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高盛估值方法

Portfolio Strategy

Finding ‘fair value’ in Global Equities; Part I A valuation anchor for Equities

We introduce GS DDM, a new approach to valuing equity markets globally, to sit alongside our other regional valuation models. We take three approaches to fair value: 1) Fair Value under our current central assumptions, applying current bond yields and estimated ERP. 2) Fair Value adjusted for current ‘fair value’ bond yields using our Sudoku bond model. 3) Equilibrium Value, assuming the ERP and bond yields revert to long run averages.

Estimating 'fair value' using a DDM

In Part I we develop a model that: 1) is estimated in the same way in each major region to establish a benchmark for ‘fair value’; 2) lends

itself to reverse engineering – assessing what assumptions the market

is ‘implying’. We look at the sensitivity of fair values to changes in the underlying assumptions. In our forthcoming Part II, we will extend this analysis to forecast the ERP and market levels.

Substantial undervaluation from 'equilibrium'

Our analysis shows that, using current central assumptions, most markets are undervalued by between 3% and 15% with Europe the

most undervalued. Using our ‘fair value’ Sudoku bond yield assumptions instead of current yields increases the undervaluation in

all regions. In all cases, an assessment of ‘equilibrium’ valuation, based on assuming the ERP reverts to a long run average and using a long

run ‘trend’ real yield of 2% shows substantial undervaluation of 71% for Europe, 36% in the US, 31% in Asia ex Japan and 13% in Japan.

Fair value and upside/(downside)

Ce n tra l S ce n a rio Usin g S u do ku Fa ir

V a lu e Bo nd m od e l

Usin g e qu ilib riu m ERP* a n d

2% re a l in te re st ra te

Cu rre n t Le ve l

Fa ir

V a lu e

L e ve l

F a ir V a lu e

Upsid e /

(Do w nsid e)

F a ir

V a lue

L e ve l

Fa ir V a lu e

Up sid e /

(Dow n sid e)

F a ir V a lue

Le ve l

F a ir V a lu e

Upsid e /

(Do w nsid e)

US (S&P 500)84694111%94312%115236% Eu ro p e (S to x x 600)19522415%27441%33371% Ja pa n (T O P IX)7868093%91616%88613% Asia (M S CI AP x J)2662774%NA NA34931%

* We estimate equilibrium ERP at 3% for all regions (4% for Asia).

Source: Goldman Sachs Global ECS Research. Peter Oppenheimer

+44(20)7552-5782 | peter.oppenheimer@https://www.wendangku.net/doc/4e4537500.html, Goldman Sachs International

Jessica Binder, CFA

+44(20)7051-0460 | jessica.binder@https://www.wendangku.net/doc/4e4537500.html, Goldman Sachs International

Anders Nielsen

+44(20)7552-3000 | anders.e.nielsen@https://www.wendangku.net/doc/4e4537500.html, Goldman Sachs International

Gerald Moser

+44(20)7774-5725 | gerald.moser@https://www.wendangku.net/doc/4e4537500.html, Goldman Sachs International

Sharon Bell, CFA

+44(20)7552-1341 | sharon.bell@https://www.wendangku.net/doc/4e4537500.html, Goldman Sachs International

The Goldman Sachs Group, Inc. does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision. For Reg AC certification, see the end of the text. Other important disclosures follow the Reg AC certification, or go to https://www.wendangku.net/doc/4e4537500.html,/research/hedge.html. Analysts employed by non-US affiliates are not registered/qualified as research analysts with FINRA in the U.S.

Executive summary

? We introduce a 4-stage dividend discount model that is estimated in the same way in

each major region. This is used as a valuation anchor for international comparison. ?

In generating results from GS DDM, we have taken three approaches. 1) ‘Fair value’ today using our central scenario (how should we think of equities relative to current bond yields?). 2) ‘Fair value’ today using ‘fair value’ bond yields, based on our Sudoku model (how should we think of equities assuming bonds were fairly valued in the current environment?). 3) ‘Equilibrium value’ using long run average real bond yields and ERP (how much of the current valuation gap is due to the fact that the discount rate is higher/lower than normal?).

We estimate that the upside to ‘fair value’ given the current economic

environment and bond yields is, 15% in Europe, 11% in the US, 4% in Asia ex Japan and 3% in Japan .

? Adjusting the ‘fair value’ for current ‘fair value’ bond yields increases the undervaluation in all equity markets.

On a long run ‘Equilibrium Value’ basis we find an upside to fair value of 71% in Europe, 36% in the US, 31% in Asia ex Japan and 13% in Japan. We estimate the upside to long run equilibrium fair value by using a real interest rate of 2% and an equity risk premium of 3% (except in Asia ex Japan where we use 4%) in our dividend discount model.

Exhibit 2 shows that the deviation of market values from long run

equilibrium levels tend to close over time. One percentage point of additional upside to fair value at the beginning of the year on average increases the total return during the year by 0.3 percentage points (Exhibit 3). Exhibit 3 also shows that the upside to fair value explains 15% of the variation in yearly returns.

Exhibit 1: GS DDM “fair-value” and “equilibrium” levels

Ce ntra l S ce na rio

Using S udoku Fa ir V a lue Bond m ode l Using e quilibrium ERP * a nd

2% re a l inte re st ra te Curre nt Le ve l Fa ir V a lue Le ve l Fa ir V a lue Upside / (Dow nside )

Fa ir V a lue Le ve l Fa ir V a lue Upside / (Dow nside )

Fa ir V a lue Le ve l

Fa ir V a lue Upside / (Dow nside )

US (S &P 500)

84694111%94312%115236%Europe (S tox x 600)19522415%27441%33371%Ja pa n (TO P IX )7868093%91616%88613%Asia (M S CI AP x J)

266

277

349

31%

Source: Goldman Sachs Global ECS Research.

Exhibit 2: S&P 500 reverts to fair value over time

Exhibit 3: Deviations from fair value predicts returns

-60%

-40%

-20%0%20%40%60%Jan-89Jan-92Jan-95

Jan-98

Jan-01Jan-04

Jan-07

Undervalued

Overvalued

-50

-40-30-20-1001020304050

-60

-40

-20

2040

Upside to lo ng run fair value (%)

R e t u r n o v e r t h e n e x t y e a r (%)

Source: Datastream, Haver analytics, Goldman Sachs Global ECS Research

Source: Factset, Haver analytics, Goldman Sachs Global ECS Research

Finding a ‘fair value’ anchor for equities; Introducing GS DDM

Valuing equity markets is always controversial because any chosen approach relies on

assumptions. Equally, valuation is not the only driver of markets. Markets can stay above

or below theoretical ‘fair’ value for long periods of time. Nevertheless, using a standard,

easily comparable, valuation model that provides an ‘anchor’ to fair value and can be used

to compare across markets can help to identify opportunities and risks; it can also be used

as a forecasting tool. At the very least, it might also shed some light on the kinds of

assumptions that implicitly need to be made in order to justify deviations from equilibrium

valuation over time.

Across the regions, GS Strategists use a variety of different tools and measures to assess

value. The importance given to any particular approach varies by region and over time,

according to the structure of the market and the stage of the cycle. Our interest here was

not to replace these models but to supplement them with a single approach that can be

applied globally, providing a guide to ‘fair value’ using an assessment of current drivers

and also as a guide to ‘equilibrium’ – the fair value level of the market assuming that the

Equity Risk Premium converges to the long run average and real bond yields are at their

long run trend.

