CFA一级 权益Equity

自己总结一遍脑子清楚多了。本思维导图主要内容有：Reading33.Market organization and structure、Reading 34.security market indexs(指数)、Reading35 market efficiency。

Equity

• Reading33.Market organization and structure
  • 金融市场的功能与市场管理
    • 金融市场的3个功能
      • 1 实现金融市场的目的
        • savings borrowing债 issuing equity发股票 risk management exchange asset utilizing information（information- motivated traders）
      • 2 return determination
        • 平衡货币的供给与需求 （平衡点取决于risk，liquidity，maturity）
      • 3 allocation of capital
        • 市场上钱有限，需要合理配置ppt5-7
    • well functioned financial market4个特征
      • 1:complete markets（参与方都能实现目的） 2.operational efficiency（交易价格低廉） 3.information efficiency（反应信息的速度很快） 4.allocational efficiency(资金使用效率高）
    • market regulation（想要实现well functioned financial market必须有监管 市场监管的目标有5条）
  • 金融市场的各种中介与服务
    • brokers，dealers，and exchange
      • 1.brokers（市场活跃时更好）：撮合交易，赚取佣金bid是买价，较低；ask是卖价，较高。 2.block brokers：主要撮合大宗交易或者房地产 3.investment bank：帮助公司卖股票，卖债券等 4.dealers（市场不活跃时较好，可以提供流动性：做市商（一级做市商的对手方为央行） 5.broker-dealer：同时是broker和dealer 6.exchange：交易所，使得市场更加有秩序 7.alternative trading systems ATS：另类的交易场所，通常缺乏监管，会有dark pool（匿名的交易）
    • securitizers
      • 证券化，会在固定收益中详细介绍
    • depository institutions
      • 通常指的是银行等存款机构，赚取利差。
    • insurance company
      • 名词：insured（受保的） policyholders（投保人） 有三类风险需要注意，详见右图
    • arbitrageurs
      • 同一个商品在两个市场价格不同的时候，就会出现套利
    • clearinghouses and custodians
      • clearinghouse:当客户想要出售资产时充当买方，当客户想要购买资产时充当卖方，从而限制交易对手方的风险。 custodians托管行：一般在券商开户的时候钱都放在托管行，不能直接放在券商处。
  • 资产的分类
    • financial asset
      • security
        • fixed income vs. equity securities
          • fixed income：债券之类的，详见右图
          • equity securities：普通股，优先股，权证（购买股票的权利),详见右图
        • Pooled Investment Vehicles（集合投资产品，一般说的是fund）
        • public vs. private
      • currency
        • 汇率代表着一种经济实力
      • derivative contract
    • real asset
      • commodity：大宗商品一般为经济复苏的先行指标
      • real estate：一般是房产、机场、设备等。在购买之前必须详细的调查
  • 市场的分类
    • Money vs. Capital markets
      • Money：the market for short-term debt instruments (oneyear maturity or less).
      • Capital markets：financial markets that trade securities of longer duration, such as bonds and equities.
    • Traditional vs. Alternative markets
      • Traditional：markets for traditional investments, include all publicly traded debts and equities and shares in pooled investment vehicles that hold publicly traded debts and/or equities.
      • Alternative markets:hedge fund/private equity fund/commodity/real estate/infrastracture
    • Primary vs. Secondary markets
      • Primary
        • basic information
          • Primary market: the market where newly issued securities are sold. Newly issued securities involve: IPO (initial public offerings): first-time issues by firms whose shares are not currently publicly traded. Seasoned offerings 增发(secondary issues): new shares issued by firms whose shares are already trading in the marketplace.
        • how securities are sold
          • Sold Publicly
            • Underwritten Offering (the most common way)：投行包销，一般投行希望价格能低一些容易卖，公司希望定价高一些能融资更多，所以有conflict
            • Best Efforts：代销，投行尽量帮忙出售股票，投行与公司都希望价格能高一些
            • Indications of Interest：询价，投行找来一堆投资人询价的过程
            • Book building：询价过程中投行会记录下来每一个询到的价格
          • Sold Privately
            • Private Placement定向增发：Securities are sold directly to qualified investors, typically with the assistance of an investment bank.一般是少于30人的高净值客户，最小投资金额是1000万元，限售期内不允许卖出。
          • Other transaction methods
            • Shelf Registration：一次注册多次发行
            • Dividend Reinvestment Plan：股利再投资
            • Rights Offering：配股认购权，是一种权力。例如每持有100股，就有权力按照折扣价买入10股，如果不想参与的话最好在配股之前出售，不然股权会被稀释。
      • Secondary
        • basic information
          • Secondary Capital Markets The secondary market is the place where securities are traded after their initial offerings.The secondary market supports the primary market by providing Liquidity and Price discovery
        • 当在二级市场交易时
          • Call Markets:集合竞价，这段时间内不允许交易，比如每天开市的9.15-9.30
          • Continuous Markets：连续竞价，交易在此时间段内随时可能发生
        • how securities are sold
          • Order-Driven Market：订单驱动型，broker主导的市场。一般都是匿名的。撮合的原则是时间优先与价格优先
            • Price priority: trades with the highest bid (buy) and lowest ask (sell) prices are traded first, this is so-called price priority. Time precedence: if orders are at the same prices, the earliest arriving orders are traded first.
