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1、财务管理基础教案刘德英Essentialsof CorporateFinanceRossWesterfieldJordanThird EditionChapter1公司理财入门公司理财入门Introduction to Financial Management主要概念和技能Key Concepts and Skillsl知道财务管理决策的基本类型和财务经理的作用Know the basic types of financial management decisions and the role of the financial managerl知道财务管理的目标 Know the goal o
2、f financial managementl知道不同企业组织形式财务含义 Know the financial implications of the different forms of business organizationl理解所有者和经营者间利益冲突 Understand the conflicts of interest that can arise between owners and managers本章主要内容Chapter Outlinel公司理财：快速浏览Finance: A Quick Lookl公司理财与财务经理Business Finance and The F
3、inancial Managerl公司组织形式Forms of Business Organizationl财务管理的目标The Goal of Financial Managementl代理问题和公司控制The Agency Problem and Control of the Corporationl金融市场和公司 Financial Markets and the Corporation财务管理基本领域Basic Areas Of Finance公司理财Corporate finance投资Investments金融机构Financial institutions国际财务管理Intern
4、ational finance投资 Investments与金融资产打交道，如股票和债券Work with financial assets such as stocks and bonds金融资产价值，风险与收益及资产配置 Value of financial assets, risk versus return and asset allocation工作机会Job opportunities证券经纪人或财务顾问Stockbroker or financial advisor基金经理Portfolio manager证券分析师Security analyst金融机构Financial In
5、stitutionsl专门处理金融事务的公司 Companies that specialize in financial mattersl银行Banks commercial and investment, credit unions, savings and loansl保险公司Insurance companiesl经纪公司Brokerage firmsl工作机会Job opportunities国际财务管理International FinancelThis is an area of specialization among all of the areas discussed so
6、 farlIt may allow you to work in other countries or at least travel on a regular basislNeed to be familiar with exchange rates and political risklNeed to understand the customs of other countries and speaking a foreign language fluently is also helpfulWhy Study Finance?l市场营销MarketinglBudgets, market
7、ing research, marketing financial productsl会计AccountinglDual accounting and finance function, preparation of financial statementsl管理ManagementlStrategic thinking, job performance and profitabilityl人事Personal financelBudgeting, retirement planning, college planning, day-to-day cash flow issues公司理财Bus
8、iness Financel财务中必须回答的一些重要问题 Some important questions that are answered using financel公司要从事什么样的长期投资？What long-term investments should the firm take on?l投资所需资金从哪里得到？Where will we get the long-term financing to pay for the investment?l如何进行公司日常财务活动管理？How will we manage the everyday financial activities
9、 of the firm? 财务主管Financial Managerl财务主管应该努力解决如下这些问题： Financial managers try to answer some or all of these questionsl公司里财务经理的最高职位通常称为财务总监（CFO）The top financial manager within a firm is usually the Chief Financial Officer (CFO)l财务长现金管理/信用管理/资本支出和财务预测Treasurer oversees cash management, credit managem
10、ent, capital expenditures and financial planningl会计长税/成本会计/财务会计/数据处理Controller oversees taxes, cost accounting, financial accounting and data processing 财务管理决策Financial Management Decisionsl资本预算Capital budgetinglWhat long-term investments or projects should the business take on?l资本结构Capital structur
11、elHow should we pay for our assets?lShould we use debt or equity?l营运资本管理Working capital managementlHow do we manage the day-to-day finances of the firm?Forms of Business Organizationl有三种主要的组织形式 Three major forms in the united statesl独资Sole proprietorshipl合伙Partnershipl一般合伙Generall有限合伙Limitedl公司Corpo
12、rationlS 公司S-Corpl有限责任公司Limited liability company 独资企业Sole Proprietorshipl优点Advantagesl容易成立Easiest to startl法规限制小Least regulatedl业主拥有利润Single owner keeps all the profitsl按个人所得税纳税Taxed once as personal income l缺点Disadvantagesl受业主生命长短限制Limited to life of ownerl权益资本受制于业主的个人财富Equity capital limited to o
13、wners personal wealthl无限责任Unlimited liabilityl所有者权益转让困难Difficult to sell ownership interest合伙企业Partnershipl优点Advantagesl两个及以上所有者 Two or more ownersl可以获得更多资本 More capital availablel相对容易成立 Relatively easy to startl按个人所得税纳税 Income taxed once as personal incomel缺点Disadvantagesl无限责任Unlimited liabilityl一般
14、合伙General partnershipl有限合伙Limited partnershipl一个合伙人死亡合伙即解散 Partnership dissolves when one partner dies or wishes to selll所有者权益转让困难 Difficult to transfer ownership公司Corporationl优点Advantagesl有限责任Limited liabilityl无限生命Unlimited lifel所有权和经营权的分离 Separation of ownership and managementl股权容易转让 Transfer of o
15、wnership is easyl容易筹集资本 Easier to raise capitall缺点Disadvantagesl所有权与经营权分离Separation of ownership and managementl双重课税（按公司所得税税率征税和股利按个人所得税税率征税） Double taxation (income taxed at the corporate rate and then dividends taxed at personal rate)财务经理目标Goal Of Financial Managementl公司目标应该是什么？What should be the
16、goal of a corporation?l利润最大化？Maximize profit?l成本最小化？Minimize costs?l市场份额最大？Maximize market share?l公司当前股票价值最大化？Maximize the current value of the companys stock?l这是否意味着我们应该做些什么以使股东财富最大化？Does this mean we should do anything and everything to maximize owner wealth?代理问题The Agency Probleml代理关系Agency relat
17、ionshipl委托人雇佣代理人代表其利益Principal hires an agent to represent their interestl股东（委托人）雇佣管理者（代理人）经营公司lStockholders (principals) hire managers (agents) to run the companyl代理问题Agency probleml委托人与代理人间利益冲突Conflict of interest between principal and agentl管理目标和代理成本 Management goals and agency costs对管理者的管理Managi
18、ng Managersl管理性薪酬Managerial compensationl激励可用来使管理者与股东利益保持一致Incentives can be used to align management and stockholder interestsl为了达到目标，需要认真设计激励条件The incentives need to be structured carefully to make sure that they achieve their goall公司控制Corporate controll兼并收购威胁可以促进管理者好好经营The threat of a takeover ma
19、y result in better managementl其他利益相关者Other stakeholders金融市场Financial Marketsl流向公司的现金流量Cash flows to the firml一级市场和二级市场Primary vs. secondary marketsl交易商市场和拍卖市场Dealer vs. auction marketsl交易所和柜台证券Listed vs. over the counter securitieslNYSElNASDAQQuick QuizlWhat are the four basic areas of finance?lWhat
20、 are the three types of financial management decisions and what questions are they designed to answer?lWhat are the three major forms of business organization?lWhat is the goal of financial management?lWhat are agency problems and why do they exist within a corporation?l公司理财的四个基本领域是什么？l三种类型财务管理决策是什么
21、，需要回答哪三个问题？l公司三种主要的组织形式是什么？l公司财务经理的目标是什么？l什么是代理问题，为什么会存在于公司？l一级市场和二级市场有什么区别？Chapter 02财务报表、税和现金流量财务报表、税和现金流量Getting Started !Getting Started !财财财财 务务务务 之之之之 旅旅旅旅主要概念和技能了解账面价值与市场价值的区别Know the difference between book value and market value了解会计利润与现金流量的区别Know the difference between accounting income and
22、 cash flow了解平均税率与边际税率Know the difference between average and marginal tax rates了解如何通过其财务报表确定公司的现金流量Know how to determine a firms cash flow from its financial statements本章大纲资产负债表The Balance Sheet利润表The Income Statement税Taxes现金流量Cash Flow资产负债表资产负债表是一张公司某一特定时间点资产和负债状况“快照”的报表The balance sheet is a snaps
23、hot of the firms assets and liabilities at a given point in time资产按流动性大小顺序列示Assets are listed in order of liquidity 容易转化为现金Ease of conversion to cash 没有太大的价值损失Without significant loss of value资产负债表的恒等式Balance Sheet Identity 资产负债+股东权益Assets = Liabilities + Stockholders Equity公司资产负债表模型流动资产固定资产1 有形资产2
24、无形资产资产总值股东权益流动负债长期负债负债和所有者权益:流动资产流动负债公司应投资什么行业？资本预算决策(投资决策 )公司资产负债表模型固定资产1 有形资产2 无形资产长期负债股东权益公司如何为所需要的投资融资？ 资本结构决策 (融资决策 ) 流动资产固定资产1 有形资产2 无形资产股东权益流动负债长期负债公司资产负债表模型公司需要多少短期现金流量付账?净营运资本投资决策(融资决策 净营运资本股东权益流动负债长期负债流动资产固定资产1 有形资产2 无形资产公司资产负债表模型净营运资本与流动性净营运资本 流动资产流动负债 未来12个月收到的现金超过要付出的现 金时为正值 健康的公司这个值为正值
25、 流动性 在没有明显损失的情况下能迅速转化为现金的可能性 流动性好的公司陷入财务危机的可能性小 但流动资产赚取的收益低 在流动性资产和非流动性资产寻求平衡美国公司美国公司2004年和年和2005年资产负债表年资产负债表 单位：百万美元单位：百万美元2004200520042005资产负债和所有者权益流动资产流动负债现金$ 104$ 160应付账款 $ 232 $266应收账款 455 688应付票据 196 123存货 553 555流动负债合计 428 389流动资产合计$1112$ 1403固定资产净值 1644$ 1709长期负债 $406 $454所有者权益股本 600 640留存收益
26、 1920 2269所有者权益合计 $1920 $2269资产合计$2756$3112负债和所有者权益合计 $2756 $3112资产期末数年初数负债和所有者权益期末数年初数流动资产：流动负债： 货币资金 短期借款 交易性金融资产 应付票据 应收票据 应付账款 应收账款 预收款项 其他应收款 应付职工薪酬 存货 应交税费 流动资产合计 流动负债合计非流动资产：非流动负债： 可供出售金融资产 长期借款 持有至到期投资 应付债券 长期股权投资 长期应付款 长期应收款 预计负债 投资性房地产 非流动负债合计 固定资产 负债合计 在建工程所有者权益： 无形资产 实收资本（股本） 开发支出 资本公积 商
27、誉 盈余公积 长期待摊费用 未分配利润 非流动资产合计 所有者权益合计资产总计负债和所有者权益总计2-35负债和权益Debt versus Equity债权人对公司现金流量具有要求权；股东对具有剩余要求权 Creditors have first claim on a firms cash flow; equity holders have a residual claim.财务杠杆是公司资本结构中对负债的利用 Financial leverage is the use of debt in a firms capital structure.财务杠杆可增加股东报酬，但会使公司陷入财务危机和经
28、营失败的可能性增大 Financial leverage increases the potential reward to shareholders, but also increases the potential for financial distress and business failure.市场价值与账面价值Market vs. Book Value资产负债表提供了资产、负债和权益的账面价值The balance sheet provides the book value of the assets, liabilities and equity.市场价值是资产、负债和权益实际
29、可能购买或销售的价格Market value is the price at which the assets, liabilities or equity can actually be bought or sold.市场价值和账面价值通常会相差很大，为什么？Market value and book value are often very different. Why?哪个对决策过程更重要？克林宫公司资产负债表账面价值与市场价值账面市价账面市价资产负 债 和 股东权益净 营 运 资本$ 400$ 600 长期负债$ 500$ 500固 定 资 产净值 700 1000 股东权益 600
30、1100$ 1100$1600$ 1100 $1600利润表利润表（损益表）如同一部利润表（损益表）如同一部“录象机录象机”，总括地总括地反映企业在一定期间内损益的实现情况！反映企业在一定期间内损益的实现情况！The income statement is more like a video of the firms operations for a specified period of time.通常先报告这段时间的收入，然后再减去同期的费用You generally report revenues first and then deduct any expenses for the pe
