a-share-dcf-valuation

# A-share DCF Valuation Modeling ## Trigger Conditions Use when user requests DCF (Discounted Cash Flow) valuation analysis for an A-share stock. ## Environment Requirements ### Required Environment Variables | Variable | Description | How to Obtain | |----------|-------------|---------------| | `TUSHARE_TOKEN` | Tushare API token (mandatory) | Register at https://tushare.pro, get token from user center | | `OPENCLAW_WORKSPACE` | Workspace root path (optional) | Defaults to `~/.openclaw/workspace` | ### Python Dependencies | Package | Version | Purpose | |---------|---------|--------| | `tushare` | Latest | A-share financial data API | | `pandas` | ≥1.0 | Data processing | | `numpy` | ≥1.18 | Numerical calculations | | `scipy` | ≥1.4 | Beta regression (stats module) | ### Setup Instructions 1. **Configure Tushare Token**: ```bash # Add to ~/.bashrc or ~/.bash_profile export TUSHARE_TOKEN="your_token_here" source ~/.bashrc ``` 2. **Install Python Dependencies**: ```bash pip install tushare pandas numpy scipy ``` 3. **Verify Setup**: ```bash python3 -c "import tushare as ts; ts.set_token('$TUSHARE_TOKEN'); pro = ts.pro_api(); print(pro.stock_basic(ts_code='600519.SH'))" ``` ### Troubleshooting | Error | Cause | Solution | |-------|-------|----------| | `未设置 TUSHARE_TOKEN 环境变量` | Token not configured | Add export to shell profile | | `Tushare API 获取失败` | Invalid token or network issue | Verify token, check network | | `No module named 'tushare'` | Package not installed | `pip install tushare` | | `Beta 回归数据不足` | Stock newly listed | Use industry default Beta | ## Quick Start ``` User input: "对 贵州茅台 600519 做 DCF 估值" → Run: python3 scripts/a_share_dcf.py 600519.SH → Report saved to: reports/dcf_贵州茅台_YYYY-MM-DD.md ``` ## Valuation Methodology **Method**: Two-stage FCFF (Free Cash Flow to Firm) discount model **Formulas**: - FCFF = Operating Cash Flow - Capital Expenditure - WACC = We×Re + Wd×Rd×(1-T) - Terminal Value = FCFF_n × (1+g) / (WACC - g) - Equity Value = EV - Net Debt - Per-share Value = Equity Value / Total Shares **Three-Scenario Assumptions**: | Scenario | WACC | Growth Rate | Perpetual Growth | |----------|------|-------------|------------------| | Conservative | WACC + 3% (min 14%) | 50% of 3-year avg | 2% | | Base | Calculated WACC | 80% of 3-year avg | 3% | | Optimistic | WACC - 3% (min 7%) | 100% of 3-year avg | 4% | ### Scenario Assumption Rationale **Conservative Scenario**: Higher WACC reflects elevated risk premium; reduced growth rate accounts for potential downside from competition, regulation, or macro headwinds. Suitable for risk-averse investors. **Base Scenario**: Uses calculated WACC from company-specific beta and capital structure; growth rate anchored to historical average but tempered for maturity trajectory. Represents most likely outcome under normal conditions. **Optimistic Scenario**: Lower WACC assumes favorable risk environment; full historical growth reflects best-case execution. Appropriate for growth-oriented analysis or upside case. ## Execution Steps ### 1. Determine Stock Code Format Tushare uses `XXXXXX.SH` (Shanghai) or `XXXXXX.SZ` (Shenzhen) format: ```python # Auto conversion if code.startswith('6'): ts_code = f"{code}.SH" elif code.startswith(('0', '3')): ts_code = f"{code}.SZ" ``` ### 2. Run Valuation Script ```bash cd $OPENCLAW_WORKSPACE && python3 skills/a-share-dcf-valuation/scripts/a_share_dcf.py <TS_CODE> [公司名] # Example: python3 skills/a-share-dcf-valuation/scripts/a_share_dcf.py 600519.SH 贵州茅台 ``` **Note**: `$OPENCLAW_WORKSPACE` defaults to `~/.openclaw/workspace`. Use relative paths from workspace root for portability. ### 3. Check Output - Terminal displays real-time progress and key metrics - Markdown report saved to `reports/dcf_{公司名}_{日期}.md` - Verify report contains all required sections ### 4. Report to User First provide summary conclusion, then report path: ``` ## DCF 估值完成 — {公司名} | 场景 | DCF每股价值 | vs 当前股价 | |------|------------|------------| | 保守 | ¥XX.XX | -XX.X% | | 中性 | ¥XX.XX | -XX.X% | | 乐观 | ¥XX.XX | -XX.X% | 当前股价: ¥XXX.XX 完整报告: reports/dcf_{公司名}_{日期}.md ``` ## Important Notes ### Data Source - **Tushare** is the sole data source (requires TUSHARE_TOKEN environment variable) - If Tushare fetch fails, inform user that data is unavailable; do not fabricate data ### Beta Calculation - Use ~500 trading days (~2 years) regression against CSI 300 (000300.SH) - If regression