corporate finance
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2. 2 1. 2. 1 2 3. 1 The Video Product Company 1 9 9 71 9 9 9 2 , 0 0 0 S e e dL t d . , )2 0 0 20 (1) (2) ? (3) ? , [1] 1 . 2 1.3 1 . 4 200,000 1.51.1 1.1.1 1 - 1 [1] F i r m C o m p a n y B u s i n e s s 1.3 4. 4 1. 2. 1-1 (1) (capital budgeting)(2) (Capital structure)(3) (net working capital) 5. 1 51.1.2 [2 ] 1-2 V V=B+S B S 5 0 2 5 7 5V 25 50 50751 2 1-2 1.1.3 1 - 3 (1) (2) [2] Creditors Debtholders Bondholders B 6. 6 1-3 1-41-4 A B (A) (B) (E) (C) (F) (D) 1-4 7. 1 7 C F ED F A 1-4 A B C D E F 1-1 The Midland Company 2,500OZ(1OZ=28.349 52g) 1 0 0 9 0 ( 1231 $1,000,000 900,000 $ 100,000 (1231$ 0900,000 $900,000 100 8. 8 1-2 1 A B1 $ 0 $ 4,00020 4,00030 4,0004 20,000 4,000 $ 20,000$ 16,000 , A B A B A AB 1-3 $75,000$100,000 $125,0000150,000200,000 1.2 [3] [3] Contingent Claims 9. 1 91-4 The Officer Company B r i g h a mInsurance Company 1 0 0 100 100 F XF F X XF 1-5 1 0 0 1 0 0 100 2 0 0 1 0 0 1 0 0 1 0 0 7 5 1 0 0 75 FF F FF X X X 1-5 1-5 200100 100 X>F XF X = F 01-5 (contingent claims) 1.3 10. 10 1.3.1 (sole proprietorship) (1) (2) (3) (4) (5) 1.3.2 ( p a r t n e r s h i p )1 2 1 2 (1) (2) (3) (4) Apple Computer (5) (6) 1 2 3 4 11. 1 111.3.3 ( C o r p o r a t i o n )(1) (2) (3) (4) (5) (6) (1) (2) (3) 1 , 0 0 0 1,000 1,0001,000 [4] 1 9 7 2 Professional LeaseManagement Inc.(Financial Services Inc.) 1 9 8 11 9 8 6 2 71 9 8 6[4] S-4 LM 19878P 12. 12 () [5] 1986 1987 (Drexel Burnham Lambert) 1 9 8 8 22 American Stock Exchange 8 1997101 5 (1) (2) (3) [5] Investment Tax CreditsITC 13. 1 13 () (1) (2) (3) 1.4 [6] (set-of-contracts viewpoint) 1.4.1 [7] 1 2 1.4.2 Williamson [8] D o n a l d s o n [9] (1) (2) [6] John Marshall from, The Trustees of Dartmouth College v. Woodward, 4, Wheaton 636 (1819). [7] M.C. Jensen and W. Meckling, Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure, Journal of Financial Economics 3 (1976). [8] O. Williamson, Managerial Discretion and Business Behavior, American Economic Review,53 (1963). [9] G. Donaldson, Managing Corporate Wealth: The Operations of a Comprehensive Financial Goals System (New York: Praeger Publisher, 1984). 14. 14 1.4.3 [10]1-1493,000 General Electric1-1 1996 /10/100 (General Electric) $ 198.1 1 644.5 493,000 (Coca-Cola) 169.9 2 504.6 311,983 (Shell Group) /169.0 893.424,867(Microsoft) 148.6 1 176.037,883 (Exxon) 147.2 1 242.0 610,416(Intel) 124.1 875.5 124,000 (Toyota Motors) 108.7 1 875.880,000(Merck & Co.) 108.5 618.7 247,300 (Philip Morris) 106.6 831.1 139,700 : Value Line, July 7, 1997,issue of Business Week and S t a n d a rd & Poors Security Owners Stock Guide.1.4.4 (1) (2) (3) [10] Gerald T. Garvey and Peter L. Swan, The Economics of Corporate Governance: Beyond theMashallian Firm, Journal of Corporate Finance 1 (1994) 15. 1 15 (4) 1.5 1 . 1 (money markets) (capital markers) ( )30 ( ) 1.5.1 Securities and Exchange Commission [11 ] 1.5.2 N Y S E AMEX Midwest Stock Exchange 8 5 [12] [11] Private Placement[12] Over-the-Counter (OTC) Market 16. 16 19712 National Association of Securities Dealers A S D A QN 1 9 9 8 251.5.3 1.5.4 (1) 250 200 650 450 (2) 4,000 (3) 900 (4) 110 (5) 2,000 100 1 - 21-2 /100 19962,907$7,300,351 19952,675 6,01l,971 19942,570 4,448,284 19932,361 4,540,850 1996563 2,862,382 1995564 2,747,775 1994583 2,367,406 1993574 2,528,437 New York Stock Exchange Fact Book 1997, NYSE.1.6 3 2 17. 1 17 N P V CAPM[13] A P T 1. Mackie-Mason, J. K., and R. H. Gordon.How Much Do Taxes Discourage Incorporation? Journal of Finance (June 1997). 2. M. Miller. Is American Corporate Governance Fatally Flawed? Journal of Applied Corporate Finance (Winter 1994). [14] 1. 2. 3. 4. 5. [13] Capital Asset Pricing Model [14] 18. 18 6. 7. 8. 9. 10. 11. 12. 13. 14. ? 19. 2 22.1 (balance sheet) + ,2 - 1U.S. Composite Corporation1 911 92 2-1 (192191) 192191 192 191 $ 140$ 107 $ 213$ 197 294270 50 53 269280 223205 58 50 $ 486$ 455 $ 761$ 707 $ 117$ 104 $ 1,423$ 1,274471458 20. 20 () (550)(460) $ 588$ 562 873814245221 $ 1,118$ 1,035 $ 39 $ 39 $1 55 32347327390 347(26) (20) $ 805$ 725$ 1,879 $ 1,742 $ 1,879$ 1,7422.1.1 2.1.2 [1] 2.1.3 [ 2 ]generally accepted accounting principlesG A A P [3] [1] [2] [3] GAAP 21. 2 21 2.2 (income statement) 2-2 1922-2 (192) $2,262 (1,655) (327) (90) $190 29 $219 (49) $170 (84)$71$13 $86$ 43$ 43 2.2.1 GAAP 22. 22 2.2.2 ( n o n - c a s h i t e m s ) 1 , 0 0 0 1 , 0 0 0 2 0 0 1,000 200 [4] 8 , 4 0 0 IRS2.2.3 [5]2.3 12 19227,500 19125,200 = / //192$761$486 = $275191 707 455 =252 (change in net working capital)192 192191 $27,500C$25,200 = $2,300[4] IRSGAAP[5] 23. 2 232.4 (cash flow) 2 - 1 1 911 0 , 7 0 0 1 921 4 , 0 0 0 3 , 3 0 0 2B 7 C FA C FB CFS CFA CFB+ CF S2-3 (192) $238 (173) (23) $42 $36 6 $42 2 - 3 ( )$21990 (71) $238 (Pentair)1997 24. 24 11 , 2 0 0 $198(25)$173=$149+$24= + 192 $ 23 $238 (173) (23)$42 2 - 3 $ 49 73 122 (86) $ 36 $ 436 49 (43) $6 (1) (operating cash flow) (total cash flow of the firm) 25. 2 25 (2) 1 92 8 , 6 0 0 4 , 2 0 0 2.5 1. a. b. c. 2. GAAP K i e s oD. E., and J. J. Weygandt. Intermediate Accounting , 7th ed. New York: John Wiley.1992. 1. 2. 3. 4. 5. 6. 7. 8. 9. 10. 1231 $ 4,000 82,000 6,000 8,000 2,000 34,0007,0006,000 19,000 26. 26 $100 11. Information Control Corp. $ 50,000,000 30,000,000 100,000,000 20,000,000 1 , 0 0 0 5 0 0 3 0 0 12. Stancil Corporation $ 6,000 20,000 1,000 1,000 4,000 22,000 13. Ritter Corporation192(192)$400 250 50 $100$ 50 (1231) 192 191$150$100 200 100 350$200$ 75$ 5075 0 200 150 $350$200 a192 b192 27. 2 272A (1) (2) (3) (4) (5) 2 - 12 - 22-32A.1 192 761 = ==1.57 486 492 = ==1.01 4862A.2 RU s 192 [6][6] 28. 28 2,262 ===1.25 1,810.51,879+1,742 = =1,810.5 2 [7] 2,262 = = = 8.02282294+270 = = 282 2 365 == = 45.5() 8.02 10 1,655 == = 6.03 274.5 269+280 = = 274.52365 = == 60.5() 6.03 [7] 29. 