31、riod配比原则会计准则要求列示应计的收入及与之配比的费用Matching principle GAAP say to show revenue when it accrues and match the expenses required to generate the revenue美国公司利润表美国公司利润表美国公司美国公司2005年年 单位：百万美元单位：百万美元销售收入净额$1509销售成本 750折旧 65息税前利润 694利息费用 70税前利润 624所得税 212净利润 412股利 $103转入留存收益 309Work the Web ExamplePublicly trade
32、d companies must file regular reports with the Securities and Exchange CommissionThese reports are usually filed electronically and can be searched at the SEC public site called EDGARClick on the web surfer, pick a company and see what you can find!所得税Taxes税一直都在变The one thing we can rely on with tax
33、es is that they are always changing边际税率与平均税率Marginal vs. average tax rates 边际税率每增加一元钱需要支付的税率Marginal the percentage paid on the next dollar earned 平均税率支付的税/应纳税所得额Average the tax bill / taxable income其他税Other taxes例：边际税率与平均税率假设你的公司应纳税所得额为$400万Suppose your firm earns $4 million in taxable income. 公司应纳
34、税额是多少？What is the firms tax liability? 平均税率是多少？What is the average tax rate? 边际税率是多少？What is the marginal tax rate?如果你正在考虑一个能使公司应税收入增加$100万的项目，你在进行分析时应使用什么税率？现金流量概念现金流量是财务经理从财务报表中得到到最重要的信息Cash flow is one of the most important pieces of information that a financial manager can derive from financial
35、statements现金流量表并没有提供给我们所要的现金流量信息The statement of cash flows does not provide us with the same information that we are looking at here我们想要的现金流量：利用资产产生的现金流量及如何用资产产生的现金流量去偿还购买这些资产所筹资金We will look at how cash is generated from utilizing assets and how it is paid to those that finance the purchase of the
36、 assets源自资产的现金流量Cash Flow From Assets源自资产的现金流量（CFFA)支付给债权人的现金流量+支付给股东的现金流量源自资产的现金流量经营现金流量（OCF）净资本性支出（NCS）净经营资本变化额（NWC）Cash Flow From Assets (CFFA) = Cash Flow to Creditors + Cash Flow to StockholdersCash Flow From Assets = Operating Cash Flow Net Capital Spending Changes in NWC例：美国公司第一部分OCF（I/S)=EBI
37、T+折旧所得税$547NCS（B/S 和I/S)=期末固定资产净值期初固定资产净值+折旧$130NWC(B/S) 期末NWC期初NWC$330CFFA=547-130-330=$87美国公司第二部分流向给债权人的现金流量支付利息新借款净值$24流向股东的现金流量支付的股利新权益融资的净值$63CFFA24+63$87现金流量总结： 表2.51、现金流量等式 源自资产的现金流量（CFFA)支付给债权人的现金流量+支付给股东的现金流量 2、源自资产的现金流量 源自资产的现金流量经营现金流量（OCF）净资本性支出（NCS）净经营资本变化额 （NWC） 这里：OCF（I/S)=EBIT+折旧所得税 N
38、CS（B/S 和I/S)=期末固定资产净值期初固定资产净值+折旧$130 NWC(B/S)期末NWC期初NWC$3303、流向债权人的现金流量（债券持有人） 支付给债权人的现金流量支付利息新借款净值4、流向股东的现金流量（所有者） 支付给股东的现金流量支付的股利新权益融资的净值2-48财务状况(单位：百万)资产资产20032004流动资产现金Cash应收账款Accounts receivable存货Inventory合计Total固定资产固定资产Fixed assets厂场设备Net plant and equipment资产合计资产合计TOTAL ASSETS$ 45260320$ 6259
39、85$1 610$ 50310385 $ 7451 100$1 845负债和权益负债和权益Liabilities and equity20032004流动负债流动负债Current liabilities应付账款Accounts payable应信票据Notes payable合计Total长期负债Long-term debt股东权益股东权益Shareholders equity普通股Ordinary shares留存收益 Retained earnings合计Total负债和所有者权益合计负债和所有者权益合计$ 210110$ 320 $ 205290795$1 085$1 610$ 260
40、175$ 435$ 225290895$1 185$1 8452-49营业收入净额Net sales$710.00营业成本Cost of goods sold 480.00折旧Depreciation 30.00DEBIT $200.00利息Interest 20.00应税收益Taxable income 180.00所得税Tax 53.45净利润Net profit$126.55股利Dividends 26.55留存收益增加 Addition to retained earnings $100.00财务状况(单位：百万)2-50资产现金流量Cash Flow From Assets经营现金流
41、量经营现金流量Operating cash flow:EBIT $ 200.00+ 折旧Depreciation+ 30.00 所得税Taxes 53.45$176.55净营运资本变化净营运资本变化Change in net working capital:期末净营运资本期末净营运资本 $ 310.00 期初净营运资本 305.00 $ 5.00资本净支出资本净支出Net capital spending:期末固定资产净值 $ 1,100.00 期初固定资产净值 985.00+ 折旧Depreciation + 30.00 $145.00源自资产的现金流量源自资产的现金流量Cash flow
42、from assets: $ 26.552-51债权人现金流量和股东现金流量债权人现金流量债权人现金流量Cash flow to debtholders:Interest paid $ 20.00 Net new borrowing 20.00$ 0.00股东现金流量股东现金流量Cash flow to shareholders:Dividends paid$ 26.55 Net new equity raised 0.00 $26.55流向股东和债权人的现金流量Cash flow to debtholders and shareholders$26.55例：现金流量表和利润表信息流动性项目2
43、004：CA3625；CL17872003：CA3596；CL2140固定资产和折旧2004：NFA2194；2003 NFA=2261折旧费用500长期负债和权益2004：LTD538；普通股4622003： LTD538；普通股462利润表EBIT1014；所得税368；利息费用93；股利285快速测试账面价值与市场价值的区别是什么？我们在作决策时使用哪个？会计收益与现金流量有什么区别？在作决策时使用哪个？平均税率和边际税率有什么区别？在进行财务决策时我们使用哪个？怎样确定公司现金流量？恒等式是什么？我们从哪找到相关信息？Chapter3与财务报表相关的工作Working With Fin
44、ancial StatementsKey Concepts and Skills了解如何使报表标准化以进行比较了解如何计算和解释重要的财务比率Know how to compute and interpret important financial ratios了解公司盈利性和成长性的决定因素Know the determinants of a firms profitability and growth理解财务报表分析存在的问题和陷阱Understand the problems and pitfalls in financial statement analysisChapter Outl
45、ine标准财务报表Standardized Financial Statements比率分析Ratio Analysis杜邦方程The Du Pont Identity内部和可持续增长Internal and Sustainable Growth使用财务报表信息Using Financial Statement Information标准化财务报表Standardized Financial Statements共同比资产负债表Common-Size Balance Sheets计算所有项目占资产合计的百分比Compute all accounts as a percent of total
46、assets共同比利润表Common-Size Income Statements计算所有项目占营业收入的百分比Compute all line items as a percent of sales标准化报表使得财务信息的比较更容易，特别是在公司成长过程Standardized statements make it easier to compare financial information, particularly as the company grows标准化报表对不同规模的公司比较更有用处，特别是同行业不同规模的公司They are also useful for comparin
47、g companies of different sizes, particularly within the same industry比率分析Ratio Analysis比率分析用于不同时期或不同公司进行比较更好Ratios also allow for better comparison through time or between companiesAs we look at each ratio, ask yourself what the ratio is trying to measure and why is that information important比率分析即用公
48、司内部分析也用于外部分析Ratios are used both internally and externally比率类别Categories of Financial Ratios短期偿债或流动性比率Short-term solvency or liquidity ratios长期偿债或财务杠杆比率Long-term solvency or financial leverage ratios资产管理或周转比率Asset management or turnover ratios获利能力比率Profitability ratios市值比率Market value ratios资产负债表举例S
49、ample Balance Sheet现金Cash6,489 应付账款A/P340,220应收账款A/R1,052,606 应付票据N/P86,631存货Inventory295,255 其他流动负债Other CL1,098,602其他流动资产Other CA199,375 流动负债合计Total CL1,525,453流动资产合计Total CA1,553,725 长期借款LT Debt871,851固定资产净值Net FA2,535,072 普通股C/S1,691,493资产合计Total Assets4,088,797 负债和权益合计Total Liab. & Equity4,088,
50、797数字单位：千元Numbers in thousands利润表举例Sample Income Statement营业收入Revenues3,991,997营业成本Cost of Goods Sold1,738,125营业费用Expenses1,269,479折旧Depreciation308,355EBIT739,987利息费用Interest Expense42,013税前收益Taxable Income697,974所得税Taxes272,210净利润Net Income425,764EPS2.17每股股利Dividends per share0.86Numbers in thousa
51、nds, except EPS & DPS流动性比率计算Computing Liquidity Ratios流动比率Current Ratio = CA / CL1,553,725 / 1,525,453 = 1.02 times速动比率Quick Ratio = (CA Inventory) / CL(1,553,725 295,225) / 1,525,453 = .825 times现金比率Cash Ratio = Cash / CL6,489 / 1,525,453 = .004 times长期偿债能力指标Long-term Solvency Measures总负债比率Total De
52、bt Ratio = (TA TE) / TA(4,088,797 1,691,493) / 4,088,797 = .5863 times or 58.63%公司资产中几乎59%使用负债融资The firm finances almost 59% of their assets with debt.负债权益比Debt/Equity = TD / TE(4,088,797 1,691,493) / 1, 691,493 = 1.417 times权益乘数Equity Multiplier = TA / TE = 1 + D/E1 + 1.417 = 2.417覆盖率计算Computing Co
53、verage Ratios利息保障倍数Times Interest Earned = EBIT / Interest739,987 / 42,013 = 17.6 times现金覆盖率Cash Coverage = (EBIT + Depreciation) / Interest(739,987 + 308,355) / 42,013 = 24.95 times计算存货周转率Computing Inventory Ratios存货周转率营业成本/存货Inventory Turnover = Cost of Goods Sold / Inventory1,738,125 / 295,255 =
54、5.89 times存货周转天数365/存货周转率 Days Sales in Inventory = 365 / Inventory Turnover365 / 5.89 = 62 days计算应收账款周转率Computing Receivables Ratios应收账款周转率营业收入/应收账款Receivables Turnover = Sales / Accounts Receivable3,991,997 / 1,052,606 = 3.79 times应收账款周转天数365/应收账款周转率Days Sales in Receivables = 365 / Receivables Tu
55、rnover365 / 3.79 = 96 days计算资产周转率Computing Total Asset Turnover总资产周转率营业收入/资产合计Total Asset Turnover = Sales / Total Assets3,991,997 / 4,088,797 = .98 times衡量资产使用效率Measure of asset use efficiency对于有大量固定资产的公司，TAT1正常Not unusual for TAT coupon rate, then par value bond pricelWhy?lSelling at a discount, c
56、alled a discount bondlIf YTM coupon rate, then par value 12% required returnlDo we accept or reject the project?7.194项目NPV图NPV Profile For The ProjectIRR = 16.13%7.195Decision Criteria Test - IRRlIRR是否考虑了时间价值Does the IRR rule account for the time value of money?lIRR是否考虑了现金流量的风险Does the IRR rule acco
57、unt for the risk of the cash flows?lIRR是否表示价值增加Does the IRR rule provide an indication about the increase in value?l我们是否要将AAR法则作为主要的决策指标标准Should we consider the IRR rule for our primary decision criteria?7.196IRR 的优点Advantages of IRRl知道报酬率直观上是受欢迎的Knowing a return is intuitively appealingl对于一个不清楚预测细节
58、的人谈项目价值时用内部报酬率最简单l如果IRR足够大，你不需要预计必要报酬率，预计必要报酬率通常比较困难If the IRR is high enough, you may not need to estimate a required return, which is often a difficult task7.197项目决策总结Summary of Decisions For The ProjectSummary净现值Net Present ValueAccept回收期Payback PeriodReject平均会计报酬率Average Accounting ReturnReject内
59、部报酬率Internal Rate of ReturnAccept7.198用表格程序计算IRRCalculating IRRs With A SpreadsheetlYou start with the cash flows the same as you did for the NPVlYou use the IRR functionlYou first enter your range of cash flows, beginning with the initial cash flowlYou can enter a guess, but it is not necessarylThe
60、 default format is a whole percent you will normally want to increase the decimal places to at least two7.199NPV Vs. IRRlNPV和IRR通常会得出相同的决策 NPV and IRR will generally give us the same decisionl例外Exceptionsl非正常现金流量现金流量符号变化一次以上Non-conventional cash flows cash flow signs change more than oncel互斥项目Mutual
61、ly exclusive projectsl初始投资相差很大Initial investments are substantially differentlTiming of cash flows is substantially different现金流量分布相差大7.200IRR和非正常现金流量IRR and Non-conventional Cash Flowsl如果现金流量符号变化多次，则会有多个l求IRR时要解方程的根，多元方程有多个根lIf you have more than one IRR, which one do you use to make your decision?
