chapter04

递延税款和加速折旧一个案例2006年盈亏表，给税务局的 2006年盈亏表，给股东的销售 1000 销售 1000成本 500 成本 500折旧 300 折旧 250税前利润，PBT 200 税前利润，PBT 250税收（40） 80 税收（40） 100税后利润，PAT 120 税后利润，PAT 150现金流量税后利润，PAT 120 B113*1.1,undervalued,IF(B111 8% 24.17 39.70 53.28 75.929% 18.03 28.99 37.76 50.9110% 13.25 21.34 27.41 35.9011% 9.43 15.60 20.01 25.8912% 6.30 11.13 14.46 18.7313% 3.69 7.56 10.13 13.3514% 1.48 4.63 6.67 9.17= IF (B 9 6 B 9 7 ,B 1 1 1 , n m f )= IF (B 9 6 B 9 7 ,B 1 1 1 , n m f )A B C D E F9899100101102103104105106107108109110111112113114115116117118119120121122123124125126127200510,4436,4111,9202,11263422781,243451197733384352005PPG, FINANCIAL MODEL, 2001-2005G H I J1234567891011121314151617181920212223242526272829303132333435363738394041424344454647481111,9091,2783353,63310,4416,8823,5593201,7001,56910,7812005887757123,4506571281,8124841028,1655,6733,07810,7812005773634-13262-767-115145598G H I J49505152535455565758596061626364656667686970717273747576777879808182838485868788899091929394959697200559817,954 B113*1.1,undervalued,IF(B111B113*1.1,低估,IF(B111 8% 24.17 39.70 53.28 75.929% 18.03 28.99 37.76 50.9110% 13.25 21.34 27.41 35.9011% 9.43 15.60 20.01 25.8912% 6.30 11.13 14.46 18.7313% 3.69 7.56 10.13 13.3514% 1.48 4.63 6.67 9.17= IF (B 9 6 B 9 7 ,B 1 1 1 , n m f )A B C D E F100101102103104105106107108109110111112113114115116117118119120121122123124125126127200510,4436,4111,9202,11263422781,243451197733384352005111PPG公司，财务模型，2001-2005G H I J123456789101112131415161718192021222324252627282930313233343536373839404142434445464748491,9091,2783353,63310,4416,8823,5593201,7001,56910,7812005887757123,4506571281,8124841028,1655,6733,07810,7812005773634-13262-767-1151455982005G H I J505152535455565758596061626364656667686970717273747576777879808182838485868788899091929394959697989959817,954 B113*1.1,低估,IF(B111B113/1.1,高估,ok)模拟运算表：PPG公司股票价格对长期FCF增长的灵敏度分析G H I J100101102103104105106107108109110111112113114115116117118119120121122123124125126127CALCULATING THE DIVIDENDS AND EQUITY PAYOUT FOR PPGYear Dividends per share Total cashdividendsMinusincreasein commonstock andsurplusPlus increasein treasurystockPayout toequity1992 0.94 200 -3 14 2111993 1.04 221 -65 24 1811994 1.12 238 -12 264 4901995 1.18 239 -14 571 7961996 1.26 237 -15 608 8291997 1.33 239 -2 323 5601998 1.42 252 -6 208 4541999 1.52 264 1 70 3352000 1.60 276 2 240 518Growth 6.88% 4.13% 11.91%2000 1999 1998 1997 1996Net income 620 568 801 714 744Cash Dividends 276 264 252 