Chap018Equity Valuation Models(金融工程-南开大学,王小麓))
南开19春学期（1503、1509、1603、1609、1703）《金融工程学》在线作业1答案
南开19春学期（1503、1509、1603、1609、1703）《金融工程学》在线作业1答案南开19春学期（1503、1509、1603、1609、1703）《金融工程学》在线作业-14、B一、单选题共20题，40分1、在互换交易过程中（）充当互换媒介和互换主体A银行B证券公司C券商D政府本题选择是：？2、芝加哥交易所交易的S&P500指数期权属于（）。
A欧式期权B美式期权C百慕大式期权D上述三种均存在本题选择是：？3、某公司计划在3个月之后发行股票，那么该公司可以采用以下哪些措施来进行相应的套期保值？A购买股票指数期货B出售股票指数期货C购买股票指数期货的看涨期权D出售股票指数期货的看跌期权本题选择是：？4、只能在到期日行使的期权，是（）期权。
A美式期权B欧式期权C看涨期权D看跌期权本题选择是：？5、基差掉期是（）的掉期。
A固定利率对固定利率B固定利率对浮动利率C浮动利率对浮动利率D上述均可本题选择是：？6、期货合约的空头有权选择具体的交割品种、交割地点、交割时间等，这些权利将对期货价格产生怎样的影响？（）A提高期货价格B降低期货价格C可能提高也可能降低期货价格D对期货价格没有影响本题选择是：？7、最早出现的金融期货是（）A外汇期货B股票指数期货C利率期货D黄金期货本题选择是：？8、以下不属于期权市场结构成分的是：（）。
A经纪公司B银行C期权交易所D期权清算所本题选择是：？9、按购买者行使期权的时限划分，下列不属于期权划分为（）。
A欧式期权B美式期权C放弃期权D百慕大式期权本题选择是：？10、某公司三个月后有一笔100万美元的现金流入，为防范美元汇率风险，该公司可以考虑做一笔三个月期金额为100万美元的（）。
A买入期货B卖出期货C买入期权D互换本题选择是：？11、远期利率协议中，国际通用惯例计算一年转换天数时，（）按360天计算。
A美元B日元C英镑D人民币本题选择是：？12、通过期货价格而获得某种商品未来的价格信息，这是期货市场的主要功能之一，被称为（）功能。
南开24年秋季《金融工程学》作业参考二
24秋学期《金融工程学》作业参考1.芝加哥交易所交易的S&P500指数期权属于（）。
选项A：欧式期权选项B：美式期权选项C：百慕大式期权选项D：上述三种均存在参考答案：A2.期权的最大特征是（）。
选项A：风险与收益的对称性选项B：卖方有执行或放弃执行期权的选择权选项C：风险与收益的不对称性选项D：必须每日计算盈亏参考答案：C3.美国经济学家凯恩认为金融创新是（）的结果。
选项A：制度创新选项B：技术推进选项C：规避管制选项D：应付体制和税法参考答案：C4.下列说法哪一个是错误的（）。
选项A：场外交易的主要问题是信用风险选项B：交易所交易缺乏灵活性选项C：场外交易能按需定制选项D：互换市场是一种场内交易市场参考答案：D5.最早出现的金融期货是（）选项A：外汇期货选项B：股票指数期货选项C：利率期货选项D：黄金期货参考答案：A6.对于期权价值中的时间价值部分，期权合约到期时间越长，则时间价值越（）。
选项A：大选项B：小选项C：保持不变选项D：无法确定参考答案：A7.通过期货价格而获得某种商品未来的价格信息，这是期货市场的主要功能之一，被称为（）功能。
选项A：风险转移选项B：商品交换选项C：价格发现选项D：锁定利润参考答案：C8.在一个以LIBOR为基础2×5的FRA合约中，2×5中的5是指（）。
选项A：即期日到到期日为5个月选项B：即期日到结算日为5个月选项C：即期日到交易日为5个月选项D：交易日到结算日为5个月参考答案：A9.期货交易的真正目的是（）。
选项A：作为一种商品交换的工具选项B：转让实物资产或金融资产的财产权选项C：减少交易者所承担的风险。
南开大学金融学本科核心课程1
5
短期国债，既国库券（Treasure Bills，亦称 T-bills），是政府债务的金融债券，其偿还期在一 年以内，一般以招标方式发行。由于国库券以政府 信用做担保，因此是风险最低（近似于无风险）的 证券。 商业票据，是一种无资产担保的票据，它是以 公司的保证和信用做支持的，一般折价发行。 银行承兑汇票（banker’s acceptances）是根 据顾客要求在将来某一日期付款给供货商而产生的
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1，认购费和申购费 认购费，指投资者在基金发行募集期内购买基 金单位时所交纳的手续费。目前国内通行的认购费 计算方法为：认购费用＝认购金额×认购费率；认 购费费率通常在1%左右，并随认购金额的大小有相 应的减让。 申购费是指投资者在基金存续期间向基金管理 人购买基金单位时所支付的手续费。目前国内通行 的申购费计算方法为：申购费用＝申购金额×申购 费率。我国目前申购费费率通常在1%左右，并随申 购金额的大小有相应的减让。 开放式基金收取认购费和申购费的目的主要用 于销售机构的佣金和宣传营销费用等方面的支出。
主要包括对投资对象及其比例的限制（如股 票、债券）；投资方法的限制（如限制基金相互间 的交易）。
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Hale Waihona Puke （四）对基金进行投资的费用1
基金在运作过程中产生的费用支出就是基金费 用，该费用最终是由基金持有人承担的，其中部分 费用构成了基金管理人、托管人、销售机构以及其 他当事人的收入来源。了解对基金进行投资所需要 承担的费用，既有利于持有人明确自己的投资成 本，也是我们了解基金管理公司收入来源的需要。 开放式基金的费用由直接费用和间接费用两部 分组成。直接费用包括交易时产生的认购费、申购 费和赎回费，这部分费用由投资者直接承担；间接 费用是从基金净值中扣除的法律法规及基金契约所 规定的费用，包括管理费、托管费和运作费等其他 费用。
Chap008Optimal Risky Portfolios(金融工程-南开大学,王小麓))
+ 2W1W3 Cov(r1r3)
+ 2W2W3 Cov(r2r3)
McGraw-Hill/Irwin
Copyright © 2001 by The McGraw-Hill Companies, Inc. All rights reserved.
8-8
In General, For an n-Security Portfolio:
8-1
Chapter 8
Optimal Risky Portfolios
McGraw-Hill/Irwin
Copyright © 2001 by The McGraw-Hill Companies, Inc. All rights reserved.
8-2
Risk Reduction with Diversification
W2 = (1 - W1)
McGraw-Hill/Irwin
8-13
Minimum-Variance Combination: = .2
(.2)2 - (.2)(.15)(.2) W1 =
(.15)2 + (.2)2 - 2(.2)(.15)(.2)
W1 = .6733
W2 = (1 - .6733) = .3267
E(r)
S
P Q
Efficient frontier of risky assets Less risk-averse investor
More risk-averse investor
McGraw-Hill/Irwin
St. Dev
If = +1.0, no risk reduction is possible.
投资学英文第7TestBank答案chap018
Chapter18EquityValuationModelsMultipleChoiceQuestions________isequaltothetotalmarketvalueofthefirm'scommonstockdividedby(thereplacementcostofthefirm'sass etslessliabilities).BookvaluepershareLiquidationvaluepershareMarketvaluepershareTobin'sQNoneoftheabove.Answer:D Difficulty:EasyRationale:Bookvaluepershareisassetsminusliabilitiesdividedbynumberofshares.Liquidationvaluepershareisthe amountashareholderwouldreceiveintheeventofbankruptcy.Marketvaluepershareisthemarketpriceofthestock. HighP/Eratiostendtoindicatethatacompanywill_______,ceterisparibus.growquicklygrowatthesamespeedastheaveragecompanygrowslowlynotgrownoneoftheaboveAnswer:A Difficulty:EasyRationale:Investorspayforgrowth;hencethehighP/Eratioforgrowthfirms;however,theinvestorshouldbesurethathe orsheispayingforexpected,nothistoric,growth._________isequalto(commonshareholders'equity/commonsharesoutstanding).BookvaluepershareLiquidationvaluepershareMarketvaluepershareTobin'sQnoneoftheaboveAnswer:A Difficulty:EasyRationale:Seerationalefortestbankquestion4184.________areanalystswhouseinformationconcerningcurrentandprospectiveprofitabilityofafirmstoassessthefirm'sfairmarketvalue.CreditanalystsFundamentalanalystsSystemsanalystsTechnicalanalystsSpecialists5.Answer:B Difficulty:EasyRationale:Fundamentalistsuseallpublicinformationinanattempttovaluestock(whilehopingtoidentifyundervaluedsecurities).The_______isdefinedasthepresentvalueofallcashproceedstotheinvestorinthestock.dividendpayoutratiointrinsicvaluemarketcapitalizationrateplowbackrationoneoftheaboveAnswer:B Difficulty:EasyRationale:Thecashflowsfromthestockdiscountedattheappropriaterate,basedontheperceivedriskinessofthestock, themarketriskpremiumandtheriskfreerate,determinetheintrinsicvalueofthestock._______istheamountofmoneypercommonsharethatcouldberealizedbybreakingupthefirm,sellingtheassets,repayingt hedebt,anddistributingtheremaindertoshareholders.BookvaluepershareLiquidationvaluepershareMarketvaluepershareTobin'sQNoneoftheaboveAnswer:B Difficulty:EasyRationale:Seeexplanationfortestbankquestion18.1.419Since1955,Treasurybondyieldsandearningsyieldsonstockswere_______.identicalnegativelycorrelatedpositivelycorrelateduncorrelatedAnswer:C Difficulty:EasyRationale:Theearningsyieldonstocksequalstheexpectedrealrateofreturnonthestockmarket,whichshouldbeequalto theyieldtomaturityonTreasurybondsplusariskpremium,whichmaychangeslowlyovertime.TheyieldsareplottedinFigu re18.8.Historically,P/Eratioshavetendedtobe_________.higherwheninflationhasbeenhighlowerwheninflationhasbeenhigh uncorrelatedwithinflationratesbutcorrelatedwithothermacroeconomicvariables uncorrelatedwithanymacroeconomicvariablesincludinginflationratesnoneoftheabove9.Answer:B Difficulty:EasyRationale:P/Eratioshavetendedtobelowerwheninflationhasbeenhigh,reflectingthemarket'sassessmentthatearningsintheseperiodsareof"lowerquality",i.e.,artificiallydistortedbyinflation,andwarrantinglowerP/Eratios.The______isacommontermforthemarketconsensusvalueoftherequiredreturnonastock.dividendpayoutratiointrinsicvaluemarketcapitalizationrateplowbackratenoneoftheaboveAnswer:C Difficulty:EasyRationale:Themarketcapitalizationrate,whichconsistsoftherisk-freerate,thesystematicriskofthestockandthemarketriskpremium,istherateatwhichastock'scashflowsarediscountedinordertodetermineintrinsicvalue.420The_________isthefractionofearningsreinvestedinthefirm.dividendpayoutratioretentionrateplowbackratioAandCBandCAnswer:E Difficulty:EasyRationale:Retentionrate,orplowbackratio,representstheearningsreinvestedinthefirm.Theretentionrate,or(1-plowback)=dividendpayout.TheGordonmodelisageneralizationoftheperpetuityformulatocoverthecaseofagrowingperpetuity. isvalidonlywhengislessthank.isvalidonlywhenkislessthang.AandB.AandC.12.Answer:D Difficulty:EasyRationale:TheGordonmodelassumesconstantgrowthindefinitely.Mathematically,gmustbelessthank;otherwise,theintrinsicvalueisundefined.Youwishtoearnareturnof13%oneachoftwostocks,XandY.StockXisexpectedtopayadividendof$3intheupcomingyearwhileStockYisexpectedtopayadividendof$4intheupcomingyear.Theexpectedgrowthrateofdividendsforbothstocksis7%.TheintrinsicvalueofstockX______.cannotbecalculatedwithoutknowingthemarketrateofreturnwillbegreaterthantheintrinsicvalueofstockYwillbethesameastheintrinsicvalueofstockYwillbelessthantheintrinsicvalueofstockYnoneoftheaboveisacorrectanswer.Answer:D Difficulty:EasyRationale:PV0=D1/(k-g);givenkandgareequal,thestockwiththelargerdividendwillhavethehighervalue.42113.Youwishtoearnareturnof11%oneachoftwostocks,CandD.StockCisexpectedtopayadividendof$3intheupcomingyearwhileStockDisexpectedtopayadividendof$4intheupcomingyear.Theexpectedgrowthrateofdividendsforbothstocksis7%.TheintrinsicvalueofstockC______.willbegreaterthantheintrinsicvalueofstockDwillbethesameastheintrinsicvalueofstockDwillbelessthantheintrinsicvalueofstockDcannotbecalculatedwithoutknowingthemarketrateofreturnnoneoftheaboveisacorrectanswer.Answer:C Difficulty:EasyRationale:PV0=D1/(k-g);givenkandgareequal,thestockwiththelargerdividendwillhavethehighervalue. Youwishtoearnareturnof12%oneachoftwostocks,AandB.Eachofthestocksisexpectedtopayadividendof$2intheupcomin