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Investment Analysis and Portfolio Management / F.K. Reilly, K.C. Brown.
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Investment Analysis and
Portfolio Management
Frank K. Reilly & Keith C. Brown
Chapter 11
Chapter 11 - An Introduction
to Security Valuation
Questions to be answered:
1. What are the two major approaches to the investment process?
2. What are the specifics and logic of the top-down (three-step) approach?
3. What empirical evidence supports the usefulness of the top-down
approach?
4. When valuing an asset, what are the required inputs?
5. After you have valued an asset, what is the investment decision process?
6. How do you determine the value of bonds?
7. How do you determine the value of preferred stock?
8. What are the two primary approaches to the valuation of common
stock?
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Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Chapter 11 - An Introduction
to Security Valuation
9. Under what conditions is it best to use the present value of cash flow
approach for valuing a company’s equity?
10. Under what conditions is it best to use the present value of cash flow
approach for valuing a company’s equity?
11. How do you apply the discounted cash flow valuation approach and
what are the major discounted cash flow valuation techniques?
12. What is the dividend discount model (DDM) and what is its logic?
13. What is the effect of the assumptions of the DDM when valuing a
growth company?
14. How do you apply the DDM to the valuation of a firm that is
expected to experience temporary supernormal growth?
15. How do you apply the relative valuation approach?
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Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Chapter 11 - An Introduction
to Security Valuation
16.What are the major relative valuation ratios?
17.How can you use the DDM to develop an earnings multiplier
model?
18.What does the DDM model imply are the factors that determine
a stock’s P/E ratio?
19.What two general variables need to be estimated in any of the
cash flow models and will affect all of the relative valuation
models?
20.How do you estimate the major inputs to the stock valuation
models (1) the required rate of return and (2) the expected
growth rate of earnings and dividends?
21.What additional factors must be considered when estimating the
required rate of return and growth for foreign security?
4
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
ANALISIS SEKURITAS
Over valued
Fundamental
(rasional)
Teknikal
Under valued
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Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
The Investment Decision Process
6
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Valuation Process
7
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Top-Down, Three-Step Approach
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Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Does the Three-Step Process Work?
• Bbrp studimenunjukkan bhw umumnya perubahan dlm laba
pershn idividual dpt dilihat (attributed) pd perubhn dlm laba
korporasi agregat dan perubhn dlm industri pershn
• Bbrp studi tlh menemukan hubungan antara hrg shm agregat dan
berbagai angka ekonomik (various economic series) seperti
pengangguran, pendapatan, atau produksi
• Analisis hubungan antara return unt pasar shm agregat, industri
alternatif, dan shm individual menunjukkan bhw umumnya
perubhn dlm return unt shm individual dpt dijelaskan oleh perub
dlm return unt pasar shm aggregat dan industi pershn (stock’s
industry)
9
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Theory of Valuation
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Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Stream of Expected Returns
• Bentuk return
– Laba
– Arus kas
– Dividen
– Pembayaran bunga
– Keuntungan modal (peningkatan dlm nilai)
• Pola waktu dan tingkat return bertumbuh
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Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Required Rate of Return
• Ditentukan dg
1. tingkat return bebas risiko ekonomi, ditambah
2. tingkat ekspektasi inflasi slm periode pemilikan,
ditambah
3. tambhan risiko yg ditentukan olh ketidakpastian
return
12
