道歉的话怎么说c h a p t e r
13-1
E quity curity analysis is the evaluation of a firm and its prospects
from the perspective of a current or potential investor in the firm’s stock. Security anal-ysis is one step in a larger investment process that involves (1) establishing the objectives of the investor or fund, (2) forming expectations about the future returns and risks of in-dividual curities, and then (3) combining individual curities into portfolios to max-imize progress toward the investment objectives.
系统测试计划
Security analysis is the foundation for the cond step, projecting future returns and asssing risk. Security analysis is typically conducted with an eye towards identifica-tion of mispriced curities, in hopes of generating returns that more than compensate the investor for risk. However, that need not be the ca. For analysts who do not have a comparative advantage in identifying mispriced curities, the focus should be on gain-ing an appreciation for how a curity would affect the risk of a given portfolio, and whether it fits the profile that the portfolio is designed to maintain.
Security analysis is undertaken by individual investors, by analysts at brokerage hous (ll-side anal
ysts), by analysts that work at the direction of funds managers for various institutions (buy-side analysts), and others. The institutions employing buy-side analysts include mutual funds, pension funds, insurance companies, universities, and others.
A variety of questions are dealt with in curity analysis:
•A ll-side analyst asks: How do my forecasts compare to tho of the analysts’connsus? Is the obrved market price consistent with that connsus? Given my expectations for the firm, does this stock appear to be mispriced? Should I recom-mend this stock as a buy, a ll, or a hold?
•A buy-side analyst for a “value stock fund” offered to mutual fund investors asks: Does this stock posss the characteristics we ek in our fund? That is, does it have
a relatively low ratio of price to earnings, book value, and other fundamental indi-
cators? Do its prospects for earnings improvement suggest good potential for high future returns on the stock?
•An individual investor asks: Does this stock offer the risk profile that suits my in-vestment objectives? Does it enhance my ability to diversify the risk of my portfo-lio? Is the firm’s dividend pay
第一滴眼泪out rate low enough to help shield me from taxes while I continue to hold the stock?
As the above questions underscore, there is more to curity analysis than estimating
13
Equity Security Analysis13-2 the value of stocks. Nevertheless, for most ll-side and buy-side analysts, the key goal
remains the identification of mispriced stocks.
INVESTOR OBJECTIVES
The investment objectives of individual savers in the economy are highly idiosyncratic.
For any given saver they depend on such factors as income, age, wealth, tolerance for
risk, and tax status. For example, savers with many years until retirement are likely to
prefer to have a relatively large share of their portfolio invested in equities, which offer
a higher expected return but high short-term variability. Investors in high tax brackets
are likely to prefer to have a large share of their portfolio in stocks that generate tax-de-
ferred capital gains rather than stocks that pay dividends or interest-bearing curities.
Mutual funds (or unit trusts as they are termed in some countries) have become pop-
ular investment vehicles for savers to achieve their investment objectives. Mutual funds
ll shares in professionally managed portfolios that invest in specific types of stocks
and/or fixed income curities. They therefore provide a low-cost way for savers to in-
vest in a portfolio of curities that reflects their particular appetite for risk.
The major class of mutual funds include (1) money market funds that invest in CDs
and treasury bills, (2) bond funds that invest in debt instruments, (3) equity funds that
invest in equity curities, (4) balanced funds that hold money market, bond, and equity
冒险故事curities, and (5) real estate funds that invest in commercial real estate. Within the bond
and equities class of funds, however, there are wide ranges of fund types. For example,
bond funds include:
•Corporate bond funds that invest in investment-grade rated corporate debt instru-
ments
•High yield funds that invest in non-investment-grade rated corporate debt
•Mortgage funds that invest in mortgage-backed curities
•Municipal funds that invest in municipal debt instruments and which generate in-
come that can be nontaxable
Equity funds include:
•Income funds that invest in stocks that are expected to generate dividend income
•Growth funds that invest in stocks expected to generate long-term capital gains
•Income and growth funds that invest in stocks that provide a balance of dividend
and capital gains
•Value funds that invest in equities that are considered to be undervalued
•Short funds that ll equity curities short that are considered to be overvalued
•Index funds that invest in stocks that track a particular market index, such as the
S&P 500
•Sector funds that invest in stocks in a particular industry gment, such as the tech-
nology or health sciences ctors
•Regional funds that invest in equities from a particular country or geographic
海南省简称region, such as Japan, Europe, or the Asia-Pacific region
Part 3Business Analysis and Valuation Applications
13-3
The focus of this chapter is on analysis for equity curities.
