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xCFA 2 2017 > Equity > Flashcards

Flashcards in Equity Deck (20)
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1

♦EQUITY♦

Gordon Growth Model (Risk Premium)

Equity risk premium = Yield + g - RfLT

2

♦EQUITY♦

Ibbotson-Chen (Risk Premium)

Equity risk premium = (1 + inflation) * (1 + g) * (1 + P/E) - 1 + Yield - Rf

Only appropriate for developed countries where public equities represent large part of economy

Inflation defined as the difference beteween T-Bond and TIPS (inflation linked bond)

3

♦EQUITY♦

CAPM (ke)

Ke = Rf + B * (risk premium)

4

♦EQUITY♦

Multifactor Model (ke)

Ke = RF + risk premium 1 + risk premium 2

risk premium = B * factor

5

♦EQUITY♦

Fama-French (ke)

Ke = RF + Bmkt * (Rmkt - RF) + Bsmb * (Rsmall - Rbig) + Bhml (Rhbm - Rlbm)

Model that account for small-cap stocks higher returns 

SMB = Small cap vs Large Cap

HBM = High book-to-mkt vs Low book-to-mkt

6

♦EQUITY♦

Pastor-Stambaugh (ke)

Ke = RF + Bmkt * (Rmkt - RF) + Bsmb * (Rsmall - Rbig) + Bhml (Rhbm - Rlbm)+ Liquidez

ou

Fama-French + Liquidez

7

♦EQUITY♦

Macroeconomic (ke)

ou Burmeister, Roll, and Ross

Ke = RF + B * Confidence Risk + B * Time horizon risk + B * Inflation risk + B * Business cycle risk + B * Market timing risk

Confidence Risk = Corp vs Gvt Bonds

Time horizon risk = Long term vs bills

Inflation risk = Unexpected change in inflation

Business cycle risk = Unexpected change in level of GDP

Market timing risk = retorno não explicado pelo restante (erro)

8

♦EQUITY♦

Build-up (ke)

RF + equity risk premium + size premium + specific company premium

Talvez tenha um beta para risk premium, mas pro restante não

9

♦EQUITY♦

Present Value of Growth Opportunities

V =E1 / r + PVGO

10

♦EQUITY♦

Sustainable g

RR * ROE

11

♦EQUITY♦

Free Cash Flow to Firm

FCFF = NI + NCC + [Int × (1 – tax rate)] – Capex – WC

FCFF = [EBIT × (1 – tax rate)] + NCC – Capex – WC

FCFF = [EBITDA × (1 – tax rate)] + (NCC × tax rate) – Capex – WC

FCFF = CFO + [Int × (1 – tax rate)] – Capex

12

♦EQUITY♦

Justified P/E and Trailing P/E

Justified leading P/E = Payout / (r - g)

Justified trailing P/E = Payout / (r - g) * (1 + g)

Lembrar que trailling é maior por que considera 1 crescimento a +

13

♦EQUITY♦

Justified P/B

P/B = (ROE - g) / (r - g)

14

♦EQUITY♦

Justified P/S

Justified trailing P/E * net margin

Justified trailing P/E = Payout / (r - g) * (1 + g)

15

♦EQUITY♦

Justified Dividend Yield

D/P = (r - g) / (1 + g) 

16

♦EQUITY♦

PEG Ratio

P/E - to - growth = PEG = P/E / g

17

♦EQUITY♦

Total discount (DLOC + DLOM)

Total Discount = 1 - (1 - DLOC) * (1 - DLOM) DLOC = 1 - [ 1 / (1 + Control premium) ]

18

♦EQUITY♦

Unlevered Beta

Betaunlevered = Beta XYZ * (1 / (1 + D/E XYZ))

Betalevered = Betaunlevered XYZ * (1 + D/E ABC)

19

♦EQUITY♦

Percistence factor in Residual Income

ri / (1 + r - ω)

ω = persistence factor

20

♦EQUITY♦

DDM H-model

V0 = [D0 * (1 + gl)  + D0 * H * (gs - gl)] / (r - gl)