CFA 二级总复习串讲

Financial Reporting and Analysis

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 韩霄
• 工作职称：金程教育资深培训师
• 教育背景：南京大学外国语学院 主修英语专业、副修国际金融专业 ；美国特许金融分析师
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2-102
 Framework
R16 Intercorporate Investments
SS5: Financial Reporting and
Analysis: Intercorporate
R17 Employee Compensation: Post-Employment
Investments, Post-Employment
and Share-Based Compensation, and Share-Based
and Multinational Operations
R18 Multinational Operations

SS6 Financial Reporting and R19 Evaluating Quality of Financial Reports

Analysis: Quality of Financial
Reports and Financial Statement
Analysis R20 Integration of Financial Statement Analysis
Techniques

3-102
 R16

Intercorporate Investments

4-102
 Financial Business
Associates Joint Ventures
assets combination
Degree of
No significant Significant Control Shared control
Influence
Typical %
<20% 20% - 50% >50% Varies
Interest
Term of
N/A Associate Subsidiary N/A
investee
x Equity Method;
GAA
PIERS
极少情况下:
Treatment Cost or Market Equity Method Consolidation
Proportionate "
consolidation IF RS

5-102
 Financial Assets

Held-to-Maturity--->只可能是Debt
Financial assets Available-for-sale Trading Securities
分类 Fair value through P/L Designated at fair value

Held-to-Maturity Available-for-sale Trading Securities

B/S初始计量 Amortized cost Fair value Fair value
期间收益--->Interest I/S I/S I/S
期间收益--->Dividend 无--->只有Debt才是 HTM I/S I/S
期间收益--->Realized G/L I/S I/S I/S
B/S--->OCI：
例外：只有投资外
期间收益--->Unrealized G/L 无，不按Fair value调整 I/S
国债券的FX在IFRS下
计入I/S。
会计计量总体 IFRS与U.S.GAAP相同。只有投资外债的 IFRS在AFS的FX变化部分计入 I/S特殊。

IFRS下只有HTM与AFS可互相重分类
重分类
U.S.GAAP下只有HTM与TS不可互相重分类
6-102
 Financial Instrument --Impairment
IFRS
减值测试 Carrying amount > PV of CF
HTM 减值处理 Impairment loss is recognized on I/S
减值回转 Reversal of impairment is also recognized through I/S
减值测试 Carrying amount>Fair value
AFS 减值处理 Cumulative loss in OCI is reclassified to I/S
Debt: recognized through I/S
减值回转
Equity: can NOT be reversed through 1/5，but through OCI
TS 不做减值，因为价值变动直接 计入I/S
US.GAAP
减值测试 判断 Write down 是否暂时 摊销 基础 改变
HTM 减值处理 Loss is recognized on I/S，减值后fair value成为new cost basis
减值回转 不能减值转回
减值测试 判断 Write down 是否暂时
Cumulative loss in OCI is reclassified to I/S，减值后Fair value成为
AFS 减值处理
New cost basis
减值回转 减值不能转回, 后续 Fair value 回升作计入OCI
TS 不做减值，因为价值变动直接 计入I/S
7-102
 Associate
初始计量 B/S上按Acquisition Cost记Investment BU-toooFUiuo.yBVdepyooFVdepion.to

已用 2年

tpupt.to
,

不摊销，每 Goodwill

Ni
"
年减值测试 Fair value 亿 ⒯ 一

Appreciation Acquisition
Equity Method Fair value of net cost
Book value
identifiable assets
of net
基于Fair value of Fvcjxed intangible
)

(equity
Told GW )
identifiable io B v → .

Guion side nation 7

计算及会计 0 interoperate transaction
一

assets /
-

处理 One-line Consolidation investment cost NI 呢

= t Dini
一

• Share result : 被投资企业的 NI按比例计入投

资方的I/S中的 investment income，同时增加
后续计量 B/S的investment
• Dividend: 被投资企业分红增加投资方的
Cash ，并减少B/S的investment

Impairment→IFRS与US. GAAP都不可reversal
Transaction with associates → Upstream & Downstream→原则:unrealized profit要消
除。→计算 8-102
 Business Combination

/ acquisition
原理 • 被收购方的 asset与liability全部计入收购方 B/S，不
Consolidation 属于收购方的计入MI (B/S上少数股东权益)
会计计量 • 被收购方期间 NI全部计入收购方 I/S。不属于收购方
计算及会计处理 的计入MI (I/S上少数股东损益) A 8 热 3 ( 1
。

• 关联方交易 unrealized profit去除

器 ¥
0

equyFV-to.es
丁

Caw
二 4 00
_ 10 0 0

full MI : zero

partial
ME full
=
' to
0
3
Goodwill 些 热
笟
靠
'
partial partial MI 10 two -1
二 一
0

Goodwill = Acquisition cost - Fair value of identifiable assets and liabilities of the target
:
会计处理 会计计量→计算
Not amortized US GAAP→ Full goodwill
IFRS→Partial or Full goodwill
Impairment test at least annually
Negative Goodwill→gain in I/S

VIE特征 → 也用Consolidation方法 SPE and VIE SPE 缺少 下 任 条 就是 炸 要consolidation

一
,

1.At-risk equity is insufficient • Decision making rights

2. Equity investors lack any one of • The obligation to absorb losses
the following: IF 125 is 阼 必 consolidation • The right to receive expected residual returns
GAAR qualifying 不用 9-102
 ( 小于 1 a ? )

NI
一
样
 Joint Venture

Equity method
会计处理 很少会有Proportional consolidation方法→ 与Consolidation method
基本相同，只是不计入 MI影响 没有 MI 科目

三种方法对财务的影响

指标
三种方法对财务的影 影响
响 NI AII three methods report the same net income

Equity and proportionate consolidation report the same equity

Equity
Consolidation method equity will be higher→MI
Highest under the acquisition method
Assets and liabilities Lowest under the equity method
Proportionate consolidation is in-between
Highest under the acquisition method
Sales Lowest under the equity method
Proportionate consolidation is in-between

10-102
 R19

Employee Compensation: Post-Employment and Share-Based

11-102
 Defined-contribution pension plan
Defined-benefit pension plan
结构 Other post-retirement benefits→类似DB
Share - based compensation
DC DB OPB 二 D B 医疗

Not determined;
Amount of Depends on
Depends on future value of Pre-determined
benefit specifications of plan
plan assets
Investment risk Born by employee Born by employer Depends

Employer's Make periodic Make pre-determined Similar to DB

obligation contributions payment to retiree Usually unfunded

1.DC plan
• Employer make periodical contributions to specific accounts;
• The contribution made by employer is fixed or pre-determinab|e;
• The obligation of employers is make contribution on time;
• The amount received by employees after retirement depends on the fair value
of the specific accounts accumulated → employee承担投资风险
• The accounting for DC plan is quite simple, expensed as incur.
12-102
 DB Plan
计算PBO IFRS叫PVDBO 计算图解 → 会计算
Current Servicing Date of Payment of
B/S date period retirement pension

