1、Chapter 5Accrual Accounting and Accrual Accounting and Valuation:Pricing Book Valuation:Pricing Book Values-Values-Residual Earnings ModelResidual Earnings Model权责发生制与价值评估权责发生制与价值评估:账面价值定价账面价值定价-剩余收益模型剩余收益模型C h a p t e r 5 A c c r u a l A c c o u n t i n g a n 公司在进行交易时，价格并非是账面价值。资产负债表中的资产和负债有的是公允价值，
2、有的是历史成本，还有一些则被从资产负债表中删除。这就导致分析家们忽略了从资产负债表中删除的价值。分析家们会问：到底在账面价值的基础上增加多少才是固有的价值？每支股票在交易时基于账面价值的溢价到底是多少？本章提出的剩余收益模型解决了分析家们的困惑。C h a p t e r 5 公司在进行交易时，价格并非是账面P/BP/B 简单模型简单模型剩余收益模型剩余收益模型 复杂模型复杂模型 Equities Equities剩余收益模型的应用剩余收益模型的应用 Prijects Prijects Stategies Stategies剩余收益模型的优点、缺点剩余收益模型的优点、缺点剩余收益模型对投资者的
3、提醒剩余收益模型对投资者的提醒总结总结 C h a p t e r 5 结构P/B residual earnings or residual income:剩余收益 residual earnings model:剩余收益模型 premium:溢价 price-to-book ratio(P/B):市净率 rate of return on common equity(ROCE):普通股本回报率 terminal investment:终端投资 going concern investment：持续投资 withdrawl:撤回；提款 forecast horizon:预测期间 fiscal
4、 years:会计年度 share issue：发行股票 earnings per share(EPS):每股收益 dividends per share(DPS):每股股利 discounted cash flow method(DCF):现金流量折现法 continuing value（CV）:持续价值本章重要专业英文词汇r e s i d u a l e a r n i n g s o r P/B P/B 公式：公式：P/BP/B与剩余收益、剩余收益模型的两个驱动因与剩余收益、剩余收益模型的两个驱动因素都有密切的联系。同时，提醒投资者：素都有密切的联系。同时，提醒投资者：Beware o
5、f paying too much for earnings!Beware of paying too much for earnings!00/BVBPEP/B r a t i o1.什么是剩余收益？定义：Residual earnings is the earnings in excess of these required dollar earnings.公式:2.剩余收益模型是什么？定义：A model that measures value added from forecasts of residual earnings is called the residual earning
6、s model.公式：value=Book value+Premiumvalue=Book value+Premium =Book value+present value of expected =Book value+present value of expected r residual earnings.esidual earnings.)Investmentreturn x Required(Earningsearnings Residual0 11剩余收益模型(简单)1.什么是剩余收益？Investment$400Required return 10%Revenue forecast
7、$440Forecasted earnings$40 DCF Valuation:A rate of return of 10 percent on the investment of$400.400 1.100 400 Value0 400)x(0.10-40 )Investmentreturn x Required(Earningsearnings Residual0 1140010.1440VE x a mp l e:V a l u i n g a O n e-P e r i o d PInvestment$400Required return 10%Revenue forecast$4
8、48Earnings forecast$48A rate of return of 12 percent on the investment of$400.1Residual earnings 48-(0.10 x 400)=88Value Project 400 407.271.10The project adds value27.4071.10448 valueDCFE x a mp l e:V a l u i n g a O n e-P e r i o d PForecasts for a Savings Account with$100 invested at the end of 2
9、000.Earning5%per year.Value=Book Value+Present Value of Residual Earnings =100+0 =100E x a mp l e:V a l u i n g a S a v i n g s A c c oNormal P/B=1.0(Price=Book Value)The Normal P/B firm earns an expected rate of return on its book value equal to the required returnThe Normal P/B firm earns expected
10、 residual earnings of zero.T h e N o r ma l P r i c e-t o-B o o k R a t i o 从储蓄账户这个例子得到一些准则，这些准则在将要介绍的模型中也是适用的。1.An asset is worth a premium or discount to its book value only if the book value is expected to earn non-zero residual earnings.2.Residual earnings techniques recognize that earnings grow
11、th does not add value if that growth comes from investment earning at the required return.3.Even though an asset does not pay dividends,it can be valued from its book value and earnings forecasts.4.The valuation of the savings account does not depend on dividend payout.The two scenarios have differe