EQUITY SECURITY ANALYSIS AND
MARKET EFFICIENCY
How a curity analyst should invest his or her time depends on how quickly and effi-
ciently information flows through markets and becomes reflected in curity prices. In
the extreme, information would be reflected in curity prices fully and immediately
upon its relea. This is esntially the condition posited by the efficient markets hypoth-
esis. This hypothesis states that curity prices reflect all available information, as if such
information could be costlessly digested and translated immmediately into demands for
buys or lls without regard to frictions impod by transactions costs. Under such con-
ditions, it would be impossible to identify mispriced curities on the basis of public in-
漂亮mmformation.
In a world of efficient markets, the expected return on any equity curity is just enough to compensate investors for the unavoidable risk the curity involves. Unavoid-
able risk is that which cannot be “diversified away” simply by holding a portfolio of
many curities. Given efficient markets, the investor’s strategy shifts away from the
arch for mispriced curities and focus instead on maintaining a well diversified
portfolio. Aside from this, the investor must arrive at the desired balance between risky
curities and short-term government bonds. The desired balance depends on how much
risk the investor is willing to bear for a given increa in expected returns.
The above discussion implies that investors who accept that stock prices already re-flect available information have no need for analysis involving a arch for mispriced -
curities. Of cour, if all investors adopted this attitude, no such analysis would be
conducted, mispricing would go uncorrected, and markets would no longer be efficient!
This is why the efficient markets hypothesis cannot reprent an equilibrium in a strict
n. In equilibrium, there must be just enough mispricing to provide incentives for the
investment of resources in curity analysis.
The existence of some mispricing, even in equilibrium, does not imply that it is n-sible for just anyone to engage in curity analysis. Instead, it suggests that curities
analysis is subject to the same laws of supply and demand faced in all other competitive
industries: it will be rewarding only for tho with the strongest comparative advantage.
How many analysts are in that category depends on a number of factors, including the
liquidity of a firm’s stock and investor interest in the company.1 For example, there are
about 40 ll-side professional analysts who follow IBM, a company with a highly liquid
stock and considerable investor interest. There are many other buy-side analysts who
track the firm on their own account without issuing any formal reports to outsiders. For
the smallest publicly traded firms in the U.S., there is typically no formal following by
analysts, and would-be investors and their advisors are left to themlves to conduct
curities analysis.
Equity Security Analysis13-4
Market Efficiency and the Role of Financial Statement Analysis
The degree of market efficiency that aris from competition among analysts and other
market agents is an empirical issue addresd by a large body of rearch spanning the
last three decades. Such rearch has important implications for the role of financial
statements in curity analysis. Consider, for example, the implications of an extremely
efficient market, where information is fully impounded in prices within minutes of its
revelation. In such a market, agents could profit from digesting financial statement in-
formation in two ways. First, the information would be uful to the lect few who re-
ceive newly-announced financial data, interpret it quickly, and trade on it within
minutes. Second, and probably more important, the information would be uful for
gaining an understanding of the firm, so as to place the analyst in a better position to in-
terpret other news (from financial statements as well as other sources) as it arrives.
On the other hand, if curities prices fail to reflect financial statement data fully, even
days or months after its public revelation, there is a third way in which market agents
could profit from such data. That is to create trading strategies designed to exploit any
systematic ways in which the publicly available data are ignored or discounted in the
price-tting process.
Market Efficiency and Managers’ Financial Reporting Strategies
The degree to which markets are efficient also has implications for managers’ approach-
es to communicating with their investment communities. The issue becomes most im-
portant when the firm pursues an unusual strategy, or when the usual interpretation of
financial statements would be misleading in the firm’s context. In such a ca, the com-工地安全管理
munication avenues managers can successfully pursue depend not only on manage-
ment’s credibility, but also on the degree of understanding prent in the investment
community. We will return to the issue of management communications in more detail
in Chapter 17.
Evidence of Market Efficiency
There is an abundance of evidence consistent with a high degree of efficiency in the pri-
engoymary U.S. curities markets.2 In fact, during the 1960s and 1970s, the evidence was so
one-sided that the efficient markets hypothesis gained widespread acceptance within the
academic community and had a major impact on the practicing community as well.
Evidence pointing to very efficient curities markets comes in veral forms:
•When information is announced publicly, the markets react very quickly.
•It is difficult to identify specific funds or analysts who have consistently generated
abnormally high returns.
•A number of studies suggest that stock prices reflect a rather sophisticated level of
fundamental analysis.