……

Discounting PV of Pension
PBO
payment

13-102
 o funded status

a 计算 item

3
benefit paid
DB Plan

DB Plan 在B/S上计量→会计算

Plan Assets PBO

Fair value at the beginning of the year PBO at the beginning of the year IFRS and US GAAP
（＋）Employer Contributions （＋）Service cost 要求
（＋）Actual return （＋）Interest cost
（-）Benefit paid to employee （＋）Past services cost（plan Funded status计入公司B/S
= fair value at the end of the year amendments during the year Surplus→net pension asset
（＋）Actuarial losses Deficit→ net pension liability
（-）Actuarial gains during the year
（-）Benefit paid to employees
=PBO at the end of the year
Difference is funded status of the plan
Plan asset> PBO→Overfunded plan
Plan asset< PBO→Underfunded plan

14-102
DB Plan 在I/S上计量--->会计算 Periodic Pension Cost --->掌握IFRS与U.S.GAAP区别
科目 计量
•The present value of benefits earned by the employees during the current period;
Current service cost
• U.S.GAAP与IFRS相 同，都计入I/S.
• Increase in the PBO due to the passage of time;
Interest cost •IFRS: Net pension liability/asset X discount rate of pension liability--->Net interest;
expense/income is recognised in P&L--->Asset return=Liability 折现率;
•U.S.GAAP : PBO X discount rate--->Asset与Liability分开考虑.
Expected return on •IFRS: 无这一项，因为假设Asset return=Liability折现率 ，直接体现在 Net
plan asset expense/income 上;
•U.S.GAAP : 资产有单独的Return, 抵减Interest cost.
•Actuarial gains and losses计入OCI--->产生原因
Amortization of An increase or decrease in the PBO from a change in actuarial;
actuarial gains and Difference between the expected return and actual return on plan assets
losses •Amortization of actuarial gains and losses;
IFRS: 不摊销.
U.S.GAAP : Amortized using the corridor approach--->Actuarial gains and losses
exceed 10% of the greater of the beginning PBO or plan assets，Amortization is
required.
•Past service costs--->The amount by which a company's pension obligation relating to
employees' service in prior periods changes as a result of plan amendments or a plan
Amortization of
curtailment;
past service costs
•IFRS:Past service costs are recognised as an expense in P&L--->不摊销.
15-102
•U.S.GAAP : 计入OCI--->摊销.
 DB
DB Plan计量的三个假设
Plan计量的三个假设

假设 内容
Interest rates of high quality corporate fixed income
Discount rate Investments with a maturity profile similar to the future
obligation.
Affects the PBO as well as pension expense.
Rate of compensation growth Affects both the PBO and pension expense
Expected return on plan assets The expected return is assumed only under US GMP.
Under IFRS, equal to the discount rate

变更假设影响
B/S liability Pension expense
Increase discount rate Decrease Decrease (not mature plan)
Decrease rate of compensation
Decrease Decrease
growth

Increase expected rate of return No effect Decrease (US GMP only)

16-102
 Other Post-employment Benefits

Assumption--->similar to DB Plan Compensation growth rate--->Healthcare inflation rate

Reduce the post-employment benefit obligation
•Decreasing the near term healthcare inflation rate,
o•Decreasing the ultimate healthcare trend rate or
•Reducing the time needed to reach the ultimate healthcare trend rate.
Share-based compensation
Disadvantages
Stock options • Do not provide desired incentives as
Equity settled
Stock grants the managers may have limited
形式 Stock appreciation rights influence over the market value;
Cash settled Phantom shares • Lead managers to be risk averse or
excessive risk-taking as they cares
about the market value;
• May dilute the shareholders'
interests.

17-102
 Stock Options-Call Option

Grant date Vesting date

2 0 15 . 6 30
. Ul 8 ,
12 . 31

The first date the employee can

Recognize1 the compensation expense actually exercise the option
vesting
over the service period based on: &
a option expense
7 5 0 5
Exp 10
201 5 二 0 ×

Fair value method

. .
.

Fair value of the stock option at the grant date (An option pricing
model can be used to determine the fair value of stock options)

• Call Option在grant date之后的公允价值变动与公司无关

• 执行期权时，有减税效应（执行期权，确认compensation expense，
费用增加 ，所得税费用减少，CFO增加)
敏感性影响
Sensitivity factor (Greek) Input ↑ Value of call
Vega Volatility(σ) ↑
Rho Risk-free rate (r) ↑
Theta Time to expiration (T) ↑
Dividend ↓
18-102
c = 1 4 5 一点
 Stock Grants

Grant date Vesting date

佮 员工 员工 可 卖

Recognize the compensation expense

over the service period based on:

Fair value of the stock option at the grant date

Transfer of stock without

• Vesting immediately at grant date
condition
Restricted stock • Transferred stock cannot be sold until vesting date

• Contingent on meeting performance goals (EPS，

Performance stock ROA，ROE，etc.)
• May result in manipulation

19-102
 Serveral Special Items 掌握分析师视角分析报表

调整内容 调整方法
• Pension A/L做netting原因:
• Employer承担投资风险
Gross vs Net Pension A/L • Operating asset与Pension asset分开管理
• 但是Netting会改变公司ratio评估，所以分析师要看在
gross情况下的ratio
Differences & Assumptions 与行业内其他公司比
IFRS Vs U.S.GAAP 主要区别在 OCI
U.S.GAAP--->One line
Differences in I/S
IFRS--->Various line items
CIF :
contributions CFO

to
以前 少 给
今年
。
20

筇
留
愁
些
蕊
彲
比 还
/ 相当 于 借 了 do
Analyst

20-102
 R20

Multinational Operations

21-102
 国际报表合并中常见货币

Currency Classification Definition Adoption in FS

The financial Statement prepared by

Currency of the country in the entity is usually in local currency
Local Currency
which the entity is located. (it's not the GAAP requirement but
usually regulatory requirement)

The functional currency best reflects

Currency of the primary
the “Substance" of the subsidiary
economic environment in
Functional Currency economic activities. In accordance with
which the entity generates
GAAP, the FS is recorded in functional
and expends cash.
currency
The entity's financial statement shall be
The currency in which the
Reporting Currency/ finally converted to reporting currency
entity reports its financial
Presentation Currency based on specific reporting
statement
requirement
USD → 7 (
1

USD1 …

22-102
 国际报表合并方法选择标准
Reporting Currency Reporting Currency
Reporting Currency
Current Method Current Method
Functional Currency Functional Currency
Functional Currency
independent Temporal Method
Local Currency integrated Temporal Method
Local Currency Local Currency
it nominal r

?
Hyperinflationary Economy合并方法选择 rf
1
一

⑷ ) ( it 人 ) (1 扪 ) 一 1 7 亿
,

Hyperinflation Economies定义--->years 3 and > cumulative 100% depreciation;(26%)

IFRS current
US.GAAP
•Monetary assets and liabilities are translated at ending rate; 其它 restate
•Temporal
•Non-monetary assets and liabilities are restated for changes in the general
method is
purchasing power of the monetary unit;
adopted as if
•AII components of equity are restated by applying the change in the general
the parent's
price level from the beginning of the period;
currency is the
AII I/S items are restated by applying the changes in the general price index
functional
from the dates when the items were originally recorded to the B/S date;
currency
•The net G/L in purchasing power that arise from holding monetary assets and
liabilities during a period of inflation is included in net income
23-102
 Temporal Method VS Current Rate Method --->掌握方法 --->计算

Temporal Method Current Rate Method

Monetary Assets/ Liabilities AIR Current Current
revenues Non-monetary assets/ ? A .

