席勒市盈率估值法
1、Alternativevaluationratios
2、Thesevaluationratiosdeserveaspecialplaceamongforecastingvariablesbecausewehavesuchalongtimeseriesofdataontheseratios,andbecausetheyrelatestockpricestocarefulevaluationsofthefundamentalvalueofcorporations.EarningshavebeencalculatedandreportedbyUScorporationsforoverahundredyearsfortheexpresspurposeofallowingustojudgeintrinsicvalue.Dividenddistributiondecisionshavebeenmadebycorporationsforjustaslongwithasensethatdividendsshouldbesetinsuchawaythattheycanreasonablybeexpectedtocontinue.
3、耶鲁大学的罗伯特·席勒教授称他的估值方法来源于格雷厄姆,他发明了席勒市盈率来衡量市场估值。席勒市盈率即周期调整市盈率,与P/E通常计算方法不同,席勒P/E中的E是通胀调整后的十年均值。席勒市盈率是比市盈率更合理的市场估值指标,因为它消除了业务周期中利润变化所引起的波动。
4、所以对周期股的交易,很多投资人会这样总结,在低市净率或高市盈率时买进,高市净率或低市盈率卖出。叠加股价图来看,那就是你要在价格底部买进,暴涨后高位套现离场。
5、合理估值=企业10年平均净利润*合理市盈率
6、Webeganbyestimatingafirst-orderautoregressive(AR(1))modelforthelogdividend–priceratiousingour125observationsfortheperiod1872to19Wecorrectedtheregressioncoefficientforsmall-samplebiasusingtheKendallcorrection,obtainingacoefficientof0.Usingarandomnormalnumbergeneratorwiththeestimatedstandarderroroftheerrorterminthebias-correctedregression,andusingarandomnormalstartingvaluewhosevarianceequalstheunconditionalvarianceforthisAR(1)model,wegenerated125observationsofasimulatedAR(1)logdividend–priceratio.Next,wegenerated125observationsofasimulatedrandomwalkforthelogrealstockprice,usingarandomnormalnumbergeneratorwiththeestimatedstandarddeviationoftheactualchangeinthelogrealprice.Intheactualdata,changesinthestockpriceandinthedividend–priceratiohaveanegativecovariance;wealsomatchedthiscovarianceinourartificialdata.Finally,wegeneratedalogrealprevious-yeardividendbyaddingthelogdividend–priceratioandthelogstockprice.(席勒市盈率估值法)。
7、Hetellsastoryinwhichtheaccumulationofe-capitalinthe1990’sexplainsthemuchhighermeasuredprice–earningsratiosaswellasthehigherwagespaidtocollegegraduates(whocreatee-capital)relativetothewagespaidtothosewhodidnotgradu-atefromcollege.Hisstoryisalsoconsistentwiththefactthatgainsinmeasuredproductivityinthelate1990shavebeenmodest,wellbelowthegainsofthe1950sand1960s.
8、=499181/29317=55较静态市盈率的3828有所变大,增幅76% 。
9、Giventhelowvalueforthedividend–priceratioatthestartof2000,theregressioninthebottompanelofFigure3impliesadeclineof0.6inthelogrealstockpriceoverthenexttenyears.Thiscorrespondstoa55%lossofrealvalue.
10、市盈率估值法。首先股票中的市盈率(PE)在股市中市值每股的市场价格和每股盈余(EPS)的比率,市盈率=股票收盘/每股收益。市盈率估值法属于相对的估值法。
11、腾讯给30倍市盈率2000亿*30=6万亿
12、尽管估值比率具有历史稳定性,但一些市场观察家质疑历史模式是否可以为未来提供可靠的指导。提出了各种论据来证明金融市场正在进入“新时代”的观点是正确的。其中一些论点与公司财务政策有关,而另一些则与投资者行为或美国经济结构有关。我们现在简要回顾其中的一些论点。
13、Dividend–priceratioshavenormallymovedinarangefrom3%toabout7%,withameanof65%andoccasionalmovementsuptoalmost10%.Veryrecentlythedividend–priceratiohasfallentoarecordlowof2%,wellbelowthehistoricalrange.