Two approaches to valuation

We introduce a common basis for the global valuation of equities with GS DDM (dividend

discount model). In each region, we monitor and forecast with several different types of

valuation tools. These include earnings based multiples (cyclically adjusted), dividend and

free cash flow yields, book valuations, relative valuations against competing assets and a

number of other approaches. For each market we also have a dividend or earnings

discount model.

However, many of these models are used as a guide to valuing the market in isolation at

any time, rather than to compare across markets or focus on an intrinsic ‘fair value’.

Across the Global Economics, Strategy and Commodities Research Group (ECS) we have,

over time, developed a number of valuation tools intended to generate a measure of

‘equilibrium’ value for each asset class. These can be thought of not so much as a specific

forecast for a market but more as a valuation ‘anchor’. The advantage of these is that they

can provide useful warning signals when markets become very stretched relative to the

underlying fundamentals. Furthermore, they provide a framework for understanding what

kinds of assumptions investors would need to make at any time to justify current market

levels if they are significantly away from fair value.

These models include our Sudoku model for the bond markets and GSDEER for foreign

exchange markets. In this paper we highlight a new dividend discount model approach

that we have developed with the aim of providing an internationally comparable valuation

anchor for equities.

In effect there are two ‘approaches’ to equity valuation models, both of which we introduce

in a new approach to valuing equity markets globally.

? A ‘fair value’ approach: by fixing specific inputs, such as the equity risk premia, one

can back out a ‘fair value’; this approach is helpful in providing a valuation anchor.

? A ‘forecast’ approach: using a fair value to generate an expected future price level.

Valuation as a ‘fair value’ guide

Our intention in this paper, Part I of a two part series, is the following.

?To have a model that is estimated in the same way in each major region so that a

consistent benchmark for ‘fair value’ can be established. In this way we can compare

valuations across regions and also relative to history.

?Develop an approach that lends itself to reverse engineering – assessing what

assumptions the market is ‘implying’. This can be particularly useful at turning points

or periods when the market appears to have deviated materially from ‘fair value’. If a

market appears expensive, then what kinds of assumptions would be required in order

to justify such valuations?

?To generate an assessment of ‘Fair Value’ for the market by applying assumptions

about it (bond yields, ERP, earnings etc).

?To establish an ‘Equilibrium Level’ level for the markets by assessing the ‘fair value’

assuming that the ERP converges to a long run average level and real bond yields are

at their long term trend.

Valuation as a forecast tool

The forecast returns approach attempts to assess how quickly the convergence of prices to

fair value is likely to happen. In a separate report, Part II of our Valuation series, we intend

to invert the fair value model presented in this paper to back out the ERP required to

equate market levels to the theoretical fair value. By doing this at different points in time

we generate a time series of the implied equity risk premium. We then analyze the

relationship of the premium with macroeconomic variables, allowing us to forecast the

ERP and, therefore, market levels.

Setting out the framework

We considered several valuation approaches to find the one that might be useful for this

exercise. One distinction when comparing valuation tools is whether to value the equity or

the enterprise value, another is to consider models based on cash flows, returns or

multiples.

Cash flow models focus on cash flow to equity holders – dividends or flows to equity and

debt holders – free cash flow. Returns models focus on the capital stock and the spread

between the return and the cost of capital.

For the purposes of this exercise we focus on equity holders and are interested in a

discount model rather than a multiple model so that we can more easily test assumptions

and scenarios when markets deviate from ‘equilibrium’. It is for this reason that we settled

on a DDM approach. The model that we have chosen covers the US (S&P 500), Europe (DJ

Stoxx 600), Japan (TOPIX) and Asia (MSCI Asia-Pacific ex Japan).

The model is based on four ‘phases’ and assumes that a proportion of earnings are paid

out each year as dividends. The length of the phases and the proportion of value for the

S&P 500 index that falls in each phase are given in Exhibit 4.

Exhibit 4:Model time line

Phase I Phase II Phase III Phase IV

Financial years

% of total value5%5%23%67%

Source: Goldman Sachs Global ECS Research.

Phase I: Forecast growth – years 1 and 2

We use our top-down estimates for operating earnings growth for year 1 and year 2. For each year, we adjust the previous year’s payout ratio by a factor that relates to the forecast growth rate (for example if earnings are expected to rise rapidly, we assume that last year’s payout ratio falls moderately as dividends are more stable than earnings).

Phase II: Fade to trend ROE – years 3 and 4

We assume that the market gets back to trend ROE by the end of year 4 and that the earnings change to achieve this occurs equally over the two years. In a normal part of the cycle this may not result in very different growth in earnings from an average year but at major turning points it could result in quite a large jump in growth in either direction. Having an assumption that gets back to a long-term trend is important. Without it, for example, a model could imply ongoing growth from an unsustainably high (or low) level following a boom (or collapse) in profits. Growing from an unsustainable high or low level of profits would alter the implied fair value materially.

Phase III: Long-term growth rate – years 5-20

We assume that profits grow at their trend rate of growth (equal to the long-term real economic growth rate plus inflation) but assume that the proportion paid out by companies over this period equals the average of the past 5 years.

Phase IV: The terminal value

We assume that any profits growth in perpetuity is offset by a commensurate change in the payout ratio; this way we ensure that the return on equity is equal to the cost of equity and profits grow in line with trend real GDP.

Other key assumptions for current ‘fair value’

In order to calculate a fair value, we also need estimates for the following.

?Risk-free rate: We use the current 10-year bond yield for each of the regions (for Asia we use a cap-weighted average).

?Inflation: We have settled on a 5-year moving average of core inflation as the most stable and consistent measure of “expected future” inflation that is easily measurable in each region.

?ERP: While we intend to model the ERP separately in our valuation ‘forecast’ paper, we cannot use the results of that model as an input into the DDM because it becomes circular (the DDM ‘fair values’ are used to extract the historical series of ERP).

Consequently, we are constrained to making an assumption for the ERP in this model.

This is an important limitation since we cannot observe the required ERP directly at any time. For the purposes of our central assumptions used in our assessment of

current ‘fair value’, we make an assessment about the current appetite for risk, and chose an ERP by reference to the long run ERP series from our ERP model (to be

discussed in detail in a follow up report). Currently, for example, we use an ERP of 5%

for the developed markets and 6% for Asia, which is in the top quartile of the historical distribution. While changing the assumption for the ERP can make big differences to the output of the model, we examine the sensitivities to these assumptions later in this report. While we do make an assumption about the ERP for our central case

assessment of fair value, we also assess the ‘equilibrium’ level of the market by

assuming the ERP and real bond yields are at their long run average.

All the assumptions are summarized in Exhibit 5:

Exhibit 5:Summary of assumptions for our central scenario

Earnings

FY1-5%-16%-37%-15%

FY231%8%-3%17%

FY33%3%9%5%

FY43%3%8%5%

Payout Ratio

FY141%54%67%40%

FY238%54%48%38%

FY339%56%43%38%

FY440%58%39%38%

Year 5-2032%41%34%35%

ROE14%13%6%15%

Long term

Inflation2%2%1%4%

Real Growth3%3%2%4%

10 year bond3%3%1%5%

ERP5%5%5%6%

Source: Goldman Sachs Global ECS Research.

What the model says now

In generating results from GS DDM, we have taken three approaches.

1. ‘Fair Value’ today using our central scenario

Suppose the bond markets are right and the ERP is where we think it belongs in this kind

of environment, where would you expect fair value for stocks to be? (How should we think

of equities relative to current bond yields)

2. ‘Fair Value’ today using ‘fair value’ bond yields (based on our Sudoku model)

Suppose the bond markets are themselves at fair value and the ERP is where we think it

should be, where would you expect fair value for stocks to be? (How should we think of

equities assuming bonds were fairly valued in the current environment)

3. ‘Equilibrium Value’

Suppose the discount rate (both the real bond yield and ERP) was at its average historical

level, where would you expect fair value for stocks to be? (How much of the current

valuation gap is due to the fact that the discount rate is higher than or lower than normal).