Historical Current
Liabilities c F 不 确定
B/S

uneameoi
Capital Historical Historical
R/E Balancing Balancing
Mixed (change in retained
Equity (as a whole) Current
earnings is mixed)
Sales and other expenses Average 折算 I 15

average
NI
tent
Average 1-

COGS Historical 2. 折算 3 5 equity

Average
3.REiREbtNI-Div.es
1 1 →

Depreciation & amor Historical Average historical

I/S Revenue and other expenses Average 4. equity Capital 任 Average -
-
1

1. 折算 31 5
1 → 1 2 1 Ee
historical = F × 4 人 0 C I
12 ( Eb NI Div

unrealized C 未 处置 )
2.
121 Ee =

Recognized in equity (B/S,

十 _

Recognized on I/S
严(Affecting retained
折算了
.
not through I/S) resulting in
Translation G/L
NI before Fx all CTA (cumulative translation
earnings，no CTA)
NI Fx一
GIL adjustment)
•Monetary Assets/Liabilities--->Cash, Receivable, Payable, Short & Long Term Debt
•Non-monetary assets/Liabilities---> Inventory, Fixed Assets, Intangible Assets
24-102
 Financial Ratio改变
Financial ratios under current rate method
Scenario Pure B/S and Pure I/S ratios B/S and I/S mix ratios
LC appreciating The same √ ROA, ROE, Turnovers: Lower
LC depreciating The same √ ROA, ROE, Turnovers: Higher
Comparison of ratios under 2 methods
LC Depreciating Temporal Current Rate
Current ratio ㄍㄥ 器 1g Higher Lower

䉹
Quick ratio Same Same
A/R turnover Same Same
Inventory turnover
Uncertain Uncertain
(LIFO FIFO uncertain)
Fixed Asset turnover 一
A Lower Higher
Gross profit margin Lower Higher
Net profit margin，ROE，ROA
Uncertain Uncertain
(translation gain/loss uncertain)
Interest coverage Lower Higher
Higher (equity used Mixed
LTD-to-Total capital Lower
rate)
25-102
 Several Special Items
Inventories & COGS under Temporal Method
•Under FIFO, the ending inventories are re-measured at relatively recent rate;
•Under LlFO, the ending inventories are re-measured at relatively older rate
概念
Retained Earnings

Tax Implications
FIFO early → co as

let Coast NIL

LIFO Let coast NIT

26-102
 R21

Evaluating Quality of Financial Reports

27-102
 框架
Financial Report Quality

评估I/S质量→ Earning 评估CF/S质量 评估B/S质量 I

Financial reprot Quality 两个评估维度

Financial Reportiing Quality
Financial Reportiing Quality High
Low
HIGH financial reporting quality enables
Earnings Quality
LOW financial reporting assessment.
High (Results)
quality impedes assessment HIGH earnings quality increases company value.
of earnings quality and HIGH financial reporting quality enables
Earnings Quality
impedes valuation. assessment.
Low (Results)
LOW earnings quality decreases company value.
sustainable
Potential problem 掌握常见问题
• Measurement and Timing Issues
• Classification Issues
• Biassed Accounting
• Business combination-acquisition method
• GAAP accounting but not economic reality
28-102
 评估报表质量方法

Beneish Model 掌握概念

-
M-score= Score indicating probability of earnings manipulation
=-4.84+DSR+GMI+AQI+SGI+DEPI-SGAI+Accruals-LEVI
Limitation of Beneish Model
The Beneish model relies on accounting data，which may not
reflect economic reality.
Managers may begin to game the measures used if they become
aware of the use of specific quantitative tools.

Altman Model

• 用来衡量公司破产概率
• 计算Z-score

29-102
 评估I/S质量→ Quality of Earning

Sustainable→衡量 Earning t Earningst

High-quality 1 1

earnings Adequate Earning t 1 Cash flowt

1 2 Accruals t

Revenue recognition
Issues Range of problems Warning SIgn
Revenue large increases in A/R, large decreases in
Early or delay revenue recognition
mísstatement unearned revenue
• Significant revenue without cash
collection;
Accelerate the recognition of
• Seeking for additional financing;
Accelerating revenue by reporting revenue in
• Significant options vested by
revenue current period that should be
management.
reported in future
• Maintain its track record of successively
meeting analyst forecasts
Temporal inconsistency with respect to the
Nonrecurring Report the non-recurring items or
included revenues and expenses in a
revenue non-operating gain as revenue.
company's definition of operating income

30-102
 Expense Recognition
Issues Range of problems Warning sign
• Aggressive depreciation or
Understating amortization method and
• Ratios of depreciation;
expenses(see ssumptions ;
• Inventory turnover ratios;
example 4) • Un-recorded allowance for obsolete
inventories
Deferring Improper capitalization of cost which Track growth in net non-current
expenses should be expensed. assets
Ordinary as Report the ordinary expenses or cost as
Check ratio: (sales - COGS - SG&A)
nonrecurring or non-recurring items or non-operating
/sales
non- operating losses.
评估CF/S质量
high-quality cash flow特征 评估CF quality方法
• Positive OCF
• Checking for unusual items that have not
• OCF derived from sustainable sources
shown up in prior years
• OCF adequate to cover capital
• Checking revenue quality
expenditures, dividends, and debt
• Checking for strategic provisioning
repayments
• OCF with relatively low volatility 31-102
 评估B/S质量
评估角度 评估方法
• Off-balance-sheet obligations
• A balance sheet with significant amounts of off-balance-sheet debt would lack the
completeness aspect of financial reporting quality.
Completeness • Take-or-pay contracts: obligate a party to either take delivery of goods or pay
a specified amount.
• Operating lease
• Intercorporate investments
• Unbiased measurement is a particularly important aspect of financial reporting quality
for assets and liabilities for which valuation is subjective .
• Value of the pension liabilitγ.
Unbiased • Value of investment in debt or equity of other companies for which a market value
measurement is not readily available.
• Goodwill value .
• Inventory valuation .
• Impairment of PP&E and other assets
• A company's financial statements can provide useful indicators of financial or operating
risk.
Clear
• While accounting standards specify which items should be included in the balance sheet,
presentation they do not typically specify how such items must be presented. (in determining which
line items should be shown separately and which should be aggregated into a single total)

32-102
 评估信息来源
信息来源 信息内容
• High leverage ratios (or, similarly, low coverage ratios) derived from financial
Financial statement data can signal financial risk.
statements • Highly variable operating cash flows or negative trends in profit margins can
signal operating risks.
• An audit opinion(s) can provide some information about reporting risk.
• Notice: an audit opinion relates to historical information and would not
Auditor's report
provide information on a timely enough basis to be a useful source of
information about risk.
Notes to
The notes typically contain information that is useful in understanding a
financial
company's risk.
statements
MD&A can give users helpful in assessing the company's risk exposures and
MD&A
approaches to managing risk
In the United States, SEC from If “NT" is filed when a firm is unable to file
SEC from“NT"
required reports in a timely manner.
The financial press can be a useful source of information about risk when a
Financial press financial reporter uncovers financial reporting issues that had not previously
been recognized.
33-102
 R22

