Stock Valuation

Slide 1
 Stock Valuation
• Preferred Stock
– Features
– Valuation
– Expected return on a preferred stock
• Common Stock
– Characteristics
– Valuation – single and multiple periods
– Expected return on a common stock
• Sources of change in stock prices
Slide 2
 Stock Valuation
• In general, the intrinsic value of an asset is the
present value of the stream of expected cash
flows discounted at an appropriate required
rate of return.

Slide 3
 Tujuan penilaian saham
• Saham adl aset finansial yg dpt dijadikan
investasi
• Penilaian saham dilakukan utk menentukan
apakah saham yg akan dibeli/ jual akan
memberikan tingkat return yg sesuai dg tgkt
return yg diharapkan.
• Nilai saham dibedakan menjadi: nilai buku,
nilai pasar, dan nilai instrinsik.
 Nilai buku (book value)
• Nilai buku per lembar saham adl nilai aktiva bersih (net
assets) yg dimiliki pemilik dg memiliki satu lembar
saham.
• Dilihat dr laporan keuangan perusahaan yg
bersangkutan.

Total Ekuitas
Nilai buku 
Jumlah saham biasa yg beredar

Love you
 Nilai pasar (Market value)
• Harga saham di bursa saham pd saat tertentu.
• Ditentukan oleh permintaan dan penawaran
saham yg bersangkutan di pasar bursa
 Nilai instrinsik (Intrinsic value /
Fundamental value)
• Nilai sebenarnya/ seharusnya dr suatu saham.
• Calon investor menghitung nilai instrinsik
saham utk memutuskan strategi investasinya.
• Jika nilai pasar > nilai instrinsik  overvalued
 jual
• Jika nilai pasar < nilai instrinsik  undervalued
 beli
 Menentukan nilai instrinsik
• Analisis fundamental  menghitung nilai
instrinsik menggunakan data keuangan
perusahaan
• Analisis teknikal  menghitung nilai instrinsik
dr data perdagangan saham (harga dan
volumen penjualan) yg telah lalu.
 Analisis teknikal
• Terdapat pola pergerakan harga saham yg diyakini akan
berulang.
• Menggunakan grafik (chart) utk menemukan pola pergerakan
harga saham.
• Support level  tgkt/ kisaran harga, pd saat analis
mengharapkan akan terjadi peningkatan yg signifikan atas
permintaan saham di pasar (lower boundary = batas bawah)
• Resistance level  tgkt/ kisaran harga, pd saat analisis
berharap terjadi peningkatan yg signifikan atas penawaran
saham di pasar (upper boundary = batas atas)
 Tahapan analisis fundamental
Proses analisis “Top-down” :
• Analisis ekonomi dan pasar modal
• Analisis industri
• Analisis perusahaan
 Analisis Ekonomi
• Terdapat hubungan yg erat antara kondisi
ekonomi global dan nasional terhadap kinerja
pasar modal suatu negara, apalagi terhadap
suatu perusahaan
• Menganalisis variabel ekonomi makro suatu
negara, spt: Produk domestik bruto (GNP),
Tingkat pengangguran, tingkat inflasi, kurs
valuta asing, investasi swasta, dan tingkat
bunga.
 Analisis industri
• Diperlukan utk memilih industri yg memiliki prospek yg
menguntungkan.
• Beberapa penelitian menyebutkan;
a) Industri yang berbeda mempunyai tingkat return yang
berbeda
b) tingkat return masing2 industri berbeda disetiap tahunnya
c) Tingkat return perusahaan-perusahaan di suatu indutri
yang sama, terlihat cukup beragam
d) tingkat risiko industri juga beragam
e) tingkat risiko suatu industri relatif stabil sepanjang waktu
• Daur hidup industri (dikaitkan dg nilai
penjualan): Thp Permulaan  Pertumbuhan
 Kedewasaan  Stabil  Penurunan
• Persaingan dalam industri  Michael Porter
Five Forces of Competitive  Internal Rivalry,
New Entrants, Supplier, Consumers, dan
Substitution.
 Analisis perusahaan
• Present value approach  nilai saham dihitung dg
mendiskontokan arus kas masa depan yg diterima
investor (diwakili o/ dividen)  dividend
discounted model


Arus Kast
Po   t
t 1 (1  k )
• P/E ratio approach  rasio hg pasar saham thd
laba  menunjukkan berapa besar investor
menilai harga saham dr kelipatan laba yg
dilaporkan perusahaan.