Fair Value under central scenario

Taking the final results form our model, explained in more detail below, the ‘fair value’

central scenario levels and percentage upside currently are shown in Exhibit 6.

Exhibit 6:DDM equity ‘fair value’ based on central scenario

Curre nt Le ve l

Fa ir

V a lue

Le ve l

Fa ir V a lue

Upside /

(Dow nside)

US (S&P 500)84694111%

E urope (S tox x 600)19522415%

Japan (TO P IX)7868093%

A s ia (M S CI A P x J)2662774%

Source: Goldman Sachs Global ECS Research.

All four markets are trading below fair value but the upside is limited. This is because the valuation is taking into account the current weak economic environment by using an equity risk premium of 5% for all markets except Asia ex Japan, where we use 6%. The upside to fair value is substantially higher if economic assumptions consistent with long run equilibrium are used. Under such assumptions the upside to the European market is 71% for example (see further discussion of this below).

This analysis is in line with other work from Goldman Sachs strategists, where we have argued that markets are currently attractively valued but that other criteria are needed to be satisfied in order for that value to be unlocked. Specifically, risk premia need to be reduced.

In recent work, many of our strategists have written about conditions that may need to change in order for the long term fair value to be unlocked in a sustained recovery. We believe three key criteria are the following.

?Evidence that economic activity is stabilizing. In this regard we focus on our proprietary indicators such as the GLI and the Financial Conditions Index (as a

measure of policy efficacy) as a guide to a shift in the first and second derivative of growth.

?We also expect to see evidence of the market absorbing disappointing data, both macro economic and company specific, without a negative price reaction.

?We have argued that an improvement in the credit markets is also required as a prerequisite for a sustained recovery in equities since, on a risk adjusted basis, parts of the credit market have overshot fair value even more than equities (see for example our report of November 14, 2008, Strategy Matters: Credit versus equity: Credit offers better value). Again, in this regard, recent improvements in our Financial Distress

Index are also encouraging.

Fair Value, adjusting for Sudoku ‘fair value’ bond yields

One of the issues that may affect the current fair value of equities is the bond yield. In the central case assumptions that we have used in the fair value levels shown in Exhibit 6, we applied the current 10-year bond yields as our risk free rate. In practice this gives some advantage to the US where real rates are much lower. Some investors argue that it is the bond market that is ‘mis-priced’ (particularly given growing supply risk) and that this distorts equity valuation measures that use the bond yield as an input. Our bond strategists do not believe this to be the case (see Bond Snapshot January 26, 2009) but as a cross check, we also show the current equity ‘fair values’, based on our fundamental assessment of ‘fair value’ in the bond market using the results of our Sudoku bond fair value model. While we do not have estimates for Asia, the conclusions are broadly the same for equities in general: equity markets are currently attractively valued. Europe’s fair value upside, in particular, rises sharply to 30% when we apply our fair value bond estimates.

Exhibit 7:DDM equity ‘fair value’ based on Sudoku bond model

Curre nt Bond Yie ld Fa ir V a lue

Upside /

(Dow nside)

S udoku

Bond

Yie ld

Fa ir V a lue

Upside /

(Dow nside)

US(S&P500) 2.9%11% 2.9%13% E urope (S tox x 600) 3.5%15% 2.6%30% Japan (TOP IX) 1.3%3%0.9%16% A s ia (M S CI A P x J) 4.9%4%NA NA Source: Goldman Sachs Global ECS Research.

Establishing a long run ‘Equilibrium Value’

In the above ‘fair value’ calculations, we use current bond yields (or those adjusted by our ‘fair value model) and an assessment about current risk appetite. As discussed above, probably the most controversial input into this model is the ERP. In the central assumptions we plug in an ERP that relates to a band in relation to long run averages. If we think that uncertainty is high (as we do currently) we input an ERP in the highest quartile of historical patterns and vice versa when the market is trending and growth is robust. The advantage of this approach is that it gives an idea about what fair value is at the moment by using an ERP that is reasonable given the current economic environment.

Arguably, however, this adds a further layer of subjectivity. We can think of two sensible alternatives that help pin down this issue, which each illuminate different issues. The first is to try to model more formally what an appropriate ERP "should" be given a particular economic environment. This is one of the things our follow up report: Part II will address. The second is to think about what the fair value of the market would be if economic conditions were to reach long run equilibrium. We consider an ERP of 3% and a real bond yield of 2% as reasonable benchmark case. Using those assumptions, Exhibit 8 shows how fair value has fluctuated over time.

Exhibit 8: GS DDM, US equilibrium value

% deviation form ‘fair value’ assuming fixed ERP at 3% and real bond yield of 2%

-60%

-40%-20%0%20%40%60%

Jan-89

Jan-92

Jan-95

Jan-98

Jan-01

Jan-04

Jan-07

Undervalued Overvalued

Source: Datastream, Haver analytics, Goldman Sachs Global ECS Research.

While we do not explicitly use the deviation from equilibrium fair value as a forecasting tool, a good measure of equilibrium fair value should have the property that market values tend to move towards the equilibrium value over time. Exhibit 9 shows the yearly return of the S&P 500 index plotted against the deviation from long run fair value at the beginning of the year. The R 2 shows that 15% of the variation in yearly returns over time can be

explained by the market’s deviation from fair value at the beginning of the year. The slope coefficients shows that for each 1 percentage point increase in upside to equilibrium fair value at the beginning of the year, returns during the year increase by 0.3 percentage points.

Exhibit 9:

Returns are higher when the upside to fair value is large at the start of the year

-50-40-30-20-1001020304050-50

-40

-30

-20

-10

Upside to long run fair value (%)

R e t u r n o v e r t h e n e x t y e a r (%)

Source: Factset, Haver analytics, Goldman Sachs Global ECS Research

Comparison of approaches

The three approaches are compared in Exhibit 10.

?On current assumptions, all markets are undervalued, with the Europe being the most attractive and Japan and Asia the closest to fair value.

?By applying an assessment of current ‘fair value’ bond yields as defined by our Sudoku model, the broad conclusions remain the same though the undervaluation of European equities becomes significantly larger.

?Assuming the ERP (which we believe is currently unusually high) reverts to a long run average of 3% in the developed markets and 4% in Asia and using a trend average real bond yield, all markets are substantially undervalued. The range of undervaluation is from 13% in Japan to 71% in Europe.

Exhibit 10:Fair value and upside/(downside)

Ce ntra l S ce na rio Using S udoku Fa ir

V a lue Bond m ode l

Using e quilibrium ERP* a nd

2% re a l inte re st ra te

Curre nt Le ve l

Fa ir

V a lue

Le ve l

Fa ir V a lue

Upside /

(Dow nside)

Fa ir

V a lue

Le ve l

Fa ir V a lue

Upside /

(Dow nside)

Fa ir V a lue

Le ve l

Fa ir V a lue

Upside /

(Dow nside)

US (S&P 500)84694111%94312%115236%

Europe (S tox x 600)19522415%27441%33371%

Ja pa n (TO P IX)7868093%91616%88613%

Asia (M S CI AP x J)2662774%NA NA34931%

* We estimate equilibrium ERP at 3% for all regions (4% for Asia)

Source: Goldman Sachs Global ECS Research.