gyear.Theexpectedgrowthrateofdividendsis9%forstockAand10%forstockB.TheintrinsicvalueofstockA_____. willbegreaterthantheintrinsicvalueofstockBwillbethesameastheintrinsicvalueofstockBwillbelessthantheintrinsicvalueofstockB cannotbecalculatedwithoutknowingtherateofreturnonthemarketportfolio. noneoftheaboveisacorrectstatement.Answer:C Difficulty:EasyRationale:PV0=D1/(k-g);giventhatdividendsareequal,thestockwiththehighergrowthratewillhavethehighervalue. Youwishtoearnareturnof10%oneachoftwostocks,CandD.Eachofthestocksisexpectedtopayadividendof$2intheupcomin gyear.Theexpectedgrowthrateofdividendsis9%forstockCand10%forstockD.TheintrinsicvalueofstockC_____. willbegreaterthantheintrinsicvalueofstockDwillbethesameastheintrinsicvalueofstockDwillbelessthantheintrinsicvalueofstockD cannotbecalculatedwithoutknowingtherateofreturnonthemarketportfolio. noneoftheaboveisacorrectstatement.Answer:C Difficulty:EasyRationale:PV0=D1/(k-g);giventhatdividendsareequal,thestockwiththehighergrowthratewillhavethehighervalue.42216.Eachoftwostocks,AandB,areexpectedtopayadividendof$5intheupcomingyear.Theexpectedgrowthrateofdividendsis10%forbothstocks.Yourequirearateofreturnof11%onstockAandareturnof20%onstockB.TheintrinsicvalueofstockA_____.willbegreaterthantheintrinsicvalueofstockBwillbethesameastheintrinsicvalueofstockBwillbelessthantheintrinsicvalueofstockBcannotbecalculatedwithoutknowingthemarketrateofreturn.noneoftheaboveistrue.Answer:A Difficulty:EasyRationale:PV0=D1/(k-g);giventhatdividendsareequal,thestockwiththelargerrequiredreturnwillhavethelowervalue. Eachoftwostocks,CandD,areexpectedtopayadividendof$3intheupcomingyear.Theexpectedgrowthrateofdividendsis9 %forbothstocks.Yourequirearateofreturnof10%onstockCandareturnof13%onstockD.TheintrinsicvalueofstockC_____.willbegreaterthantheintrinsicvalueofstockDwillbethesameastheintrinsicvalueofstockDwillbelessthantheintrinsicvalueofstockDcannotbecalculatedwithoutknowingthemarketrateofreturn.noneoftheaboveistrue.18.Answer:A Difficulty:EasyRationale:PV0=D1/(k-g);giventhatdividendsareequal,thestockwiththelargerrequiredreturnwillhavethelowervalue.IftheexpectedROEonreinvestedearningsisequaltok,themultistageDDMreducestoA)V0=(ExpectedDividendPerShareinYear1)/kB)V0=(ExpectedEPSinYear1)/kV0=(TreasuryBondYieldinYear1)/kC)V0=(MarketreturninYear1)/knoneoftheaboveAnswer:B Difficulty:ModerateRationale:IfROE=k,nogrowthisoccurring;b=0;EPS=DPS423LowTechCompanyhasanexpectedROEof10%.Thedividendgrowthratewillbe________ifthefirmfollowsapolicyofpaying40%ofearningsintheformofdividends.6.0%4.8%7.2%3.0%noneoftheaboveAnswer:A Difficulty:EasyRationale:10%X=6.0%.MusicDoctorsCompanyhasanexpectedROEof14%.Thedividendgrowthratewillbe________ifthefirmfollowsapolicyo fpaying60%ofearningsintheformofdividends.4.8%5.6%7.2%6.0%noneoftheaboveAnswer:B Difficulty:EasyRationale:14%X=5.6%.MedtronicCompanyhasanexpectedROEof16%.Thedividendgrowthratewillbe________ifthefirmfollowsapolicyofpaying70%ofearningsintheformofdividends.3.0%6.0%7.2%4.8%noneoftheaboveAnswer:D Difficulty:EasyRationale:16%X=4.8%.424HighSpeedCompanyhasanexpectedROEof15%.Thedividendgrowthratewillbe________ifthefirmfollowsapolicyofpaying50%ofearningsintheformofdividends.3.0%4.8%7.5%6.0%noneoftheaboveAnswer:C Difficulty:EasyRationale:15%X=7.5%.LightConstructionMachineryCompanyhasanexpectedROEof11%.Thedividendgrowthratewillbe_______ifthefirmfo llowsapolicyofpaying25%ofearningsintheformofdividends.3.0%4.8%8.25%9.0%noneoftheaboveAnswer:C Difficulty:EasyRationale:11%X=8.25%.XlinkCompanyhasanexpectedROEof15%.Thedividendgrowthratewillbe_______ifthefirmfollowsapolicyofplowingback75%ofearnings.3.75%11.25%8.25%15.0%noneoftheaboveAnswer:B Difficulty:EasyRationale:15%X=11.25%.425ThinkTankCompanyhasanexpectedROEof26%.Thedividendgrowthratewillbe_______ifthefirmfollowsapolicyofplowingback90%ofearnings.2.6%10%23.4%90%noneoftheaboveAnswer:C Difficulty:EasyRationale:26%X=23.4%.BubbaGummCompanyhasanexpectedROEof9%.Thedividendgrowthratewillbe_______ifthefirmfollowsapolicyofplowingback10%ofearnings.90%10%9%0.9%noneoftheaboveAnswer:D Difficulty:EasyRationale:9%X=0.9%.27.Apreferredstockwillpayadividendofintheupcomingyear,andeveryyearthereafter,i.e.,dividendsarenotexpectedtogrow.Yourequireareturnof10%etheconstantgrowthDDMtocalculatetheintrinsicvalueofthispreferredstock.noneoftheaboveAnswer:B Difficulty:ModerateRationale:/.10=42628.Apreferredstockwillpayadividendoftheupcomingyear,andeveryyearthereafter,i.e.,dividendsarenotexpectedtogrow.Yourequireareturnof9%etheconstantgrowthDDMtocalculatetheintrinsicvalueofthispreferredstock.$0..27noneoftheaboveAnswer:A Difficulty:ModerateRationale:/.09=29.Apreferredstockwillpayadividendofintheupcomingyear,andeveryyearthereafter,i.e.,dividendsarenotexpectedtogrow.Yourequireareturnof12%etheconstantgrowthDDMtocalculatetheintrinsicvalueofthispreferredstock.noneoftheaboveAnswer:D Difficulty:ModerateRationale:/.12=30.Apreferredstockwillpayadividendofintheupcomingyear,andeveryyearthereafter,i.e.,dividendsarenotexpectedtogrow.Yourequireareturnof11%etheconstantgrowthDDMtocalculatetheintrinsicvalueofthispreferredstock.noneoftheaboveAnswer:C Difficulty:ModerateRationale:/.11=42731.Apreferredstockwillpayadividendofintheupcomingyear,andeveryyearthereafter,i.e.,dividendsarenotexpectedtogrow.Yourequireareturnof10%etheconstantgrowthDDMtocalculatetheintrinsicvalueofthispreferredstock.noneoftheaboveAnswer:E Difficulty:ModerateRationale:/.10=32.Apreferredstockwillpayadividendofintheupcomingyear,andeveryyearthereafter,i.e.,dividendsarenotexpectedtogrow.Yourequireareturnof10%etheconstantgrowthDDMtocalculatetheintrinsicvalueofthispreferredstock.$600noneoftheaboveAnswer:E Difficulty:ModerateRationale:/.10=33.Youareconsideringacquiringacommonstockthatyouwouldliketoholdforoneyear.Youexpecttoreceivebothindividendsand$32fromthesaleofthestockattheendoftheyear.Themaximumpriceyouwouldpayforthestocktodayis_____ifyouwantedtoearna10%return.noneoftheaboveAnswer:A Difficulty:ModerateRationale:.10=(32-P+1.25)/P;.10P=32-P+1.25;=33.25;P=30.23.42834.Youareconsideringacquiringacommonstockthatyouwouldliketoholdforoneyear.Youexpecttoreceivebothindividendsand$16fromthesaleofthestockattheendoftheyear.Themaximumpriceyouwouldpayforthestocktodayis_____ifyouwantedtoearna12%return.noneoftheaboveAnswer:B Difficulty:ModerateRationale:.12=(16-P+0.75)/P;.12P=16-P+0.75;=16.75;P=14.96.35.Youareconsideringacquiringacommonstockthatyouwouldliketoholdforoneyear.Youexpecttoreceivebothindividendsand$28fromthesaleofthestockattheendoftheyear.Themaximumpriceyouwouldpayforthestocktodayis_____ifyouwantedtoearna15%return.noneoftheaboveAnswer:C Difficulty:ModerateRationale:.15=(28-P+2.50)/P;.15P=28-P+2.50;=30.50;P=26.52.36.Youareconsideringacquiringacommonstockthatyouwouldliketoholdforoneyear.Youexpecttoreceivebothindividendsand$42fromthesaleofthestockattheendoftheyear.Themaximumpriceyouwouldpayforthestocktodayis_____ifyouwantedtoearna10%return.noneoftheaboveAnswer:E Difficulty:ModerateRationale:.10=(42-P+3.50)/P;.10P=42-P+3.50;=45.50;P=41.36.429Usethefollowingtoanswerquestions37-40:PaperExpressCompanyhasabalancesheetwhichlists$85millioninassets,$40millioninliabilitiesand$45million incommonshareholders'equity.Ithas1,400,000commonsharesoutstanding.Thereplacementcostoftheassetsis$115mil lion.Themarketsharepriceis$90.WhatisPaperExpress'sbookvaluepershare?noneoftheaboveAnswer:C Difficulty:ModerateRationale:=$32.14.WhatisPaperExpress'smarketvaluepershare?noneoftheaboveAnswer:E Difficulty:EasyWhatisPaperExpress'sreplacementcostpershare?noneoftheaboveAnswer:C Difficulty:ModerateRationale:$115M-=$53.57.430WhatisPaperExpress'sTobin'sq?noneoftheaboveAnswer:A Difficulty:ModerateRationale:$90/=Oneoftheproblemswithattemptingtoforecaststockmarketvaluesisthat therearenovariablesthatseemtopredictmarketreturn. theearningsmultiplierapproachcanonlybeusedatthefirmlevel. thelevelofuncertaintysurroundingtheforecastwillalwaysbequitehigh. dividendpayoutratiosarehighlyvariable.noneoftheabove.Answer:C Difficulty:EasyRationale:Althoughsomevariablessuchasmarketdividendyieldappeartobestronglyrelatedtomarketreturn,themarke thasgreatvariabilityandsothelevelofuncertaintyinanyforecastwillbehigh. Themostpopularapproachtoforecastingtheoverallstockmarketistousethedividendmultiplier.theaggregatereturnonassets.thehistoricalratioofbookvaluetomarketvalue.theaggregateearningsmultiplier.Tobin'sQ.Answer:D