📖 估值方法比较与选择

Equity Investments

I. Lesson Focus

This lesson systematically compares absolute, relative, and asset-based valuation approaches. Candidates must master the theoretical foundations, mathematical formulations, applicability conditions, advantages, limitations, and decision criteria for each method. The focus is on real decision-making logic that integrates company life-cycle stage, industry characteristics, data availability, and valuation purpose. Numerical examples and common CFA traps are emphasized to build practical judgment.

II. The Problem

An analyst must produce valuation reports for both a high-growth technology firm and a mature utility company. The technology firm has volatile revenues, high intangible assets, and pays no dividends. The utility has stable cash flows, heavy tangible assets, and a high dividend payout ratio. Which valuation methods—absolute (DDM, FCFE, FCFF), relative (P/E, EV/EBITDA, P/B), or asset-based (adjusted net asset value or replacement cost)—should be selected for each? Incorrect selection can produce materially misleading values. This lesson provides the analytical framework, formulas, applicability rules, and numerical illustrations required to choose appropriately in both exam and real-world settings.

III. Primary Categories of Equity Valuation Methods

Equity valuation methods fall into three broad categories: absolute valuation, relative valuation, and asset-based valuation.

• Absolute valuation derives an intrinsic value by discounting expected future cash flows or dividends at an appropriate required rate of return. The core idea is that value equals the present value of expected benefits.
• Relative valuation estimates value using pricing multiples derived from comparable companies or precedent transactions. It implicitly assumes that “the market is right on average.”
• Asset-based valuation starts from the balance sheet, adjusts assets and liabilities to fair value, and calculates net asset value. It is particularly useful when earnings or cash flows are unreliable or when a company holds substantial identifiable tangible assets.

IV. Absolute Valuation Methods: Applicability, Formulas, and Trade-offs

1. Dividend Discount Models (DDM)

Best suited for mature companies with stable, predictable dividend policies and sustainable long-term growth below the cost of equity. The constant-growth Gordon growth model is: $$ V_0 = \frac{D_1}{r - g} $$ where $D_1$ is the expected dividend next year, $r$ is the required equity return, and $g$ is the perpetual growth rate. The model requires $r > g$.

2. Free Cash Flow Models

• FCFE (Free Cash Flow to Equity) is preferred when leverage is stable or a target leverage ratio can be assumed. $$ V_0 = \sum_{t=1}^{n} \frac{\text{FCFE}_t}{(1+r_e)^t} + \frac{\text{TV}_n}{(1+r_e)^n} $$
• FCFF (Free Cash Flow to the Firm) is used when capital structure is complex or changing. Enterprise value is calculated first, then net debt is subtracted to obtain equity value.

Advantages: Theoretically sound; directly reflects intrinsic value; can incorporate changing growth rates.
Disadvantages: Highly sensitive to terminal growth rate, discount rate, and explicit forecast assumptions; forecasting is data-intensive and subject to error.

V. Relative Valuation Methods: Multiples and Limitations

Common multiples include: - Trailing or forward P/E — suitable for companies with stable earnings and low cyclicality. - P/B — appropriate for asset-heavy industries and financial institutions where book values are meaningful. - EV/EBITDA — useful for capital-intensive firms or when depreciation policies differ across peers; neutral to capital structure.

Advantages: Simple to compute, requires fewer explicit forecasts, widely used by practitioners, and easy to communicate.
Disadvantages: Completely dependent on the quality of comparables; if the peer group or market is mispriced, the target will be misvalued; cannot be used when no true comparables exist (e.g., unique IPOs).

VI. Asset-Based Valuation

The fundamental equation is: $$ \text{Equity Value} = \text{Fair Value of Assets} - \text{Fair Value of Liabilities} $$ Adjustments are made for non-operating items, excess cash, off-balance-sheet liabilities, and fair-value re-measurement of tangible and intangible assets.

Best applied to: - Companies holding substantial natural resources or investment property. - Financial institutions. - Firms in liquidation or with poor earnings quality. - Situations requiring a floor value.

Major limitation: Ignores going-concern synergies, brand value, and future growth potential; severely understates value for high-intangible, asset-light businesses.

VII. Framework for Choosing Among Valuation Methods

Selection requires simultaneous consideration of: 1. Company characteristics (growth stage, earnings stability, asset tangibility, leverage). 2. Industry features (cyclicality, competitive structure, intangible intensity). 3. Data availability and quality. 4. Purpose of the valuation (strategic investment, fairness opinion, IPO, litigation, liquidation). 5. Analyst’s confidence in macroeconomic, industry, and company-specific forecasts.

Practical decision rules: - Stable, predictable dividends and $g < r$ → prioritize DDM. - Unstable or changing leverage → prioritize FCFF. - Asset-light, high-growth, intangible-driven businesses → favor relative multiples such as EV/EBITDA or P/S. - Financial firms, heavy-asset industries, or near-liquidation → asset-based (P/B or adjusted book value). - Always cross-verify with at least two methods and apply judgment-based weights rather than simple arithmetic averages.