Integration of Financial Statement Analysis Techniques

34-102
本章为一个综合的案例分析，只要掌握里面的几个分析点即可
分析点 分析方法
Source of earning 杜邦分析 如何 improved 提高 factor CEBIT kapral ,
去掉 最差 部门

Asset base分析 Common size presentation计算各项资产比例

分析 long term capital
Capital structure分析
分析 working capital
使用 proportional capital expenditures to proportional assets 分
Capital allocation分析 计算 析各子部门投资情况
比值 >1说明该部分以增加投资为主
分析 accrual ratio [email protected]
0 31 5
1 1

Earning quality分析 计算 • B/S approach

I 想
• CF/S approach NOA
average
Off balance sheet financing Operating lease 为常见表外项目 ，当做 financing lease处理

35-102
 CFA 二级总复习串讲
Corporate Finance

网址：WWW.GFEDU.NET
电话：400-700-9596
 Framework
R23 Capital Budgeting
SS8
R24 Capital Structure

R25 Dividends and Share Repurchases: Analysis

R26 Corporate Performance, Governance, and Business Ethics

SS9
R27 Corporate Governance

R28 Mergers and Acquisitions

37-102
 R23

Capital Budgeting

38-102
 基本过程 Capital projects
Capital • Idea generation • Replacement projects
Budgeting • Analyzing project proposals 常见 • Expansion projects
• Create capital budget 项目 • New product or market
概念 • Monitoring decisions and • Mandatory investment
conducting a post-audit • Other projects
Basic principles
Incremental cash flows
• Based on cash flows Ignore: Sunk costs & Financing costs
Include: Externalities
(Cannibalization) &
Opportunity costs
• Timing of cash flows is important
• Cash flow are analyzed on an after tax basis
• Financing costs are reflect in the project's required rate of return
有限资本下选择project
Capital Rationing
Independent Projects Mutually Exclusive Projects

39-102
常见project分析 计算，了解inflaiton影响
Terminating
Operating stage
Initial stage
Expansion projects stage • OCFT
• Operating CF • WC
• CAPEX • FA
Dep处理: MACRS折 • W.C.investment
旧会查 --> higher TNOCF = NWClnv +SalT
Initial outlay = OCF = (S-C-D)(1-t) +D
ATCF&higher NPV - t(SalT - BT)
-FClnv - NWClnv =(S-C)(1-t)+D*t

Terminating
Operating stage
Initial stage
stage • OCFT
Replacement • WC
projects • CAPEX • Operating CF
• Sale of old FA
• W.C.investment
• Cash collected TNOCF = NWClnv +SalT
∆CF = (∆ S- ∆C)(1-t) - t(SalT - BT)
Initial outlay =
+∆D*t
-FClnv - NWClnv
+ [Salo -t(Salo - Bo)]
40-102
 Mutually exclusive projects with different lives

• Least common multiple of lives approach Capital Hard capital rationing

计算
• Equivalent annual annuity(EAA)approach rationing Soft capital rationing
乚 i NN
2. Pi NN N_n , IN :D FU : 0 → PMFEAA
,

Risk Analysis 计算
,

风险
• Sensitivity analysis 体验 R project Rf project E RM Rf
Discount
• Scenario analysis
rate
risk-adjusted rate rather than WACC
• Monte Carlo simulation
判断WACC对估值影响

Projects with real options

• Timing options
计算
• Sizing options
Overall NPV= project NPV (based on DCF)+
• Flexibility options
option value - option cost
• Fundamental options 一

3 0 ?

41-102
 判断一个项目对企业的影响
Economic income Vs. Accounting income
Economic income =
( F e
G Accounting income
-

Economic income = ATCF + ∆MV Accounting income= revenue - expense

Economic depreciation : the decrease in MV Accounting depreciation: the decrease in

of investment BV based on the original cost

Financing cost: ignored Financing cost: subtracted to arrived at NI

Economic profit approach Residual income approach
Economic profit (EP)= NOPAT - $WACC = RI t NI t re Bt 1
EBIT x (l-T) - WACC x capital EVA
二

RI t
EPt NPV t
NPV MVA t
t 1 1 re
t 1 1 WACC
V firm MVA investment VE NPV BVE

计算，同Equity， Claims valuation approach

注意叫法不同 EV=FCFCreditors+FCFE

42-102
 R24

Capital Structure

43-102
Capital Structure Objective
• Minimize the firm's WACC and maximize the firm's value
• Not maximum EPS or ROE

Capital Structure Theory 掌握资本结构理论

给
es NI
• MM's proposition E
(1 %
'

u equity
=
0。

--No tax: irrelevant Acc → w

--With tax:tax shield makes borrowing valuable, WACC is minimized at 100% debt
Without taxes With taxes

Proposition 1 VL=VU VL=VU+t*D

Proposition 2 re=r0+(r0-rd)*D/E re=r0+(r0-rd)(1-t)*D/E
• Static trade-off theory : Increasing the use of debt also increases the costs of financial distress. At some point，the
costs of financial distress will exceed the tax benefits of debt;
--optimal proportion of debt.
• Pecking order theory: Managers prefer to make financing choices that are least likely to send signals to investors.
内部
Pecking order (most favored to least favored) is:
融资
--Internally generated equity (i.e., retained earnings);
, --Debt;
i --External equity (i.e., newly issued shares).

44-102
 不同国家融资偏好 掌握结论
Country-specific factors Use of Total Debt Debt Maturity
Institutional and Legal Factors
Strong legal System Lower Longer
Less Information Asymmetry Lower Longer
Favorable Tax Rates on Dividends Lower N/A
Common Law as Opposed to Civil Law Lower Longer
Financial Market Factors

More Liquid Stock and Bond Markets N/A longer

Greater Reliance on Banking System Higher N/A
large Institutional Investors Lower Longer
Macroeconomic environment

Higher Inflation Lower Shorter

Higher GDP Growth N/A Longer

45-102
 R25

Dividends and Share Repurchases: Analysis

46-102
 红利对公司价值影响 影响分红因素
• Dividend policy does not • Investment opportunities
matter • Expected volatility of Effective tax rate
• Dividend policy matters: future earnings
Bird in hand argument • Financial flexibility • Double-taxation
• Dividend policy • Tax considerations 展开 • Split-tax rate system
matters:Tax averslon • Flotation costs • Tax-imputation
• Clientele effect---> 计算 • Contractual and legal system

f
• Signaling restrictions
• Agency issues

掌握各个理论的影响 掌握各因素如何影响分红
… … … … .
dividend policies 概念，计算
• Stable dividend policy _ 灬 … 的
…
… y y

