Regressie gebruiken om de projecties te testen

Na een visuele inspectie van de data besluit je ook regressieanalyse te gebruiken om te bepalen of er een statistisch significante verschuiving is in de trend van de historische omzet naar de geprojecteerde omzet. Denk eraan dat je een trendvariabele (trend) en een shift-variabele (shift) moet maken.

Voor deze oefening is de omzetdata die je in de vorige oefening hebt gemaakt opgeslagen in het object rev. In die data heb je twee tijdreeksen: historische omzet (hist_rev) en geprojecteerde omzet (proj_rev). Historische omzet heeft positieve waarden voor de eerste 10 jaar van historische data en 0 voor de projectieperiode. Geprojecteerde omzet heeft 0 voor de eerste 10 jaar en positieve waarden tijdens de projectieperiode.

Deze oefening maakt deel uit van de cursus

Aandelenwaardering in R

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Oefeninstructies

Maak één enkele omzetreeks die zowel de historische als de geprojecteerde data optelt.
Voeg een trendvariabele toe aan rev_all_df met seq().
Voeg een shift-variabele toe aan rev_all_df met ifelse().
Regressieer rev_all op trend en shift.

Praktische interactieve oefening

Probeer deze oefening eens door deze voorbeeldcode in te vullen.

# 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)

Code bewerken en uitvoeren

Deze oefening maakt deel uit van de cursus

Aandelenwaardering in R

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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: Fundamentele waardering: projecties analyseren Exercise 2: Data visueel inspecteren Exercise 3: Regressie gebruiken om de projecties te testen

Huidige oefening

Exercise 4: Fundamentele waardering: Implementatie Exercise 5: Kosten van eigen vermogen Exercise 6: Waarde berekenen tijdens projectieperiode Exercise 7: Bereken de terminale waarde Exercise 8: Aandelenwaarde via Free Cash Flow to Equity-model Exercise 9: Aandelenwaarde volgens het Dividend Discount Model Exercise 10: Relatieve waardering Exercise 11: Aandelenwaarde op basis van koers-winstverhouding Exercise 12: Combineer de waarderingen in een samenvattingstabel Exercise 13: Gefeliciteerd!