اساسيات التعامل فى البورصة باستخدام مفاهيم التحليل المالي

Fundamental Analysis
Fundamental Analysis .
:
.1 .
.2 .
. .
: 31 2003 2004
( ( )(
40 100
30 )( 150
80 350
150 600
)( 350 400

) 500
(
1000 1000
1
.
: 2013/12/31
1000
)(400 -
600
)(100 -
500
)(200 -
300
)(40% )(120 -
180
) (60% = 108 ) (40% = 72
.
)( )(.
2
:
:
:
.
.

: 5 1.
: 10 5.
: 30 10.

. : .
. :
.
. :
.
:
20000 20 5.05 20000 .
.
.
. :
3

%12 1000
20
12% 20.
. :
1000
20 4 3 2 1
120 120 120 120 120
1000
:
.
.
.
.
4
: :

.
:
.
.
. :

%12 1000

12%
.
:
. .
.
.
:

1000

*
. .
.
5

.
)( )(
500 500
)(200
300 500
)(40% )(120 )(200
180 300
500 1000
= =
0.36 = 500 180 0.3 = 1000 300
6
:
.1
. )( ) (200 ) (500
) (300 ) (120 ) (500 ) (200
)( ) (300 ) (120 )( ) (80
:
=
= 0.40 200
= 80
.2
. )(
)( ) ( )( .
.
.3 . )( )(
)( %60 ( (.
.4 ) (Financial Leverage
.
.
7

. :
) ( ) (
) ( ) (
) (

) (
:
: ) ( )
(.
8
:
.1 ) (.
.2 ) (.
.3 .
:
.1 .
.2 ) ( .
.3 ) ( .
: ) (:
) (
=
= ) + ( ) (
) ( .
:

.
) ( :
9
.1 ) ( =
-

400 400
) ( ) (

600 600
) ( ) (
) ( = .
=
= = 400 400
= )) ( + (
= = 600 600
00
.2 ) ( = ) (+
300
) ( ) ( 650

700 350
) ( ) (
=
= 350 + = 300 650
= )) ( + (
= ) 350 + = 350 700 (
) ( ) ( ) (.
.3 ) ( = ) ( -

250
450 ) (
) (

750
550
) ( ) (
=
= 200 - = 450 250
=
11
= ) 200 - = 750 550 (
) (
.
:
:
= +
:

.
.
:
:
= +
:

)(

)(
= -
12
:
= +
= +
=
=-
= -
= -
:
:
: .
: .
: .
: .
: .
: .
13
: :
31 20122013 )(
2013 2012 2013 2012
) ( ( (

266 232 160 104
123 196 688 455
555 553
389 428 1403 1112
454 408 1709 1644

640 600
1629 1320
2269 1920
3112 2756 3112 2756

1509
)(750 :
759
)(65 :
694
)(70 :
624
)(212 : )(%34
412
103 )(%25
309 )(%75
14
:
:
.1 .
.2 .
.3 .
15
.1 = +
63 + 24 = 87
= -
330 - 130 - 547 = 87
= +
212 - 65 + 694 = 547
= +
= )130 = 65 + (1644 1709
= 2003 2002
= )(428 1112) (389 1403
= 330 684 - 1014 =
.2 = -
= 24 = (408 454) - 70
.3 = -
= 63 = (600 640) - 103
16

.

.
.
:
17

.
) (

. . .
. .
18
31 2013
10553400
9150000
469440
180000
9799440
753960
120000
633960
253584 )(%40
380376
1014
0222
18255
60000
19
2011 2013
2013 2012 2011

21000 10923 13500
107448 - 72900
1317000 948 526800
2574720 1931040 1072800
4020168 2890203 1686000
1795740 1804425 736500
)(570180 )(394740 )(219300
1225560 1409685 517200
5245728 4299888 2203200

655200 786240 218400
900000 1080000 300000
612000 734400 204000
2127200 2600640 722400
750000 1500000 485148

2521404 690000 690000
)(192876 )(490752 305652
2328528 199248 995652
5245728 4299888 2203200
20

2.70
1.00
0.42
32.00
59.00
1229
0.50
1.00 /
2.00
6220
2.50
7.00
3.90
6.10
11.25
3.60
9.00
18.00
%17.80
%12.2
%9.90
%22.00
14.20 /
2.90 /
21

: )(Liquidity Ratios
: ( )
( ).
: .
:
.1 ): (Current Ratio
:
.
1.9
1.9
. =1.9
4020168
2167200 =

2.7
.

.
22

.
:
()
.
. ( ). = 3 = 0500

= 3 = 4500 = 1500 3 == 3 =
1500
= = 3000 = 1500 4500
.2 ): (Acid-Test Ratio or Quick Ratio

: ( ) .
:

. . .
.
.
4020168
2574720 -
1
2167200 =

=0

23
1.9
0.7
.3 :
.
.

=
. 0.42 107448 + 21000
2167200
=
.
0.06
0.7 0.06
()
:
.1 .
.2 .
.3
.
.
.4
. () :
.4 () ): (Liquidity of Receivables

24
. .
: ):(Collection Period
: .

( 360)

=

360 0307000
=
00553400
= 44.93 45
( 32.00)
.
.
.
: :
.
.
. ( )
.
.
25
()8

%55 000 00
%20 40 30 00
%0.4 8 45 31
%0.6 12 60 46
%15 30 60
%000 200
30 %75 (( )40 + 000
) 200 30 .
( .)200 30 % 15
.
.5 ):(Liquidity of Inventory
.

. .
360 =
26
2574720
360 =
9050000
= 011.3 002
:
: .
:
. :
= +
.

:
= 147 = 45 + 002
= 91 = 32 + 59
.

.

.
:

.
27

.
.
.
: () ):(Debt Ratios
: .
.

. .
.

.
.
. :
.1 ( ) ):(Debt Ratio
( ) .
: .

.
%56 2917200
5245728
%44 0.50 =
=0.56
.
28

.
.

.

.

.
:
=
.2 ):(Debt-equity Ratio
.
: .
: .
2917200
1
2328528 =
29
. =
1.27

. .

.

.
:
.1
.
.2 25% .
.3
5245728
2 2328528 =

=
2.27
30
:
.1 = 1 .
1 .
:
+
=

+ =

1 + =

.2 ( ) .
.4 ):(Debt-to-total Capitalization Ratio
( ) .
: .
: .
31
750000
2328528 + 750000 =

= %25 = 0.25
: ):(Coverage Ratios
: .
.
: .
:
.1 ):(Time Interest Earned
.
: .
.

753960 =
.
120000
( )%56 =
6.2 6.28
( 6.28).

:
.1
32
.
.2
.
.3
.
.4
.
:

=

.
.
. :

=

.2 ):(Fixed Charges Coverage
( )
. .
33
+
=
+ +
+ +
=
+ +

.
.
.
) ()%40 (1000
) . : (2000

=
-1
0000
= 1667 =
0.4 1
.
( ))%40 1667( 1667
34
.
:

=

0000 + 0000 + 3500

=
1667 + 0000 + 0000
5500
= 1.38 =
4000
.
.
.
: ( ) ( ) ):(Activity Ratios
: .
.
. .
.
.
:
.1 ):(Total-Assets Turnover
.

35
.
. 10553400 =
5245728
. =
2.5 2

.
.
.
.

.2 ):(Fixed-Assets Turnover
= +
.
.
.
.
36

. 8.61 1055340
7
1225560 =
.
=0
. 8.61
.
:

. .
.
.1 ):(Current-Assets Turnover
.
2.26
. 2.26
10533400 =
3.9 4020168
. 2.26 =
2.26
.