Difficulty:EasyRationale:Theearningsmultiplierapproachisthemostpopularapproachtoforecastingtheoverallstockmarket. Usethefollowingtoanswerquestions43-44:SureToolCompanyisexpectedtopayadividendof$2intheupcomingyear.Therisk-freerateofreturnis4%andtheexpectedreturnonthemarketportfoliois14%.AnalystsexpectthepriceofSure ToolCompanysharestobe$22ayearfromnow.ThebetaofSureToolCompany'sstockis1.25.431Themarket'srequiredrateofreturnonSure'sstockis_____.14.0%17.5%16.5%15.25%noneoftheaboveAnswer:C Difficulty:ModerateRationale:4%+1.25(14%-4%)=16.5%.WhatistheintrinsicvalueofSure'sstocktoday?noneoftheaboveAnswer:A Difficulty:DifficultRationale:k=.04+(.14-.04);k=.165;.165=(22-P+2)/P;.165P=24-P;=24;P=20.60.IfSure'sintrinsicvalueistoday,whatmustbeitsgrowthrate?0.0%10%4%6%7%Answer:E Difficulty:DifficultRationale:k=.04+(.14-.04);k=.165;.165=2/21+g;g=.07Usethefollowingtoanswerquestions46-47:TorqueCorporationisexpectedtopayadividendofintheupcomingyear.Dividendsareexpectedtogrowatt herateof6%peryear.Therisk-freerateofreturnis5%andtheexpectedreturnonthemarketportfoliois13%.ThestockofTorqueCorporationh asabetaof1.2.432WhatisthereturnyoushouldrequireonTorque'sstock?12.0%14.6%15.6%20%noneoftheaboveAnswer:B Difficulty:ModerateRationale:5%+1.2(13%-5%)=14.6%.WhatistheintrinsicvalueofTorque'sstock?noneoftheaboveAnswer:D Difficulty:DifficultRationale:k=5%+1.2(13%-5%)=14.6%;P=1/(.146-.06)=$11.62.48.MidwestAirlineisexpectedtopayadividendof$7inthecomingyear.Dividendsareexpectedtogrowattherateof15%peryear.Therisk-freerateofreturnis6%andtheexpectedreturnonthemarketportfoliois14%.ThestockofMidwestAirlinehasabetaof3.00.Thereturnyoushouldrequireonthestockis________.10%18%30%42%noneoftheaboveAnswer:C Difficulty:ModerateRationale:6%+3(14%-6%)=30%.43349.FoolsGoldMiningCompanyisexpectedtopayadividendof$8intheupcomingyear.Dividendsareexpectedtodeclineattherateof2%peryear.Therisk-freerateofreturnis6%andtheexpectedreturnonthemarketportfoliois14%.ThestockofFoolsGoldMiningCompanyhasabetaof-0.25.Thereturnyoushouldrequireonthestockis________.2%4%6%8%noneoftheaboveAnswer:B Difficulty:ModerateRationale:6%+[-0.25(14%-6%)]=4%.HighTechChipCompanyisexpectedtohaveEPSinthecomingyearof$2.50.TheexpectedROEis12.5%.Anappropriaterequ iredreturnonthestockis11%.Ifthefirmhasaplowbackratioof70%,thegrowthrateofdividendsshouldbe5.00%6.25%6.60%7.50%8.75%Answer:E Difficulty:EasyRationale:12.5%X=8.75%.Acompanypaidadividendlastyearof$1.75.TheexpectedROEfornextyearis14.5%.Anappropriaterequiredreturnonthestockis10%.Ifthefirmhasaplowbackratioof75%,thedividendinthecomingy earshouldbenoneoftheaboveAnswer:D Difficulty:ModerateRationale:g=.155X.75=10.875%;$1.75(1.10875)=434HighTechChipCompanypaidadividendlastyearof$2.50.TheexpectedROEfornextyearis12.5%.Anappropriaterequir edreturnonthestockis11%.Ifthefirmhasaplowbackratioof60%,thedividendinthecomingyearshouldbenoneoftheaboveAnswer:C Difficulty:ModerateRationale:g=.125X.6=7.5%;$2.50(1.075)=SupposethattheaverageP/Emultipleintheoilindustryis20.DominionOilisexpectedtohaveanEPSofinthecomingye ar.TheintrinsicvalueofDominionOilstockshouldbe_____.noneoftheaboveAnswer:C Difficulty:EasyRationale:20X=$60.00.SupposethattheaverageP/Emultipleintheoilindustryis22.ExxonOilisexpectedtohaveanEPSofinthecomingyear. TheintrinsicvalueofExxonOilstockshouldbe_____.noneoftheaboveAnswer:A Difficulty:EasyRationale:22X=$33.00.435SupposethattheaverageP/Emultipleintheoilindustryis16.MobilOilisexpectedtohaveanEPSofinthecomingyear. TheintrinsicvalueofMobilOilstockshouldbe_____.noneoftheaboveAnswer:D Difficulty:EasyRationale:16X=$72.00.56.SupposethattheaverageP/Emultipleinthegasindustryis17.KMPisexpectedtohaveanEPSofinthecomingyear.TheintrinsicvalueofKMPstockshouldbe_____.noneoftheaboveAnswer:B Difficulty:EasyRationale:17X=$93.50.57.AnanalysthasdeterminedthattheintrinsicvalueofHPQstockis$20pershareusingthecapitalizedearningsmodel.IfthetypicalP/Eratiointhecomputerindustryis25,thenitwouldbereasonabletoassumetheexpectedEPSofHPQinthecomingyearis______.noneoftheaboveAnswer:C Difficulty:EasyRationale:$20(1/25)=$0.80.43658.AnanalysthasdeterminedthattheintrinsicvalueofDellstockis$34pershareusingthecapitalizedearningsmodel.IfthetypicalP/Eratiointhecomputerindustryis27,thenitwouldbereasonabletoassumetheexpectedEPSofDellinthecomingyearis______.noneoftheaboveAnswer:D Difficulty:EasyRationale:$34(1/27)=$1.26.59.AnanalysthasdeterminedthattheintrinsicvalueofIBMstockis$80pershareusingthecapitalizedearningsmodel.IfthetypicalP/Eratiointhecomputerindustryis22,thenitwouldbereasonabletoassumetheexpectedEPSofIBMinthecomingyearis______.noneoftheaboveAnswer:A Difficulty:EasyRationale:$80(1/22)=$3.64.60.OldQuartzGoldMiningCompanyisexpectedtopayadividendof$8inthecomingyear.Dividendsareexpectedtodeclineattherateof2%peryear.Therisk-freerateofreturnis6%andtheexpectedreturnonthemarketportfoliois14%.ThestockofOldQuartzGoldMiningCompanyhasabetaof-0.25.Theintrinsicvalueofthestockis______.noneoftheaboveAnswer:B Difficulty:DifficultRationale:k=6%+[-0.25(14%-6%)]=4%;P=8/[.04-(-.02)]=$133.33.43761.LowFlyAirlineisexpectedtopayadividendof$7inthecomingyear.Dividendsareexpectedtogrowattherateof15%peryear.Therisk-freerateofreturnis6%andtheexpectedreturnonthemarketportfoliois14%.ThestockoflowFlyAirlinehasabetaof3.00.Theintrinsicvalueofthestockis______.noneoftheaboveAnswer:A Difficulty:ModerateRationale:6%+3(14%-6%)=30%;P=7/(.30-.15)=$46.67.62.SunshineCorporationisexpectedtopayadividendofintheupcomingyear.Dividendsareexpectedtogrowattherateof6%peryear.Therisk-freerateofreturnis6%andtheexpectedreturnonthemarketportfoliois14%.ThestockofSunshineCorporationhasabetaof0.75.Theintrinsicvalueofthestockis_______.noneoftheaboveAnswer:D Difficulty:ModerateRationale:6%+0.75(14%-6%)=12%;P=/(.12-.06)=$25.LowTechChipCompanyisexpectedtohaveEPSinthecomingyearof$2.50.TheexpectedROEis14%.Anappropriaterequire dreturnonthestockis11%.Ifthefirmhasadividendpayoutratioof40%,theintrinsicvalueofthestockshouldbenoneoftheaboveAnswer:D Difficulty:DifficultRationale:g=14%X=8.4%;ExpectedDPS=$2.50(0.4)=$1.00;P=1/(.11-.084)=$38.46.438Usethefollowingtoanswerquestions64-65:RiskMetricsCompanyisexpectedtopayadividendofinthecomingyear.Dividendsareexpectedtogrowatarateof10%pe ryear.Therisk-freerateofreturnis5%andtheexpectedreturnonthemarketportfoliois13%.Thestockistradinginthemarkettodayatapr iceof$90.00.WhatisthemarketcapitalizationrateforRiskMetrics?13.6%13.9%15.6%16.9%noneoftheaboveAnswer:B Difficulty:ModerateRationale:k=/90+.10;k=13.9%WhatistheapproximatebetaofRiskMetrics'sstock?noneoftheaboveAnswer:C Difficulty:DifficultRationale:k=13.9%from18.64;=5%+b(13%-5%)=1.11.ThemarketcapitalizationrateonthestockofFlexsteelCompanyis12%.TheexpectedROEis13%andtheexpectedEPSare $3.60.Ifthefirm'splowbackratiois50%,theP/Eratiowillbe_________.noneoftheaboveAnswer:C Difficulty:DifficultRationale:g=13%X=6.5%;.5/(.12-.065)=439ThemarketcapitalizationrateonthestockofFlexsteelCompanyis12%.TheexpectedROEis13%andtheexpectedEPSare $3.60.Ifthefirm'splowbackratiois75%,theP/Eratiowillbe________.noneoftheaboveAnswer:D Difficulty:DifficultRationale:g=13%X=9.75%;.25/(.12-.0975)=ThemarketcapitalizationrateonthestockofFastGrowingCompanyis20%.TheexpectedROEis22%andtheexpectedEPSa re$6.10.Ifthefirm'splowbackratiois90%,theP/Eratiowillbe________.50Answer:E Difficulty:DifficultRationale:g=22%X=19.8%;.1/(.20-.198)=5044069.J.C.PenneyCompanyisexpectedtopayadividendinyear1of$1.65,adividendinyear2of$1.97,andadividendinyear3of$2.54.Afteryear3,dividendsareexpectedtogrowattherateof8%peryear.Anappropriaterequiredreturnforthestockis11%.Thestockshouldbeworth_______today.noneoftheabove1Answer:C Difficulty:DifficultRationale:Calculationsareshowninthetablebelow.Yr Dividend PVofDividend@11%$1.65$1.65/(1.11)=$1.97/(1.11)2=$2.54/(1.11)3=SumP3=(1.08)/(.11-.08)=$91.44;PVof3P=$91.44/(1.08)3=$72.5880;PO=+=$77.53.70.ExerciseBicycleCompanyisexpectedtopayadividendinyear1of$1.20,adividendinyear2of$1.50,andadividendinyear3of$2.00.Afteryear3,dividendsareexpectedtogrowattherateof10%peryear.Anappropriaterequiredreturnforthestockis14%.Thestockshouldbeworth_______today.1A)B)C)D)E)Answer:EDifficulty:DifficultRationale:Calculationsareshowninthetablebelow.Yr Dividend PVofDividend@14%=$1.50/(1.14)2=$2.00/(1.14)3=SumP3=2(1.10)/(.14-.10)=$55.00;PVofP3=$55/(1.14)3=$37.12;PO=+=$40.68.441AntiquatedProductsCorporationproducesgoodsthatareverymatureintheirproductlifecycles.AntiquatedProduc tsCorporationisexpectedtopayadividendinyear1of$1.00,adividendofinyear2,andadividendofinyear3.Afteryear3, dividendsareexpectedtodeclineatarateof2%peryear.Anappropriaterequiredrateofreturnforthestockis8%.Thestoc