财务报表分析和证-券估值 ，第五版 答案 Financial Statement Analysis and Security Valuation solution SOLUTIONS_MANUAL ，5e.doc

SOLUTIONS TO EXERCISES AND CASES For FINANCIAL STATEMENT ANALYSIS AND SECURITY VALUATION Stephen H. Penman Fifth Edition CHAPTER ONE Introduction to Investing and Valuation Concept Questions C1.1. Fundamental risk arises from the inherent risk in the business – from sales revenue falling or expenses rising unexpectedly, for example. Price risk is the risk of prices deviating from fundamental value. Prices are subject to fundamental risk, but can move away from fundamental value, irrespective of outcomes in the fundamentals. When an investor buys a stock, she takes on fundamental risk – the stock price could drop because the firm’s operations don’t meet expectations – but she also runs the (price) risk of buying a stock that is overpriced or selling a stock that is underpriced. Chapter 19 elaborates and Figure 19.5 (in Chapter 19) gives a display. C1.2. A beta technology measures the risk of an investment and the required return that the risk requires. The capital asset pricing model (CAPM) is a beta technology; is measures risk (beta) and the required return for the beta. An alpha technology involves techniques that identify mispriced stocks that can earn a return in excess of the required return (an alpha return). See Box 1.1. The appendix to Chapter 3 elaborates on beta technologies. C1.3. This statement is based on a statistical average from the historical data: The return on stocks in the U.S. and many other countries during the twentieth century was higher than that for bonds, even though there were periods when bonds performed better than stocks. So, the argument goes, if one holds stocks long enough, one earns the higher return. However, it is dangerous making predictions from historical averages when risky investment is involved. Averages from the past are not guaranteed in the future. After all, the equity premium is a reward for risk, and risk means that the investor can get hit (with no guarantee of always getting a higher return). The investor who h