.
.
:
.4 ):(Inventory Turnover
: .
37
3.55
3.55 9150000
6.1
257472 =
. 3.55
=
. 3.55

.
.
:

.
.5 () ):(Account Receivable Turnover
( ).
: .
.
38
8
8.
11.25 10533400 () =
. 13317000
=
8
.
.
:
.
:

360
360
32
8 =
. =
. 45

.
360
59 3.55 360
=
=
101
9150000
.6
655200 =
=14
360 360 =
39
14
=26
:
= +
:
.1 .
.2 ( .)5 .
.7 :
10553400
21000 =

=
501
:
=
26 - 146 =
= 120
:
.1 .
.2 .
.3 .
360 360
1.29 =
.
501
=0.72
:
40
. 1 .
. 2 .
: ):(Profitability Ratios
: .
.
.
.
: :
: .
:
.1 ):(Net Profit Margin
.
:
.
380376
10553400
.
3.6% = =
= 0.036
3.6%
41
.2 )(Gross Profit Margin

.
:
.
%03.3 0403400
00553400
.
= =

0.033

.
:
=
.3 )(Operating Profit Margin
.
:
.
%3.7 380376
00553400
.
= 0.037 =

= %3.7

.

42

.

.
:
: . :
.1 ( ) ):(Earning Power
:
.
.
.
=

= =

43

7%. 380376
5245728 =
9%
=
= 0.073
. 7.3%

.

.
:
: .
.
.
: .
.
.
.
44
.2 )(Return on Equity
.
: .
. 380376
2328528 =
18%
=
. = 0.163
) (Du Pont : 16.3%

=

=

2.27 2 3.6% = 16.3%
2 2.5 3.6% = 18%
)(2
)(2.5 .
:
.
.
.
45

. .
.3 )(Return on Investment (ROI
.
:
=

=

17.8% 753960

5245728 =
. =
14.4%
.
:
: .
.
.4 )(Return Trade on Equity
.
. ( )
. .
() ( 1) ( ) =
46
.
.

.
.

.
12.2% 7.8%
.
.
020000
= =
2907200
= ( ) ()2328528 2907200
1.27 )(4.11% - 14.4% =
= %03.0 = 0.030
:
=
2328528 - 5245728 = 2917200
= (0.131 )0.40 1
47
= 7.8% = 0.078
:
( )
. :
.
.
.5
9.9% 6%
.
.
: . .

=
( - 1 )
0.057 7.3% 0.78

= 6% = =
0.943 (7.3% 0.78 ) 1

48
= ( 1 )

0.22
=0.22% = = =
1.014
: = 78% = 22% 1
.6
22% 14.5%
.

=
( 1 )
0.127 ()0.163 0.78

14.5%= 0.145 = = =
0.872 )0.163 0.78( 1
: .
:
.1 .
.2 .
.3 .
49
.4 .
: )(Market Ratios
.1 ) (Price-Earning Ratio (P/E ( ) ):(Earnings Multiplier
.
: .
18
. 18255
14.2 1014 = P/E

=
18
.
.
:
:
:
() = 100
() = 100
() = 20
() = 8
() ) 5 = (P/E
() ) 2.5 = (P/E
() = 20% = 1/5
() = 12.5% = 1/8
50
()
. 18255
6.2
.
=
1 2.9 2.9
.
:
2328528
= 6.2 = =
375000
.2 )(Dividend Yield
. .
.
.
.

000 =

.3 ):(Institutional Ownership Ratio
.
.

.
51

000 =

:
.1 ):(Effective Tax Rate
.

000 =

. .
.
.2 ):(Payout Ratio

.
. .
.
.
000 =
52
.
.
.
.
53

( )

.
.
.

.

.

3002

.

.
57

.

.

.

. .

.

.
58
.
1
.5551
"

2".

.

500
5
.

500
1 .5551
2 .23
59
.
5 .

.
.
.

.

500 .
.
500
.
60
.
.
( )

.3000

.
53
3002 .

.
3005

61
.

.

.

(

).

.
.

.

.
6
.5

.

62
.
000
0 .3002
.
3.

.

.

( )

.
.
.

.
3 .
.
63
.3
.
5.1 .

(
)
.

.

.

.

.

.

.
.
64

.

.
.
.

.

.

.
.
65
.

.

.
.

3005 51
.
300

. 3005

.
.
( ) .

Deeds
.
66

( .)343 6
.

.
.
.5
.
Treasury Bond
Corporate Bond

.

67

.
.

.

.
.3
.
-
opportunity
cost

:

68

.

.
.Bonds
.
.Prospectus

.

.Libor

.

.

.
.2
.

69
.0
.

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.

.

.
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4
.
4
.
70
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71
.
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-

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- .

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5
.

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.
5
.
CFD Indices Options .Futures
72
.

.

.
Treasury Bond Corporate Bond Bills of
Exchange promissory notes

. (
)

.
.
Certificates of
Deposit Gold Certificates

6

73
.
.

.

.

.
6

.

.

.
74

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6
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- .
75
53
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)
(
Trustee
(
)
.
76

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7
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.
77
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8.
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30

3055 3020
3020 .
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.
83

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Tier Two .
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. .
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.
53

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84
Stakeholders
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-
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91

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3005
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00 .

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6
Sukuk Investor
Sukuk Issuer
.Obligor

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97

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.

.
.
-
.

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.
98
.

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.

.
.

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.
.

.
.

.Treasury and Corporate Bond

99
.2

.
.

.

6 Moral hazard
.

.
100
.

.

.
.
.3

.
( .
).
101

.

.

Open offer to Redeem

.

.
.4
.

.
102

Standardization
.

.
.
.

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.
.5

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)3 .

.
.
103

.

===========================

. .5

.3

.3
11
.

11
3004 %41
.

%1 .
.
104

.

.

Benefit Interest .
53

.
105
12

.
.
Deed or Title Document
Benefit Interest
13
.
12 .

.
.

.
.
.
13 3050

.

.

.

.

106

.

.

.

.

.
Beneficial interest
.
.
Deed
.
107

.

.

.

.

.

.
.

.
108

.

.
.

.

.

.

Listing Conditions
.
.

.
109
.

.

.

.

.
.

.
.

.
110
3
2
1
Series 3
0 Series 2
Category Series 1
Category
1 Category
2 Category
3
4
111
()1
)Time value of Assets (1

.
.
.

250,000 320,000
40,000
.
250,000
220,000 .

572 "
".
112

.

. 585
.

.

.

.
. .
-
- .

.

.

.
. .
.

". "

113
.
.

(.)1
0
1
)(1
.
.

) (
)
( . -
.
).(2

. .
114
.

.pp
) (1:
FP = PP + X T X PP )(1
= FP :
= PP

=

= T
:
10,000
. %9
) (1 00,450 :
115

PP ) .(2

.

. T1 T0
PP1
PP0 ) .(3
) (3
PP0 .
.
.

.
. Opportunity cost
116

) (
.
.

.
" "
.
.
)(1
.

.

. .
)(1

. .ceterus parabus
.
.
117

( )Standardize Items

.
.

.
.

.Loanable funds
.

.
.

111 .

.
111
.
118

.
( real interest rate nominal or monetary
.)interest rate
( )

.

!
.
.
.
.

.

.

119

. .
.

.

.
.

.

.Time value of assets

.

Perpetuities
120
Annuities
.
:
( :)1
100,000
118,181
.
.
.
:
( .)1

%14
:
(100,000 )0.14 100,000 +
114,000 100,000 =
1.14 =
121

118181 .
) Future value (FV
. 100,000
114,000

(:)1
FVt = PV(0) t r ()1
:
FV -1
PV -2
r -3 .
t -4
.
.
( )1

118,181 100,000
1 0
122

.(PV) Present Value
:

118,181 %14
:
( ) 118,181 = 1.14 PV

118181 %14 :
118,181
= PV =
1.14
:
()2 =
FV1
= )PV( 0
) (1 + r
FV1 1" "r ""r

. Discount Rate

( )118,181 ( 103,667.5) .
%14
103,667.5 118,181 .
103,667.5
%14 118,181 .
123
103,667.5
100,000 .
.
.
( :)2
140,000
150,000

10,000 .
%12 ()2
.

