浦发银行估值分析

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	2009 3rd quarter	2008	2007	2006	2005
volatility	10%	10%	10%	10%	10%
asset value	1587382922	1309425442	914980346	689344155	573522671
lia. value	1522261211	1267723643	886682478	664638027	557553208
Rf	3.10%	3.10%	3.10%	3.10%	3.10%
time to exercise	0.273972603	0.273972603	0.273972603	0.273972603	0.273972603
d1	0.988736708	0.806775806	0.788627571	0.885727326	0.727948029
d2	0.936394316	0.754433414	0.736285179	0.833384933	0.675605637
N(d1)	0.836520968	0.78811965	0.78232502	0.810615464	0.764224639
N(d2)	0.823816625	0.7747299	0.767319484	0.796709478	0.748617377
equity value	84420858.11	58146678.95	41197280.74	33747894.38	24436114.54
shares	5661347506	5661347506	4354883	4354883	3915000
price	14.91179583	10.2708196	9.460020107	7.749437672	6.241663994
actual price	19.8	13.25	52.8	21.31	9.75

Lia.: liability. Rf: risk free rate.
BLACK-SCHOLES OPTION PRICING MODEL.
It assumes that the average debt period of is 100 days, the asset value and liability value equals fair value, risk free rate at 3.1%, volatility is 10%. Black-Scholes model indicates that SPDBank’s price growth from 6.24(2005) to 14.9(2009.9.30),growth by 39.2% per year. Acutally, EPS growth by 33.3% per year from 2005 to 2009. Cash flow from operating per share growth by 78% per share. Comparing with EPS and cash flow, Black-Scholes model is relatively conservative. This can be probably explained that its European style has under valued the company. If the share price in 2005 is reasonable, the share price in 2009.9.31 should be at 23.3, the share price at 2009/12/19 is 20.73, compared with 19.8 in 2009/9/30, a growth by 4.7%. The market is moving to the direction pointed out by Black-Scholes model. If Black-Scholes model is effective and accurate in value banks like SPDBank, the share price of SPDBank should continuely move to 23.3, a growth by 2.57, 12.4%.

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关键词：估值分析 银行估值 浦发银行 Conservative Volatility 浦发银行 价值投资 估值分析

5%        15%
1587382922        1587382922
1522261211        1522261211
3.10%        3.10%
0.273972603        0.273972603
1.938216622        0.680967135
1.912045426        0.602453547
0.97320493        0.751703095
0.971901432        0.725708342
77873338.5        97865798.01
5661347506        5661347506
13.75526558        17.28666151
        19.8

Sensitivity analysis clarifies the relation between the factors in the model and the outcome quantitatively. For example, when volatility in 2009 increase to 15%, the value is 17.3, when 10% volatility,14.5, an increase in volatility by 50% resulting an increase in value by 19.3%. reducing Rf to 2%, a reduction by 35.5%, value 14.25, decrease by 4.4%. so it’s more sensitive when volatility changes than Rf changes.

不错，相当客观

那家证券公司的，居然用英文

5# wanhua
不是哪家公司，是自己写的，呵，貌似没那么权威，数据也不太真实（risk free rate,volitil）

DING{:3_42:}

excellent analysis

没学过这个模型。。。。看看

每年的volatility是历史数据统计出来的标准差不？还是估计的值，看着都是10%呢

主流投资机构基本不用B-S评估股权价值，倒是评级公司喜欢用这个工具。