• Constant dividend payout ratio policy

• Residual dividend policy ni NI invest Cequig )
。 二 Dw

为什么应该用repurchase而不是cash div ? 概念

47-102
 R26

Corporate Performance, Governance, and Business Ethics

48-102
 Stakeholders of a company
Internal Stakeholders
Classification Interests and Concerns
Stockholders
Employees Managers Maximize the return on their investment
Managers Salary, job satisfaction, etc.
Board members
External Stakeholders
Classification Interests and Concerns
Customers Reliable products
Suppliers Revenues and dependable buyers
Creditors Receive principle and interest on time
Governments Companies to obey the rules
Unions Union members' benefit
Local communities Responsible citizens
General public The quality of life will be improved
customers, employees, and stockholders 最重要 49-102
 Principal-Agent Problem
Potential conflicts between Details
•Using funds to expand the size of the firm (empire building).
Managers and •Granting excessive compensation and perquisites.
shareholders •Investing in risky ventures.
•Not taking enough risk.
• Lack of independence.
• Board members have personal relationships with
management.
Directors and shareholders • Board members have consulting or other business
agreements with the firm.
• Interlinked boards.
• Directors are overcompensated .
• Self-dealing • Substandard working conditions
不良行为来源--->概念 • Information manipulation • Environmental degradation
• Anticompetitive behavior • Corruption
• Opportunistic exploitation
The Friedman Ooctrine;Utilitarian and Kantian Ethics；
关于Ethics的发展--->了解
Rights Theories;Justice Theories
50-102
 R27

Corporate Governance

51-102
 公司治理作用
Corporate governance 定义
• Eliminate or reduce conflicts of interest
两个目标 • Use the company's assets in a manner consistent with the
best interests of investors and other stakeholders
核心作用

Three major business forms 概念，掌握区别

• Conflicts between management and owners don't exist;
Sole proprietorships
• Conflicts of interest involve creditors and suppliers.
• Conflicts also involve creditors and suppliers;
Partnerships • Potential conflicts between partners are addressed by creating
partnership contracts that delineate the roles and reasonsibilities
• Advantages:
--Easier to raise large amounts of capital.
--Owners need not to be an expert.
--Ownership stakes transferable.
Corporation
--Limited liability.
• Disadvantage:
--difficulty monitoring a firm' operations.
--potential for conflicts between management and shareholders.
52-102
 • Board composition and independence;
• Independent chairman ofthe board;
ㄧ

• Qualification of directors;
Responsibilities • Annual election of directors;
• Annual self-assessment;
Board of • Separate sessions of independent directors;
Directors Evaluate • 3 committees (audit, nominating and
Effectiveness of compensation);
BOD • Independent or expert legal counsel;
• Statement of policies;
• Disclosure and transparency;
• Insider or related party transactions;
• Shareholder proxy votes;
各项具体展开，了解概念

Legislative and Regulatory Risk

Legal Risk
ESG factors产生的risk Reputational Risk
environment
social
Operating Risk
governance
Financial Risk
53-102
 R28

Mergers and Acquisitions

54-102
 并购基本概念

Types of Mergers Forms of Integration Merger Motivations

Horizontal merger • A statutory merger • Synergies
Vertical merger |synergy
--->A+B=A • Achieving more rapid growth
Conglomerate merger • A subsidiary merger • Increasing market power
并 购 没 关系 的 公司 --->A+B=A+B • Unique capabilities and
• A consolidation resources
--->A+B=C • Diversification
• Bootstrapping eamings 定义
• Personal benefits for managers
• Tax benefits
• Unlocking hidden value
• Achieving international business
goals

55-102
 不同生命周期阶段并购目的
Types of
Life cycle Industry characteristic Motivations
mergers
• Substantial development cost;
Pioneering • Sell to larger and mature company; • Conglomerate
• Low, slowly increasing sales
Development • Young firms merge to pool resource. • Horizontal
growth.
Rapid
• High profit margins caused by few • Large capital required to expand • Conglomerate
Accelerating
participants in the market. capacity to grow. • Horizontal
Growth
• Drop in the entry of new • To achieve economies of
Mature • Vertical
competition; scale/synergies, and operational
Growth • Horizontal
•Still have growth potential. efficiencies.
• Economies of scale to match the low
cost and price performance of other
Stabilization • Increasing competition; companies.
• Horizontal
and Market • capacity constraints. • Large firms acquire small firms to
improve management and reach a
broader financial base.
• Horizontal merger to survive;
• Vertical to increase efficiency and • Conglomerat
Deceleration • Over capacity;
profit; • Horizontal
and Decline • Eroding profit margin.
• Merge to exploit synergy; • Vertical
• May acquirer target in young industry.
56-102
 Form of acquisition 掌握区别

Major Differences of Stock versus Asset Purchases

Stock purchase Asset purchase

•Made directly to target company

Payment •Made directly to target company.
shareholders in exchange for their.
> 50 7 不 需要
.

•No shareholder approval needed unless

Approval •Majority shareholder approval required.
asset sale is substantial.

Tax: corporate •No corporate level tax. •Target company pays capital gains taxes.

•No direct tax consequence for target

Tax :shareholder •Shareholders of target pay capital gain tax.
company's.

Liabilities of •Acquirer usually avoids assumption of

• Acquirer assumes liabilities of target
target target's liability.
Method of payment 如何选择 risk and reward
securities offering 支付方式 Relative valuations
收购 后 好 cash
cash offering ,

不好 stock
,
Changes in capital structure
57-102
 面对并购态度 掌握定义
Friendly merger
失败 Tender offer
Hostile merger offers Bear hug
Proxy battle
Pre-Offer Takeover Defense
Flip-in pill: target shareholders have right to buy shares at a discount--->最有效
Flip-over pill: target shareholders have right to buy acquirer's shares at a
Poison pill discount;
Dead hand provision: allows the board of the target to redeem or cancel the poison
pill only by a vote of the continuing directors.
Poison put It allows bondholders to put the bonds to the target.
Companies that want to avoid a potential hostile merger offer may seek to
Takeover laws
reincorporate in a state that has enacted strict anti-takeover laws.
It delays the control of boards by acquiring company due to freeze of election of
Staggered board
most of board members in the coming future.
Restricts stockholders who have recently acquired large blocks of stock from voting
Restricted voting rights their shares.
supermajority voting Requires shareholder support in excess of a simple majority.
Provision for mergers
A term in corporate charter and bylaws that disallow mergers for which the offer is
Fair price amendment
below a certain threshold.
Golden parachutes Allows target senior management to receive lucrative payouts if leave.
58-102
Post-offer defense mechanisms
If the acquirer attempts a bear hug or tender offer, then target management
“Just say no" defense lobbies the BOD and shareholders to decline and build a case for why the offer
is not in the shareholders' best interests.
File a lawsuit against the acquirer based on alleged violation of securities or
Litigation
antitrust law.
An agreement that allows the target to repurchase its own shares back from
Greenmail
the acquiring company at a premium to the market orice.
share repurchase Submit a tender offer for its own shares.
leveraged recapitalization Repurchase of shares with assumption of a large amount of debt.
Crown jewel defense Target sells off assets to party upon announcement of taking-over.
Pac-man defense Offer to acquire the acquiring company.
White knight defense The target company to seek a third party to acquire the target.
White squire defense The target seeks a friendly-party to buy a substantial minority stake the target.