140,000 150,000
. (140,000
) %12 156,800 :
{ )%12+1( 140,000 =156,800 }
( )2

150,000
%12
140,000 -
124

( 140,000) 6,800 (
156,800
150,000) .
.

:
150
= ,111
133,928.6 1.1 =
2
150,000
= PV =133,928.6
1.12
.

. 133,928.6
140,000 .

.
Net present value
) (NPV (:)2
()2
= NPV

125
1
50,000
140,000 - 1 =
.15
-
=
6071.4
:
NPV= PV- cost
( )p.62 Ross et al, 2005 :
NPV= - cost + PV

150,000
NPV = 140,000 + = 6071.4
1.12
( )2 6,071.4-
( ).
( 6,071.4-) ( )NPV.

.
.

118,181
150,000
.
126
.
:
( :)3 .
550,000
670,000 .
( )3 . 670,000
670,000 .
%12

()3

670,000

1 0.12
0

550,000 -

:
= 670,
598,214.3 = 000
1.12
127
598,214.3 550,000

( )%12
.

.
( )%25 . ( )%25
( ).
67
0,000
=

536,000 =
1.2
5

550,000

.
.

.
.
%52 %25 %11 .
128

.
.
: :

. .

.1
.2

:Future Value and Compounding
( :)4
.
.%12
.%12
.
129
%12
:
(r +1 1,000,
000 =
)
= 1 1,000
1,120,000 .1 ,111 =
2
:
$1,120,000
.
%12 :
= (r+1) (r+1) 1000,000
2
= (r+1) 1000,000
2
= (r + r2 + 1) 1000,000
= 1,000,000 240,000 + 14,400 + = 1,254,400

.
%12
:
1 ( 1,404,928 = 3)1.12.

. .
130

.
" Benjamin Franklin
"Money makes money and the money that money makes makes more
"".money
) (1 1 %12

10 1
1120000 1.12 00000
1.254 10 2
1254400 4 00000
1.404 10 3
1404928 928 00000
1.573 10 4
1573519.36 51936 00000
) (4 1 %12

131
1600000
1400000
1200000
1000000
800000
600000
400000
200000
0
4 3 2 1
) (2 1 %12
)(

1 10
1120000 .12 00000 1
1 10
1240000 .24 00000 2
1 10
1360000 .36 00000 3
1 10
1480000 .48 00000 4
132
) (5 1 %12
1600000
1400000
1200000
1000000
800000
600000
400000
200000
0
4 3 2 1
) (6 1
%12
1200000
1000000
800000
600000
400000
200000
0
4 3 2 1
)(3 1
133
%12

1 10
1120000 .12 00000 1
1 10
1120000 .12 00000 2
1 10
1120000 .12 00000 3
1 10
1120000 .12 00000 4
)(4

11 1120
0 20000 000 1
12 1254
14400 40000 400 2
13 1404
44928 60000 928 3
93519. 14 1573
36 80000 519.36 4
134
) (7
1600000
1400000
1200000
1000000

800000

600000
400000
200000
0
1 2 3 4
4 3 2 1

:
-1 1,000,000.
-2 ) .44 =0.122 =(r 2
} )0.24 1,000,000( 240,000
{.
-3 0.12
:
(120,000 0.12 ) = 14,400.
:
14,400 =2)0.12( 1,000,000 =(r)2 1,000,000.

.Return on Return

.
135
:
FV = PV(0) (1 + r ) t :
") "PV(0 "r"
" "t .
( :)5 10,000
. .%3

1
1 1 1
= 0,000
.13 .13 .13

(
= 10,00
)1.03
3
0

=
10,92
7
( )8 :
()8

1,0977$

3 1 0
2
136
- 10,000$
( :)6 10,000 100

. 4 2.
% 25 .

: = 4 (6.25 = 2)1.25
( )9
()9

2.25
$2.25
5
$5
$4 4
:
2 .
1
0 2 1
0
( )3 " ."t
.
( )3-

%8 %7 %6
1.0800 1.0700 1.0600 1
1.1664 1.1449 1.1236 2
1.2597 1.2250 1.1910 3
2
. .
137
1.3605 1.3108 1.2625 4
FV = pv0 (1+r)t
:
-1 .PV
-2 .r
-3 .T
-4 .FV
.
( :)7 10,000

16,105 . ( )10 .

()10

$ 10,000

5 0

$ 16,105 -
:
138
16,105
=
1.6105 10,000

1.6105
. FV
.%10 ( )%10
.
:
10,000 ( 16,105 = 5) r +1
r . :
16
,112

= =
1.6105
10,000

( 1.6105 = 5)1+r
". "r
r = 5 1.6105 1 =10%
The Power of Compounding

,
. Ibbotson & Sinquefield
139
1926 2001
1926 2,279.13 .2001
( )3
2279.13
( r = 76 ) 1 = 10.7% )(3
1
76
%10.7 (= 0.1070876 1
)8.13 . 1( 9.14 8.13 +).
(2279.122
.2269.99 = )9.1.

.
.

. 3
86,000
:

.

.

1400
33
140
%10

%10:
86,000(1+10%)1400
= ) 766,050,980,457,328 (10
48

.
.
:Present Value and Discounting

( )%12

1.2544 ()1
FV =1* (1 + 0.12) 2

%12
1 =PV ( 1.12)2 :
( (PV
.
:
$1
= PV = 0.80
(1.12) 2
Discount
. ( )11
. 0.80
0.80
141
.
0.80
.
:
1 = 1.12 1.12 0.80
00 %12 :
0.80 * (1.12) * (1.12) = 1$
%12
00
.
. 00
: 0.80 Present Value Factor
.
( )11
$15529

$11000 %12
%12
%0 $5000 $5000
$5000 %12
$1609.9

10 9 8 7 6 5 4 3 2 1
( 5000) 5,000 : %12

( 15,529= 10)1,12 . :
142
5,000 5,000( 10[ + 11,000= ])0,12 .

( 5,000)
%12 .$1,609.9

:
FVt
= PV
(1 + r )T
FVt T r .
( :)8 100,000
.%9

:
FVt 100000
= PV = = 77218.35
) (1 + r t
(1 + 0.09) 3
$ 100,000 3
$77,218.35 .%9
$ 77,218.35 %9
$ 100,000 .
( )12 (
) :
()12
( )

$100000 $100000
$100000
88818.35 143 3 2 1 0
$
3 2 1 0
:
(-1 )
.T
. ()
:
(-1)

9 8 7
% % %
0 0 0
1
.917. .9529 .93..
0 0 0
2
.8.17 .8273 .873.
0 0 0
3
.7755 .7938 .81.3
0 0 0
4
.718. .7321 .7.59
0.7722
: :
( :)9

:

2000 1
5000 2
144
%6
. .%6
:

=

1 = 0.943
1 2
=887 (1 + 0.06)1 000 1

4 = 0.890
1 5
=450 (1 + 0.06) 2 000 2

=
6,33
7

6,337
2000 5000 .
( :)10
100,000 . (
) 50,000 40,000
30,000 .
.
145
%9
.

:
( )5 :
( )5 %9

( 1 10 0
0,000
)

()
= 0.917
1 50, 1
(1.09)1 000
= 0.8417
1 40, 2
(1.09) 2 000
= 0.7722
1 30, 3
(1.09) 3 000
146
:

=

- 1
=100,000 1 00,000 0

4 5
0
=5,872 0,000 1
.917

3 4
0
=6,667 0,000 2
.8.17

2 3
0
=6,166 0,000 6
.7755

1
04,704

702,704
.100,000
:

T :
T
FV1 FV2 FVt FV i
NPV = ii + +
(1 + r )1 (1 + r ) 2
+ ...... +
(1 + r ) T
= ii +
) i =1 (1 + r
i
147
(- ii) Initial investment

.() .