12、nt expected dividends,but the same value.5.The valuation of a savings account is unrelated to free cash flows:The two accounts have the same value,but different free cash flow.L e s s o n s f r o m t h e S a v i n g s A c c o uIn millions of dollars.Required return is 10%per year.Forecast Year 0 1 2
13、 3 4 5Earnings 12.0012.3612.7313.1113.5113.91Dividends 9.09 9.36 9.64 9.93 10.2310.53Book value 100.00103.00 106.09109.27112.55 115.93RE(10%charge)2.362.43 2.50 2.58 2.66RE growth rate 3%3%3%3%.$133.71 million The intrinsic price-to-book ratio(P/B)is$133.71/$100=1.34.gREBVE10003.110.136.2$100$0EVE x
14、 a mp l e:a S i mp l e Mo d e l I n mi l l An equity investment is a going concern,and a going concern goes on indefinitely.E120023EEEREREREValue of common equity V.where RE is residual earnings for equity:Residual earnings comprehensive earnings-(required return for equitBttEt 1y x beginning of per
15、iod book value)REEarn(1)B-剩余收益模型（复杂）A n e q u i t y i n v e s We calculate the intrinsic premium over book value,as the present value of forecasted residual income.This premium is the missing value in the balance sheet.P/B与RE的关系（见下表）High P/B firms pay high RE,on average,while low P/B firms pay low R
16、E.00BVE000BRE of Value Pr1 RE of Value PrBP/BesentBesent We c a l c u l a t e t h e i n t r i n s i cR e l a t i o n B e t w e e n P/B R a t i o s a n Residual earnings is the return on common equity,expressed as a dollar excess return rather than a ratio.We also restate residual earnings as:ttt-1Co
17、mprehensive earnings to commonROCEBook value1111tEttEtBROCEBEarnRE1ttBEarnA l t e r n a t i v e Me a s u r e o f R e s i d u aTwo Drivers:1.ROCE If forecasted ROCE equals the required return,then RE will be zero,and V=BIf forecasted ROCE is greater than the required return,then V BIf forecasted ROCE
18、 is less than the required return,then V B2.Growth in book valueRE will change with change with ROCE and growth in book value剩余收益模型的驱动因素D r i v e r s o f R e s i d u a lP/B in 2019ROCE in 2019Growth Rate forBook Value in 2019The Gap Inc.4.2328.1%30.7%General Electric Co.4.1622.3%39.3%Verizon Communi
19、cations Inc.3.3223.4%12.2%Citigroup Inc.2.7917.4%11.5%Home Depot Inc.2.6219.2%13.2%General Motors Corp.1.1911.1%9.7%Federated Department Stores0.9212.0%3.1%ROCE is positively related to P/B.And growth in book value is also positively related to P/B.P/B,R O C E a n d G r o w t h i n B o o k VR O C E
20、a n d P/B R a t i o s:S&P 5 0 0 F1.The current book value2.Forecasts of residual earnings 3.Forecasted premium at the horizon Component 3 is called the continuing value.As efficient prices equal intrinsic values,thenTETETTET2E2E10E0BVRE.REREBVTTETCBVI n g r e d i e n t s o f t h e Mo d e l1.Identify
21、 the book value in the most recent balance sheet.2.Calculate future residual earnings from the forecasts of earnings and book values.3.Discount the residual earnings to present value.4.Calculate a continuing value at the forecast horizon.5.Discount the continuing value to the present value.6.Add 1,3
22、,and 5.TETETTET2E2E10E0BVRE.REREBVS t e p s i n A p p l y i n g t h e Mo d e l 1.ROCE1Current book valueROCE2Book value1ROCE3Book value2Year 3 aheadYear 2 aheadYear 1 aheadResidual earnings1Residual earnings2Residual earnings3Current book valueCurrent yearPV of RE1Discount by ForecastsPV of RE2PV of