Antitrust law 计算HHI，判断并购是否能发生

Post-merger HHI Concentration Change in HHI Government action

HHI < 1,000 Not concentrated Any amount No action

1,000 <HHI<1,800 Moderately concentrated 100 or more Possible challenge

HHI > 1,800 Highly concentrated 50 or more Challenge

59-102
 Valuing a target company 计算，掌握书上例题即可
方法 优缺点
•Easy to model any changes;
•Forecasts of fundamental conditions in the future rather than on current
•Advantages date；
Discounted
•The model is easy to customize.
cash flow
•Model is difficult to apply when FCF is negative;
analysis •Estimates of cash flows and earnings are subject to error;
•Disadvantages •Discount rate changes over time;
•Estimation is a major concern.
•Data is easy to access；
•Advantages •Assumption that similar asset has similar value is fundamentally sound;
Comparable •Estimates derived directly from the market, rather than from assumptions.
company •The approach assumes the market's valuation is accurate;
l control
analysis •Disadvantages •An appropriate takeover premium must be determined;
•Synergies and capital structures are difficult to analyze;
•The takeover premium may not be timely.
•No need to estimate a takeover premium;
•Advantages •Estimates derive directly from recent prices for actual deals;
Comparable •Low lawsuit risk against target's managers and BOD by shareholders.
transaction •Assumes the market valued the past transactions accurately;
analysis •Disadvantages •There may not be enough comparable transactions;
•Difficult to incorporate merger synergies or changing capital structures
60-102 into
analysis.
 Evaluing a merger bid 计算，掌握书上例题即可
Post-Merger Value of an Acquirer
VAT =VA+VT+S-C 求 stock pri
a器 十 new

VAT=post- merger value of the combined company (acquirer and target)

VA=pre- merger value of acquirer
VT=pre-merger value of target
S=synergies created by themerger
C=cash paid to target shareholders
Gains Accrued to the Target
GainT=TP=PT-VT
GainT=gains accrued to target shareholders
TP=takeover premium
PT=price paid for target
VT=pre- merger value of target
Gains Accrued to the Acquirer
GainA =S-TP=S -(PT -VT )
GainA =gains accrued to the acquirer shareholders

61-102
 CFA 二级总复习串讲
Equity

网址：WWW.GFEDU.NET
电话：400-700-9596
 Framework
R27 Equity Valuation: Applications and Processes
SS9 Valuation Concepts
R28 Return Concepts
SS10 Industry and R29 Industry and Company Analysis
Company Analysis and R30 Discounted Dividend Valuation
Discounted Dividend
Valuation
R31 Free Cash Flow Valuation
SS11 Free Cash Flow R32 Market-Based Valuation: Price and Enterprise Value
and Other Valuation Multiples
Models R33 Residual Income Valuation
R34 Private Company Valuation

63-102
 R27

Equity Valuation: Applications and Processes

64-102
 估值基础（不做重点掌握，概念）
估值定义 估值步骤 估值目标

估值方法

Athena
Sum-of-the-parts Valuation 概念
At Bt (
,

Conglomerate Discount 概念，原因

Going-Concern 定性了解 1. internal Capital inefficiency
估值假设 Non-Going-Concern a reverse
synergy DDM
3. error DCF
FCF
Quantitative RI
信息类型 定性了解 Absolute Valuation Asset-based model
Qualitative
Relative Valuation 不同模型适用范围
报表粉饰方法 与FSA结合，定性

Input Model Valuation

65-102
 R28

Return Concepts

66-102
 HPR Required return
Realized return Expected return 与要求回报率关系
Expected return IRR
'

EN 不 ki valued

f籝
1. 、

average
Equity risk premium
吵 ERPtteirfflm.ly
竹
2 long
R f 选择→短期国债vs长期国债
、

short
Historical estimate
3. survivorship
平均值算法→ 算术平均vs几何平 均 （ 小 ）
欧 成 心
valued Time period →越长越好 整个 市场 do yield 资
「
'
GGM 计算，适用条件 星 ERP
g g
一
-
_ 一

EPR r RFR D1 / P0 g RFG

Forward-Iooking
Macroeconomics model 计算 dividend
estimate in flu EPS learning PE income

各模型优缺点比较 ERP 1 iˆ 1 rEˆ g 1 pEˆ g 1 Yˆ RFˆ

.
Survey estimate 概念 to
earnings
优先

67-102
Required return Beta drift

上市公司 β Adjustedbeta (2 / 3)(Unadjustedbeta ) (1/ 3) 1.0

CAPM
非上市公司β 1
Unlevered beta U
1 (D / E)
E

Lever up beta 1 (D / E)
E U
o n equity
Required Return = RF + mktj ( Rmkt RF )
size
Multifactor FFM
Small/large cap SMB, j ( Rsmall Rbig )
model High/low book- style
( RHBM RLBM ) PSM
to-market SMB, j
计算、系数 liquid , liq
含义，区别 i ( RLL RHL )
β S M B , j > 0，small-cap No 就是前 一个

βHML,j > 0 ，value-oriented

a At 非上市
Build-up method 计算，适用范围
International Consideration

Country Spread Model 定性，把握区别

o n Firm WACC Country Risk Rating Model
68-102
 R29

Industry and Company Analysis

69-102
 Botton-up analysis
概念，掌握原理
Top-down analysis
原理
Hybrid analysis
dusted % → 100 × 4 1
一
4 %) + (
1
场
in
:
2
GDP 4%
二
,

改进
Revenue→通胀影响 计算 不 定 大新 产品影响 1日产品
COGS→Economies of scale影响，科技进步影响
gross 附 比 magin
DCF预测未来 SG&A
Gross interest expense
CF Financing cost 概念，计算
I/S表预测 Income tax expense
Net interest expense
:

Woring capital items

B/S表预测
PP&E

70-102
 R30

Discounted Dividend Valuation

71-102
 DP
优先股 VP 计算
kP D0 (1 g e ) D1
P0 假设
re g e re g e 1. D>0
GGM D0 (1 RR ) EPS 2. D以g速
度永续
D0 1 g e g e ROE RR 增长
P0
re g e 3. Re>g
re RFR ( Rmkt RFR ) 优缺点

PVGO 计算 V0 E0 / r PVGO
歮
E 。
( no
grow 以
普通股
、

g = ((net income - dividends/net income)*profit

PRAT模型 margin* the asset turnover*financial leverage

Two Stage
Multi-Stage Model Three Stage
计算 H-Model 与三阶段模型结合
D0 (1 g L ) D0 H ( g s gL ) t
V0 H
r gL 2
t
E 昃 :1
1 1
一

get Hcggitgl 72-102

 Vo : terminal value
以 婴
懽
一

A 二
E1不 x
险

thing Eriksen淼
:

队 一
二
三
'

leading :
Ealy
to
Pree
E6
 R31

Free Cash Flow Valuation

73-102
 disposal 华
在
笓 dat G末 h初
照
二

heed
一

Gk CAP Ex
/
a = -

minority
-7
DD M
From NI : FCFF ( NI NCC WC ) Int (1 T ) FCINV T
INV
F4二 control
FCFF From EBIT : FCFF EBIT (1 T ) Dep FCINV WCINV 皌 th disposal
→
G初

wace
From EBITDA : FCFF EBITDA (1 T ) Dep T FCINV WCINV A .
昩 A 一
.
1 7初 二
G
From CFO : FCFF CFO Int (1 T ) FCINV
From NI : FCFE NI (1 DR ) ( FCINV Dep ) (1 DR ) WC INV
FCF计算

0
From EBIT : FCFE = EBIT (1 T ) Int (1 T ) Dep
脚
囖
㽋
'

NI,EBIT,EBITDA, FCINV WC1NV +Net Borrowing =

初

CFO等出发计算 From EBITDA : FCFE EBITDA (1 T ) Int (1 T )