kshouldbeworth______.noneoftheaboveAnswer:A Difficulty:DifficultRationale:Calculationsareshownbelow.Yr. Dividend PVofDividend@8%$1.00$1.00/(1.08)=$0.90/(1.08)2=$0.85/(1.08)3=SumP3=(.98)/[.08-(-.02)]=$8.33;PVofP3=$8.33/(1.08)3=$6.1226;PO=+=$8.49.442MatureProductsCorporationproducesgoodsthatareverymatureintheirproductlifecycles.MatureProductsCorpor ationisexpectedtopayadividendinyear1of$2.00,adividendofinyear2,andadividendofinyear3.Afteryear3,dividend sareexpectedtodeclineatarateof1%peryear.Anappropriaterequiredrateofreturnforthestockis10%.Thestockshould beworth______.noneoftheabove1Answer:B Difficulty:DifficultRationale:Calculationsareshownbelow.Yr. Dividend PVofDividend@10%=$1.50/(1.10)2=$1.00/(1.10)3=Sum3P3=(.99)/[.10-(-.01)]=$9.00;PVofP3=$9/(1.10)=$6.7618;PO=+=$10.57.44373.Considerthefreecashflowapproachtostockvaluation.UticaManufacturingCompanyisexpectedtohavebefore-taxcashflowfromoperationsof$500,000inthecomingyear.Thefirm'scorporatetaxrateis30%.Itisexpectedthat$200,000ofoperatingcashflowwillbeinvestedinnewfixedassets.Depreciationfortheyearwillbe$100,000.Afterthecomingyear,cashflowsareexpectedtogrowat6%peryear.Theappropriatemarketcapitalizationrateforunleveragedcashflowis15%peryear.Thefirmhasnooutstandingdebt.TheprojectedfreecashflowofUticaManufacturingCompanyforthecomingyearis_______.$150,000$180,000$300,000$380,000noneoftheaboveAnswer:BDifficulty:DifficultRationale:Calculationsareshownbelow.Before-taxcashflowfromoperations$500,000-Depreciation$100,000Taxableincome$400,000-Taxes(30%)$120,000After-taxunleveragedincome$280,000After-taxunleveredincome+dep$380,000-Newinvestment$200,000Freecashflow$180,00074.Considerthefreecashflowapproachtostockvaluation.UticaManufacturingCompanyisexpectedtohavebefore-taxcashflowfromoperationsof$500,000inthecomingyear.Thefirm'scorporatetaxrateis30%.Itisexpectedthat$200,000ofoperatingcashflowwillbeinvestedinnewfixedassets.Depreciationfortheyearwillbe$100,000.Afterthecomingyear,cashflowsareexpectedtogrowat6%peryear.Theappropriatemarketcapitalizationrateforunleveragedcashflowis15%peryear.Thefirmhasnooutstandingdebt.ThetotalvalueoftheequityofUticaManufacturingCompanyshouldbe$1,000,000$2,000,000$3,000,000$4,000,000noneoftheaboveAnswer:B Difficulty:DifficultRationale:Projectedfreecashflow=$180,000(seetestbankproblem18.73);V0=180,000/(.15-.06)=$2,000,000.444Chapter18EquityValuationModelsAfirm'searningspershareincreasedfrom$10to$12,dividendsincreasedfromto$4.80,andthesharepriceincreased from$80to$90.Giventhisinformation,itfollowsthat________.thestockexperiencedadropintheP/EratiothefirmhadadecreaseindividendpayoutratiothefirmincreasedthenumberofsharesoutstandingtherequiredrateofreturndecreasednoneoftheaboveAnswer:A Difficulty:ModerateRationale:$80/$10=8;$90/$12=7.5.76.Inthedividenddiscountmodel,_______whichofthefollowingarenotincorporatedintothediscountrate?realrisk-freerateriskpremiumforstocksreturnonassetsexpectedinflationratenoneoftheabove77.Answer:C Difficulty:ModerateRationale:A,B,andDareincorporatedintothediscountrateusedinthedividenddiscountmodel.AcompanywhosestockissellingataP/EratiogreaterthantheP/Eratioofamarketindexmostlikelyhas_________.ananticipatedearningsgrowthratewhichislessthanthatoftheaveragefirm adividendyieldwhichislessthanthatoftheaveragefirmlesspredictableearningsgrowththanthatoftheaveragefirm greatercyclicalityofearningsgrowththanthatoftheaveragefirmnoneoftheabove.Answer:B Difficulty:ModerateRationale:Firmswithlowerthanaveragedividendyieldsareusuallygrowthfirms,whichhaveahigherP/Eratiothanaverage.445。
Equity Valuation Models
E ( D1 ) [ E ( P 1) P 0] E ( R) P0
© George Alexandridis, ICMA Centre, 2012-2013
Intrinsic Value ● Intrinsic value V0 is the PV of all cash payments the investor is to receive when investing in the stock:
● We need to be able to accurately forecast future cash flows to perpetuity ● We need to also forecast the required rate of return that may change through time
o k = required rate of return (discount rate) o k can be expressed using the CAPM: o k = rf + β [E(Rm) - rf] A stock is required to
E ( D1 ) E ( P 1) V0 1 ke
Industry Life Cycles and 3-stage DD Model
Initial Stage: Low payout initially but rapid dividend growth after first payment
Slowing Growth – g starts high and decays gradually to steady state levels
● This is what makes equity valuation so different to fixed income analysis
03利率史与风险溢价 投资学课件(南开大学)
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基准利率
第4章 利息与利率
各国在货币政策的实践中，通常以同业拆借利率或国债回购利率 充当基准利率。
我国目前以中国人民银行对各专业银行（现称为商业银行）贷款 利率为基准利率。基准利率变动时，其他各档次的利率也相应地 跟着变动。
随着我国银行间同业拆借市场和国债回购市场等货币市场发展及 相关利率的放开，同业拆借利率或国债回购利率现在也逐步起到 了基准利率的作用。
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第4章 利息与利率
年利率、月利率和日利率
年利率、月利率和日利率之间的换算关系是：
年利率等于月利率乘以12，月利率等于日利率乘以30；年利率除以12 为 月利率，月利率除以30为日利率。
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第4章 利息与利率
市场利率和官定利率
与市场利率对应的制度背景是利率市场化； 与官定利率对应的制度背景是利率管制。
仍然根据等比数列的求和公式，则
1(1r)n PA
r
若知道A、r、n，可通过查年金现值系数表得P值。
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举例：
假定某人打算在三年后通过抵押贷款购买一套总价值 为50万元的住宅，目前银行要求的首付率为20%，这意味着 你必须在三年后购房时首付10万元。那么，为了满足这一要 求，在三年期存款利率为6%的情况下，你现在需要存入多 少钱呢？
4
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第4章 利息与利率
利率又叫“利息率”，是一定时期内单位本金所对应 的利息，是衡量利息高低的指标，具体表现为利息额 同本金的比率。
在经济生活中，利率有多种具体表现形式。
管理会计Chap01
Essential nature of investment
Reduced current consumption Planned later consumption
Investments
重庆大学 李春红 lichunhong@
பைடு நூலகம் Investments
The general concept of investing, i. e., foregoing spending cash today in the hopes of increasing wealth in the future. Investments are the current commitment of dollars for a period of time in order to derive future payments that will compensate the investors for
重庆大学经济与工商管理学院 李春红
1-3
市场化改革让中国的Money多了：交易对
交易媒介的需求，缩短了钱与财富的距 离； “资本化”改革使中国的货币越来越多， 带来了经济增长
1998年的住房体制改革带来了土地、资源 与未来劳动收入资本化的大门 资本市场的发展使得“财富”转化为资本： 土地与资源、企业财产与未来收入流、家庭 未来收入流、政府的未来财政收入
重庆大学经济与工商管理学院 李春红
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The bank loan is a financial liability for Lanni. The cash Lanni receives is a financial asset. The new financial asset created is Lanni„s promissory note
公司金融课后题答案CHAPTER-18
公司金融课后题答案CHAPTER-18VALUATION AND CAPITALBUDGETING FOR THE LEVERED FIRMAn swers to Con cepts Review and Critical Thinking Questi ons 1.APV is equal to the NPV of the project (i.e. the value of the project for an uni evered firm) plus the NPV of financing side effects. 2. The WACC is based on a target debt level while the APV is based on the amount of debt. 3. FTE uses levered cash flow and other methods use uni evered cash flow.4.The WACC method does not explicitly include the interest cash flows, but it does implicitly include the interest cost in the WACC. If he insists that the interest payme nts are explicitly show n, you should use the FTE method. 5.You can estimate the uni evered beta from a levered beta. The uni evered beta is the beta of the assets of the firm; as such, it is a measure of the bus in ess risk. Note that the uni evered beta will always be lower tha n the levered beta (assu ming the betas are positive). The difference is due to the leverage of the company. Thus, the second risk factor measured by a levered beta is the finan cial risk of the compa ny. Soluti ons to Questi ons and ProblemsNOTE: All end-of-chapter problems were solved using a spreadsheet. Many problems require multiple steps. Due to space and readability con stra in ts, whe n these in termediate steps are included in this solutions manual, rounding may appear to have occurred. However, the final answer for each problem is found without rounding during any step in the problem.Basic1.a. The maximum price that the company should be willing to pay for the fleet of cars withall-equity funding is the price that makes the NPV of the transaction equal to zero. The NPV equati on for the project is: NPV = -Purchase Price + PV[(1-t c )(EBTD)] + PV(Depreciation TaxShield)If we let P equal the purchase price of the fleet, then the NPV is:CHAPTER 1NPV= -P + (1 -,35)($140,000)PVIFA 13%,5 + (.35)(P/5)PVIFA13%,5Sett ing the NPV equal to zero and solv ing for the purchase price, we find: 0 = — + (1- .35)($140,000)PVIFA 13%,5 + (.35)(P/5)PVIFA 13%,5P = $320,068.04 + (P)(0.35/5)PVIFA 13%,5P = $320,068.04 + .2462P.7538P = $320,068.04P = $424,609.54b. The adjusted prese nt value (APV) of a project equals the net prese nt value of the project if itwere fun ded completely by equity plus the net prese nt value of any financing side effects.In this case, the NPV of financing