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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 3 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 4 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 5 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) 6 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 7 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 8 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 9 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) 10 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 11 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% 12 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 13 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 14 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 15 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 16 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) 17 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! 18 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 19 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) 20 Tugas Kerjakan dan kumpulkan pada Pert 06 • Tugas 05-1 • Tugas 05-2 • Tugas 05-3 21