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)于收益率曲線的的形狀， 有很多解釋，這些解釋互不沖突，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，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)。