2 292A.3 1 92 1,074 === 0.571,879 1,074 == = 1.33 805 1,879 === 2.33 805 219 = = =4.5 49 2A.4 30. 30 86 === 0.038(3.8) 2,262 219 === 0.097(9.7)2,262 86 === 0.047 5(4.75) 1,810,5 219 === 0.121(12.1) 1,810.5 ROA R O A ROA= ROA() = 0.0475 = 0.038 1.25 ROA() = 0.121= 0.097 1.25 R O A L. L. Bean Ti ff a n y R O A ROE 86RPE = == 0.112(11.2) 765805+725 = = 765 2 31. 2 31 ROAROE ROE ROE = = 0.112 =0.038 1.25 2.36 R O E R O A 43 = = = 0.586 43 === 0.5 86=2A.5 = ROE R O E11 . 2 1 / 2 =11.2 1/2=5.6 5 . 6 5262A.6 I B M I B M P / E P/E 32. 32 1997 20 7230 49 38 37 Nippon Telegraph & Telephone = 1997 2.5 0 1.5 0.61.0 0.5 M / B Q 1994 3.83.4 7.12.321.43.1 M / B Q [8] Q M / B Q Q[9]Q4.2 IBM 4.2Q0.53 0.61[8] Kee H. Chung and Stephen W. PruittA Simple Approximation of Tobins Q, Financial Management Vol 23,No.3(Autumn 1994).[9] E. B. Lindberg and S. Ross,Tobins Q and Industrial Organization, Journal of Business 54 (January 1981). 33. 2 33 QM/B Q 1 Q 1 Q 1. 2. 2B 192 3,300 2-1 19110,700 19214,000 2B.1 192 8 , 6 0 0 192 86 90 13 (24) 11 16 18 (3) (8) 199 34. 34 2B.2 192 (198) 25(173)2B.3 192 $ ( 73) 86 (43) (6) 43 $7 2 - 4 2-32-4 192 $ 86 90 13 ( 24 ) 11 16 18 (3) (8) $ 199 35. 2 35() $(198)25 $(173) $(73 86 (43)(6) 43 $ 7 $ 332C (1) 392-5 39.62-6 2-5 1997 ()$0$ 50,000 15 50,000 75,000 25 75,000100,000 34100,000335,000 39335,000 10,000,000 34 10,000,000 15,000,000 35 15,000,000 18,333,333 38 18,333,333 352-6 (1997) + () $0 $ 41,200 $0$0 1541,20099,6006,180.00 41,200 2899,600 151,750 22,532.00 99,600 31 151,750 271,050 38,698.50151,750 36 271,05081,646.50271,050 39.6 (2) (3) 1 8 2 0 1 8 2 8 1 5 [10] 18 15 18 10 (4) 100 20~80 [10] 0~41,2002-6 36. 36 80 702C.1 A M T 2628 20 1 9 9 51 9 9 7 5 0 0 7 5 02C.2 20 37. 38. 38 3 NPV 4 5 3 4 N P V 6 I R R NPV 7 8 N P V 39. 3 3.1 To m L e s l i e 1 0 0 , 0 0 0 5 0 , 0 0 0 150,000 50,000 50,000 50,000 55,000 3 - 1 10 $55,000 $50,000 $50,000 $55,000 3-1 40. 40 1 0 1 . 1 0 0.10 I O U 5 5 , 0 0 0 IOU3.1.1 I O U 5 0 , 0 0 0 5 0 , 0 0 0 1 0 (financial intermediaries) 3.1.2 1 5 1 5 2 000 8 0 08/20 0.40 1 5 1 0 5 0 , 0 0 0 8 0 , 0 0 0 80,000 4032,00015 15 20,000 20,00015 0.1520,000=3,000 14 2 0 , 0 0 0 1 2 , 8 0 0 2 0 0 1 5 1 0 1 0 (equilibrium rate of interest) 41. 3 41 I O U3.2 3-2 50,000 6 0 , 0 0 0 5 0 , 0 0 060,0003-2 AB r 3-2 AAA=$60,000+[$50,000(1+r)] A $115,000 =(1+r)$71,000C$60,000 YD$49,000B $40,000 $60,000$104,545$50,000 3-2 10 A A =$60,000+[$50,000(1+0.1)] =$60,000+$55,000 =$115,000A A50,000 60,00055,000 115,000 BBB =$50,000+[$60,000/(1+r)] 10B 1B =$50,000+[$60,000/(1+0.1)] =$50,000+$54,545 =$104,545 42. 42 6 0 , 0 0 0 1 +r1 . 1 B 6 0 , 0 0 0 6 0 , 0 0 0 r $ 6 0 , 0 0 0 /1 +r r [$60,000/1+r]1+r=$60,000 54,545$54,5451.1=$60,0001 A B C 10,000 10 CC =$50,000$10,000=$40,000 C =$60,000+[$10,0001+r]= $71,000 D 1 0 , 0 0 0 D 1 0 D =$50,000+$10,000= $60,000 D =$60,000[$10,0001+r]= $49,000 A B ( 1 +r) X 1 Y 1 +r A 4 5 , 0 0 0 60,000 AB B A D C $135,000$115,000 =1.5 $75,000 $71,000 $60,000 $49,000 =1.1 $45,000 $40,000 $60,000 $90,000 $104,545$50,000 3-3 43. 3 43 1 0 , 0 0 0 D 2 0 5 0 3 - 3 C [1]3.3 A B 1 , 0 0 0 5 0 0 1 , 0 0 0 11 0 (perfectly competitive financial markets) (1) (2) (3) 9 1 , 1 0 0 1 0 9 9 1 0 9 1 10 1100 1 0 1 . 1 1 . 0 9 100 [1] 44. 44 3.4 [ 2 ] 3.5 3.5.1 1 0 0 , 0 0 0 1 0 7 0 , 0 0 0 7 5 , 0 0 0 5 , 0 0 0 3-4 $75,000 $70,0003-4 7 0 , 0 0 075,000 70,000 10 70,0001+0.1$70,000=$77,000 [2] 45. 3 45 7 0 , 0 0 0 2 , 0 0 0 77,000 75,000 $210,000 $177,000 $175,000 $100,000=1.10 $30,000$100,000 $190,909.093-5 3-5 70,000 2,000 2,0003.5.2 7 5 , 0 0 0 8 0 , 0 0 0 1 0 0 , 0 0 0 7 0 , 0 0 0 30,000 7 0 , 0 0 0 1 0 0 , 0 0 0 7 0 , 0 0 0 3 0 , 0 0 0 7 0 , 0 0 0 1 0 7 7 , 0 0 0 3 - 6 8 0 , 0 0 0 77,000 3,000 3,000 3-7 3,000 7 2 , 7 2 7 . 2 7 7 0 , 0 0 0 7 0 , 0 0 0 2,727.27 2 , 7 2 7 . 2 7 3 , 0 0 01 / 1 . 1 7 2 , 7 2 7 . 2 7 46. 46 10 $72,727.271+0.1=$80,000 3-7 $70,000 $77,000$80,000 $70,000 $3,000 3-6 $213,000 $210,000 $180,000$177,000 $100,000 Y $30,000 $100,000$190,909.09 $102,727.27 $193,636.363-7 75,000 80,000 (separation theorems) 47. 3 473.6 3 - 2 5 0 , 0 0 0 6 0 , 0 0 010 30,000 40,000 3 - 2 3 - 83 - 8 5 0 , 0 0 0 6 0 , 0 0 0A B 2 0 , 0 0 0 1 0 0 , 0 0 0AB A B B $50,000$30,000=$20,000 $60,000+$40,000=$100,000 B $100,000$60,000 $20,000$50,0003-8 B3 - 9 3 - 93 - 8 3 - 9 A A 3 - 2 B 10 B A X 1 01 1 . 1 Y 1.1 3-9 B A A X 104,545 3-2 48. 48 3 - 9 A B X 30,000 20,000 $50,000$30,000+$60,000+$40,000/1+0.1=$20,000+$100,000/1.1=$110,909$122,000$115,000$100,000 $67,000 $60,000 $20,000 $50,000 $104,545 $56,364 $110,9093-9 X $110,909$104,545=$6,364 B A 6,364 A B 56,36460,000 3-9 A B C B A 3 - 9 A Y B Y A Y 3-2 115,000 B 2 0 , 0 0 0 1 0 0 , 0 0 0 2 0 , 0 0 0 1 0 0 , 0 0 0 49. 3 49 B Y $20,0001.1+$100,000=$122,000 $115,000$122,000$115,000=$7,000 6 , 3 6 4 1 . 1 7 , 0 0 0 6 , 3 6 4 1 0 1 1 . 1 6 , 3 6 4 6,3641.1 6 , 3 6 4 6 , 3 6 4 1 . 1 7,000 $6,3641.1=$7,000 3 - 9 AB 1 . 1 X 7,000 11.1 30,000 40,000 3-10 N P V $30,000$40,0001/1.1$30,000$36,364$6,364 $40,000 V F $40,000 $30,0003-10 N P V 1 0 3 0 , 0 0 0 40,000 40,000$40,000/1.1=$36,364 36,364=$36,364$30,000=$6,364 50. 50 (net present value rule) NPV NPV3.7 N P V NPV 1 NPV NPVNPV1 NPV NPV1 N P V N P VNPV3-11 B B 33,000 25,000 10 NPV BNPV 3-11C 3-12 () =1.1$33,000 $25,000 NPV=$5,0003-11 NPV 51. 3 51 $33,000 $25,0003-12 =$25,000+[$33,000(1/1.1)]=$5,000 N P V N P V N P V NPV NPV 100 1 0 0 1 100 110,000 10,000 10,000 N P V 1 0 0 1 0 0 1 1 0 , 0 0 0 N P V N P V N P V N P V NPV NPV N P V N P V 1 N P V N P V 52. 52 3.8 1. 2. 3. N P V N P V4. NPV NPV NPV 1. Fama, E.F. , and M. H. Miller. The Theory of Finance. New York: Holt, Rinehart & Winston,1971: Chapter 1. Hirshleifer, J. Investment, Interest and Capital. Englewood Cliffs, N.J.: Prentice Hall, 1970:Chapter 1. 