Sensitivities to assumptions

While the model helps to identify the potential upside or downside to ‘fair value’, it is very

sensitive to changes in inputs and structure. But how much do changing assumptions

matter and which variables are the most sensitive? In the section we examine these

assumptions and sensitivities in more detail.

Near-term earnings expectations Phase I

How do you measure earnings?

The first phase of the model is an explicit forecast period based on our own top down

operating profit assumptions generated from our regional profit models (details can be

obtained on request). We assume that earnings revert to the historical trend rate of growth

by the end of 2012 (Phase II).

Exhibit 11: Short-term earnings growth expectations

FY indicates fiscal year. For Europe, US and Asia, fiscal years end December 31. For Japan,

fiscal years end March 31.

Earnings growth assumptions

FY1FY2FY3 and FY4

CAGR Trend ROE US

-5%31%3%14%Europe -16%8%3%13%Japan -37%-3%8%6%Asia

-15%

17%5%

15%

Source: Goldman Sachs Global ECS Research.

Given how the model is set up, changes in near-term earnings expectations do not affect

fair value to a very large extent, since we assume that earnings recover to trend by the end of the fourth year in the model. Exhibit 12 shows the impact on fair value in Europe, as an example, of changes in the assumptions for earnings growth in fiscal years 1 and 2 (out to 2010).

Our current assumptions for the DJ STOXX 600 are for operating profits to fall 16% this year and to rise by 8% in 2010. As with many other markets, these numbers may be heavily distorted by financials for this year. For example, our top down model assumes that financial earnings rise by 29% this year after a fall of 47% in 2008 (mainly as a result of lower writedowns). However, we do not have much confidence in these numbers given the uncertainty over banks writedowns currently. Excluding financials, we assume earnings fall 30% this year. If we assume that this is true for the market as a whole, and the recovery in 2009 is still 8% from that lower level, it implies that the market is close to fair value (10% upside).

Exhibit 12: Sensitivity of fair value for European market to short-term earnings forecasts shading represents current estimates

N o m i n a l F Y 1 e a r n i n g s g r o w t h

Source: Goldman Sachs Global ECS Research

Return to trend growth Phase II

In our second phase, the growth rate in earnings that is used is the rate over two years that gets ROE back to a trend level. As explained earlier, we think it is important to have this

‘catch-up’ phase as it reduces distortions resulting from large movements away from trend growth that may occur for a short period around booms or recessions. Our historical analysis suggests that in most cycles a return to trend over a longer period is realistic. We find that this is the average amount of time it has taken in the past three recoveries, although there is some variation around the mean. For example, in the ‘profit-less’ recovery of the early 1990s, it took over four years for earnings to reach the trend line.

Exhibit 13: Downside/upside to fair value based on various return on equity

Upside / (Downside) to Fair Value

varying Return on Equity (trend)

ROE US Europe Japan Asia

5.0%-33%-27%-12%-39%

6.0%-28%-22%-1%-35%

7.0%-23%-16%10%-31%

8.0%-17%-11%21%-26%

9.0%-12%-6%32%-22%

10.0%-7%-1%44%-17%

11.0%-2%5%55%-13%

12.0%3%10%67%-9%

13.0%9%15%79%-4%

14.0%14%20%91%0%

15.0%19%26%103%5%

16.0%24%31%115%9%

17.0%29%36%127%13%

Assumption13.5%13.0% 6.4%14.9%

Source: Goldman Sachs Global ECS Research.

It makes sense to fade the level of growth to trend but what is the right ‘trend’ assumption?

The appropriate assumptions for trend ROE is open to interpretation. Recent years have seen unusually high ROEs. Work that disaggregates ROE on a Dupont basis done by our Strategists, suggests that much of the rise has been attributable to rising margins as a result of globalization and technology substitution and increased leverage, particularly in the financial sector. The current ‘trend’ ROE assumptions that we have used in each region appear at the bottom of the table on Exhibit 13. Obviously changing this assumption makes a difference to the current fair value. In the case of the US, for example, a return to previous peak ROE (around 17%) would imply about 30% upside to the market. Meanwhile, if we applied a 10% ROE, the market would be overvalued by 7%.

Trend growth Phase III and IV

More important to the model, given the duration of equities, is the long-term assumed growth rate in profits. In our terminal assumptions we ensure that any future growth is offset by a commensurate decline in the payout ratio, to ensure that the growth rate cannot be in excess of the cost of equity in perpetuity. Consequently, very long-term growth assumptions do not affect fair value. However, since we allow the payout ratio to

stay at the average of the past 5 years over the third phase of the model – years 5-20 – the growth rate assumed over this period does have a big impact on fair value.

Exhibit 14 shows the sensitivity of the long run growth assuming other things remain unchanged.

Exhibit 14:Upside/downside in fair value based on various long-term growth rates

Upside / (Downside) to Fair Value

varying Real Long Term Growth

LT Growth US Europe Japan Asia

0.0%-23%-12%-21%-34%

0.5%-19%-7%-16%-30%

1.0%-13%-2%-10%-26%

1.5%-8%3%-4%-22%

2.0%-2%9%3%-17%

2.5%4%15%10%-12%

3.0%11%22%18%-7%

3.5%19%29%26%-2%

4.0%26%37%35%4%

4.5%35%45%45%11%

5.0%44%53%56%17%

5.5%54%63%67%25%

6.0%64%73%79%33%

Assumption 3.0% 2.5% 2.0% 4.0%

Source: Goldman Sachs Global ECS Research.

The long run assumptions that we use are broadly in line with long term trend real GDP growth assumptions. For example we use 2.5% in Europe and 3% in the US.

Is it fair to assume that long-term profit growth is equal to long-term trend GDP? While many investors might currently question the sustainability of long-term growth rates as we enter a period of higher regulation and lower leverage, there are factors that suggest that our central assumptions underestimate likely long-term growth over a 20 year time horizon. In particular, we use growth rates that approximate to ‘domestic’ trend GDP estimates. Arguably many markets, particularly the developed ones, should enjoy a growing ‘share’ of the higher growth rates for the global economy given their increasing sales exposure to fast growing emerging markets.

An increase in the long-term growth assumption of 0.5% from our central assumption would raise the ‘fair value’ upside in mature markets like the US and Europe by 7%-8%.

The payout ratio

How do you deal with the payout ratio as it varies over time?

The DDM model requires an input for the payout ratio. We vary the assumed rate across the phases of the model. We start with the current dividend yield but make a modest adjustment to the current payout ratio for the explicit forecast years so that the historical ratio varies by a factor that relates to the strength of the forecast growth rate. The reason for this adjustment is that earnings tend to be more volatile than dividends, so in years when earnings growth accelerates, the payout ratio would be expected to fall moderately

and vice versa in a year when earnings are weak or fall. The adjustment factor only really

makes a difference if the growth rate in the explicit forecast years is significantly different from the past year’s growth rate.

Currently, the payout ratio is highest in Japan (67%), then Europe (44%), US (39%) and Asia (35%). All four regions have seen the payout ratio increase over the last year as

earnings growth has turned negative, although the US has had a slight dip downwards in recent months and companies have been relatively more aggressive in cutting dividends (See Exhibit 15). For Phase III, years 5-20, we assume that the payout ratio is the trailing 5-year average, as of today.

In Phase IV, the terminal phase, we assume that in the long-run companies retain just enough to maintain long-term growth and pay out the rest as dividends. For the terminal stage, we assume that two constraints need to be met.

? In the long run, real earnings should grow in line with real GDP, in order for the corporate share of the economy to remain stable.

