Оглавление
H. Kent Baker. Equity Markets, Valuation, and Analysis
Table of Contents
List of Tables
List of Illustrations
Guide
Pages
Equity Markets, Valuation, and Analysis
Acknowledgments
About the Editors
About the Chapter Authors
CHAPTER 1 Equity Markets, Valuation, and Analysis: An Overview
INTRODUCTION
ABOUT THIS BOOK
Purpose of the Book
Distinguishing Features
Intended Audience
STRUCTURE OF THE BOOK
Part One: Background
Part Two: Valuation and Analysis
Part Three: Equity Investment Models and Strategies
Part Four: Special Equity Topics
SUMMARY AND CONCLUSIONS
REFERENCES
CHAPTER 2 Ownership Structure and Stock Classes
INTRODUCTION
SINGLE-CLASS COMMON EQUITY
Cross-Listed Stocks
Depositary Receipts
Dual Listings
Tracking Stock
DUAL-CLASS COMMON EQUITY
Discovery Inc.: A Case Study
SUMMARY AND CONCLUSIONS
DISCUSSION QUESTIONS
REFERENCES
CHAPTER 3 Equity Markets and Performance
INTRODUCTION
THE EQUITY MARKET AND THE ECONOMY
MARKET INDICATORS
GOOD MARKETS – LIQUIDITY
GOOD MARKETS – EFFICIENCY
Weak Form Efficiency
Semi-Strong Form Efficiency
Strong Form Efficiency
Studies and Implications Regarding Market Efficiency
Good Markets – Trust and Confidence
INFORMATION DISCLOSURE
ENFORCEMENT
MONETARY POLICIES
INVESTMENTS: COMPARATIVE RISK AND RETURN
STOCKS VERSUS BONDS: THE ISSUER'S PERSPECTIVE
SUMMARY AND CONCLUSIONS
DISCUSSION QUESTIONS
REFERENCES
CHAPTER 4 Securities Regulation
INTRODUCTION
TRADING RULES AND RULES PERTAINING TO BROKER-DEALER CONDUCT
Insider Trading Rules
Market Manipulation Rules
False Disclosure Rules
Broker-Agency Conflict Rules
SURVEILLANCE
ENFORCEMENT
IMPACT OF TRADING RULES AND SURVEILLANCE ON CORPORATE OUTCOMES
Market Manipulation and M&As
Market Manipulation and Innovation
SUMMARY AND CONCLUSIONS
DISCUSSION QUESTIONS
REFERENCES
CHAPTER 5 Investor Psychology and Equity Market Anomalies
INTRODUCTION
INVESTOR PSYCHOLOGY: BOUNDED RATIONALITY
Information Limitations
Cognitive Limitations
Time Limitations
INVESTOR PSYCHOLOGY: PROSPECT THEORY
Reference Wealth
Risk versus Certainty
Other Effects of Prospect Theory
EQUITY MARKET ANOMALIES: VIOLATIONS OF THE EMH
Violations of the Weak Form EMH
Violations of the Semi-Strong Form EMH
Violations of the Strong Form EMH and Other Critiques of the EMH
SUMMARY AND CONCLUSIONS
DISCUSSION QUESTIONS
REFERENCES
CHAPTER 6 Financial Statement Analysis and Forecasting
INTRODUCTION
BACKGROUND
TECHNICAL ANALYSIS–BASED FORECASTING
TIME SERIES–BASED FORECASTING
FUNDAMENTAL ANALYSIS–BASED FORECASTING
PROCESS OF ANALYZING FINANCIAL STATEMENTS
EVIDENCE ON THE USEFULNESS OF FINANCIAL STATEMENT ANALYSIS
SECURITY ANALYSTS AND FINANCIAL STATEMENT ANALYSIS
LIMITATIONS OF USING FINANCIAL STATEMENT ANALYSIS IN FORECASTING
SUMMARY AND CONCLUSION
DISCUSSION QUESTIONS
REFERENCES
CHAPTER 7 Fundamentals of Equity Valuation
INTRODUCTION
WHAT IS EQUITY VALUATION?
Fundamental Analysis
Understanding Financial Statements
Understanding Economic and Regulatory Environment
Equity Valuation Objectives
Who Is Interested in Equity Valuation?
