Analyseer omzettrends - Regressie

Soms is het lastig om verschillen te zien door alleen naar de data te kijken. Een iets geavanceerder hulpmiddel om veranderingen in de data te bepalen is regressieanalyse. In deze oefening gebruik je regressieanalyse om te bepalen of de omzettrend is verschoven tussen de historische periode en de projectieperiode. Een statistisch significante shift-variabele is niet per se een teken van slechte projecties, maar het laat wel zien dat we dieper willen graven om een onderbouwing voor de verschuiving in de trend te vinden. Voor deze oefening bevat het in het geheugen opgeslagen data frame rev_all de historische omzetten (eerste 8 jaar) en geprojecteerde omzetten (laatste 5 jaar) onder de variabelenaam rev_proj.

Opmerking: Een gebruikelijke drempel voor statistische significantie is dat de p-waarde van de trendvariabele kleiner dan of gelijk aan 0,10 is.

Deze oefening maakt deel uit van de cursus

Aandelenwaardering in R

Cursus bekijken

Oefeninstructies

Maak een trend-variabele voor historische en geprojecteerde omzetten.
Maak een shift-variabele voor de trend die de projectieperiode aangeeft.
Regressieer de omzetprojecties (rev_proj) op de variabelen trend en shift, met de data rev_all.
Print de samenvatting van reg.

Praktische interactieve oefening

Probeer deze oefening eens door deze voorbeeldcode in te vullen.

# Create a trend variable
rev_all$trend <- ___

# Create shift variable
rev_all$shift <- ___

# Run regression
reg <- lm(___)

# Print regression summary
___

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: De prognoses analyseren Exercise 2: Analyseer omzettrends - staafdiagram Exercise 3: Analyseer omzettrends - Regressie

Huidige oefening

Exercise 4: Groeipercentage in perpetuïteit Exercise 5: Retentieratio berekenen Exercise 6: Berekening van de perpetuele groeivoet Exercise 7: Dividendendiscontomodel Exercise 8: Preferente aandelen waarderen Exercise 9: Waardering met aanname: geen dividenden in de eerste jaren Exercise 10: Waardering met 2-fasen-dividenden

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!