The expected return on capital should equal the expected cost of capital as companies cannot be expected to generate outsize returns in perpetuity. By using a ‘sustainable’ payout ratio, e.g. one that varies inversely with the long-term growth rate and ROE, we satisfy both conditions.

Exhibit 15: Payout ratio 1989-current

Exhibit 16: Payout ratios

Current, 5, year average and ‘sustainable’ rate

20%

25%30%35%40%45%50%55%60%65%Jan-89

Jan-91Jan-93Jan-95Jan-97

Europe 44.2%40.9%62.0%Japan 66.6%33.8%62.5%Asia ex-Japan 35.3%

34.6%42.0%

Source: Datatstream, Goldman Sachs Global ECS Research.

Source: Datastream, Goldman Sachs Global ECS Research

Years 5-20, Phase III of the model, is the most sensitive to the payout ratio used. Arguably

if investors expect lower growth opportunities in years ahead they might expect to see a higher payout ratio over this period. Changing this does have some impact, as shown in Exhibit 17. For each region the current assumption we use is highlighted at the bottom of the table. Note that Europe has traditionally had a much higher payout ratio than the other markets. In the case of Europe, for example, a fall in the ratio to 35% – similar to the other markets – would imply the market is currently only 10% undervalued. Put another way, if the other markets were to increase their payout ratio over years 5-20 to similar levels as Europe, it would significantly increase the current degree of undervaluation in other markets. Having different payout ratios over this period from market to market does,

however, make sense given the differences in maturity of industries, end demand markets and cyclicatity of the various regions.

Exhibit 17:Upside/downside in fair value based on various interim payout ratios

Upside / (Downside) to Fair Value

varying Interim Payout Ratio

Payout Ratio US Europe Japan Asia

25.0%5%1%-5%-4%

27.5%7%3%-3%-2%

30.0%10%6%0%0%

32.5%12%8%2%2%

35.0%14%10%4%5%

37.5%16%12%6%7%

40.0%18%14%8%9%

42.5%20%17%10%11%

45.0%22%19%12%13%

47.5%24%21%14%15%

50.0%26%23%16%17%

52.5%28%25%18%20%

55.0%30%28%21%22%

Assumption32.1%40.9%34.0%34.6%

Source: Goldman Sachs Global ECS Research.

The 10-year bond rate

Exhibit 5 shows our assumptions for each of the perpetuity inputs. We use the current 10-

year bond yield for the risk-free rate (for Asia Pacific, we equity cap-weight the bond yields

and inflation rates for the different countries) and the 5-year trailing inflation rate as a

proxy for long-run inflation expectations. Assumptions about the risk free rate have a big

impact on fair value as do our inflation assumptions given that we look at the bond yield in

real terms. We discussed at the start of this report, for example, that applying our bond

strategists’ assumptions about ‘fair value’ for bond markets makes a reasonable difference

relative to applying the current market levels, particularly for the US and Europe. All things

being equal, a lower bond rate results in a higher fair value for the index.

Exhibit 18:Bond yields around the world Exhibit 19:Upside/downside in fair value based on

various risk free rates

Dec-88

Dec-08

Upside / (Downside) to Fair Value

varying Nominal risk-free rate

Risk-free Rate US Europe Japan Asia

0.0%-23%233%57%539%

0.5%-19%172%33%377%

1.0%-13%128%13%272%

1.5%-8%94%-2%199%

2.0%-2%67%-14%146%

2.5%4%46%-24%106%

3.0%11%29%-32%75%

3.5%19%15%-39%51%

4.0%26%3%-45%31%

4.5%35%-7%-50%15%

5.0%44%-15%-54%2%

5.5%54%-22%-58%-9%

6.0%64%-29%-61%-19%

Assumption 2.9% 3.5% 1.3% 4.9% Source: Datastream Source: Goldman Sachs Global ECS Research

What Inflation assumptions do you use?

There is no perfect way to measure inflation expectations. We have looked at survey data, but this only has a long history in the US. There is of course an observed ‘market’ implied inflation rate form the Index linked or TIPS market, in addition to survey based measures. Unfortunately these measures can vary quite significantly over time and are not available in all markets. The current implied rates of inflation in the indexed linked markets are also potentially distorted by liquidity factors. As a proxy, we have used the 5-year average core inflation measure. Exhibit 20 shows how much the chosen inflation rate impacts the current fair value in the case of the United States as an illustration.

Exhibit 20:The impact of different inflation measures on ‘fair value’

Univers ity of M ic higan S urvey s of Cons um ers 3.01154

Source: Goldman Sachs Global ECS Research

The Equity Risk Premium

The final input into the DDM is the equity risk premium, a topic that could be the subject of a report on its own. Although we have a model for the ERP we cannot use the current inputs from this for the purposes of this model as the results would be circular. Instead we take a range of ERP from this model historically and then assume a number relative to the range that we think is ‘appropriate’. Clearly this is controversial and is more art than science. But in choosing a number we are guided by the results of our proprietary Risk Aversion Index, among other things.

The broad assumption we use currently is that the ERP is towards the higher band of its long run average given heightened uncertainty about the economic cycle, inflation and efficacy of unconventional central bank and government intervention. We currently use the same equity risk premium for all the mature regions of the world at 5% and use 6% for Asia. These levels are significantly higher than long run averages but are justified by the extreme economic conditions. Exhibit 21 shows how even very small changes in the equity risk premium affect the fair value of the different regions, leaving all other assumptions untouched.

Exhibit 21:Upside/downside in fair value based on various ERPs

Upside / (Downside) to Fair Value

varying Equity Risk Premium

ERP US Europe Japan Asia

2.0%230%172%223%287%

2.5%162%128%151%210%

3.0%113%94%102%154%

3.5%77%67%66%112%

4.0%50%46%39%80%

4.5%28%29%19%55%

5.0%11%15%3%34%

5.5%-3%3%-10%18%

6.0%-14%-6%-21%4%

6.5%-23%-15%-29%-7%

7.0%-31%-22%-36%-17%

7.5%-38%-28%-43%-25%

8.0%-44%-33%-48%-32%

Assumption 5.0% 5.0% 5.0% 6.0%

Source: Goldman Sachs Global ECS Research.

Wouldn’t it be better to fix the ERP over time to get a sense of equilibrium value? This is precisely the assumption that we make in assessing the 'equilibrium' level for the market, using a 3% constant ERP, which is roughly the historical average implied ERP since 1983 for the mature markets. As we have shown, by doing so, the fair value estimates currently would be much higher. Viewed in isolation, a fall back to 3% would justify rises in the equity markets of 100%-150%.

There are two problems with this approach. First, there may be good arguments why the ERP could stay higher over the longer term than it has averaged over recent years (related to higher regulation, taxation and so on) and so it is useful to be able to think about market valuation sensitivities to those kinds of shifts as in Exhibit 21. Even in the shorter-term, there are also good reasons why the ERP is justifiably higher in bad economic times than in good ones. This is why we think it is more appropriate to use a higher ERP to assess the current 'fair value' than the 3% average. The linkages between the ERP and the economic backdrop are something that we will explore in more detail in our next paper.

Second, in reality, the ERP also tends not to adjust in isolation. Typically it will fall at a time when expectations for a recovery emerge. Under these circumstances, the bond yield may also rise. Exhibit 22 shows what the fair value changes would be under different ERP and bond yield assumptions for Europe currently. A fall in the ERP back to, say 3%, coupled with a rise in the bond yield to, say 4.4%, would imply a 50% upside to the market! The fact that yields and the ERP are not independent is one reason too why in our 'equilbrium value' measures we fix both, using long-run average real interest rates and ERP. This shows how the market would be valued under a 'normal' discount rate and helps to illustrate how much of the market's level can be explained through a discount rate that is different from the 'average'. We think the common practice of using current bond yields but a fixed ERP is a much harder assumption to motivate.

