CFA习题笔记.docx
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CFA习题笔记.docx
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CFA习题笔记
FS被investor和creditor有用,还有govregulator,taxauthority和其他,提供short-termliquidity,long-termearningpower,growthopportunity和assetpositionofthefirm.还应该是relevent,timely,reliable,material和consistent允许time-series和cross-sectional比较。
TheFinancialAccountStandardsBoard(FASB)是美国的,建立了GenerallyAcceptedAccountingPrinciple(GAAP)
TheInternationalOrganizationof SecuriiesCommission(IOSC)建立跨过的disclosure标准
TheInternationalAccountingStandardsBoard(IASB)目标是提供internationaluniformity,虽然没有执行力,但很多国家还是采用IASBGAAP
除了Balancesheet,incomestatement和statementofcashflow,分析师还应该看financialstatementfootnotes,statementofcomprehensiveincome,statementofstockholders’equity,proxystatement,supplementaryschedules和managementdicisionandanalysis(MD&A).
独立auditor有doubts,就说qualifiedopinion;auditor能提供reasonableassurance证明报表没有materialmisstatement,就说unqualified
revenue和expense在earn和incur时候就实现了,不管cashflow是什么时候。
matchingprinciple要求expense在revenue实现的同时记录。
实现revenue的条件,completionoftheearningprocess和assuanceofpayment
实现revenue的方法,salebasismethod,percentage-of-completionmethod,completedcontractmethod,installmentsalesmethod,costrecoverymethod
unusualorinfrequentitems:
是pre-tax在netincomefromcontinuingoperations之前。
线上
gainsoflossesfrom关掉businesssegment
gainsoflossesfrom下属公司卖assetsorinvestments
provisionsforenvironmentalremediation
impairments,write-offs,write-downs和restructuringcosts
integrationexpense跟收购有关
Extrodinaryitems:
是netoftaxes在netincomefromcontinuingoperation之后。
线下
lossesfromexpropriationofassets
uninsuredlossesfromnaturaldisasters
discontinuedoperation:
是管理层决定disposeof但还没做或当年没做,在operation已经有income或者loss之后。
必须在实质上与公司别的活动不一样。
是netoftax,在线下
accountingchange,累积效应,是aftertaxbasis在线下,通常不需要restate历史,除非:
1.库存会计方法改变
2.改变(to/from)full-costmethod,比如油气开采
3.改变(to/from)percentage-of-completionmethod
4.IPO前的任何改变
操纵earnings和managerialdiscretion,4种操纵方法:
1.classificationofgood/badnews,好消息放在线上,坏消息放在线下
2.incomesmoothing,好年份做小,坏年份做大
3.bigbathbehavior,所有坏消息统一公布
4.accountingchange,用来smoothearnings
CFO,CFI,CFF里面容易混的几个,interestpayment,receipts和dividends,USGAAP下,公司给股东的dividends是CFF,其他的dividends和interestexpense都是CFO,在IASGAAP下,花掉的dividends和interests可以是CFO也可以是CFF,收入的dividends和interests可以是CFO也可以是CFI
direct和indirectmethod算CFO
indirect,bottomup,从下至上,netincome开始,netincome–gains+lossesfromfinancing和investing+non-cashcharges+-asset和liability因为operation的改变
direct,topdown,从上到下,sales开始,sales-cogs-cashoperatingexpense–interestexpense-taxes
cashflow的分类,不是影响incomestatement就是影响balancesheet;asset减小,liability和equity增加是正现金流。
asset增加和liability和equity减小,是负现金流。
CFI,买property,plant和equipment,investments,acquisition和卖asset和business产生的cash
CFF,capitalstructure改变的交易。
dividendspaid,short-termborrowing的改变,long-termborrowing和paymentoflong-termborrowing,stocksalesandrepurchases
FreecashflowFCF=CFO-netcapitalexpenditure
5个影响跨国报表的因素
legalsystem,taxlaws,sourcesoffinancing,inflationrates,politicalandeconomicties
公式:
currentratio=currentassets/currentliability
quickratio=(cash+marketablesecuries+receivables)/currentliabilities
cashratio=
