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Discounted Cash Flow (DCF) Valuation

Discounted Cash Flow (DCF) 估值

Overview

概述

DCF estimates a company's intrinsic value by projecting future free cash flows and discounting them to present value using WACC. It answers "what is this business worth based on its future cash generation ability?"
DCF通过预测未来自由现金流，并使用WACC将其折现至现值，来估算公司的内在价值。它回答了“基于未来现金生成能力，这项业务的价值是多少？”这一问题。

When to Use

使用场景

Trigger conditions:
  • User needs to value a company or business unit
  • User evaluating M&A targets or investment opportunities
  • User asks "what's the fair price?" or "build a valuation model"
When NOT to use:
  • For early-stage startups with no revenue → use comparables or venture method
  • For quick relative valuation → use multiples (P/E, EV/EBITDA)
  • For portfolio-level decisions → use BCG Matrix
触发条件：
  • 用户需要对公司或业务单元进行估值
  • 用户评估并购目标或投资机会
  • 用户询问“合理价格是多少？”或“构建一个估值模型”
不适用场景：
  • 针对无营收的早期初创公司 → 使用可比公司法或风险投资估值法
  • 快速相对估值 → 使用倍数法（P/E、EV/EBITDA）
  • 组合层面决策 → 使用BCG矩阵

Framework

框架

IRON LAW: Garbage In, Garbage Out

DCF output is ONLY as good as its assumptions. Every assumption (growth rate,
margin, WACC, terminal growth) must be explicitly stated with justification.
A DCF without an assumptions table is worthless.
IRON LAW: Terminal Value Dominates — Handle with Care

Terminal value typically represents 60-80% of total DCF value. If your
terminal growth rate exceeds long-term GDP growth (~2-3%), you're implying
the company will eventually become larger than the economy. Cap terminal
growth at the risk-free rate or GDP growth.
IRON LAW: Garbage In, Garbage Out

DCF output is ONLY as good as its assumptions. Every assumption (growth rate,
margin, WACC, terminal growth) must be explicitly stated with justification.
A DCF without an assumptions table is worthless.
IRON LAW: Terminal Value Dominates — Handle with Care

Terminal value typically represents 60-80% of total DCF value. If your
terminal growth rate exceeds long-term GDP growth (~2-3%), you're implying
the company will eventually become larger than the economy. Cap terminal
growth at the risk-free rate or GDP growth.

Step 1: Project Free Cash Flows (5-10 years)

步骤1：预测自由现金流（5-10年）

FCF = EBIT × (1 - Tax Rate) + Depreciation - CapEx - ΔWorking Capital
Build projections from:
  • Revenue growth assumptions (top-down or bottom-up)
  • Operating margin trajectory
  • Capital expenditure requirements
  • Working capital changes
FCF = EBIT × (1 - Tax Rate) + Depreciation - CapEx - ΔWorking Capital
从以下方面构建预测：
  • 收入增长假设（自上而下或自下而上）
  • 营业利润率趋势
  • 资本支出需求
  • 营运资金变化

Step 2: Calculate WACC

步骤2：计算WACC

WACC = (E/V × Re) + (D/V × Rd × (1 - Tax))
Where:
  • Re = Cost of equity (use CAPM: Rf + β × Market Risk Premium)
  • Rd = Cost of debt (interest rate on borrowings)
  • E/V = Equity weight, D/V = Debt weight
WACC = (E/V × Re) + (D/V × Rd × (1 - Tax))
其中：
  • Re = 股权成本（使用CAPM：Rf + β × Market Risk Premium）
  • Rd = 债务成本（借款利率）
  • E/V = 股权权重，D/V = 债务权重

Step 3: Calculate Terminal Value

步骤3：计算终值

Gordon Growth Model (preferred):
TV = FCF_final × (1 + g) / (WACC - g)
Where g = terminal growth rate (cap at 2-3%)
Exit Multiple Method (alternative):
TV = EBITDA_final × EV/EBITDA multiple
戈登增长模型（首选）：
TV = FCF_final × (1 + g) / (WACC - g)
其中g = 终值增长率（上限为2-3%）
退出倍数法（替代方案）：
TV = EBITDA_final × EV/EBITDA multiple

Step 4: Discount to Present Value

步骤4：折现至现值

Enterprise Value = Σ FCFt / (1 + WACC)^t + TV / (1 + WACC)^n
Equity Value = Enterprise Value - Net Debt
Per Share Value = Equity Value / Shares Outstanding
Enterprise Value = Σ FCFt / (1 + WACC)^t + TV / (1 + WACC)^n
Equity Value = Enterprise Value - Net Debt
Per Share Value = Equity Value / Shares Outstanding

Step 5: Sensitivity Analysis

步骤5：敏感性分析

Test key assumptions: WACC (±1%), terminal growth (±0.5%), revenue growth (±2%). Present as a sensitivity table.
测试关键假设：WACC（±1%）、终值增长率（±0.5%）、收入增长率（±2%）。以敏感性表格形式呈现。

Output Format

输出格式

markdown
undefined
markdown
undefined

DCF Valuation: {Company}

DCF估值：{Company}

Key Assumptions

关键假设

AssumptionValueJustification
Revenue growth (Y1-5)X%{basis}
Operating margin (terminal)X%{basis}
WACCX%{calculation}
Terminal growthX%{basis}
假设条件数值依据
收入增长率（Y1-5）X%{basis}
终端营业利润率X%{basis}
WACCX%{calculation}
终值增长率X%{basis}

Projected Free Cash Flows

预测自由现金流

YearRevenueEBITFCF
Y1.........
年份收入EBITFCF
Y1.........