Part 3Business Analysis and Valuation Applications
13-5
While a large body of evidence consistent with efficiency exists, recent years have witnesd a re-examination of the once widely accepted thinking. A sampling of the re-
arch includes the following:
•On the issue of the speed of stock price respon to news, a number of studies sug-
gest that even though prices react quickly, the initial reaction tends to be incom-
plete.3
•A number of studies point to trading strategies that could have been ud to outper-
form market averages.4
•Some related evidence—still subject to ongoing debate about its proper interpreta-
tion—suggests that, even though market prices reflect some relatively sophisticated
analys, prices still do not fully reflect all the information that could be garnered
from publicly available financial statements.5
The controversy over the efficiency of curities markets is unlikely to end soon.
However, there are some lessons that are accepted by most rearchers. First, curities
markets not only reflect publicly available information, they also anticipate much of it
before it is relead. The open question is what fraction of the respon remains to be
impounded in price once the day of the public relea comes to a clo. Second, even in
most studies that suggest inefficiency, the degree of mispricing is relatively small for
large stocks.
Finally, even if some of the evidence is currently difficult to align with the efficient markets hypothesis, it remains a uful benchmark (at a minimum) for thinking about
the behavior of curity prices. The hypothesis will continue to play that role unless it
can be replaced by a more complete theory. Some rearchers are developing theories
that encompass the existence of market agents who trade for inexplicable reasons, and
prices that differ from so-called “fundamental values,” even in equilibrium.
APPROACHES TO FUND MANAGEMENT
AND SECURITIES ANALYSIS
Approaches ud in practice to manage funds and analyze curities are quite varied.
One dimension of variation is the extent to which the investments are actively or pas-
sively managed. Another variation is whether a quantitative or a traditional fundamental
approach is ud. Security analysts also vary considerably in terms of whether they pro-
duce formal or informal valuations of the firm.
Active Versus Passive Management
Active portfolio management relies heavily on curity analysis to identify mispriced -
curities. The passive portfolio manager rves as a price taker, avoiding the costs of -
curity analysis and turnover while typically eking to hold a portfolio designed to
match some overall market index or ctor performance. Combined approaches are also
possible. For example, one may actively manage 20 percent of a fund balance while
Equity Security Analysis13-6 passively managing the remainder. The widespread growth of passively managed funds
in the U.S. over the past twenty years rves as testimony to many fund managers’ belief
that earning superior returns is a difficult thing to do.
Quantitative Versus Traditional Fundamental Analysis
Actively managed funds must depend on some form of curity analysis. Some funds
employ “technical analysis,” which attempts to predict stock price movements on the ba-
sis of market indicators (prior stock price movements, volume, etc.). In contrast, “fun-
damental analysis,” the primary approach to curity analysis, attempts to evaluate the
current market price relative to projections of the firm’s future earnings and cash-flow
generating potential. Fundamental analysis involves all the steps described in the previ-
ous chapters of this book: business strategy analysis, accounting analysis, financial anal-
ysis, and prospective analysis (forecasting and valuation).
In recent years, some analysts have supplemented traditional fundamental analysis,
which involves a substantial amount of subjective judgment, with more quantitative ap-
proaches. The quantitative approaches themlves are quite varied. Some involve simply
“screening” stocks on the basis of some t of factors, such as trends in analysts’ earn-
ings revisions, price-earnings ratios, price-book ratios, and so on. Whether such ap-
proaches are uful depends on the degree of market efficiency relative to the screens.
Quantitative approaches can also involve implementation of some formal model to
predict future stock returns. Longstanding statistical techniques such as regression anal-
ysis and probit analysis can be ud, as can more recently developed, computer-intensive
techniques such as neural network analysis. Again, the success of the approaches de-
pends on the degree of market efficiency and whether the analysis can exploit informa-
tion in ways not otherwi available to market agents as a group.
Quantitative approaches play a more important role in curity analysis today than
they did a decade or two ago. However, by and large, analysts still rely primarily on the
kind of fundamental analysis involving complex human judgments, as outlined in our
earlier chapters.
Formal Versus Informal Valuation
Full-scale, formal valuations bad on the methods described in Chapter 11 have be-
come more common, especially in recent years. However, less formal approaches are
also possible. For example, an analyst can compare his or her long-term earnings pro-
jection with the connsus forecast to generate a buy or ll recommendation. Alterna-
tively, an analyst might recommend a stock becau his or her earnings forecast appears
relatively high in comparison to the current price. Another possible approach might be
labeled “marginalist.” This approach involves no attempt to value the firm. The analyst
simply assumes that if he or she has unearthed favorable (unfavorable) information
believed not to be recognized by others, the stock should be bought (sold).