cashconversioncycle=avg.receivablecolletionperiod+avg.inventoryprocessingperiod-payablepaymentperiod
receivableturnover=netannualsales/avg.receivables;avg.receivablescollectionperiod=365/receivableturnover
payableturnover=COGS/avg.tradepayables;payablepaymentperiod=365/payablesturnoverratio
inventoryturnover=COGS/avg.inventory;avginventoryprocessingperiod=365/inventoryturnover
Totalassetturnover=netsales/avgtotalnetassets
fixedassetturnover=netsales/avgnetfixedassets
equityturnover=netsales/avgequity
在common-sizeincomestatement能找到
grossprofitmargin=grossprofit/netsales
netprofitmargin=netincome/netsales
operatingprofitmargin=operatingprofit/netsales=EBIT/netsales
ROTCreturnontotalcapital=(netincome+interestexpense)/averagetotalcapital
returnontotalequity=netincome/avg.totalequity
returnoncommonequity=(netincome–preferreddividends)/avg.commonequity
ROE
threecomponents,traditionalapproach
=netincome/sales×sales/assets×assets/equity=netprofitmargin×assetturnover×equitymultiplier
假如ROE低,可能是poorprofitmargin或者poorassetturnover,或者under-leverage
fivecomponents,extendedsystem
=(EBIT/sales×sales/assets-interestexpense/assets)×asset/equity×(1-t)
=(operatingprofitmargin×totalassetturnover-interestexpenserate)×financialleveragemultiplier×taxretentionrate
industryaverages,economy-widefirmaverages和公司自己的历史performance
D/Eratio=totallong-termdebt/totalequity
totaldebtratio=(currentliability+totallong-termliability)/(totaldebt+totalequity)
interestcoverage=EBIT/interestexpense
cashflowtolong-termdebt=CFO/(bookvalueoflongtermdebt+PVofoperatingleases)
fixedfinancialcoverageratio(要把leaseinterestexpense加到分子分母)
ratio的局限:
独立看没用,不同的accounting方法导致横向对比困难,跨行业的公司对比困难
retentionrate=1-dividendsdeclared/operatingincomeaftertaxes
g=retentionrateXROE
common-sizebalancesheet是所有的BS项目以percentageoftotalassets表示
common-sizeincomestatement是所有IS的项目以percentageofsales表示
dilutivesecurities:
stockoption,warrants,convertabledebt和preferredstock,行权时会减小EPS
antidilutive:
行权时会增加EPS
simplecapitalstructure,没有dilutivesecurities的结构,只有commonstock,nonconvertibledebt和nonconvertiblepreferredstock
complexcapitalstructure,有dilutive的结构,要求reportbisicEPS和dilutedEPS
bisicEPS=(netincome–preferreddividends)/weightedaveragenumberofcommonsharesoutstanding
dilutedEPS
每个dilutivesecurities要分别判断是不是会dilute
convertiblepreferreddividends/sharesfromconversionofpreferredstocks或者
convertibledebtinterest(1-t)/sharesfromconversionosdebt假如值小于basicEPS,那么就是dilutive,因为转换后收益高
dilutedEPS=调整后给commonstocks的income/(weightedavgcommonstock+转换的股份)
调整后的income=earningforcommonshares+可转换优先股的dividends+可转债的aftertaxinterest
Treasurystockmethod,只要行权价低于均价,就会增加shares
newshares=(avgmarketprice–exerciseprice)/avgmarketpriceXsharescoveredbyoptions/warrants
inventoryvaluationmethod
FIFO,早买的早进COGS
LIFO,晚买的早进COGS
weightedaveragecosting
涨价时,LIFO的inventory会低估,用LIFOreserve来调整LIFO到FIFO,代表没实现的profit和没paid的tax。
调整BS要把LIFOreserve加到inventory,把tXLIFOreserve加到deferredtaxes,把(1-t)×LIFOreserve加到retainedearnings
COGSF=COGSL-(endingLIFOreserve-beginningLIFOreserve)
Profitabilityratio用LIFO衡量,asset和equity用FIFO衡量;COGS用LIFO更好,FIFO要调整成LIFO
Liquidityratio用FIFO更好,inventory用FIFO更好,LIFO要调整成FIFO
