Usare la regressione per testare le proiezioni

Dopo aver ispezionato visivamente i dati, decidi di usare anche un'analisi di regressione per verificare se c'è uno spostamento statisticamente significativo nel trend tra i ricavi storici e quelli proiettati. Ricorda che devi creare una variabile di trend (trend) e una variabile di shift (shift).

Per questo esercizio, i dati dei ricavi che hai creato nell'esercizio precedente sono salvati nell'oggetto rev. In quei dati, avrai due serie temporali: ricavi storici (hist_rev) e ricavi proiettati (proj_rev). I ricavi storici hanno valori positivi per i primi 10 anni di dati storici e 0 per il periodo di proiezione. I ricavi proiettati hanno 0 per i primi 10 anni e valori positivi durante il periodo di proiezione.

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Istruzioni dell'esercizio

Crea un'unica serie di ricavi che sommi sia i dati storici sia quelli proiettati.
Aggiungi una variabile di trend a rev_all_df usando seq().
Aggiungi una variabile di shift a rev_all_df usando ifelse().
Esegui la regressione di rev_all su trend e shift.

Esercizio pratico interattivo

Prova a risolvere questo esercizio completando il codice di esempio.

# Create a data frame of single series
rev_all <- ___
rev_all_df <- data.frame(rev_all)

# Create Trend Variable
rev_all_df$trend <- seq(___, nrow(rev_all_df), ___)

# Create Shift Variable
rev_all_df$shift <- ifelse(rev_all_df$trend <= 7, ___, ___)

# Run regression
reg <- lm(___, data = rev_all_df)
summary(reg)

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Many individuals and institutions invest in equities. To do so effectively, the investor must have a solid understanding of how the value of the equity compares to the stock price. In this course, we focus on fundamental concepts of equity valuation. We begin with a discussion of time value of money and then move on to the first of two discounted cash flow methods we will discuss - the free cash flow to equity valuation model.

Exercise 1: Course Intro and Fundamental Valuation Exercise 2: Time Value of Money Exercise 3: Difference Between Valuing Enterprise and Equity Cash Flows Exercise 4: The Free Cash Flow to Equity Model Exercise 5: Calculating Operating Profit Exercise 6: Calculate Free Cash Flow to Equity Exercise 7: Calculating Terminal Value Exercise 8: Calculating Equity Value Exercise 9: Calculating Present Value of Free Cash Flow to Equity Exercise 10: Calculate Present Value of Terminal Value Exercise 11: Calculate Equity Value

One of the critical components of free cash flow to equity valuation is using reliable projections. In the first part of this chapter, we will discuss ways to analyze the projections to help us identify the right questions to ask. In the second part of this chapter, we will go through the second of our discounted cash flow models - the dividend discount model. In this approach, we discount expected dividends instead of free cash flows.

Exercise 1: Analyzing the Projections Exercise 2: Analyze Revenue Trends - Bar Chart Exercise 3: Analyze Revenue Trends - Regression Exercise 4: Perpetuity Growth Rate Exercise 5: Calculate Retention Ratio Exercise 6: Perpetuity Growth Rate Calculation Exercise 7: Dividend Discount Model Exercise 8: Valuing Preferred Stock Exercise 9: Valuation Assuming No Dividends For First Few Years Exercise 10: Valuation Assuming 2-Stages of Dividends

To be able to discount cash flows, we need a discount rate. For the free cash flow to equity and dividend discount model, the cost of equity is the appropriate discount rate. In this chapter, we will discuss how each of the components of the cost of equity are calculated.

Exercise 1: What is a discount rate?Exercise 2: Risk and Return Exercise 3: Calculating Returns Exercise 4: Estimating Beta Exercise 5: Unlevering Betas Exercise 6: Hamada vs. Fernandez Formula Exercise 7: Beta Unlevering Exercise Exercise 8: Beta Relevering Exercise Exercise 9: Risk-Free Rate and Equity Risk Premium Exercise 10: Obtain Risk-Free Rate Data Exercise 11: Calculate Historical Equity Risk Premium Exercise 12: Calculate the Cost of Equity

Relative valuation allows us to use the valuation of comparable companies to infer the value of our subject firm. In this chapter, we discuss how to identify comparable companies and how to calculate valuation multiples. We also show how to analyze the determinants of multiples.

Exercise 1: Relative Valuation Exercise 2: Identifying Comparable Firms Exercise 3: Valuation Multiples Exercise 4: Calculating Valuation Multiples Exercise 5: Calculating the Relevant Multiple Exercise 6: Implied Price Exercise 7: Analyzing Determinants of Multiples Exercise 8: Calculate ROE and P/B Exercise 9: Plot P/B vs. ROE Exercise 10: Strength of Relationship Exercise 11: Implied Price Using Regression Exercise 12: Difference in Implied Values

This chapter combines the lessons from Chapters 1 to 4 in a series of exercises. You will be asked to inspect the data and to value the firm using discounted cash flow and relative valuation approaches. At the end, you will combine the results in a summary table.

Exercise 1: Valutazione fondamentale: analizzare le proiezioni Exercise 2: Ispezionare visivamente i dati Exercise 3: Usare la regressione per testare le proiezioni

Esercizio in corso

Exercise 4: Valutazione fondamentale: implementazione Exercise 5: Costo del capitale proprio Exercise 6: Calcola il valore nel periodo di proiezione Exercise 7: Calcola il valore terminale Exercise 8: Valore azionario con il modello Free Cash Flow to Equity Exercise 9: Valore dell'Equity con il Dividend Discount Model Exercise 10: Valutazione relativa Exercise 11: Valore azionario per multipli Prezzo/Utili Exercise 12: Combina le valutazioni in una tabella riepilogativa Exercise 13: Congratulazioni!