Harga per lembar saham P

PER  
Laba per lembar saham E
• 2 komponen utama dalam menganalisis
perusahaan
• Earning per share dan Price Earning Ratio
• Kedua komponen dpt dipakai mengestimasi
nilai instrinsik saham
• Dividen yang dibayarkan berasal dari earning
• Ada hubungan antara perubahan earning
dengan perubahan harga saham
 Preferred Stock
• A hybrid security:
– it’s like common stock – no fixed maturity
– technically, it’s part of equity capital
• it’s like debt – preferred dividends are fixed
– missing a preferred dividend does not constitute default,
but preferred dividends are cumulative
• Dividends are fixed either as a dollar amount or as a
percentage of par value.
– Example: In 1988, Xerox issued $75 million of 8.25%
preferred stock at $50 per share
– $4.125 is the fixed, annual dividend per share

Slide 18
 Preferred Stock Features
• Firms may have multiple classes of preferreds,
each with different features
• Priority: lower than debt, higher than
common stock
• Cumulative feature: all past unpaid preferred
stock dividends must be paid before any
common stock dividends are declared

Slide 19
 Preferred Stock Features (Continued)
• Convertibility: many preferred stocks are convertible into
common shares
• Adjustable rate preferred stocks have dividends tied to
interest rates
• Participation: some (very few) preferred stocks have
dividends tied to the firm’s earnings
• PIK Preferred: Pay-in-kind preferred stocks pay additional
preferred shares to investors rather than cash dividends
• Retirement: Most preferred stocks are callable, and many
include a sinking fund provision to set cash aside for the
purpose of retiring preferred shares

Slide 20
 Preferred Stock Valuation
• A preferred stock can usually be valued like a
perpetuity:
D
V ps 
k ps
D  the constant dividend payment
V ps  the value of the preferred stock
k ps  the required return

Slide 21
Derivation of Zero Growth Equation
Zero Growth :
D1 D2 D3 Dn
V ps  1
 2
 3
 .... 
( 1  k ps ) ( 1  k ps ) ( 1  k ps ) ( 1  k ps )n
D  D0  D1  D2  D3  ......  Dn
D D D D
V ps  1
 2
 3
 ....  (Equation 1)
( 1  k ps ) ( 1  k ps ) ( 1  k ps ) ( 1  k ps )n
Multiply each side by (1  r)
 D D D D 
V ps  ( 1  k ps )   1
 2
 3
 ....    ( 1  k ps )
 ( 1  k ps ) ( 1  k ps ) ( 1  k ps ) ( 1  k ps )n 
 D D D 
V ps  ( 1  k ps )   D  1
 2
 ....  n -1 
(Equation 2)
 ( 1  k ps ) ( 1  k ps ) ( 1  k ps ) 
Subtract Equation 1 from Equation 2.
Starting second term of equation 2 and first term of equation 1.
Assuming a large number of periods;
 D D   D D  
V  ( 1  k ps )- V ps  D   -  - ...
 ( 1  k ps ) ( 1  k ps )   ( 1  k ps ) ( 1  k ps )  
ps 1 1 2 2

V ps  ( 1  k ps )- V ps  D
V ps  V ps k ps - V ps  D
V ps k ps  D
D
V ps 
k ps Slide 22
 Example
• Xerox preferred pays an 8.25% dividend on a
$50 par value
• Suppose our required rate of return on Xerox
preferred is 9.5%

D $4.125
V ps    $43.42
k ps 0.095

Slide 23
Expected Rate of Return on Preferred
• Just adjust the valuation model:
D
k ps 
P0
k ps  the expected return
P0  the current market price
• If we know the preferred stock price is $40,
and the preferred dividend is $4.125, the
expected return is:
D $4.125
k ps    0.1031
P0 $40.00 Slide 24
 Common Stock
• Variable-income security
– Dividends may be increased or decreased,
depending on earnings
• Represents equity or ownership
• Includes voting rights
• Limited liability: liability is limited to amount
of owners’ investment
• Priority: lower than debt and preferred
Slide 25
 Common Stock Characteristics
• Claim on Income – a stockholder has a claim
on the firm’s residual income
• Claim on Assets – a stockholder has a residual
claim on the firm’s assets in case of liquidation
• Preemptive Rights – stockholders may share
proportionally in any new stock issues
• Voting Rights – right to vote for the firm’s
board of directors

Slide 26
 Common Stock Valuation
(Single Holding Period)
• You expect XYZ stock to pay a $5.50 dividend
at the end of the year. The stock price is
expected to be $120 at that time.
• If you require a 15% rate of return, what
would you pay for the stock now?