Equity Valuation Paradigm
Equity Valuation Approaches
FREE CASH FLOW–BASED VALUATION
Free Cash Flow to the Firm Model
Free Cash Flow to Equity Models
DIVIDEND-BASED VALUATION
The Constant-Growth DDM
Multistage Growth DDM
MARKET-BASED VALUATION: MULTIPLES AND RATIOS
MODELING THE REQUIRED ASSET RETURN
OPTION THEORY–BASED VALUATION
SUMMARY AND CONCLUSIONS
DISCUSSION QUESTIONS
REFERENCES
CHAPTER 8 Company Analysis
INTRODUCTION
THREE STEPS LINKING BUSINESS ACTIVITIES TO EQUITY PRICES
ACCOUNTING ANALYSIS
FUNDAMENTAL ANALYSIS
Profitability
Economics of Profitability
Other Profitability Components
Growth
Liquidity, Solvency, and Financial Distress
SUMMARY AND CONCLUSIONS
DISCUSSION QUESTIONS
REFERENCES
CHAPTER 9 Technical Analysis
INTRODUCTION
BACKGROUND
Link Between Technical and Fundamental Investment Philosophies
Dow Theory: A Foundation
PULLING IT ALL TOGETHER: FUNDAMENTALS, BIASES, AND TRENDS
Trend Following
Moving Averages
Momentum Investing
SUMMARY AND CONCLUSIONS
DISCUSSION QUESTIONS
REFERENCES
CHAPTER 10 Discounted Dividend Valuation
INTRODUCTION
THE GENERAL MODEL
CONSTANT GROWTH OR GORDON MODEL
MULTISTAGE MODELS
The Two-Stage Model
The H-Model
The Three-Stage Model
STOCHASTIC MODELS
Binomial Model
Trinomial Model
USES OF DDMS
EMPIRICAL TESTS OF THE DIVIDEND DISCOUNT MODEL
SUMMARY AND CONCLUSIONS
DISCUSSION QUESTIONS
REFERENCES
CHAPTER 11 Free Cash Flow Valuation
INTRODUCTION
GENERAL APPROACH TO FCF ANALYSIS
FOUR SPECIAL CASES OF FCF VALUATION APPROACHES
Weighted Average Cost of Capital (WACC)
Adjusted Present Value (APV)
Capital Cash Flow (CCF)
Free Cash Flow to Equity (FCFE)
SUMMARY AND CONCLUSIONS
DISCUSSION QUESTIONS
REFERENCES
CHAPTER 12 Market-based Valuation
INTRODUCTION
WIDELY USED VALUATION MULTIPLES AND VALUATION STEPS
SELECTING COMPARABLE FIRMS
THE EFFICACY OF DIFFERENT MULTIPLES IN VALUATION
COMMON FACTORS DETERMINING DIFFERENT MULTIPLES
SUMMARY AND CONCLUSIONS
DISCUSSION QUESTIONS
REFERENCES
CHAPTER 13 Residual Income Valuation
INTRODUCTION
HISTORY AND FOUNDATIONS OF RESIDUAL INCOME
COMPUTING RESIDUAL INCOME
EQUITY VALUATION USING RESIDUAL INCOME
NUMERICAL EXAMPLE
APPLYING RI TO EQUITY VALUATION
EVALUATION AND CRITIQUE OF RESIDUAL INCOME
SUMMARY AND CONCLUSIONS
DISCUSSION QUESTIONS
REFERENCES
CHAPTER 14 Private Company Valuation
INTRODUCTION
DCF VALUATION METHODS FOR PRIVATE COMPANIES
The Capital Cash Flow Method
The Adjusted Present Value Method
The Free Cash Flow Method
Scenario Analysis in DCF Valuation Methods
THE COMPARABLE FIRMS APPROACH IN PRIVATE COMPANY VALUATION
The Choice of Valuation Metrics in the Comparable Firms Approach
The Choice of Comparable Companies
THE VENTURE CAPITAL METHOD FOR HIGH-GROWTH PRIVATE COMPANIES
Exit Valuation
Target Rate of Return and Discounted Exit Valuation
The Venture Capitalist's Expected Retention Ratio
The Venture Capitalist's Required Equity Stake
OPTION VALUATION FOR PRIVATE COMPANIES
SUMMARY AND CONCLUSIONS
DISCUSSION QUESTIONS
REFERENCES
CHAPTER 15 Equity Investing Strategies
INTRODUCTION
VALUE INVESTING
GROWTH INVESTING
GROWTH AT A REASONABLE PRICE
INCOME INVESTING
Dividends
INDEX INVESTING
QUANTITATIVE TRADING
TECHNICAL ANALYSIS
OPTIONS STRATEGIES
ESG INVESTING
SUMMARY AND CONCLUSIONS
DISCUSSION QUESTIONS
REFERENCES
CHAPTER 16 Factor Investing
INTRODUCTION
HISTORY
FACTORS OF PROMINENCE
Value
Size
Momentum
RECENT FACTOR DISCOVERIES
Low Volatility
Profitability (Quality)
PORTFOLIO IMPLEMENTATION CONSIDERATIONS
Factor Definitions
Sector or Industry Weights
Multi-factor Portfolios
Top-down versus Bottom-up Multi-factor Construction
From Theory to Practice
SUMMARY AND CONCLUSIONS
DISCUSSION QUESTIONS
REFERENCES
CHAPTER 17 Smart Beta Strategies versus Alpha Strategies
INTRODUCTION
WHAT IS SMART BETA?