side effects equals the after- tax present value of the cashs debt, so: flows resulting from the firmAPV = NPV(All-Equity) + NPV(F inancing Side Effects)So, the NPV of each part of the APV equation is:NPV(AII-Equity)NPV = -Purchase Price + PV[(1 -t c )(EBTD)] + PV(Depreciation Tax Shield)The compa ny paid $395,000 for the fleet of cars. Because this fleet will be fully depreciatedover five years using the straight-li ne method, annual depreciati on expe nse equals:Depreciation = $395,000/5Depreciation = $79,000So, the NPV of an all-equity project is:NPV = -$395,000 + (1 -0.35)($140,000)PVIFA 13%,5 +(0.35)($79,000)PVIFA 13%,5NPV = $22,319.49NPV(Fi nan ci ng Side Effects)The net prese nt value of financing side effects equals the after-tax prese nt value of cashflows resulting from the firm ' s debt, so:NPV = Proceeds -Aftertax PV(Interest Payments) - PV(Principal Payments)Give n a known level of debt, debt cash flows should be disco un ted at the pre-tax cost ofdebt R B. So, the NPV of the financing side effects are:NPV = $260,000 -(1 -0.35)(0.08)($260,000)PVIFA 8%,5 -[$260,000/(1.08)5]NPV = $29,066.93So, the APV of the project is:APV = NPV(AII-Equity) + NPV(F inancing Side Effects) APV = $22,319.49 + 29,066.93APV = $51,386.422. The adjusted prese nt value (APV) of a project equals the net prese nt value of the project if itwere funded completely by equity plus the net present value of any financing side effects. In this case, the NPV of financing side effects equals the after- tax present value of the cash flowsresulting from the firm t, so: ' s debAPV = NPV(All-Equity) + NPV(Fi nan ci ng Side Effects)So, the NPV of each part of the APV equation is:NPV(AII-Equity)NPV = -Purchase Price + PV[(1 -t c )(EBTD)] + PV(Depreciation Tax Shield)Since the initial investment of $1.9 million will be fully depreciated over four years using thestraight-li ne method, annual depreciati on expe nse is:Depreciation = $1,900,000/4Depreciation = $475,000NPV = -$1,900,000 + (1 -0.30)($685,000)PVIFA 9.5%,4 + (0.30)($475,000)PVIFA 13%,4NPV (All-equity) = - $49,878.84NPV(Fi nancing Side Effects)The net prese nt value of financing side effects equals the aftertax prese nt value of cash flows resulting from the firm ' s debt. So, the NPV of the financing side effects are:NPV = Proceeds(Net of flotatio n) -Aftertax PV(I nterest Payme nts) -PV(Pri ncipalPayme nts)+ PV(Flotation Cost Tax Shield)Give n a known level of debt, debt cash flows should be disco un ted at the pre-tax cost of debt, R B. Since the flotation costs will be amortized over the life of the loan, the annual flotation costs that will be expensed each year are:Annual flotation expe nse = $28,000/4Annual flotati on expe nse = $7,000NPV = ($1,900,000 -28,000) -(1 -0.30)(0.095)($1,900,000)PVIFA 9.5%,4 - $1,900,000/(1.095)4 + 0.30($7,000) PVIFA 9.5%,4NPV = $152,252.06So, the APV of the project is:APV = NPV(AII-Equity) + NPV(Fi nan ci ng Side Effects) APV = -49,878.84 + 152,252.06APV = $102,373.23's equity using the flOovequity approach, discount3. a. In order to value a firmthe cash flows available to equity holders at the cost of the firm ' levered equity.The cash flows to equity holders will be the firm ' set in come. Rememberi ng thatthe compa ny has three stores, we find:Sales $3,600,000COGS 1,530,000G & A costs 1,020,000In terest 102,000EBT $948,000Taxes 379,200NI $568,800Si nee this cash flow will rema in the same forever, the prese nt value of cash flowsount at available to the firm ' s equity holders is a perpetuity. We can discthe levered cost of equity, so, the value of the company ' s equity isPV(Flow-to-equity) = $568,800 / 0.19PV(Flow-to-equity) = $2,993,684.21b. The value of a firm is equal to the sum of the market values of its debt andequity, or:V L = B + SWe calculated the value of the company ' s equity inaparb now we needtocalculate the value of debt. The company has a debt-to-equity ratio of 0.40 whichcan be writte n algebraically as:B / S = 0.40We can substitute the value of equity and solve for the value of debt, doing so, wefind:B / $2,993,684.21 = 0.40B = $1,197,473.68So, the value of the compa nyis:V = $2,993,684.21 + 1,197,473.68V = $4,191,157.894. a. In order to determine the cost of the firm ' s debt, we rinethto^field tomaturity on its curre nt bon ds. With semia nnual coup on payme nts, the yield tomaturity in the company ' s bonds is:$975 = $40(PVIFA R%,4O) + $1,000(PVIF R%,4O)R = .0413 or 4.13%Since the coup on payme nts are semia nnu al, the YTM on the bonds is:YTM = 4.13% x 2YTM = 8.26%b. We can use the Capital Asset Pricing Model to find the return on unievered equity.According to the Capital Asset Pricing Model:R o = R F + (Unlevered (R M _R F)R o = 5% + 1.1(12% -5%)R o = 12.70%Now we can find the cost of levered equity. According to Modigliani-Miller Propositi on II with corporate taxesR S = R o + (B/S)(R o -R B)(1 -t o)R S = .127o + (.4o)(.127o -.o826)(1 -.34)R S = .1387 or 13.87%c. In a world with corporate taxes, a firm ' s weighted average cost of capital isequal to:R WACC =[B / (B + S)](1 -t c)R B + [S / (B + S)]R SThe problem does not provide either the debt-value ratio or equity-value ratio.However, the firm ' &elqbity ratio of is:B/S = o.4oSolvi ng for B:B = o.4SSubstituti ng this in the debt-value ratio, we get:B/V = .4S / (.4S + S)B/V = .4 / 1.4B/V = .29And the equity-value ratio is one minus the debt-value ratio, or:S/V = 1 -.29S/V = .71So, the WACC for the company is:R WACC = .29(1 -.34)(.0826) + .71(.1387) R WACC = .1147 or 11.47%5. a. The equity beta of a firm financed entirely by equity is equal to its unieveredbeta. Since each firm has an uni evered beta of 1.25, we can find the equity beta foreach. Doing so, we find:North Pole侄quity = [1 + (1 -t c)(B/S)] U@evered^Equity = [1 + (1 -.35)($2,900,000/$3,800,000](1.25)^Equity = 1.87South Pole^Equity = [1 + (1 -t c)(B/S)] U0evered侄quity = [1 + (1 -.35)($3,800,000/$2,900,000](1.25)^Equity = 2.31b. We can use the Capital Asset Pricing Model to find the required return on each firm ' sequity. Doing so, we find:North Pole:R S = R F+ Equity (R M _R F)R S = 5.30% + 1.87(12.40% -5.30%)R S = 18.58%South Pole:R S = R F + Equity (R M -R F)R S = 5.30% + 2.31(12.40% -5.30%)R S = 21.73%6. a. If flotation costs are not taken into account, the net present value of a loanequals:NPV Loan = Gross Proceeds -Aftertax present value of interest and principal paymentsNPV Loan = $5,350,000 -.08($5,350,000)(1 -.40)PVIFA 8%,10 -$5,350,000/1.0810 NPVLoan = $1,148,765.94b. The flotation costs of the loan will be:Flotation costs = $5,350,000(.0125)Flotation costs = $66,875So, the annual flotation expense will be:Ann ual flotation expe nse = $66,875 / 10 Annual flotation expense = $6,687.50If flotation costs are taken into account, the net present value of a loan equals:NPV Loan = Proceeds net of flotati on costs -Aftertax prese nt value of in terest andprin cipalpayme nts + Prese nt value of the flotati on cost tax shieldNPV Loan = ($5,350,000 -66,875) -08($5,350,000)(1 -40)(PVIFA 8%,1o)—$5,350,000/1.081°+ $6,687.50(.40)(PVIFA 8%,10)NPV Loan = $1,099,840.407. First we need to find the aftertax value of the revenues minus expenses. Theaftertax value is:Aftertax reve nue = $3,800,000(1 -.40)Aftertax reve nue = $2,280,000Next, we need to find the depreciation tax shield. The depreciation tax shield each year is:Depreciati on tax shield = Depreciati on (t C)Depreciation tax shield = ($11,400,000 / 6)(.40)Depreciation tax shield = $760,000Now we can find the NPV of the project, which is:NPV = Initial cost + PV of depreciation tax shield + PV of aftertax revenueTo find the prese nt value of the depreciati on tax shield, we should disco unt at the risk-free rate, and we need to discount the aftertax revenues at the cost of equity, so:NPV = -$11,400,000 + $760,000(PVIFA 6%,6)+ $2,280,000(PVIFA 14%,6)NPV = $1,203,328.438. Whether the company issues stock or issues equity to finance the project is irrelevant.The company' soptimal capital structure determines the WACC. In a world with corporate taxes, a firm ' s weighted average cost of capital equals:R WACC =[B / (B + S)](1 -t c)R B + [S / (B + S)]R SR WACC = .80(1 -.34)(.072) + .20(.1140)R WACC = .0608 or 6.08%Now we can use the weighted average cost of capital to disco unt NEC uni ever6d s cash flows. Doing so, we find the NPV of the project is:NPV = -40,000,000 + $2,600,000 / 0.0608NPV = $2,751,907.399. a. The company