239 237Dividend/Net income 45% 46% 31% 33% 32%Common shares outstanding 168 174 175 178 183P P G : D i v i d e n d s a n d T o t a l E q u i t y P a y o u t1 9 9 2 1 9 9 3 1 9 9 4 1 9 9 5 1 9 9 6 1 9 9 7 1 9 9 8 1 9 9 9 2 0 0 00 .0 00 .2 00 .4 00 .6 00 .8 01 .0 01 .2 01 .4 01 .6 01 .8 001 0 02 0 03 0 04 0 05 0 06 0 07 0 08 0 09 0 0DividendspershareTotalequitypayoutD iv id e n d s p e r s h a reP a y o u t to e q u ityA B C D E F12345678910111213141516171819202122232425262728293031323334353637383940414243444546Dividend growth rate? 6%Next years dividend/share 1.70Total dividends 286A B C D E F474849- =SUM(C3:E3)- =SUM(C4:E4)- =(F11/F3)(1/8)-11995 1994 1993 1992767.6 514.6 22.2 319.4239 238 221 20031% 46% 995% 62%194 207 107 106 106CALCULATING THE DIVIDENDS AND EQUITY PAYOUT FOR PPGP P G : D i v i d e n d s a n d T o t a l E q u i t y P a y o u t1 9 9 2 1 9 9 3 1 9 9 4 1 9 9 5 1 9 9 6 1 9 9 7 1 9 9 8 1 9 9 9 2 0 0 00 .0 00 .2 00 .4 00 .6 00 .8 01 .0 01 .2 01 .4 01 .6 01 .8 001 0 02 0 03 0 04 0 05 0 06 0 07 0 08 0 09 0 0DividendspershareTotalequitypayoutD iv id e n d s p e r s h a reP a y o u t to e q u ityG H I J K12345678910111213141516171819202122232425262728293031323334353637383940414243444546计算PPG公司的股利与权益支出年 每股股利 总现金股利 减去普通股和赢余的增加 加上库存股的增加1992 0.94 200 -3 141993 1.04 221 -65 241994 1.12 238 -12 2641995 1.18 239 -14 5711996 1.26 237 -15 6081997 1.33 239 -2 3231998 1.42 252 -6 2081999 1.52 264 1 702000 1.60 276 2 240增长 6.88% 4.13%2000 1999 1998 1997净收入 620 568 801 714现金股利 276 264 252 239股利/净收入 45% 46% 31% 33%已发行普通股 168 174 175 178红利的增长速度？ 6%P P G : 股 利 与 权 益 支 付 总 计1 9 9 2 1 9 9 3 1 9 9 4 1 9 9 5 1 9 9 6 1 9 9 7 1 9 9 8 1 9 9 9 2 0 0 00 .0 00 .2 00 .4 00 .6 00 .8 01 .0 01 .2 01 .4 01 .6 01 .8 001 0 02 0 03 0 04 0 05 0 06 0 07 0 08 0 09 0 0每股股利权益支付总计每 股 股 利权 益 支 付A B C D E1234567891011121314151617181920212223242526272829303132333435363738394041424344454647明年的股利/每股 1.70总股利 286A B C D E4849权益支出211 - =SUM(C3:E3)181 - =SUM(C4:E4)49079682956045433551811.91% - =(F11/F3)(1/8)-11996 1995 1994 1993 1992744 767.6 514.6 22.2 319.4237 239 238 221 20032% 31% 46% 995% 62%183 194 207 107 106 106计算PPG公司的股利与权益支出P P G : 股 利 与 权 益 支 付 总 计1 9 9 2 1 9 9 3 1 9 9 4 1 9 9 5 1 9 9 6 1 9 9 7 1 9 9 8 1 9 9 9 2 0 0 00 .0 00 .2 00 .4 00 .6 00 .8 01 .0 01 .2 01 .4 01 .6 01 .8 001 0 02 0 03 0 04 0 05 0 06 0 07 0 08 0 09 0 0每股股利权益支付总计每 股 股 利权 益 支 付F G H I J K1234567891011121314151617181920212223242526272829303132333435363738394041424344454647PPG: EARNINGS PER SHARE VERSUS EARNINGSYearEarningspershareProfitsafter taxes1990 0.95 2761991 1.90 2761992 3.01 3191993 2.78 221994 2.43 5151995 3.80 7681996 3.96 7441997 3.97 7141998 4.52 8011999 3.27 5682000 3.60 620Compound growth 14.25% 8.43% - =(C13/C3)(1/10)-1Source: Profit-loss 91-00 in thisworkbookP P G : E P S v e r s u s P r o f i t sY e a r 1 9 9 0 1 9 9 1 1 9 9 2 1 9 9 3 1 9 9 4 1 9 9 5 1 9 9 6 1 9 9 7 1 9 9 8 1 9 9 90 .0 00 .5 01 .0 01 .5 02 .0 02 .5 03 .0 03 .5 04 .0 04 .5 05 .0 001 0 02 0 03 0 04 0 05 0 06 0 07 0 08 0 09 0 0EPSProfitsE a rn in g sp e r s h a reP ro fitsa fte r ta x e sA B C D E F1234567891011121314151617181920212223242526272829303132333435PPG公司：每股收益对利润年 每股盈利 税后利润1990 0.95 2761991 1.90 2761992 3.01 3191993 2.78 221994 2.43 5151995 3.80 7681996 3.96 7441997 3.97 7141998 4.52 8011999 3.27 5682000 3.60 620复合增长率 14.25% 8.43% - =(C13/C3)(1/10)-1Source: Profit-loss 91-00 in thisworkbookP P G : 每 股 收 益 对 利 润年 1 9 9 0 1 9 9 1 1 9 9 2 1 9 9 3 1 9 9 4 1 9 9 5 1 9 9 6 1 9 9 7 1 9 9 8 1 9 9 90 .0 00 .5 01 .0 01 .5 02 .0 02 .5 03 .0 03 .5 04 .0 04 .5 05 .0 001 0 02 0 03 0 04 0 05 0 06 0 07 0 08 0 09 0 0EPS利润每 股 盈 利 税 后 利 润A B C D E F1234567891011121314151617181920212223242526272829303132333435CALCULATING THE GORDON MODEL rE FOR PPGNumber of shares outstanding, Dec. 2000 (million) 168.22Share price, 31Dec00 46.31Equity value, Dec00 7,791Method 1: rE Gordon using only dividendsStock price, 31dec00 46.31Dividend, 2000 1.60Anticipated dividend growth 6.88%rE, cost of equity using only dividends 10.57%Method 2: rE Gordon using equity payoutTotal equity payout, 2000 518Anticipated growth of this payout 11.91%rE, cost of equity using total equity payout 19.35%Using the two-stage Gordon modelNumber of high-growth years 3Normal growth after high-growth years 5.00%rE, cost of equity using two-stage Gordon model 13.34%A B1234567891011121314151617181920- =B2*B3- =Page 152!$B$13- =B8*(1+B9)/B7+B9- =Page 152!$F$11- =Page 152!$F$13- =B13*(1+B14)/B4+B14- =twostagegordon(B4,B13,B14,B18,B19)CALCULATING THE GORDON MODEL rE FOR PPGC1234567891011121314151617181920计算PPG的戈登模型中的权益成本流通股数, Dec. 2000 (百万) 168.22股票价格, 31Dec00 46.31权益价值, Dec00 7,791方法1: rE 仅用股利的戈登模型股价, 31dec00 46.31股利, 2000 1.60预期股息增长 6.88%rE, 仅用股利的权益成本 10.57%方法2: rE 使用权益支出的戈登模型总的权益支付, 2000年 518预计该支出的增长率 11.91%rE, 使用总权益支付的权益成本 19.35%使用两阶段戈登模型高速增长的年数 3高速增长率后的正常增长率 5.00%rE, 使用两阶段戈登模型的权益成本 13.34%A B1234567891011121314151617181920- =B2*B3- =Page 152!