Введение в анализ инвестиционной стоимости собственного капитала

3 ? : :   « » : :  И  :  ,  И :  D1  P1 1 (1) (2) (3) P0  D2  P2 2 D3  P3 Dn  Pn 3 n D1 P  1 1  re 1  re P1  D2 P  2 1  re 1  re т D P  1  D2  2  P0  1  * 1  re 1  re 1  re 1  re   Dn Dn D1 D2 P0    ...    1  re (1  re ) 2 (1  re ) n n1 (1  re ) n , P2  D3 P  3 1  re 1  re М : Pn Divt n Divt Pn  V  t n ( 1  r ) ( 1  r ) ehg ehg t 1 n Pn reh g resg g nsg Pn  -К -А -А - ( ( ) ) Divn 1 resg  g nsg : g d t g  RR  ROE g- d d – dividend payout RRROE- ( div NI ) ( )  ,  (free cash flows, FCF) ,  И  - П Д я + -И + (Depreciation) (EBIAT) я = , (FCFE) И + И – NWC  CA  CLs NWC CA CLs capex capex  FA - Change in Net working capital – - Change in current assets – - Change in spontaneous current liabilitiesCapital expenditure – С щ VSGF FCFE  re  g s К Ф «  VSGF gs , - FCFE - , » С ( ) : 1, 2, …., n , (terminal cash flow, TCF) (free cash flow to equity, FCFE) С = С + FCFE С TCF n FCFE t VE    PFIVres ;n * TCF n t 1 (1  reh ) reh res -А -А щ ы т « ч » , Ф , Ф , = ы т VG  VEGF  VSG F : - VG VEG F VSG F - Value of growth - - g RR r VG  VSG F  VS F « VSG F VS F VG - - » EPS1 V  P0   PVgrowth re EPS1 PVgrowth )  re * (1  P0 P0 P0  P/E EPS EPS 1 P0 - Price to earnings - К , - /E EPS 1 r P0 У , щ • К • . . • П • . . : , я В А К З К : • • : • • . я G* = я PM AT X ROA = X FL X R Ч А А Ч (1- А PM - profit margin AT – asset turnover FL – financial leverage – R – retention rate – я Ч ) : Sales=100 G*= PM x AT x FL x R G*=13%x1.5x1.2x0.9 G*=21.06% G*= ROA x FL x R G*=19.5 x1.2 x 0.9 . Ч =13 = Net income . А = 66.67 . = 55.56 . =1.3 . G*=21.06% PM=13 / 100= 13% AT=100 / 66.67=1.5 G*= ROE x R FL=66.67 / 55.56= 1.2 g*=23.4%x0.9 R=(13-1.3) / 13= 90% G*=21.06% ROA=13 / 66.67=19.5% ROE=13 / 55.56= 23.4% я ROA Д И Д G*= ROA x FL x R < < В Q1 Q3 , Q4 , ? Q2 : Q1 Q3 14,6% -1% 19,2% 22,2% Q2 Q4 1,5% -5% 3,7% 14,7% / Eurostocxx50 L’Oreal Deutsche telekom Nokia PinaultPrintemps Alcatel Royal Dutch 3.0 Parisbas ABN Amro 1.0 0.5 1.5 2.0 3.0 4.0 / 5.0