has a capital structure with three parts: Iong-term debt, short-term debt,and equity. Since interest payments on both Iong-term and short-term debt are tax-deductible, multiply the pretax costs by (1 —t c) to determ ine the aftertax costs tobe used in the weighted average cost of capital calculati on. The WACC using thebook value weights is:R W ACC = (W STD)(R S TD)(1 -t c) +(W LTD )(R L TD)(1 -t c) + (w Equity )(R Equity )R WACC = ($3 / $19)(.035)(1 -.35) + ($10 / $19)(.068)(1 -.35) + ($6 / $19)(.145) R WACC= 0.0726 or 7.26%b. Using the market value weights, the compa nys WACC is: R W ACC = (W STD)(R S TD)(1 -t c) +(W LTD )(R L TD)(1-t c) + (w Equity )(R Equity )R WACC = ($3 / $40)(.035)(1 -.35) + ($11 / $40)(.068)(1 -.35) + ($26 / $40)(.145)R WACC = 0.1081 or 10.81%c. Usi ng the target debt-equity ratio, the target debt-value ratio for the compa nyis:B/S = 0.60B = 0.6SSubstituti ng this in the debt-value ratio, we get:B/V = .6S / (.6S + S)B/V = .6 / 1.6B/V = .375And the equity-value ratio is one minus the debt-value ratio, or:S/V = 1 -.375S/V = .625We can use the ratio of short-term debt to Iong-term debt in a similar manner to find the short-term debt to total debt and Iong-term debt to total debt Using the short-term debt to Ion g-term debt ratio, we get:STD/LTD = 0.20STD = 0.2LTDSubstitut ing this in the short-term debt to total debt ratio, we get:STD/B = .2LTD / (.2LTD + LTD)STD/B = .2 / 1.2STD/B = .167And the Iong-term debt to total debt ratio is one minus the short-term debt to total debt ratio, or:LTD/B = 1 -.167LTD/B = .833Now we can find the short-term debt to value ratio and Iong-term debt to value ratio by multipl ying the respective ratio by the debt-value ratio. So:STD/V = (STD/B)(B/V) STD/V = .167(.375) STD/V = .06310.And the Iong-term debt to value ratio is:LTD/V = (LTD/B)(B/V)LTD/V = .833(.375)LTD/V = .313So, using the target capital structure weights, the companyR W ACC = (W sTD)(R sTD )(1 —tc) + (w LTD )(R LTD )(1 _t o) +(W Equity )(R Equity )R WACC = (.06)(.035)(1 —.35) + (.31)(.068)(1 —.35) + (.625)(.145)R WACC = 0.1059 or 10.59%s WACC is:d. The differe nces in the WACCs are due to the differe nt weighti ng schemes. Thecompany' sWACC will most closely resemble the WACC calculated using targetweights si nee future projects will be finan ced at the target ratio. Therefore, theWACC computed with target weights should be used for project evaluati on.In termediateThe adjusted prese nt value of a project equals the net prese nt value of the project under all-equity financing plus the net prese nt value of any financing side effects. In thejoint venture ' case, the NPV of financing side effects equals the aftertaxprese nt value of cash flows result ing from thefirmsdebt. So, the APV is:APV = NPV(All-Equity) + NPV(Fi nan ci ng SideEffects)The NPV for an all-equity firm is:NPV(AII-Equitv)NPV = —n itial In vestme nt + PV[(1 -t c)(EBITD)] + PV(Depreciation Tax Shield)Si nee the in itial in vestme nt will be fully depreciated over five years using the straight-line method, annual depreciati on expe nse is:Annual depreciation = $30,000,000/5Annual depreciation = $6,000,000NPV = -$30,000,000 + (1 -0.35)($3,800,000)PVIFA 5.13%,20 +(0.35)($6,000,000)PVIFANPV = -$5,262,677.95NPV(Fi nancing Side Effects)The NPV of financing side effects equals the after-tax prese nt value of cash flows result ing from the firm ' s debt. The coup on rate on the debt is releva nt to determ inethe interest payments, but the resulting cash flows should still be discounted at the pretax cost of debt. So, the NPV of the financing effects is:NPV = Proceeds -Aftertax PV(Interest Payments) -PV(Principal Repayments)NPV = $18,000,000 -(1 -0.35)(0.05)($18,000,000)PVIFA 8.5%,15 -$18,000,000/1.08515 NPV =$7,847,503.56So, the APV of the project is:APV = NPV(AII-Equity) + NPV(Fi nan ci ng Side Effects)APV = -5,262,677.95 + $7,847,503.56APV = $2,584,825.61 11. If the company had to issue debt under the terms it would normally receive, thein terest rate on the debt would in crease to the compa ny ' s no rmal cost of debt. The NPV of an all-equity project would remain unchanged, but the NPV of thefinancing side effects would cha nge. The NPV of the financing side effects would be:NPV = Proceeds -Aftertax PV(Interest Payments) -PV(Principal Repayments)NPV = $18,000,000 -(1 -0.35)(0.085)($18,000,000)PVIFA 8.5%,15 - $18,000,000/((1.085)15NPV = $4,446,918.69Usi ng the NPV of an all-equity project from the previous problem, the new APV of the project would be:APV = NPV(All-Equity) + NPV(Fi nan ci ng Side Effects)APV = -5,262,677.95 + $4,446,918.69APV = -815,759.27The gai n to the compa ny from issu ing subsidized debt is the differe nee betwee n the two APVs, so:Gain from subsidized debt = $2,584,825.61 -( -815,759.27)Gain from subsidized debt = $3,400,584.88Most of the value of the project is in the form of the subsidized in terest rate on the debt issue.12. The adjusted present value of a project equals the net present value of the project un der all-equityfinancing plus the net prese nt value of any financing side effects. First, we need to calculate theunievered cost of equity. According toModiglia ni-Miller Propositi on II with corporate taxes:R S = R o + (B/S)(R o -R B)(1 -t c).16 = R o + (O.5O)(R o -0.09)(1 -0.40)R o = 0.1438 or 14.38%Now we can find the NPV of an all-equity project, which is:NPV = PV(U nlevered Cash Flows)NPV = -21,000,000 + $6,900,000/1.1438 + $11,000,000/(1.1438)2 +$9,500,000心.1438)3NPV = -212,638.89Next, we n eed to find the net prese nt value of financing side effects. This is equalthe after tax present value of cash flows resulting from the firm ' s debt. So: NPV = Proceeds -Aftertax PV(Interest Payments) -PV(Principal Payments)Each year, an equal prin cipal payme nt will be made, which will reduce the in terest accrued during the year. Given a known level of debt, debt cash flows should be disco un ted at the pre-tax cost of debt, so the NPV of the financing effects are:NPV = $7,000,000 —(1 - .40)(.09)($7,000,000) / (1.09) -$2,333,333.33心.09)-(1 -.40)(.09)($4,666,666.67)/(1.09)2 -$2,333,333.33/(1.09)2 -(1 -.40)(.09)($2,333,333.33)/(1.09)3 -$2,333,333.33/(1.09)3NPV = $437,458.31 So, the APV of project is:APV = NPV(AII-equity) + NPV(Fi nancing side effects) APV = -$212,638.89 + 437,458.31 APV = $224,819.42 a.To calculate the NPV of the project, we first need to find the company' s WACC. In a world with corporate taxes, a firm ' weighted average cost of capital equals:R WACC =[B / (B + S)](1 -t c )R B + [S / (B + S)]R SThe market value of the compa ny Market value of equity = 6,000,000($20) Market value of equity = $120,000,000So, the debt-value ratio and equity-value ratio are: Debt-value = $35,000,000 / ($35,000,000 + 120,000,000) Debt-value = .2258Equity-value = $120,000,000 / ($35,000,000 + 120,000,000) Equity-value = .7742Si nee the CEO believes its curre nt capital structure is optimal, these values can be used as the target weights in the firm' s weighted average cost of capitalcalculation. The yield to m aturity of the company debt is its pretax cost ofdebt. To find the company' s cost of equity, we need to calculate the stock beta.The stock beta can be calculated as:Now we can use the Capital Asset Pricing Model to determine the cost of equity. The Capital Asset=S,M / =.036 / .202 =0.9013. 