$B$13- =B8*(1+B9)/B7+B9- =Page 152!$F$11- =Page 152!$F$13- =B13*(1+B14)/B4+B14- =twostagegordon(B4,B13,B14,B18,B19)计算PPG的戈登模型中的权益成本C1234567891011121314151617181920COMPUTING THE BETA FOR PPGUses monthly data, Dec. 1995 - Dec. 2000Beta 0.8672 - =SLOPE(G6:G65,C6:C65)DateSP500CloseSP500Return DatePPGClosePPGReturn十二月-95 615.93 十二月-95 38.98一月-96 636.02 3.21% - =LN(B6/B5) 一月-96 39.83 2.16% - =LN(F6/F5)二月-96 640.43 0.69% 二月-96 39.76 -0.18%三月-96 645.5 0.79% 三月-96 41.91 5.25%四月-96 654.17 1.33% 四月-96 43.41 3.52%五月-96 669.12 2.26% 五月-96 44.65 2.84%六月-96 670.63 0.23% 六月-96 42.07 -5.97%七月-96 639.95 -4.68% 七月-96 42.50 1.02%八月-96 651.99 1.86% 八月-96 42.87 0.88%九月-96 687.33 5.28% 九月-96 47.22 9.65%十月-96 705.27 2.58% 十月-96 49.50 4.71%十一月-96 757.02 7.08% 十一月-96 53.48 7.75%十二月-96 740.74 -2.17% 十二月-96 49.01 -8.74%一月-97 786.16 5.95% 一月-97 46.71 -4.79%二月-97 790.82 0.59% 二月-97 49.20 5.19%三月-97 757.12 -4.35% 三月-97 47.44 -3.64%四月-97 801.34 5.68% 四月-97 47.77 0.69%五月-97 848.28 5.69% 五月-97 51.37 7.25%六月-97 885.14 4.25% 六月-97 51.37 0.00%七月-97 954.31 7.52% 七月-97 56.56 9.63%八月-97 899.47 -5.92% 八月-97 55.95 -1.08%九月-97 947.28 5.18% 九月-97 55.67 -0.50%十月-97 914.62 -3.51% 十月-97 50.29 -10.17%十一月-97 955.4 4.36% 十一月-97 51.77 2.90%十二月-97 970.43 1.56% 十二月-97 51.04 -1.41%一月-98 980.28 1.01% 一月-98 51.26 0.44%二月-98 1049.34 6.81% 二月-98 58.23 12.75%三月-98 1101.75 4.87% 三月-98 61.04 4.71%四月-98 1111.75 0.90% 四月-98 63.51 3.97%五月-98 1090.82 -1.90% 五月-98 65.81 3.56%六月-98 1133.84 3.87% 六月-98 62.82 -4.65%七月-98 1120.67 -1.17% 七月-98 57.24 -9.32%八月-98 957.28 -15.76% 八月-98 46.33 -21.13%九月-98 1017.01 6.05% 九月-98 49.57 6.75%十月-98 1098.67 7.72% 十月-98 52.01 4.81%十一月-98 1163.63 5.74% 十一月-98 55.91 7.23%十二月-98 1229.23 5.48% 十二月-98 53.17 -5.03%一月-99 1279.64 4.02% 一月-99 49.12 -7.93%二月-99 1238.33 -3.28% 二月-99 47.91 -2.49%三月-99 1286.37 3.81% 三月-99 47.16 -1.57%四月-99 1335.18 3.72% 四月-99 59.76 23.67%五月-99 1301.84 -2.53% 五月-99 56.16 -6.20%六月-99 1372.71 5.30% 六月-99 54.66 -2.71%C o m p u t i n g t h e B e t a f o r P P Gu s i n g m o n t h l y p r i c e d a t a f o r P P G a n d t h e S P 5 0 09 %4 %-1 %-6 %-1 1 %-1 6 %-2 2 %-1 7 %-1 2 %-7 %-2 %3 %8 %1 3 %1 8 %2 3 %y = 0 .8 6 7 2 x - 0 .0 0 8 7R2= 0 .3 0 2 7S P 5 0 0 r e t u r nPPGreturnA B C D E F G H1234567891011121314151617181920212223242526272829303132333435363738394041424344454647七月-99 1328.72 -3.26% 七月-99 55.18 0.95%八月-99 1320.41 -0.63% 八月-99 55.93 1.34%九月-99 1282.71 -2.90% 九月-99 55.87 -0.10%十月-99 1362.93 