Oefening: Beta ont-leveren

Een bedrijf met meer schulden (dus: hogere leverage) wordt gezien als risicovoller dan een bedrijf met minder schulden. De hoeveelheid schuld ten opzichte van het eigen vermogen heeft invloed op de beta van het bedrijf. Alles gelijkblijvend: hoe hoger de leverage, hoe hoger de beta. Om het risico van het onderliggende bedrijf (de activa) te kunnen vergelijken, moeten we het effect van leverage uit de beta van elk bedrijf halen. Dit heet het “ont-leveren van betas”, omdat we de leverage uit de beta verwijderen.

Gebruik de Fernandez-formule uit de video om de Mylan-beta (myl_beta) van 1,11, die we eerder hebben berekend, te ont-leveren. Ga in je berekeningen uit van een schuld/eigen vermogen-ratio (myl_debt_eq) van 1,68 voor Mylan, een relevante schuld-beta (debt_beta) van 0,08 en een belastingtarief van 40%.

Let op: de ont-geleverde beta volgens de Fernandez-formule is als volgt:

\( (\beta_{MYL} + \beta_D (1 - 0.4) * D/E_{MYL}) / (1 + (1 - 0.4) D/E_{MYL}) \)

waarbij 0,40 het veronderstelde belastingtarief van 40% is

Deze oefening maakt deel uit van de cursus

Aandelenwaardering in R

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Oefeninstructies

Bereken de ont-geleverde beta van Mylan.
Ga uit van een belastingtarief van 40%.

Praktische interactieve oefening

Probeer deze oefening eens door deze voorbeeldcode in te vullen.

# Calculate the Mylan Unlevered Beta
myl_unl_beta <- ___
myl_unl_beta

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: Wat is een discontovoet?Exercise 2: Risico en rendement Exercise 3: Rendementen berekenen Exercise 4: Beta schatten Exercise 5: Betas ont-hefbomen Exercise 6: Hamada- vs. Fernandez-formule Exercise 7: Oefening: Beta ont-leveren

Huidige oefening

Exercise 8: Oefening: beta herleverageen Exercise 9: Risicovrije rente en aandelenrisicopremie Exercise 10: Risicovrije rente ophalen Exercise 11: Historische Equity Risk Premium berekenen Exercise 12: Bereken de kosten van eigen vermogen

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!