Verfügbarkeit: Equity valuation, risk, and investment

Equity valuation, risk, and investment: a practitioner's roadmap

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Bibliographische Detailangaben
1. Verfasser:	Stimes, Peter C. 1955- (VerfasserIn)
Format:	Buch
Sprache:	English
Veröffentlicht:	Hoboken, N.J. Wiley 2008
Schriftenreihe:	Wiley finance series
Schlagworte:	Corporations > Valuation Securities > Valuation Risk Portfolio management Investment analysis
Online-Zugang:	Table of contents only Publisher description Contributor biographical information Inhaltsverzeichnis
Beschreibung:	Includes bibliographical references (p. 268-273) and index
Beschreibung:	xxi, 279 p. graph. Darst. 24 cm
ISBN:	9780470226407 0470226404

Internformat

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Datensatz im Suchindex

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adam_text	Contents Foreword xi Preface xv About the Author xxi CHAPTBt 1 Introduction 1 Theoretical Precision or Theoretical Resilience? 2 Practical Difficulties as Well 3 Overview of Our Analysis 5 A Quick and Important Note on Mathematical Notation 6 CHAPTBt 2 Inflation-Protected Bonds as a Valuation Template 8 Formulas behind the Intuition 9 TIPS versus Traditional Fixed-Rate Bonds: Measuring the Differences 14 A Peek Ahead 19 CHAPTHtS Valuing Uncertain, Perpetual Income Streams 22 Mathematical Development of Unleveraged Firm Valuation 24 What Does the Valuation Formula Tell Us about Sensitivity to Inflation? 29 Sensitivity to Real Discount Rates and Growth Factors 37 Comparison with a Traditional Model of Firm Valuation 42 CHAPTBt4 Valuing a Leveraged Equity Security 46 Leverage in the Presence of Corporate Income Taxes 52 From Theory to Practice 58 VI VHi ______________________________________________________ CONTENTS Chapter 4 Supplement: Relationship between Leveraged Equity Discount Rate and Debt-to-Capital Ratio for Highly Leveraged Companies 63 CHAPTER Case Studies hi Valuation during the Recent Decade 65 Case 1: Coca-Cola 66 Case 2: Intel 73 Case 3: Procter Gamble 79 Market-Implied, Inflation-Adjusted Discount Rates for Coca-Cola, Intel, and Procter Gamble 83 Case 4: Enron 85 Tying Up the Package: Practical Lessons from All Four Cases 90 CHAPTH16 Treatment of Mergers and Acquisitions 91 Generalizing from the P G/Gillette Example 97 Applicability of the Results under Alternate Merger Terms 102 Analytical Postscript 1: Common Stock Buybacks and Issuances Outside the Merger Framework 105 Analytical Postscript 2: A Word on Executive Stock Option Grants 106 CHAPTBI7 A Fafe1 Representation? Broad Sample Testing over a 10-Year Market Cycle 109 Sample Descriptive Data 113 Basic Valuation Results 121 Predictive Strength of the Model for the Whole Period 124 Predictive Strength ot the Model for Subperiods 128 CHAPTER8 Price Volatility and Underlying Causes 132 Deriving the Formula for Price Changes 136 Translating the Price Change Formula into Volatility Estimates 139 Digression: Impact of Debt Leverage on Equity Volatility 140 Obtaining the Volatility of the Underlying Variables 147 CHAPTR9 Constructing Efficient Portfolios 156 Extracting Expected Equity Returns from Observed Price/Earnings Ratios: Part I 161 Extracting Expected Equity Returns from Observed Price/Earnings Ratios: Part II 164 Contents ix Extracting Expected Equity Returns from Observed Price/Earnings Ratios: Part III 168 Creating Efficient Portfolios: Unconstrained Case 172 Creating Efficient Portfolios: Case Where Asset Weights Are Required to Be Nonnegative 176 Computing the Variance/Covariance Matrix Inputs 179 CHAPTER 10 Selecting among Efficient Portfolios and Making Dynamic Rebalancing Adjustments 182 Reconciling Portfolio Desirability and Feasibility 186 Turning Theory into Easily Calculated Results 188 Adjusting for Changes in Long-Term Expected Returns on Common Equity 190 Adapting to More General Changes in Risk-Adjusted Expected Returns 197 Recapitulation and an Important Caveat 205 CHAPTER 11 How Did We Arrive Here Historically? Where Might We Go Prospectively? 