Activityratio,inventoryturnover最好是用LIFO的COGS和FIFO的avginventory
Sovencyratio,调整BS和Shareholders’equity要用FIFO,LIFO要调整。
长期资产,实物资产可以depreciation,naturalresources可以depletion,intangibleasset可以amortize
折旧:
直线折旧=(原值-残值)/折旧年限
SYD折旧(x)=(原值-残值)(n-x+1)/(1+….n)
双重折旧(x)=2/折旧年限Xbookvalueatbeginningofyearx(不管残值)
impairments,carryingvalue大于未来现金流(不折现)就必须impairment
impairment的loss=carryingvalue-fairvalue,假如fairvalue不能算,用未来现金流折现于incrementalborrowingrate
SFAS143要求assetretirementobligation(AROs),要求AROs的现值,加到fixedassets和liabilities中,liability像zerocoupon一样增加,asset就折旧,interestexpense会增加,liabilitiestoequity会增加
taxreturn的术语
Taxableincome
Taxespayable
Incometaxpaid
Taxlosscarryforward
FS上,
pretaxincome
incometaxexpense
deferredincometaxexpense
DTL,BS上incometaxexpense比taxespayable多的部分
最常见的是,incomestatement上的折旧比taxreturn的折旧少。
DTA,BS上taxespayable比incometaxexpense多的部分
比如warrantyexpense,incomestatement上warrantyexpense可以deductible,taxreturn上只有发生了的warrantyexpense才可以deductible
DTL和DTA计算,taxableincome和pretaxincome所有临时的差别X未来的taxrate,notnetted,同时反映在BS上,税率的改变同时影响,netchange反映在当期incometaxexpense
如果asset不断增加,导致DTL不会reverse,分析师会把liability变成equity;如果有可能reverse,要用现值来调整。
免税债券的interest不增加DTL或DTA,要调整到taxespayable=incometaxexpense
parvalue发行的bonds
BS上,bond全程记做facevalue
interestexpense=bookvalueXmarketrate=parvalueXcouponrate
cashflow,interestpayment=couponpayment,CFF=发行价,总结时CFF=redeem价=发行价
溢价或折价发行
BS上,总是premium逐年amortized直到最后0,discount同样;最后回复parvalue
interestexpense=couponpayment–premiumamortization;couponpayment+discountamortization
cashflow,primuimCFO低估,CFF高估
capitallease分类
1.租期结束titletransfer
2.abarginpurchaseoptionexists
3.租期>=75%的设备寿命
4.payment的现值>=90%的fairvalueoftheasset,折现率是lowerthelessee’sincrementalborrowingrateorimplicitinterestrateonthelease,implicitrate是leasepayment的现值=fairvalue
operatinglease:
Lessee,开始时没有entry,rentexpense=leasepayment对income和CFO影响。
footnotes公布未来5年的leasepayment需求
capitallease:
开始时asset和liability增加最小leasepayment的现值,折现率是lowerthelessee’sincrementalborrowingrateorimplicitinterestrateonthelease,implicitrate是leasepayment的现值=fairvalue
分成两部分,CFO减少interestexpense=discountrateXleaseliabilityatthebeginningoftheperiod,CFF减少principalpayment=leasepayment-interestpayment
Offbalancesheetfinancingmethods
take-or-paycontractsandthroughputarrangements:
承诺买一定量在一定时间,价格固定,买方要在footnotes里面披露。
分析师要把这个信息加入FS
saleofreceivableswithrecouse
把receivable卖掉的公司,要把收来的receivable给newowner,记为sales减少receivable增加CFO,买家风险小,卖家承担receivable的风险,就像一个抵押贷款
分析师要加回accountreceivable和currentliabilities,卖掉的CFO要改成CFF
Lessor对于lease的处理
operatinglease,leasepayment是revenue,asset要折旧。
capitallease,
1.如果saleslease,lessor是制造商或者dealer,开始时就算profit;增加netincome,retainedearnings和assets
2.如果是financinglease,只有利息收入算作每期的income
租期当中,operatinglease的netincome会higher,所以两种方式的assetequity和retainedearning是一样的。
ConceptCheckersP17
分析师的role:
根据报表做决策,做决策或建议,根据过去的信息推测将来auditor的role:
保证报表信息无误
balancesheet包含公司在特定日期的financialposition,incomestatement,cashflowstatement和statementofchangesinowners’equity显示一个时间段的performance
会计方法和estimates一般在footnotes里面,financialstatementnotes
auditor会issuequalifiedopini
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