62、7.201Another Example Non-conventional Cash Flowsl假设初始投资成本是$90,000 ，产生 的现金流量如下Suppose an investment will cost $90,000 initially and will generate the following cash flows:lYear 1: 132,000lYear 2: 100,000lYear 3: -150,000l必要报酬率是15%The required return is 15%.lShould we accept or reject the project?7.20
63、2NPV ProfileIRR = 10.11% and 42.66%7.203决策法则小结Summary of Decision RuleslNPV在必要报酬率为15%时是正的，因此应该接受The NPV is positive at a required return of 15%, so you should Acceptl如果你使用财务计算器，你会得到IRR10.11%，这会使你拒绝项目If you use the financial calculator, you would get an IRR of 10.11% which would tell you to Rejectl你应
64、该识别非正常现金流量并看NPV图You need to recognize that there are non-conventional cash flows and look at the NPV profile7.204IRR和互斥项目IRR and Mutually Exclusive Projectsl互斥项目Mutually exclusive projectsl两个项目，选了一个，就不能选另一个If you choose one, you cant choose the otherlExample: You can choose to attend graduate school
65、 next year at either Harvard or Stanford, but not bothl直观上你应该使用下列决策法则Intuitively you would use the following decision rules:lNPV choose the project with the higher NPVlIRR choose the project with the higher IRR7.205Example With Mutually Exclusive ProjectsPeriodProject AProject B0-500-400132532523252
66、00IRR19.43%22.17%NPV64.0560.74两项目的必要报酬率都是你应该接受哪个项目？为什么7.206NPV ProfilesIRR for A = 19.43%IRR for B = 22.17%Crossover Point = 11.8%7.207NPV与IRR的矛盾Conflicts Between NPV and IRRlNPV直接衡量公司价值的增加l当NPV 法则与其他决策法则冲突时，你应该使用NPVlIRR 在下列情形下不可靠l非正常现金流量Non-conventional cash flowsl互斥项目Mutually exclusive projects7.2
67、08获利指数Profitability Indexl基于货币时间价值的单位成本的获利Measures the benefit per unit cost, based on the time value of moneyl获利指数是1.1表示每$1投资，可创造增值$l这个指标在资本有限量时非常有用7.209Advantages and Disadvantages of Profitability IndexlAdvantagesl同NPV紧密相关，通常会得到相同结果Closely related to NPV, generally leading to identical decisionsl
68、容易理解和沟通Easy to understand and communicatel当投资资金有限时可能是有用的May be useful when available investment funds are limitedlDisadvantagesl在对互斥投资进行比较时可能会导致错误的答案 May lead to incorrect decisions in comparisons of mutually exclusive investments7.210资本预算实践Capital Budgeting In Practicel在进行决策时我们应该考虑几个投资标准We should c
69、onsider several investment criteria when making decisionslNPV和IRR是最常用的主要投资标准NPV and IRR are the most commonly used primary investment criterial回收期通常作为次要投资准则Payback is a commonly used secondary investment criteria7.211Quick Quizl考虑一项投资，投资成本是$100000，现金流量是未来5年每年为$25000。必要报酬率是9%，要求的回收期是4年。l回收期是多少？What i
70、s the payback period?lNPV是多少？What is the NPV?lIRR是多少？What is the IRR?lShould we accept the project?l哪个决策法则是首要决策法则？What decision rule should be the primary decision method?lIRR法则什么时候不可靠？When is the IRR rule unreliable?7.212Chapter9资本市场投资决策Making Capital Investment Decisions7.213Key Concepts and Skill
71、sl理解如何确定提议投资的相关现金流量Understand how to determine the relevant cash flows for a proposed investmentl理解如何分析项目预计现金流量Understand how to analyze a projects projected cash flowsl理解如何评价和预测NPVUnderstand how to evaluate and estimate NPV7.214Chapter Outlinel项目现金流量初步考察Project Cash Flows: A First Lookl增量现金流量Increm
72、ental Cash Flowsl预计财务报表和项目现金流量Pro Forma Financial Statements and Project Cash Flowsl进一步考察项目现金流量更多More on Project Cash Flowl评价NPV预测Evaluating NPV Estimatesl情景分析与其他“如果就”分析Scenario and Other What-If Analysesl资本预算的进一步考察Additional Considerations in Capital Budgeting7.215相关现金流量Relevant Cash Flowsl应当包含在资本预
73、算分析中现金流量是指那些如果项目被接受会发生的现金流量The cash flows that should be included in a capital budgeting analysis are those that will only occur if the project is acceptedl这类现金流量被称为增量现金流量-现有现金流量的改变或增量部分These cash flows are called incremental cash flowsl独立原则要求我们将分析项目与公司其他部分分离，以重点分析增量现金流量The stand-alone principle all
74、ows us to analyze each project in isolation from the firm simply by focusing on incremental cash flows7.216Asking the Right Questionl你应该总是问自己“这个现金流量是否只有在我们接受项目时才发生吗？”You should always ask yourself “Will this cash flow occur ONLY if we accept the project?”l如果答案是“是的”，它应该包含在分析中，因为它是增量现金流量l如果答案是“不是”，它不应
75、该包含在分析中，因为不管怎样它都会发生l如果答案是“一部分是”，那么我们应该包含属于项目部分的现金流量7.217普通类型现金流量Common Types of Cash Flowsl沉没成本过去发生的成本Sunk costs costs that have accrued in the pastl机会成本失去机会的成本Opportunity costs costs of lost optionsl副作用Side effectsl正的副作用Positive side effects benefits to other projectsl负的副作用Negative side effects cos
76、ts to other projectsl净营运资本的变化Changes in net working capitall融资成本Financing costsl所得税Taxes7.218预计报表和现金流量Pro Forma Statements and Cash Flowl资本预算对预计会计报表的依靠比较大Capital budgeting relies heavily on pro forma accounting statements, particularly income statementsl计算现金流量复习Computing cash flows refresherl经营现金流量(
77、OCF) EBIT+折旧所得税 Operating Cash Flow (OCF) = EBIT + depreciation taxeslOCF净利润+折旧（不考虑利息费用时） OCF = Net income + depreciation when there is no interest expensel源自资产的现金流量OCF净资本支出净营运资本变化 Cash Flow From Assets (CFFA) = OCF net capital spending (NCS) changes in NWC7.219Table 9.1 Pro Forma Income Statement预计
78、利润表销售收入Sales (50,000 units at $4.00/unit)$200,000变动成本Variable Costs ($2.50/unit)125,000毛利Gross profit$ 75,000固定成本Fixed costs12,000折旧Depreciation ($90,000 / 3)30,000EBIT$ 33,000所得税Taxes (34%)11,220净利润Net Income$ 21,7807.220Table 9.2 预计资本需求Projected Capital RequirementsYear0123NWC$20,000$20,000$20,000
79、$20,000固定资产Net Fixed Assets 90,000 60,000 30,000 0投资总额Total Investment$110,000$80,000$50,000$20,0009.221Table 9.5预计现金流量 Projected Total Cash FlowsYear0123OCF$51,780$51,780 $51,780NWC变化Change in NWC-$20,00020,000资本支出Capital Spending-$90,000 CFFA-$110,00 $51,780$51,780 $71,7809.222作出决策Making The Decis
80、ionl既然我预测了现金流量，就可以应用第八章学过的技术Now that we have the cash flows, we can apply the techniques that we learned in chapter 8l将现金流量输入到计算器中计算NPV和IRREnter the cash flows into the calculator and compute NPV and IRRlCF0 = -110,000; C01 = 51,780; F01 = 2; C02 = 71,780lNPV; I = 20; CPT NPV = 10,648lCPT IRR = 25.8
81、%l我们是否应该接受该项目？我们是否应该接受该项目？Should we accept or reject the project?9.223NWC的进一步探讨More on NWCl为什么我们必须单独考虑NWC的变化？Why do we have to consider changes in NWC separately?lGAAP要求销售发生而不是现金收到时进行记录lGAAP 还要求销售发生时同时记录销售成本，而不管我们是否向供应商付款l最后，我们必须购买存货以支持销售，尽管还没有收到现金9.224折旧Depreciationl用于资本预算的折旧费用应该按IRS纳税目的编表he deprec
82、iation expense used for capital budgeting should be the depreciation schedule required by the IRS for tax purposesl折旧是非现金费用，由于其纳税效应而相关Depreciation itself is a non-cash expense, consequently, it is only relevant because it affects taxesl折旧税盾DT（Depreciation tax shield = DT）lD = depreciation expense折旧l
83、T = marginal tax rate边际税率9.225折旧计算Computing Depreciationl直线折旧Straight-line depreciationl折旧 = (原始成本 殘值) / 年数lVery few assets are depreciated straight-line for tax purposeslMACRS（修正的加速成本回收制度）l需要知道资产类别Need to know which asset class is appropriate for tax purposesl原始成本乘以折旧率（表9.7）Multiply percentage give
84、n in table by the initial costl折旧到0Depreciate to zerol 半年惯例Mid-year convention9.226After-tax Salvagel如果残值与资产账面价值不同，则存在纳税影响 If the salvage value is different from the book value of the asset, then there is a tax effectl账面价值原始成本累计折旧 Book value = initial cost accumulated depreciationl税后残值残值T（残值账面价值） Af
85、ter-tax salvage = salvage T(salvage book value)9.227Example: Depreciation and After-tax Salvagel你花$100000购买了设备，运费和安装费花了$10000。6年后设备可卖$17000。公司的边际所得税率为40%。每年的折旧是多少？下列情况下6年后税后残值是多少？ You purchase equipment for $100,000 and it costs $10,000 to have it delivered and installed. Based on past information,
86、you believe that you can sell the equipment for $17,000 when you are done with it in 6 years. The companys marginal tax rate is 40%. What is the depreciation expense each year and the after-tax salvage in year 6 for each of the following situations?9.228Example: Straight-line Depreciationl假设按直线折旧 Su
87、ppose the appropriate depreciation schedule is straight-linelD = (110,000 17,000) / 6 = 15,500 every year for 6 yearslBV in year 6 = 110,000 6(15,500) = 17,000lAfter-tax salvage = 17,000 - .4(17,000 17,000) = 17,0009.229Example: Three-year MACRSYearMACRS percentD1.3333.3333(110,000) = 36,6632.4444.4
88、444(110,000) = 48,8843.1482.1482(110,000) = 16,3024.0741.0741(110,000) = 8,151BV in year 6 = 110,000 36,663 48,884 16,302 8,151 = 0After-tax salvage = 17,000 - .4(17,000 0) = $10,2009.230Example: 7-Year MACRSYearMACRS PercentD1.1429.1429(110,000) = 15,7192.2449.2449(110,000) = 26,9393.1749.1749(110,
89、000) = 19,2394.1249.1249(110,000) = 13,7395.0893.0893(110,000) = 9,8236.0893.0893(110,000) = 9,823BV in year 6 = 110,000 15,719 26,939 19,239 13,739 9,823 9,823 = 14,718After-tax salvage = 17,000 - .4(17,000 14,718) = 16,087.209.231例：重置问题Example: Replacement Probleml原设备Original MachinelInitial cost
90、= 100,000lAnnual depreciation = 9000lPurchased 5 years agolBook Value = 55,000lSalvage today = 65,000lSalvage in 5 years = 10,000l新设备New MachinelInitial cost = 150,000l5-year lifelSalvage in 5 years = 0lCost savings = 50,000 per yearl3-year MACRS depreciationlRequired return = 10%lTax rate = 40%9.23
91、2重置问题计算现金流量Replacement Problem Computing Cash Flowsl记住我们只对增量现金流量感兴趣Remember that we are interested in incremental cash flowsl如果我们购买新设备，就必须卖掉旧设备 If we buy the new machine, then we will sell the old machinel现在卖旧换新会有什么样的现金流量？What are the cash flow consequences of selling the old machine today instead o
92、f in 5 years?9.233重置问题预计利润表Replacement Problem Pro Forma Income StatementsYear12345Cost Savings50,00050,00050,00050,00050,000Depr. New49,50067,50022,50010,5000 Old9,0009,0009,0009,0009,000Increm.40,50058,50013,5001,500(9,000)EBIT9,500(8,500)36,50048,50059,000Taxes3,800(3,400)14,60019,40023,600NI5,70
93、0(5,100)21,90029,10035,4009.234重置问题净资本支出增加Replacement Problem Incremental Net Capital SpendinglYear 0lCost of new machine = 150,000 (outflow)lAfter-tax salvage on old machine = 65,000 - .4(65,000 55,000) = 61,000 (inflow)lIncremental net capital spending = 150,000 61,000 = 89,000 (outflow)lYear 5lAf