2. Fisher, I. G. The Theory of Interest. New York: Augusts M.Kelly,1965.This is a reprint of the1930 edition. 3. Irving Fisher Hirshleifer, J. On the Theory of Optimal Investment Decision.Journal of Political Economy66 (August 1958).1. 2. 3. 53. 3 534. 5. 6. 7. 8. 9. 10. 11. 12. 13. 14. Jim Morris100,000 120,000Jim 1 5 0 , 0 0 0 1 0 J i m 1 5 0 , 0 0 0 15. Rich Pettit 50,000 40,000 20,000 12Rich16. 1 0 1 2 , 0 0 0 , 0 0 0 7 , 0 0 0 , 0 0 0 5 , 0 0 0 , 0 0 0 NPV3,000,000(1) (2) 10,000,000(a) (b) 54. 4 1 1 1 0 0 92 0100 201 1 4.1 4-1 Don Simkowitz1 11 , 4 2 4 4 - 1 $10,000$11,424 4-1 Mike Tu t t l e 112$10,000+0.12$10,000=$10,0001.12=$11,200 11 , 4 2 4(future value) (compound value) 1 11,200(present value) 11,424 55. 4 55PV1.12=$11,4244-1 12 11,424 PV$11,424 PV = = $10,200 1.12 C1 PV =1+r C1 r r 11 , 4 2 4 1 0 , 2 0 0 12 10,200 11,424 10,200 11,424 10,200 10,000 4-2 Kaufman & Broad Louisa Dice 8 5 , 0 0 0 9 1 , 0 0 0 6 , 0 0 0 1 0 ? 4-2$91.000 $85.000 4-2 8 5 , 0 0 0 9 1 , 0 0 0 1 0 8 5 , 0 0 0 1+0.10$85,000=$93,500 8 5 , 0 0 0 2 , 5 0 0 ( 9 3 , 5 0 0 9 1 , 0 0 0) 56. 56 () $91.000 == $82,727.271.10 8 5 , 0 0 0 $91,000 $2,273 = $85,000 +4-21,10 NPV=+PV 4 - 2 2 , 2 7 3 2 , 2 7 3 (net present value N P V ) N P V NPV 11,4 2 4 9 1,0 0 0 4-3 Professional Art PA 4 0 0,0 0 0 480,000 4-3 $480,000$400,0004-3 4 8 00 0 0 10 ? $480,000 PV == $436,3641.10 57. 4 57 () 436,364 400,000 10 2 5 2 5 $480,000 PV == $384,0001.25 [1] 112552 4.2 4.2.1 1 1 r r9 $1(1+r)=$11.09=$1.09 1 . 0 9 ( 1 +r) (compounding) 1 . 0 9 $1(1+r)(1+r)=$1(1+r)2=1+2r+r2$11.091.09=$1+$0.18+$0.0081=$1.1881 1 1.1881 1(1.09)3= 1.295 1 1 2r= 20 . 0 9= 0 . 1 8 r2 2r(simple interest) r2r2=$(0.09)2=$0.0081 [1] 9 58. 58 (compound interest) 4-4 $1,295 $1,270$1,188$1,180 $1,09$1 1 23 4-4 1 1 , 0 0 0 , 0 0 0 1 , 1 8 8 , 1 0 0 8 , 1 0 0 FVC0(1+r)T C0 r T 4-4 S P KSuh-Pyng Ku 5 0 0 7 SPK ? $5001.071.071.07=$500(1.07) 3=$612.52 4-5SPK $612.52 $500$612.52 $5004-5 SPKSuh-Pyng Ku 59. 4 594-5Jay Ritter 1,000 SDH 2 20 SDH ?$2(1.20)2=$2.88 4-6SDH $2.88 $2.88 $2.40 $2.40 $2.00 $2.00 4-6 SDH AA- 31t SPK 7 1 1.2250 500 $500 1.2250=$612.50 14-6 Michael Duffy 10,000 5 1 6 , 1 0 5 4 - 7 $16,105 = 1.610 5 $10,000 15 1.610 5 AA-3 10 $10,000(1+r)5=$16,105 r $16,105/$10,0001.610 5 (1+r)5=1.610 5 [2]r $10,000 5 0$16,105 4-7 [2] r = 1.6105 15 60. 60 4.2.2 ( I b b o t s o n ) ( S i n q u e f i e l d ) 1 9 2 6 ~ 1 9 9 6[3] 1926 1 1996 1,370.95 10.71 71 (1.1071)711,370.95 1 0 . 7 1 10 . 1 0 7 7 1 $ 7 . 6 0 ( 7 1$0.107 1) 1,370.95 1 1 4 1 7 1 2 1 1 4 1 7 1 1 1 4 1$1,879,503.90[$11,370.951,370.95] 1 1 2 06 2 0 0 0 1 4.2.3 9 1 1.188 1 1 PV(1.09)2$14-3 4-3PV 1 4-3PV $1 PV == $0.841,1881 (discounting) 4-8 0 . 8 4 1 0 . 8 4 11 0.84$0.841 681.091.09$1 9 0 . 8 41 0 . 8 41 0 . 8 4[ 1 /1 . 0 92] ) (present value factor)[3] StocksBondsBills and Inflation[SBBI]1996 YearbookIbbotson AssociatesChicago1997. 61. 4 61 PV CT PV =(1+ r)T CT Tr $2,367.36 9 $1,900$1,000 $1,000$422.41 9 4-8 1 , 0 0 0 9 % 1 0 1 0 0 0 (1.09)10=2,367.36101,000+[10(1,0000.09)] =1,900 9%1,000 4-7 Bernard Dumas 10,000 8 8 (appropriate discount rate) ? 3 PV = $10,000 1 1.08= $10,000 0.7938 = $7,938 4-9 8 7,938$10,000 $10,000 $7,938 4-9 62. 62 () 10,000 7,9388 10,000 AA-1 T1 80.7938 4-8 C h a ff k i n 50,000 38,610 4-10 $38,610= 0.772 2$50,000 0.772 2 1 A A - 1 9 [4] $50,000 $38,6104-10 4-9 Dennis Draper 1 $2,000 2$5,000 6 6[4] r $50,000 = $38,6103(1+ r ) $1 3 = $ 0 . 7 7 2 2(1+ r) 63. 4 63() 1 1 $2,000 = $1,8871.062$5,000 1 = $4,450 2 1.06 $6,337 6 , 3 3 7 2 , 0 0 0 5 , 0 0 04.2.4 PV = C1 /(1+ r) PV = C2 /(1+ r) 2 T T C1C2 CT T = C + CiNPV = C0 + + 2 + ... +0 i1+ r (1+ r) (1+ r)i=1 (1+ r)C04.3 1 0 1 , 0 0 0 $ 1 , 0 0 0 1 . 0 5 = 1 , 0 5 01,0501.05=1,102.50 [5] 2 $1,000 1+0.10 = $1,000 (1.05) = $1,102.502 2 1 , 0 0 0 1 , 1 0 0( 1 , 0 0 01 . 1 0 )1,000 1,000 6 1,050 1,0001.102 51,102.50 10 10.25 1 0 1 0 . 2 5[5] AA-35% 64. 64 10 4$1,000 1+ 0.10 = $1,103.814 m m4-4C 0 1+ r m C0 r (stated annual interest rate) (annual percentage rate) 4-10 24 Jane Christine1 4-4 112 $1 1 +0.24 = $1 (1.02) = $1.26821212 2 6 . 8 2( e ffective annual interest rate)( e ffective annual yield) m 4-5 1+ r 1 m 4 - 5 1 4-5 1 4-11 8 ?4-5 m4 1+ r 1 = 1+ 0.08 1 = 0.082 4 = 8.24% m4 C0=1,000r=10 = m 1+ r 1 C0 m C1 m $1,000 m =1 $1,100.000.10 1,000m =2 1,102.500.102 5 1,000m =41,103.810.103 81 1,000m =3651,105.160.105 16 65. 4 654.3.1 SAIR EAIR S A I R1 0 1 [ 1 + 0.10/2]21.102 5 1+0.10/4 4=1.103 8 1 0 1 0 . 2 5 1 1.102 5 1 0 1 0 . 2 54.3.2 4 - 4 1 mTFV = C 0 1+ r m4-64-12 Harry DeAngelo 1 2 5 , 0 0 0 ?4-6 4 5$5,000 (1+ 0 . 1 2 / 4 ) = $5,000 1.8061 = $9,030.504.3.3 () (continuous compounding) TC0erT 4-7 C0 r T e 2.7184-13 Linda Bennet 1,000 1 ?4-7$1,000e0.10=$1,0001.105 2=$1,105.20 66. 66 () AA-5 r=10 TT r9% 10% 11%11.094 2 1.105 2 1.116 321.197 2 1.221 4 1.246 131.310 0 1.349 9 1.391 0 1 0 1 0 . 5 2 10 10.52 4-14 B r u c e 1 , 0 0 0 1 0 $1,000e0.102=$1,000e0.20=$1,221.40 1.221 4 4 - 11 4-11 4-15 Michigan State Lottery 1,000 8 ? 4-71 1$1,000 = $1,000 = $726.16 e 0.0841.3771 67. 4 674.4 2 0 2 4 0( 2 01 2 ) 4.4.1 ( p e r p e t u i t y ) ? C PV CCCPV =++ + 1 + r 1+ r 2 1+ r 3C C , ? C CCC 4-8 PV =r C/r C r= C = r [6][6] C C CPV =+2 + 3 + 1 + r (1+ r ) (1+ r ) C 1 1 + r = a, (1+ r) = x PV=a(1+x+x2) (1)x:xPV=ax+ax2+(2)21 PV(1-x)=aaxPV=C/r 68. 68 C CCCPV = ++ += 1+ r (1+ r )2 (1+ r )3 r4-16 1 0 0 8 ?4-8 $100PV == $1,250 0.08 64.8 $100PV == $1,666.67 0.064.4.2 1 0 0 , 0 0 0 5 (growing perpetuity) 11 11 $100,000 $100,000(1.05) $100,000(1.05) 2 $100,000(1.05) N 1PV = + 2+3++ + 1.11(1.11)(1.11)(1.11)N C C (1+ g) C (1+ g) 2 C (1+ g) N 1 PV =+ + ++ + (4-91+ r(1+ r) 2(1+ r) 3 (1+ r) N C g r 4-9 [7] C 4-10 PV =r -g 2 [7] PV PV = a(1+ x + x + ) C (1+ g) a = 1 + r , x = (1+ r) aax 1 x CPV = (r g)x1g r 69. 