          • Quote-Driven Market又叫price-driven market or an over-the-counter market.：报价驱动型，是dealer主导的市场。dealer之间会相互竞争，做市者通过自己买卖股票为市场提供流动性。
          • Brokered Markets：中介市场（大宗交易），一般是出售价格很高的投资标的，比如说房子，艺术品，一大堆的股票等。
  • positions and leverage（交易头寸与杠杆）
    • Long Position：多头，买方，从价格的上涨中获利，最大损失为购买股票的成本，最大收益是无限的。
    • Short Position：空头，卖方，从价格的下跌中获利，最大损失是无限的，最大收益是借入股票时的价格，即最大收益为100%。
      • 注意：Payment-in-lieu代付款，收到的股息与利息都必须偿还给股票的借出人。 Short Rebate Rate做空返还率：1.卖空者必须将卖空的收益作为抵押，不能乱花。2.经济商会把收到的收益再投资，并且将利息的一部分作为做空返还率还给做空者。3.如果股票很难借，那么做空返还率有可能是0甚至是负数。
    • Leveraged Position：杠杆头寸，融资业务。
      • basic information
        • Leveraged Positions(简而言之，借钱投资） Definition: An investor is said to be take leveraged positions if he borrowed funds to purchase an asset. Buy on margin: Investors who use leverage to buy securities by borrowing from their brokers are said to buy on margin and the borrowed funds are referred to as a margin loan.The interest rate paid on the funds is the call money rate. Leverage ratio: The leverage ratio of a margin investment is the value of the asset divided by the value of the equity position.（自有资金2购买价格为10的股票，杠杆率就是10/2=5.
      • margin requirement
        • Initial Margin（IM)
        • Maintenance Margin(MM)
        • Margin Call
          • 期货必须回到初始保证金，股票回到维持保证金即可。
      • calculation
        • Margin Call Price for a Leverage Position（跌到多少钱的时候接电话）
  • Order Execution and Validity（订单,买单与卖单）
    • Execution instructions看订单如何被执行
      • Market orders以当前最佳价格买卖的指令，交易速度快，成本不可控，是最常见的一种类型
      • Limit orders限价委托订单
        • Make the market：限价的买卖价就是当前市场上最优的买卖价，提供流动性
        • Make a new market：限价的买家比当前市场最有的买价高，但是低于最优的卖价，提供流动性
        • Take the market：限定的卖价等于市场上最优的买价，可以立即成交，减少了市场的流动性
        • Behind the market：限定的买价比市场上最优的买价低，或者限定的卖家比市场上最优的卖价高，提供流动性
        • Far from the market：限定的买家远远低于当前市场上最优的买价，或者限定的卖价远远高于当前市场上最优的卖价，提供流动性
      • Instructions concern the volume of the trade涉及交易量的说明
        • All-or-nothing orders execute only if the whole order can be filled要么全成交要么不成交
          • stop order
            • Stop-sell order：站在多头的角度，如果有股价下跌触发指令，就会自动卖出
            • Stop-buy：站在空头角度，如果股价上涨触发指令，就会自动买入
      • Instructions concern the visibility of the trade涉及交易可见性的说明
        • Hidden orders只有交易商能看到指令，盘口不显示
        • Iceberg orders只显示指令的一部分
    • Validity instructions：有效指令，看指令何时生效
      • Day orders日内指令，当天有用，过期作废
      • Good-till-cancelled orders(GTC)：一直有效直到取消或者成交
      • Immediate or cancel orders：当前订单能成交的全部成交，不能成交的全部取消
      • Good-on-close orders:例如订单在收盘前的5分钟内成交
      • Good-on-open orders：开盘后的一段时间成交
    • Clearing instructions：清算指令，是broker与exchange之间的事情，考试时不涉及
• Reading 34.security market indexs（指数）
  • Security Market Indexes
    • definition
      • Price index只考虑成分股的价格因素: uses only the prices of the constituent securities in the return calculation. A rate of return that is calculated based on a price index is referred to as a price return.
      • Return index考虑了成分股的价格与股利: includes both prices and income from the constituent securities. A rate of return that is calculated based on a return index is called a total return.