'usyeiq:Pricing Model is:R S = R F + 卩(R -R F)R S = 6% + 0.90(7.50%) R S = 12.75%Now, we can calculate the compa nys WACC, which is:R WACC =[B / (B + S)](1 —tc)R B + [S / (B + S)]R SR WACC = .2258(1 -.35)(.O8) + .7742(.1275)R WACC = .1105 or 11.05%Finally, we can use the WACC to discount the unievered cash flows, which gives us an NPV of:NPV = -$45,000,000 + $13,500,000(PVIFA 11.05%,5 )NPV = $4,837,978.59b. The weighted average cost of capital used in part a will not cha nge if the firm chooses to fund theproject en tirely with debt. The weighted average cost ofcapital is based on optimal capital structure weights. Since the curre nt capital structure is optimal,all-debt funding for the project simply implies that the firm will have to use more equity in the future to bring the capital structure back towards the target.Challe nge14. a. The company is currently an all-equity firm, so the value as an all-equity firm equals the present valueof aftertax cash flows, discounted at the cost of the firm ' s unievered cost of equity. So, thecurrent value of the company is:V U = [(Pretax earni ngs)(1 -t c)] / R 0V U = [($28,000,000)(1 -.35)] / .20V u = $91,000,000The price per share is the total value of the company divided by the shares outsta nding, or:Price per share = $91,000,000 / 1,500,000Price per share = $60.67b. The adjusted present value of a firm equals its value under all-equity financing plus the net present value of any financing side effects. In this case, the NPV of financing side effects equals theaftertax prese nt value of cash flows result ing from the firm ' debt. Given a known level of debt,debt cash flows can be disco un ted at the pretax cost of debt, so the NPV of the financing effectsare:NPV = Proceeds -Aftertax PV(I nterest Payme nts)NPV = $35,000,000 -(1 -.35)(.09)($35,000,000) / .09NPV = $12,250,000So, the value of the company after the recapitalization using the APV approach is:V = $91,000,000 + 12,250,000 V = $103,250,000Since the compa ny has not yet issued the debt, this is also the value of equity after the announ ceme nt. So, the new price per share will be:New share price = $103,250,000 / 1,500,000New share price = $68.83c. The company will use the entire proceeds to repurchase equity. Using the share pricewe calculated in part b, the nu mber of shares repurchased will be:Shares repurchased = $35,000,000 / $68.83Shares repurchased = 508,475And the new nu mber of shares outsta nding will be:New shares outsta nding = 1,500,000 -508,475New shares outsta nding = 991,525The value of the compa ny in creased, but part of that in crease will be fun ded by the new debt. The value of equity after recapitalization is the total value of the compa ny minus the value of debt, or:New value of equity = $103,250,000 -35,000,000New value of equity = $68,250,000So, the price per share of the company after recapitalization will be:New share price = $68,250,000 / 991,525New share price = $68.83The price per share is un cha nged.d. In order to value a firm ' s equity using the flto-equity approach, we mustdiscount the cash flows available to equity holders at the cost of the firm ' leveredequity. Accordi ng to Modiglia ni-Miller Propositi on II with corporatetaxes, the required retur n of levered equity is:R S = R0 + (B/S)(R°-R B)(1 -t c)R S = .20 + ($35,000,000 / $68,250,000)(.20 -.09)(1 -.35)R S = .2367 or 23.67%After the recapitalizatio n, the n et in come of the compa ny will be:EBIT In terest $28,000,000 3,150,000EBTTaxesNet in come $24,850,000 8,697,500 $16,152,500The firm pays all of its earnings as divide nds, so the en tire net in come is availableto shareholders. Using the flow-to-equity approach, the value of the equity is:S = Cash flows available to equity holders / R SS = $16,152,500 / .2367S = $68,250,00015. a. If the company were financed entirely by equity, the value of the firm wouldbe equal to the present value of its unievered after-tax earnings, discounted at itsunievered cost of capital. First, we need to find the company ' sinleveredcash flows, which are:Sales $28,900,000Variable costs 17,340,000EBT $11,560,000Tax 4,624,000Net in come $6,936,000So, the value of the uni evered compa ny is:V U = $6,936,000 / .17V U = $40,800,000b. Accordi ng to Modiglia ni-Miller Propositi on II with corporate taxes, the valueof levered equity is:R S = R0 + (B/S)(R°-R B)(1 -t c)R S = .17 + (.35)(.17 -.09)(1 -.40)R S = .1868 or 18.68%c. In a world with corporate taxes, a firm ' s weighted averageapdat ofequals:R WACC =[B / (B + S)](1 -t c)R B + [S / (B + S)]R SSo we n eed the debt-value and equity-value ratios for the compa ny. The debt-equity ratio for the company is:B/S = 0.35B = 0.35SSubstituti ng this in the debt-value ratio, we get:BN = .35S / (.35S + S) BN = .35 / 1.35BN = .26And the equity-value ratio is one minus the debt-value ratio, or: S/V = 1 -.26 S/V = .74So, using the capital structure weights, the compa nyR WACC =[B / (B + S)](1-t c )R B + [S / (B + S)]R SR WACC = .26(1 -.40)(.09) + .74(.1868) R WACC = .1524 or 15.24%We can use the weighted average cost of capital to discount the firm ' uni evered aftertax ear nings to value the compa ny. Doing so, we find:V L = $6,936,000 / .1524 V L = $45,520,661.16Now we can use the debt-value ratio and equity-value ratio to find the value of debt and equity, which are: B = V L (Debt-value) B = $45,520,661.16(.26) B = $11,801,652.89 S = V L (Equity-value) S = $45,520,661.16(.74) S = $33,719,008.26 d.In order to value a firm ' equity using the flow -to-equity approach, we c discount the cash flows available to equity holders at the cost of the firm levered equity. First, we n eed to calculate the levered cash flows available to shareholders, which are:Net in come$6,298,711So, the value of equity with the flow-to-equity method is: S = Cash flows available to equity holders / R SS = $6,298,711 / .1868s WACC is:Sales Variable costs EBIT In terestEBT $28,900,000 17,340,000 $11,560,000 1,062,149 $10,497,851S = $33,719,008.2616. a. Si nee the compa ny is curre ntly an all-equity firm, its value equals the prese ntvalue of its unievered after-tax earnings, discounted at its unievered cost of capital.The cash flows to shareholders for the uni evered firm are:EBIT $83,000Tax 33,200Net in come $49,800So, the value of the compa ny is:V U = $49,800 / .15V U = $332,000b. The adjusted present value of a firm equals its value under all-equity financingplus the net prese nt value of any financing side effects. In this case, the NPV offinancing side effects equals the after-tax prese nt value of cash flows result ing fromdebt. Give n a known level of debt, debt cash flows should be disco un ted at the pre-tax cost of debt, so:NPV = Proceeds -Aftertax PV(Interest payments)NPV = $195,000 -(1 -.40)(.09)($195,000) / 0.09NPV = $78,000So, using the APV method, the value of the company is:APV = V U + NPV(Fi nan ci ng side effects)APV = $332,000 + 78,000APV = $410,000The value of the debt is given, so the value of equity is the value of the compa nyminus the value of the debt, or:S = V -BS = $410,000 -195,000S = $215,000c. Accordi ng to Modiglia ni-Miller Propositi on II with corporate taxes, therequired retur n of levered equity is:R S = R0 + (B/S)(R 0 -R B)(1 -t c)R S = .15 + ($195,000 / $215,000)(.15 -.09)(1 -.40)R S = .1827 or 18.27%d. In order to value a firm ' equity using the flow-to-equity approach, we can discount thecash flows available to equity holders at the cost of the firm ' s levered equity. First,we n eed to calculate the levered cash flows available to shareholders, which are:EBIT $83,000In terest 17,550EBT $65,450Tax 26,180Net in come $39,270So, the value of equity with the flow-to-equity method is:S = Cash flows available to equity holders / R SS = $39,270 / .1827S = $215,00017. Since the company is not publicly traded, we need to use the industry numbers to calculatethe industry levered return on equity. We can then find the industry uni evered return on equity, and re-lever the in dustry return on equity to acco unt for the different use ofleverage. So, using the CAPM to calculate the industry levered return on equity, we find:R S = R F + 卩(MRP)R S = 5% + 1.2(7%)R S = 13.40%Next, to find the average cost of unievered equity in the holiday gift industry we can use Modiglia ni-Miller Propositi on II with corporate taxes, so:R S = R0 + (B/S)(R 0 -R B)(1 -t c).1340 = R0 + (.35)(R0 -.05)(1 -.40)R0 = .1194 or 11.94%Now, we can use the Modiglia ni-Miller Propositi on II with corporate taxes to re-lever the retur n on equity to acco unt for this compa ny debt-equ'y satio. Doingso, we find:R S = R0 + (B/S)(R 0 -R B)(1 -t c)R S = .1194 + (.40)(.1194 -.05)(1 -.40)R S = .1361 or 13.61%。
Equity Valuation
1 1 1 PV ( Dividends ) $10 $10 $10 ... 1 0.2 1 0.2 1 0.2
Note that this is a sum of a geometric series and we can use the formula from the previous slide, taking a = $10/1.2 and r = (1/1.2), thus
1 1 1 1 2 4 8
is geometric, since each term is obtained by multiplying the preceding term by 1/2. In general, a geometric series is of the form
Valuation Using the Net Asset Value
Why does the net asset value differ from the market value?
Land and buildings are shown at cost rather than market value. Machinery is shown at purchase price less a depreciation amount. Some balance sheet entries are vulnerable to subjective estimation and cynical manipulation. /wiki/Accounting_scandals Investors in the market generally value intangible, unmeasurable assets as highly as those which can be identified by accountants.