4 69 4-10$100,000= $1,666,6670.11 0.05(1) 4-104-17 R o t h s t e i n 36 114 - 1 0 63.183.001.06 $3.18$66.60 = $3.00+0.11 0.06 6 6 . 6 0 4 - 1 0 (2) r g g r, (3) 4 - 1 0 1 0 0,0 0 0 4 - 1 0 01 0 ( ) 0 1 (0 )[8]01 23=() =() [8] x x 70. 70 4.4.3 ( a n n u i t y )C C C C + ++ ... 1+ r (1+ r)2 (1+ r)3 (1+ r)T T ? ()12 1 1 2 T+ 1T C 1 21C PV = 4-11r 2T+1T C/r[9] 0 T TC/r 2 C 1 PV = r (1+ r) T 4-12T C 1 T+ 1 4-11 4-12CC PV = r r(1+ r)T[9] C/rT+1T+1 71. 4 71 [10] [1 1] 4-13 1 1 PV = C r r(1+ r)T 4-18 Mark Yo u n g 2 0 5 0 , 0 0 0 1 , 0 0 0 , 0 0 0=50,00020 8 ?4-13 11 =$50,000 0.08 0.08(1.08)20 = $50,000 9.818 1 = $490,905 100 490,905 [12] T C (annuity factor) 9.818 1 AA-2 r T 4 - 1 3T Ar4-14 4-14 r T 1 4-19 Danielle Caravello 5 0 0 10 ?C 1 [10] 1 r (1+ r) T (1+ r )1 T[11] FV = C r r[12] HP198a. FINTVMb. 50 000PMTc. 8I% YRd. 20Ne. PV$490,907.370 372 114 72. 72 ()(1) 4-13 5 1 1 $500 = $500 A 0.104 0.10 0.10(1.10) 4= $500 3.169 9= $1,584.95 1,584.95 5 1,584.95 6 6 0 (2) 5 0 0 $1,584.95 = $984.13(1.10)5 5 4-12 5 5 1,584.954-12 4-13 1 ? 4-20 2 0 5 0 , 0 0 0 20 1 9 73. 4 73() 19 $50,000 + $50,000 A0.08 0 19 =$50,000+$50,0009.603 6 =$530,180 530,180 490,905 4-13 AA- 2 1 4-21 Ann Chen 4 5 0 2 0 2 6 (1.061.06)112.36 100 112.36 1 0 4 5 0 1 2 . 3 6 11 = S450 A0 . 1 2 3 6 $2,505.57=10 $450 0 . 1 2 3 6 0 . 1 2 3 6 (1.1236) 10 4-22 H a r o l d Helen Nash S u s a n 30,000 14 ? 18 1 1 7 1 1 121712 34 1 7 4 3 0 , 0 0 0 1 7 4 4 4 (1) 4 74. 74 () 11$30,000 = $30,000 A4 0.14 0.14 (1.14) 40.14= $30,000 2.9137 = $87,411 1 8 87,411 17(2) 4 0$87,411 = $9,422.91(1.14)17(3) 1 7 9 , 4 2 2 . 9 1C A0.14 = $9,422.91 17 A0.14 = 6 . 3 7 2 9 , 17 $9,422.91C= = $1,478.596.3729 17 14 1,478.5930,000 ( 1 ) 1 8 4 ( 2 ) 1 84.4.4 (growing annuity) [13] 1 1+ g T 1 PV = C 4-15 r g r g 1+ r C r g[13] AC B C(1+g)T T+1 g T 0 12 3TT+1 T+2T+3 A C C(1+g) C(1+g)2 C(1+g) T-1 C(1+g) T C(1+g) T+1 C(1+g) T+2 B C(1+g)TC(1+g) T+1 C(1+g) T+2 CC(1+g) C(1+g)2 C(1+g)T-1 A C rgB C (1 + g) T1 rgT (1+ r)4-15 75. 4 75 T 4-23 Stuart Gabriel M B A 8 0,0 0 0 9 4 0 2 0 ? 1 8 0,0 0 0 204-15 1 1 1.09 = $711,73140 PV = $80,000 0.20 0.09 0.20 0.09 1.20 4-15 4-24 1 7 4 ? 9,422.91 4 9,422.91? 9,422.91 C 1 1 1+ g T 1 1 1.04 = $9,422.91 17C=C r g r g 1+ r 0.14 0.04 0.14 0.04 1.14 C= 1 , 1 9 2 . 7 8 1 , 1 9 2 . 7 8 1,240.49(1.041,192.78) 1987 Rosalind Setchfield 130 2 0 6 5 , 2 7 6 . 7 9 1 9 9 5 (Singer Asset Finance C o m p a n y ) 1 4 0 , 0 0 0 9 ( 1 4 0 , 0 0 0 9 3 2 , 6 3 8 . 3 9 9 = 2 9 3 , 7 4 5 . 5 1 ) 7 (Woodbridge Sterling Capital) 80 S u n A m e r i c a John Hancock Mutual Life Insurance Co. (Enhance Financial Service 76. 76 ()Group),EFSG 1 9 6 , 0 0 0 E F S G 56,000 5 6 , 0 0 0 ? 9 E F S G 1 9 6 , 0 0 0 9 9 3 2 , 6 3 8 . 3 9 E F S G 8 . 9 6( 1 9 6 , 0 0 0 9 3 2 , 6 3 8 . 3 9 )18.1 Vanessa Wi l l i a m sHow Major Players Turn Lottery Jackpots into GuaranteedBetThe Wall Street JournalSeptember 231997.4.5 ? 5 , 0 0 0 ( ) 2,000 10,000 10 $5,000 $(2,000 A0.10 ) $10,000 5 + + = $16,569.35 1.11.1(1.1) 7 1 2 , 0 0 0 ? N P VNPV=PV$4,569.35=$16,569.35$12,000 (NPV)4,569.35 r=10% 1$ 5,000 0.909 09$ 4,545.45 2 2,0000.826 451,652.90 3 2,0000.751 311,502.62 4 2,0000.683 011,366.02 5 2,0000.620 921,241.84 6 2,0000.564 471,128.94 710,0000.513 155,131.58 $16,569.35 77. 4 77 4-25 (Trojan Pizza) 100 200,000 ( ) 1 5 ? $200,000 $200,000 $200,000 NPV = $1,000,000 + + + ... + 1.15(1.15)2(1.15)9= $1,000,000 + 200,000 A0.15 9= $45,683.22 N P V4 5 , 6 8 3 . 2 2 1 5 4.6 1. 1 0 1 1.10 1.21[1(1.10)2] 1 0 1 0 . 9 0 9 ( 1 / 1 . 1 0 ) 1 0 . 8 2 6 [ 1 /(1.10)2]2. 12 1 3 1 2( 3 4 ) 1 2 . 5 5 [ ( 1 . 0 3 )41 ) ] 3. NC1 C2CNN = C0 + CiNPV = C0 + + 2 + +i(1+ r) (1+ r)(1+ r) i=1 (1+ r) C ii i= 1 , n 0 ( )4. PV = CrC PV = r g1 1 PV = C r r (1 + r) T 11 +g T 1 PV = C r -g r - g 1+ r 5. 78. 78 (1) (2) (3) ( ) ( ) (4) 11 (5) 1 9 B I I Hewlett-Packard HP19BII WhiteM. Financial Analysis with a Calculator.3rd ed. Burr Ridge.Irwin/McGraw-Hill1998[14] 1. ? 2. ? 3. ? 4. ? 5. ? 6. ? 7. ? 8. ? 9. ? 10. ? 11. ? 12. 1,000 (1) 5 10 (2) 7 10 (3) 5 20 (4) (3) (2) 2? [14] 12 79. 4 7913. 25 1,000 10 ?14. 27 150 8 27 ?15. 10,000 20,000(1) 0 (2) 10 (3) 20 (4) 16. 1 , 0 0 0 1 2 17. 1 0 5 0 0 1218. 8 1,000(1) (2) (3) (4) (5) 19. 15 12020. 10(1) 1,000(2) 500(3) 2,42021. 1 0 2 0 0 8 1 , 2 0 0 22. 2 , 0 0 0 2 2 823. 12,800 10 2,00024. 2 5 , 0 0 0 7 (1) (2) 2 0 , 0 0 0 25. (1) 31 160,000 28(2) 1 , 7 5 0 , 0 0 0 1 , 7 5 0 , 0 0 0 2 8 446,000 814,000 30 101,055 1026. 1 2 2 0 , 0 0 0 1 0 , 0 0 0 80. 80 27. 15 1 7 2 1 , 0 0 0 1 5 28. 2 8 5 0 , 0 0 0 4 4 0 29. 5 , 0 0 0 10 1 $700 2900 31,000 41,000 51,000 61,000 71,250 81,375 81. 55.1 K r e u g e r 1,0 0 0 1 0 0 , 0 0 05 (1) 100,000,000100,0001,000 (2) 5,000,000 (3) 5,000,000 100,000,000 5.2 5.2.1 (pure discount bond) 1 (maturity date) 1(face value) bullet5 - 1 F4 8 0 12 34 5-1 C 6 F 4 82. 82 T F T rF PV =(1+ r )T 1 0 2 01,000,000$1,000,000 PV == $148,644(1.1)20 155.2.2 6(coupons)5-1 4 C6 F 4F 1,000 C1,000 C C C $1,000 PV = + + ...+ +1+ r (1+ r )2(1+ r )T (1+ r )T C F 1,000 $1,000PV = C Ar +T ( + r )T 1TAr T r 15-1 1 9 9 811 2 0 0 21113s 13 [1]1,000 130[1] NPVNPV 83. 5 83() 511 6 6 5 4 2002115/1999 11/1999 5/2000 11/2000 5/2001 11/2001 5/2002 11/2002$65$65 $65 $65 $65$65$65 $65+$1,000 10 6 51 0/ 2 6 5 1 9 9 82 0 0 28 $65 $65$65 $1,000 PV = + 2++ +(1.05) (1.05) (1.05) (1.05)88 = $65 A0.05 + $1,000/(1.05)88 = ($65 6.463) + ($1,000 0.677) = $420.095 + $677 = $1,097.095 1,097.095, 1,000109.709 5 [2] 1+r/mm1 r m r=10m=2 [1+0.10/2]21=1.0521 = 10.25 1 0 . 2 5 [3] D u P o n t 8 1 2 2 0 0 6 2 0 0 6 4 2 . 