Matakuliah
Tahun
Versi
: F0392/Simulasi Perdagangan di Bursa Efek
: 2005
: 1/3
Pertemuan 05
Harga Wajar Saham
1
Learning Outcomes
Pada akhir pertemuan ini, diharapkan mahasiswa
akan mampu :
• Menentukan harga wajar saham dengan
beberapa pendekatan
2
Outline Materi
•
•
•
•
Net Asset Valuation
Dividend Valuation
Stock Valuation
CAPM
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Equity Valuation Models
• Balance Sheet  Book Value per share
Equity ÷ # shares
Book value reflects acctg entries only
Does not include:
Brand name
Customer loyalty
Expertise; reputation
Future growth opportunities
Liquidation Value
Replacement Value
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Intrinsic Value
• Value today = Present Value of Future
CF’s
• V0 = [D1 + P1] / (1+R)
• Also: R = [P1 - P0]/P0 + D1/P0
• Returns:
Expected - given price & expected CF’s
Required - based on risk
Realized - actual return; after the fact
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Example 1
• Suppose:
P1 = 52 (expected)
D1 = 4.00
(expected)
P0 = 48
Beta = 1.2
Rf = 6%; Rm - Rf = 5%
• Recall: R = Rf + B(Rm - Rf)
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Example 2
• Expected Return:
R = [52 - 48]/48 + 4/48 = 16.67%
• Required:
R = 6 + 1.2(5) = 12%
• Is Stock Over or Under valued?
=> undervalued; stock price has to rise
• Intrinsic Value:
P0 = [52 + 4] / (1+12%) = $50 > 48
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Dividend Discount Model
• P0 = D1/(1+R) + D2/(1+R)2 + D3/(1+R)3 +
...
If Dividends are expected to grow at the
constant rate g, then:
P0 = D1/(R-g) or: P0 = Do(1+g)/(R-g)
• Price will be higher:
The higher the expected dividend
The lower the capitalization rate, R
The higher the expected growth rate, g
The model is extremely sensitive to inputs
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Dividend Discount Model
• Example:
D1 = $4.00
g = 5%
R = 12%
P0 = D1/(R-g) = 4/(12%-5%) = $57.14
• Note: Since P1 = D2/(R-g) = D1(1+g)/(R-g)
P1 = [D1/(R-g)] x (1+g)
P1 =
P0
x (1+g)
Price grows at constant rate
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Dividend Discount Model
• Suppose
D1 = $4.00
g increases from 5% to 6%
• What happens to price?
• What happens to expected return?
P0 = 4/(12%-6%) = $66.67
E(R) = D1/P0 + g = 4/66.67 + 6% = 12%
(unchanged)
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Stock Prices & Investment
Opportunities
• Sustainable Growth Rate: rate of growth
such that D/E remains constant & no new
equity is needed
SGR = r x ROE
• R = retention ratio = (1-DPS)/EPS
• DPS = Dividends per share
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Example 3
• Suppose EPS = $5.00 and R = 12.5%
• Compute Value & P/E ratio for following:
Company 1 ROE = 15%
r = 0%
Company 2 ROE = 15%
r = 60%
Company 3 ROE = 12.5% r = 60%
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Example, cont.
• Company 1:
r = 0 ==> D1 = 5.00
g = ROE x r = 15% x 0 = 0
P0 = 5/(12.5 - 0) = $40.00
P/E = 40/5 = 8 (= 1/R) capitalization rate
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Example, cont.
• Company 2:
r = 60% ==> D1 = .4 x 5.00 = $2.00
g = ROE x r = 15% x .6 = 9%
P0 = 2/(12.5% - 9%) = $57.14
P/E = 57.14/5 = 11.43 > 1/R
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Example, cont.
• Company 3:
r = 60% ==> D1 = .4 x 5.00 = $2.00
g = ROE x r = 12.5% x .6 = 7.5%
P0 = 2/(12.5% - 7.5%) = $40.00
P/E = 40.00/5 = 8 = 1/R
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Summary
• Expected EPS same for all three firms
• Only positive NPV growth leads to
increase in share value (ROE > R)
• P/E = 1/R for no growth
• P/E > 1/R for positive NPV growth firms
• P0 = E/R + PVGO
• P0 = 40 + 17.14
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Relation Between P/E & Growth
• P = D/(R-g)
• D = E x (1 - r)
• g = ROE x r (sustainable growth rate)
SO:
• P = E x (1 - r) / (R - ROE x r)
• P/E = (1 - r) / (R - ROE x r)
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Relation Between P/E & Growth
• Now, take derivative of P/E w/r/t r:
• (R - ROE x r) x (-1) - (1 - r) (-ROE) / (xx)2
• Denominator is always positive
• Numerator = ROE - R
• ROE > R => P/E increases when r
increases
• If ROE < R, growth reduces P/E & P
• Growth must be value enhancing!
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Example
• Consider a takeover target w/ entrenched mgmt
• r = 60%;
ROE = 10%; R = 15%
;
EPS = 5.00
• D = (1 - 60%) x 5 = $2.00
• g = 10% x 60% = 6%
• P = 2 / (15% - 6%) = $22.22
• PVGO = P0 - E/R = 22.22 - 5/.15 = -11.11
• Buy firm & increase value by setting r = 0
• P0 = 5/.15 = 33.33
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P/E ratios & Risk
• From Before we know that:
P/E = (1 - r) / (R - ROE x r)
P/E = (1 - r) / (R - g)
Risk is reflected in R: R is investors’
required return
 Higher risk ==> Higher R
 Higher R ==> Lower P/E (ceteris paribus)
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Tugas
Kerjakan dan kumpulkan pada Pert 06
• Tugas 05-1
• Tugas 05-2
• Tugas 05-3
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