    • 如何构建指数？
  • 五种加权指数
    • Price-Weighted Index
      • 特征
        • A price-weighted index is an arithmetic average of current security prices, which means that indexes movements are influenced by the differential prices of the components. The price-weighted index assumes you purchase an equal number of shares (one) of each stock represented in the index
      • 公式
        • 实际演算
      • 优缺点
        • 1.买相同的股票数，简单易操作 2.容易受到高价股的影响 3.如果有拆分的情况是需要调整的（2 for 1，一股拆2股，与拆分之前的市值应该相同）详情见冲刺笔记P24。
    • Equal-Weighted Index
      • 特征
        • 购买相同的金额，剔除了收到高价股的影响
      • 公式
        • 几何平均始终是小于算数平均的
        • 实际演算（首先计算RA,RB,RC,然后再算平均值）
      • 优缺点
        • 容易受到小盘股的影响，因为小盘股的价格波动更大
    • Market Capitalization-Weighted Index
      • 特征
        • 市值加权指数，每个成分股的权重等于其市值除以该指数中所有成分股的总市值
      • 公式
        • 实际演算
      • 优缺点
        • 容易受到大盘股的影响，因为在指数中大盘股的市值占比较大，动量效应（momentum effect)
    • A Float-Adjusted Market Capitalization-Weighted Index
      • 特征
        • 经过浮动调整的按市值加权：每个股票的权重是由该股票的流通股的市值在总市值中的比重来决定的
      • 优缺点
        • 剔除了限售股和非流动股的影响，股票只有在能够交易的情况下才会对市场产生影响。
    • Fundamental weighting
      • 特征
        • 通过价值面的指标来决定成分股的权重。价值面的指标通常用股利
      • 优缺点
        • 购买的价值股会更多，从而剔除了市值加权法的缺点
      • 其他
        • value-tilted：更倾向于价值股
        • contrarian-style：逆向选择，一般低估的股票大家都觉得还得跌，需要在大家都抛售的时候买入，所以是逆市的
  • Rebalancing and Reconstitution of an index
    • Rebalancing
      • 通常每个季度调整一次，价格的变动可能会对权重产生影响，所以需要把权重重新调整成目标权重（一般调整权重最频繁的是等权重指数）
    • Reconstitution
      • 调整构成，随着时间的发展，有的股票不再符合指数标准，所以需要被剔除出指数（一般调整构成影响最大的是市值加权型的指数）
    • 证券市场指数的使用
  • Other Investment Indexes
    • equity index
      • Broad market index：全市场指数，比如上证综指
      • Multi-market index：多市场指数，一般是多个国家的市场指数构成，比如BRICS金砖五国
      • Multi-market index with fundamental weighting：基本面加权的多市场指数，对国家指数使用市值加权，并且使用基本面因素在全球指数中对国家指数收益进行加权
      • Sector Index：行业指数
      • Style index：按照规模分为小盘股，中盘股，大盘股，按照风格分为价值股与成长股
    • fixed income index（讨论固定收益指数与股票指数的区别）
      • Large universe of securities
        • 1.固收的范围比股票的范围大很多 2.固收类不仅仅由公司发行，还可以以政府发行 3.一个公司只能发一种股票，但是却可以发多种债券 4.固收的周转率比较高因为会有一些到期的固收被剔除出指数
      • Dealer markets and infrequent trading
        • 固收证券主要是由做市商交易，所以做指数的时候很大程度依赖做市商定出的价格。例如：长期债券的流动性差，定价难度很高。
    • Alternative Investment Indexes（非重点）
      • Commodity Indexes
      • Real Estate Indexes
      • Hedge Fund Indexes
• Reading35 market efficiency
  • Introduction of market efficiency
    • Efficient capital market and the assumptions
      • 定义
        • 在有效市场中，证券的当前价格可以充分、快速、合理的反应有关该证券的所有可用信息
      • 假设
        • 1. The time frame for an asset’s price to incorporate information can be used to measure a market’s efficiency. If the time frame of price adjustment allows many traders to earn profits with little risk, then the market is relatively inefficient. 2. An informational efficient capital market is where security prices adjust rapidly to the infusion of new information. 3. Prices should be expected to react only to the elements of information releases that are not anticipated fully by investors.（已经被合理预测到的信息，而这个信息真的发生了，是不会影响股价的，只有新公布的信息与市场预期不符，财务影响到市场预期）
    • market values and intrinsic values.（在有效市场中，市场价值就是内在价值）
      • 内在价值是对资产有充分了解的理性投资者愿意支付的价值 如果市场不够有效，那么投资者会买入内在价值大于市场价值的资产，卖出内在价值低于市场价值的资产。
    • Factors affect the degree of market efficiency
      • Number of market participation：参与者越多越有效
      • Availability of information：获得信息越容易市场越有效
      • Impediments to trading：交易限制越少越有效（不限制套利与做空）
      • Transaction and information costs：交易成本越低市场越有效
  • Contrast weak form, semi-strong form, strong form market efficiency
  • Market Anomalies市场异常，CFA认为市场一场并不能驳斥市场有效假说，一般都是因为研究方法有误导致结果与有效市场假说相左
    • definition
      • Definition: something deviates and helps to disprove the EMH（反驳市场有效假说） Most evidence suggests anomalies are not violations of market efficiency but are due to the methodologies used in anomaly research, such as data mining or failing to adjust adequately for risk.