5 0 8 1 2 1 , 0 0 01,0005.2.3 1 8[2] 132nds[3] J.T.LindleyB.P.Helms M. Haddad,A Measurement of theErrors in Intra-Period Compounding and Bond Valuation,The Financial Review 22(February 1987) 84. 84 1 050$50 = $5000.105.3 5.3.1 5-2 1 0 1 0 1 0 0 1 , 0 0 01 0 1,000$100 $1,000 + $100 $1,000 =+1.10(1.10) 2 12 $100 $1,000 + $100 $966.20 =+ 1.12(1.12) 29 6 6 . 2 0 1 , 0 0 0( d i s c o u n t ) 1 2 1 2 0 1 0 0 1,000 8 $100 $1,000 + $100 $1,035.67 =+ 1.08(1.08) 2, 1,035.67 1,000(premium)(1) 1,000(2) (3) 5.3.2 1,035.67 85. 5 85 $100 $1,000 + $100 $1,035.67 =+ 1+ y(1+ y)2 y y= 8 8 (yield to maturity)8 1 0 8 1,035.67 5-1 F PV = (1+ r)T 1 1 FFPV = C + (1+ r)T = C A r + (1+ r) TT r r (1+ r) TF1,000 CPV = r5.3.3 O T C 5 - 13 AnnTayorAnn Taylr 83 4 0 0 Ann Taylor 2 0 0 0 8 4 1 , 0 0 0 83 4 Ann Ta y l o r 87.505-1 Ann Taylor Ann Taylor 1,00099 3 8 993.75 Ann Ta y l o r 1 / 4 Ann Ta y l o r 8 . 8 87.5 993.75 2 6 6 86. 86 5.4 5.4.1 (1) (2) (1)(2) P0 Div1 PP0 =+ 1 5-1 1+ r 1 + r Div P1 P0 r P 1 P 1 P1 Div 2 PP= + 2 (5-2)1 1 + r 1 +r 5-2 P1 5-1P0 =1 Div 2 + P2 Div1 + 1+ r 1+ r Div1 Div 2 P2 =+ +(5-3) 1+ r (1+ r)2 (1+ r)2 5 - 3 P2 2 3 P2 [4] Div1 Div 2Div3 3 + ... = Div tP0 =+ 2 +(5-4) 1+ r (1+ r)(1+ r) t =1 (1+ r)t [4] 87. 5 87 5.4.2 5 - 4 1 2 3 5-2 1 Div1 Div 2DivP0 =++= 1+ r (1+ r) 2r D1=D2==D 2 g 12 34 DivDiv(1+g)Div(1+g)2Div(1+g) 3 Div g2g1>g2 g1 g=0 5-2 Div P0 = rDiv P0 =r gDiv T +1T Div(1+ g1 )tr g2 P0 = +t =1 (1+ r)t(1+ r) T 5-3 Hampshire Products 4 6 88. 88 ()12 3 4 5 $4.00 $4(1.06) $4(1.06)2 $4(1.06)3 $4(1.06)4 =$4.24=$4.494 4=$4.764 1=$5.049 9Div Div(1 + g) Div(1 + g)2 Div(1 + g) 3 P0 =+ ++ + ...1+ r (1+ r)2 (1+ r)3(1+ r)4Div =rg g Div 5-4 Uath Mining 3 / 1 0 g= 1 0 1 5 r 2 60$3$60 =0.15 0.10P0 gg12 1 2 $3 $120 =0.15 0.125g 2 51 0 1 0 . 2 5 6 01 2 0 P0g r=g P 0 gr 3 5-5E l i x i r 1 . 1 5 4 1 5 (g1= 1 5) 1 0 (g2= 1 0) 1 5 5 - 3 1 5 5 6 5 15 89. 5 89 () g1 1 0.15 $1.150 0 $1 2 0.151.322 51 3 0.151.520 91 4 0.151.749 01 5 0.152.011 41 1~50.15 =$5 10 $2.944 9 $2.677 2 15 $2.433 8 $2.212 5 $2.011 4$1.749 0$1.520 9 $1.322 5$1.15 5-3 Elixir 1 5 g = r 6 6 6 789 Div5 (1+g2 ) Div 5(1+g 2) 2Div5 (1+g 2) 3Div 5(1+g 2) 4 $2.011 41.102.011 4(1.10) 22.011 4(1.10) 3$2.011 4(1.10) 4 =$2.212 5=$2.433 8 =$2.677 2 =$2.944 9 6 5 5Div 6 $2.2125 P5 = == $44.25r g2 0.15 0.10 5 0P5 $44.25 = = $22(1+ r)5 (1.15) 5 90. 90 () 0 2722+55.5 g r5.5.1 g g [5] = +5-5 5-5 =+ 5-65-6 1+ 1+g [6] (retention ratio)1+g=1+ 5-7return on equityR O EROE [7]5-7g=5-85-6Pagemaster 2,000,000 40 ROE0.16 5-8 5-8 5-8 800,0002,000,00040[5] [6] g[7] ROEROAROEROE 91. 5 91 () ROE$800,0000.16=$128,000 $128,000== 0.064 2,000,000 2,128,0002,000,0001.064 5-8 g= ROE g=0.40.16=0.0645.5.2 r r Div P0 =r g rDiv(5-9)r=+gP0 Div Div/P0 g 5 - 9 5-8 5-7 P a g e m a s t e r 1 , 0 0 0 , 0 0 0 1 0 4 0 (payout ratio)6 01 2 , 1 2 8 , 0 0 0 2 , 0 0 0 , 0 0 0 01 . 0 6 4 1 , 2 7 6 , 8 0 0 0 . 6 02 , 1 2 8 , 0 0 0 1 . 2 81,276,800/1,000,000 g=0.064 5-9r$1.280.192 =+ 0.064$10.005.5.3 g g g g 92. 92 r g g 0r1 2 . 81 . 2 8/ 1 0 . 0 0 g1 2r2 4 . 81 . 2 8/ 1 0 . 0 0+ 1 2 r rr r r 0 g=r g r g g5.6 EPS = Div EPS Div EPS Div=r r r 0 NPVGO 1 0EPS+ NPVGO (5-10) r 5 - 1 0 E P S /r 93. 5 935-8 Sarro Shipping 1 0 0100,000 101,000,000/100,0001,000,000210,0002.1 2110 Sarro EPS $10+ = $100r 0.1 1 $210,000 $1,000,000 += $1,100,000 (5-11)0.1 1 2 5 - 11 1 0 0 $1,100,000= $1,000,000 1.1 NPVGO101,000,000/100,000 EPS/r+NPVGO =$100+$10=$110 1 1 , 2 1 0 , 0 0 0 1 , 0 0 0 , 0 0 0 + 2 1 0 , 0 0 0 1 , 0 0 0 , 0 0 0 S a r r o 2 1 0 , 0 0 0 1 2 . 1 0 1 , 2 1 0 , 0 0 0/ 1 0 0 , 0 0 0 2 1 1210 110121/1.1 r1 0 2 1 1 0 1 0 NPVGO NPVGO (1) [8] (2) Jsnsen70 [9] N P V G O[8] [9] M.C.Jensen,Agency Costs of Free Cash Flows,Corporate Finance and Takeovers,American Econmoic Review(May1986) 94. 94 M c C o n n e l lM u s c a r e l l a [10] 7 0N P V N P V5.6.1 N P V G O N P V G O N P V5-9 Lane Supermarkets 100,000 20 10 18 g= =0.20.10=2 8 0 , 0 0 0 [(10 . 2) 1 0 0 , 0 0 0 ] ,8 1 , 6 0 08 0 , 0 0 0 1 . 0 2 83,232 [ 8 0 , 0 0 0( 1 . 0 2)2] 2 1 0 1 8 0N P V5.6.2 5.6.3 0 [11] [10] J.J.McConnellC.J.Muscarella Corporate Capital Expenditure Decisions and the Market Value of the Firm Journal of Financial Economics 14(1985).[11] 95. 5 95 1 9 5 0 1 9 7 5 1 0 Commonwealth Edison D e t r o i tEdison Philadelphia Electric 905.7 NPVGOSarro Shipping NPVGO 5-10C u m b e r l a n d 1 0 4 01 6 2 0 Sarro Shipping NPVGO 5.7.1 0 . 4 01 0= 4 0 . 6 010 . 4 00.120.600.20 Div$4 == $100r g 0.16 0.125.7.2 NPVGO NPVGO C u m b e r l a n d Sarro NPVGO1 2 3 23 (1) 1 0 6 0 . 61 0 6 1 . 2 6 0 . 2 0 1 $1.20 $6 + = $1.50 (5-12)0.16 96. 96 1 . 2 6 0 . 1 61 . 5 1 21 . 5 11 0(2) 12 1 2 26.7261.12 37.526 461.122 2 2 0 26.72 1.3446.720.20 NPV2 NPV $1.344$6.72 += $1.68 (5-13)0.161.68 22NPV2 NPV 0 3 37.526 4 3 1.505 3$7.526 40.20 NPV3 NPV: $1.5053$ 7 . 5 2 6 4 += $1.882(5-14)0.165-12 5-135-14 NPV0 $1.50 $1.68 $1.882++ + (5-15) 1.16 (1.16)2 (1.16) 3 1 2 5 - 1 2 5 - 1 35-14 12 5-15 $1.50 $1.50 1.12 $150 (1.12)2+ + + ... 1.16(1.16)2(1.16)31.50NPVGO = $= $37.50 0.16 0.12 1 . 5 0 1 0NPVGO 3 7 . 5 0 37.50NPV(3) 10 Div $10== $62.50r 0.165.7.3 5 - 1 0 $100=$62.50+$37.50 97. 5 97 5.8 EPS= + NPVGO r EPS1 NPVGO = + EPSrEPS P/E 1 1 1 6 8 1 P / E 1 6 8 P / E P / E P/E 60 20070 10IBM P/E 40100 2 5 [12] 5 - 2 P / E P / E P / E r P / E P / E AB 1 A B A A E P S A P / E B P/E F I F O L I F O [12] P/E 98. 98 FIFO LIFO F I F O LIFO FIFO )5-2 P/E() 1994 199519961997 2424 2821 101 116 8644 3534 2431 1816 1518 2927 2025 4520 2625 1815 1722 5214 1117 2936 2522 Abstracted fromThe Global 1000,Business Week, July 11,1994, July 10,1995, July 8, 1996,and July 7, 1997. CDC LIFO 2D FIFO 318C 918/2D 618/3 P/E P/E1 2 35.9 5-3 5-3 ( G e n E l e c ) 5 2 52 74 5 8 GE1.04 1 / 41/4264 General Cigar General Cigar 1 . 0 4 6 9 7 8 1 . 0 4 / 6 9 7 8 = 1 . 