207 Crises of Confidence 208 Some Answers Begin to Emerge 211 What If Everyone Followed This Type of Model and Investing? 213 Next Steps 213 APPENDIX A Mathematical Review of Growth Rates lor Earnings, Dividends, and Rook Value per Share 217 APPEUNXR Sustainable and Unsustainable Inflation Rates 229 APPEMNXC Deriving the Equity Duration Formula 238 APPENDIX D Traditional Growth/Equity Vatattai Formula 241 APPENDIX E Adjustments Required to the Traditional Growth/Equity Valuation Formula to Preserve Inflation Neutralty 244 X_______________________________________________________________________CONTENTS APPENDIX F Brief Recapitulation of the Millet* 1977 Capital Structure Irrelevance Theorem 247 APPENDIX G Time Series Charts of Unleveraged, Inflation-Adjusted Discount Rate Estimates 249 APPENDIX H Comparison of Volatility of Pretax and After-Tax Income 255 APPENDIX I Relationship between Observed Price-to-Earnings ( P/E ) Ratios and Nominal Interest Rates 257 APPEMHXJ Additional Background on Mathematical Optimization Subject to Constraint Conditions 259 APPENDIX K Derivation of Asset Class Covariances 262 APPEMMXL Expected Return and Vartance/Covartance Inputs Underlying Porttoio Examples 266 Bibliography 268 Index 275
adam_txt	Contents Foreword xi Preface xv About the Author xxi CHAPTBt 1 Introduction 1 Theoretical Precision or Theoretical Resilience? 2 Practical Difficulties as Well 3 Overview of Our Analysis 5 A Quick and Important Note on Mathematical Notation 6 CHAPTBt 2 Inflation-Protected Bonds as a Valuation Template 8 Formulas behind the Intuition 9 TIPS versus Traditional Fixed-Rate Bonds: Measuring the Differences 14 A Peek Ahead 19 CHAPTHtS Valuing Uncertain, Perpetual Income Streams 22 Mathematical Development of Unleveraged Firm Valuation 24 What Does the Valuation Formula Tell Us about Sensitivity to Inflation? 29 Sensitivity to Real Discount Rates and Growth Factors 37 Comparison with a Traditional Model of Firm Valuation 42 CHAPTBt4 Valuing a Leveraged Equity Security 46 Leverage in the Presence of Corporate Income Taxes 52 From Theory to Practice 58 VI VHi _ CONTENTS Chapter 4 Supplement: Relationship between Leveraged Equity Discount Rate and Debt-to-Capital Ratio for Highly Leveraged Companies 63 CHAPTER Case Studies hi Valuation during the Recent Decade 65 Case 1: Coca-Cola 66 Case 2: Intel 73 Case 3: Procter Gamble 79 Market-Implied, Inflation-Adjusted Discount Rates for Coca-Cola, Intel, and Procter Gamble 83 Case 4: Enron 85 Tying Up the Package: Practical Lessons from All Four Cases 90 CHAPTH16 Treatment of Mergers and Acquisitions 91 Generalizing from the P G/Gillette Example 97 Applicability of the Results under Alternate Merger Terms 102 Analytical Postscript 1: Common Stock Buybacks and Issuances Outside the Merger Framework 105 Analytical Postscript 2: A Word on Executive Stock Option Grants 106 CHAPTBI7 A Fafe1 Representation? Broad Sample Testing over a 10-Year Market Cycle 109 Sample Descriptive Data 113 Basic Valuation Results 121 Predictive Strength of the Model for the Whole Period 124 Predictive Strength ot the Model for Subperiods 128 CHAPTER8 Price Volatility and Underlying Causes 132 Deriving the Formula for Price Changes 136 Translating the Price Change Formula into Volatility Estimates 139 Digression: Impact of Debt Leverage on Equity Volatility 140 Obtaining the Volatility of the Underlying Variables 147 CHAPTR9 Constructing Efficient Portfolios 156 Extracting Expected Equity Returns from Observed Price/Earnings Ratios: Part I 161 Extracting Expected Equity Returns from Observed Price/Earnings Ratios: Part II 164 Contents ix Extracting Expected Equity Returns from Observed Price/Earnings Ratios: Part III 168 