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CFA L2 Matheus > 8. Equity > Flashcards

8. Equity Flashcards

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1
Q

Mispricing (Formula)

A

IV analyst - Price = Mispricing Real + Erro do Analista

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

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2
Q

Fair Value (Concept)

A

FV = Preço de troca de mãos entre comprador e vendedor

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3
Q

Investment Value (Concept)

A

Pode variar conforme a importância daquele determinado investimento

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4
Q

Porter Forces (Concept)

A 
Power of clients;
Power of suppliers;
Threat substitutes;
Threat new entrants;
Rivalry of existent competitors
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5
Q

Equity Risk Premium (List)

A

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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6
Q

Fama French Model (Formula)

A

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

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7
Q

Pastor Stambaugh Model (Formula)

A

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

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8
Q

Buildup Model (Formula)

A

Buildup Ri = Rf + Specific factors

Buildup Ri = LT Bond YTM + Additional premia

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9
Q

Leveraged Beta (Formula)

A

βlev = βunlev * { 1 + [(1-t)*D/E]}

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10
Q

Industry Analysis (Concept)

A

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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11
Q

Scale Economies (Concept)

A

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

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12
Q

Same Store Sales (Concept)

A

Evidences understaff or better services.

Comparison between companies indicate more satisfied client base

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13
Q

ROIC (Formula)

A

ROIC = NOPLAT / Net Op Assets

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

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14
Q

ROCE (Formula)

A

ROCE = Op. Profit / Net Op Assets

Net Op Assets = Ativo Operacional - Passivo Operacional

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15
Q

GGM Valuation (Formula)

A

Vo = D1 / (k-g)

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16
Q

PVGO (Formula)

A

Vo = (Earnings1 / k) + PVGO

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

17
Q

Justified v. Leading P/E (Formula)

A

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

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

18
Q

H-Model (Formula)

A

Vo = Part 1 + Part 2

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

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

19
Q

Growth (Formula)

A

g = RR * ROE

20
Q

k (GGM Formula)

A

k = (D1/Po) + g

21
Q

DDM Model Suitability

A
  • Dividend Paying
  • Dividend equals Profitability
  • Investor takes non-controlling perspective
22
Q

FCF Model Suitability

A
  • Company não paga dividendo
  • Company paga dividendo mas difere muito do FCFE
  • Control Perspective
23
Q

Residual Income Suitability

A
  • Company not paying dividends

- FCF is negative

24
Q

FCFF (Formula)

A

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

25
Q

FCFE (Formula)

A

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

26
Q

WC Inv (Formula)

A

ΔNCG = Soma das Contas de Giro

Notes Payable NÃO entra

27
Q

FC Inv (Formula)

A

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

28
Q

FCFE (Target Debt Ratio Formula)

A

FCFE = NI - [ (1-DR)FCInv-Dep] - [(1-DR)WCInv]

Conceito = NI - Porção do Capex de Expansão e do KG que são financiados c/ Equity

29
Q

PEG (Formula)

A

PEG = (P/E) / g

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

30
Q

Fed Model (Concept)

A

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

31
Q

Yardeni Model (Concept & Formula)

A

CEY = CBY - gLTEG + Residual

FV = 1 / CBY - gLTEG

CEY = Corporate Specific Earnings Yield Eo/Po
CBY = Risky Bond
gLTEG = Long Term Growth (5y)
32
Q

Inflation Pass-through (Formula)

A

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

33
Q

Price to Book (Formula)

A

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

34
Q

Price to Sales (Concept)

A

Good: ↓ Distortions; Stable, Sales > 0 always

Bad:

  • Price considers leverage but sales not
  • It does not reflect costs differences
  • P/Sales is not linear
35
Q

Price to Book (Concept)

A
  • Use when it is a bank (book value = real value of assets)

- NÃO considera Preferred Shares

36
Q

Price to Sales (Formula)

A

Po/So = [(Eo/So)(1-RR)(1+g)]/(k-g)

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

37
Q

EV to EBITDA (Formula)

A

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

38
Q

Residual Income Valuation

A

Vo = ∑ NI - ke*BVt-1

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

CFA L2 Matheus (9 decks)

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