1 Pertemuan 05 Harga Wajar Saham Matakuliah: F0392/Simulasi Perdagangan di Bursa Efek Tahun: 2005 Versi: 1/3

2 Learning Outcomes Pada akhir pertemuan ini, diharapkan mahasiswa akan mampu : Menentukan harga wajar saham dengan beberapa pendekatan

3 Outline Materi Net Asset Valuation Dividend Valuation Stock Valuation CAPM

4 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

5 Intrinsic Value Value today = Present Value of Future CF’s V 0 = [D 1 + P 1 ] / (1+R) Also:R = [P 1 - P 0 ]/P 0 + D 1 /P 0 Returns: Expected - given price & expected CF’s Required - based on risk Realized - actual return; after the fact

6 Example 1 Suppose: P 1 = 52(expected) D 1 = 4.00 (expected) P 0 = 48 Beta = 1.2 Rf = 6%;R m - R f = 5% Recall:R = R f + B(R m - R f )

7 Example 2 Expected Return: R = [ ]/48 + 4/48 = 16.67% Required:R = (5) = 12% Is Stock Over or Under valued? => undervalued; stock price has to rise Intrinsic Value: P 0 = [52 + 4] / (1+12%) = $50 > 48

8 Dividend Discount Model P 0 = D 1 /(1+R) + D 2 /(1+R) 2 + D 3 /(1+R) If Dividends are expected to grow at the constant rate g, then: P 0 = D 1 /(R-g) or: P 0 = 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

9 Dividend Discount Model Example: D 1 = $4.00 g = 5% R = 12% P 0 = D 1 /(R-g) = 4/(12%-5%) = $57.14 Note: Since P 1 = D 2 /(R-g) = D 1 (1+g)/(R-g) P 1 = [D 1 /(R-g)] x (1+g) P 1 = P 0 x (1+g) Price grows at constant rate

10 Dividend Discount Model Suppose D 1 = $4.00 g increases from 5% to 6% What happens to price? What happens to expected return? P 0 = 4/(12%-6%) = $66.67 E(R) = D 1 /P 0 + g = 4/ % = 12% (unchanged)

11 Stock Prices & Investment Opportunities Sustainable Growth Rate: rate of growth such that D/E remains constant & no new equity is needed èSGR = r x ROE R = retention ratio = (1-DPS)/EPS DPS = Dividends per share

12 Example 3 Suppose EPS = $5.00 and R = 12.5% Compute Value & P/E ratio for following:

13 Example, cont. Company 1: r = 0 ==> D 1 = 5.00 g = ROE x r = 15% x 0 = 0 P 0 = 5/( ) = $40.00 P/E = 40/5 = 8(= 1/R) capitalization rate

14 Example, cont. Company 2: r = 60% ==> D 1 =.4 x 5.00 = $2.00 g = ROE x r = 15% x.6 = 9% P 0 = 2/(12.5% - 9%) = $57.14 P/E = 57.14/5 = > 1/R

15 Example, cont. Company 3: r = 60% ==> D 1 =.4 x 5.00 = $2.00 g = ROE x r = 12.5% x.6 = 7.5% P 0 = 2/(12.5% - 7.5%) = $40.00 P/E = 40.00/5 = 8 = 1/R

16 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 P 0 = E/R + PVGO P 0 =

17 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)

18 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!

19 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 = P 0 - E/R = /.15 = Buy firm & increase value by setting r = 0 P 0 = 5/.15 = 33.33

20 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 )

21 Tugas Kerjakan dan kumpulkan pada Pert 06 Tugas 05-1 Tugas 05-2 Tugas 05-3