AFM知識(shí)點(diǎn)匯總—Estimate the credit spread、EVA 估值

The cost of a bond will develop on two factors:

1. The risk free rate derived from the yield curve for a bond of that specified duration

從一個(gè)指定時(shí)間的債券的收益率曲線(xiàn)得到無(wú)風(fēng)險(xiǎn)利率

The yield curve shows how the yield on government bonds vary according to the term of borrowings. Normally it is upward sloping. 向上陡坡 There are a number of explanations of the yield curve; these are not competing explanations, and at any one time may be influencing the shape of the yield curve 對(duì)于收益率曲線(xiàn)的的形狀， 有很多解釋?zhuān)@些解釋互不沖突，任何時(shí)候任一因素都會(huì)影響 yield curve 的形狀。

1）Expectations theory 預(yù)期理論-the curve reflects expectations that interest rates will rise in the future, so the government has to offer higher returns on long-term debt.

2 ） Liquidity preference theory 流 動(dòng) 性 偏 好 理 論 -the curve reflects the compensation that investors require higher returns for sacrificing liquidity on long-dated bonds.

3）Market segmentation theory 市場(chǎng)分割理論-short dated bonds tend to be more popular with banks and long-dated bonds are more popular with pension funds. If demand for bonds is higher in one of these markets the government can offer lower returns.

2. The credit premium-derived from the bond's credit rating 根據(jù)信用評(píng)級(jí)來(lái)，一般 題目會(huì)告知 Cost of debt capital=(1-tax rate)*(risk free rate + credit spread)

EVA= Net Operating Profits After Taxes-WACC*Capital Employed= (ROIC-WACC) * Capital Employed 注意 interest 不考慮，所以 tax 要修正 Value of firm = Value of invested capital + sum of discounted EVA

優(yōu)點(diǎn)：

1. Cost of capital 反映了股東要求的至小回報(bào)。所以只要大于 WACC*Capital Employed 的任何盈余都可以視為股東財(cái)富增加。如果債務(wù)持有人收到一個(gè)固 定的利息，那么多余的價(jià)值都將歸于股東。EVA 關(guān)注的是創(chuàng)造了股東價(jià)值。

2. 資本是為了滿(mǎn)足投資目的，從而創(chuàng)造價(jià)值。所以 EVA 考慮到這點(diǎn)，使用了 Capital Employed 這個(gè)概念。

3. EVA 用數(shù)字來(lái)衡量績(jī)效，如果是正表示股東財(cái)富增加。如果用比率的話(huà)，則 需要設(shè)定不同的目標(biāo)。

4. EVA 是基于剩余收入價(jià)值原則的，因此它是比較容易理解的。EVA 的趨勢(shì)將 顯示該公司在未來(lái)的幾年是如何創(chuàng)造價(jià)值的。

缺點(diǎn)：

1. EVA 是每年衡量的，較容易為人操作 manipulate。

2. 短期項(xiàng)目可以早贖回本金，即使收益率較低也被選擇。相反，長(zhǎng)期且高回報(bào) 率的項(xiàng)目，因沒(méi)有在頭幾年呈現(xiàn)高回報(bào)，會(huì)被放棄。只關(guān)注每年的 EVA 會(huì)給 管理層一個(gè)短視的態(tài)度，犧牲了公司長(zhǎng)期的成功。所以，關(guān)注 EVA 的長(zhǎng)期趨 勢(shì)，可以克服這個(gè)缺點(diǎn)。

3. EVA 是個(gè)絕對(duì)值，無(wú)法用來(lái)比較不同行業(yè)的公司之間的表現(xiàn)。