Creating Efficient Portfolios: Unconstrained Case 172 Creating Efficient Portfolios: Case Where Asset Weights Are Required to Be Nonnegative 176 Computing the Variance/Covariance Matrix Inputs 179 CHAPTER 10 Selecting among Efficient Portfolios and Making Dynamic Rebalancing Adjustments 182 Reconciling Portfolio Desirability and Feasibility 186 Turning Theory into Easily Calculated Results 188 Adjusting for Changes in Long-Term Expected Returns on Common Equity 190 Adapting to More General Changes in Risk-Adjusted Expected Returns 197 Recapitulation and an Important Caveat 205 CHAPTER 11 How Did We Arrive Here Historically? Where Might We Go Prospectively? 207 Crises of Confidence 208 Some Answers Begin to Emerge 211 What If Everyone Followed This Type of Model and Investing? 213 Next Steps 213 APPENDIX A Mathematical Review of Growth Rates lor Earnings, Dividends, and Rook Value per Share 217 APPEUNXR Sustainable and Unsustainable Inflation Rates 229 APPEMNXC Deriving the "Equity Duration" Formula 238 APPENDIX D Traditional Growth/Equity Vatattai Formula 241 APPENDIX E Adjustments Required to the Traditional Growth/Equity Valuation Formula to Preserve Inflation Neutralty 244 X_CONTENTS APPENDIX F Brief Recapitulation of the Millet* 1977 Capital Structure Irrelevance Theorem 247 APPENDIX G Time Series Charts of Unleveraged, Inflation-Adjusted Discount Rate Estimates 249 APPENDIX H Comparison of Volatility of Pretax and After-Tax Income 255 APPENDIX I Relationship between Observed Price-to-Earnings ("P/E") Ratios and Nominal Interest Rates 257 APPEMHXJ Additional Background on Mathematical Optimization Subject to Constraint Conditions 259 APPENDIX K Derivation of Asset Class Covariances 262 APPEMMXL Expected Return and Vartance/Covartance Inputs Underlying Porttoio Examples 266 Bibliography 268 Index 275
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spelling	Stimes, Peter C. 1955- Verfasser (DE-588)135885310 aut Equity valuation, risk, and investment a practitioner's roadmap Peter C. Stimes Hoboken, N.J. Wiley 2008 xxi, 279 p. graph. Darst. 24 cm txt rdacontent n rdamedia nc rdacarrier Wiley finance series Includes bibliographical references (p. 268-273) and index Corporations Valuation Securities Valuation Risk Portfolio management Investment analysis http://www.loc.gov/catdir/enhancements/fy0741/2007031889-t.html Table of contents only http://www.loc.gov/catdir/enhancements/fy0741/2007031889-d.html Publisher description http://www.loc.gov/catdir/enhancements/fy0806/2007031889-b.html Contributor biographical information HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016979329&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis
spellingShingle	Stimes, Peter C. 1955- Equity valuation, risk, and investment a practitioner's roadmap Corporations Valuation Securities Valuation Risk Portfolio management Investment analysis
title	Equity valuation, risk, and investment a practitioner's roadmap
title_auth	Equity valuation, risk, and investment a practitioner's roadmap
title_exact_search	Equity valuation, risk, and investment a practitioner's roadmap
title_exact_search_txtP	Equity valuation, risk, and investment a practitioner's roadmap
title_full	Equity valuation, risk, and investment a practitioner's roadmap Peter C. Stimes
title_fullStr	Equity valuation, risk, and investment a practitioner's roadmap Peter C. Stimes
title_full_unstemmed	Equity valuation, risk, and investment a practitioner's roadmap Peter C. Stimes
title_short	Equity valuation, risk, and investment
title_sort	equity valuation risk and investment a practitioner s roadmap
title_sub	a practitioner's roadmap
topic	Corporations Valuation Securities Valuation Risk Portfolio management Investment analysis
topic_facet	Corporations Valuation Securities Valuation Risk Portfolio management Investment analysis
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