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Investment Decision Process: A Comparison
of Estimated Values and Market Prices
13
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Valuation of Alternative Investments
14
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Valuation of Bonds
Contoh:
• Dlm obligasi terbit th 2002, nilai $10,000 jth
tempo th 2017 dg kupon 10%
• Diskontokan pembayaran tsb pd return yg
syaratkan investor (jika tingkat bebas risiko
sebesar 9% dan investor mensyaratkan tambahan
risiko (risk premium) sebesar 1%, sehingga retun
yg disyaratkan menjadi 10%)
15
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Valuation of Bonds
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Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Valuation of Bonds
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Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Valuation of Preferred Stock
• Pemilik sham preferen menerima janji unt
membayar dividen tertentu, biasanya kuatalan, slm
pemilikan (perpetuity)
• Selama pembayaran hanya dilakukan stlh pershn
memenuhi pembayaran bungan obligasinya, maka
ada ketidakpastian lbh besar tentang return
• Perlakuan pajak atas dividen yg dibayar bg pershn
(80% tax-exempt) akan menutup (offsets)
tambahan risiko (risk premium)
19
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Valuation of Preferred Stock
• Nilai shm preferen adl dividen tahunan yg
dijanjikan dibagi returnyg disyaratkan atas shm
preferen (kp)
Dividend
V =
kp
• Anggplah shm preferen dg nilai pari $100 dan dividen $8
setahun dan return ylg disyaratkan sbesar 9 %
$8
V = = $88.89
.09 20
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Valuation of Preferred Stock
• Slm harga pasar diketahui, kita dpt
menderivasi hasil yg dijanjikan
Dividend
kp =
Price
• Pd harga pasar $85, hasil shm preferen akan
menjadi
$8
kp = = .0941
$85.00
21
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Approaches to the
Valuation of Common Stock
Ada dua pendekatan
1. Penilaian aruskas diskontoan (Discounted
cash-flow)
• PV bbrp ukuran arus kas, yg memasukkan dividen,
aruskas operasi, dan aruskas bebas
2. Teknik penilaian Relatif
• Nilai diestimasi berdasarkan pd harganya relatif pd
variabel signifikan, spt laba, arus kas, nilai buku,
atau penjualan
22
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Approaches to the
Valuation of Common Stock
Pendekatan arus kas diskontoan adl
tergantung pd bbrp faktor:
• Tingkat pertumbuhan dan durasi pertumbuhan
arus kas
• Estimasi tingkat diskonto
23
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Why and When to Use the Discounted Cash
Flow Valuation Approach
• Ukuran arus kas menggunakan
– Dividen
• Biaya ekuitas (Cost of equity) sbg tingkt diskonto
– Arus kas operasi
• Rata-rata tertimbang biaya modal (Weighted Average
Cost of Capital/WACC)
– Arus kas bebas untuk ekuitas
• Biaya ekuitas
• Tergantung pd tingkat pertumbuhan dan tingkat
diskonto
24
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Why and When to Use the Relative
Valuation Techniques
25
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Discounted Cash-Flow
Valuation Techniques
t =n
CFt
Vj = ∑ t
t =1 (1 + k )
Notasi:
Vj = nilai shm j
n = umur aset
CFt = arus kas, dlm period t
k = tkt diskonto yg sama dengan return yg disyaratkan
investor unt aset j, yg ditentukan dg ketidakpastian
(risiko) arus kas saham
26
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Valuation Approaches
and Specific Techniques
Pendekatan unt penilaian ekuitas
Figure 13.2
Notasi:
Vj = nilai shm biasa j
Dt = dividen slm periode waktu t
k = return yg disyaratkan atas shm j
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Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
The Dividend Discount Model (DDM)
• Jk shm tdk tahan slm satu periode tak tentu, maka menjual pd
akhir thn 2 akan berimplikasi:
D1 D2 SPj 2
Vj = + 2
+ 2
(1 + k ) (1 + k ) (1 + k )
• Harga penjualan pd akhir th dua adl nilai dr semua pembayaran
dividen yg tersisa (remaining dividend payments), yg scr
sederhana mrp ekstensi dr persamaan asli
29
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
The Dividend Discount Model (DDM)
30
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
The Dividend Discount Model (DDM)
• Model periode tak tentu (Infinite) berasumsi
