公司金融—第五章—风险分析,实物期权,资本预算

%Rev $5,040 $7,000 42.14% $7,000 $91.46 $3,433.75 %NPV 102.66% $3,433.75
For every 1% drop in revenue, we can expect roughly a 2.44% drop in NPV:
The NPV evaluated at date 0 is:
NPV $1,000 $2,060.25 $872.95 1.10
So, we should test.
6
Sensitivity Analysis: Stewart
We can see that NPV is very sensitive to changes in revenues. In the Stewart Pharmaceuticals example, a 42% drop in revenue leads to a 103% drop in NPV.
9
Break-Even Analysis: Stewart
Another way to examine variability in our forecasts is break-even analysis. In the Stewart Pharmaceuticals example, we could be concerned with break-even revenue, break-even sales volume, or break-even price. To find either, we start with the breakeven operating cash flow.
10
Break-Even Analysis: Stewart
The project requires an investment of $1,600. In order to cover our cost of capital (break even), the project needs to generate a cash flow of $504.75 each year for four years. This is the project’s break-even operating cash flow, OCFBE.
1.
2.
3.
The next few years each have heavy cold seasons, and sales exceed expectations, but labor costs skyrocket. The next few years are normal, and sales meet expectations. The next few years each have lighter than normal cold seasons, so sales fail to meet expectations.
PBE = $5,358.71 700 = $7.66 / dose
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Concept Questions: Sensitivity, Scenario, and Break-Even
What is the essential difference between sensitivity analysis and scenario analysis? How does sensitivity analysis interact with break-even analysis? As a shareholder of a firm that is contemplating a new project, would you be more concerned with the accounting break-even point, the cash break-even point (the point at which operating cash flow is zero), or the financial breakeven point? Why? Assume a firm is considering a new project that requires an initial investment and has equal sales and costs over its life. Will the project reach the accounting, cash, or financial break-even point first? Which will it reach next? Last? Will this order always apply?
EBIT
Tax (34%) Net Income
+D +FC $104.75 0.66
$158.71
$53.96 $104.75 $504.75
12
OCF =$104.75 + $400
Break-Even Analysis: PBE
Now that we have break-even revenue of $5,358.71 million, we can calculate break-even price. The original plan was to generate revenues of $7 billion by selling the cold cure at $10 per dose and selling 700 million doses per year, We can reach break-even revenue with a price of only: $5,358.71 million = 700 million × PBE
Expected Payoff Payoff Prob. Prob. payoff sucess given success failure given failure
Expected .60 $3,433.75 .40 $0 $2,060.25 payoff
2
Example: Stewart Pharmaceuticals
Stewart Pharmaceuticals Corporation is considering investing in the development of a drug that cures the common cold. A corporate planning group, including representatives from production, marketing, and engineering, has recommended that the firm go ahead with the test and development phase. This preliminary phase will last one year and cost $1 billion. Furthermore, the group believes that there is a 60% chance that tests will prove successful. If the initial tests are successful, Stewart Pharmaceuticals can go ahead with full-scale production. This investment phase will cost $1.6 billion. Production will occur over the following 4 years. 3
(400)
$1,800 (612) $1,188
Note that the NPV is calculated as of date 1, the date at which the investment of $1,600 million is made. Later we bring this number back to date 0. Assume a cost of capital of 10%.
Chapter 5
Risk Analysis, Real Options, and Capital Budgeting
1
Sensitivity, Scenario, and Break-Even
Each allows us to look behind the NPV number to see how stable our estimates are. When working with spreadsheets, try to build your model so that you can adjust variables in a single cell and have the NPV calculations update accordingly.
N i PV
4 10 -1,600
PMT
FV
504.75
0
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Break-Even Revenue: Stewart
Work backwards from OCFBE to Break-Even Revenue
Revenue Variable cost Fixed cost Depreciation + VC $5,358.71 $3,000 $1,800 $400
NPV Following Successful Test
Investment
Revenues Variable Costs Fixed Costs
Year 1
Years 2-5
$7,000 (3,000) (1,800)