.1
.2
:Compounding Periods
.
.
( :)11
%5
%5 .
1000
=1000 (1 + 0.05)2
$1,050 = 1.05x 1,000
=1000 (1 + 0.05) 2 $1,102.50 = 1.05 x1,050
.
=1,102.5 :
148
1000
)1.10 x1000( 1,100 .
.

1,050 .
.
%10
%10.25 .
%2,5
1000
:
0.10 4
=1000 * (1 + ) =1103.81
4

(.)4

m
r )(4
C0 1 + ..............
m
C0 r Stated
.Annual Rate of Return .

149
Annual Percentage Rate

m .
( :)12 %2
%8 %8

:
( )5 :
m 4
r 0.08
EAR = 1 + 1 = 1 + 1 = 0.0816 = 8.24%
m 4
( )6 10.000
.%15
( )m
.

.
( :)6
C Ef
1 fective
C Annual
Rate
0
m
Compounding Frequency r
= 1 + 1
)(m m

150
$ $
0.
1.00 ) ) Yearly ( m=1( 1.1000
10
0 0
1 ) ( 1 0.
.000 )Semiannually ( m =2 .10250 1025
1 ) Quarterly (m ( 1 0.
.000 )=4 .10381 10381
1
1 0.
) ) Monthly (m=12 ( .10471
.000 104713
3
1 1 0.
) ) Daily (m = 365(
.000 .10516 10516
%44

( 12 .%26.82 %2 )
%24
12
:Compounding Over Many Years
( )5 .
( )T :
mT
r
FV = C 0 1 + ) .......... .......... .( 7
m
T
:Continuous Compounding

.
.
151
.Continuous compounding

.
()7
.
( )T (( Ross et al , 2005, p.74) )8
)FV = C0 e rt ......................(8

:
C
:
0
. : r
. : T
2.718 : e
C0,r.T

FV
PV = rt
e
( :)13 15000
%11 .
152
:
:
15000 e 0.111
=15000 (2.718) 0.11 =16744
: ( A.5
) . r %11 T
.1

.%11.63
153
P )Continuously Compounded Rate (r

eriod

( 9 10 11
)T % % %
1. 1.1
1 1.1122
0942 052
1.2
2 1.19112 1.2212
461
1. 1.3 1.3
3
3100 499 910
%11
.%11.63
( ) 13
.
Smooth .
.
()13

154

-1
-2
-3

155
)Capital Assets Pricing Model (CAPM
-

CAPM

.
):(CAPM
-
.
.
CAPM :
.1

.2
1
.3

156
.4
) (
.
.5
. .
.6 .
.
.7
.8

.
.9
.
) - (CAPM :
CAPM

).( 1
) ( 1
157
BC ABC

) (2

) .( 2
Pi i
.
Pi

) (2-13

.
%3
%3
158
%3
.
: (M) Market
"" " Two Mutual
Fund Theorem
.

) (2 Capital Market Line
) (CML
.

.
)
( :
RM Rf
Re = R f + e
M

[ ]
e (R M RF )/ M

) (

) (RF
. :
= )+ () X (
159
) (

) . (

) (Beta ).E(R
) ( 3
) ( 3 )(A )(B
)(C A B
.
D %13 1.2

C
C D D
D
E

100
%8 1.2 C E
E
C,D,E

.
) ( 4-

) (
M )(4 ) 1= ( . R M
R i
= a+b i
)( 1

= :
R F
)= a + b(0

R F
=a
161
) (M :
R M
)= a + b(1

(R M
a) = b
)(1-13

R = R + (R R
i F i M F ) )( 2- 13

) Security Market Line (SML
.
RF , R M
) (
)( ) (
.
:
i M iM i iM
= Cov iM
= =

i 2 2
M M M
) -(2 13 -
:
R RF Cov
R i RF
= + )(3 13
M iM
M

M
Cov / iM M

[(R M
]
RF ) / M
122
C iM
/ M

CAPM
:
RF
= + R M
R R CoviM

i F 2
M
CoviM (R M
)
RF / M
2
. i
) (CAPM :
) (CAPM

:
=
R Rp F
133
(X
1 1k
+ x2 2 K + ... + X k
2
k
+ ... + X N Nk
)= R k
RF )(4-13

.
)(4-13 CAPM )(4-13

) cov(RK RM :
N
= Ri X i
'
R M
i =1
'
N
(
cov(RK RM ) = E RK R K Ri X i R i X i )
N
'
)(5-13
i =1 i =1
N
cov(RK RM ) = E RK R K X i
'
( ) (R R )
i =1
i i

cov (R K RM ) = E ) [X (R R )(R R
'
1 k k 1 1
+X (R R )(R R ) + ....
'
2 k k 2 2
] ) X (R R )(R R ) + ...... + X (R R )(R R

' '
k k k k k N k k N N

X's :
144
X E (R R )(R R ) + X E (R R )(R R ) + ....

= ) cov(RK RM
' '
1 k k 1 1 2 k k 2 2
) X E (R k R k ) + ...... + X E (R R )(R R
' 2 '
k N k k N N
X's )(4-13 )(5-13

)(4-13
) (4-13 :
cov(RK RM ) = RK RF )(6-13
( (k

cov(RM RM ) = M .
2
M = R M RF
2
R RF
= M

2
M
) (6-13 :
R
R =R +
R M F
cov(R R ) = R + (R R )

K F K M F K M F
2
M
165
):(CAPM
) (CAPM
.

) (CAPM
.
:

. i P i
) (. P M
) Y i
(.
. Y M
Y i . Y M ) COV (Y i Y M
. Y M ) VAR (Y M
) . (1 + RF r F
i :
-
=Ri

Y Pi
Ri = i = Y i 1
P i P i
166
PM
R M
= YM = Y M 1
P M P M
: ( 3-13)

Y Cov(Ri RM )
i
1 = RF + Y M 1 RF (7- 13)

M
2
Pi PM
: cov(Ri RM )
Pi Y M PM Y M PM
cov(Ri RM ) = E Y i Pi Y i

Pi
Pi PM PM

= E Y i Y i Y M Y M = cov(Y i Y M )
1
Pi Pi PM PM PP i M
var (Y M )
1
=
2
M 2
P M
1 ( 7-13)

: r F = 1 + RF
cov (Y i Y M )
1 1
Y PP
i
= rF + Y M rF i M

var (Y M )
P 1
i PM 2
P M
177
: P i

Y i
= r F Pi + (Y M
r F PM ) ) ) covvar(Y( Y
i M
Y M
: P i

P =
1
(Y r F PM ) covvar(Y( Y ) )
i M
i
r F Y i M
Y M
) (Y
i
.

:
Y r P F M
]) [var(Y M
M
1/ 2
) cov (Y i Y M
]) [var(Y M 1/ 2
188
CAPM

RAP CAPM
( ) 2
.

.
CAPM :
1 CAPM RAP
.

CAPM
.CAPM
2 SML
B

RF .CAPM

Zero beta porttotio
.
.
1972
) Haugen1997 ()Bodie , 2002
199
CAPM 3
.
()

.

(.) Eltou and Gruber, 1995
CAPM 4

.

.

.

.
.
5 CAPM
.1

. 1
100
,

.

Benchmark
S&p 500 index Dow Jones index

.

.
Roll 1977,1978,1980,1981

CAPM
CAPM

SML

.
Mean-variance Effcient on
.Markowitz efficient frontier .
.
171

Elton, et al, 1993, Blake et .al, 1993, Lilje blom
and loflund 2000
( ELHnawy and
)Elsiiefy,2002
:
S&P index
Dow Jones index
.