Exhibit 22: Sensitivity of fair value for European market to the 10yr bond yield and ERP

Shading represents current estimates

N o m i n a l r i s k -f r e e r a t e

Source: Goldman Sachs Global ECS Research.

While these numbers may look extreme, they are not so unrealistic if we look at what has actually happened in terms of recoveries from major bear markets in the past . Exhibit 23 shows the recovery profile from some of the deepest equity bear markets that were also associated with recessions. Two interesting observations can be made:

? The pace of recovery over the first 6-12 months from the final low is very high in every case. The lowest return was around 30%.

The strength of this recovery is not dependent on the pace of earnings growth that follows the trough. As the third from final column shows, there is a much greater variation in corporate earnings growth following the trough in the market, than there is variation in returns.

估值建模Workshop - 诚迅金融培训

光华行业周系列活动估值建模Workshop 2016年5月21日（星期六）早9:00至晚7:00，光华老楼213 估值建模是成熟资本市场中投行业务与投资分析的必备工具。2010 年以来光华、汇丰、交大高金等院数百位同学参加了诚迅金融培训公司举办的“估值建模”培训与考试，获得了投行、基金及PE 等机构实习及全职工作机会。本活动多次在光华行业周举办，并被评为前十最佳。 Workshop内容 ? 1天“短平快”动手建模，体验华尔街培训方式与内容，快速提高实战操作技能。 ? 每位同学自带电脑，在培训师带领下建立多表格财务预测案例模型及讨论企业估值方法。 1.构建财务预测模型：包括利润表、资产负债表及现金流量表。收入拆分，债务问题的计算，折旧的详细计算，编制间接法现金流量表，平衡资产负债表，检查报表钩稽关系。 2. 企业价值解析：企业价值与股权价值；多种估值方法综述。 3. 建模实践：构建上市公司财务预测模型（作业练习）注：参加估值建模的同学须已掌握一定基础的公司财务知识，如DCF，WACC，CAPM，无杠杆自由现金流等（可提前参阅《估值建模》教材前三章，中国金融出版社，诚迅金融培训公司编写），以及一定基础的财务会计知识，如EBIT、EBITDA等。主讲机构：诚迅金融培训公司简介诚迅金融培训公司于1998年由原华尔街投行人士创办，培训师及高管曾任职于高盛、摩根大通、雷曼兄弟等机构，毕业于哈佛商学院、沃顿商学院。为中金公司、中信证券、国泰君安、华夏基金、嘉实基金、中国银行、建设银行、招商银行、中信产业基金、鼎晖投资、弘毅投资等数百家机构进行了估值、并购、财务报表分析、现金流测算与分析等数百期培训。组织开发的“估值建模”及“财报分析”考试已成为中信产业基金、丝路基金、厚朴投资、中国文化产业基金、金石投资、中信证券、一创摩根等金融机构的招聘测评或考核工具。2015年获CFA协会美国总部批准为中国首批"协会规范备考机构"【PPGP】。诚迅团队在企业财务结构分析及财务模型构建方面具有丰富经验，曾参与多家企业融资、投资和财务顾问项目，包括某跨国集团70亿元四位一体全产业链整合项目的财务模型构建，某央企海外并购财务分析及估值模型论证，海底捞餐饮债权融资等项目的财务分析模型构建，某造纸企业私募股权融资和银行贷款项目财务顾问，及某机械制造企业财务模型及估值顾问等。

高盛2008

高盛2008财年业绩报告普通股每股盈利4.47美元第四季度普通股每股损失4.97美元 2008年12月16日纽约，2008年12月16日—高盛集团有限公司（纽约证交所代码：GS）今天公布截至2008年11月28日的年度净收入为222.2亿美元，净利润为23.2亿美元。摊簿后每普通股盈利4.47美元，低于2007财年摊簿后每普通股盈利24.73美元。2008财年平均有形普通股股东权益回报率为5.5%，年平均普通股股东权益回报率为4.9%。高盛2008财年第四季度净收入为负15.8亿美元，亏损21.2亿美元。相对于2007财年第四季度摊簿后每普通股盈利7.01美元和2008财年第三季度摊簿后每普通股盈利1.81美元，2008财年第四季度摊簿后每普通股损失4.97美元。 2008财年度业务亮点 ?年初迄今，高盛在全球已公布和完成的并购业务中排名第一。 ?股票部净收入达92.1亿美元。该部分净收入以及今年创纪录佣金收入都反映了高盛牢固的客户服务网络。 ?资产管理部净收入创历史新高，达到45.5亿美元，其中管理费和其它费用到达创纪录的43.2亿美元。 ?证券服务部净收入达到34.2亿美元，较2007财年的历史纪录增长26%，创历史新高。 ?2008年9月21日，高盛集团注册成为银行控股公司，接受美联储监管。 ?截至本财年末，公司的一级资本率为15.6%。由于发行了价值207.5亿美元的股票，今年第四季度公司一级资本率由11.6%增长至15.6%。 “第四季度的业绩反映了非常艰难的运营环境，包括各级资产估值的大幅下跌。”董事长兼首席执行官劳尔德?贝兰克梵说：“公司第四季度的表现显然没有达到我们的预期，但在这个投资银行业史上最具挑战性的一年中，高盛仍然保持了盈利。牢固和广泛的全球客户网络、优秀的人才储备以及强劲的财务状况都已为我们迎接新一年的到来做好了积极的准备。” 净收入投资银行业务全年投资银行部全年净收入为51.9亿美元，较2007财年减少31%。财务顾问业务净收入为26.6亿美元，较业绩特别突出的2007财年下降了37%，反映了全行业已完成并购项目的减少。承销业务净收入为25.3亿美元，较2007财年下降24%，主要原因是债务承销业务的显著下降。杠杆融资和相关抵押活动的减少是债务承销业务下降的主要原因，这也体现了当前的市场艰难情况。股票承销业务净收入较2007财年有小幅下滑，反映了行业范围内股票和股票相关发行活动的减少。第四季度投资银行部第四季度净收入为10.3亿美元，较2007财年同期下降48%，较2008财年第三季度下降20%。财务顾问业务的净收入为5.74亿美元，较业绩特别突出的2007财年第四季度下降了54%，主要反映出全行业已完成并购项目的减少。公司的承销业务净收入为4.6亿美元，较2007财年第四季度减少37%。债券承销和股票承销净收入显著下降，反映了冷淡的市场活动。