94、ter-tax salvage on old machine = 10,000 - .4(10,000 10,000) = 10,000 (outflow because we no longer receive this)9.235重置问题源自资产的现金流量Replacement Problem Cash Flow From AssetsYear012345OCF46,20053,40035,40030,60026,400NCS-89,000-10,000 In NWC00CFFA-89,00046,20053,40035,40030,60016,4009.236重置问题分析现金流量Repl
95、acement Problem Analyzing the Cash Flowsl根据现金流量，我们可以计算NPV和IRR Now that we have the cash flows, we can compute the NPV and IRRlEnter the cash flowslCompute NPV = 54,812.10lCompute IRR = 36.28%l公司是否应该重置设备？公司是否应该重置设备？ Should the company replace the equipment?9.237对NPV的估计值进行评价Evaluating NPV EstimateslNP
96、V估计值是个估计值 The NPV estimates are just that estimatesl正的NPV是个好的开始现在我们需要进上步分析 A positive NPV is a good start now we need to take a closer lookl预测风险Forecasting risk how sensitive is our NPV to changes in the cash flow estimates, the more sensitive, the greater the forecasting riskl价值源泉Sources of value w
97、hy does this project create value?9.238情景分析 Scenario Analysisl在不同现金流量情况下NPV是多少？ What happens to the NPV under different cash flows scenarios?l至少要看At the very least look at:l最好情况 Best case revenues are high and costs are lowl最坏情况 Worst case revenues are low and costs are highl基本估计两个极限间的中间值Measure of
98、the range of possible outcomesl最好和最坏不一定发生，但存在可能lBest case and worst case are not necessarily probable, they can still be possible9.239敏感分析Sensitivity Analysisl当我们只改变一个变量时NPV会如何变化？What happens to NPV when we vary one variable at a timel敏感分析也是一种情景分析，这里只是看某种变量对NPV的影响 This is a subset of scenario analys
99、is where we are looking at the effect of specific variables on NPVl对NPV敏感性越大的变量，其预测风险就越大，我们就要对其多加关注 The greater the volatility in NPV in relation to a specific variable, the larger the forecasting risk associated with that variable and the more attention we want to pay to its estimation9.240新项目例子New
100、 Project Examplel考虑书中讨论的项目 Consider the project discussed in the textl项目原始成本为$200000,奉命期为5年，无殘值。按直线法折旧，必要报酬率为12%，税率为34% The initial cost is $200,000 and the project has a 5-year life. There is no salvage. Depreciation is straight-line, the required return is 12% and the tax rate is 34%l基本情形下的NPV值是15
101、567 The base case NPV is 15,5679.241情景分析小结Summary of Scenario AnalysisScenarioNet IncomeCash FlowNPVIRRBase case 19,80059,80015,56715.1%Worst Case-15,51024,490-111,719-14.4%Best Case 59,73099,730159,50440.9%9.242情景分析小结Summary of Sensitivity AnalysisScenarioUnit SalesCash FlowNPVIRRBase case 600059,8
102、0015,56715.1%Worst case550053,200-8,22610.3%Best case650066,40039,35719.7%9.243做决策Making A Decisionl注意“分析的麻痹” Beware “Paralysis of Analysis”l在某一时刻你必须做出决定 At some point you have to make a decisionl如果你大多数的情况下都得到了正的NPV，则你接受项目会觉得比较舒服 If the majority of your scenarios have positive NPVs, then you can fee
103、l reasonably comfortable about accepting the projectl如果某个重要变量的微小变动导致了负的NPV，你应该想到放弃该项目。 If you have a crucial variable that leads to a negative NPV with a small change in the estimates, then you may want to forego the project9.244管理选择（实物期权）Managerial Optionsl资本预算项目经常会出现其他我们没有考虑到的期权问题Capital budgeting
104、 projects often provide other options that we have not yet consideredl或有事件计划Contingency planningl扩展选择Option to expandl放弃选择Option to abandonl等待选择Option to waitl战略选择Strategic options9.245资本约束Capital Rationingl当公司或部分只有有限资源时会发生资本约束Capital rationing occurs when a firm or division has limited resourcesl软约
105、束Soft rationing the limited resources are temporary, often self-imposedl硬约束Hard rationing capital will never be available for this projectl当面临软约束时获利指数是一个很好的工具The profitability index is a useful tool when faced with soft rationing9.246Quick QuizlHow do we determine if cash flows are relevant to the c
106、apital budgeting decision?lWhat is scenario analysis and why is it important?lWhat is sensitivity analysis and why is it important?lWhat are some additional managerial options that should be considered?9.247Chapter10资本市场经验教训Some Lessons from Capital Market History9.248主要概念与技能Key Concepts and Skillsl
107、知道如何计算投资报酬Know how to calculate the return on an investmentl理解各种不同投资的历史报酬Understand the historical returns on various types of investmentsl理解各种投资的历史风险Understand the historical risks on various types of investments9.249本章内容安排Chapter Outlinel报酬Returnsl历史记录The Historical Recordl平均报酬：第一课 Average Returns
108、: The First Lessonl报酬的变异：第二课 The Variability of Returns: The Second Lessonl资本市场有效性Capital Market Efficiency9.250风险，报酬和金融市场Risk, Return and Financial Marketsl我们可以考察金融市场的报酬以帮助我们确定非金融资产的恰当报酬 We can examine returns in the financial markets to help us determine the appropriate returns on non-financial as
109、setsl来自资本市场历史的教训 Lesson from capital market historyl要求报酬以弥补风险There is a reward for bearing riskl潜在报酬越大，风险也越大，The greater the potential reward, the greater the riskl这叫风险报酬均衡This is called the risk-return trade-off9.251报酬额Dollar Returnsl总报酬额投资报酬+由于价格变化产生的资本利得（损失） Total dollar return = income from inve
110、stment + capital gain (loss) due to change in pricel例Example:l你一年前花$950 买的债券。你收到两期利息，每期$30.现在你可以以$975 价格卖掉债券。你的报酬总额是多少You bought a bond for $950 1 year ago. You have received two coupons of $30 each. You can sell the bond for $975 today. What is your total dollar return?lIncome = 30 + 30 = 60lCapita
111、l gain = 975 950 = 25lTotal dollar return = 60 + 25 = $859.252报酬率Percentage Returnsl直观上通常以报酬率思考而不是报酬额 It is generally more intuitive to think in terms of percentages than dollar returnsl股利收益率收益/买价 Dividend yield = income / beginning pricel资本利得收益率（期末价格-期初价格）/期初价格 Capital gains yield = (ending price b
112、eginning price) / beginning pricel总报酬率股利收益率+资本利得收益率lTotal percentage return = dividend yield + capital gains yield9.253例-计算报酬Example Calculating Returnsl你花$35买股票，收到$1.25股利，现在股票卖价为$1.25.You bought a stock for $35 and you received dividends of $1.25. The stock is now selling for $40.l你的报酬额是多少What is y
113、our dollar return?l报酬额Dollar return = 1.25 + (40 35) = $6.25l你的报酬率是多少What is your percentage return?l股利收益率Dividend yield = 1.25 / 35 = 3.57%l资本利得收益率Capital gains yield = (40 35) / 35 = 14.29%l总报酬率Total percentage return = 3.57 + 14.29 = 17.86%9.254金融市场的重要性The Importance of Financial Marketsl金融市场使得公司
114、、政府和个人能够增加其效用Financial markets allow companies, governments and individuals to increase their utilityl储蓄者能够投资金融资产，他们延迟消费，赚取报酬以得到补偿Savers have the ability to invest in financial assets so that they can defer consumption and earn a return to compensate them for doing sol债款人更容易取得资本以投资生产性资产Borrowers hav
115、e better access to the capital that is available so that they can invest in productive assetsl金融市场也提供 给我们有关不同风险水平的报酬的信息Financial markets also provide us with information about the returns that are required for various levels of risk9.255The Great Bull Market of 1982 1999, “Bumps Along the Way”Period
116、% Decline in S&P 500Oct. 10, 1983 July 24, 1984-14.4%Aug. 25, 1987 Oct. 19, 1987-33.2%Oct. 21, 1987 Oct. 26, 1987-11.9%Nov. 2, 1987 Dec. 4, 1987-12.4%Oct. 9, 1989 Jan. 30, 1990-10.2%July 16, 1990 Oct. 11, 1990-19.9%Feb. 18, 1997 Apr. 11, 1997-9.6%July 19, 1999 Oct. 18, 1999-12.1%9.256Figure 10.4Inde
117、x$10,000$1,000$100$10$1$0.11925 1935 1945 19551965 1975Year-end1985 19951999Small-companystocksLarge-companystocksInflationTreasury billsLong-termgovernment bonds$6,640.79$2,845.63$40.22$15.64$9.399.257同比报酬Year-to-Year Total Returns大公司股票收益Large-Company Stock Returns长期政府债券收益Long-Term GovernmentBond R
118、eturns国库券收益U.S. Treasury Bill Returns9.258平均收益Average Returns投资Investment平均收益Average Return大股票Large stocks13.3%小股票Small Stocks17.6%长期公司债券Long-term Corporate Bonds5.9%长期政府债券Long-term Government Bonds5.5%国库券U.S. Treasury Bills3.8%通货膨胀Inflation3.2%9.259风险报酬Risk Premiumsl赚取“额外”报酬来弥补风险 The “extra” return
119、 earned for taking on riskl可认为国库券是无风险的 Treasury bills are considered to be risk-freel风险报酬是超过无风险利率以上的部分 The risk premium is the return over and above the risk-free rate9.260历史风险报酬Historical Risk PremiumslLarge stocks: 13.3 3.8 = 9.5%lSmall stocks: 17.6 3.8 = 13.8%lLong-term corporate bonds: 5.9 3.8 =
120、2.1%lLong-term government bonds: 5.5 3.8 = 1.7%9.261Figure 10.91936 1937197419301973196619571941199019811977196919621953194619401939193419321929199419931992198719841978197019601956194819471988198619791972197119681965196419591952194919441926199919981996198319821976196719631961195119431942199719951991
121、19891985198019751955195019451938193619271956193519281954193311241212111313230-50-40-30-20-100102030405060708090Return (%)9.262方差和标准离差Variance and Standard Deviationl方差和标准离差衡量资产报酬的波动性Variance and standard deviation measure the volatility of asset returnsl不确定性越大，波动就越大 The greater the volatility the gr
122、eater the uncertaintyl历史方差实际收益与平均收益率之差的平方之和/（年数1） Historical variance = sum of squared deviations from the mean / (number of observations 1)l标准差方差开方 Standard deviation = square root of the variance9.263Example Variance and Standard DeviationYearActual ReturnAverage ReturnDeviation from the MeanSquar
123、ed Deviation1.15.105.045.0020252.09.105-.015.0002253.06.105-.045.0020254.12.105.015.000225Totals.42.00.0045Variance = .0045 / (4-1) = .0015 Standard Deviation = .038739.264Figure 10.1090%Large-companystocks13.3%20.1 Small-companystocks17.633.6 Long-termcorporate bonds5.98.7 Long-termgovernment5.59.3
124、 Intermediate-termgovernment5.45.8 U.S. Treasurybills3.83.2 Inflation3.24.5 -90%0%*The 1933 small-company stock total return was 142.9 percent.*SeriesAverageReturnStandardDeviationDistribution9.265Figure 10.11-3-47.0%-2-26.9%-1-6.8%013.3%+133.4%+253.5%+373.6%ProbabilityReturn onlarge commonstocks68%
125、95%99%9.266有效资本市场Efficient Capital Marketsl股票价格处于均衡或“公允”定价 Stock prices are in equilibrium or are “fairly” pricedl如果这是真的，你不会赚取“超额”收益 If this is true, then you should not be able to earn “abnormal” or “excess” returnsl有效市场并不意味投资者可以在股票市场赚取正的收益 Efficient markets DO NOT imply that investors cannot earn
