpayoffperdollar r thestockisappropriatelypriced themarketpriceisefficientOr priceisefficientifitequalstheexpectedreturncapitalizedattherequiredrate of return Or today sprice P0 mustbesuchthattherequiredrate
5、 of return r 1 willequalthe expected rate of return TheNoArbitrageCondition NA RequiredRate of Return ExpectedRate of Return ArbitrageTradingStrategies IfNAholds themarketisefficientinthatstock thereisnoarbitrageopportunityAnydiscrepancybetweenexpectedandrequiredrate of return isanarbitrageopportuni
6、tythat ifexploited willprofitthearbitragetraderAnarbitrageopportunityarisesifIfthenBUYIfSELLThedifferenceiscalledtheexpectedabnormalreturnandtherulecanberestatedas BUYiftheexpectedabnormalreturnispositive andSELLifnegative Ifitiszero donothing HOLD TypesofArbitrage Risk1 Pure Risk Free ArbitrageYoug
7、etsomethingfornothing forsure2 ExpectationalArbitrageYouhaveabetterchanceofanabnormalreturnthannotLocationofprices1 Cross sectionalArbitrageDifferentpricesforthesamecommodityatthesamepointintime2 IntertemporalArbitrageDifferentpricesforthesamecommodityatdifferentpointsintime Theseconceptsapplytoanin
8、vestmentformorethanoneperiodwithtwomodifications Themultiperiodrate of returnwillbethecompoundedannualrate ForaT yearperiodandaflattermstructure therequiredpayoffis ForachangingtermstructureitwouldbeDividendsfortheintermediateyearscanbereinvestedatr TheaccumulatedvalueatyearTofreinvesteddividendsisc
9、alledterminalvalueofdividendsatTAddingthesellingpricewillgivethecumdividendpayofforcum dividendterminalprice AndtheT periodcumdividendreturnwillbe MultiyearEquityInvestments Hewlett Packard1990 95 Payoffs 1994 1995 1993 1992 1991 1990 d4 0 55 P5 84 d3 0 45 d2 0 36 d1 0 24 d5 0 90 P0 13 TerminalValue
10、ofDividends 0 1 2 3 4 5 d 1 d 2 d 3 d 4 d 5 d 2 x r 2 d 3 x r 3 d 4 x r 4 d 5 x r 5 d 1 r 1 d 2 r 2 d 3 r 3 d 4 r 4 d 5 r 5 Year0value Year5value 1 2 3 4 5 d 1 d 2 d 3 d 4 d 5 Year5value Year0value 0 r 5 d t r t t 1 5 HP1990 95 TerminalDividendPayoff HP1990 95 Five YearReturn Terminalvalueofdividend
11、sin19952 76Pricepayoffin1995 PT 84 00TotalPayoff86 76Purchasepricein1990 P0 13 00Five yearreturn73 76Five year rate of return567 38 Normalrateofreturn 12 p a 76 23 Abnormalrateofreturn491 15 Normalrateofreturn 1 125 1 76 23 TheNAconditionforamultiyearinvestmentisnowOrOr MultiyearEquityInvestment NA
12、Expectedrate of return Requiredrate of return DividendsandCapitalGains T periodreturncomponents Foroneperiod CapitalGainComponent DividendComponent 1 0 1 d P P CapitalGainComponent DividendComponent IntrinsicValues Intrinsicvalueiscalculatedbyforecastingpayoffsfromtheinformationaboutthemandapplyingt
13、hediscountrateTwowaystocalculateintrinsicvalues V0 1 PresentvalueoftheexpectedpayoffV0 Expectedpayoff rT2 CapitalizedexpectedreturnsV0 Expectedreturns rT 1 Alwaystwoingredients ExpectedpayoffsanddiscountratesIntrinsicvaluesatdifferentpointsintimealwaysobeythenoarbitragecondition NA Betatechnologies
14、CalculatesthenormalreturnIgnoresanyarbitrageopportunitiesThisisthedenominatorissueinvaluationAlphatechnologies TriestogainabnormalreturnsbyexploitingarbitrageopportunitiesThisinvolvesthenumeratorissueinvaluationPassiveinvestmentneedsabetatechnology exceptforindexinvesting Activeinvestingneedsabetaan
15、danalphatechnology InvestmentAdvising AlphasandBetas BetaTechnologies AssetPricingModels Requiredreturn Risk freereturn PremiumforriskPremiumforrisk RiskpremiumonriskfactorsxsensitivitytoriskfactorsSometechnologies TheCapitalAssetPricingModel CAPM Onesingleriskfactor ExcessmarketreturnoverRFOnly bet
16、a riskrequiresapremium MultifactorpricingmodelsIdentifyriskfactorsandsensitivitiestothem i Factor Risk to y sensitivit i Factor Risk to turn Re R R R R R R R R return Normal i i F k k F 2 2 F 1 1 F b b b b L K F M F R R R return Normal b AnticipatesthatastockmaybemispricedScenarioA Today spricedeviatesfromitsintrinsicvalue butthiswillbecorrectedinthefuture ScenarioB Today spriceiscorrect butinthefutureitwilldeviatefromitsintrinsicvalue Todiscovertheseopportunities atechnologyforcalculatingintrin
