花旗银行行业分析-期望模型
Europe
Valuation & Accounting (Citi)
Valuation & Accounting
24 October 2007 56 pages
In Search of Prospects – Sector Focus
Applying Citi’s Prospects Model at the Sector Level
. Sector application — When applied to the MSCI Europe sector indexes, our
prospects model produces wide intra-sector company differences, and fairly
reasonable looking sector medians – which suggests that it is both robust and
possibly useful for stock selection.
. Implied IRR and P/E rankings — We find little overlap between the two. Implied
IRR is a truly different metric, and a richer one than a static single year multiple.
. Equity Risk Premium (ERP) monitoring — We introduce our ERP time series
database and we find that at end September the equity risk premium was higher
than in March, despite a higher risk free rate – which would perhaps explain the
surprising recent strength of equity markets.
. Flexing key assumptions — Implied IRRs are much more sensitive to changes in
assumed fade period than they are to changes in long term growth assumptions.
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