Dep T FCINV WCINV Net Borrowing
FCFE

一
From CFO : FCFE =CFO FCINV Net Borrowing

-2
re
From FCFF : FCFE FCFF -Int (1- T ) NetBorrowing
Given Debt ratio : FCFE NI Dep WC Inv FC INV
(WCINV FCINV Dep ) DR

Single-Stage Model
FCF估值
计算，同DDM Two-Stage Model
Single-stage
求终值
Multiple approach
Three-Stage Model '

74-102
 FCF特殊处理
Depreciation/ Amortization →+
Restructuring charges and other noncash losses→+
NCC Income from restructuring charge →-
Amortization of a bond discount→+，bond premium →
DTL→+，DTA→-

Calculation WCInv Excluding cash，

cash equivalents，
notes
WCINV WC t Ct
_
1
payable，and current portion of long-term
debt
无处置 FCInv Capital Expenditure gross PP & Et gross PP & Et 1
Calculation FCInv FCInv net PP & Et net PP & Et depreciation
1
有处置 FCInv =Capital Expenditure-Proceeds from sales _
1
Net Borrowing=long and short term new debt
Calculation net borrowing
-long and short term debt repayments

Target Debt Ratio Net borrowing (WCInc FCInc Dep ) DR

W i th Preferred Stocks FCFF ( NI NCC WCINV ) Int (1 T ) Div pre FCINV

FCFE FCFF Int (1 T ) Div pre Net Borrowing
75-102
 R32

Market-Based Valuation: Price and Enterprise Value Multiples

76-102
 补充 historical average EPS
P/E Normalizing EPS
计算，比较 average ROE
P/B
PEG 计算 缺点
P/S 补充
Price
组合P/E计算 缺点
Multiple P/CF 四种CF计算→ EV/EBITDA EV计算，优缺点
猜答案 比较 上 去除 影响
/ 与

tax
l NI
C FC F 𠃋 C leverage
Dividend Yield MVacash-shont.me
Net
t
investment
CFC FE \ a
Pruexsháe
只 long term 03 D & A
Momentum Valuation Indicators 技术分析指标，简单了解

定性为主，优缺点 ，Intrinsic Multiple(Leading/Trailing) ，判断低估高估

77-102
 both

越小 越 好

g growth

我
然
叫 Justyied MB =
毙 二
1十
名
擧 01 13 。 > 0 0 3。
1 stable

Justified 1
2
15 二
Justified ME ×
0
喜
- net 附 比 margin
 R33

Residual Income Valuation

78-102
 股东
Rresidual Income (Economic Profit) 与Corporate Finance
概念 公司 E 定义不同
EVA (Economic Value Added)
概念，计算 2 折 现 求合 假设
Clean surplus relation
Market Value Added (MVA)
、
MUA MV time capital
与DDM & FCFE区
二

见 《 ROE.rs
估值 别 3
urge
+
Single-Stage Valuation 计算
二 1 。

概念，计算
Valuation
， Continuing Residual Income 4种假设计算,本质
适用范围 就是GGM 多 考第 4 种

79-102
 R34

Private Company Valuation

80-102
 㡭
䶩
C nonrecurring

概念，了解
非上市公司
嘴
及股票特征 Normalized earnings 计算
Income Approach CF 调整
Strategic and nonstrategic buyers
01 total gngl

筑
ear-F.lt

The caoitalized cash flow method

ear-W.cat
IAeari.tt
=
excess ear
-7
intangible g
用 FCF 估 值 1 阶段
8 value
't

The free cash flow method

A 非上市
we 义 2 阶段
用 EEM 估值
ii At
计算
3 十 下
.

估值 十 control premium
Guideline Public Company Method (GPCM)
Market Approach Guideline Transactions Method (GTM)
Prior Transaction Method (PTM)
计算， 适用范围

乘数调整 DLOC/DLOM/total discount ，计算

control premium aol.NO/n= 307
01 liquidation (一 Asset-Based Approach 概念，适用范围 t
。

@ majority of asset have available 化

in a = 1 一

应 ... /
1 -
( 1 D La ) (
一 1 一
DLO M )

81-102
 CFA 二级总复习串讲
Alternative Investments

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电话：400-700-9596
 Framework
R43 Private Real Estate Investments

SS15 R44 Publicly Traded Real Estate Securities

Alternative R45 Private Equity Valuation
Investments
R46 Commodities and Commodity Derivatives: An
Introduction

83-102
 Introduction
Income Approach
Private Valuation Cost Approach
Real Estate Sales Comparison Approach
Investment Analysis and Evaluation
Types
Public Why Public Traded Advantages
Traded & Disadvantages
Real Estate Characters & Risks
Securities REITs
Subtypes
NAVPS，P/FFO，P/AFFO，DCF
Private
Equity PE Funds Characters Investment
Valuation Terms, Fees and Valuation
Buyout Funds
NPV method
I Venture Capital
IRR method I

Commodities and Commodity Derivatives: An Introduction

84-102
 R43

Private Real Estate Investments

85-102
 Forms of Real Estate

两个维度，房地产投资总体框架。本Reading介绍Private投资，下个Reading介绍Public投资。
Debt Equity
• .Direct investments
Private Mortgages
• .Partnerships
• Other
. forms of commingled
funds
Public MBS Shares of REITs and REOCs
H

租金
Operating Gross lease 租客 只付
Office Net lease 租客 全 担
Expenses P
Expenses reimbursement 代缴

Retail 特殊 : 唯一销售额上升时追加租金物业 perantagekase

Industrial and warehouse

Multi-Family 掌握基本特征及影响因素

86-102
 房地产投资基本概念汇总
Real Estate Characteristics Reasons to Invest
Heterogeneity Current income
High unit value Capital appreciation
Active management Inflation hedge
High transaction costs
Diversification
Depreciation and desirability
Cost and availability of debt Tax benefits
Lack of liquidity 概念，简单了解即可
Difficulty in determining price
Risks to Invest in Real Estate
概念， REITs区别 Business conditions
Private投资分类 New property lead time
分类1: Cost and availability of capital
Residential properties Unexpected inflation
Non-residential properties Demographic factors
Mixed-use development Lack of liquidity
分类2: Environmental issues
Commercial Real Estate Availability of information
Non-commercial real estate Management expertise
Unique categories Leverage
概念，简单了解即可 Other factors 概念，简单了解即可
87-102
 房地产估值

Different types of value

Market value → Typical investor
synergy
←
Investment value → Particular
Investor value in use
Assessed value
Morgage lending value 学会区分差别

Highest and best → The highest implied land value

88-102
 Income Approach—Direct Capitalization Method

Calculate NOI NOI = Rental income if fully occupied + Other income

计算，CF概念 Vacancy and collection Moss-Operating expense

NOI折现

Direct Capitalization Method→ 阶段模型，同GGM

假 没 心0 I 稳定 计算后 去 除 不 稳定 的 PU
,

i
NOI1 补充 Stabilized NOI 计算
value= V0 =
g V ← cap rate All risks yield(ARY) 计算
计算 ，求cap rate Rent1
' value =V0=
_ 设owner支付费用
假 ARY net → lease 的 cap rate