6.07% 十月-99 56.45 1.04%十一月-99 1388.91 1.89% 十一月-99 54.88 -2.83%十二月-99 1469.25 5.62% 十二月-99 58.63 6.61%一月-00 1394.46 -5.22% 一月-00 51.60 -12.77%二月-00 1366.42 -2.03% 二月-00 46.62 -10.14%三月-00 1498.58 9.23% 三月-00 49.39 5.78%四月-00 1452.43 -3.13% 四月-00 51.34 3.87%五月-00 1420.6 -2.22% 五月-00 47.14 -8.54%六月-00 1454.6 2.37% 六月-00 42.15 -11.20%七月-00 1430.83 -1.65% 七月-00 38.70 -8.53%八月-00 1517.68 5.89% 八月-00 38.90 0.53%九月-00 1436.51 -5.50% 九月-00 38.11 -2.07%十月-00 1429.4 -0.50% 十月-00 42.85 11.73%十一月-00 1314.95 -8.35% 十一月-00 40.39 -5.92%十二月-00 1320.28 0.40% 十二月-00 44.87 10.52%A B C D E F G H484950515253545556575859606162636465C o m p u t i n g t h e B e t a f o r P P Gu s i n g m o n t h l y p r i c e d a t a f o r P P G a n d t h e S P 5 0 09 %4 %-1 %-6 %-1 1 %-1 6 %-2 2 %-1 7 %-1 2 %-7 %-2 %3 %8 %1 3 %1 8 %2 3 %y = 0 .8 6 7 2 x - 0 .0 0 8 7R2= 0 .3 0 2 7S P 5 0 0 r e t u r nPPGreturnI J K L M N O1234567891011121314151617181920212223242526272829303132333435363738394041424344454647计算的PPG公司的Beta利用每月的数据，1995年12月- 2000年12月Beta 0.8672 - =SLOPE(G6:G65,C6:C65)日期SP500收盘SP500收益率 日期PPG收盘价PPG收益率1995/12/1 615.93 十二月-95 38.981996/1/1 636.02 3.21% - =LN(B6/B5) 一月-96 39.83 2.16% - =LN(F6/F5)1996/2/1 640.43 0.69% 二月-96 39.76 -0.18%1996/3/1 645.5 0.79% 三月-96 41.91 5.25%1996/4/1 654.17 1.33% 四月-96 43.41 3.52%1996/5/1 669.12 2.26% 五月-96 44.65 2.84%1996/6/1 670.63 0.23% 六月-96 42.07 -5.97%1996/7/1 639.95 -4.68% 七月-96 42.50 1.02%1996/8/1 651.99 1.86% 八月-96 42.87 0.88%1996/9/1 687.33 5.28% 九月-96 47.22 9.65%1996/10/1 705.27 2.58% 十月-96 49.50 4.71%1996/11/1 757.02 7.08% 十一月-96 53.48 7.75%1996/12/1 740.74 -2.17% 十二月-96 49.01 -8.74%1997/1/1 786.16 5.95% 一月-97 46.71 -4.79%1997/2/1 790.82 0.59% 二月-97 49.20 5.19%1997/3/1 757.12 -4.35% 三月-97 47.44 -3.64%1997/4/1 801.34 5.68% 四月-97 47.77 0.69%1997/5/1 848.28 5.69% 五月-97 51.37 7.25%1997/6/1 885.14 4.25% 六月-97 51.37 0.00%1997/7/1 954.31 7.52% 七月-97 56.56 9.63%1997/8/1 899.47 -5.92% 八月-97 55.95 -1.08%1997/9/1 947.28 5.18% 九月-97 55.67 -0.50%1997/10/1 914.62 -3.51% 十月-97 50.29 -10.17%1997/11/1 955.4 4.36% 十一月-97 51.77 2.90%1997/12/1 970.43 1.56% 十二月-97 51.04 -1.41%1998/1/1 980.28 1.01% 一月-98 51.26 0.44%1998/2/1 1049.34 6.81% 二月-98 58.23 12.75%1998/3/1 1101.75 4.87% 三月-98 61.04 4.71%1998/4/1 1111.75 0.90% 四月-98 63.51 3.97%1998/5/1 1090.82 -1.90% 五月-98 65.81 3.56%1998/6/1 1133.84 3.87% 六月-98 62.82 -4.65%1998/7/1 1120.67 -1.17% 七月-98 57.24 -9.32%1998/8/1 957.28 -15.76% 八月-98 46.33 -21.13%1998/9/1 