高盛估值方法

Portfolio Strategy Finding ‘fair value’ in Global Equities; Part I A valuation anchor for Equities We introduce GS DDM, a new approach to valuing equity markets globally, to sit alongside our other regional valuation models. We take three approaches to fair value: 1) Fair Value under our current central assumptions, applying current bond yields and estimated ERP. 2) Fair Value adjusted for current ‘fair value’ bond yields using our Sudoku bond model. 3) Equilibrium Value, assuming the ERP and bond yields revert to long run averages. Estimating 'fair value' using a DDM In Part I we develop a model that: 1) is estimated in the same way in each major region to establish a benchmark for ‘fair value’; 2) lends itself to reverse engineering – assessing what assumptions the market is ‘implying’. We look at the sensitivity of fair values to changes in the underlying assumptions. In our forthcoming Part II, we will extend this analysis to forecast the ERP and market levels. Substantial undervaluation from 'equilibrium' Our analysis shows that, using current central assumptions, most markets are undervalued by between 3% and 15% with Europe the most undervalued. Using our ‘fair value’ Sudoku bond yield assumptions instead of current yields increases the undervaluation in all regions. In all cases, an assessment of ‘equilibrium’ valuation, based on assuming the ERP reverts to a long run average and using a long run ‘trend’ real yield of 2% shows substantial undervaluation of 71% for Europe, 36% in the US, 31% in Asia ex Japan and 13% in Japan. Fair value and upside/(downside) Ce n tra l S ce n a rio Usin g S u do ku Fa ir V a lu e Bo nd m od e l Usin g e qu ilib riu m ERP* a n d 2% re a l in te re st ra te Cu rre n t Le ve l Fa ir V a lu e L e ve l F a ir V a lu e Upsid e / (Do w nsid e) F a ir V a lue L e ve l Fa ir V a lu e Up sid e / (Dow n sid e) F a ir V a lue Le ve l F a ir V a lu e Upsid e / (Do w nsid e) US (S&P 500)84694111%94312%115236% Eu ro p e (S to x x 600)19522415%27441%33371% Ja pa n (T O P IX)7868093%91616%88613% Asia (M S CI AP x J)2662774%NA NA34931% * We estimate equilibrium ERP at 3% for all regions (4% for Asia). Source: Goldman Sachs Global ECS Research. Peter Oppenheimer +44(20)7552-5782 | peter.oppenheimer@https://www.wendangku.net/doc/4e4537500.html, Goldman Sachs International Jessica Binder, CFA +44(20)7051-0460 | jessica.binder@https://www.wendangku.net/doc/4e4537500.html, Goldman Sachs International Anders Nielsen +44(20)7552-3000 | anders.e.nielsen@https://www.wendangku.net/doc/4e4537500.html, Goldman Sachs International Gerald Moser +44(20)7774-5725 | gerald.moser@https://www.wendangku.net/doc/4e4537500.html, Goldman Sachs International Sharon Bell, CFA +44(20)7552-1341 | sharon.bell@https://www.wendangku.net/doc/4e4537500.html, Goldman Sachs International The Goldman Sachs Group, Inc. does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision. For Reg AC certification, see the end of the text. Other important disclosures follow the Reg AC certification, or go to https://www.wendangku.net/doc/4e4537500.html,/research/hedge.html. Analysts employed by non-US affiliates are not registered/qualified as research analysts with FINRA in the U.S.

高盛Goldman Sachs自上而下选股框架--宏观和微观相结合120611

2012年6月11日宏观和微观相结合：高盛自上而下选股框架证券研究报告将宏观观点转化为选股建议的工具我们推出了一套基于宏观因素描绘、微观层面比较以及对商业周期各阶段投资分析的自上而下选股框架，从而将宏观观点与微观投资建议相关联。宏观和微观因素对于回报都非常重要对于亚洲市场上市值占比60%左右的股票而言，宏观因素（如全球经济增速、本地经济增速和金融状况）都是重要的回报推动因素。此外，估值、每股盈利市场共识预测调整以及技术性指标等微观因素也与随后3个月的回报高度相关。宏观 + 微观 = 超额收益对于全球领先指标(GLI)中定义的四阶段商业周期，我们基于各阶段的宏观和微观特征对股票进行筛选。回溯测试显示，采用这种方法获得的回报有望超过传统买入/持有策略带来的回报。经济衰退阶段的选股：降低贝塔值和对增长的敏感性；买入受益于政策放松的股票我们的GLI 指标显示，自4月份以来我们已进入经济衰退阶段。在此背景下，我们特别关注于受宏观面影响和微观面支撑的程度处于适当水平的股票：NAB 、Orica 、恒安国际、中石油、腾讯控股、长江实业、恒生银行、HDFC 、ITC 、BRI 、LS Corp 、Shinhan 、CIMB 、SM Inv.、JCC 、Delta 、TSMC 和BK Bank 。我们将定期更新这些股票建议。对部分市场的部分板块采用自上而下的选股框架资料来源：FactSet 、MSCI 、CEIC 、高盛全球经济商品和策略研究刘劲津, CFA +852-2978-1224 https://www.wendangku.net/doc/4e4537500.html,u@https://www.wendangku.net/doc/4e4537500.html, 高盛（亚洲）有限责任公司慕天辉, CFA +852-2978-1328 timothy.moe@https://www.wendangku.net/doc/4e4537500.html, 高盛（亚洲）有限责任公司 Caesar Maasry +852-2978-7213 caesar.maasry@https://www.wendangku.net/doc/4e4537500.html, 高盛（亚洲）有限责任公司鄧啟志 +852-2978-0722 richard.tang@https://www.wendangku.net/doc/4e4537500.html, 高盛（亚洲）有限责任公司 Sunil Koul +852-2978-0924 sunil.koul@https://www.wendangku.net/doc/4e4537500.html, 高盛（亚洲）有限责任公司高盛与其研究报告所分析的企业存在业务关系，并且继续寻求发展这些关系。因此，投资者应当考虑到本公司可能存在可能影响本报告客观性的利益冲突，不应视本报告为作出投资决策的唯一因素。有关分析师的申明和其他重要信息，见信息披露附录，或参阅https://www.wendangku.net/doc/4e4537500.html,/research/hedge.html 。由非美国附属公司聘用的分析师不是美国FINRA 的注册/合格研究分析师。本报告仅供分发给高盛机构客户。

投行财务模型基础——现金流折现模型的定义和分类

投行财务模型基础——现金流折现模型的定义、分类一、现金流折现模型的定义那么，什么是现金流折现模型呢？我们知道，财务模型主要是投行、PE、企业投资部门日常的常用工具。这些部门的日常业务主要是与企业并购、项目融资有关，涉及的工作主要是就标的公司进行财务测算、价值评估，以及就各类项目进行现金流预测，开展融资等就标的公司的财务测算和价值评估主要涉及估值模型。目前标的公司估值可以采用DCF （现金流折现法）、可比公司可比交易法、市场法等。最常用的现金流折现法就会用到现金流折现模型。为融资需求就项目的现金流进行预测，也是需要现金流折现模型因此，投行、PE及企业投资部门通常说的财务模型，主要是指现金流折现模型现金流折现模型是指，基于当前的经济环境条件，就标的公司/项目未来运营期间的经营成果、现金流量、经济状况进行预测的模型，根据模型中的自由现金流折现可得到企业的价值，也可得到项目的内部收益率、回收期等项目财务评价指标情况，是决策者进行投资项目决策的主要测算工具。二、现金流折现模型的分类现金流折现模型其实根据用途不同，可能会有一个不成文的分类方法。目前来看，财务模型的用途包括：企业估值和项目测算。因此，可以分类为企业估值现金流折现模型和项目测算现金流折现模型。从用途方面来看，企业估值现金流折现模型主要用于现金流折现法评估标的公司、标的

项目的价值，而项目测算现金流折现模型主要用于评估项目的现金流情况、收益情况及可融资性等。从输入参数方面来看，企业估值现金流折现模型主要用于已经营一段时间的企业或项目，输入条件通常为标的公司、标的项目在估值时点前几年的经营数据。而项目测算现金流折现模型多用于新建项目，常见于大型基础设施建设项目，输入通常来自项目可研、项目相关合同、项目市场研究等业主聘请的第三方做的研究报告等。从计算页来看，企业估值现金流折现模型计算页主要包括自由现金流（股权自由现金流、企业自由现金流）、三表以及一些中间计算等。项目测算现金流折现模型的计算页主要包括项目现金流瀑布、三表以及一些中间计算等。从输出结果来看，企业估值现金流折现模型的输出结果业多为企业/项目的估值，以及此估值与某些关键输入数据假设的敏感性分析、情景分析等。而项目测算现金流折现模型输出结果页多为项目各层面的收益率，以及融资要求的偿债备付率等偿债能力指标，同时也会有项目收益率与某些关键输入数据假设的敏感性分析、情景分析等。