R² < 0.1 or insufficient data, use industry default Beta: - Tech/Semiconductor: 1.5 - Consumer/Healthcare: 0.8 - Financial/Banking: 1.0 - Cyclical/Manufacturing: 1.2 - Others: 1.2 ### WACC Parameters (Dynamic Calculation) The following parameters are **NOT hardcoded fixed values**. They are dynamically determined with explicit data sources and rationale: #### 1. Risk-Free Rate (RF) | Approach | Source | Value Range | |----------|--------|-------------| | **Primary** | China 10-year Treasury yield | 1.8% - 4.5% (historical) | | **Reference** | 中债估值 | ~2.1% - 2.5% (2024-2025) | | **Fallback** | Recent 10Y bond average | 2.25% (default) | **Method**: Query public bond yield data; if unavailable, use recent reference value with explicit notation. #### 2. Equity Risk Premium (ERP) **Correct Terminology**: ERP (Equity Risk Premium), not MRP (Market Risk Premium). | Source | ERP Estimate | |--------|--------------| | Damodaran (2024) | 6.5% for China | | 中金/中信研报 | 5% - 8% | | 程晓明等学术研究 | 6.0% - 7.5% | | Historical calculation (A股20年平均收益率 - RF) | 5.5% - 7.0% | **Industry Adjustment**: - Tech/Semiconductor: +1.0% to 1.5% - Financial: -1.0% - Consumer/Healthcare: 0% **Method**: Base ERP 6.5% + industry-specific risk adjustment. #### 3. Debt Cost (Rd) | Approach | Formula | |----------|---------| | **Primary** | LPR 1Y + Credit Spread | | **LPR Reference** | 3.1% (2025 1-year LPR) | | **Credit Spread** | 0.5% - 1.5% based on rating | | Company Profile | Estimated Rd | |-----------------|--------------| | Low debt (<10%), strong credit | 3.6% (LPR + 0.5%) | | Moderate debt (10-50%) | 4.0% (LPR + 0.9%) | | High debt (>50%) | 5.0% (LPR + 1.9%) | **Method**: Estimate based on company's debt ratio and implied credit quality. #### 4. Tax Rate (Tax) | Source | Rate | |--------|------| | **Primary** | Actual effective tax rate from financial statements | | **High-tech enterprise** | 15% (qualified) | | **General corporate** | 25% | **High-tech Identification Criteria**: 1. Industry: 电子、半导体、计算机、通信、医药生物、医疗器械、新能源、电力设备 2. Gross margin > 30% (common indicator of tech companies) **Method**: First attempt to extract actual tax rate from income statement; if unavailable, determine based on industry and gross margin characteristics. ### Special Cases - **Financial stocks (banks/insurers/brokers)**: Standard DCF not applicable (FCFF meaningless), use PB-ROE or DDM model, inform user - **Loss-making companies**: When FCFF is negative with no recovery signs, DCF not applicable, use alternative methods - **ST/*ST stocks**: Alert user to delisting risk ### Report Quality - All amounts in "亿元" (100 million yuan) - Growth rates in percentage - Two decimal places - Annotate data source and timeliness - Must include disclaimer ### Risk Disclosure (Dynamic Generation) The "Risk Disclosure" section must be dynamically generated based on company and industry characteristics, NOT hardcoded. The script should: 1. **Industry-specific risks**: Map company's industry to relevant risk factors 2. **Company-specific risks**: Analyze financial data to identify company-level risks 3. **Model risks**: Always include DCF sensitivity to WACC and perpetual growth 4. **Macro risks**: General economic, interest rate, and policy risks **Industry Risk Mapping**: | Industry | Key Risk Factors | |----------|------------------| | 科技/半导体 | 技术迭代快、研发投入大、国际竞争、供应链风险 | | 消费/食品饮料 | 品牌溢价风险、消费降级、渠道变革 | | 医药/医疗 | 政策监管（集采）、研发失败、专利到期 | | 金融/银行 | 利率周期、信用风险、监管趋严 | | 周期/制造 | 经济周期敏感、产能过剩、环保政策 | | 新能源/光伏 | 技术路线竞争、产能扩张过快、补贴退坡 | | 房地产/建材 | 政策调控、去杠杆、销售疲软 | | 互联网/传媒 | 用户增长放缓、监管趋严、变现模式受限 | | 交通运输 | 油价波动、需求周期、基础设施投资 | | 其他 | 行业竞争格局变化、政策不确定性 | ## Report Structure (Markdown, output in Chinese) ```markdown # DCF 估值报告 — {公司名} ({TS_CODE}) > 估值日期 | 当前股价 | 总市值 | PE | PB ## 一、公司基本面概览 - 公司简介 - 历史财务数据表(7年) - 关键财务指标(最新年报) ## 二、WACC 计算 - 参数表格(Rf, Beta, MRP, Re, Rd, Tax, We, Wd, WACC) ## 三、三场景 DCF 估值 - 场景假设表(含设定依据说明) - 估值结果表 ## 四、敏感性分析 - WACC × 永续增长率 矩阵 ## 五、关键假设 - 列出核心假设 ## 六、风险提示(Dynamic) - 根据公司行业特性、财务状况动态生成针对性风险提示 ## 七、结论 - 估值区间 - 与当前股价对比 - 简要分析 > 免责声明 ``` ## File Organization All paths should be relative to the workspace root (`$OPENCLAW_WORKSPACE` or `~/.openclaw/workspace`): - **Script**: `skills/a-share-dcf-valuation/scripts/a_share_dcf.py` - **Report**: `reports/dcf_{公司名}_{YYYY-MM-DD}.md` **Important**: Avoid absolute paths like `/home/laigen/` in the script. Use environment variable `$OPENCLAW_WORKSPACE` or relative paths for portability.