    • 3种异常
      • Time-series data
        • Calendar anomalies
          • definition：在1月份的前5天之内，股票回报率(尤其是小盘股）显著的高于其余时间。
          • 原因： 1. Tax-loss selling, as investors sell losing positions in December to realize losses for tax purposes and repurchase stocks in January; 12月的时候把浮亏变成实际亏损来避税，1月的时候再把证券买回来。 2. Window dressing, as portfolio managers sell risky stocks in December to remove them from year-end statements and repurchase them in January.账面的粉饰，基金经理会出售高风险的证券，提升自己的排位，在1月的时候再买回来。
        • The overreaction effect:
          • refers to the finding that firms with poor stock returns over the previous three or five years (losers) have better subsequent returns than firms that had high stock returns over the prior period.赢家表现差，输家表现好
        • Momentum anomalies:
          • High short-term returns are followed by continued high returns市场存在惯性，应该追涨杀跌
      • cross-sectional data
        • Size effect：规模效应，小公司的股票表现往往优于大公司股票的表现
        • Value effect：价值效应，价值股的表现优于成长股的表现
      • Other identified anomalies
        • Closed-end investment funds：封闭式投资基金的价值通常会比基金的净资产值低，因为流动性比较差。但是封闭式基金的交易是有成本的，所以虽然折价，也不能获得超额收益。与弱势有效市场的假设是一致的。
        • Earnings announcements：盈利公告，公司的盈利状况可能不能第一时间反应在股价上，中间会有时间差，那么就可以通过基本面的分析获得超额收益，这与弱势有效市场的假设是一致的。
        • Initial public offerings：整体而言，IPO公司的长期表现低于平均水平，IPO之后的表现是比较差劲的，因为投行基于自己的利益考虑，发行时候的价格并不公允。
        • Economic fundamentals：经济基本面，股票的波动有时候会与基本面的情况相背离（仅仅在短期内），基于股息率的交易策略不会产生持续的异常回报。
  • Behavior Finance
    • rational vs. irrational
      • 有效市场假说认为只有市场是理性的，行为金融学被用来解释一些非理性行为带来的市场异常
    • Behavioral biases（10个）
      • Loss aversion：更讨厌损失带来的风险
      • Overconfidence: explains that investors or analysts are overconfident in their earning forecasts which result in the overestimation of growth, good news.
      • Herding：trading that occurs in clusters and is not necessarily driven by information.
      • Information Cascades：信息级联：信息的传递来源于那些首先采取行动的参与者，他们的决定影响其他人的决定。
      • Representativeness：Investors assume good companies or good markets are good investments.
      • Mental accounting：Investors classify different investments into separate mental accounts instead of viewing them as a total portfolio
      • Conservatism: Investors react slowly to changes.
      • Narrow framing: Investors view events in isolation.
      • disposition effect：投资者更加倾向于持有输家，卖掉赢家
      • gambler's fallacy: 希望反转发生的频率高于实际发生的频率，比如认为一个股票10天后就能反转，实际上反转的速度没有这么快。赌一把
• reading 36 overview of equity securities
  • Types of Equity Investments
    • Common Shares
      • definition
        • 普通股是最常见的,如果公司被清算，普通股股东对资产有剩余索取权（在债权人与优先股之后），并且通过投票权管理公司。
        • voting
          • Common stockholders are able to vote for the board of directors, on merger decisions, and on the selection of auditors. statutory voting system：每一股股份在选举董事会成员时得一票，假如一个公司有100股股票，我占有40%，那么我就有40票，投给两个候选人，每个人分摊的票数太少，投票结果很容易被大股东左右。 cumulative voting ：股东可以根据自己的选择将选票分配给一个或者多个候选人，可以保护少数股东。比如一个公司有100股股票，我占有40%，要选出来2个候选人，那么我就有80票，比原来多了很多。
      • classification
        • Callable common shares可赎回普通股
          • 给公司权力以提前设定好的价格赎回普通股，对公司有利，对投资者不利。
        • Putable common shares可回售普通股
          • 给投资者权力以提前设定好的价格把股票卖还给公司，对投资者有利，对公司不利。
    • Preference shares（本质上是一种永续年金）不受市场涨跌的影响
      • definition
        • basic
          • Preference shares (or preferred stock) have features of both common stock and debt.