EMPIRICAL EVIDENCE FROM FACTOR INVESTING AND SMART BETA STUDIES
RECENT EMPIRICAL EVIDENCE FROM THE U.S. ETF MARKET
Data
Pairwise Comparisons of Mean Returns and Sharpe Ratios
SUMMARY AND CONCLUSIONS
DISCUSSION QUESTIONS
REFERENCES
CHAPTER 18 Activist and Impact Investing
INTRODUCTION
METHODS OF ACTIVISM
Shareholder Proposals
Public Attacks
Proxy Fights
Private Negotiation (Jawboning)
INSTITUTIONAL ACTIVISTS
Public Pension Funds
Insurance Companies, Banks, and Mutual Funds
Hedge Funds
INDIVIDUAL ACTIVISTS
High Profile Activists
Gadflies
IMPACT INVESTING
ESG Principles
Effectiveness of Impact Investing
Social Impact Bonds
Green Bonds
SUMMARY AND CONCLUSIONS
DISCUSSION QUESTIONS
REFERENCES
CHAPTER 19 Socially Responsible Investing
INTRODUCTION
A BRIEF HISTORY OF SRI IN THE UNITED STATES
ESG GROWTH IN POOLED INVESTMENT VEHICLES
RESPONSIBLE INVESTING GROWTH BY INSTITUTIONAL INVESTORS
THE PERFORMANCE OF SUSTAINABLE INVESTMENTS
LACK OF GUIDELINES ON VOLUNTARY NONFINANCIAL DISCLOSURE
ESG DISCLOSURE AND ASSET MANAGER VALUATION METHODOLOGY
ESG DISCLOSURE LACKS USEFULNESS
METHODS FOR OPERATIONALIZING ESG ISSUES
Divestment
Negative (Exclusionary) Screening
Positive/Best-in-class
Active Ownership
Thematic Investing
Impact Investing
FIDUCIARY DUTY AND ESG INVESTING
ESG Integration
ESG INTEGRATION FOR EQUITIES
CONSIDERATIONS FOR INTEGRATING ESG
CASE STUDY
SUMMARY AND CONCLUSIONS
DISCUSSION QUESTIONS
REFERENCES
CHAPTER 20 Pooled Investment Vehicles
INTRODUCTION
OPEN-END MUTUAL FUNDS
Share Creation and Redemption Process
Costs Associated with Open-End Mutual Funds
CLOSED-END FUNDS
Structure and Trading
Sources of Return and Tax Implications
UNIT INVESTMENT TRUSTS
Structure and Trading
Sources of Return and Tax Implications
EXCHANGE-TRADED FUNDS
Basic Overview of ETF Share Creation and Redemption
Purchase/Sale of ETF Shares by Investors
Related Benefits of the ETF Structure
SUMMARY AND CONCLUSIONS
DISCUSSION QUESTIONS
REFERENCES
CHAPTER 21 Investing in Private Equity
INTRODUCTION
PERFORMANCE OF PE FUNDS
PERFORMANCE PERSISTENCE
FACTORS DRIVING PE PERFORMANCE
RISK FACTORS OF PE FUNDS
SUMMARY AND CONCLUSIONS
DISCUSSION QUESTIONS
REFERENCES
CHAPTER 22 Investing in Emerging Markets
INTRODUCTION
CAPITAL FLOWS TO EMERGING MARKETS
ISSUES RELATED TO CAPITAL MARKET INTEGRATION
Return Characteristics
Capital Market Integration
Cultural Distance and Stock Market Returns
Emerging Asset Classes
