财务报表分析与证券投资 第一讲：会计信息与资本市场

财务报分析与证券投资 第一讲：会计信息与资本市场 财务报表分析与证券投资 第一讲:会计信息与资本市 场 财务报表分析与证券投资 第一讲:会计信息与资本市场 * 戴欣苗财务报表分析(技巧.策略)清华大学出版社 * 两个朋友去森林里打猎。突然，一只熊从树丛中窜出来，开始追这两个人。 A说:“跑也没用，我们不可以比熊跑得快”。B说:“我不需要比熊跑得快，我只 需要比你跑得快”。 ? 同样，基于财务报表分析的证券投资决策可以助你比其他投资者领先一步～ * 融资与资本市场 投资者把资本交给企业使用(融资) 企业需要向投资者支付资本成本(资本使用权的价格) 资本成本由投资者面临的风险决定 资本成本越合理，融资越有效率，资本市场越发达，经济越发展 * 市场错误定价会影响资本成本 错误定价越严重的证券市场上，投资者要求的资本成本越高 因此，错误定价影响证券市场发展和经济进步 基于财务报表分析的证券定价与投资意义重大 * 证券定价的信息基础及会计信息的地位 * 证券定价的信息基础及会计信息的地位(续) How to Create Value through Financial Statement Fool Investors Reduce Costs of Capital * A Description of Efficient Capital Markets An efficient capital market is one in which stock prices fully reflect available information. The EMH has implications for investors and firms. Since information is reflected in security prices quickly, knowing information when it is released does an investor no good. Firms should expect to receive the fair value for securities that they sell. Firms cannot profit from fooling investors in an efficient market. Market efficiency is a funny thing: Markets are efficient precisely because there are lots of smart security analysts who don’t believe that the markets are efficient„and their actions make the market efficient! * Reaction to New Information in Efficient and Inefficient Markets Stock Price -30 -20 -10 0 +10 +20 +30 Days before (-) and after (+) announcement Efficient market response to “good news” Overreaction to “good news” with reversion Delayed response to “good news” * Reaction to New Information in Efficient and Inefficient Markets Stock Price -30 -20 -10 0 +10 +20 +30 Days before (-) and after (+) announcement Efficient market response to “bad news” Overreaction to “bad news” with reversion Delayed response to “bad news” * The Different Types of Efficiency Weak Form Security prices reflect all past information. Semi-Strong Form Security prices reflect all publicly available information. Strong Form Security prices reflect all information—public and private. * Weak Form Market Efficiency Security prices reflect all past. If the weak form of market efficiency holds, then technical analysis is of no value. Often weak-form efficiency is represented as Ret (t) = Expected return (based on history information) + random error (t) Since stock prices only respond to new information, which by definition arrives randomly, stock prices are said to follow a random walk. * Why Technical Analysis Fails Stock Price Time Investor behavior tends to eliminate any profit opportunity associated with stock price patterns. If it were possible to make big money simply by finding “the pattern” in the stock price movements, everyone would do it and the profits would be competed away. Sell Sell Buy Buy * Semi-Strong Form Market Efficiency Security Prices reflect all publicly available information. Publicly available information includes: Historical information Published announcements. Information found in regular reports. * Strong Form Market Efficiency Security Prices reflect all information-public and private. Strong form efficiency incorporates weak and semi-strong form efficiency. Strong form efficiency says that anything pertinent to the stock and known to at least one investor is already incorporated into the security’s price. * Relationship among Three Different Information Sets All information relevant to a stock Information set of publicly available information Information set of past information * The Evidence Studies fall into three broad categories: Do past price and volume have information contents? Event studies: does the market quickly and accurately respond to new information? Do the insiders earn abnormal returns? * * * * * Event Studies: Tests of Semi-Strong Form Event Studies are one type of test of the semi-strong form of market efficiency. This form of the EMH implies that prices should reflect all publicly available information. To test this, event studies examine prices and returns over time—particularly around the arrival of new information. Test for evidence of under reaction, overreaction, early reaction, delayed reaction around the event. * Returns are adjusted to determine if they are abnormal. The Abnormal Return on a given stock for a particular day can be calculated by subtracting the market’s return on the same day (RM) from the actual return (R) on the stock for that day: AR= R – RM