14、而SEG看未来在48V的推广情况,目前48V电机的逆变器技术在2023年前仍然使用的是博士的技术,到2024年以后就换成自己的,现在大概每年有2-3亿欧元订单。
15、当年合理估值=企业10年平均净利润*合理市盈率
16、尽管有这些发展,我们相信我们最初的证词和文章在今天更加相关。2000年,估值比率上升到绝对前所未有的水平,并且仍然与2001年初撰写本文时几乎一样高。即使考虑到经济和金融市场发生一些结构变化的可能性,这些比率也意味着股市前景不佳的理由比以往任何时候都更加明显。为了强调这一信念,我们在这里提出我们1998年文件的扩展版本,其中的数据更新到2000年。
17、GoetzmannandJorion(1993)useadifferentapproach.Theyconstructartificialdatausingrandomlygeneratedreturnsandhistoricaldividends,whichofcoursearefixedacrossdifferentMonteCarloruns.Theycombinethesetwoseriestogetrandompathsfordividendyields.Theproblemwiththismethodologyisthatitproducesnonstationarydividendyieldsthathavenotendencytoreturntohistoricalaveragelevels.ThusGoetzmannandJorionavoidtheneedfordividendyieldstoforecasteitherdividendgrowthorpricegrowth;intheirsimulationsstockpricesareequallyuninformativeaboutfundamentalvalueandaboutfuturereturns.GoetzmannandJorionalsoconfinetheirattentiontohorizonsoffouryearsorless.Largelong-horizonregressioncoefficientsandRstatisticsoccursomewhatmoreoftenintheGoetzmann–JorionMonteCarlostudythanintheNelson–Kimstudy,butthefour-yearresultsintheactualdataremainquiteanomalous.
18、如图2所示,低市盈率指数的收益表现明显高于中市盈率指数,而中市盈率指数的收益表现又明显好于高市盈率指数,这个现象很好地说明了PE低的股票长期表现要好于PE高的股票。
19、过去有效的预测关系现在也可能不再有效。但这些比率不是昨天发现的预测变量,事后。它们是上个世纪不断讨论的事前预测关系。
20、股票市场的流行评论员通常通过参考对未来生产率增长的预期来证明高估值比率是合理的,即未来每工时产出的增长,好像生产率是公司价值的另一个指标。他们指出1990年代后半期生产率的快速增长,并认为股票市场合理地预期这种趋势会继续,甚至会加速。这种论点的一个难点在于,未来更高的每小时产量可能工人或创建新公司的企业家,而不是现有公司的所有者。尽管如此,有趣的是,股票市场在历史上是否预测过生产率增长的变化。我们可以通过用生产率增长代替收入增长作为预测变量来扩展我们之前的分析。图7的上图显示了非农住房私营经济每小时实际产出的对数,以及相同的对数我们在图4中绘制的实际收益序列。
21、Figures5and6havethesameformatasFigures2and3,exceptthattheratioofpricetoaten-yearmovingaverageofrealearningsappearsonthehorizontalaxisofeachscatterplot,andwelookatthegrowthrateoftheten-yearmovingaverageofearningsratherthanthegrowthrateofdividends.Theprice-smoothed–earningsratiohaslittleabilitytopredictfuturegrowthinsmoothedearnings;theRstatisticsare1%overoneyearand5%overtenyears.However,theratioisagoodforecasteroften-yeargrowthinstockprices,withanRstatisticof30%.Thefitofthisrelationissubstantiallybetterthanwefoundforthedividend–priceratioinFigure
22、对于小散户来说,能大概搞清楚行业或企业未来三年可能发生的事情,就已经很了不得了。
23、Werepeatedthisexercise100,000times.Ineachiteration,weusedtheartificialdatatoproducescattersandregressionlinesbasedon125observationslikethoseshowninthetoppartofFigureWefoundthattheaveragenumberofcrossingsofthemeanofthedividend–price ratiowas5,notfarfromthenumberof29observedwithouractualdata.Butin100,000iterationswefoundthattheslopeoftheregressionlineshowninthetoppartofFigure1wasalmostalwaysmuchmorenegativethantheestimatedslopewiththeactualdata.Theestimatedslopeintheartificialdatawasgreaterthantheestimatedslopewithactualdata(–0.04)only0.02%,twohundredthsofonepercent,ofthetime.TheestimatedregressioncoefficientintheseMonteCarloiterationstendedtobeclosetominusone,veryfarfromthealmost-zeroslopecoefficientrepresentedbythelineinthefigure.Inthisrespect,ourMonteCarloresultsareextremelydifferentfromtheresultswiththeactualdata.WeconcludethatourresultinthetoppartofFigure1isindeedanomalousfromthestandpointoftheefficient-marketstheory.