? $5.50 + $120.00

0 1
Slide 27
 Common Stock Valuation
(Single Holding Period)
Becasue we have cash flows for only one year,
we can simply discount them back to today :
D1  P1
Vcs 
(1  kcs )
$5.50  $120.00
Vcs   $109.13
(1.15)
N I/Y P/Y PV PMT FV MODE
1 15 1 -109.13 0 125.50
Slide 28
 Common Stock Valuation
(Multiple Holding Periods)
• Constant Growth Model
• Assumes common stock dividends will grow at
a constant rate into the future.
D1 D (1 g )
Vcs  or Vcs  0
k cs  g kcs  g
where
Vcs  Value of the common stock
D0  the most recent dividend payment
g  the constant growth rate of dividends
D1  the next year' s dividend
kcs  the required return Slide 29
Derivation of Constant Growth
Equation
Vcs is replaced by P0
Constant Growth :
D0  ( 1  g )1 D0  ( 1  g )2 D0  ( 1  g )3 D0  ( 1  g )n
V ps     ....  (Equation 1)
( 1  kcs )1 ( 1  kcs )2 ( 1  k cs )3 ( 1  k cs )n
( 1  kcs )
Multiply each side by
(1 g )
( 1  k cs )  D0  ( 1  g )1 D0  ( 1  g )2 D0  ( 1  g )3 D0  ( 1  g )n  ( 1  k cs )
V ps      ....  
( 1  g )  ( 1  k cs )1 ( 1  kcs )2 ( 1  kcs )3 ( 1  k cs )n  ( 1  g )
( 1  k cs )  D  ( 1  g )1 D0  ( 1  g )2 D0  ( 1  g )n-1 
V ps    D0  0   ....   (Equation 2)
(1 g )  ( 1  kcs )1 ( 1  kcs )2 ( 1  kcs )n-1 
Subtract Equation 1 from Equation 2,
starting second term of equation 2 and first term of equation 1.
Assuming a large number of periods;
 V ps  ( 1  kcs )   D  ( 1  g )1 D0  ( 1  g )1   D0  ( 1  g )2 D0  ( 1  g )2  
  - V ps  D0   0  ...
 (1 g )   ( 1  kcs )
1
( 1  k cs )1   ( 1  k cs )2 ( 1  k cs )2  
V ps  ( 1  k cs )
- V ps  D0
(1 g )
V ps  ( 1  k cs ) V ps  ( 1  g )
-  D0
(1 g ) (1 g )
( V ps  ( 1  k cs )) - ( V ps  ( 1  g ))
 D0
(1 g )
V ps  V ps kcs - V ps - V ps g  D0  ( 1  g )
V ps ( kcs - g )  D0  ( 1  g )
D0  ( 1  g ) D1 Slide 30
V ps  
kcs - g k cs - g
 Example
• XYZ stock recently paid a $5.00 dividend. The
dividend is expected to grow at 10% per year
indefinitely. What would we be willing to pay
if our required return on XYZ stock is 15%?
D0 (1  g ) $5.00(1  0.10)
Vcs    $110 .00
kcs  g 0.15  0.10

Slide 31
Expected Return on Common Stock
• Just adjust the valuation model
D1 D0 ( 1  g )
kcs   g or kcs  g
Po Po
D1
 the expected dividend yield
P0
P0  the current stock price
g  the expected capital gain yield
kcs  the expected return
Slide 32
 Example
• We know a stock will pay a $3.00 dividend at
time 1, has a price of $27 and an expected
growth rate of 5%

D1 $3.00
kcs  g   0.05  0.1611
Po $27.00

Slide 33
 Sources of Change in Stock Prices

Change in
expected
Change dividends
in stock
price Change in
alternative
Change in opportunities
required
return
Change in
risk
Slide 34