126、a positive return in the stock market9.267Chapter 10 #12-8 -6-4 -20 +2 +4 +6 +8100140180220Price ($)Days relativeto announcement day(Day 0)Overreactionand correctionDelayedreactionEfficient marketreactionEfficient market reaction: the priceinstantaneously adjusts to and fully reflectsnew information
127、; there is no tendency forsubsequent increases and decreases.Delayed reaction: The price partially adjuststo the new information; eight days elapsebefore the price completely reflects thenew information.Overreaction and correction: The price over adjusts to the new information; itovershoots the new
128、price and subsequentlycorrects.9.268什么使得市场有效？What Makes Markets Efficient?l有许多投资者在那里做研究 There are many investors out there doing researchl当市场上有新信息时，立即被分析和交易l因此，价格反映了所有可能的公开信息l如果投资者停止研究股票，则市场不再有效率 If investors stop researching stocks, then the market will not be efficient9.269EMH的误解Common Misconcepti
129、ons about EMHl有效市场并不意味着你不能赚钱 Efficient markets do not mean that you cant make moneyl你只能赚取与所承担风险一致的平均报酬，不存在可以利用来赚取超额收益的价格偏差 They do mean that, on average, you will earn a return that is appropriate for the risk undertaken and there is not a bias in prices that can be exploited to earn excess returnsl
130、如果你不进行组合投资，市场有效性不会保护你避免错误的决策 Market efficiency will not protect you from wrong choices if you do not diversify you still dont want to put all your eggs in one basket9.270强有效市场Strong Form Efficiencyl价格反映所有信息，包括公开和不公开的Prices reflect all information, including public and privatel如果市场是强有效市场，不论他们掌握了什么信息，
131、则投资都不能赚取超额收益If the market is strong form efficient, then investors could not earn abnormal returns regardless of the information they possessedl经验证据证明市场不是强有效市场，因为内部人可能赚取超额收益 Empirical evidence indicates that markets are NOT strong form efficient and that insiders could earn abnormal returns9.271次强效率
132、性Semistrong Form Efficiencyl价格反映了所有公开信息，如交易信息、年度报告、公开新闻 Prices reflect all publicly available information including trading information, annual reports, press releases, etc.l如果市场是次强效率市场，则投资者不可能通过公开信息获取超额收益 If the market is semistrong form efficient, then investors cannot earn abnormal returns by tra
133、ding on public informationl这表示基础分析不可能取得超额收益 Implies that fundamental analysis will not lead to abnormal returns9.272弱式效率市场Weak Form Efficiencyl价格反映了所有过去的市场信息，如价格和交易量 Prices reflect all past market information such as price and volumel如果市场是弱式效率市场，则投资者不可能通过交易市场信息来赚取超额收益 If the market is weak form effi
134、cient, then investors cannot earn abnormal returns by trading on market informationlImplies that technical analysis will not lead to abnormal returnsl经验数据表明市场通常是弱有效率的 Empirical evidence indicates that markets are generally weak form efficient9.273Chapter 10 Quick QuizlWhich of the investments discus
135、sed have had the highest average return and risk premium?lWhich of the investments discussed have had the highest standard deviation?lWhat is capital market efficiency?lWhat are the three forms of market efficiency?11.274Chapter11风险和报酬Risk and Return11.275Key Concepts and Skillsl知道如何计算期望报酬 Know how
136、to calculate expected returnsl理解分散投资的作用 Understand the impact of diversificationl理解系统风险原则 Understand the systematic risk principlel理解证券市场线 Understand the security market linel理解风险报酬权衡 Understand the risk-return trade-off11.276Chapter Outlinel期望报酬和方差Expected Returns and Variancesl投资组合Portfoliosl宣告、意外
137、事项与预期收益率 Announcements, Surprises, and Expected Returnsl风险：系统风险与非系统风险 Risk: Systematic and Unsystematicl分散投资与投资组合的风险 Diversification and Portfolio Riskl系统风险与贝他系数Systematic Risk and Betal证券市场线The Security Market Linel证券市场线与资本成本：预览 The SML and the Cost of Capital: A Preview11.277期望报酬Expected Returnsl期
138、望报酬根据可能结果的概率计算的Expected returns are based on the probabilities of possible outcomesl从这个角度看，如果这个过程反复多次的话，“预期”意味着平均In this context, “expected” means average if the process is repeated many timesl“期望”报酬甚至不一定是一个可能的结果 The “expected” return does not even have to be a possible return11.278例：Example: Expect
139、ed Returnsl假设你必须预测下列股票C和T在下列三种可能的自然状态下报酬，期望报酬是多少？Suppose you have predicted the following returns for stocks C and T in three possible states of nature. What are the expected returns?lStateProbabilityCTlBoom0.30.150.25lNormal0.50.100.20lRecession?0.020.01lRC = .3(.15) + .5(.10) + .2(.02) = .099 = 9.
140、99%lRT = .3(.25) + .5(.20) + .2(.01) = .177 = 17.7%11.279方差和标准差Variance and Standard Deviationl方差和标准差衡量报酬的波动性 Variance and standard deviation still measure the volatility of returnsl在全部可能的概率区间使用不同的概率 Using unequal probabilities for the entire range of possibilitiesl偏差平方的加权平均lWeighted average of squa
141、red deviations11.280Example: Variance and Standard DeviationlConsider the previous example. What are the variance and standard deviation for each stock?lStock Cl2 = .3(.15-.099)2 + .5(.1-.099)2 + .2(.02-.099)2 = .002029l = .045lStock Tl2 = .3(.25-.177)2 + .5(.2-.177)2 + .2(.01-.177)2 = .007441l = .0
142、86311.281Another ExamplelConsider the following information:lState状态Probability概率ABC, Inc.lBoom繁荣.25.15lNormal正常.50.08lSlowdown萧条.15.04lRecession衰退 .10-.03lWhat is the expected return期望报酬?lWhat is the variance方差?lWhat is the standard deviation标准离差?11.282Portfolios投资组合l投资组合是指资产集合 A portfolio is a col
143、lection of assetsl构成组合的资产的风险与报酬的重要性在于其对组合风险与报酬的影响 An assets risk and return is important in how it affects the risk and return of the portfoliol正如单项资产一样，组合的风险收益权衡由组合的预期报酬与标准离差来衡量 The risk-return trade-off for a portfolio is measured by the portfolio expected return and standard deviation, just as wi
144、th individual assets11.283例：投资组合权重Example: Portfolio Weightsl假设你有$15,000 ，购买了下列金额的股票。投资组合中各股票的权重是多少？Suppose you have $15,000 to invest and you have purchased securities in the following amounts. What are your portfolio weights in each security?l$2000 of DCLKl$3000 of KOl$4000 of INTCl$6000 of KEIDCL
145、K: 2/15 = .133KO: 3/15 = .2INTC: 4/15 = .267KEI: 6/15 = .411.284投资组合期望报酬Portfolio Expected Returnsl投资组合的期望报酬是组合中各资产的期望报酬的加权平均l与单项证券一样，你可以通过求各种状态下组合的报酬来求组合的期望报酬 You can also find the expected return by finding the portfolio return in each possible state and computing the expected value as we did with
146、 individual securities11.285例：组合期望报酬Example: Expected Portfolio Returnsl考虑前面组合的权重。如果每只证券的期望报酬如下，组合的期望报酬是多少？ Consider the portfolio weights computed previously. If the individual stocks have the following expected returns, what is the expected return for the portfolio?lDCLK: 19.65%lKO: 8.96%lINTC: 9.
147、67%lKEI: 8.13%lE(RP) = .133(19.65) + .2(8.96) + .167(9.67) + .4(8.13) = 9.27%11.286组合的方差Portfolio Variancel计算每种状态下组合的报酬:RP = w1R1 + w2R2 + + wmRml用与单项证券相同的公式计算组合的期望报酬l用与单项证券相同的公式计算组合的方差和校准差 Compute the portfolio variance and standard deviation using the same formulas as for an individual asset11.287
148、例：组合方差Example: Portfolio VariancelConsider the following informationlInvest 50% of your money in Asset AlStateProbabilityABlBoom.430%-5%lBust.6-10%25%l各项资产的期望报酬和标准离差是多少？ What is the expected return and standard deviation for each asset?l组合的期望报酬和标准离差是多少？ What is the expected return and standard devia
149、tion for the portfolio?Portfolio12.5%7.5%11.288Another ExamplelConsider the following informationlStateProbabilityXZlBoom.2515%10%lNormal.6010%9%lRecession.155%10%l资产X 投资$6000，资产Y投资$4000 ，组合的期望报酬和标准离差是多少？ What is the expected return and standard deviation for a portfolio with an investment of $6000
150、in asset X and $4000 in asset Y?11.289预期与未预期的收益Expected versus Unexpected Returnsl实现的收益通常不等于期望报酬 Realized returns are generally not equal to expected returnsl存在预期因素与未预期的因素 There is the expected component and the unexpected componentl在任何时候，未预期的收益可能是正的也可能是负的l随着时间推移，未预期因素的平均值为11.290公告与新闻Announcements a
151、nd Newsl公告与新闻既可能包含预期因素也可能包含未预期因素l影响股票价格及其报酬的是那些未预期的因素 It is the surprise component that affects a stocks price and therefore its returnl显然当未预期到的公告出现或收益不同于预期时股票价格会出现变动11.291有效市场Efficient Marketsl有效市场是投资者对公告的未预期部分交易的结果 Efficient markets are a result of investors trading on the unexpected portion of an
152、nouncementsl对未预期部分的交易越容易，市场就会越有效The easier it is to trade on surprises, the more efficient markets should bel有效市场包含随机价格变化，因为我们不能预期未预期因素Efficient markets involve random price changes because we cannot predict surprises11.292系统风险Systematic Riskl风险因素影响大部分资产 Risk factors that affect a large number of as
153、setsl也称作不可分散风险或市场风险Also known as non-diversifiable risk or market riskl这类因素包括GDP变化，通货膨胀、利率等Includes such things as changes in GDP, inflation, interest rates, etc.11.293非系统风险Unsystematic Riskl只影响一部分资产Risk factors that affect a limited number of assetsl也称作独有风险或特有风险Also known as unique risk and asset-s
154、pecific riskl这类因素包括诸如罢工、零件缺货 Includes such things as labor strikes, part shortages, etc.11.294收益Returnsl总收益预期收益+非预期收益 Total Return = expected return + unexpected returnl非预期收益系统风险部分+非系统风险部分 Unexpected return = systematic portion + unsystematic portionl因此，总收益可以如下表述：Therefore, total return can be expre
155、ssed as follows:l总收益预期收益+系统风险收益+非系统风险收益 Total Return = expected return + systematic portion + unsystematic portion11.295分散投资（多样化投资0Diversificationl投资分散化是指投资不同类别的资产Portfolio diversification is the investment in several different asset classes or sectorsl分散化不仅仅是持有很多资产Diversification is not just holdin
156、g a lot of assetsl例如，你拥有50种网络股票，这不能算分散化For example, if you own 50 internet stocks, you are not diversifiedl但是，如果你拥有50种横跨20个不同行业的股票，这可以称作分散化 However, if you own 50 stocks that span 20 different industries, then you are diversified11.296Table 11.7%11.297分散化原则The Principle of Diversificationl分散化大幅降低收益的
157、波动性，但并没大幅降低预期报酬l风险的降低源于某项资产预期报酬下降被另一项资产的预期报酬上升所抵消l但是，总有一部分系统风险不能通过分散化消除 However, there is a minimum level of risk that cannot be diversified away and that is the systematic portion11.298Figure 11.1Average annualstandard deviation (%)Diversifiable riskNondiversifiableriskNumber of stocksin portfolio4