24、汽车零部件净利润分别为,56亿元、-2亿元、-7亿元、1022万元。
25、Also,itmaynotbecorrecttothinkofinvestors’attitudesasshiftingonlyslowly,inreactiontolong-rundemographicchanges.Economicconditionsmayalsobeimportant.Itisnoticeablethatstockpricestendtobehighrelativetoindicatorsoffundamentalvalueattimeswhentheeconomyhasbeengrowingstrongly.ThistendencyisvisibleinFigurehighprice–earningsandprice–smoothed-earningsratiosandlowdividend-priceratiosarecharacteristicofperiods,suchasthe1920s,1960s,andmid-1990s,whenrealearningshavebeengrowingrapidlysothatcurrentearningsarewellabovesmoothedearnings.Ifeconomicgrowthingeneral,orearningsgrowthinparticular,influenceinvestors’attitudesthenweakereconomicconditions couldrapidlybringpricesbackdowntomorenormallevels.
26、Campbell和Shiller(1989)、Goetzmann和Jorion(1993)、Nelson和Kim(1993)以及Kirby(1997)报道了与本文中的结果判断相关的其他蒙特卡罗实验。Nelson和Kim(1993)从股票收益的向量自回归(VAR)和滞后收益和收益率的股息收益率中生成人工数据。人为的股票回报系列被构建为不可预测的,但与股息收益率的创新相关。Campbell和Shiller(1989)采用了类似的方法。Nelson和Kim发现,如果预期股票回报确实是恒定的,那么10年回归系数和Rstatistics极不可能像实际数据中发现的那样大。Campbell和Shiller的结果与这一发现一致。
27、InFigure3,however,wherethehorizonistenyearsratherthanoneyear,manyofthepatternsofFigure1becomeapparentagain.JustasinFigure1,thereisonlyaveryweakrelationbetweenthedividend–priceratioandsubsequentten-yeardividendgrowth.InfacttherelationinFigure3isevenlessconsistentwiththeefficient-marketstheorythantherelationinFigure1,becausetheFigure3relationispositive,implyingthatdividendstendtomoveinthewrongdirectiontorestorethedividend–priceratiotoitshistoricalaveragelevel.JustasinFigure1,thereisasubstantialpositiverelationbetweenthedividend–priceratioandsubsequentten-year pricegrowth.TheRstatisticsareatrivial1%fordividendgrowthbut9%forpricegrowth.
28、Weconcludedinthe1998versionofthispaperthattheconventionalvaluationratios,thedividend–priceandprice-smoothed–earningsratios,haveaspecialsignificancewhencomparedwithmanyotherstatisticsthatmightbeusedtoforecaststockprices.In1998theseratioswereextraordinarilybearishfortheUSstockmarket.Theratiosareevenmoresonow.
29、Weshouldfirstunderstandwhatthestabilityofavaluationratioitselfimpliesaboutmeanreversion.Ifweacceptthepremiseforthemomentthatvaluationratioswillcontinuetofluctuatewithintheirhistoricalrangesinthefuture,andneithermovepermanentlyoutsidenor getstuckatoneextremeoftheirhistoricalranges,thenwhenavaluationratioisatanextremeleveleitherthenumeratororthedenominatoroftheratiomustmoveinadirectionthatrestorestheratiotoamorenormallevel.Somethingmustbeforecastablebasedontheratio,eitherthe numeratororthedenominator.Forexample,highpricesrelativetodividends—alowdividend–priceratio—mustforecastsomecombinationofunusualincreasesindividendsanddeclines(oratleastunusuallyslowgrowth)inprices.
30、Sincestockpriceincreasesdriveupprice–earningsratiosanddrivedowndividend–priceratios,itisnotsurprisingthatthetwoseriesinFigure4generallymoveoppositetooneanother.