tingkat pertumbuhan konstan unt estimasi
dividen mendatang
D0 (1 + g ) D0 (1 + g ) 2 D0 (1 + g ) n
Vj = + 2
+ ... +
(1 + k ) (1 + k ) (1 + k ) n
Notasi:
Vj = nilai saham j
D0= pembayaran dividen dlm periode sekarang
g = tingkat pertumbuhan konstan
k = return yg disyaratkan atas shm j
n = jumlah periode, yg kita anggap menjadi tak tentu
31
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
The Dividend Discount Model (DDM)
• Model periode tak tentu (Infinite) berasumsi tingkat
pertumbuhan konstan unt estimasi dividen mendatang
D0 (1 + g ) D0 (1 + g ) 2 D0 (1 + g ) n
Vj = + 2
+ ... +
(1 + k ) (1 + k ) (1 + k ) n
D1
Vj =
Rumus tsb dpt diringkas menjadi: k−g
1. Estimasikan return yg disyaratkan (k)
2. Estimasikan tingkat pertumbuhan dividen (g)
32
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Infinite Period DDM
and Growth Companies
Asumsi DDM:
1. Dividen tumbuh pd tingkat konstan
2. Tingkat pertumbuhan konstan akan
berlangsung unt satu periode tak tentu
3. Return yg disyaratkan (k) adl lbh besar
daipada tingkat pertumbuhan tak tentu (g)
33
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Infinite Period DDM
and Growth Companies
• Pershn bertumbuh memiliki kesempatan unt
memperoleh ROI lbh besar dp return yg disyaratkanya
• Unt mengeksploitasi kesempatan ini, pershn umumnya
menahan persentasi tinggi dr laba unt reinvestasi, dan
labanya tumbuh lbh cepat dp perusahaan lain sejenis
• Hal ini tdkkonsisten dg asumsi DDM periode tak tentu
34
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Infinite Period DDM
and Growth Companies
35
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Valuation with Temporary
Supernormal Growth
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Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Valuation with Temporary
Supernormal Growth
Dividend
Year Growth Rate
1-3: 25%
4-6: 20%
7-9: 15%
10 on: 9%
37
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Valuation with Temporary
Supernormal Growth
Persamaan nilai menjadi
40
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Present Value of
Operating Free Cash Flows
t=n
OCF t
Vj = ∑t =1 (1 + WACC j ) t
Notasi:
Vj = nilai persh j
n = jumlah periode ygdiasumsikan menjadi tak tentu
OCFt = arus kas operasi pershn dlm period t
WACC = rata-rata tetimbang biaya modal persh j
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Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Present Value of
Operating Free Cash Flows
• Sama dg DDM, model ini dpg digunakan unt estimasi satu periode
tak tentu
• Dimana pertumbuhan tlh matang menjadi tingkat stabil, adaptasi ts
adl
OCF1
Vj =
WACC j − g OCF
Dimana:
OCF1= arus kas bebas operasi dl periode 1
gOCF = pertumbuhan konstan jk panjang dr aus kas bebas operasi
42
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Present Value of
Operating Free Cash Flows
43
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Present Value of
Free Cash Flows to Equity
44
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Present Value of
Free Cash Flows to Equity
n
FCF t
V j = ∑
t =1 (1 + k j ) t
dimana:
Vj = nilai saham j
n = jumlah periode, yg kita anggap menjadi tak tentu
FCFt = arus kas bebas pershn dlm periode t
Kj = biaya ekuitas
45
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Relative Valuation Techniques
46
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Earnings Multiplier Model
47
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Earnings Multiplier Model
• Model diskonto dividen periode tak tentu
menunjukkan variabel akan menentukan nilai
rasio P/E P =
D 1
i
k − g
48
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Earnings Multiplier Model
• Dg demikian, rasio P/E dihitung dg
1. Rasio pembayaran dividen ekspektasian
2. Retun yg disyaratkan atas shm (k)
3. Tingkap pertumbuhan ekspektasian dividen (g)
Pi D1 / E1
=
E1 k−g
49
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Earnings Multiplier Model
Contoh
• Anggaplah:
– Pembayaran dividen = 50%
– Return ygdisyaratkan = 12%
– Pertumbuhan ekspektasian = 8%
– D/E = .50; k = .12; g=.08
.50
P/E =
.12 - .08
= .50/.04
= 12.5
50
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Earnings Multiplier Model
Pi D1 / E1
=
E1 k−g
51
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Earnings Multiplier Model