投行财务模型基础——认识财务模型_2020_4_27

投行财务模型基础——认识财务模型这是一个系列，主要是以国内某一个风电场项目为例，手把手示范搭建完整财务模型的全过程。我在网易云课堂上有开课，大家可以搜索网易云课堂，投行财务模型基础，也可以在这里学习，这里会每周更新一篇。这一篇将介绍财务模型的基础知识，以某风电场项目为例手把手搭建项目测算现金流折现模型。搭建模型前，需要已经具备了一定的财务知识，因为此搭建完整的项目测算模型就是围绕财务知识展开的。财务基础是搭建财务模型的关键，如果您的财务基础不是很牢固，也没有关系，可以在学习过程中再一边补充相应的知识。好，下面就让我们开启建模的学习之旅吧！这里要介绍的内容主要分三个主要部分，认识财务模型、认识现金流折现模型以及以某风电场项目为例手把手搭建一个现金流折现模型我们这里开始第一部分，认识财务模型。什么是财务模型呢？不知道大家平时工作学习中是不是已经接触过财务模型。其实从广义来说，我相信，读者朋友们日常生活中都接触过财务模型，只是大家没有意识到接触的东西就是财务模型而已。财务模型，顾名思义，财务+模型，就是财务知识+计算模型，财务模型就是指建立在财务知识体系基础上的Excel计算模型。对于财务知识：日常生活中会碰到的，对一个实体的估值，对一个项目进行测算评价需要的财务指标、财务测算、财务分析等等，这样的财务知识体系。财务模型是一个工具，是用来求解这些财务日常问题的。财务模型是建立在这些日常财务运算逻辑之上

的。对于计算模型：目前主要是基于Excel搭建的，可以包括几个工作簿，或者一个工作簿的几个工作表。据我了解，大多数公司还是采用Excel的模式，但也有一些企业，因为大数据的发展，便于数据管理，认为网页版更适合作为财务测算的载体，开始使用网页来做财务测算。所以，总结来看，运用财务知识，用Excel来做系列的表格，来完成某些财务评价分析，这个Excel表格其实就是财务模型。也就是说，广义来看，咱们平时遇到的生产成本分配表、成本核算表、项目现金流测算表、企业财务预算表、甚至是工资表等企业日常财会体系内的任何有一定运算逻辑的表，都可以称为财务模型。但是其实财务模型主要是在投资银行、PE、企业投资部等来使用的，所以狭义来看，财务模型还是主要用于投资项目决策，对项目收益情况进行测算，或者对项目估值，项目估值我们理解，成本法、收益法和市场法，比较复杂的是收益法，这时候会搭建现金流折现模型，所以，狭义上讲，项目决策使用最多最广泛的是现金流折现模型，而日常提到的财务模型，也多数指现金流折现模型。下面举了一个广义的财务模型的例子，其实下表做财务的读者肯定特别熟悉，辅助生产费用分配表，用来对辅助生产费用进行分配的，这个表背后的逻辑也是财务知识——成本分配相关的知识，然后在Excel上完成计算，或者借助财务软件进行计算。也就是基于财务知识做的计算表，也可以看成一个财务模型。

大宗商品期货产业链估值和相对估值(下)90分

大宗商品期货产业链估值和相对估值（下）90分一、单项选择题 1. 根据标普高盛商品指数，各商品中与美元的负相关性最强的品种是（）。 A. 布伦特原油 B. 玉米 C. 育肥牛 D. 铜描述：商品与美元走势关联您的答案：A 题目分数：10 此题得分：10.0 2. 下列资产中风险程度最高的是（）。 A. 共同基金 B. 现货 C. 信用交易 D. 期货描述：虚拟资产风险程度您的答案：D 题目分数：10 此题得分：10.0 二、多项选择题 3. 商品期货间的相对估值包含哪几个主要要素？（） A. 效率估值 B. 贴现率估值 C. 产业评估 D. 资源评估描述：商品期货间的相对估值您的答案：B,C,D,A 题目分数：10 此题得分：0.0 4. 国际投资有（）等方式。 A. 跨国公司进行的产业实物套利

B. 金融市场上进行的国际股票、债券等组合投资 C. 国际对冲基金的另类投资 D. 国际外汇市场上进行的货币投资描述：国际投资您的答案：A,D,C,B 题目分数：10 此题得分：10.0 5. 对冲的主要内容包括（）等。 A. 股票配对交易 B. 股指套利 C. 融券对冲 D. 外汇套利交易描述：风险对冲逻辑您的答案：B,A,D,C 题目分数：10 此题得分：10.0 6. 股指期货套利可分为（）等类别。 A. 期现套利 B. 跨期套利 C. 跨市套利 D. 跨品种套利描述：期货套利分类您的答案：B,A,D,C 题目分数：10 此题得分：10.0 7. 商品价值链市场行业估值分析的手段主要有（）。 A. 产业估值 B. 市场价值评估 C. 大宗商品金融化流动性估值 D. 市场交易情绪（择时分析）描述：行业估值分析方法您的答案：A,D,B,C 题目分数：10 此题得分：10.0

公司财务估值模型

估值与财务模型目录第一章估值的基本概念第二章可比公司法第三章历史交易法第四章现金流概念及现金流贴现法第五章IPO估值VS M&A估值第六章建模的过程和注意事项第七章现金流贴现模型的输出第一章估值的基本概念

企业的价值 ④资产的价值主要有两种表现形式：帐面价值和市场价值。帐面价值即资产负债表上反映的总资产、净资产，主要反映历史成本。市场价值如股票的市值、兼并收购中支付的对价等，主要反映未来收益的多少。 ④在多数情况下，帐面价值不能真实反映企业未来的收益，因此帐面价值和市场价值往往有较大差异。例如，总的来说，帐面价值主要用于会计目的，而资本市场上的投资者更为关注的则是市场价值。以下所讨论的价值均是指市场价值。 — —+ 企业价值净债务少数股东权益联营公司价值股权价值（取决于计算EV 的Revenue或者 EBITDA、EBIT中是否已包含联营公司的值）主要估值方法概述

④没有一种估值方法是绝对正确的。每种方法都有其优缺点，应该根据情况选择合适的估值方法。 ④通常会使用多种估值方法来相互验证，并最终确定一个价值区间。估值的用途 ??估值分析应用广泛：

–公开发行：确定发行价及募集资金规模 –购买企业或股权：应当出价多少来购买 –出售企业或股权：可以以多少价格出售 –公平评价：从财务的观点，评价出价是否公平 –新业务：新业务对于投资回报以及企业价值的影响

第二章可比公司法

可比公司法概况 ?通常，在股票市场上总会存在与首次公开发行的企业类似的可比公司。这些公司股票的市场价值，反映了投资者目前对这类公司的估值。利用这些可比公司的一些反映估值水平的指标，就可以用来估算首次公开发行的企业价值，即可比公司法。 ?使用可比公司法估值，通常有以下几个步骤： –选取合适的可比公司 –选取合适的指标 – 估算首次公开发行的企业的价值 ?例如：A公司是一家移动电话公司，其可比公司的“企业价值／用户数” 指标平均为1000美元，而A公司到1999年底有10万用户，则其企业价值估算为1000 * 10万＝1亿美元。