158、9.223.919.21102030401,00011.299可分散风险Diversifiable Riskl不能通过组合消除的风险 The risk that can be eliminated by combining assets into a portfoliol通常也称为非系统风险或资产特有风险Often considered the same as unsystematic, unique or asset-specific riskl如果持有一种资产或同一行业的资产，风险不容易被分散掉11.300总风险Total Riskl总风险系统风险+非系统风险 Total risk = s
159、ystematic risk + unsystematic riskl报酬的标准离差可用来计量总风险 The standard deviation of returns is a measure of total riskl好的多样化投资组合，非系统风险很小 For well diversified portfolios, unsystematic risk is very smalll相应地，多样化投资组合的总风险实际上主要是指系统风险Consequently, the total risk for a diversified portfolio is essentially equival
160、ent to the systematic risk11.301系统风险原则Systematic Risk Principlel承担风险要求有回报 There is a reward for bearing riskl承担不必要的风险没有回报There is not a reward for bearing risk unnecessarilyl风险资产的预期报酬取决于资产的系统风险，因为非系统风险可以被分散掉 The expected return on a risky asset depends only on that assets systematic risk since unsys
161、tematic risk can be diversified away11.302系统风险的计量Measuring Systematic Riskl我们如何来计量系统风险How do we measure systematic risk?l我们使用贝他系数来计量系统风险We use the beta coefficient to measure systematic riskl贝他系数告诉我们：What does beta tell us?l贝他系数等于1表示资产的系统风险与整个市场的系统风险相同l贝他系数小于1表示资产的系统风险小于整个市场的系统风险l贝他系数大于1表示资产的系统风险大于整
162、个市场的系统风险11.303Table 11.8(I)11.304总风险与系统风险Total versus Systematic RisklConsider the following information: Standard DeviationBetalSecurity C20%1.25lSecurity K30%0.95l哪个证券总风险更大？Which security has more total risk?l哪个证券系统风险更大？ Which security has more systematic risk?l哪个证券期望报酬更大？ Which security should ha
163、ve the higher expected return?11.305Example: Portfolio BetaslConsider the previous example with the following four securitieslSecurityWeightBetalDCLK.1334.03lKO.20.84lINTC.1671.05lKEI.40.59lWhat is the portfolio beta组合的贝他系数?l.133(4.03) + .2(.84) + .167(1.05) + .4(.59) = 1.1211.306贝他和风险溢价（风险报酬）Beta a
164、nd the Risk Premiuml记住风险溢价期望报酬无风险报酬率 Remember that the risk premium = expected return risk-free ratel贝他越高，风险报酬应该越大 The higher the beta, the greater the risk premium should bel我们能否规定风险报酬与贝他之间的关系以预测期望报酬？ Can we define the relationship between the risk premium and beta so that we can estimate the expec
165、ted return?lYES!11.307例：投资组合的期望报酬与贝他系数Example: Portfolio Expected Returns and BetasRfE(RA)A11.308风险收益比率：定义与举例Reward-to-Risk Ratio: Definition and Examplel风险收益比率是指前面例子中直线的斜率The reward-to-risk ratio is the slope of the line illustrated in the previous examplelSlope = (E(RA) Rf) / (A 0)l前面例子中的风险收益比率 =
166、(20 8) / (1.6 0) = 7.5l若风险收益比率等于8（表示直线上面的点代表的资产） What if an asset has a reward-to-risk ratio of 8 (implying that the asset plots above the line)?l若风险收益比率等于7（表示直线下面的点代表的资产） What if an asset has a reward-to-risk ratio of 7 (implying that the asset plots below the line)?11.309市场均衡Market Equilibriuml市场均
167、衡时，所有资产及投资组合的风险收益比率相同并与市场的风险收益比率相等 In equilibrium, all assets and portfolios must have the same reward-to-risk ratio and they all must equal the reward-to-risk ratio for the market11.310证券市场线Security Market Linel证券市场线是市场均衡的表现 The security market line (SML) is the representation of market equilibrium
168、lSML的斜率就是风险收益比率: (E(RM) Rf) / Ml但是由于市场的贝他总是等于1，斜率可以改写为But since the beta for the market is ALWAYS equal to one, the slope can be rewrittenlSlope = E(RM) Rf = market risk premium11.311资本资产定价模型Capital Asset Pricing Modell资本资产定价模型定义为风险与报酬间的关系 E(RA) = Rf + A(E(RM) Rf)l如果我们知道资产的系统风险，我们可以用CAPM确定其期望报酬 If w
169、e know an assets systematic risk, we can use the CAPM to determine its expected returnlThis is true whether we are talking about financial assets or physical assets11.312影响期望报酬的因素Factors Affecting Expected Returnl纯粹的货币时间价值用无风险报酬率衡量 Pure time value of money measured by the risk-free ratel承受系统风险的报酬用市场
170、风险溢价来衡量 Reward for bearing systematic risk measured by the market risk premiuml系统风险金额用贝他来衡量 Amount of systematic risk measured by beta11.313Example - CAPMl使用前面所给资产的贝他系数。如果无风险报酬率是6.15%，市场风险报酬是9.5%，每项资产的期望报酬是多少？lSecurityBetaExpected ReturnlDCLK4.036.15 + 4.03(9.5) = 44.435%lKO0.846.15 + .84(9.5) = 14.
171、13%lINTC1.056.15 + 1.05(9.5) = 16.125%lKEI0.596.15 + .59(9.5) = 11.755%11.314Figure 11.4= E(RM) - RfE(RM)RfM=1.0Asset beta (I)Asset expectedreturn (E(Ri)证券市场线的斜率等于市场风险报酬，即承担系统风险要求的报酬。描述SML的方程为：也称为资本资产定价模型或CAPMThe slope of the security market line is equal to themarket risk premium, i.e., the reward
172、for bearing anaverage amount of systematic risk. The equation describing the SML can be written:E(Ri) = Rf + E(RM) - Rf X Iwhich is the capital asset pricing model, or CAPM. 11.315Chapter 11 Quick QuizlHow do you compute the expected return and standard deviation for an individual asset? For a portf
173、olio?lWhat is the difference between systematic and unsystematic risk?lWhat type of risk is relevant for determining the expected return?lConsider an asset with a beta of 1.2, a risk-free rate of 5% and a market return of 13%.lWhat is the reward-to-risk ratio in equilibrium?lWhat is the expected ret
174、urn on the asset?12.316Chapter12资本成本Cost of Capital12.317Key Concepts and Skillsl知道如何确定公司权益资本成本Know how to determine a firms cost of equity capitall知道如何确定公司负债资本成本Know how to determine a firms cost of debtl知道如何确定公司综合资本成本Know how to determine a firms overall cost of capitall理解综合资本成本困难及如何克服Understand p
175、itfalls of overall cost of capital and how to manage them12.318Chapter Outlinel资本成本：预览 The Cost of Capital: Some Preliminariesl权益成本The Cost of Equityl负债和优先股成本The Costs of Debt and Preferred Stockl加权资本成本The Weighted Average Cost of Capitall部门和项目资本成本 Divisional and Project Costs of Capital12.319为什么资本成
176、本很重要Why Cost of Capital Is Importantl我们知道资产的报酬取决于资产的风险 We know that the return earned on assets depends on the risk of those assetsl投资者的回报就是公司的成本 The return to an investor is the same as the cost to the companyl资本成本提供给我们的信息是：市场是如何看待我们资产的风险的Our cost of capital provides us with an indication of how th
177、e market views the risk of our assetsl知道资本成本还可以帮助我们确定资本预算项目的必要报酬率Knowing our cost of capital can also help us determine our required return for capital budgeting projects12.320必要报酬Required Returnl必要报酬与恰当的贴现率一样是根据现金流量的风险来确定的The required return is the same as the appropriate discount rate and is based
178、 on the risk of the cash flowsl在我们计算NPV和投资决策时我们需要知道一项投资的必要报酬率We need to know the required return for an investment before we can compute the NPV and make a decision about whether or not to take the investmentl我们需要赚取至少必要报酬率水平才能弥补从投资者处融资的成本We need to earn at least the required return to compensate our
179、 investors for the financing they have provided12.321权益成本Cost of Equityl在公司现金流量风险一定的情况下，权益成本是权益投资者所要求的报酬率The cost of equity is the return required by equity investors given the risk of the cash flows from the firml有两种方法确定权益成本There are two major methods for determining the cost of equityl股利增长模型Divide
180、nd growth modellSML or CAPM12.322股利增长模型法The Dividend Growth Model Approachl根据股利增长模型方程求解Start with the dividend growth model formula and rearrange to solve for RE12.323股利增长模型举例Dividend Growth Model Examplel假设你的公司明年预期每股支付$1.50股利，股利增长率稳定在每年增长5.1%并且市场预期还会持续下去。目前股价为$25,权益成本是多少？ Suppose that your company
181、is expected to pay a dividend of $1.50 per share next year. There has been a steady growth in dividends of 5.1% per year and the market expects that to continue. The current price is $25. What is the cost of equity?12.324Example: Estimating the Dividend Growth Ratel一种预测增长率的方法是利用历史平均 One method for e
182、stimating the growth rate is to use the historical averagelYearDividendPercent Changel19951.23l19961.30l19971.36l19981.43l19991.50(1.30 1.23) / 1.23 = 5.7%(1.36 1.30) / 1.30 = 4.6%(1.43 1.36) / 1.36 = 5.1%(1.50 1.43) / 1.43 = 4.9%Average = (5.7 + 4.6 + 5.1 + 4.9) / 4 = 5.1%12.325股利增长模型的优缺点Advantages
183、 and Disadvantages of Dividend Growth Modell优点容易理解和使用Advantage easy to understand and usel缺点Disadvantagesl只适用于那些目前支付股利的公司Only applicable to companies currently paying dividendsl如果股利不以合理的固定比率增长则不适用Not applicable if dividends arent growing at a reasonably constant ratel对预计股利增长率非常敏感股利增长率增加1%则权益成本增加l没有考
184、虑风险Does not explicitly consider risk12.326The SML Approachl利用下列信息计算权益成本Use the following information to compute our cost of equityl无风险报酬率Risk-free rate, Rfl市场风险溢价Market risk premium, E(RM) Rfl资产的系统风险Systematic risk of asset, 12.327举例Example - SMLl假设你公司权益的贝他系数为0.58，目前无风险报酬率为6.1%。如果预期市场风险溢价为8.5%，你公司的权
185、益成本是多少？lRE = 6.1 + .58(8.6) = 11.1%l由于我们使用股利增长模型和SML法计算的结果基本相同，我们的预测还是令人欣慰的Since we came up with similar numbers using both the dividend growth model and the SML approach, we should feel pretty good about our estimate12.328SML法的优缺点Advantages and Disadvantages of SMLl优点Advantagesl明确根据系统风险进行了调整Explici
186、tly adjusts for systematic riskl适用所有公司，只要我们能计算出贝他Applicable to all companies, as long as we can compute betal缺点Disadvantagesl必须预测随时间而变化的预期的市场风险溢价Have to estimate the expected market risk premium, which does vary over timel必须预测随时间而变化贝他Have to estimate beta, which also varies over timel我们依据过去预测未来，这总是不
187、可靠的We are relying on the past to predict the future, which is not always reliable12.329例权益成本Example Cost of Equityl假设公司权益的贝他系数为1.5，目前无风险报酬率为6%。如果预期市场风险溢价为9%，使用分析师预测确定股利增长率为6%，最近一次股利是6%。股票目前售价是$15.65。公司的权益成本是多少？lUsing SML: RE = 6% + 1.5(9%) = 19.5%lUsing DGM: RE = 2(1.06) / 15.65 + .06 = 19.55%12.330
188、负债成本Cost of Debtl负债成本即公司负债的必要报酬率The cost of debt is the required return on our companys debtl通常注重长期负债或债券的成本We usually focus on the cost of long-term debt or bondsl通过计算现有负债的到期收益率预测必要报酬率The required return is best estimated by computing the yield-to-maturity on the existing debtl在发行新债券时我们也根据债券评级预测现行利率
189、We may also use estimates of current rates based on the bond rating we expect when we issue new debtl负债成本不是票面利率The cost of debt is NOT the coupon rate12.331负债成本举例Cost of Debt Examplel假设目前发行在外还有25年到期债券的票面利率是9%，利息每半年支付。债券价格目前为$908.72 （面值为$1000 ）。负债成本是多少 Suppose we have a bond issue currently outstandi