1017.01 6.05% 九月-98 49.57 6.75%1998/10/1 1098.67 7.72% 十月-98 52.01 4.81%1998/11/1 1163.63 5.74% 十一月-98 55.91 7.23%1998/12/1 1229.23 5.48% 十二月-98 53.17 -5.03%1999/1/1 1279.64 4.02% 一月-99 49.12 -7.93%1999/2/1 1238.33 -3.28% 二月-99 47.91 -2.49%1999/3/1 1286.37 3.81% 三月-99 47.16 -1.57%1999/4/1 1335.18 3.72% 四月-99 59.76 23.67%1999/5/1 1301.84 -2.53% 五月-99 56.16 -6.20%1999/6/1 1372.71 5.30% 六月-99 54.66 -2.71%计 算 PPG公 司 Beta值用 月 度 价 格 数 据9 %4 %-1 %-6 %-1 1 %-1 6 %-2 2 %-1 7 %-1 2 %-7 %-2 %3 %8 %1 3 %1 8 %2 3 %y = 0 .8 6 7 2 x - 0 .0 0 8 7R2= 0 .3 0 2 7S P 5 0 0 收 益PPG收益A B C D E F G H12345678910111213141516171819202122232425262728293031323334353637383940414243444546471999/7/1 1328.72 -3.26% 七月-99 55.18 0.95%1999/8/1 1320.41 -0.63% 八月-99 55.93 1.34%1999/9/1 1282.71 -2.90% 九月-99 55.87 -0.10%1999/10/1 1362.93 6.07% 十月-99 56.45 1.04%1999/11/1 1388.91 1.89% 十一月-99 54.88 -2.83%1999/12/1 1469.25 5.62% 十二月-99 58.63 6.61%2000/1/1 1394.46 -5.22% 一月-00 51.60 -12.77%2000/2/1 1366.42 -2.03% 二月-00 46.62 -10.14%2000/3/1 1498.58 9.23% 三月-00 49.39 5.78%2000/4/1 1452.43 -3.13% 四月-00 51.34 3.87%2000/5/1 1420.6 -2.22% 五月-00 47.14 -8.54%2000/6/1 1454.6 2.37% 六月-00 42.15 -11.20%2000/7/1 1430.83 -1.65% 七月-00 38.70 -8.53%2000/8/1 1517.68 5.89% 八月-00 38.90 0.53%2000/9/1 1436.51 -5.50% 九月-00 38.11 -2.07%2000/10/1 1429.4 -0.50% 十月-00 42.85 11.73%2000/11/1 1314.95 -8.35% 十一月-00 40.39 -5.92%2000/12/1 1320.28 0.40% 十二月-00 44.87 10.52%A B C D E F G H484950515253545556575859606162636465计 算 PPG公 司 Beta值用 月 度 价 格 数 据9 %4 %-1 %-6 %-1 1 %-1 6 %-2 2 %-1 7 %-1 2 %-7 %-2 %3 %8 %1 3 %1 8 %2 3 %y = 0 .8 6 7 2 x - 0 .0 0 8 7R2= 0 .3 0 2 7S P 5 0 0 收 益PPG收益I J K L M N O1234567891011121314151617181920212223242526272829303132333435363738394041424344454647USING THE CAPM TO COMPUTE PPGS COST OF EQUITYMarket price/earnings multiple, December 2000 32Equity cash flow payout ratio 50.00%Anticipated growth of market equity cash flow 6.00%Expected market return, E(rM) 7.66% - =B3*(1+B4)/B2+B4Treasury bill rate, December 2000 0.51%PPGs tax rate, TC 36.28% - =Page 138, top and page 139!B35Method 3: rE using the SMLEquity beta 0.8672rE, cost of equity 6.71% - =B6+B10*(B5-B6)Method 4: rE using the tax-adjusted SMLEquity beta 0.8672rE, cost of equity 6.68% - =B6*(1-B7)+B14*(B5-B6*(1-B7)Note: Price/Earnings ratio for S&P 500 from http:/www.bullandbearwise.comA B C12345678910111213141516171819使用CAPM计算PPG公司的权益成本市场价格/盈余倍数 2000年12月 32权益现金流支付率 50.00%市场权益现金流预期增长率 6.00%E(r M