Valuation Summary

估值摘要

  • PV of FCFs: $X
  • PV of Terminal Value: $X (X% of total)
  • Enterprise Value: $X
  • Less: Net Debt: $X
  • Equity Value: $X
  • Per Share: $X
  • PV of FCFs: $X
  • PV of Terminal Value: $X (X% of total)
  • Enterprise Value: $X
  • Less: Net Debt: $X
  • Equity Value: $X
  • Per Share: $X

Sensitivity Table

敏感性表格

WACC \ Terminal g1.5%2.0%2.5%
8%$X$X$X
9%$X$X$X
10%$X$X$X
undefined
WACC \ Terminal g1.5%2.0%2.5%
8%$X$X$X
9%$X$X$X
10%$X$X$X
undefined

Examples

示例

Correct Application

正确应用

Scenario: DCF for a Taiwanese SaaS company (ARR NT$500M, growing 25%)
  • Projected 5 years of FCF with declining growth (25% → 15%)
  • WACC 10.5% (justified: Rf 1.5%, β 1.2, ERP 6%, debt cost 4%)
  • Terminal growth 2.5% (Taiwan GDP growth proxy)
  • TV = 72% of enterprise value — within normal range ✓
  • Sensitivity table shows $X range across ±1% WACC
场景： 台湾SaaS公司的DCF估值（ARR NT$500M，增长率25%）
  • 预测5年自由现金流，增长率逐步下降（25% → 15%）
  • WACC 10.5%（依据：Rf 1.5%，β 1.2，ERP 6%，债务成本4%）
  • 终值增长率2.5%（以台湾GDP增长率为参考）
  • TV = 72% of enterprise value —— 在正常范围内 ✓
  • 敏感性表格展示了WACC波动±1%时的$X价值区间

Incorrect Application

错误应用

  • Terminal growth rate of 8% → Implies the company outgrows the economy forever. Violates Iron Law.
  • No assumptions table — just "Enterprise Value = NT$2.5B" → No way to validate. Violates Iron Law.
  • 终值增长率为8% → 意味着公司将永远超过经济体增长。违反铁律。
  • 无假设条件表 —— 仅给出“Enterprise Value = NT$2.5B” → 无法验证。违反铁律。

Gotchas

注意事项

  • Terminal value sensitivity: Small changes in terminal growth or WACC swing valuation 20-30%. Always present a range, not a point estimate.
  • Circular reference in WACC: WACC needs equity value (market cap), but DCF calculates equity value. Iterate or use target capital structure.
  • FCF vs Net Income: DCF uses Free Cash Flow, not earnings. Companies with high capex or working capital needs can have positive earnings but negative FCF.
  • Country risk premium: For Taiwan/emerging market companies, add a country risk premium to WACC (typically 1-3%).
  • Negative FCF in early years: Growth companies may have negative FCF initially. This is fine — the value comes from later years and terminal value.
  • 终值敏感性：终值增长率或WACC的微小变化会导致估值波动20-30%。始终呈现价值区间，而非单点估算值。
  • WACC中的循环引用：WACC需要股权价值（市值），但DCF用于计算股权价值。可采用迭代法或目标资本结构。
  • FCF与净利润：DCF使用自由现金流，而非收益。资本支出或营运资金需求高的公司可能有正收益但负自由现金流。
  • 国家风险溢价：针对台湾/新兴市场公司，需在WACC中加入国家风险溢价（通常为1-3%）。
  • 早期负自由现金流：成长型公司初期可能出现负自由现金流。这是正常现象——价值来自后期年份和终值。

Scripts

脚本

ScriptDescriptionUsage
scripts/dcf.py
Compute DCF enterprise value with terminal value
python scripts/dcf.py --help
Run 
python scripts/dcf.py --verify
to execute built-in sanity tests.
脚本描述使用方法
scripts/dcf.py
计算包含终值的DCF企业价值
python scripts/dcf.py --help
Run 
python scripts/dcf.py --verify
to execute built-in sanity tests.

References

参考资料

  • For WACC calculation details, see 
    references/wacc-calculation.md
  • For comparable company multiples approach, see 
    references/comparables.md
  • 有关WACC计算详情，请参阅
    references/wacc-calculation.md
  • 有关可比公司倍数法，请参阅
    references/comparables.md