190、ng that has 25 years left to maturity. The coupon rate is 9% and coupons are paid semiannually. The bond is currently selling for $908.72 per $1000 bond. What is the cost of debt?lN = 50; PMT = 45; FV = 1000; PV = -908.75; CPT I/Y = 5%; YTM = 5(2) = 10%12.332优先股成本Cost of Preferred Stockl注意Remindersl
191、优先股通常每期支付一个固定股利Preferred generally pays a constant dividend every periodl股利预期永远支付Dividends are expected to be paid every period foreverl优先股是一种年金，因此我们利用年金公式Preferred stock is an annuity, so we take the annuity formula, rearrange and solve for RPlRP = D / P012.333优先股成本举例Cost of Preferred Stock - Examp
192、lel你的公司有每年股利为$3 的优先股。如果目前的股票价格为$25 ，优先股的成本是多少？ Your company has preferred stock that has an annual dividend of $3. If the current price is $25, what is the cost of preferred stock?lRP = 3 / 25 = 12%12.334加权资本成本Weighted Average Cost of Capitall我们可以利用计算的个别资本成本来得到公司全部资本的“平均”成本 l这个“平均”是根据市场对公司资产的风险判定得出的
193、对公司资产要求的报酬率 This “average” is the required return on our assets, based on the markets perception of the risk of those assetsl使用的融资的比重作为求“平均”的权数The weights are determined by how much of each type of financing that we use12.335资本结构权重Capital Structure Weightsl符号NotationlE权益市场价值发行在外的股数 每股价格 E = market v
194、alue of equity = # outstanding shares times price per sharelD=负债市场价值发行在外的债券数 债券价格D = market value of debt = # outstanding bonds times bond pricelV公司市场价值 V = market value of the firm = D + El权数WeightslwE = E/V = percent financed with equitylwD = D/V = percent financed with debt12.336例资本结构权重Example Ca
195、pital Structure Weightsl假设你的权益的市场价值为$500 百万，负债的市场价值为$475 百万。资本结构权重是多少？ Suppose you have a market value of equity equal to $500 million and a market value of debt = $475 million.lWhat are the capital structure weights?lV = 500 million + 475 million = 975 millionlwE = E/D = 500 / 975 = .5128 = 51.28%l
196、wD = D/V = 475 / 975 = .4872 = 48.72%12.337税与WACCTaxes and the WACCl我们关心税后现金流量，因此需要考虑所科税效应对各种资本成本的影响l利息费用减少了我们的应税义务 tax liabilityl纳税减少降低了负债成本This reduction in taxes reduces our cost of debtl税后负债成本After-tax cost of debt = RD(1-TC)l股利没有所得税扣减，因此对权益资本来说没有纳税影响lWACC = wERE + wDRD(1-TC)12.338Extended Examp
197、le WACC - IlEquity Informationl50 million sharesl$80 per sharelBeta = 1.15lMarket risk premium = 9%lRisk-free rate = 5%lDebt Informationl$1 billion in outstanding debt (face value)lCurrent quote = 110lCoupon rate = 9%, semiannual couponsl15 years to maturitylTax rate = 40%12.339Extended Example WACC
198、 - IIl权益成本是多少What is the cost of equity?lRE = 5 + 1.15(9) = 15.35%l负债成本是多少What is the cost of debt?lN = 30; PV = -1100; PMT = 45; FV = 1000; CPT I/Y = 3.9268lRD = 3.927(2) = 7.854%l税后负债成本是多少What is the after-tax cost of debt?lRD(1-TC) = 7.854(1-.4) = 4.712%12.340Extended Example WACC - IIIlWhat are
199、the capital structure weights?lE = 50 million (80) = 4 billionlD = 1 billion (1.10) = 1.1 billionlV = 4 + 1.1 = 5.1 billionlwE = E/V = 4 / 5.1 = .7843lwD = D/V = 1.1 / 5.1 = .2157lWhat is the WACC?lWACC = .7843(15.35%) + .2157(4.712%) = 13.06%12.341Table 12.112.342部门或项目资本成本Divisional and Project Cos
200、ts of Capitall使用WACC作为项目的贴现率只适用于那些与公司现有经营风险相同的项目Using the WACC as our discount rate is only appropriate for projects that are the same risk as the firms current operationsl如果我们要做的项目与公司风险不同，则需要为这个项目确定适当的贴现率If we are looking at a project that is NOT the same risk as the firm, then we need to determine
201、 the appropriate discount rate for that projectl部门也要求不同的贴现率Divisions also often require separatediscount rates12.343所有项目都使用WACC举例Using WACC for All Projects - Examplel如果不考虑风险，所有项目都使用WACC会怎么样？What would happen if we use the WACC for all projects regardless of risk?lAssume the WACC = 15%ProjectRequire
202、d ReturnIRRA20%17%B15%18%C10%12%12.344单一业务公司法Pure Play Approachl找出一家或多家我们正在准备投资项目的专业公司Find one or more companies that specialize in the product or service that we are consideringl计算各个公司的贝他Compute the beta for each companyl算出平均值Take an averagel根据贝他值算出此风险水平下的项目的预期报酬率Use that beta along with the CAPM t
203、o find the appropriate return for a project of that riskl通常很难找到专业公司Often difficult to find pure play companies12.345主观法 Subjective Approachl考虑与公司整体相关的项目风险 Consider the projects risk relative to the firm overalll如果项目风险比公司整体风险大，使用的贴现率要大于WACCl如果项目风险比公司整体风险小，使用的贴现率要小于WACCl你可能接受了不该接受的项目或拒绝了应该接受的项目，但你的错误率
204、应该比不考虑风险水平不同时低。You may still accept projects that you shouldnt and reject projects you should accept, but your error rate should be lower than not considering differential risk at all12.346Subjective Approach - ExampleRisk LevelDiscount RateVery Low RiskWACC 8%Low RiskWACC 3%Same Risk as FirmWACCHig
205、h RiskWACC + 5%Very High RiskWACC + 10%12.347Chapter 12 Quick QuizlWhat are the two approaches for computing the cost of equity?lHow do you compute the cost of debt and the after-tax cost of debt?lHow do you compute the capital structure weights required for the WACC?lWhat is the WACC?lWhat happens
206、if we use the WACC for the discount rate for all projects?lWhat are two methods that can be used to compute the appropriate discount rate when WACC isnt appropriate?13.348Chapter13财务杠杆与资本结构Leverage and Capital Structure13.349主要概念与技能Key Concepts and Skillsl理解财务杠杆对现金流量和权益成本的影响Understand the effect of
207、financial leverage on cash flows and cost of equityl资本结构选择中税与破产的影响 Understand the impact of taxes and bankruptcy on capital structure choicel理解破产过程的实质 Understand the basic components of the bankruptcy process13.350本章大纲Chapter Outlinel资本结构问题The Capital Structure Questionl财务杠杆的效果The Effect of Financia
208、l Leveragel资本结构与股权资本成本Capital Structure and the Cost of Equity Capitall税收与资本结构Corporate Taxes and Capital Structurel破产成本Bankruptcy Costsl最优资本结构Optimal Capital Structurel观察到的资本结构Observed Capital Structuresl破产过程简述A Quick Look at the Bankruptcy Process13.351资本结构调整Capital Restructuringl其他条件不变时，我们来看资本结构变
209、化会如何影响公司价值 We are going to look at how changes in capital structure affect the value of the firm, all else equall资本结构调整是指不改变公司的资产，而只改变公司的财务杠杆 Capital restructuring involves changing the amount of leverage a firm has without changing the firms assetsl通过发行债券回购流通在外的股票来提高财务杠杆 Increase leverage by issuin
210、g debt and repurchasing outstanding sharesl通过发行新股来赎回流通在外的债务 Decrease leverage by issuing new shares and retiring outstanding debt13.352选择资本结构Choosing a Capital Structurel财务经理的主要目标是什么 What is the primary goal of financial managers?l股东财富最大化Maximize stockholder wealthl我们应该选择使股东财富最大化的资本结构We want to choo
211、se the capital structure that will maximize stockholder wealthl我们可以通过增加公司价值或降低WACC来最大化股东财富 We can maximize stockholder wealth by maximizing firm value or minimizing WACC13.353财务杠杆效应The Effect of Leveragel财务杠杆如何影响公司的EPS和ROE How does leverage affect the EPS and ROE of a firm?l当我增加负债融资水平时，固定利息费用会增加 Whe
212、n we increase the amount of debt financing, we increase the fixed interest expensel如果这年收益不错，支付固定利息成本，留给股东的收益会更多If we have a really good year, then we pay our fixed cost and we have more left over for our stockholdersl如果这年收益不好，我们仍要支付固定利息，这样留给股东的收益就会少If we have a really bad year, we still have to pay
213、our fixed costs and we have less left over for our stockholdersl财务杠杆意味着EPS和ROE的变动Leverage amplifies the variation in both EPS and ROE13.354例：财务杠杆、EPS和ROEExample: Financial Leverage, EPS and ROEl在这部分我们暂且忽略所税税的影响 We will ignore the effect of taxes at this stagel当发行债券回购股票时，EPS和ROE会如何变化？ What happens to
214、 EPS and ROE when we issue debt and buy back shares of stock?13.355lVariability in ROElCurrent: ROE ranges from 6.25% to 18.75%lProposed: ROE ranges from 2.50% to 27.50%lVariability in EPSlCurrent: EPS ranges from $1.25 to $3.75lProposed: EPS ranges from $0.50 to $5.50lThe variability in both ROE an
215、d EPS increases when financial leverage is increased例：财务杠杆、EPS和ROEExample: Financial Leverage, EPS and ROE13.356EBIT平衡点Break-Even EBITl目前的和建议的资本结构EPS相同时的EBIT Find EBIT where EPS is the same under both the current and proposed capital structuresl如果预期EBIT高于平衡点，则财务杠杆有利于股东 If we expect EBIT to be greate
216、r than the break-even point, then leverage is beneficial to our stockholdersl如果预期EBIT低于平衡点，则财务杠杆不利于股东 If we expect EBIT to be less than the break-even point, then leverage is detrimental to our stockholders13.357例：EBIT平衡点Example: Break-Even EBIT13.358例： Homemade 杠杆与ROEExample: Homemade Leverage and
217、ROEl目前资本结构 Current Capital Structurel投资者借款$2000并用这 $2000 去买200 股股票l报酬Payoffs:lRecession: 200(1.25) - .1(2000) = $50lExpected: 200(2.50) - .1(2000) = $300lExpansion: 200(3.75) - .1(2000) = $550lMirrors the payoffs from purchasing 100 shares from the firm under the proposed capital structurel建议的资本结构 P
218、roposed Capital Structurel投资者购买价值$1000的股票（50股）和报酬率为10%的$1000的债券l报酬Payoffs:lRecession: 50(.50) + .1(1000) = $125lExpected: 50(3.00) + .1(1000) = $250lExpansion: 50(5.50) + .1(1000) = $375lMirrors the payoffs from purchasing 100 shares under the current capital structure13.359资本结构理论Capital Structure T
219、heorylMM资本结构理论 Modigliani and Miller Theory of Capital Structurel命题1公司价值 Proposition I firm valuel命题2WACC Proposition II WACCl公司价值取决于公司资产的现金流量及风险The value of the firm is determined by the cash flows to the firm and the risk of the assetsl改变了公司价值Changing firm valuel改变现金流量的风险Change the risk of the cas
220、h flowsl改变了现金流量Change the cash flows13.360三种特定情况下资本结构理论Capital Structure Theory Under Three Special Casesl情况1假设Case I Assumptionsl没有公司所得税和个人所得税No corporate or personal taxesl没有破产成本 No bankruptcy costsl情况2假设Case II Assumptionsl有公司所得税，但没有个人所得税Corporate taxes, but no personal taxesl没有破产成本 No bankruptcy
221、 costsl情况3假设Case III Assumptionsl有公司所得税，但没有个人所得税Corporate taxes, but no personal taxesl没有破产成本 Bankruptcy costs13.361情况1命题1和命题2Case I Propositions I and IIl命题1Proposition Il公司价值不受资本结构改变的影响 The value of the firm is NOT affected by changes in the capital structurel公司现金流量没变，因此公司价值不变 The cash flows of th
