Download pertemuan 6 analisis makro dan evaluasi micro

Investment Analysis and
Portfolio Management
Eighth Edition
by
Frank K. Reilly & Keith C. Brown
Komponen analisis pasar
Analisis pasar makro
• Adanya kekuatan yang berhubugan anatara
ekonomi dan pasar saham
• Pasar sekuritas mencerminkan apa Yng
diharapkan untuk kelangsungan ekonomi
karena nilai dari suatu investasi di tentukan
oleh :
– cash flows yang diharapkan
– rate of return diinginkan (i.e., the discount rate)
Akativitas ekonomi dan
pasar sekuritas
pasar sahamsebagai indikator utama
– Harga saham mencerminkan ekspektasi alaba,
deviden dan tingkat bunga
– Reaksi/pengaruh pasar saham oleh berbagai
rentetan indikator utama
– Harga saham berubah secara konsisten sebelum
ekonomi berjalan
Rentetan Ekonomi dan harga
saham
• Rentetan ekonomi yang dikategorikan oleh
dua lembaga
– Sekelompok rentetan ekonomi yang ditunjukan
oleh the National Bureau of Economic
Research
– Rentetan keuangan alternatif dipengaruhi oleh
the Federal Reserve
Pendekatan indikator siklus
untuk Forecasting ekonomi
pendekatan ini menyatakan bahwa ekonomi
agregat berkembang
Pendekatan indikator siklus
untuk Forecasting ekonomi
• Biro Nasional Riset Ekonomi (NBER)
Kategori indikator siklus
- indikator utama
- indikator bertepatan/bersamaan
- indikator lagging
• Seri gabungan dan rasio seri
Kategori indikator siklus
• Indikator utama - rentetan ekonomi yang
biasanya mencapai puncak atau lembah
sebelum sesuai puncak atau bawah dalam
kegiatan ekonomi agregat
• Indikator bersamaan - rentetan ekonomi
yang memiliki puncak dan bawah yang
kira-kira bertepatan dengan puncak dan
lembah dalam siklus bisnis
Kategori indikator siklus
• Indikator Lagging/beda – rentetan economi
bahwa mereka sudah megalami dipuncak
dan dibawah dalam ekonomi agregat
• memilih series – rentetan ekonomi bahwa
yang tidak termasuk dalam salah satu dari
tiga kelompok utama
Cyclical Indicator Approach to
Forecasting the Economy
• Analytical measures of performance
– Indek sebaran
• Trends/kecenderungan
• rates of change/tingkat perubahan
• direction of change/arah perubahan
• comparison with previous cycles/dibandingkan
dengan siklus sebelumnya
Cyclical Indicator Approach to
Forecasting the Economy
• Keterbatasan cyclical indicator approach
– Sinyal palsu
– mata uang dari data dan revisi
– Belum ada rentetan mencerminkan sektor jasa
– Belum ada rentetan mewakili ekonomi global
– perkembangan politik dan internasional tidak
diperhitungkan dalam sistem statistik
Cyclical Indicator Approach to
Forecasting the Economy
Other leading indicator series
– CIBCR:
• Long-leading index
• leading employment index
• Leading inflation index
– Analisis alternatif indikator utama inflasi
– rentetan indikator utama internasional
– Survei sentimen dan harapan
Monetary Variables, the
Economy, and Stock Prices
• Money supply and the economy
• Money supply and stock prices
• Inflation, interest rates, and security prices
Money Supply and the Economy
• Declines in the rate of growth of the money
supply have preceded business contraction
by an average of 20 months
• Increases in the rate of growth of the money
supply have preceded economic expansions
by about 8 months
Money Supply and Stock Prices
• Excess Liquidity and Stock Prices
• Historical Excess Liquidity in the United
States
• Historical Excess Liquidity in Foreign
Countries
Monetary Variables, the
Economy, and Stock Prices
• Other economic variables and stock prices
– growth in industrial production
– changes in the risk premium
– twists in the yield curve
– measures of unanticipated inflation
– changes in expected inflation during periods of
volatile inflation
Inflation, Interest Rates, and
Security Prices
• Inflation and interest rates
– generally move together
– investors are not good at predicting inflation
• Inflation rates and bond prices
– negative relationship
– more effect on longer term bonds
• Inflation, Interest rates and stock prices
– not direct and not consistent
– effect varies over time
Analysis of World Security
Markets
• Goldman, Sachs & Co.
World Investing Strategy Highlights
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Inflation and exchange rates
Correlations among returns
Individual country stock price changes
Individual country analysis
World asset allocation
Microvaluation Analysis
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The Dividend Discount Model (DDM)
The Free Cash Flow to Equity Model (FCFE)
The Earnings Multiplier Technique
Other Relative Valuation Ratios
Estimating Expected Earnings Per
Share
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Estimating Gross Domestic Product
Estimating Sales per Share for a Market Series
Alternative Estimates of Corporate Net Profits
Estimating Aggregate Operating Profit Margin
Estimating Depreciation Expense
Estimating Interest Expense
Estimating the Tax Rate
Estimating the Stock Market
Earnings Multiplier
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Determinants of the Earnings Multiplier
Estimating the Required Rate of Return
Estimating the Growth Rate of Dividends
Estimating the Dividend-Payout Ratio
Calculating an Estimate of the
Value for the Market Series
• It is important to understand the relevant
variables and how they relate to the critical
estimates of earnings per share and the earnings
multiplier
• The two critical estimates that are necessary for
both the cash flow models and the earnings
multiplier approach are the required rate of return
discount rate and the expected growth rate of
earnings, cash flow, and dividends
Using Other Relative Valuation
Ratios
• The price-to-book-value ratio (P/BV)
• The price-to-cash-flow ratio (P/CF)
• The price-to-sales ratio (P/S)
Microvaluation of World Markets
It is crucial to keep three important factors in mind:
• The basic valuation model and concepts apply globally
• While the models and concepts are the same, the input
values can and will vary dramatically across countries
• The valuation of non-domestic markets will almost
certainly be more onerous because of several additional
variables or constraints that must be considered such as
exchange rate risk and country or political risk
The Internet
Investments Online
http://www.morganstanley.com
http://www.globalinsight.com
http://www.yardeni.com
http://www.whitehouse.gov/fsbr/esbr.html
http://www.federalreserve.gov
http://www.worldbankorg
http://www.phil.frb.org/econ/forecast/index.html
http://www.spglobal.com/index.html
http://www.bis.org/cbanks.htm
http://www.bankamerica.com/
http://www.nabe.org
http://www.conference-board.org
http://www.bea.doc.gov/bea/pubs.htm
http://www.stats.bls.gov
http://www.cbo.gov
http://www.whitehouse.gov/cea/
http://www.gpoaccess.gov/indicators/browse.html
http://www.census.gov/csd/qfr
http://www.federalreserve.gov/pubs/bulletin
End of Chapter 12
Macroanalysis and Microvaluation
of the Stock Market
Future Topics
Chapter 13
• Industry Analysis