31、对这家央企,个人了解很少,只知道其业绩波动极大。2016年公司拥有集装箱运力约165万TEU,五年后则增长至接近300万TEU。公司业绩也由当时的巨亏,凭借涨价,提升到这两年的千亿水平。
32、这两年,由于双碳等ZC鼓励,国内对新能源电动车的需求锐增,加上锂盐供给周期比较长,短期内供不应求,2021年初至今,国内锂价暴涨,从5万元/吨升到50万/吨。
33、另外,还是个人建议,还可以根据公司的财务状况继续对以上估值法进行修正,比如类似移动这样的大央企,账户上不单没有一分钱有息负债,还留存大量现金,常年保持充裕的现金流,那么投资人就无需对这类标的物再打折了。
34、周期股,是一个股票大类,对所有业绩会随着经济周期的波动的股票的统称。周期股的特征,就是业绩存在周期交替,会呈现出明显的波峰和波谷。行情好的时候,赚得盆满钵满,行情差的时候,亏得一塌糊涂。
35、Metaphorically,whenoneismountaineering,onecanenjoytheexhilaratingviewfromhighuponamountain,andmaylookforwardtothepossibilityofdiscoveringawayuptoamuchhigherlevel.Butonewillreflectthat,realistically,atarandomdateyearsfromnow,onewillprobablybebackdownatgroundlevel.
36、Popularcommentatorsonthestockmarketoftenjustifyhighvaluationratiosbyreferencetoexpectationsoffutureproductivitygrowth,thatis,futuregrowthinoutputpermanhour,asifproductivitywereanotherindicatorofthevalueoffirms.Theypointtorapidproductivitygrowthinthesecondhalfofthe1990sandarguethatthestockmarketrationallyanticipatesacontinuation,orevenanacceleration,ofthistrend.Adifficultywiththislineofargumentisthathigheroutputpermanhourinthefuturemaywellaccruetoworkers,ortotheentrepeneurswhocreatenewfirms,ratherthantotheownersofexistingfirms.Nonethelessitisinterestingtoaskwhetherthestockmarkethashistoricallypredictedvariationsinproductivitygrowth.Wecanextendourpreviousanalysisbysubstitutingproductivitygrowth,inplaceofearningsgrowth,asthevariabletobeforecasted.ThetoppanelofFigure7showsthelogofrealoutputperhourforthenonfarmhousingprivateeconomy,alongwiththesamelogrealearningsseriesweplottedinFigure
37、既然格力电器的市盈率比美的集团的要好,为什么买美的集团的股票反而更赚钱呢?
38、所以,为何于2021年1月19日时发文称,当时的陕鼓动力100亿大概就是公司的打底市值,就是这么来的,然后可以拿到200亿以上。
39、理想卖点为合理估值的150%或者当年动态市盈率50倍选择低一些的为卖点。
40、Insupportofthislineofthought,ithasbeenpointedoutthatthedividend–priceratioshowssomeevidenceoftrenddeclineduringthewholeoftheperiodsinceWorldWarII.Theappearanceoflong-runstabilityinthisratioinFigure4wouldbemuchweakerifthefigurebeganinthemid-20thCenturyratherthanin18Ontheotherhandlong-runtrendsinstock-marketparticipationarenotplausiblecandidatestoexplainthesharprun-upinstockpricesduringthelate1990s.
41、作为国际航运龙头,公司凭借这两年的业绩兑现而产生的高额利润,公司数次发布分红公告,比如说今年就一共分红两次合计每股88元。相对于最近10个月的平均前复权价格,折合股息率高达20%。对于资本市场来说,这就相当诱人了。
42、至于第二大类周期股,这对投资人的深研或预判能力相对要低一些。因为可以通过时间来平滑短期业绩波动,所以投资人更看重的是历史和现在而非未来,不过这对估值会提出更高的要求。
43、你要说国内锂盐行业未来前景一片大好,不是小好是大好。那么2019年行业开工率低至1%的事情,还会重演吗?这两年价格暴涨10倍,中下游制造业叫苦不迭,这种涨价行情能维持到2025年也就是公司新产能投产吗?
44、特别声明:以上分析纯属作者个人观点,不做任何推荐,请勿以此做为交易依据。
45、 格雷厄姆在1934年《证券分析》一书中,为了检验估值比例(市盈率),应该用不少于5年,至少7年或10年的平均盈利,强调企业的长期盈利能力。
46、图1:人们常说的安全边际、内在价值与市场价格,是为价值投资者的一种常见思考维度