222、e firm do not change, therefore value doesnt changel命题2Proposition IIl公司的WACC不受资本结构的影响 The WACC of the firm is NOT affected by capital structure13.362Case I Equations方程lWACC = RA = (E/V)RE + (D/V)RDlRE = RA + (RA RD)(D/E)lRA是公司经营风险的“成本”，即公司资产的风险 RA is the “cost” of the firms business risk, i.e., the
223、 risk of the firms assetsl(RA RD)(D/E)是公司的财务风险“成本”，即股东承担财务风险要求补偿的额外收益 (RA RD)(D/E) is the “cost” of the firms financial risk, i.e., the additional return required by stockholders to compensate for the risk of leverage13.363Case I - ExamplelDatal资产报酬率Required return on assets = 16%, 负债成本cost of debt
224、= 10%; 负债比重percent of debt = 45%l权益成本是多少What is the cost of equity?lRE = .16 + (.16 - .10)(.45/.55) = .2091 = 20.91%l假设权益成本是25%，负债权益比是多少Suppose instead that the cost of equity is 25%, what is the debt-to-equity ratio?l.25 = .16 + (.16 - .10)(D/E)lD/E = (.25 - .16) / (.16 - .10) = 1.5l根据这些信息，公司权益的比重是
225、多少？Based on this information, what is the percent of equity in the firm?lE/V = 1 / 2.5 = 40%13.364Figure 13.3Cost of capital(%)Debt-equity ration(D/E)RERDWACC = RARE = RA + (RA RD) X (D/E) by M&M Proposition IIRA = WACC = (E/V) X RE + (D/V) X RDwhere V = D + E13.365The CAPM, the SML and Proposition
226、IIl财务杠杆是如何影响系统风险的？ How does financial leverage affect systematic risk?lCAPM: RA = Rf + A(RM Rf)l这里A是公司资产贝他系数，衡量公司资产风险Where A is the firms asset beta and measures the systematic risk of the firms assetslProposition IIl用CAPM替换A ，并假设负债是无风险的 Replace RA with the CAPM and assume that the debt is riskless
227、(RD = Rf)lRE = Rf + A(1+D/E)(RM Rf)13.366经营风险和财务风险Business Risk and Financial RisklRE = Rf + A(1+D/E)(RM Rf)lCAPM: RE = Rf + E(RM Rf)lE = A(1 + D/E)l因此，股票的系统风险取决于：Therefore, the systematic risk of the stock depends on:l资产的系统风险A ，（经营风险）Systematic risk of the assets, A, (Business risk)l财务杠杆水平, D/E, (财
228、务风险) Level of leverage, D/E, (Financial risk)13.367Case II Cash Flowsl利息可以抵消所得税Interest is tax deductiblel因此，其他不变时，当公司增加负债，其所得税减少 Therefore, when a firm adds debt, it reduces taxes, all else equall所得税减少增加了公司的现金流量 The reduction in taxes increases the cash flow of the firml现金流量增加如何影响公司价值？ How should a
229、n increase in cash flows affect the value of the firm?13.368Case II - ExampleUnlevered FirmLevered FirmEBIT50005000Interest0500Taxable Income50004500Taxes (34%)17001530Net Income33002970CFFA3300347013.369利息税盾Interest Tax Shieldl年利息税盾Annual interest tax shieldl所得税率乘以利息支出Tax rate times interest paymen
230、tl6250 in 8% debt = 500 in interest expensel年利息税盾Annual tax shield = .34(500) = 170l年利息税盾的现值 Present value of annual interest tax shieldl为简单起见，假设是永续负债Assume perpetual debt for simplicitylPV = 170 / .08 = 2125lPV = D(RD)(TC) / RD = DTC = 6250(.34) = 212513.370Case II Proposition Il年利息税盾的现值增加了公司的价值 Th
231、e value of the firm increases by the present value of the annual interest tax shieldl杠杆公司的价值无杠杆公司价值+利息税盾的现值 Value of a levered firm = value of an unlevered firm + PV of interest tax shieldl权益价值公司价值负债价值 Value of equity = Value of the firm Value of debtl假设是永续现金流量 Assuming perpetual cash flowslVU = EBI
232、T(1-T) / RUlVL = VU + DTC13.371Example: Case II Proposition IlDatalEBIT = 25 million; Tax rate = 35%; Debt = $75 million; Cost of debt = 9%; Unlevered cost of capital = 12%lVU = 25(1-.35) / .12 = $135.42 millionlVL = 135.42 + 75(.35) = $161.67 millionlE = 161.67 75 = $86.67 million13.372Figure 13.4V
233、alue ofthe firm(VL)VL = VU + TC + X D = Value of firm with debtVU = Value of firm with no debtTotal debt(D)VU= TC= TCTC X D = Present value of tax shield on debtVUThe value of the firm increases as total debt increases because ofthe interest tax shield. This is the basis of M&M Proposition I with ta
234、xes.由于利息税盾作用，随着总负债增加，公司价值增加。这是有税时MM命题的基础。13.373Case II Proposition IIl由于政府对利息支出的补贴，随着D/E的增加，WACC下降。 The WACC decreases as D/E increases because of the government subsidy on interest paymentslRA = (E/V)RE + (D/V)(RD)(1-TC)lRE = RU + (RU RD)(D/E)(1-TC)lExamplelRE = .12 + (.12-.09)(75/86.67)(1-.35) = 1
235、3.69%lRA = (86.67/161.67)(.1369) + (75/161.67)(.09)(1-.35)RA = 10.05%13.374Case II Proposition II Examplel假设公司改变其资本结构直到负债权益比为1 Suppose that the firm changes its capital structure so that the debt-to-equity ratio becomes 1.l新资本结构下权益成本是多少？ What will happen to the cost of equity under the new capital s
236、tructure?lRE = .12 + (.12 - .09)(1)(1-.35) = 13.95%l加权资本成本是多少？ What will happen to the weighted average cost of capital?lRA = .5(.1395) + .5(.09)(1-.35) = 9.9%13.375Case II Graph of Proposition IICost of CapitalD/ERURERARD(1-TC)13.376Case IIIl现在我们将破产成本加上 Now we add bankruptcy costsl当D/E比率上升时，破产可能性增加
237、 As the D/E ratio increases, the probability of bankruptcy increasesl破产可能性增加会增加预期的破产成本 This increased probability will increase the expected bankruptcy costsl在某个时刻，利息税盾增加的价值会被预期的破产成本抵消 At some point, the additional value of the interest tax shield will be offset by the expected bankruptcy costl此时，公司
238、价值开始下降，WACC开妈随着负债增加而增加 At this point, the value of the firm will start to decrease and the WACC will start to increase as more debt is added13.377破产成本Bankruptcy Costsl直接成本Direct costsl法律和管理成本Legal and administrative costsl最终会导致债权人发生额外的损失Ultimately cause bondholders to incur additional lossesl抵制负债融资D
239、isincentive to debt financingl财务危机Financial distressl偿债义务到期时会出现很大的问题Significant problems in meeting debt obligationsl多数经历财务危机的公司不一定最后都申请破产Most firms that experience financial distress do not ultimately file for bankruptcy13.378更多破产成型More Bankruptcy Costsl间接破产成本Indirect bankruptcy costsl比直接成本大，但更难衡量和
240、估计 Larger than direct costs, but more difficult to measure and estimatel股东希望避免正式破产申请 Stockholders wish to avoid a formal bankruptcy filingl债权人想保全现有资产以至少收回其本金 Bondholders want to keep existing assets intact so they can at least receive that moneyl管理层想着如何避免破产而不能致力于经营所导致的资产损失Assets lose value as manage
241、ment spends time worrying about avoiding bankruptcy instead of running the businessl丧失销售机会、经营中断、有价值雇员流失Also have lost sales, interrupted operations and loss of valuable employees13.379Figure 13.5Value ofthe firm(VL)VL = VU + TC X D = Value of firm with debtFinancial distresscostsVU = Value of firm w
242、ith no debtActual firm valueMaximumfirm value VL*D* Optimal amount of debtTotal debt(D)Present value of taxshield on debtAccording to the static theory, the gain from the tax shield on debt is offset by financial distress cost.An optimal capital structure exists that just balances the additional gai
243、n from leverage against theadded financial distress cost.根据静态理论，负债的税盾利益被财务危机成本抵消，最优资本结构存在于杠杆利益刚好等于增加的财务危机成本13.380结论ConclusionslCase I 没有所得税或破产成本no taxes or bankruptcy costsl无最优资本结构No optimal capital structurelCase II 有所得税但没破产成本corporate taxes but no bankruptcy costsl最优资本结构是100%负债Optimal capital stru
244、cture is 100% debtl增加$1的负债就相应增加公司的现金流量Each additional dollar of debt increases the cash flow of the firmlCase III 没有所得税或破产成本corporate taxes and bankruptcy costsl最优资本结构是部分负债部分权益 Optimal capital structure is part debt and part equityl最优资本结构存在于杠杆利益刚好被预期的破产成本所抵消 Occurs where the benefit from an addition
245、al dollar of debt is just offset by the increase in expected bankruptcy costs13.381Figure 13.6Valueof thefirm(VL)PV of bankruptcycostsNet gain fromleverageCase IIM&M (with taxes)Case IIIStatic theoryCase IM&M (no taxes)VL*VUTotaldebt (D)D*Weightedaverage cost ofcapital(%)Case IM&M (no taxes)Case III
246、Static theoryCase IIM&M (with taxes)WACC*D*/E*Debt-equity ratio(D/E)Case 1With no taxes or bankruptcy costs, the value of the firm and its weighted average costof capital are not affected by capitalstructures.Case 2With corporate taxes and no bankruptcy costs,the value of the firm increases and the
247、weightedaverage cost of capital decreases as the amountof debt goes up.Case 3With corporate taxes and bankruptcy costs,the value of the firm, VL, reaches a maximum atD*, the optimal amount of borrowing. At the sametime, the weighted average cost of capital, WACC,is minimized at D*/E*.13.382其他管理建议Add
248、itional Managerial Recommendationsl如果公司有大量纳税义务是纳税利益才重要The tax benefit is only important if the firm has a large tax liabilityl财务危机风险Risk of financial distressl财务危机风险越大，公司负债少些对公司更好The greater the risk of financial distress, the less debt will be optimal for the firml不同公司和行业财务危机不同，作为管理层，你需要了解你所在行业的成本
249、The cost of financial distress varies across firms and industries and as a manager you need to understand the cost for your industry13.383观察资本结构Observed Capital Structurel不同行业资本结构不同 Capital structure does differ by industrieslDifferences according to Cost of Capital 2000 Yearbook by Ibbotson Associa
250、tes, Inc.lLowest levels of debtlDrugs with 2.75% debtlComputers with 6.91% debtlHighest levels of debtlSteel with 55.84% debtlDepartment stores with 50.53% debt13.384破产过程Bankruptcy Process Part Il经营失败企业终止，债权人损失 Business failure business has terminated with a loss to creditorsl法律破产向法庭申请破产 Legal bankr
251、uptcy petition federal court for bankruptcyl技术破产Technical insolvency firm is unable to meet debt obligationsl会计破产Accounting insolvency book value of equity is negative13.385破产程序Bankruptcy Process Part IIl清算LiquidationlChapter 7 of the Federal Bankruptcy Reform Act of 1978lTrustee takes over assets,
252、sells them and distributes the proceeds according to the absolute priority rulel重组ReorganizationlChapter 11 of the Federal Bankruptcy Reform Act of 1978lRestructure the corporation with a provision to repay creditors13.386Chapter 13 Quick QuizlExplain the effect of leverage on EPS and ROElWhat is the break-even EBIT?lHow do we determine the optimal capital structure?lWhat is the optimal capital structure in the three cases that were discussed in this chapter?lWhat is the difference between liquidation and reorganization?