南开投资银行学 (8)
Asset Management
Co-Chief Executive △Michael Carpenter ☆Victor Menzes
Co-Chief Executive ☆William Campbell △Robert Lipp
Co-Chairman
5.2 公司并购理论及动因分析
6.价值低估理论（Undervaluation）。
海尔吃“休克鱼”
在中国，国外成功的例子只能作为参考，大鱼不 可能吃小鱼，也不可能吃慢鱼，更不能吃掉鲨鱼。 在现行经济体制下活鱼是不会让你吃的，吃死鱼 你会闹肚子，因此只有吃休克鱼。所谓休克鱼是 指硬件条件很好，管理不行的企业。由于经营不 善落到市场的后面。一旦有一套行之有效的管理 制度，把握住市场很快就能重新站起来。恰恰海 尔擅长的就是管理，这就找到了结合点。
四、资产评估
在运用市场价值指标时要考虑到股市的波动、非 上市公司与上市公司的差别、购买部分股份（权） 与购买控股权或全部收购的差别。 股票的三层价格
第一层：正常价格 第二层：影响溢价 第三层：控制溢价
五、税务评价
四、资产评估
帐面价值（Book Value），或是有形资产净值。这是企业 没有进入资本市场的价值，在进入资本市场时一般要乘以 一个系数。 重置价值（ Replacement Value ）。保险公司主要采用的 指标。 清盘价值（Liquidation Value）。企业破产，拍卖的价值。 比较价值。指近期内同类企业买卖的成交价。在对地产估 价时经常采用这种方法。 内部收益率（IRR）。多用于新建项目的可行性财务分析. 净现值法（NPV）。 市场价值（Market Value）。参照同类上市公司的市盈率 （P/E值）来计算企业资产价值。
金融工程3(资产定价)
2020/3/3
金融工程
套利定价模式(APT)
作为一个投资人，除非你相信自己掌握了市场 不具备的信息，并对某一项影响该公司回报的 因素的判断比市场更加准确，否则你仍然不能 通过APT模型获利。
然而，我们不能忘记有效金融市场理论，不能 超越市场信息来预测埃克森美孚公司的股票回 报水平，有关该公司回报水平的所有相关因素 的信息，都已经包含在现有的回报水平A中了。
2020/3/3
金融工程
第一节 资本资产定价模型
-Capital Assets Pricing Model (CAPM)
2020/3/3
金融工程
资产定价模型CAPM
1964年，夏普(William F. Sharpe)、林 特 纳 (John Lintner) 和 特 里 纳 (Jack Treynor)等的开创性论文为资产定价模 型(Capital Assets Pricing Model，简称： CAPM)奠定了基础。
然而，困难还不止于此，我们并不知道市场什么时
候是完善而有效的，什么时候是有缺陷而失效的。 我们只能从长期的图表中发现有关CAPM模型成立的 具体证据，而不能时刻掌握市场的可信度。
主要缺陷:排除了新信息,把投资看成净现值为0的活
动,非交易资产依赖于复制折现率,预期收益依赖于主
观判断 2020/3/3 等等
投资人只有以被动地承担风险的办法获得收 益。
这是我们目前已知最广泛应用的模型之一。
2020/3/3
金融工程
CAPM成立的前提条件
证券买卖没有税负 投资人只按照回报和风险评估资产 所有投资人对贝塔系数和资产回报的评
价相同 所有投资人都充分吸收了市场信息，并
金融学-金融工程学考试试卷及答案-南开成教本科
金融学-金融工程学考试试卷及答案-南开成教本科《金融工程学》一、填空题（10×2=20）1.合约的买方称为合约的卖方称为2.期权常见的类型是和3.期货市场的功能包括、、4.套利的形式主要有、、、5.期权价格由和共同构成6.运期汇率高于即期汇率，二者差价叫作远期7.优先股按其是否参与投票可分为、8.产生套期保值的两个原因、9.互换本质上是一种10.可转换债券内含，可以分解为标准债券加发行公司股票的买权二、单选题（10×3=30）1.期权的最大特征是（）A.风险与收益的对称性B.期权的买方有执行或放弃执行期权的选择权C.风险与收益的不对称性D.必须每日计算盈亏，到期之前会发生现金流动2.期货交易的真正目的是（）A.作为一种商品交换的工具B.转让实物资产或金融资产的财产权C.减少交易者所承担的风险D.上述说法都正确3.债券期货是指以（）为基础资产的期货合约A.短期国库券B.中期国库券C.长期国库券D.中期和长期国库券4.利率期货交易中，价格指数与未来利率的关系是（）A.利率上涨时，期货价格上升B.利率下降时，期货价格下降C.利率上涨时，期货价格下降D.不能确定5.下列说法哪一个是错误的（）A.场外交易的主要问题是信用风险B.交易所交易缺乏灵活性C.场外交易是按需定制D.严格地说，互换市场是一种场内交易市场6.期货交易的买方称为（）A.空头方B.多头方C.头寸D.以上皆非7.认购权证实质上是一种股票的（）A.远期合约B.期货合约C.看跌期权D.看涨期权8.看跌期权的买方对标的金融资产具有（）的权利A.买入B. 卖出C.持有D.以上都不是9.金融衍生工具产生的最基本原因是（）A.投机套利B.规避风险C.赚取买卖价差收入D.以上都不对10.套利者认为近期合约价格的涨幅会大于远期合约，买进近期合约，卖出远期合约的套利活动为（）A.牛市套利B.熊市套利C.蝶式套利D.跨商品套利三、改错题（10×2=20）1.期货合约是由远期合约积木堆积而成（）2.产生套期保值成本的主要原因在于市场缺乏效率（）3.期权内涵价值等于时间价值加上期权费（）4.决定远期合约价格的关键变量是标的资产的市场价格（）5.金融问题指的是货币在厂商中的运动（）6.不是所有的风险均能保险，但价格风险可以投保（）7.债券期货是以短期国库券为基础资产的期货合约（）8.在其他条件相同时，期限越长，债券价格对收益率的变化越不明显（）9.商品期货与金融期货最大的不同在于后者不能在传统意义上进行交割（）10.决定远期合约价格的关键变量是标的资产的市场价格（）四、套期保值、套期套利计算题（2×15=20）1、假设现在是8月20日，美国哈佛大学的戴维斯先生正在为该校教授明年6月份的伦敦讲学计划做资金上的安排。
南开大学金融学本科核心课程6
Ri=α +β GDPGDPt+β IRIRt+et （7.1） 这样，我们即可精确描述不同宏观风险对不同 证券的影响。这即是多因素模型（multifactor models）优于单指数模型的原因所在。 在应用多因素模型时，一个重要的工作是对因 素的选择与确定，也就是说，我们在众多的宏观经 济因素中，应选择哪些因素作为对证券收益产生影 响的宏观风险？一般而言，对因素的选择应遵循两 个原则，其一是仅考虑与证券收益直接有关的宏观 因素；其二是选择那些投资者最关心的因素。
2，扩展性检验 即在CAPM中加入其他因素，如公司规模、股利 政策等，检验这些因素对资产定价（收益率）的影 响。根据经典CAPM，这些因素不应有影响，但实证 检验发现了如下结果： 1，规模效应，也称小公司效应。即小公司的收 益超过大公司的收益。 2，一月效应。即每年一月份股票收益率远高于 其他月份的股票收益率。 3，周末效应。即一周中周五的收益率最高。 上述结果至少表明CAPM所揭示的影响资产定价 的因素不全面。
二、多因素模型的理论基础
当风险对期望收益有影响时，这一风险即是 “可定价”的。单因素模型认为，只有市场因素可 定价。默顿（Robert C.Merton，1973）则推导出了 多因素的CAPM ，并证明，其他风险来源因素也可定 价，这些因素包括劳动收入、重要消费品价格（如 能源价格）等。也就是说，对其他风险来源可否定 价的研究，构成了多因素模型的理论基础。
1 r f (rM r f )
=
1000 1.1＋0.6(0.17 0.以上的分析可见，以CAPM进行项目选择的步 骤是： 1，计算项目的确定性等价； 2，将确定性等价以无风险利率贴现后与投资额 p比较，得到净现值（NPV），即 （6.17） 该式即是基于CAPM的NPV评估法。其评估原则就 是在所有NPV>0的项目中，选择NPV最大的项目。这 也就引出了所谓一致性定理：公司采用CAPM来作为 项目评估的目标与投资者采用CAPM进行投资组合选 择的目标是一致的——即公司收益最大将导致投资 者对该公司的投资收益最大
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McGraw-Hill/Irwin
Copyright © 2001 by The McGraw-Hill Companies, Inc. All rights reserved.
18-5
No Growth Model
Copyright © 2001 by The McGraw-Hill Companies, Inc. All rights reserved.
18-3
Intrinsic Value and Market Price
Intrinsic Value - Self assigned Value - Variety of models are used for estimation Market Price - Consensus value of all potential traders Trading Signal - IV > MP Buy - IV < MP Sell or Short Sell - IV = MP Hold or Fairly Priced
18-7
Constant Growth Model
Do (1 g ) Vo kg
g = constant perpetual growth rate
McGraw-Hill/Irwin
Copyright © 2001 by The McGraw-Hill Companies, Inc. All rights reserved.
PVGO = Present Value of Growth Opportunities E1 = Earnings Per Share for period 1
McGraw-Hill/Irwin
Copyright © 2001 by The McGraw-Hill Companies, Inc. All rights reserved.
b = retention ratio
ROE = Return on Equity
McGraw-Hill/Irwin
Copyright © 2001 by The McGraw-Hill Companies, Inc. All rights reservcal Example: No Growth
McGraw-Hill/Irwin
Copyright © 2001 by The McGraw-Hill Companies, Inc. All rights reserved.
18-11
Partitioning Value: Growth and No Growth Components
E1 Vo PVGO k Do (1 g ) E1 PVGO (k g) k
18-20
Other Valuation Ratios
Price-to-Book Price-to-Cashflow
Price-to-Sales
McGraw-Hill/Irwin
Copyright © 2001 by The McGraw-Hill Companies, Inc. All rights reserved.
18-21
Inflation and Equity Valuation
Inflation has an impact on equity valuations. Historical costs underestimate economic costs. Empirical research shows that inflation has an adverse effect on equity values.
18-12
Partitioning Value: Example
ROE = 20% d = 60% b = 40%
E1 = $5.00 D1 = $3.00 k = 15% g = .20 x .40 = .08 or 8%
McGraw-Hill/Irwin
Copyright © 2001 by The McGraw-Hill Companies, Inc. All rights reserved.
Basic Types of Models
- Balance Sheet Models - Dividend Discount Models - Price/Earning Ratios
Estimating Growth Rates and Opportunities
McGraw-Hill/Irwin
18-8
Constant Growth Model: Example
Do (1 g ) Vo kg
E1 = $5.00 b = 40% k = 15% (1-b) = 60% D1 = $3.00 g = 8% V0 = 3.00 / (.15 - .08) = $42.86
McGraw-Hill/Irwin
D D ... D P V (1 k ) (1 k ) (1 k )
1 2 N 0 1 2
N N
PN = the expected sales price for the stock at time N
N = the specified number of years the stock is expected to be held
18-1
Chapter 18
Equity Valuation Models
McGraw-Hill/Irwin
Copyright © 2001 by The McGraw-Hill Companies, Inc. All rights reserved.
18-2
Fundamental Stock Analysis: Models of Equity Valuation
E0 = $2.50 g = 0 k = 12.5% P0 = D/k = $2.50/.125 = $20.00 PE = 1/k = 1/.125 = 8
McGraw-Hill/Irwin
Copyright © 2001 by The McGraw-Hill Companies, Inc. All rights reserved.
- Required Rates of Return (k) - Expected growth in Dividends
Uses
- Relative valuation
- Extensive Use in industry
McGraw-Hill/Irwin
Copyright © 2001 by The McGraw-Hill Companies, Inc. All rights reserved.
Copyright © 2001 by The McGraw-Hill Companies, Inc. All rights reserved.
18-9
Estimating Dividend Growth Rates
g ROE b
g = growth rate in dividends ROE = Return on Equity for the firm b = plowback or retention percentage rate
McGraw-Hill/Irwin
Copyright © 2001 by The McGraw-Hill Companies, Inc. All rights reserved.
18-14
Price Earnings Ratios
P/E Ratios are a function of two factors
McGraw-Hill/Irwin
Copyright © 2001 by The McGraw-Hill Companies, Inc. All rights reserved.
18-19
Pitfalls in P/E Analysis
Use of accounting earnings
- Historical costs
18-18
Numerical Example with Growth
b = 60% ROE = 15% (1-b) = 40% E1 = $2.50 (1 + (.6)(.15)) = $2.73 D1 = $2.73 (1-.6) = $1.09 k = 12.5% g = 9% P0 = 1.09/(.125-.09) = $31.14 PE = 31.14/2.73 = 11.4 PE = (1 - .60) / (.125 - .09) = 11.4
McGraw-Hill/Irwin
Copyright © 2001 by The McGraw-Hill Companies, Inc. All rights reserved.
18-16
P/E Ratio with Constant Growth
D1 E1(1 b) P0 k g k (b ROE ) P0 1 b E1 k (b ROE )
(1- dividend payout percentage rate)
McGraw-Hill/Irwin
Copyright © 2001 by The McGraw-Hill Companies, Inc. All rights reserved.
18-10
Specified Holding Period Model
18-6
No Growth Model: Example
D Vo k
E1 = D1 = $5.00 k = .15 V0 = $5.00 / .15 = $33.33