5 P E 1 / 4 4 P / E 3 0 3 03 , 4 6 4 , 2 0 07 6 9 8 1 3 / 1 61 69 16 69 7 8 99. 5 995-3 52 () (PE) / 1 3 7 8 81631 3 38 16 161651516165 77 138 16 8161315 3 1616 16535518816 16 87 18 85.10 1. FPV = (1+ r)T CPV = r 2. 3. 4. (1) (2) (3) 5. 4(2)4(3)g= 6. EPS= NPVGO r 7. 8. (1) (2) (3) 100. 100 Bodie, Z; A. Kane; and A. Marcus. Investments.3rd ed. Burr Ridge, III.:Irwin/McGraw-Hill, 1993. Sharpe, W. F.; G. J. Alexanderl and Jeffrey Bailey. Investments. 5th ed. Englewood Cliffs, N.J.: Prentive Hall, 1995. 1. 2. 3. 4. 5. General Data 6. General House 7. General Host 8. Mcicrohard$1,000 20 8 Microhard a. 8 b. 10 c. 6 9. (Vanguard) 1,0005 60 3 0 6 1,000 a. 5 b. a 6 c. 5 40 b 10. World Wide 3 8 12 11 . X Y Z 5 0 2 8 12.Whizzkids 18 1 5 6 Whizzkid 1.15 12 13. Calamity 10 5 14 101. 5 1015A A B 1 , 0 0 0 r18 r21 00 1 1 2 2A8B10 AB$1,000 PV A = $925.93 = 1.08$1,000 PV B = $826.45 =(1.10)2 P V $1,000PV A = $925.93 = r1 = 8% (1+ r1 )$1,000PV B = $826.45 = r2 = 10% (1+ r2 )25-11 8(r 1)1 0(r 2 ) 5 C1C201122810 $50$1,050PV = + = $914.06 5A-1) 1 + 0.08 (1+ 1.10)2 y $50 $1,050 $914.06 = +5A-2 1+ y (1+ y )2 102. 102 () 5A-2y9.95 yy[13] 5 A - 1 A - 2 5 A - 1 5 5 A - 2 5 A - 1 5 A - 2 [14] 12 1,036.73 $120 $1,120 $1,036.73 = + r = 9.89% 1+ r (1+ r)2 5 A - 1 5 A - 1 r3>r2>r 15A-1630100010:01 ()/ 5A-1 5A.1 5 A - 1 8 1 0 1 11.102 [13] y [14] r 1r2r 1r2 103. 5 103 [15]$11.102=$11.081.120 4 A-3 5 A - 3 1 0 8 1 2 . 0 4 1 2 . 0 4 8 12.04 5A-2 r1r2 f2(1+ r2 ) = (1+ r1 ) (1+ f2 )25A-4f2(1+ r2 ) 2 f2 =1 5A-5 1 + r10112 2 5A-2 10% 1.218% 12.04$18$1.0812.04$11.081.120 4=$1.21 0 5-12 7 12f2 5A-5 (0.12) 2f2 = 1 = 17.23%1.07 12 7 1 7 . 2 3 0 0 (1+ rn )n fn = 1 5A-6(1+ rn1)n 1 fn nrn n rn-1 n-1 (1.10)2[15] 12.04% 1 1.08 104. 104 5-13 () 1 5 2 6 3 7 4 6 (1.06)2 f2 = 1 = 7.01% 1.05(1.07) 3 f2 = 1 = 9.03%(1.06)2(1.06) 4 f2 = 1 = 3.06%(1.07)3 1 2 1.123 6 5 7 . 0 1 1 1 . 2 2 5 6 9 . 0 3 1 1.262 5 7 3.06 0 0 5 A 5A-5 A-6 5 5A-2 5A 1,000 1 , 0 0 0 [16] 810 1 , 0 8 0 1 , 2 1 0 1 , 0 0 0 $1,080 $1,000 = 1.08$1,210 $1,000 =(1.10)2 AB[16] 105. 5 1050 1 2 1 2A $1,0008 $1,080 B $1,000 10$1,210 012 12 2 0 01 2 0 1 A1 1 , 0 8 0 B 1 12 6 2 1 1 , 0 0 0 2 1 , 0 6 0 BB B21,210 1 $1,210 $1,141.51 = (5A-7)1.06 B1 26 1 6 7 1 1 , 0 0 02 1,0701,0001.07 B1 $1,120 5A-8$1,130.84 =1.07 1671411,00021,1401,0001.14B1 $1,210 $1,061,40 =1.14 5 A - 1 B 1 2 1 0 1 B 1 1 1 B [17] $1,210$1,210[17] 5A-9Jensen 1+1+2 106. 106 1B$1,210 5A-91+2 5A-1 2 B11B 2 () $1,210 $1,141.51 = 61.06 $1,120 $1,130.84 = 71.07 $1,210 $1,061,40 = 141.14 B 5A-9 1 05A.2 B 0 I.1 1 $1,080=$1,0001.08 5A-10 II.2 1$1,000(1.10)25A-111+2 A.11$1,0001.081,120 45A-121+2 12.042 f2=12.04 III 5A-10 5A-12 12.04=25A-13 (1) (2) 5A.3 5 A - 1 3 [18] [18] 5A-13 107. 5 107 f2 2 5A-13 12.04 f2=2 5A-14 5A-14 2 2 2 25A.4 5A-14 5A-14 1 .1 .2 1 r1 f 2 2 f2>2 (5A-15) 2 2 2 5A-15 1 2 2 2 .2 .1 1 2 2 0 2 0 ( ) f210 rNPV>0 IRR0 IRR>r NPV0 NPVNPVANPVA>NPVB(%) A B 6-6 (2) :0 1 23 () @0 @10 @15B~A0 $9,000 0$11,00010.55 $2,000 $83$593 10.55 10.55 0 10.55 BA A[13](3) 01 0 1 5 B A ( K a u f o l d ) B A 1 ( K a u f o l d ) [13] 10.55% 10.55% 0 0 123. 6 1236.6.4 6.6.5 (1) (2) 06.7 (profitability index) (PI) =6-5 (Hiram Finnegan) 12 12 / / C0C1 C2NPV@12/1 2070 10 70.53.5350.52 1015 40 45.34.5335.31$70$10$70.5 = + (6-6)1.12 (1.12)2 6-6$70.5 3.53 = $20 124. 124 (1) PI1PI PI>1 PI 0 (5) 1 1 ( e fficient set) (efficient frontier) 191. 192 10-3 AB=0.163 9 10-4 1 0 - 4 1 1 [5] 0.163 91 0 - 3 1 0 - 4 1 0 - 4 () =1 =0.163 9=0 =0.5 =1 () 10-4 1 0 - 5 0.173 0.222 8 0 2 0 1 0 - 5 [5] 192. 10 193 2 5 ()0.2 0.18 10010 0.16 20803040 0.14 50 60 0.1270 8050 0.1050 0.08 100 0.06 ()10-5 -10.5 1 0 - 6 1 0 0 1 0 - 61 4 0 2 8 0 3 8 0 8 0 [6] 1 0 - 6 M VX 1 0 - 6 M VX R WW R WR W [6] 193. 194 () X RMV()10-6 1 0 - 6 1 0 - 3 1 0 - 3 M V 1 0 - 6 M VX 1 0 - 6 1 0 - 3 10-6 1 0 0 500 100 5,000 50 [7] 10-4 N1N 1N NN = N 2 23 X 2 X 3 Cov( R2 , R3 ) X 2X 3 2 3 1,000 100 2 X2 = 10 Cov(R2 , R3)2 3 C o v (R2 , R3)= Cov(R3 , R2) 23 3 [7] Harry MarkowitzNew YorkJohn Wiley & Sons1959 1990 194. 10 1952 X 2 X 3 Cov( R2 , R3 ) = X 3 X 2 Cov( R3 , R 2 ) 2 3 1 0 - 4 2 1 X12 12 12 110-4 123 ...N 12 2X1 X 2Cov( R1 ,R2)X1 X 3Cov( R1 ,R )X 1 X N Cov(R1 , R )N X1 1 3 2 2 2 X2 X1Cov( R2 , R)1X22X2 X3 Cov( R2 ,R 3)X2 X N Cov(R2 ,R) N22 3 X3 X1Cov( R3 , R1) X3 X2 Cov( R3 ,R2)X3 3X3 XN Cov( R3 ,R) N...... 2 2 X N X1 Cov( RN , RX N X 2 Cov(R N , R) X N X 3Cov( RN , R 3)XN1) 2 N N 10-5 100 1009,900 10-5 1 110 2 422 3 936 10100 10 90 10010,000100 9,900.. . . . . . . . . . . NN2NN 2 N10.6 10-4 (1) Var Var =2 i 195. 196 (2) 10-4 Cov Cov = Cov( Ri , R j ) Cov < Var (3) N 1 / N Xi = 1 / N1 0 - 6 1 0 - 4 1 0 - 6 N N(N1 ) 10-6 = N (1/ N 2 )Var + N ( N 1) (1/ N 2 )Cov = (1/ N )Var + [(N N ) /N ]Cov 2 2 (10-10) = (1/ N )Var + [1 (1/ N )]Cov( 1 0 - 1 0 ) [8] ( N ) = Cov (11-11) N ( 1 ) ( 1 /N) (2) [1(1/N )]1 10-6 1 23... N12(1/ N )Var2 (1/ N )Cov 2 (1/ N )Cov2(1/ N )Cov22 222 (1/ N )Cov(1/ N )Var (1/ N )Cov (1/ N )Cov3 2(1/ N )Cov2 (1/ N )Cov2 (1/ N )Var2(1/ N )Cov... ...2 22 2N (1/ N )Cov (1/ N )Cov(1/ N )Cov (1/ N )Var ( 1 0 - 11 ) Cov 1 , 0 0 0 1,000 2,000 1,000[8] 10-10 /N[ 1 1/N] = 11 196. 10 197 1 , 0 0 0 1 5 0 1,000 1,000 1 0 - 7 Cov Cov 30 [9] VarCar 10-7 (1) (2) (3) Cov Var Cov Var = Cov + Var Cov ( S y s t e m a t i cr i s k ) (market risk)( diversifiable risk) (unsystematic risk)(unique risk)[9] Meir Statman, How Many Stocks Make a Diversified Portfolio? Journal of Financial and Quantitative Analysis(September 1987). 197. 198 (risk averse) 5 , 0 0 0 5 05 0 7 03 010.7 10-6 10-3 ( M e r v i l l e ) () 14 10 0.200 1 , 0 0 0 3 5 0 6 5 0 (10-12)= (0.350.14)+(0.650.10 )= 11.4 198. 10 199 () (10-3) (10-4) = X22 +2XX + X2X 2 = X22 = (0.35) 2(0.20)2 = 0.004 9 (10-13) = X= (0.35) (0.20) = 0.07(10-14) 1 0 - 8 3 5 6 5 2 0 0 1 , 0 0 0 1,200 = 1.200.14 +(0.20.10 )= 14.8 2 0 1 , 0 0 0 1 2 0 1 4 . 