        • characteristics
          • 1. Features of common stock: do not mature 2. Features of debt: fixed dividend payment, but dividends are not contractual obligation and do not usually have voting rights. 3. Preferred shares have less risk than common shares because the dividend is stable and they have priority over common stock in receiving dividends and in the event of liquidation of the firm.
      • classification
        • Cumulative preference shares
          • 累计优先股，公司需要先补发累计优先股的股利，再支付普通股股利。比如有企业今年业绩不好，不发股利，明天业绩好转，应该先补发累计优先股的股利。
        • Convertible preference shares
          • 可转换优先股，可以以发行时确定的转换比率转换成普通股
          • 优点： 1.优先股的股利高于普通股股利。 2.如果公司利润增加，可将优先股转换成普通股来分享利润。 3.当普通股的价值上涨时，可转换优先股会变得更有价值。 4.优先股的风险要低于普通股。
        • participating preference shares
          • 参与优先股，如果公司利润超过预期水平，参与优先股的股东将会获得额外的股利。
    • Private equity
      • definition
        • Private equity is usually issued to institutional investors via private placements.
      • characteristics
        • Less liquidity because no public market for the shares exists.
        • Share price is negotiated between the firm and its investors, not determined in a market.
        • More limited firm financial disclosure because there is no government or exchange requirement to do so.
        • Lower reporting costs because of less onerous reporting requirements.
        • Potentially weaker corporate governance because of reduced reporting requirements and less public scrutiny.
        • Greater ability to focus on long-term prospects because there is no public pressure for short-term results.
        • Potentially greater return for investors once the firm goes public.
      • classification
        • Venture capital
          • 风险投资： 在公司生命周期的早期阶段，一般涉及到的有种子阶段、初创阶段、早期阶段或者夹层阶段。
        • Leveraged buyout(LBO)：风险小，所以一般都举着杠杆
          • 杠杆收购： 投资者通过债务融资购买公司的全部股权。如果投资人为公司的管理层，那么就被成为管理层收购 MBO
        • Private investment in public equity(PIPE)
          • 私人投资公共股权： 上市公司迅速把私募股权出售给投资者。此时公司可能面临困境、有大量的债务，或者有可以增长的机会。
  • Investment in non-domestic equity securities
    • 国际市场的趋势（新兴市场尤其受益于这些趋势）
      • 更多的公司愿意在国外市场发行股票
      • 股票在境外市场交易的公司数量增加
      • 越来越多的公司选择在两个或者两个以上的市场发行股票
    • classification
      • Direct investing
        • 直接在外国市场购买外国的公司的证券，但是存在一些障碍： 1.投资与收益用外币计价，会受到汇率波动的风险 2.有一些外国的证券交易所可能缺乏流动性 3.有一些地区报告的要求不严格，可能会影响分析 4.投资者必须熟悉当地的法规与程序。
      • Global registered shares
        • 全球注册交易：在全球各个交易所中以不同的货币进行交易 优点：不用考虑汇率的风险。 缺点：能做到全球注册发行的公司太少了，投资标的非常有限。
      • Depository receipts（存托凭证）
        • definition
          • 是指在中国证券市场流通的，代表美国公司股票的可转让凭证，由存托人签发（银行或者公司）
        • classification
          • Sponsored DR: 参与型存托凭证：公司参与存托凭证的发行，投资人有投票权
          • Unsponsored DR: 非参与型存托凭证：公司不参与存托凭证的发行，存托银行有投票权
          • Global depository receipts (GDRs)are issued outside the U.S. and the issuer’s home country. Most GDRs are traded on the London and Luxembourg exchanges.
          • American depository receipts (ADRs) are denominated in U.S. dollars and trade in the United States.
          • Basket of listed depository receipts：是一种ETF，里面有一篮子的DR
  • Risk and return characteristics of equity securities
    • Equity returns
      • Dividends
        • Gains from dividends and the reinvestment of dividends have been an important part equity investors’ long-term returns.
      • Capital gains or losses from changes in share prices
      • Foreign exchange gains or losses.