.

( ) Elhenawi and Elsiefy, 2002
: CAPM
.
.
Emerging market

,

.Liberalization experiment CAPM
)Beim and
) ) calomiris, 2001
( )2002
122
(Elhenawi and
).Elsiefy 2002
:
Jump Risk Financial Crisis

.

. .

CAPM .

Cultural

).(Beim and Calomari's 2001

.
CAPM
CAPM .
.
:
.1 :
.2
.
133

.
CAPM
.
( )1995

(Bodie et .
).al, 2002, Elton and Gruber, 1995
144
CAPM
CAPM

) Centre for Research in stock prices (CESP
Merril Lynch

.CAPM
CAPM One - Period model

) ( .
CAPM
:
. 1
2 .
3
( ).
CAPM
CAPM
.Market Risk Premium

175
) ( Zero Beta
Portfoli

.

(Brails ford and Faff, 1997) CAPM
( Black ,
) ) ) Jensen and Scholes (BJS 1972
.

Excess Return

.CAPM CAPM

.CAPM
1997 ) (Brailsford and faff, 1997
CAPM
.CAPM
) (Cheng and Grauer, 1980
CAPM
.

CAPM ) .(Roll, 1977
166

.

S & . P 500
. CAPM

.

CAPM

.

CAPM .
CAPM
.

.
/ .
/ ,
.
.1 : CAPM
CAPM

.
CAPM
177
.
.

) (
CAPM :
) E( RF ) = RF + BP + T (d P RF
) (d
) (dp .
) (T .
(**)
).(Van Horne2002
SML

.
.2 : CAPM
CAPM

(***).
R r P = RP
( R r P ) : .
. ) ( RP
. ) (
188

.
.

) )Covariance
.

.

.

) (
:
COVPT
E[ R P ] = RF + b P
2t
. ) (COVPt :
) ( .
. ) ( (
COVPt
)
t

.
199

.

) (Van Horne.2002
SML

.
-3 / ) (P/E )(CAPM
CAPM /
) Price / Earnings Ratio (P/E ) (
P/E P/E
P/E
CAPM
CAPM
CAPM :
] E( RP ) = RF + bBP + Q[ P / EP P / EM
. )(P / E (Q) :
. ) ( P / E ( P / EP ) ::::::
. ) ( P / E ( P / EM ) ::::::
P/E
SML
. P/E )(B
100
% 6 -31
%10
.%8 % 8
% 30 -A
%25
-B

:
:
RN = 6% (1 -.30) + 10%(1 - .25) =.117=11.7%
:
RN =8% ( 1-.30) + 8% (1 - .25 ) = .116 =11.6%
.
R = 6% + 10%=16%
N
R = 8% + 8% =16%
A
-32 .85
%9 CAPM . %4
:
-A .
-B CAPM
.
%5 .16
.
181
-C .16
. B
-D CAPM
A - Ri = R f + 6i
= 9 % +(.04) (.85) = .124 = 12.4%
B - Ri = R f i * inf Ratio
= 9% +(.40) (.85)-(.05)(.16) =.132=13.2%
C- = 9% +(.04)(.85)-(.05)(.16)=.116=11.6%

:
) RI = .07 + .15i .03( P / Ei P / Em
/ P / Em 16 .
:

22 1.3 A
14 .8 B
17 1 C
20 1.1 D
:

:
RA = .07 + (.15)(1.3) .03(22 16) = .085 = 8.5%

RB = .07 + (.15)(.8) .03(14 16) = .25 = 25%
122
RC = .07 + (.15)(1) .03(.03(17 16) = .19 = 19%

RD = .07 + (.15)(1.1) .03(20 16) = .115 = 11.5%
-34
:
Ri = .08 + .12i + .06(di .07) + .03( P / Ei 14 + .005
: :

/
5 15 %9 1.1 -1
3 18 %8 .8 -2
9 11 %6 1.3 -3
:
:
R1 = .08 + (.12)(1.1) + .06(.09 .07) + .03(15 14) + .005
= .2482 = 24.82%
R2 = .08 + (.12)(.08) + .06(.08 .07) + .03(18 14) + .005

= .3016 = 30.16%
R3 = .08 + (.12)(1.3) + .06(.06 .07) + .03(11 14) + .005

= .0504 = 15.04%
: -1 SML
:
133
= % 6
% 14 = RM
:
7% = Zero
= % 17
:
) Ri = RF + i ( RM RF

)Ri = 6% + i (14% 6%

)Ri = 7% + i (17% 7%
-2
:

% 16 1.1 A
% 18 .9 B
%9 .5 C
% 20 1.5 D

Under price
.
144

RA = 6% + 1.1(14% 6%) = 14.8%
RB = 6% + .9(14% 6%) = 13.2%
RC = 6% + .5(14% 6%) = 10%
RD = 6% + 1.5(14% 6%) = 18%

.

% 16 > % 14.8 A
% 18 > % 13.2 B
% 9 < % 10 C
% 20 > % 18 D
SML
RA = 7% + 1.1(17% 7%) = 18%
RB = 7% + .9(17% 7%) = 16%
RC = 7% + .5(17% 7%) = 12%
RD = 7% + 1.5(17% 7%) = 22%

185
% 16 > % 18 A
% 18 > % 16 B
%9 < % 12 C
% 22 = % 22 D
-4
. CAPM
:
-A CAPM

.
.
.
. -B

.
1957 1965
.
. -C
.

.
166
Beta is easily Rolled

.
177

Sukuk & Bonds valuation

.

.

.

.

.

.
188

.
() (.)1
n
C1 ()1
= Po t =1
(1 + r ) t
:
: Po
t : Ct
: r
: t
.

.
:Bonds Sukuk
.
.

.
.

.
.

- Prspectus
-
.
189

.

.
: :

.Prospectus
() ()
.
-

.
.

( ) ( )
.
-1 .
-2
.
-3 (
) .
190
-4
.
-5 .
-6
.

191
.1
.

.
.
.2
.
-

.opportunity cost
.Prospectus
.

.3
.4
.
. .5
1
.
.6 .

.
.7

1

.
192

Convertibility .Call Feature
:
.
.
.
.
.
:

.

.
. -1
. -2
193
-3
.
-4

.
-1 .
-2

.
-3 :
- .
- .
.
.
:
-1

.
.
-2
.
-3 (
)

.
194
-4
.
.
-5
.
-6

. .

.
.
: :
- :

.
- :
.
: :
- :
.
(
) .
.
195

.
.
- :
.
.
- :
.
: :
- .
- :
. .
-

.
()

. :
-1 : :
- .
-
.
-2 :
:
- .
196
- .
-
.
-
.
-3 :
.
: :
)1 :
)2 .Income-Generating Project
)3 .Mute Project .Buget Defict
)1 Income-Generating
Project
:
.

.

.
-

- %30 .
)2 Mute Project

.
197
.

.

.
)3 Buget Deficit

.

. .
2001
.

.

.

.
198

.

20
.
.%9 %3
.

.%6 .
.

.

.
.
.

( )

. " "
" " " "

:
- 1

.
199
-2 .
-3
.
: Treasury Bonds
Treasury Certificates .Municipal Bonds
- :

.
960
1000 .

.
- :

.
- :
- :

25
10.000
%5 .
...
. .
200
- :
() :
-
.
() :
.
() :

.