8 1 4 1 0 10 = X= (0.2)(1.2) = 0.24 0 . 2 4 0.2 10-8 [10] 1 0 - 8 1 0 - 9 1 0 - 9 Q Q3 0 ( AT&T), 45 ( G M )2 5 ( I B M ) (Q) (RF) RFQ I I 17 0 7 0 3 0 Q 1 0 0 1 7 0 [10] 199. 200 3 0 Q 7 0 9( 3 03 0) AT & T1 3 . 5( 4 53 0) G M7 . 5 ( 2 5 30)IBMI265 ()Q 35 ()120 20 RF=10 3575 () 10-8 () II(CARM)YAQ1 RFX35RF40RF 65Q140Q 70RF 30Q()10-9 Q30AT&T45GM25IBM 3 Q 1 0 0 4 0 1 4 0 Q 4 2 ( 3 01 4 0) AT & T6 3( 4 51 4 0) G M3 5( 2 51 4 0) IBM 265 ()Q35 200. 10 201 Q 12AT&T $30 $9$42GM 45 13.5063IBM257.5035070.0040 $100 $100$100 I I I I R FA A I I A RF AA A A I I I II I II II I I (Capital Market Line) RFA 4 A A 5 A1 0 - 9 A ( X AY) A (separation principle) (1) 1 0 - 9 X AY A RF X AY A (2) (A) RFA A I I A 10.8 10.8.1 201. 202 (homogeneous expectations) 1 0 - 9 X AY A A A A 4 (A)5 A (market portfolio) 50010.8.2 ( )10-4 (Jelco) () ()I 1525II 1515III 5 5IV 5 15 155 202. 10 203 () (%) 15 20% = 25%1/2 + 15%1/2 5 10% =5%1/2 + (15%1/2) 20[15(5)] 3 0 [ 2 0(1 0) ] 1.530/20 () (20, 15)1.5 ()(10, 5)10-10 1 0 - 1 0 4 2 2 ( c h a r a c t e r i s t i c line)(Characteristic Line of the Security) 1 . 5 1.5 (beta) 1 0 - 1 0 1 . 5 1 . 5 1 203. 204 10-7 (Bank of America) 1.55 (Borland International) 2.35 (TravelersInc.)1.65 (Du Pont) 1.00-(Kimberly-Clark Corp.) 0.90(Microsoft) 1.05 (Green Mountain Power) 0.55 (Homestake Mining) 0.20(Oracle, Inc.)0.49 : 5001 0 - 7 5 0 0 1 . 6 5 1 1.65 0.55 1 0 . 5 5 10.8.3 Cov( Ri , R M ) (10-15) i = 2 (R M ) Cov(RiRm) i2(RM) 1 NXi =1 i i =1 (i=1,2,3,...N) (10-16)Xi ( 1 0 - 1 6 ) 1 1 110.8.4 204. 10 205(1) ( )(2) ( )10.9 10.9.1 RM = RF+ RF 9 - 2I b b o t s o nS i n q u e f i e l d 1 9 2 61 9 9 7 1 3 . 0 3 . 8 9 . 2( 1 3 . 03 . 8)4.0 13.2 13.2 = 4.0 + 9.210.9.2 10-11 [11] [11] (John Lintner) F. (William F. Sharpe) 205. 206 Ri = RF + (RM RF )(10-17) = + ()Ri SML 10-11 (capital-asset-pricing modelC A P M ) ( RM RF ) (1) =0 Ri = RF (2) =1 Ri = RM 1 ( 1 0 - 1 7 ) 1 0 - 11 = 1 R F RM (security market lineSML) RF [R M RF ] 7 2 9 . 2 10-5 ( A a r d v a r k ) 1 . 5 ( z e b r a ) 0 . 7 7 9 . 2 = 7 + 1.5 9.2 = 20.80 (10-18) = 7 + 0.7 9.2 = 13.44 (CAPM) 206. 10 207 (1) ( 1 0 - 1 7 )1 0 - 11 1 0 - 11 S 0 . 8 2 0 8 0 1 S S S T 1 1 T T S T (2) (CAPM) 10-11 (10-17) 0.520.8 + 0.5 13.44 = 17.12(10-19) 0.51.5 + 0.50.7 = 1.1 , 17.12, 7 + 1.1 9.2 = 17.12 (10-20) ( 1 0 - 1 9 ) ( 1 0 - 2 0 ) (3) 10-11 (SML)10-9 (CML) A A 1 0 - 9 1 0 - 9 1 0 - 11 1 0 - 11 1 0 - 9 10-11 (SML) 10-9 (CML) 207. 208 10.10 1. AB = Rp = X A RA + X B RB + 2X A X B+ XB 2 22 2 = Var()= X A AABB2. X X3. 22 N NN4. 1 0 - 9 A5. 6. ( C A P M )Ri = RF + (RM RF ) (CAPM) (CML) () (SML) ( ) () ( ) 1. L i n t n e rJ. Security PricesRisk and Maximal Gains from Diversification.Journal ofFinance(December 1965). S h a r p eW. F.Capital Asset PricesA Theory of Market Equilibrium under Conditions ofRisk. Journal of Finance(September 1964).(William F. Sharpe won the Nobel Prize in Economicsin 1990 for his development of CAPM.) 208. 10 209 2. : M a r k o w i t z H . Travels along the Efficient Frontier. Dow Jones AssetManagement(May/June 1977).1. 2. 3. 4. 5. 6. 7. 8. 9. 10. 11. (SML)12. (CAPM)13. (CML) (SML)14. Q- () Q- () 10 4.5 204.4 50 12.0 20 20.7(a) Q- ?(b) Q- ?15. 120 (Altlas) (Babcock)50 2016. FG F 1 2 9 G 18 25(a) 30F70G(b) FG 0.217. 1 1 1 1 0.100.25 0.25 0.10 2 0.400.20 0.15 0.15 3 0.400.15 0.20 0.20 4 0.100.10 0.10 0.25(a) ?(b) ?(c) 50 1,50 2, 209. 210 (d) 5 0 1 , 5 0 3 , ?(e) 5 0 2 , 5 0 3 , (f) (a)(c)(d)(e) ?18. AB A 15 40 1 0 6 0 B 3 5 5 0 5 50(a) (b) 5 0 A5 0 B 19. 0.001 A 0.05 0.10B 0.10 0.20(a) (: X A XB 1)(b) 0.02(c) 0.02 ?20. 7.5 3.7 (TriStar Textile) 14.221. ()(Murck Pharmacy)1.4 25(Pizer Drug)0.7 14 (CAPM) ,CAPM 22. (Durham) =0.043 26 =0.063 5 =9.4 =4.9 (a) (SML)(b) ?23. 3 0 , 0 0 0 4 ( ) 4 15 A $5,0000.75B 10,0001.10C8,0001.36D7,0001.88(a) CAPM 210. 10 211(b) 24. 3 RiiiM iA0.130.12 (?) 0.90B0.16(?)0.401.10C0.250.24 0.75(?) 0.150.10 (?) (?)0.05(?)(?) (?)CAPM(a)(b) 3(c)25. AB A 50 A 4 0 A 5 5 A 60 0.10.80.1ACAPM, :SD(R M ) = 0.1SD(B ) = 0.12 R RB = 0.09Corr( RA , RM ) = 0 . 8 C o rR( , RM ) = 0 . 2 rBC o r R( , RB ) = 0.6 rA(a) (b) 70A30B(c) (b)10A ( C A P M ) C A P M 1 2 CAPM CAPM C A P M 2 5 C A P M 3 0 ~ 6 0 [12] C A P M C A P M[13] CAPM 1 0 C A P M C A P M 1 9 7 3 ( F a m a ) ( J a m e s [12] (1) Fischer. Black, Michael C. Jensen, and Myron S. Scholes,The Capital AssetPricing Model: Some Empirical Tests, M. Jensen Studies in the Theory of Capital Markets (New York,Praeger, 1972) (2) Eugene F. Fama and James MacBeth,Risk, Return and Equilibrium: Some EmpiricalTests, Journal of Political Economy 8 (1973), pp.607-36. [13] CAPM 211. 212 M a c B e t h ) C A P M ( F a m a ) ( F r e n c h ) [14] C A P M 1 9 4 11 9 9 0 1 9 6 31 9 9 0 ( P / E ) ( M / B ) CAPM CAPM (P/E) (M/B) C A P M 5 0 C A P M (P/E) (M/B) [15], ( P / E ) ( M / B ) 2 (P/E)(M/B) 1 9 2 7 [16] [14] (1) Eugene F. Fama and Kenneth R. French,The Cross-Section of Expected Stock Returns, Journal of Finance, 47(1992), pp.427-66. (2) Eugen F. Fama and Kenneth R. French,Common Risk Factors in the Returns on Stocks and Bonds, Journal of Financial Economics, 17(1993), pp.3-56.[15] (1) William J. Breen and Robert A. Koraczyk, On Selection Biases in Book-to Market Based Tests of Asset Pricing Models, ()Northwestern University, Nov., 1993. (2) S.P. Kothari, Jay Shanken, and Richard G. Sloan, Another Look at the Cross-Section of Expected Stock Returns,Journal of Finance (March 1995).[16] KothariShanken and Sloan 212. 