        • For investors who purchase depository receipts or foreign shares directly also subject foreign exchange gains (or losses)
    • Equity risk（注意排序）
      • Preferred stock is less risky than common stock
      • Putable shares are less risky for investor (for both common and preferred shares)
      • Callable shares are more risky for investor (for both common and preferred shares)
    • Risk and Return of Equity Securities
      • The book value of equity
      • The market value of equity
      • Return on Equity
        • ROE净资产收益率，投资者观察公司管理层是否有效运用资本产生利润
    • Cost of equity
      • 定义：股权成本，股东要求的回报率，股票在市场上的预期均衡总回报（包括股利）
      • 说明
        • 在任何时间点，其余条件不变，股价下跌预期回报率上升，股价上涨预期回报率下降
        • 公司的股权成本可以解释为为了补偿投资者所承担的风险所需要的最低回报率
        • 一般用CAPM模型计算：RE=RF+β（RM-RF)
• Reading37. Introduction to industry and company analysis 定性分析
  • Current industry classification systems
    • The Uses of Industry Analysis
      • Understanding a company’s business and business environment
        • Industry analysis is often a critical early step in stock selection and valuation because it provides insights into the issuer’s growth opportunities, competitive dynamics, and business risks .
      • Identifying active equity investment opportunities
        • Industry valuation can be used in an active management strategy to determine which industries to overweight or underweight in a portfolio. Some investors engage in industry rotation(行业板块轮动）, which is overweighting or underweighting industries based on the current phase of the business cycle.
      • Portfolio performance attribution.（业绩归因）
        • Performance attribution, which addresses the sources of a portfolio’s returns, usually in relation to the portfolios benchmark, includes industry or sector selection. Industry classifications chemes play a role in such performance attribution.
    • Industry Classification
      • Products and services they offer;
        • products
        • services
      • Sensitivity to business cycles;
        • Cyclical firm：highly dependent on the stage of the business cycle.（基础制造业，非刚需品）
          • High earnings volatility
          • high operating leverage
          • Growth industries: demand so strong they are largely unaffected by the stage of the business cycle.
        • Non-cyclical firm：demand is relatively stable over the business cycle
          • Defensive industries: least affected by the stage of the business cycle and include utilities, consumer staples (such as food producers), and basic services (such as drug stores).
      • (不考）Statistical methods, such as cluster analysis（聚类分析）
        • definition
          • This method groups firms that historically have had highly correlated returns. The groups (i.e., industries) formed will then have lower returns correlations between groups.
        • limitation
          • Historical correlations may not be the same as future correlations.
          • The groupings of firms may differ over time and across countries.
          • The grouping of firms is sometimes non-intuitive.
          • The method is susceptible to statistical error (i.e., firms can be grouped by a relationship that occurs by chance, or not grouped together when they should be).
      • Commercial industry classification;
      • Peer group
        • A peer group is a set of similar companies an analyst will use for valuation comparisons.
  • Industry life cycle models
    • Embryonic stage
      • the industry has just started Slow growth: customers are unfamiliar with the product. High prices: the volume necessary for economies of scale has not been reached. Large investment required. to develop the product. High risk of failure: most embryonic firms fail.
    • Growth stage
      • (industry growth is rapid ) Rapid growth: new consumers discover the product. Limited competitive pressures: The threat of new firms coming into the market peaks during the growth phase, but rapid growth allows firms to grow without competing on price. Falling prices: economies of scale are reached and distribution channels increase. Increasing profitability: due to economies of scale.
    • Shakeout stage（淘汰阶段）
      • industry growth and profitability are slowing due to strong competition. Growth has slowed: demand reaches saturation level with few new customers to be found. Intense competition: industry growth has slowed, so firm growth must come at the expense of competitors. Increasing industry overcapacity: firm investment exceeds increases in demand. Declining profitability: due to overcapacity. Increased cost cutting: firms restructure to survive and attempt to build brand loyalty. Increased failures: weaker firms liquidate or are acquired.
    • Mature stage
      • Mature stage: there is little industry growth and firms begin to consolidate Slow growth: market is saturated and demand is only for replacement. Consolidation: market evolves to an oligopoly, High barriers to entry: surviving firms have brand loyalty and low cost structures. Stable pricing: firms try to avoid price wars, although periodic price wars may occur during recessions. Superior firms gain market share: the firms with better products may grow faster than the industry average.
    • Decline stage
      • Decline stage: industry growth is negative. Negative growth: due to development of substitute products, societal changes, or global competition. Declining prices: competition is intense and there are price wars due to overcapacity. Consolidation: failing firms exit or merge.
  • Strategic analysis of an industry
    • Competitive Advantage（波特五力模型）竞争优势
      • Rivalry（竞争） among existing competitors
        • Rivalry increases when many firms of relatively equal size compete within an industry.
      • Threat of new entrants.
        • Industries that have significant barriers to entry will find it easier to maintain premium pricing.
      • Threat of substitute products
        • Substitute products limit the profit potential of an industry.
      • Bargaining power of buyers
        • Buyers’ ability to bargain for lower prices or higher quality influences industry profitability.
      • Bargaining power of suppliers
        • Suppliers’ ability to raise prices or limit supply influences industry profitability.