()
.
( :)1 100000 .$1000

%5 . . :
$100 )$1000 100000 ( . -1

$5 %5( . -2
$100)
$5 $100 -3
.
2 1
5.000.000 5.000.000 100.000.000

100.000.000
201
: )Pure Discount (zero coupons

Bonds

.Face value
.One year discount bond
...
.Maturity date
(
) $ 1000 %10
5 .
$1000
.
n
FVt
= PV )(2
t =1 (1 + r ) t
:
FVt -1
PV -2
r -3 ( )
t -4
FV
$621 1000
:
1000
= PV = 621$
(1 + 10) 5
202
( :)2 $600
.
$ 621
( :)3
$100 10 35
( Yield to
.maturity

( : )
FV
= PV
r
(1 + )10 2
2
100
= 35
r
(1 + ) 20
2
100 r
= (1 + ) 20
35 2
r 100
1 + = 20
2 35
r 20 100
= 1
2 35
r
= 1.054 1
2
r
= 0.054
2
r
= 0.108 = 10.8%
2
()3
FV
r =t 1 )(3
PV
=r
=FV
203
=PV
FV
r =t 1
PV
100
r = 20 1
35
= 0.054
()
F T
r :
FV
= PV
(1 + r )T

.
( )
.
1
.

.

.
: Coupon Bonds
1 -

.
204
.

.
( :)4 $1000
%10 . %8

( ) .
.Principal or denomination

. :
C C C $1000
= PV + + ... + +
1 + r (1 + r )2 (1 + r )T (1 + r )T
C
100=100010 .$1000
:
$1000
PV = C Ar +
T
(1 + r )T

4 3 2 1
100 100 100

1000 100
Ar T
T .r

%8:
1000
PV =100 A04.08 +
(1 + 0.08) 4
=100 3.3121 + 1000 0.735 = $1066.21

205

1066.21 1000
.
( :)5 2011 .
2015
%13 . $1000 %13( $130
.)$1000 .)$130/2( $65
2015 .
:
5/12 11/12 5/13 11/13 5/14 11/14 5/15 11/16
$65 $65 $65 $65 $65 $65 $65 $65+ $1.000
%10 ( )

. %5 ( .)%10/2
.$65
2011 .2015
$65 $65 $65 $1000

= PV + + ... + +
)1.05 (1.052
(1.05) (1.05)8
8
PV = $65 A08.05 + $1000 / 1.058

PV = $65 6.463 + $1000 0.677
PV = $420.095 + $677
PV = $1097.095
206
1097.95

( ).

.Effective Interest Rate
(1 + r / m)m 1
r m .
r %10 m .2 :
(1 + (0.10 / 2))2 1 = 1.052 1 = 10.25%

:
r m
E AR = (1 + ) 1
m

:
E
:
AR
: R
: M

%10,25 %10
.
207

( ) .
: Perpetuities

Constant Stream .
1751
Consols Consolidated.

.

Perpetuities .
.

C PV :
C C C
= PV + + + .....
1 + r (1 + r ) (1 + r )3
2

: C
C
:
C
= PV
r
C/r
C
= . C = r x .
r
:
208
C C C C
= PV + + = ....
) 1 + r (1 + r ) (1 + r
2 3
r
100
( :)6
. .%8

:
:
$100
= Pv = $1.250
0.08
%6
= $1,666.67 :
$100
= PV
0.06

. .
( :)7 $100
.%10

:

:
c
= PV
r
100
= PV
0.10
=1000$
.$1000
( :)8 .%10 $50

$50
= PV = $500
0.10
$500 .
209
() .
Face value F
.

.
.
:

.
( )

( ) . :
( :)9 ( ) %10
%10 )%10 X $1000( $100
. .$1000
$100 $1000 + $100

= $1000 +
1.10 (1.10)2
210
.%12
$100 $1000 + $100

= $966.20 +
1.12 (1.12)2
: (
.
%12 %12 .$1000
.)$1000 X 0,12( $120
%8 %10
:
$100 $1000 + $100

= $1035.67 +
1.08 (1.08)2
$1035.67 $1000 .

.
:
-1 ( )

.
-2
.
-3
.
Yield to maturity
211
(
) :
( :)10
$1000 .%12
.$1100

$1000 %12 :

10
1100
:
10 9 8 7 6 5 4 3 2 1
120 120 120 120 120 120 120 120 120 120
1000 1100

= .$120 = $1000 %12
) .(IRR
( )
. :
PV = C ArT + r .%10.41
F
(1 + r ) t

( )
%12 .
100 1100
. ()r
.%10.41
212
2000
.
- -
.
.
(OTC) Over The Counter .
. .

.
.
( )1
.
.
( )1
213

Stocks valuation

.
: .
.

.
.
Preferred Stocks
%5
.

.

12-7 14 9( 1412-
1992 " :
.
".
:
- :
.
214
.
. .

- :

.
.
.

.
- :

.
.
Common Stock

.
( .

215

. 10000
%1 .
.%5
.
-1 .
-2
.
-3
.

:
.
- -

.
216
Pre-emptive Rights
.

.
) (Pro-Rata
.

..
.
.

15 %20 .

.
:
.

. :
.
Po ( 1
)(1
DIV1 P1
= p0 +
1+ r 1+ r
217
Div P1 . P0 .
. r . r
( r
.
( 1 P1

.P1 .
:
DIV2 P
= P1 + 2
1+ r 1+ r
P1
1 Div2 + P2
= p0 Div1 +
1+ r 1 + r
Div1 Div2 P2
= P0 + +
1 + r (1 + r ) (1 + r )2
2
P2

P2
. .
(2

Div1 Div2 Div3 Divt
= P0 + + = + ... )(2
) 1 + r (1 + r ) (1 + r
2 3
) t =1 (1 + r
t
( 2 .
.
.
( 2
.

.
218
.
( 2
.
:
. -1
. -2
:
- .Zero growth
- ( Constant growth
- .Differential growth
:
(: 3
n
Divt Pn
= P0 + )(3
t =1 ) (1 + r t
(1 + r ) n
(: 1

$32 $3.8
.%12
:
:
( 3
$3.8 32 35.8
= P0 + = = $31.96
(1 + 0.12) (1 + 0.12) 1.12
1 1
:
:

Divt
= P0
t =1 (1 + r ) t

( 4:
)(4
Div1 Div2 Div
= P0 + = + ...
) 1 + r (1 + r2
r
219
. Div = ... = Div2 = Div1

.
(: 2
$4

.%10 .
:

:
Div 4
= P0 = = 40$
r 0.10
: (
g
4 3 2 1

Di Di Di D
v(1+g)3 v(1+g)2 v(1+g)1 iv
.

(5

) Div0 (1 + g
= P0 )(5
t =1 (1 + r ) t
:g :

.
(. 6
= P0
Div1 )(6
r g
220
)Div1= Div0 (1+g D

:iv1
r
:
g
:
( : 3 $4
.
%6 .
5 4 3 2 1

$4 $4 $4 $4 4
4 3 2
(1.06 (1.06 (1.06 (1.06 $
= = = =
$5.0499 $4.7641 $4.4944 $4.24

Div Div (1 + g ) Div (1 + g ) 2 Div (1 + g ) 3 Div1
= P0 + + + = + ....
1+ r ) (1 + r 2
) (1 + r 3
) (1 + r 4
rg
:
Div1
= P0
rg
Gordon
g . Div1 .
:
) Div1 = Div0 (1 + g
Div0
. $3
( : 4
. %10 (. g =%10
221
%15
.
$60
$3
= $60
0.15 0.10
P0 .g g %12,5
$3
= $120
0.15 0.125
$60 $120 g %10( %2.5 . %12,5
P0 g
.
P0 g
.r g r .
: ( : 5
2 D
$.5 :0
6 g
% :
1 r
%2 :

:
) D1 = D0 (1 + g
D1 = ($2.5)(1 + 0.06) = $2.65
$2.65
= P0 = $44.16
0.12 0.06
.$44.16

.
: Differential growth :
222
.

