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Pertemuan 05Harga Wajar Saham

Matakuliah : F0392/Simulasi Perdagangan di Bursa Efek

Tahun : 2005

Versi : 1/3

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Learning Outcomes

Pada akhir pertemuan ini, diharapkan mahasiswa

akan mampu :

• Menentukan harga wajar saham dengan beberapa pendekatan

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Outline Materi

• Net Asset Valuation

• Dividend Valuation

• Stock Valuation

• CAPM

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Equity Valuation Models

• Balance Sheet Book Value per share Equity ÷ # shares Book value reflects acctg entries only Does not include: Brand name Customer loyalty Expertise; reputation Future growth opportunities Liquidation Value Replacement Value

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Intrinsic Value

• Value today = Present Value of Future CF’s

• V0 = [D1 + P1] / (1+R)• Also:R = [P1 - P0]/P0 + D1/P0

• Returns:

Expected - given price & expected CF’s

Required - based on risk

Realized - actual return; after the fact

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Example 1

• Suppose: P1 = 52 (expected) D1 = 4.00 (expected) P0 = 48 Beta = 1.2 Rf = 6%; Rm - Rf = 5%

• Recall: R = Rf + B(Rm - Rf)

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Example 2

• Expected Return: R = [52 - 48]/48 + 4/48 = 16.67%

• Required: R = 6 + 1.2(5) = 12%

• Is Stock Over or Under valued? => undervalued; stock price has to

rise• Intrinsic Value: P0 = [52 + 4] / (1+12%) = $50 > 48

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Dividend Discount Model

• P0 = D1/(1+R) + D2/(1+R)2 + D3/(1+R)3 + ... If Dividends are expected to grow at the constant

rate g, then:

P0 = D1/(R-g) or: P0 = Do(1+g)/(R-g)

• Price will be higher: The higher the expected dividend The lower the capitalization rate, R The higher the expected growth rate, g The model is extremely sensitive to inputs

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Dividend Discount Model

• Example: D1 = $4.00 g = 5% R = 12% P0 = D1/(R-g) = 4/(12%-5%) = $57.14

• Note: Since P1 = D2/(R-g) = D1(1+g)/(R-g) P1 = [D1/(R-g)] x (1+g) P1 = P0 x (1+g) Price grows at constant rate

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Dividend Discount Model

• Suppose D1 = $4.00 g increases from 5% to 6%

• What happens to price?• What happens to expected return?

P0 = 4/(12%-6%) = $66.67

E(R) = D1/P0 + g = 4/66.67 + 6% = 12% (unchanged)

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Stock Prices & Investment Opportunities

• Sustainable Growth Rate: rate of growth such that D/E remains constant & no new equity is needed

SGR = r x ROE

• R = retention ratio = (1-DPS)/EPS

• DPS = Dividends per share

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Example 3

• Suppose EPS = $5.00 and R = 12.5%

• Compute Value & P/E ratio for following:

Company 1 ROE = 15% r = 0%

Company 2 ROE = 15% r = 60%

Company 3 ROE = 12.5% r = 60%

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Example, cont.

• Company 1:

r = 0 ==> D1 = 5.00

g = ROE x r = 15% x 0 = 0

P0 = 5/(12.5 - 0) = $40.00 P/E = 40/5 = 8 (= 1/R) capitalization

rate

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Example, cont.

• Company 2:

r = 60% ==> D1 = .4 x 5.00 = $2.00

g = ROE x r = 15% x .6 = 9%

P0 = 2/(12.5% - 9%) = $57.14

P/E = 57.14/5 = 11.43 > 1/R

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Example, cont.

• Company 3:

r = 60% ==> D1 = .4 x 5.00 = $2.00

g = ROE x r = 12.5% x .6 = 7.5%

P0 = 2/(12.5% - 7.5%) = $40.00

P/E = 40.00/5 = 8 = 1/R

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Summary

• Expected EPS same for all three firms

• Only positive NPV growth leads to increase in share value (ROE > R)

• P/E = 1/R for no growth

• P/E > 1/R for positive NPV growth firms

• P0 = E/R + PVGO

• P0 = 40 + 17.14

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Relation Between P/E & Growth

• P = D/(R-g)

• D = E x (1 - r)

• g = ROE x r (sustainable growth rate)

SO:

• P = E x (1 - r) / (R - ROE x r)

• P/E = (1 - r) / (R - ROE x r)

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Relation Between P/E & Growth

• Now, take derivative of P/E w/r/t r:

• (R - ROE x r) x (-1) - (1 - r) (-ROE) / (xx)2

• Denominator is always positive

• Numerator = ROE - R

• ROE > R => P/E increases when r increases

• If ROE < R, growth reduces P/E & P

• Growth must be value enhancing!

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Example

• Consider a takeover target w/ entrenched mgmt

• r = 60%; ROE = 10%; R = 15% ; EPS = 5.00

• D = (1 - 60%) x 5 = $2.00• g = 10% x 60% = 6%• P = 2 / (15% - 6%) = $22.22• PVGO = P0 - E/R = 22.22 - 5/.15 = -11.11• Buy firm & increase value by setting r = 0• P0 = 5/.15 = 33.33

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P/E ratios & Risk

• From Before we know that:

P/E = (1 - r) / (R - ROE x r)

P/E = (1 - r) / (R - g)

Risk is reflected in R: R is investors’ required return

Higher risk ==> Higher R Higher R ==> Lower P/E (ceteris paribus)

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Tugas

Kerjakan dan kumpulkan pada Pert 06

• Tugas 05-1

• Tugas 05-2

• Tugas 05-3