    • Pricing power
      • Barriers to entry
        • 1. low barriers to entry->little pricing power 2.high barriers to entry do not necessarily mean high pricing power (Overcapacity) 3. Low barriers to exit may have higher pricing power（退出壁垒太高会导致很多人退不出来，就会造成行业内的公司太多，定价权就会缺失）
      • Industry concentration
        • High Industry concentration does not guarantee pricing power（因为衰退期虽然集中度很高，但是定价权并不大）
      • Industry capacity
        • Undercapacity（产能不足）->higher pricing power and higher return on capital Overcapacity（产能过剩）->lower pricing power and lower return on capital
      • Market share stability
        • More stable market shares likely indicate less intense competition. 市场份额稳定，那么竞争就不会太激烈，定价权会更大一些。
  • External Influences and Company Analysis
    • External Influences
      • Macroeconomic factors
        • Can be cyclical or structural (longer-term) trends, most notably economic output as measured by GDP or some other measure, such as interest rates, inflation and education level.
      • Technology
        • Change an industry dramatically through the introduction of new or improved products.
      • Demographics
        • The demographics includes not only the population growth and the age distributions, but also the geographical distribution of people, the changing ethnic mix in a society, and changes in income distribution.
      • Governments
        • Today’s social trend may be tomorrow’s law, regulation, or tax
      • Social influence
        • How people work, play, spend their money, and conduct their lives.
      • Environmental influences
        • Consumer perception for certain brands, products, and services
        • Increased government regulations and protections
        • Potential disruptions to supply chains and the ability to operate, such as an increase in natural disasters or resource shortages in water or energy
    • Company Analysis
      • A company analysis should include the following elements
        • Firm overview, including information on operations, governance, and strengths and weaknesses.
        • Industry characteristics.
        • Product demand.
        • A product costs.
        • Pricing environment.
        • A financial ratios, with comparisons to other firms and over time.
        • Projected financial statements and firm valuation.
      • Three generic competitive strategies
        • Cost leadership
          • With the same product, the firm seeks to a lower cost.
        • Differentiation
          • With the same cost, the firm seeks to provide product benefits that other firms do no provide.
        • Focus
          • The firm targets a niche with either a cost or a differentiation focus.（注重细分领域）
• reading 38. Equity valuation. Concept and basic tools 定量分析
  • Equity valuation models
    • Evaluate a Security
      • Intrinsic value vs. Market price：比较内在价值与市值，看看股票是否被高估、低估，或者平价。
      • 根据估算的内在价值去估算时应该考虑的因素
        • Percentage difference between market prices and estimated values.
        • Confidence of the appropriateness of the valuation model.
        • Confidence of the inputs used in the valuation model.
        • Reasons why stock is mispriced.
        • Assume that market price will actually move toward estimated intrinsic value and that it will do so to a significant extent within the investment time horizon.
    • Major Categories of Equity Valuation Models
      • Discounted cash flow models现金流折现模型
        • dividend discount models
        • free cash flow to equity models
      • Multiplier models市场价格倍数模型
        • the ratio of stock price to fundamentals
        • the ratio of enterprise value to fundamentals
      • Asset-based models基于资产的模型，基于当前的资产，没有考虑公司未来的增涨，属于清算价值
    • Background for DDM: Stock Dividends
      • Dividend
        • A dividend is a distribution paid to shareholders based on the number of shares owned, and a cash dividend is a cash distribution made to company’s shareholders.
      • Extra dividend or special dividend
        • The dividends paid by a company that does not pay dividends on a regular schedule or a dividend that supplements regular cash dividend with an extra payment.
      • Stock dividends
        • Stock dividends is a type of dividend in which a company distributes additional shares of its common stock to shareholders instead of cash.
      • Stock split/ Reverse stock split（拆股与并股）
    • Background for DDM: Share Repurchase（股票回购）
      • Definition
        • A share repurchase is a transaction in which a company uses cash to buy back its own shares. 已经回购的股票不考虑股利、投票权与计算每股收益
      • Key reasons for engaging in share repurchases
        • Signaling a belief that their shares are undervalued;
        • Flexibility in the amount and timing of distributing cash to shareholders;
        • Tax efficiency in markets where tax rates on dividends exceed tax rates on capital gains;（避税：资本利得税比分红税低）
        • The ability to absorb increase in outstanding shares because of the exercise of employee stock options.（反稀释）
    • Dividend Payment Chronology（股利支付的时间表）
      • • The declaration date股利宣告日
        • The ex-dividend date除权除息日（由交易所决定的日期）它的前一天是最后一天购买股票可以得到分红的日期）
        • Holder-of-record date股权登记日
        • Payment date股利发放日
  • DCF models
    • 权益估计的关键原则：discounted future cash flow
    • Valuing Preferred Stock
      • 相当于一个永续年金
    • Gordon Growth dividend discount model (GGM) or Dividend Discount Model(DDM)
      • 恒定增长的高登股利增长模型
        • equation
        • Other variable parameters（如何获得其他的参数）
        • Assumption
          • Dividends grow at a constant rate.
