8. Equity Flashcards
Mispricing (Formula)
IV analyst - Price = Mispricing Real + Erro do Analista
IV analyst - Price = (IV actual - Price) + (IV analyst - IV actual)
Fair Value (Concept)
FV = Preço de troca de mãos entre comprador e vendedor
Investment Value (Concept)
Pode variar conforme a importância daquele determinado investimento
Porter Forces (Concept)
Power of clients; Power of suppliers; Threat substitutes; Threat new entrants; Rivalry of existent competitors
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
Fama French Model (Formula)
FFM Ri = Rf + β1 * RMRF + β2SMB + β3HML
Pastor Stambaugh Model (Formula)
PSM Ri = Rf + β1 * RMRF + β2SMB + β3HML + β4*Liq
Buildup Model (Formula)
Buildup Ri = Rf + Specific factors
Buildup Ri = LT Bond YTM + Additional premia
Leveraged Beta (Formula)
βlev = βunlev * { 1 + [(1-t)*D/E]}
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
Scale Economies (Concept)
Decreasing (COGS / Rev) or (SG&A/Rev)
Same Store Sales (Concept)
Evidences understaff or better services.
Comparison between companies indicate more satisfied client base
ROIC (Formula)
ROIC = NOPLAT / Net Op Assets
NOPLAT = (Op Profit - Tax)
Net Op Assets = Ativo Operacional - Passivo Operacional
ROCE (Formula)
ROCE = Op. Profit / Net Op Assets
Net Op Assets = Ativo Operacional - Passivo Operacional
GGM Valuation (Formula)
Vo = D1 / (k-g)
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