(. 1
( 1
( : 6
. 1
$1.15
%15 ( . g1 = 15% ( g 2
%10 . r %15
( 2 .
. %15 .
.
.
( 2

%10
223
%15
: :
: :

)(g1
5..0
1 1.15 0.15 1
1.32
1 0.15 2
25
1.52
1 0.15 3
09
1.74
1 0.15 4
90
2.01
1 0.15 5
14
$0 = 0-.
.

. g=r .%15
.
:
.
:

) Div 5 (1 + g 2
$2.0114 1.10 6
= $2.2125
224
Div 5 (1 + g 2 ) 2
$2.0114 (1.10) 2
= $2.4338
7
Div 5 (1 + g 2 ) 3
$2.0114 (1.10) 3
= $2.6772
8
Div 5 (1 + g 2 ) 4
$2.0114 (1.10) 4
= $2.9449 9

.
.
:
Div6 $2.2125
= P5 = = $44.25
r g 2 0.15 0.10

:

P5 $44.25
= = $22
(1 + r ) (1.15)5
5
225

$5 . $22+$5( $27
(: 7
m
Div 0 (1 + g 1 ) t Div m +1
)(7
1
= P0 +
) (1 + r ) r g 2 (1 + r
t m
t =1
:
: . g1
: . g2
: . m
: .m+1 Dm +1
:
1(1 + 0.15)1 1(1 + 0.15)2 1(1 + 0.15)3 1(1 + 0.15)4
Po + + +
(1.15)1 (1 + 0.15)2 (1 + 0.15)3 (1 + 0.15)4
)1(1 + 0.15)5 2.0114(1 + 0.10 1
+ +
(1 + 0.15)2 )(0.15 0.10 (1 + 0.15)5
= 27
: ( : 7
:
%10 : g 1
%5 : g 2
4: m
$2.25 : D0
%14 : r
%10 %5
.
226
: :
t t
4
) D0 (1 + g1 4
)$2.5(1.10
= ) PV ( Dm t
= t
t =1
) (1 + r5 t =1
)(1.14
])3=[(1)(2 2 1

PVIFO.14,t Dt = $2.5(1.10)t

$2.41 0.877 $2.5(1.10)=$2.75 1
2.32 0.769 2.5(1.210)=3.02 2
2.24 0.675 2.5(1.331)=3.32 3
2.16 0.592 2.5(1.464)=3.66 4
$9.13
: ]):[PV(P4
Dm +1 ) D (1 + g 2
= P4 = 4
r1 g 2 0.14 0.05
($3.66)(1.05) $3.843
= = = $42.7
0.09 0.09
1 1
PV ( P4 ) = P4 m
= $42.7 4
(1 + r ) (1.14)
= $42.7(0.592) = $25.27
: :
P0 = $9.13 + $25.27 = $34.4
:

g
.r
g
g
.
227

.
.
.
.
.
.
(: 8

( = +

(8

(
. :

[

] +
=
+ =
1

G + 1 =

Retention Ratio
[
:

= ]+ 1 G
+1

228

(8

g

=g Retention ratio x Return on retained

earnings

.
.

.ROE
.
( 9:
G
=

[
= ]+ 1 G
+1
50
( : 8

ROE %40 .

%16 .

:

.
= 50,000,000 :
%40
= $20,000,000
229
:
%16 = 0.16 20,000,000
.$3,200,000
:

=

3,200.000
= 0.064 =
50,000,000
$53,200,000
( = . 50,000,000 1.064

:

(= g
ROE P =
0.16 %40 =
0.064 =
50
(1.064
,000,000 =
$53,200,000 =
(Discount Rate )r
r .

.

Div1
= P0
rg
200
Div1 = P0 (r g ) :
P0 :
Div1
=r g
P0
r ( 10:
)(10
Div1
=r +g
P0
Div1 .
: Div1/ P0

Dividends Yield g .

.
.
10
.$20
%40 1-( %60
Retention ratio 1 :
-
1.064 $50.000.000( $53.200.000
53.200.000 0.60( 31.920.000 - 2
- 3 10.000.000/31.920.000( 3.192
g=0.064 r:
3.192
= + 0.064 = 0.1596 + 0.064 = 0.2236
$20
:
g . g
.
.
231
g
.
r .g
g r .0.1596
%12 = g r 0.2796 r
.
r
. r
.
.
r Security
:
-1
.

( 6 .
( 6 r -2
g .
g g
.
.g r
Growth Opportunities
.
)Earning Per Share (EPS .
:
EPS = Div
EPS ( Earning Per Share Div .
.Cash Cow
232
Cash Cow
(: 11
)(11
EPS Div
= P0 =
r r
r .

. .
.

.
.
1
. Net Present Value per
) share-of Growth Opportunity (NPVGO .

1

(: 12
)(12
EPS
= P0 + NPVGO
r
:
EPS/r
.
.
( : 9 12

EPS 12 (= 1,000,000/$12,000,000 .
12
. $2,100,000
233
( $2.1
1,000,000/2,100,000 12 / $ 2.1( %17.5
$ %10 .
:
:
: : :
= Po
EPS 12
= =120$
r 0.1

.
: :
:
2.100.000
12.000.000 + = $9.000.000
0.1
2.100.000
r ) .(1+ r

.
$9.000.000
= 8181818
(1.1)1
NPVGO ( $8.18 $8.181.818/1.000.000
:
EPS / r + NPVGO = $120 + $8.12 = $128.12
:
1 2
0

1200 11200000000 1..1
$000000 20000000 $000000

1 0 $1..1
2
EPS
12
$

.
244

12
.
. 2
$2.100.000 ( 14.100.000
. 12.000.000 +2.100.000
:
14.
= 100.000
$14.1 1.0 =2
00.000
1
:
EPS 14.1
= P0 = = 141
r 0.10
( :
141
= = 128.18$
(1.1)1
( $8.18 128.18 . $120
: %30 %10
%17.5
:
$14.1
=$47 = 1
0.30
$47
$36 = 0
1.30
( $84 36-120

%21 .%10
255
:
. -1
. -2

.
NPVGO.

.
.
Growth in earning and dividends

versus growth opportunities

NPVGO . NPVGO

NPVGO .
:
(: 10
$1.000.000
. %20
%10 . .%18
)(g
266

=
(
=g Retention ratio x Return on Retained earnings
= 0.2 x 0.10 = 2%

. 1000,000 1-0.2(( $800,000 $816,000
( . 1.02$800,000 $800,000( $832,323
(1.02)2 ..... .
%2 .

%10 .%18
.
NPV
.

$ 1,000,000
5555555.6 =
0.18

Div1
=
rg
800,000
= )(1.02
.18 - .02
= 5,100,000
277
.

.
.

.
:
:

.

.
.Stockholders

.
.

.

. Constant Growth model
NPVGO
The dividend growth model and the NPVGO model

Cash Cow :
238
+ =

(

Growing perpetuity
.
.Dividend growth model
. .
NPVGO .
:
( : 11 $15 EPS
.%40 %16
.%20
( .
.
.NPVGO
:
: :
$6 = $15 %40 -1 =
-1 -2 =
%40 -1 =
%60 =

g=

)(ROE
%20 %=60
1
=
%2
299
=
Div1 6
= P0 = = $150
r g 0.16 0.12
:NPVGO

.
:
. -1
. -2
-3
. ( Cash Cow
* 2 .3
1 :
- 1
= EPS
= $15 0.60
= $9
-
= $9 %20
= $1.8 .
$9
$1.8
%0.16:
$1.8
NPV = $9 + = $2.25
0.16
$2.25
1 2
$2.25 1
.
200
-1
.%12
%60
%12 2 1.12$9( 10.08
4 1.12$10.08( $11.29 4
$12.64.
: %20
0.20$10.08( $2.016
$10.08 .
: NPV 2
$2.016
$10.08 + = $2.52
0.16
$2.52 NPV 2
. 3 .
0.2011.29( $2.258 $11.29 .3
NPV 3
$2.258
$11.29 + = $2.822
0.16