Or, the abnormal return can be calculated using the Market Model approach: AR= R – (a + bRM) * Event Studies: Dividend Omissions Efficient market response to “bad news” S.H. Szewczyk, G.P. Tsetsekos, and Z. Santout “Do Dividend Omissions Signal Future Earnings or Past Earnings?” Journal of Investing (Spring 1997) * Event Study Results Over the years, event study methodology has been applied to a large number of events including: Dividend increases and decreases Earnings announcements Mergers et al. The studies suggest that markets may even have some foresight into the future—in other words, news tends to leak out in advance of public announcements (against strong-form EMH). * Issues in Examining the Results Possible Model Misspecification * The Record of Mutual Funds If the market is semistrong-form efficient, then no matter what publicly available information mutual-fund managers rely on to pick stocks, their average returns should be the same as those of the average investor in the market as a whole. We can test efficiency by comparing the performance of professionally managed mutual funds with the performance of a market index. * The Record of Mutual Funds Taken from Lubos Pastor and Robert F. Stambaugh, “Evaluating and Investing in Equity Mutual Funds,” unpublished paper, Graduate School of Business, University of Chicago (March 2000). * The Strong Form of the EMH One group of studies of strong-form market efficiency investigates insider trading. A number of studies support the 6><#00aa00'>view that insider trading is abnormally profitable. Thus, strong-form efficiency does not seem to be substantiated by the evidence. * Views Contrary to Market Efficiency Mini skirt, Lunar effect, Weather and capital market Temporal Anomalies Turn of the year, —month, —week. Stock Market Crash of 1987 (1929) The market dropped between 20 percent and 25 percent on a Monday following a weekend during which little surprising information was released. Speculative Bubbles * Implications for Financial Statement Analysis There is some evidence against market efficiency: Accruals PEAD (Post Earnings Announcement Drifts) Small versus Large stocks Value versus growth stocks etc. * * 美国道琼斯工业指数，1928-2008 Earnings drive stock prices in the long run. This index testifies to the success of American businesses in the last century * DJIA, NASDAQ 1990-2002 Why Bill Clinton got away from the Lewinsky scandal? It is the economy. * Back to Square One: DJIA 1998-2002 2002, the dividend payout ratio of U.S. corporations was very low. In That means the wealth generated in 98, 99, 00 is gone. Some people made money from other people, but as a whole, the shareholders collectively did not better off. * Dot4>> or Dot.bomb-NASDAQ 1998-2002 全球主要股指2008跌幅排名 股指 07年最后交易日 08年最后交易日 跌幅 冰岛指数 6322.4 352.16 0.9443 俄罗斯指数 2290.51 625.42 0.7267 越南指数 927.02 315.62 0.6595 中国上证 5261.56 1820.81 0.6539 中国深证 17700.62 6485.51 0.6336 印度指数 20286.99 9716.16 0.521 新加坡指数 3482.3 1770.65 0.4915 香港指数 27812.65 14387.48 0.4827 台湾指数 8506.28 4591.22 0.4603 标普澳洲指数 6421 3591.4 0.4407 法国指数 5614.08 3217.13 0.427 日经指数 15307.78 8859.56 0.4212 美国纳斯达克指数 2652.28 1550.7 0.4153 巴西指数 63886.1 37550.31 0.4122 韩国指数 1897.13 1124.47 0.4073 德国指数 8067.32 4810.2 0.4037 加拿大指数 13833.06 8830.72 0.3616 美国道琼斯指数 13264.82 8668.39 0.3465 英国指数 6456.9 4392.68 0.3197 * * The Regulator of U.S. Stock Market SEC, the Securities and Exchange Commission Arthur Levitt(阿瑟.莱维特), commissioner, 1993-2000 in the Clinton administration Numbers Game Speech, 1998 * Who Issue American Accounting Standards? FASB: Financial Accounting Standards Board Set up in 1973 to replace Accounting Principle Board (APB) An independent, private organization Standards issued recognized by SEC Accounting standard setting process is very much a political process. Companies lobby congressmen or SEC to block FASB from issuing adverse standards. GAAP: Generally Accepted Accounting Standards 7 concept statements (principles) e.g., No. 7 (February 2000) Using cash flow information and present value in accounting measurements 148 statements of standards (rules) by the year of 2003 e.g., No. 1 (December 1973) Disclosure of foreign currency translation information * International Accounting Standards International Accounting Standards Committee (IASC) Based at London Independent and privately funded Meant to design a set of worldly accepted accounting standards International Accounting Standards 41 standards up to the year of 2003 e.g., IAS 2. Inventory, January 1, 1995 * “Big Four” International Accounting Firms Ernst.