23、 RE3Current book valueDiscount by 3Discount by 2Current DataH o w t h e R e s i d u a l E a r n i n g s Mo d eVBPV of RE fE00or T periods95.058.353.40EV Flanigans Enterprises Inc.Required rate of return is 9 percent.In this case,residual earnings is expected to be zero after 2019.Forecast Year2019 2
24、000 2019 2019 2019 Eps 0.73 0.80 0.71 0.47Dps 0.11 0.24 0.25 0.27Bps3.58 4.20 4.76 5.22 5.41ROCE 20.4%19.0%14.9%9.0%RE(9%charge)0.408 0.422 0.282 0.000Discount rate(1.09)1.09 1.188 1.295 1.412Present value of RE 0.374 0.355 0.217 0.000Total present value of RE to 2019 0.95 Value per share 4.53 剩余收益模
25、型的应用-E q u i t i e s C a s RE is forecasted to be zero in perpetuity at the horizon So The forecasted premium at the horizon is0CVT0BVTETTET2E2E10E0RE.REREBVC a s e 1:Z e r o R E a f t e r T-C o48.527.332.407.13VE0 General Electric Co.Required rate of return is 10 percent.In this case,residual earni
26、ngs is expected to be constant,but nonzero after 2019.Suppose that RE beyond 2019 is going to be the same as the 0.882 in 2019.Forecast Year2019 2000 2019 2019 2019 2019Eps 1.29 1.38 1.42 1.50 1.60Dps 0.57 0.66 0.73 0.77 0.82Bps4.32 5.04 5.76 6.45 7.18 7.96ROCE 29.9%27.4%24.7%23.3%22.3%RE(10%charge)
27、0.858 0.876 0.844 0.855 0.882Discount rate(1.10)1.100 1.210 1.331 1.464 1.611Present value of RE 0.780 0.724 0.634 0.584 0.548Total present value of RE to 2019 3.27Continuing value(CV)8.82Present value of CV5.48Value per share 13.07The continuing value:CV=8.82 Present value of continuing value=5.48A
28、ssuming constant RE after period T:10.0882.06105.182.8C a s e 2:C o n s t a n t R E a f t e r T RE is forecasted to be constant in perpetuity at the horizonSoTEETRE1RE.REREBV1TET2E2E10E01RECVE1+TTFor GE,CVT=82.810.0882.0TETETTET2E2E10E0BVRE.REREBV R E i s f o r e c a s t e d t o b e c o n s tDell In
29、c.Required rate of return is 11 percent.In this case,residual earnings is expected to grow at a 6.5 percentrate after 2019.Forecast Year2000 2019 2019 2019 2019 2019Eps 0.84 0.48 0.82 1.03 1.18Dps 0.0 0.0 0.0 0.0 0.0Bps2.06 2.90 3.38 4.20 5.23 6.41ROCE 40.8%16.6%24.3%24.5%22.6%RE(11%charge)0.613 0.1
30、61 0.448 0.568 0.605 Discount rate(1.11)t 1.110 1.232 1.368 1.518 1.685Present value of RE 0.553 0.131 0.328 0.374 0.359Total present value of RE to 2019 1.75 Continuing value(CV)14.32Present value of CV 8.50Value per share 12.31 The continuing value(with growth at 6.5%):CV=14.32 Present value of co
31、ntinuing value=8.50 Assuming growing RE after period T:50.875.106.231.120EV065.111.1065.1605.0685.132.14C a s e 3:G r o w i n g R E a f t e r T D e l lRE is forecasted to grow at constant rate in perpetuity at the horizonSo32.14gRECVE1+TT1.065-1.111.065 x 605.0CV Dell,For TTEETgRE1TET2E2E10E0RE.RERE
32、BVTETETTET2E2E10E0BVRE.REREBVC a s e 3:G r o w i n g R E a f t e r T-TTTCVB PriceTarget 41.520032003 BVE73.20 32.14 41.6 200520052005CVBVECase 1(Flannigans)Case 2(GE)Case 3(Dell)16.78 82.8 96.7 200420042004CVBVEF o r e c a s t i n g T a r g e t P r i c e s C a s e Value added:PV of RE=330 (same as N
33、PV)剩余收益模型应用-P r o j e c t V a l u e a d剩余收益模型应用-S t r a t e g y E v a l u a t 在前面的例子中，我们看到剩余收益模型计在前面的例子中，我们看到剩余收益模型计算的价值与现金流量折现法计算的价值是相同算的价值与现金流量折现法计算的价值是相同的。的。The foercasts of RE have captuerd the value added over the cost of the investment.R e s i d u a l E a r n i n g s Mo d e l a n d D C Focus o