          • The constant growth rate will continue for an infinite period.
          • The required rate of return r is greater than the infinite growth rate g...if it is not, the model gives meaningless results.
        • Limitations
          • Very sensitive to estimates of r and g
          • Difficult with non-dividend stocks
          • Difficult with unpredictable growth patterns (use multi-stage model)（难以预测增长模式）
        • Important Conclusion
          • The wider is the difference between r and g, the smaller the value of the stocks.
          • Small changes in the difference between r and g will cause large changes in the stocks’ value
      • 两阶段的DDM模型
        • the growth rate starts at a high level for a relatively short period of time, then reverts to a long-run perpetual level.
        • 原理：将现金流拆分成左右两部分 1.按照现金流折现的方式计算出一阶段的现值公式：PV1=D1/(1+ r )+D2/(1+ r )² 2.根据 GGM 模型计算出永续增长时点的现值，称为 terminal value ，再将terminal value 折现到0时点，即为二阶段现值 3.最后将一阶段和二阶段现值相加，即为股票的价值
      • 三阶段的DDM模型
        • 把三个阶段的PV都加起来就是股票的估值
    • free cash flow to equity
      • implications
        • 1.Valuation obtained by using FCFE involves discounting expected future FCFE by the required rate of return on equity. FCFE reflects the firm’s capacity to pay dividends. 2. FCFE is useful the firm that does not pay dividends or pays dividends but the dividends paid differ significantly from the company’s capacity to pay dividends;
      • equation
  • Price multiples
    • Price multiples used for valuation include:
      • Price to Earnings (P/E):市盈率，股价与每股收益之比
      • Price to Sales (P/S)市销率，股价与每股销售额之比
      • Price to Book Value (P/BV):市净率，股价与每股净资产之比
      • Price to Cash Flow (P/CF):市现率，股价与每股现金流量之比
    • Two main ways to apply these price multiples
      • Multiples based on fundamentals
        • basic information
          • The value justified by (based on) fundamentals or a set of cash flow predictions (intrinsic value) therefore are independent of the current market prices.
        • equation
          • 先计算出市盈率，在用市盈率乘以公司的EPS，得到调整后的市盈率：
      • Multiples based on comparables
        • Compare relative values between one firm to another using price multiples with market price.
          • basic information
            • The methodology involves using a price multiple to evaluate whether an asset is fairly valued, undervalued, or overvalued in relation to a benchmark value of the multiple.
            • Identify companies that are most similar according to a number of dimensions. These dimensions include (but are not limited to) overall size, product lines, and growth rate.
            • The economic rationale underlying the method of comparables is the law of one price: Identical assets should sell for the same price.
          • 优势
            • Can be calculated easily.
            • Can be used both cross-sectional (versus the market or another comparable) and in time series.可用于横截面或者时间序列。
          • 劣势
            • The conclusion drawn under the comparable and fundamental method may be reverse.
            • Price multiples may lose validity when firms use different accounting methods.
            • Price multiples for cyclical firms may be highly influenced by current economic conditions.
  • Enterprise value multiples公司价值，收购一个企业时候的价值
    • Enterprise value
      • Enterprise value (EV) is total company value, not equity. EV = market value of common stock + market value of preferred equity + market value of debt– cash and short-term investments
    • Advantage
      • Useful for comparing firms with different degrees of financial leverage
      • EBITDA is useful for valuing capital-intensive business EB
      • EBITDA is usually positive even when EPS is not.
      • EBITDA is useful for comparing firms with different effective tax rate.
    • Disadvantages
      • Market value of debt is often not available.
  • Asset-based models
    • An asset-based valuation of a company uses estimates of the market or fair value of the company’s assets and liabilities.一般是从资产负债表开始的
    • The asset-based valuation approach is not applicable when:
      • Intangible assets or “off the books” assets take up a large proportion.
      • Under a hyper-inflationary condition.
      • Companies with assets don’t readily determinable market (fair) value——such as those with significant property, plant, and equipment.
    • The asset-based valuation approach is most applicable when:
      • Financial companies, natural resource companies, and formerly goingconcerns（正在清算的公司） that are being liquidated. 这些类型的公司公允价值好获得
      • Asset-based models are frequently used for valuation of private companies.非上市公司对自己的资产与负债如数家珍
  • Comparison of The Three Valuation Methods
    • Discounted Cash Flow Models
    • Comparable Valuation Using Price Multiples
    • Price multiple valuations based on fundamentals
    • Asset-based models