INSTITUTIONAL STRATEGIES FOR BETTER INVESTMENT DECISIONS
Understanding the Value of a Relational Strategy
Relevance of an Infrastructure-building Strategy
Focusing on a Sociocultural Bridging Strategy
POLITICAL CONNECTIONS, INVESTMENT DECISIONS, AND PERFORMANCE
CORPORATE GOVERNANCE AND PERFORMANCE
VALUATION PRACTICES IN EMERGING MARKETS
SUMMARY AND CONCLUSIONS
DISCUSSION QUESTIONS
REFERENCES
CHAPTER 23 Disclosure Regulations in Emerging Economies and Their Impact on Equity Markets
INTRODUCTION
VARIOUS DISCLOSURE REGULATION APPROACHES
Voluntary Disclosure
Mandatory Disclosure
Comply or Explain Disclosure
ENVIRONMENTAL AND CSR DISCLOSURE IN EMERGING MARKETS
Disclosure in China
Disclosure in Other Emerging Markets
INSIDER TRADING, DISCLOSURES, AND RELATED REGULATION
Insider Trading in China
Insider Trading in India
Insider Trading in Thailand
INFORMATION DISCLOSURE THROUGH PRIVATE IN-HOUSE MEETINGS
Regulatory Environment: Private In-house Meetings
Empirical Evidence: Private In-house Meetings
SUMMARY AND CONCLUSIONS
DISCUSSION QUESTIONS
REFERENCES
CHAPTER 24 Equity Crowdfunding Investments
INTRODUCTION
TYPES OF CROWDFUNDING
THE JOBS ACT OF 2012
Who Can Invest?
JOBS 3.0
CROWDFUND INVESTMENT OPPORTUNITIES AND INCENTIVES
CROWDFUND INVESTMENT CHALLENGES AND DISINCENTIVES
ACADEMIC RESEARCH
SUMMARY AND CONCLUSIONS
DISCUSSION QUESTIONS
REFERENCES
Discussion Questions and Answers (Chapters 2–24) CHAPTER 2 OWNERSHIP STRUCTURE AND STOCK CLASSES
CHAPTER 3 EQUITY MARKETS AND PERFORMANCE
CHAPTER 4 SECURITIES REGULATION
CHAPTER 5 INVESTOR PSYCHOLOGY AND EQUITY MARKET ANOMALIES
CHAPTER 6 FINANCIAL STATEMENT ANALYSIS AND FORECASTING
CHAPTER 7 FUNDAMENTALS OF EQUITY VALUATION
CHAPTER 8 COMPANY ANALYSIS
CHAPTER 9 TECHNICAL ANALYSIS
CHAPTER 10 DISCOUNTED DIVIDEND VALUATION
CHAPTER 11 FREE CASH FLOW VALUATION
CHAPTER 12 MARKET-BASED VALUATION
CHAPTER 13 RESIDUAL INCOME VALUATION
CHAPTER 14 PRIVATE COMPANY VALUATION
CHAPTER 15 EQUITY INVESTING STRATEGIES
CHAPTER 16 FACTOR INVESTING
CHAPTER 17 SMART BETA STRATEGIES VERSUS ALPHA STRATEGIES
CHAPTER 18 ACTIVIST AND IMPACT INVESTING
CHAPTER 19 SOCIALLY RESPONSIBLE INVESTING
CHAPTER 20 POOLED INVESTMENT VEHICLES
CHAPTER 21 INVESTING IN PRIVATE EQUITY
CHAPTER 22 INVESTING IN EMERGING MARKETS
CHAPTER 23 DISCLOSURE REGULATIONS IN EMERGING ECONOMIES AND THEIR IMPACT ON EQUITY MARKETS
CHAPTER 24 EQUITY CROWDFUNDING INVESTMENTS
Index
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