34、n value drivers:focuses on profitability of investment and growth in investment that drive value;directs strategic thinking to these drivers Incorporates the financial statements:incorporates the value already recognized in the balance sheet(the book value)Uses accrual accounting:uses the properties
35、 of accrual accounting that recognize value added ahead of cash flows,matches value added to value given up and treats investment as an asset rather than a loss of value Versatility:can be used with a wide variety of accounting principles(Chapter 16)Aligned with what people forecast:analysts forecas
36、t earnings(from which forecasted residual earnings can be calculated)Validation:forecasts of residual earnings can be validated in subsequent audited financial statements Predictability:dividends are usually fairly stable in the short run so dividends are easy to forecast(in the short run)Accounting
37、 complexity:requires an understanding of how accrual accounting works Suspect accounting:relies on accounting numbers that can be suspect(Chapter 17)Forecast horizon:forecast horizons can be shorter than for DCF analysis and more value is typically recognized in the immediate future;also,forecasts u
38、p to the horizon give an indication of profitability and growth for a continuing value calculation;but the forecast horizon does depend on the quality of the accrual accounting(Chapter 16)剩余收益模型的优点、缺点A d v a n t a g e s D i s a d v The firm is expected to make a share issue of$50 in Year 1.Required
39、return is 10 percent per year.Forecast Year 0 1 2 3 4 5Earnings12.0012.3617.7318.6119.5620.57Net dividends9.09(40.64)9.649.9310.2310.53Book value100.00153.00 161.09 169.77179.10 189.14RE(10%charge)2.36 2.43 2.50 2.58 2.66RE growth rate3%3%3%3%$133.71 million.03.110.136.2$100$0EVBeware!剩余收益模型对投资者的提醒：
40、（1）P r o t e c t i o n f Writing inventory down by$8 million in Year 0 creates lower-cost-of-goods sold in Year 1:Forecast Year 0 1 2 3 4 5Earnings4.0020.3612.7313.1113.5113.91Dividends 9.09 9.369.649.9310.2310.53Book value92.00103.00106.09109.27112.55115.93RE(10%charge)11.162.432.502.582.66RE growt
41、h rate 3%3%3%=$133.71 million.10.103.110.143.210.116.1192$0EVBeware!剩余收益模型对投资者的提醒：（2）P r o t e c t i o n f Residual earnings valuation solves the problem of the imperfect balance sheet,adding a premium by foercasting the earnings that the book values will produce.The higher residual earnings compens
42、ate for the lower book values,to produce a valuation that corrects the low book value.This makes sense:If assets are missing from the balance sheet,the P/B ratio should be higher,and a higher P/B means that residual earnings are expected to be higher.剩余收益模型对投资者的提醒：（3）C a p t u r i n g V a Valuing a
43、Savings Account Protection from Paying Too Much for Earnings Created by Investment.这两个例子就说明了这个问题！剩余收益模型对投资者的提醒：(4)R e s i d u a l E a r 本章提出的剩余收益模型可以应用于股票、项目、本章提出的剩余收益模型可以应用于股票、项目、战略等。该模型利用了资产负债表中的信息，但它指出战略等。该模型利用了资产负债表中的信息，但它指出了剩余收益的价值，这是报表所忽略掉的。了剩余收益的价值，这是报表所忽略掉的。剩余收益模型的核心就是剩余收益这个概念。当一剩余收益模型的核心就是剩
44、余收益这个概念。当一项投资的预期收益是按所要求的回报率计算的，那么剩项投资的预期收益是按所要求的回报率计算的，那么剩余收益为余收益为0 0，并且没有使价值增加。剩余收益不受股利，并且没有使价值增加。剩余收益不受股利分配、股票的发行、股票的回购等地影响，所以用该模分配、股票的发行、股票的回购等地影响，所以用该模型计算的价值不受股东交易的影响。该模型并且提醒投型计算的价值不受股东交易的影响。该模型并且提醒投资不要为了追求收益的增长而支付太多，因为收益的增资不要为了追求收益的增长而支付太多，因为收益的增长可能是由于过多的投资所致也可能是会计方法的不同长可能是由于过多的投资所致也可能是会计方法的不同所致。所致。总之，剩余收益模型给我们提供了一种思考价值总之，剩余收益模型给我们提供了一种思考价值的方法，尤其要关注的是和的方法，尤其要关注的是和 Growth in book Growth in book valuevalue。BEWARE OF PAYING TOO MUCH FOR GROWTH!S u mma r y 本章提出的剩余收益模型可