. NPV

2.25 2.52 2.822
= NPV 1
+ 2
+ +
)(1.16 )(1.16 (1.16) 3

%12
. NPV
3 2 1 %12
1 1.12( 2.25 2.52 .
2.822 1.12 2.52
.2 1.12( 2.25 :
241
2.25 2.25 (1.12)1 2.25 (1.12) 2

= NPV + + +
(1.16)1 (1.16) 2 (1.16) 3

2.25
NPVGO = $ = $56.25
0.16 0.12
$2.25 NPV
1 NPVGO
$56.25 .

.$56.25
-3 Cash Cow :
. $15
. Perpetuity
:
Div $15
= = $93.75
r 0.16
:
NPVGO + =
$ 150 = 56.25 + $ 93.75

NPVGO .
):Price-Earnings Ratio (P/E

.
.
.P/E Ratio

+ =

EPS
= ) price. per.sahre ( P0 + NPVGO
r
242
EPS
P0 1 NPVGO
= +
EPS r EPS
(/
.NPVGO P/E
:

$5 EPS ( : 12
.
$120
$40 24
( $120/$5 8 ( . $40/$5

.

.
( 1
.2005
(1
P/E Ratio
33
32.92
31.63
15.66
13.85
10.77
28.94
19.17
17.33
233
15.67
14.76
12.91
21.3
28.35
.$1
.
$1 .
P/E (
.

. P/E .

.
( 2

500 .

.

2005/9/22 2005
2005/9/22

%
1.4 5.69 40.33 430
0 16.21 79.22 438.6
0.82 8.95 52.71 348
0 11.45 45.44 337.2
1.61 3.85 36.85 116.3
244
2005/9/22

%
0.14 16.56 84.49 538.7
0.66 8.51 50.82
1.27 2.03 32.05 193.9
1.59 3.55 28.51 75.6
0.48 3.39 30.84 420
0.71 1.38 37.57 170
0 11.9 47.82 435
0.83 2.7 33.55
2.08 3.9 23.25 96.1
0.6 4.44 38.15 332
0 1.23 19.78 40.2
1.82 12.57 32.25 192.3
0 3.78 73.13 87.6
0 3.62 )((M( 37.8
1.63 9.53 33.57
3.54 5.92 19.5 240
2.51 2.84 17.76 79.6
0 2.38 35.74 125.3
0.88 4.13 61.01 113.3
0 4.33 59.14 57
0 6.83 68.56 74.2
1.34 1.32 35.58 248.3
0 2.16 ))(M( 52.8
1.6 5.69 51.28 62.6
3.25 1.92 25.98 77
1.8 8.86 28.23 138.6
0 6.76 )((H 39.1 % 50
0 4.23 62.46 45.6
0 12.31 ))(H 64.2 % 50
0 13.77 )((H 137.7
1.24 4.19 40.49
255
2005/9/22

%
1.13 6.36 40.73
( 2
2005
2008
( 3:
(3
2008/12/31

%
P/BV P/E
2.21 2.33 11.28 171.2
1.46 2.35 9.9 82.8
3.08 1.78 9.37 88.3
6.9 1.51 6.68 42
4 1.56 6.89 43.5
0 2.68 11.96 58.6
9.09 1.51 11.27 11 % 55
0 1.15 )((H 7.15 % 50
0 1.36 7.49 24.7
2.85 1.96 10.49
11.09 1.27 90.2
5.54
10.29 0.87 20.6
6.46
0.97 1.81 114.1
8.05
4.99 0.94 37.1
3.88
9.46 1.84 7.88
37
7.41 1.36 6.12
9.54 1.24 36.7
8.21
7.02 2.18 99.7
8.26
1.94 0.75 6.08
49
3.61 2.95 100.6
6.31
266
2008/12/31

%
P/BV P/E
7.08 1.36 35.3
7.86
0 0.62 17.34
11.5
0 1.54 25.61
17.4
4.01 2.56 6.61
2.49 1.11 109.5
7.28
3.59 3.27 111.5
16.03
8.48 0.84 37.5
6.97
0 1.24 29.1
9.75
0 0.7 5.52
11
8.29 1.15 18.1
8.57
5.4 0.64 72.2
7.47
0 0.67 9.05
7.62
6.76 1.63 22.2
8.25
2.73 1.82 49.9
12.6
5.38 1.97 130.1
4.35
5.78 1.32 16.01
8.65
0 1.54 ))(H
19.5
0 2.88 21.6
61.1
5.85 1.64 20.5
6.73
3.14 1.72 15.82
30.3
2.77 2.91 120.3
12.35
2.22 3.34 14.59
41
0 0.84 8.55
8.7
0 2.19 13.62
27
6.15 4.23 7.71
48
0 1.82 22.5
7.81
2.39 1.68 11.12
P/E
PEG ( PE Growth
:
277
PE
= PEG

=

(: 13
- 112
36
70 . 26
108 .
: PEG
:
:

= P/E

=

148 36 + 112
$ 5.7 = = =
26 26
108
19 = =P/E
5.7
70 112
%60 = =
70
19 P/E
%32 = = =PEG
60
248
d
> P/E
.PEG
299

اساسيات التعامل فى البورصة باستخدام مفاهيم التحليل المالي

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اساسيات التعامل فى البورصة باستخدام مفاهيم التحليل المالي

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Fundamental Analysis

) (60% = 108 ) (40% = 72

= ) 200 - = 750 550 (

750000 1500000 485148

.2 ): (Acid-Test Ratio or Quick Ratio

0000 + 0000 + 3500

.2 )(Gross Profit Margin

0.057 7.3% 0.78

0.127 ()0.163 0.78

Exchange promissory notes

Deposit Gold Certificates

(100,000 )0.14 100,000 +

FVt = PV(0) t r ()1

NPV= PV- cost

( )p.62 Ross et al, 2005 :

( :)6 10,000 100

1.3605 1.3108 1.2625 4

The Power of Compounding

:Present Value and Discounting

( 5000) 5,000 : %12

5,000 5,000( 10[ + 11,000= ])0,12 .

(- ii) Initial investment

Annual Percentage Rate

:Compounding Over Many Years

P )Continuously Compounded Rate (r

)Capital Assets Pricing Model (CAPM

] ) X (R R )(R R ) + ...... + X (R R )(R R

X E (R R )(R R ) + X E (R R )(R R ) + ....

X's )(4-13 )(5-13

RA = .07 + (.15)(1.3) .03(22 16) = .085 = 8.5%

RC = .07 + (.15)(1) .03(.03(17 16) = .19 = 19%

R2 = .08 + (.12)(.08) + .06(.08 .07) + .03(18 14) + .005

R3 = .08 + (.12)(1.3) + .06(.06 .07) + .03(11 14) + .005

RB = 7% + .9(17% 7%) = 16%

RC = 7% + .5(17% 7%) = 12%

RD = 7% + 1.5(17% 7%) = 22%

Beta is easily Rolled

( :)1 100000 .$1000

$100 )$1000 100000 ( . -1

5.000.000 5.000.000 100.000.000

: )Pure Discount (zero coupons

100 100 100

$65 $65 $65 $1000

PV = $65 A08.05 + $1000 / 1.058

(1 + (0.10 / 2))2 1 = 1.052 1 = 10.25%

( :)8 .%10 $50

$100 $1000 + $100

$100 $1000 + $100

$100 $1000 + $100

. Div = ... = Div2 = Div1

)Div1= Div0 (1+g D

=g Retention ratio x Return on retained

$000000 20000000 $000000

Growth in earning and dividends

=g Retention ratio x Return on Retained earnings

2.25 2.25 (1.12)1 2.25 (1.12) 2

):Price-Earnings Ratio (P/E

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