Analizza l’andamento dei ricavi - Regressione

A volte è difficile cogliere le differenze solo dando un’occhiata ai dati. Uno strumento un po’ più sofisticato per individuare i cambiamenti è l’analisi di regressione. In questo esercizio userai la regressione per capire se il trend dei ricavi è cambiato tra il periodo storico e quello di proiezione. Una variabile di shift statisticamente significativa non indica necessariamente proiezioni errate, ma segnala che potremmo voler approfondire per trovare una motivazione al cambiamento del trend. Per questo esercizio, il data frame rev_all, già in memoria, contiene i ricavi storici (primi 8 anni) e quelli proiettati (ultimi 5 anni) nella variabile rev_proj.

Nota: una soglia tipica per la significatività statistica è quando il p-value della variabile di trend è minore o uguale a 0,10.

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Istruzioni dell'esercizio

Crea una variabile trend per i ricavi storici e proiettati.
Crea una variabile di shift del trend che identifichi il periodo di proiezione.
Regressa le proiezioni dei ricavi (rev_proj) sulle variabili trend e shift, usando i dati di rev_all.
Stampa il riepilogo di reg.

Esercizio pratico interattivo

Prova a risolvere questo esercizio completando il codice di esempio.

# Create a trend variable
rev_all$trend <- ___

# Create shift variable
rev_all$shift <- ___

# Run regression
reg <- lm(___)

# Print regression summary
___

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Questo esercizio fa parte del corso

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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: Analizzare le proiezioni Exercise 2: Analizza l'andamento dei ricavi - Grafico a barre Exercise 3: Analizza l’andamento dei ricavi - Regressione

Esercizio in corso

Exercise 4: Tasso di crescita in perpetuità Exercise 5: Calcola il Retention Ratio Exercise 6: Calcolo del tasso di crescita in perpetuità Exercise 7: Modello di sconto dei dividendi Exercise 8: Valutare le azioni privilegiate Exercise 9: Valutazione assumendo nessun dividendo per i primi anni Exercise 10: Valutazione con ipotesi di 2 fasi di dividendi

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: Fundamental Valuation: Analyzing Projections Exercise 2: Visually Inspecting the Data Exercise 3: Using Regression to Test the Projections Exercise 4: Fundamental Valuation: Implementation Exercise 5: Cost of Equity Exercise 6: Calculate Value During Projection Period Exercise 7: Calculate the Terminal Value Exercise 8: Equity Value Per Free Cash Flow to Equity Model Exercise 9: Equity Value per Dividend Discount Model Exercise 10: Relative Valuation Exercise 11: Equity Value Per Price-to-Earnings Multiples Exercise 12: Combine valuation into a summary table Exercise 13: Congratulations!