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1、财务管理,江萍 2010年秋季,Handout 3,Outline,1. Risk and Return 2. CAPM(资本资产定价模型) 3. Discount Rates 4. Raising Capital(融资) 5. Capital Structure 6. Capital Budgeting with Debt(有负债情况下的资本预算),1. Risk and return,Statistics review Introduction to stock price behavior,Examples,In November 1990, AT&T was considering a
2、n offer for NCR, the 5th largest U.S. computer maker. How can AT&T measure the risks of investing in NCR? What discount rate should AT&T use to evaluate the investment?,Underwriter 承销商 IPO 首次公开发行 SEO 新股增发 Market maker 做市商 Bid price 卖价,Random variable随机变量 Parameter 参数 Mean 均值 variance 方差 Skewness 曲度
3、observation观察值,Median 中位数(样本观测值中小于其的数占50%) VaR 风险价值 (给定置信区间的一个持有期内的最坏的预期损失),Normal random variable正态分布随机变量 Symmetric distribution 对称分布 confidence interval 置信区间,Covary 共同变化 Covariance 协方差 Correlation 相关系数 Stdev. 标准差,Predict return 预测收益 Time series 时间序列 Volatility 波动性,Stocks are quite risky.,Individua
4、l stocks (私企股票) are much riskier.,Stocks tend to move together over time: when one stock goes up, other stocks are likely to go up as well. The correlation is far from perfect.,Stock returns are nearly unpredictable. For example, knowing how a stock does this month tells you very little about what w
5、ill happen next month. The greater the risk, the higher the return.,Introduction to stock price behavior,Market volatility changes over time(市场价格波动率随时间变化) Prices are sometimes quite volatile. The standard deviation of monthly returns(月收益率 )varies from roughly 2% to 20%.,Introduction to stock price b
6、ehavior,代表性的,Size 公司规模 Sorted 分选,分类 decile 十分位数,代表性特征,规模效应 小企业的表现通常好于大企业,尤其在一月。 一月效应 各企业一月的平均收益均高于其他月份。 市帐比(价值)效应 市场价值与账面价值比值较低的公司绩效较好。 惯性效应 过去3到12个月股票收益率较高的企业在未来一 段时间股票的表现依旧会好于收益率低的企业。,资本资产定价模型 度量风险 系统性和可分散风险 风险收益之间的权衡取舍,投资多元化 (分散化) 只要股票之间不是完全正相关,分散就投资可以降低风险。 投资组合的方差主要取决于各股之间的协方差,而非个股 方差。系统性风险不可分散。
7、,Number of Securities,St. Deviation,Market Risk 市场风险 或systematic risk 系统性风险,Unique Risk独特风险 或Diversifiable risk可分散风险 或Unsystematic risk非系统性风险,为什么分散化可以降低风险?,资本资产定价模型,股票价格取决于公司本身的经营状况和整个市场 环境。但是投资者往往只关心不可分散风险,即 系统性的市场风险。 个股的不可分散风险可以通过beta来度量,即个 股收益对市场收益做回归所得斜率。 预期收益率是betas的线性函数。 (市场风险溢价),Beta,回归斜率 个股对
8、于整个市场波动的敏感程度如何? 其他股票价格波动是所研究股票的价格如何变化? =企业本身经营带来的不可风散的、非系统性的风险。 =个股之于市场收益的敏感度。 R2=拟合优度,度量整个方差能被市场收益变化解释的比例。,无风险收益率=国库券收益率,(mutual funds 共同基金),CAPM应用,量化风险 股票或投资所对应的越大,则投资风险越大。 有效估值 提供了估计企业资本成本(风险调整后的贴现率) 的有效手段。 提供基准 估计股票或投资基金考虑风险情况下的表现。 (美国有近74%的企业用CAPM模型估计资本成本),3.,(growing start-up 成长性企业),如果是开辟新的生产线
9、或多元化的企业,则用企业来衡量项目的资本成本是不当的。,市场收益率用市场指数如标普500来衡量,该企业的产品或服务要在不同的市场出售吗?,期限匹配 ,求长期项目资本成本用长期国债利率,短期项目用短期国债。,(税后加权资本成本),(权数为债务和权益在总资产或企业总价 值中的占比,t为公司税),(使行业的使用复杂化),多因素模型,通常不能涵盖所有的和重要的风险因素。 风险度量 将企业的预期收益对影响其的所有宏观经济风险因子做回归。 预期收益与风险线性相关。,4.,4.1 Overview,融资,内部融资 企业内部产生的现金流,通常指留存收益 举借债务 债券或商业票据、银行贷款(贷款承诺或信贷限额等
10、)、私募资金和租赁等 权益性再融资 普通股或优先股、权证和私募资金等,Differences Between Debt and Equity,Debt Not an ownership interest Creditors do not have voting rights Interest is considered a cost of doing business and is tax-deductible Creditors have legal recourse if interest or principal payments are missed Excess debt can l
11、ead to financial distress and bankruptcy,Equity Ownership interest Common stockholders vote to elect the board of directors and on other issues Dividends are not considered a cost of doing business and are not tax deductible Dividends are not a liability of the firm until declared. Stockholders have
12、 no legal recourse if no dividends are declared An all-equity firm cannot go bankrupt,债权和股权的区别,债权 非所有权利益 债权人无投票权 利息作为经营成本在税前扣除 债务人违约不能正常支付利息和本金的时候,债权人可以诉诸法律 举债过多使企业陷入财务困境,增加代理成本,股权 所有权利益 在选举董事会成员或公司重大决策时普通股东有投票权 股息在税后扣除,无税收屏蔽作用 股息非强制发放,但是一旦公告即成法定债务 全权益融资的公司不会走向破产,术语 可转换、可赎回债券和优先股 优先股 零息债券、纯贴现债权、附息债券
13、 垃圾债(信用评级公司发行的债券),The debt ratings depend on (1) the likelihood that the firm will default and (2) the protection afforded by the loan contract in the event of default. 债券评级取决于:(1)企业违约的可能性;(2)贷款合同所规定的企业 违约时对债务的补救措施。,Issue bond,穆迪和标准普尔评级,Credit Analysis 5Cs of Credit,1.Character (借款人品德) Character ref
14、ers to borrowers willingness to meet credit obligation. ( 借款人履行借款义务的意愿) Managements integrity and commitment to repay the loan(管理者正直诚实,归还贷款的承诺) Managements business qualifications and operating record(管理者的业务素养和经营业绩) Managements ability to react appropriately to unexpected events(管理者有效应对不可预知事件的能力) Co
15、rporate governance structure (公司的治理结构),Credit Analysis-5Cs of Credit,2. Collateral (担保) Collateral includes the assets offered as security for the debt as well as other assets controlled by the issuer. 3. Capital(资本): the firms financial reserves. 4. Conditions(经营情况) General economic conditions, inc
16、luding recent trends in the industry and how changing economic conditions might affect the loan.,Credit Analysis-5Cs of Credit,5. Capacity (借款能力) Capacity refers to the borrowers ability to meet credit obligations out of operating cash flows. Moodys uses the following factors in assessing the issuers capacity to pay industry trends, regulatory environment, operating and competitive position, financial position and sources of liquidity, parent company su