(安永) PriceWaterhouseCoopers(普华永道) Deloitte & Touche(德勤) KPMG(毕马威) Who regulate accounting industry? No one. A self-regulatory body: AICPA Peer Review * 中华人民共和国证券监督管理委员会 (Chinese Securities Regulatory Commission) //.csrc.gov.cn * Number of Stocks at Shanghai and Shenzhen stock exchanges 年 份 全国合计 上交所 深交所 仅发A股公司 发A、H股公司 发A、B股公司 仅发B股公司 1990 10 8 2 10 1991 14 8 6 14 1992 53 29 24 53 18 1993 183 106 77 183 3 34 6 1994 291 171 120 227 6 54 4 1995 323 188 135 242 11 58 12 1996 530 293 237 431 14 69 16 1997 745 383 362 627 17 76 25 1998 851 438 413 727 18 80 26 1999 949 484 465 822 19 82 26 2000 1088 572 516 955 19 86 28 2001 1160 646 514 1025 23 88 24 2002 1224 715 509 1085 28 87 24 2003 1287 780 507 1146 30 87 24 2004 1377 837 540 1236 31 86 24 2005 1381 834 547 1240 32 86 23 2006 1434 842 592 1287 38 86 23 2007 1550 860 684 1396 45 86 23 * Amount of Capital Raised Through Stock Markets * Market Capitalization and Trading Volume * Market Size relative to NYSE * 图1.4是上海证券交易所综合指数在过去17年中的变化 * 图1.3 我国投资者开数(单位:万户) * 表1.2 我国上市公司平均市盈率、股东权益回报率和资产回报率 * Stock Market Capitalization/GDP Nation 1990 1999 Nation 1990 1999 2006 2007 Argentina 0.15 Italy 0.013 0.68 Australia 0.37 1.13 Japan 1.64 0.95 Austria 0.17 0.17 Netherlands 0.5 2.03 Belgium 0.31 0.82 Norway 0.23 0.7 Brazil 0.08 0.45 South Africa 1.33 1.2 Canada 1.22 1.22 Spain 0.41 0.69 Chile 0.5 1.05 Sweden 0.37 1.77 Egypt 0.06 0.29 Swissland 1.93 3.23 France 0.24 1.17 U.K. 0.81 2.25 Germany 0.2 0.67 U.S. 0.54 1.52 India 0.16 0.46 China 0.09 0.12 0.37 * Share types in China Shares Tradable Non-tradable Individual Foreign Legal person State A share B share H, N, S, „ Share * * Share Structures of Chinese Listed Companies (December, 2001) Non-tradable (0.1 billion shares): State Shares 2410.61 46.20, Domestic Legal Person Shares 663.17 12.71, Other non-tradable Shares 331.07 6.4% Total non-tradable 3404.85 65.25, Tradable: A Shares 1318.13 25.26% B Shares 163.09 3.13% H/N and other shares 331.94 6.36% Total Tradable: 1813.16 34.75% Total: 5218.01 100% * Perspectives of This Course A security analyst’s perspective Emphasize two issues: Earnings Management and valuation * 证券分析师 * Earnings Management: Rao, Teoh, Wong, Review of Accounting Studies, 1998 * Earnings Restatements – Min Wu, HKUST * * * * Widespread Earnings Manipulation * Accounting-based Valuation Who are my peers? Earnings multiples, book-value multiples, sales multiples Dividend discount model, DCFM, Residual income valuation (RIV), Real option model In one word, Share value = f (earnings, book value, dividend, etc.) * Accounting-based Valuation-2 Ultimately, we do valuation to earn higher returns on stock trading. We get an intrinsic value number, compare it to prevailing stock price, if our value estimate is higher than price, we buy; otherwise we sell. * How Important is Accounting Information? January 22, 2003, after market closed, AT&T (stock symbol T) announced: Revenue for 4th quarter shrank to $9.3 billion from 10.2 billion in the 4th quarter of previous year Loss from continuing operations widened to $611 million from $216 million. * How Important is Accounting Information? (\\finance.yahoo>) * How Important is Accounting Information? In the weekend before Monday, Feb. 3, 2003, Mattel (stock symbol MAT) announced fourth quarter results: Revenue increased from the fourth quarter a year earlier by 6.9% to $1.56 billion. Net income increased by 35% to $186.1 million. Earnings per share (EPS) increased to 42 cents from 31 cents. * How Important is Accounting Information? * Value Investing: the Warren Buffett Way Berkshire stock price Berkshire stock hits 5-year low below $74,000 February 20, 2009 Berkshire's Class A shares are still the most expensive U.S. stock, but they've lost more than half their value since setting a high of $151,650 in December 2007. * * * * * * * * * * * * 1. What a ride? * 1. As always, he is a Jewish. * * * * Figure 1: Modified Jones abnormal accruals, Matched-pair abnormal accruals, Modified Jones expected accruals, Matched-pair expected accruals. * * Price effect Trading volume effect Could accounting-based research have helped? Yes, otherwise stock picking would have died a long time ago. *