假设tenant支付费用
V

lease
gross

89-102
 Income Approach—DCF Method
t
二阶段模型，同GGM 特指 二 阶段

MV0=NOI1/(1+r)1 + NOI2/(1+r)2 +...+ NOln(1+r)n + MVn/(l+r)n

第二阶段求终值，再折现
Direct Income Approach→MVn = NOIn+1(r-g) = NOln+1/ Rn
二 阶段
Rn → Terminal Cap Rate/Residual Cap Rate 不同于 Going-in
ctti
nil 8 7
Cap Rate
in
阶段
。
一

,
、

求终值 区别: R n 与R 0大小关系比较

·a
1
stage 7
st :
7 。

2 nd 8 7 不变
:

stage
同Equity中求
。

TV方法 Gross Income Multiplier→ Gross Income Multiplier= Sales Price

G r o s s lncome

纵 分 卞
L
Term and Reversion Approach
折现 计算，Equity 中两阶段模型
二
𠃊
横分 ， 注意两个阶段折现率不同
Layer Method

注意区别Direct Capitalization and DCF Methods

90-102
 Cost Approach

Cost Approach → Upper Limit of Value (Owner 角度）

差别 Curable' and Incurable 计算，掌握原版

书例题即可
Replacement Reproduction
还要 加 land cost
edep 、
,
给出 durable
目标
3 environment discount

ι Sales Comparison Approach

计算，掌握原版书例题即可
概念，三种方法估值，
Reconciliation of Value 然后加权求和

Real Estate Appraisal-Based Indices Smooth,滞后，解决了样本变化问题

Investment
Indices Transaction-Based Indices

91-102
 First-year NOI loan
DSCR =

i
Ex

Debt Service
Loan Amount En
选 最低
Debt Investment loan
'

in Real Estate LTV = ex

Appraisal Value
求最大贷款额是多少 First Year Cash Flow
Equity Dividend Rate =
Equity

计算

Leveraged lRR Unleveraged lRR

92-102
 R44

Publicly Traded Real Estate Securities

93-102
 Advantages and Disadvantages of Public Traded Securities
Public投资Advantages t
REIT-specific Advantages Disadvantages
Superior Liquidity Exemption from Taxation Taxes VS Direct Ownership

䬔
Lower Minimum Investment Lack of Control REIT
长
Predictable Earnings
Limited Liability High Yield 三0 L Costs of Corporate Structure
Access to Premium Properties Price Close to Stock Market
Active Management REIT-specific Disadvantages Conflicts of Interest
Protections Accorded Lack of flexibility Limited Income Growth
Diversification Forced Equity Issuance
Economic value Determinants of REITs （概念，记住第一及第二影响因素）
Retail Now Space
National Populatio
REIT Type Job Creation Sales Supply VS
GDP growth n Growth
Growth Demand

:
Shopping/Retail 1 3 2 4 4
Office 1 2 5 4 3

8
:
Healthcare 1 4 5 2 3
Industrial 1 5 2 3 4
Hotel 1 2 5 4 3
Storage 1 3 5 2 4

94-102
 Remaining lease terms
Inflation protection
In-place rents versus market rents
Due Diligence
Costs to re- ease space
considerations of
Tenant concentration in the portfolio
REITs
Tenants' financial health
New competition
Balance sheet analysis
Quality of management

95-102
 ON 上 = real estate value
rate
cap

Rio
other asset : cash A
at
.

liability 二
NAV
4 i shares
NAVPS Most appropriate measure 计算，注意Cash NOI

Accounting net earnings 最常用方法，计算

+Depreciation expense
P/FFO +Defrred tax expenses (i.e.，deferred tax expenses)
-Gains from sales of property and debt restructuring
+Losses from sales of property and debt restructuring
」=Funds from operations

Valuation
比FFO更好方法
FFO (funds from operations)
-Non-cash (stra ight-line) rent adjustment
P/AFFO : - Recurri ng maintenance -type capital expenditures and
leasing commissions
= AFFO (adjlJsted funds from operatio ns)

DCF → 同Equity DCF方法 DDM

96-102
 R45

Private Equity Valuation

97-102
 Value creation in PE Control Mechanism
不仅
Re-engineer the firm 投钱 Compensation
Obtain debt financing Tag-along, drag-along clauses
Better alignment of interests Board representation
Non-compete clauses
Priority in claims
Required approvals
Earn-outs
概念
Economic terms of a PE
fund
Management fees Performance disclosure dydedtdawbak-totalat.am
Tmsaction fees Confidentiality 赚钱 的 deal 分 ,
亏 钱 的 不分

Carried interest Clawback为 亏 奖金 吐 出来 Deal-by-deal method

飚
了

Ratchet 励 和公司 利益结合 Distribution waterfall Total return method

Hurdle rate Tag-along, drag-along clauses 所有 deal 赚钱 分
Targetfund size No-fault divorce
Vintage 同年份 昨 才 能 比 Removal for cause
Term of the fund Investment restrictions
Key man clause Co-investment 两层含义
01 买 第 个基金 打折
二

8 两个 基金 投 不 一样
的
98-102
 PE Fund投资相关 概念为主

Cost of investing in PE Risk of Investing in PE Type of exit routes

Liquidity Risk
Transaction Cost IPO 退出价值最高
Unquoted Investment Risk
fund Setup Cost Secondary Market
Competitive Environment Risk
Administrative Cost Sale
Agency Risk
Audit Cost MBO
Capital Risk
Management Cost Liquidation
Regulatory Risk

个
Performance Cost Tax Risk Curt Gets
Dilution Cost Valuation Risk 巤 to持 股 ?
彲 邈
二 00

Placement Fees Diversification Risk

Market Risk .

04 器
Valuation
VC VC Method 计算(一轮/多轮融资〉
GP对Company估值 05
Buyout Buyout Method 计算 w 一

debt
10 0 debt d to

VC与Buyout 区别
几 肛 debt
以 equity
LP对GP估值
一 二

PIC/DPI/PVR/TVPI 计算
_

附 erred
a 哈
DP It NPITVPI 99-102
 R46

Commodities and Commodity Derivatives: An

Introduction

100-102
 Storability
特征
Renewability

Energy
=
Natural gas
Refined product
Commodity 了解各个commodity的
Grains 特点以及各生命周期
分类 Industrial mental 影响 因素
Livestock
Precious mental
Softs（cash corps）

Hedgers Informed investors：

Commodity Traders and Investors hedger & speculator
Commodity Liquidity providers
Commodity Exchanges
market Arbitrageurs
Commodity Market Analysts
participants FP
Commodity Regulators SP

了解各个participants的特点

101-102
 Convenience Yield 投资期货
投资现货
Storage Cost 对比

参与commodity Backwardation Normal Backwardation

投 资方法，概念 VS
Contango Normal Contango

Insurance Theory backwardation I

Contangos
Futures return Hedging Pressure 印 5 P
二

的理论 Hypothesis
Theory of Storage
器4 , me Roll Return= (St－Ft,T)/St
Spot Return
Roll Return Backwardation →Positive roll return
投资Futures收益 Collateral Return Contango→Negative roll return
收益的分类 Rebalancing Return's 去年 化
Breadth of coverage
Excess Return Swap Weightings
Commodity Total Return Swap Commodity Rolling methodology
swap Basis Swap Indexes Methodology
Variance swaps Frequency for rebalancing
Governance of indexes
102-102