8. Equity Flashcards by Matheus Prates

Mispricing (Formula)

IV analyst - Price = Mispricing Real + Erro do Analista

IV analyst - Price = (IV actual - Price) + (IV analyst - IV actual)

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Fair Value (Concept)

FV = Preço de troca de mãos entre comprador e vendedor

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Investment Value (Concept)

Pode variar conforme a importância daquele determinado investimento

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Porter Forces (Concept)

Power of clients;
Power of suppliers;
Threat substitutes;
Threat new entrants;
Rivalry of existent competitors

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Equity Risk Premium (List)

a. GGM = 1y Div Yield + G - Risk Free
b. Supply Side = [(1 +π) (1+gEPS)(1+gPE)-1] - Risk Free
c. Surveys

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Fama French Model (Formula)

FFM Ri = Rf + β1 * RMRF + β2SMB + β3HML

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Pastor Stambaugh Model (Formula)

PSM Ri = Rf + β1 * RMRF + β2SMB + β3HML + β4*Liq

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Buildup Model (Formula)

Buildup Ri = Rf + Specific factors

Buildup Ri = LT Bond YTM + Additional premia

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Leveraged Beta (Formula)

βlev = βunlev * { 1 + [(1-t)*D/E]}

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Industry Analysis (Concept)

a. Top Down = Macro -> Company Specific
b. Bottom Up = Historical Data from Specific Company-> Extrapola
c. Hybrid = Se houver 1 item top down e aplicação a uma linha de negócio específica

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Scale Economies (Concept)

Decreasing (COGS / Rev) or (SG&A/Rev)

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Same Store Sales (Concept)

Evidences understaff or better services.

Comparison between companies indicate more satisfied client base

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ROIC (Formula)

ROIC = NOPLAT / Net Op Assets

NOPLAT = (Op Profit - Tax)
Net Op Assets = Ativo Operacional - Passivo Operacional

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ROCE (Formula)

ROCE = Op. Profit / Net Op Assets

Net Op Assets = Ativo Operacional - Passivo Operacional

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GGM Valuation (Formula)

Vo = D1 / (k-g)

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PVGO (Formula)

Vo = (Earnings1 / k) + PVGO

Po/E1 = (1/r) + (PVGO/E1)

Justified v. Leading P/E (Formula)

Justified P0/E0 = [(Do/Eo)*(1+g)] / (k-g)

Leading P0/E1 = (DPR / k-g)

H-Model (Formula)

Vo = Part 1 + Part 2

Part 1 = Do(1+gLong)/k-gLong

Part 2 = [H * Do * (gShort - gLong)] / k-gLong

Growth (Formula)

g = RR * ROE

k (GGM Formula)

k = (D1/Po) + g

DDM Model Suitability

Dividend Paying
Dividend equals Profitability
Investor takes non-controlling perspective

FCF Model Suitability

Company não paga dividendo
Company paga dividendo mas difere muito do FCFE
Control Perspective

Residual Income Suitability

Company not paying dividends

- FCF is negative

FCFF (Formula)

FCFF = NI + NCC + Int(1-t) - WCinv - FCInv

FCFE (Formula)

FCFE = FCFF + Net Borrowing - Int(1-t)

WC Inv (Formula)

ΔNCG = Soma das Contas de Giro Notes Payable NÃO entra

FC Inv (Formula)

FCINv = (Ending PP&E - Beginning PP&E) + depreciation - Gain on sale

FCFE (Target Debt Ratio Formula)

FCFE = NI - [ (1-DR)*FCInv-Dep] - [(1-DR)*WCInv] Conceito = NI - Porção do Capex de Expansão e do KG que são financiados c/ Equity

PEG (Formula)

PEG = (P/E) / g > 1 = overvalued (P/E crescendo too much) = 1 = fairly valued < 1 = undervalued

Fed Model (Concept)

E/P = YTM 10y Govt Bonds Lógica: o que vale mais a pena ter? (E/P bond) > YTM, logo undervalued pois Bond vale mais a pena (E/P bond) < YTM, logo overvalued pois Govt vale mais a pena

Yardeni Model (Concept & Formula)

CEY = CBY - gLTEG + Residual FV = 1 / CBY - gLTEG ``` CEY = Corporate Specific Earnings Yield Eo/Po CBY = Risky Bond gLTEG = Long Term Growth (5y) ```

Inflation Pass-through (Formula)

1) Full: Po = Eo (1 + π) / k - π 2) Partial: Po = Eo (1 + λπ) / k - λπ λ = fator de repasse entre 0 e 1 3) Real Rates: Po = Eo (1 + λπ) / ρ + (1-λ)π Earnings grow @ Repasse Discount @ Real + Inflação que consegue ser repassada

Price to Book (Formula)

Po/Bo = (ROE - g)/(k-g)

Price to Sales (Concept)

Good: ↓ Distortions; Stable, Sales > 0 always Bad: - Price considers leverage but sales not - It does not reflect costs differences - P/Sales is not linear

Price to Book (Concept)

- Use when it is a bank (book value = real value of assets) | - NÃO considera Preferred Shares

Price to Sales (Formula)

Po/So = [(Eo/So)*(1-RR)*(1+g)]/(k-g) Justified Po/So = (Net Margin * Payout * 1+g) / (k-g)

EV to EBITDA (Formula)

EV = (MvEquity + MVDebt + MVPref - Cash - TVM)/EBITDA

Residual Income Valuation

Vo = ∑ NI - ke*BVt-1 Vo = ∑ NOPAT - (WACC *Total Capital) NOPAT = EBIT(1-t) Total Capital = Debt + Equity