Worked Cases

Case 1: Mature Utility Company (DDM vs. P/B)

XYZ Utility pays a current dividend $D_0 = \$2.00$, expected perpetual growth $g = 3\%$, required return $r = 8\%$, book value per share $BVPS = \$25$. Industry average P/B = 1.6.

Absolute valuation (Gordon model):
$D_1 = 2.00 \times 1.03 = \$2.06$
$V_0 = 2.06 / (0.08 - 0.03) = \$41.20$

Relative valuation (P/B):
$V_0 = 25 \times 1.6 = \$40.00$

The two approaches produce very similar values, increasing confidence in the estimate.

Case 2: High-Growth Technology Company (FCFF vs. EV/EBITDA)

ABC Tech expects FCFF (in millions) of 80, 110, 150, 180, and 200 over the next five years. Terminal growth after year 5 is 4%, WACC = 11%. Current EBITDA = $120 million, appropriate EV/EBITDA multiple = 18×, net debt = $300 million.

FCFF two-stage model:
Terminal value at t=5: $TV_5 = [200 \times 1.04] / (0.11 - 0.04) = \$2,971.43$ million.
Present value of explicit FCFF plus TV yields enterprise value ≈ $2,185$ million.
Equity value = 2,185 – 300 = $1,885$ million.

Relative valuation:
EV = 120 × 18 = $2,160$ million → Equity value = 2,160 – 300 = $1,860$ million.

The results are tightly clustered, supporting the valuation range.

Case 3: Cyclical Manufacturing Firm (P/E vs. Adjusted Net Assets)

DEF Manufacturing reports EPS = $1.20$, industry average P/E = 14, but ROE is only 8% versus the industry 15%. Adjusted net asset value per share = $18$.

Relative P/E: $1.20 \times 14 = \$16.80$
Asset-based: $18.00$

Given the cyclical trough, the P/E approach likely overstates value; greater weight should be placed on the asset-based floor.

Traps

Key Formulas

• Gordon growth model: $V_0 = \frac{D_1}{r-g}$
• General FCFE two-stage: $V_0 = \sum_{t=1}^{n}\frac{\text{FCFE}t}{(1+r_e)^t} + \frac{\text{FCFE}{n+1}/(r_e-g_n)}{(1+r_e)^n}$
• Enterprise value = Equity market value + Net debt
• P/B = Market price per share / Book value per share (useful when ROE is stable)
• Asset-based equity value = Fair value of assets – Fair value of liabilities
• When choosing multiples: stable earnings → P/E; asset-heavy or financials → P/B; differing capital structures or depreciation → EV/EBITDA

Practice Questions

Q1. For a zero-dividend, high-growth biotechnology company, the least appropriate valuation method is:
A. FCFF model
B. EV/Sales multiple
C. Gordon growth DDM
D. Replacement cost method

Q2. Which situation is most suitable for P/B valuation?
A. Asset-light software firm
B. Commercial bank
C. Cyclical manufacturing company
D. Loss-making start-up

Q3. A company pays a current dividend of $2.50, with $g=5\%$ and $r=9\%$. Using the Gordon model, the intrinsic value is closest to:
A. $62.50
B. $65.00
C. $83.33
D. $50.00

Q4. When valuing a firm whose capital structure changes frequently, an analyst should most appropriately use:
A. FCFE
B. FCFF
C. DDM
D. P/E

Q5. Which statement about relative valuation is least accurate?
A. It depends heavily on comparable selection
B. It can be used for companies lacking historical data
C. It implicitly assumes market prices are correct
D. It is commonly used for IPO pricing

Q6. For a resource company with heavy assets and extremely volatile earnings, the most robust valuation combination is:
A. High P/E multiple only
B. FCFF model plus adjusted net asset value
C. Gordon growth model only
D. Single EV/EBITDA multiple

Q7. If the overall market is in a state of irrational overvaluation, relative valuation methods are most likely to:
A. Undervalue the target
B. Overvalue the target
C. Produce exactly the intrinsic value
D. Be impossible to apply

Q8. When performing asset-based valuation, an analyst should:
A. Use reported book net assets directly
B. Adjust all items to fair value and remove non-operating assets and liabilities
C. Adjust only liabilities, never assets
D. Ignore goodwill and intangible assets entirely

Answers

Takeaways

• Absolute methods estimate intrinsic value; relative methods reflect current market pricing; asset-based methods supply a floor or liquidation value.
• Mature stable-dividend payers → DDM; complex or changing leverage → FCFF; financials and heavy-asset industries → P/B.
• Asset-light, high-intangible growth companies should avoid P/B and favor EV/EBITDA or P/S.
• No single method is universally superior; CFA questions frequently require justification of method choice rather than mechanical calculation.
• When market sentiment is irrational, absolute and asset-based approaches become relatively more reliable.
• Large discrepancies among methods should prompt investigation of underlying assumptions rather than blind averaging.