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Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Earnings Multiplier Model
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Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Earnings Multiplier Model
• Perubahan kecil dlm salah satu atau kedua k atau g
akan memiliki dampak besar pd angka pengganda
(multiplier)
D/E = .50; k=.13; g=.08 P/E = 10
D/E = .50; k=.12; g=.09 P/E = 16.7
D/E = .50; k=.11; g=.09 P/E = 25
Pi D1 / E 1
=
E1 k −g
55
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Earnings Multiplier Model
Perubahan kecil dlm salah satu atau kedua k atau g
akan memiliki dampak besar pd angka pengganda
(multiplier)
56
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Earnings Multiplier Model
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Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
The Price-Book Value Ratio
Pt
P / BVj =
BVt +1
Notasi:
P/BVj = harga/ nilai buku saham j
Pt = harga saham akhir tahun unt pershn j
BVt+1 = nilai buku per lembar akhir tahun estimasian
unt persh j
60
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
The Price-Book Value Ratio
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Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
The Price-Sales Ratio
P Pt
=
S S t +1
Notasi:
Pj
= price to sales ratio for firm j
Sj
Pt = end of year stock price for firm j
St +1 = annual sales per share for firm j during Year t
63
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
The Price-Sales Ratio
• Tandingkan harga saham dg penjualan
tahunan sekarang, atau penjualan
mendatang per lembar
• Rasio ini berubah2 scr dramatis thd industri
• Marjin laba juga berubah2 dg thd industri
• Komparasi Relatif dg menggunakan rasio
P/S di antara perusahaan dlm industri yg
sama
64
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Estimating the Inputs: The Required Rate
of Return and The Expected Growth Rate
of Valuation Variables
65
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Required Rate of Return (k)
• Tingkat return yag disyaratkan investor hrs diestimasi
terlepas daripendekatan yg dipilih atau teknik yang
digunakan
– Angka ini akan digunakan sbg tingkat diskonto dan juga
berpengaruh penilaian relatif
– Angka ini tdk digunakan unt PV arus kas bebas yg
menggunakan tingkat return atas ekuitas yg disyaratkan
(required rate of return on equity/K)
– Angka ini juga tidak digunakan dlm PV arus kas operasi yg
menggunakan WACC
66
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Required Rate of Return (k)
67
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
The Economy’s Real Risk-Free Rate
68
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
The Expected Rate of Inflation
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Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Estimating the Required Return
for Foreign Securities
• RFR Riil asing
– Hrs dihitung dg tingkat pertumbuhan riil dlm ekonomi
tertentu
– Dpt berubah scr substansial antar negara
• Tingkat inflasi
– Mengestimasi tingkat harapan inflasi, dan
menyesuaikan NRFR unt ekspektasi tsb
NRFR=(1+Real Growth)x(1+Expected Inflation)-1
71
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Risk Premium
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Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Expected Growth Rate of Dividends
• Dihitung dg
– Petumbuhan laba
– Proporsi laba yg dibayar dlm dividen
• Dlm jk pendek, dividen dpt tumbuh pd tingkat berbeda
daripada laba yg disebabkan perubhan dlm rasio pembayaran
dividen (payout ratio)
• Pertumbuhan laba juga dipengaruhi oleh gabungan dr laba yg
ditahan (earnings retention)
g = (Retention Rate) x (Return on Equity)
= RR x ROE
73
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
Breakdown of ROE
ROE =
76
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
The Internet
Investments Online
www.financenter.com
www.moneyadvisor.com
www.jamesko.com/financial_calculator.htm
http://fpc.net66.com
77
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
End of Chapter 11
–An Introduction to Security
Valuation
78
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010
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Future topics
Chapter 12
• Macroeconomic and Market Analysis: The
Global Asset Allocation Decision
79
Maksi UNS Chpt 11 Reilly & Brown Bandi, 2010