11 C A P M 6 0 [1] Arbitrage Pricing Theory 70 [2] [3] 11.1 Flyers [1] Jack TreynorToward a Theory of the Market Value of Risky Assets William F. S h a r p e Capital Asset PricesA Theory of Market Equilibrium under Conditions of Risk Journal of F i n a n c eSeptember 1964 John LintnerThe Valuation of Risky Investments in Stock Portfolios and Capital BudgetsReview of Economics and StatisticsFebruary 1965. [2] Stephen A. RossThe Arbitrage Theory of Capital Asset Pricing Journal of Economic TheoryDecember 1976. [3] CAPM APT 213. 214 1 2 GNP 3 4 5 6 7 R = R +U RR U G N P G N P R U G N P0 . 5 G N P G N P R G N P 0 . 5 1 1 G N P 1 . 5 1 1 = + R U 1 2 2 2 2 2 214. 11 21511.2 G N P1 2 G N P R = R +U= R +m+ m, m F X e r o x X Corr F X= 011.3 215. 216 (beta coeff i c i e n t ) C A P M G N P GNP R = R +U=R +m+e=R+I FI + GNP + FGNP + r Fr + e I GNP r FI FGNP Fr 5G N P 2 I =2 GNP =1r = 1.8 216. 11 217 + 1 1 1 - 1 1 1 + 2 1 2 - 2 1 2 7GNP1 2 4 5 = 5 = 5GNP = 2 = 0 FI = = - = 75 = 2 FGNP = GNP = GNP - GNP = 1-2 =-1 Fr = = - = -2-0 =-2 m = = I F I+ G N P F G N P + rF r= (22) + [1(1)] + [(-1.8)(2)]= 6.6 m+ = 6.6 + 5 = 11.6 R = 4R= R +m+ = 4 + 6.6 + 5 = 15.6 (factor model) F K R= R + F +1 1 2 F2 + 3 F3 + +K FK + G N P 217. 218 5 0 0 R= R + (R 500- R 500)+ 5 0 0 5 0 0 (market model) R = R + ( RM R M ) + RMR M R= +R M+ R - RM11.4 N NiRi = Ri + iF + i 11-1iiFFGNP 500- R 500R i i i i ii Ri = Ri + i i i F i i F F F i i F F F11 - 1 i> 0 R i- Ri F 11 - 1 = 0 i> 0 F F= 0 Y 218. 11 219i ( Ri Ri )(%) =1.5 i i=1.0 i =0.5F(%)11-1 Xii 100 2 0 XG M= 2 0 X i Xi 1001X1 + X2 + X3 + + XN = 1 RP = X1 R1 + X2 R2 + X3 R3 + + XN RN11-2 11 - 1 F i 11-1 11-2RP = X1 R1 +1 F+ 1 + X2 R2 +2F+ 2+ X3 R3 +3F + i+ (1) (2) (3)+ XN RN + N F+ N11-3N (1) Ri (2) F i F (3) i 11-3RP = + F + 11-3 RP =X1 R1 + X2 R2 + X3 R3 +XN RN +X1 1 + X2 2 + X3 3 ++ XN NF+X11 + X2 2 + X3 3 ++ XN N11-4 219. 220 F 11 - 4 F F F i 11 - 4 11 - 4 1 , 0 0 0 1 2 1 , 0 0 0 5 0 1,000 11 - 4F 11 - 4 F11-1 3(1) 1 0 11 - 4 11-4 10(2) 1 11 - 4 1 1F=F(3) 1/N 220. 11 221 1 23 (11-4) (11-4)(11-4) (11-5) N 11 - 4[4] RP = 10 + F11-6 11-2 F F 11 - 2 2 p N 11-2 11.5 11.5.1 [5] [4] Va r [1 /N 1 +1 /N 2 +1 /N 3 ++1 /N ] = Va r [1 /N 2 +1 /N 2+1 /N 2 ++1 /N 2 2]= 1 /N 2N2 N 222 2 N /N 12 [5] Market Beta Accounting Beta BeaverKettler and Scholes1970 ildersee1975 B 221. 222 C A P M 11 - 3 S M L PCAL R F ABC A 2P 1 5 0 A 5 0 1P A 35 10 50A50 22.5 [(10 + 35) / 2] P P 5 0A 5 0 P P 5 0A 50 C L CL P P CAL B P A B ()i11-3 11 - 3 222. 11 223 11 - 3 RFP 0P 1 R FP RP R = RF + ( R p RF )11-7 R 11.5.2 C A P M A P T 500 34 ()11-4 11 - 4 111 - 411 - 3 11 - 3 R = RF + ( RM RF ) 11-8 RM 11-6 R 11.6 A P T 11.6.1 CAPM CAPM 223. 224 APT A P T A P T12 CAPM11.6.2 A P T C A P M A P TR =RF+ R1 -RF 1+ R2 -RF 2+ R3 -RF 3++ RK -RF K 11-9 i i i= 123K) i G N P 1 G N P Ri i 1 0 Ri -RF [6] 11 - 7 A P T I P E I U I U R P U B R [ 7 ] 1 9 5 81 9 8 4 RS RS = 0.004 1 + 0.013 6IP-0.000 1 EI -0.000 6 UI +0.007 2 URP-0.005 2 UBR IP= 1 . 1 E I = 2 . 0 UI= 3 . 0 URP = 0 . 1UBR=1.6 RS = 0.004 1 + 0.013 61.1-0.000 12.0-0.000 63.0 + 0.007 20.10.005 21.6= 0.009 5 = 0.95 0 . 9 5 [1+0.9512-1] = 0.12 = 12 11 - 7C A P MA P T[6] i Ri RF [7] :N. Chen, R. Roll, and S. Ross, Economic Forces and the Stock Market, Journal of Business (July 1986). 224. 11 225 C A P M 5 0 0 Ibbotson S i n q u e f i e l d 500 9.2 CAPM [8]11.7 11.7.1 C A P MA P T C A P MA P T (empirical methods) s i z eP / E M / B P / E M / BRi = RF + kP/E(P/E)i+kM/B(M/B)i+ksize(size)P Ri iki 11-7 11-7 ki 11-7 P / EM / B 4 0 S AT A r i z o n a [8] Richard RollA Critique of the Asset Pricing Theorys Tests Journal of Financial EconomicsMarch 1977 225. 226 11.7.2 (growth stock portfolio)(value portfolio) 5 0 0 5 0 0( b e n c h m a r k ) 5 0 0 5 0 0 2 5 2 5 2 5 2 5 25 25 M / B11.8 C A P M APT 1. A P T 226. 11 227R=R + IFI + GNP F GNP + r Fr+ IG N Pr F IF GNPF r 2. R = R + F+3. 4. CAPM CAPM APT5. P / E M / V 1. APTRoss, S. A. ReturnRisk and Arbitrage.In Friend and Bicksler, eds., Risk and Return inFinance. New York: Heath Lexington, 1974.Ross. S. A. The Arbitrage Theory of Asset Pricing. Journal of Economic Theory(December 1976).2. APTBower, D. H.; R. S. Bower; and D. Logue. A Primer on Arbitrage Pricing Theory. MidlandCorporate Finance Journal (Fall 1984).R o l lR., and S. Ross. The Arbitrage Pricing Theory Approach to Strategic PortfolioPlanning. Financial Analysts Journal (May/June 1984).3. Roll, R. Style Return Differentials: Illusions, Risk Premia, or Investment Opportunities. InFabozzi (ed.), Handbook of Equity Style Management. New Hope, PA: Frank Fabozzi Associates,1995.1. 2. 3. 4. idiosyncratic risk5. GNP6. k- 227. 228 7. 8. 9. 10. CAPM 11. 12. 13. % A 10.5 1.20 B 13.0 0.98 C 15.7 1.37 14.2 1.00 1 230 A45 B25 C 3 15ab14. F F 1 0 1 0 i F R1i = 0.10 + 1.5F+ 1i 1i i i FR2j = 0.10 + 0.5 F + 2j 2j j ij 1i 2j 20 1 ij 0 ij 0 2 ij 0 . 9 ij 0 . 9 3 ij 0 ij 0 . 5 4 15. 228. 11 229Rit = ERit+ i1 F1t+ i2F2t Riti t F1tF2t 0 0 4 ERi t() 12 1 20 1.01.5 2 20 0.52.0 3 10 1.00.5 4 10 1.50.75 4 1 1 2 F1t 0 2 2 1 3 4 F1t 2 3 5 1 = 0 2 = 0 229. 12 N P V 1 1 1 11 1 1 1 . 11 . 2 , 0 . 8 00 . 9 0N P V N P V C t NPV T NPV = C0 + Ct t =1 (1+ r) t NPVTNPV = C0 + Ctt =1(1+ r) t N P V C A P MA P T SMLrs rs (cost of equity) 12.1 12-1 C A P M12-1 R = RF + (RM RF ) 230. 12 231 RF ( RM RF ) [1] 12-1 1 RF2( RM RF )312-1 QQuatram Company 1.3100 Q Q 7 9.2 Q rsrs = 7% + (9.2% 1.3) = 7% + 11.96% = 18.96% 1 2 18.9612-2 Alpha Air Freight 1.21 9 . 2 5 1 2 - 1S M L5 + 1.219.2=16.13 1 . 2 1 [1] k-APT11 231. 232 () ( ) 16.13 NPVA1.21 $140 40$20.6 B1.21120 203.3 C1.21110 105.3 100 1 6 . 1 3 ABN P V C NPV AB12-2 [2] 40A (NPV=$20.6)SML 20B(NPV=$3.3) 16.3 10 C(NPV=$5.3)5( )1.2112-2 ()[2] SMLDiv1Div2Div P P = ++ + N N + (a)rs (1+ rs ) (1+ r ) 2(1+ rs )s Div1 Div1 ga P = (b)(b) rs =+ g c rs gP (c)rs Div1/P DiV1/Pg SML SML 232. 12 23312.2 , , , i,10 : i = Cov( Ri , RM ) =i,M 2 Var( RM ) M , 12-3 General Tool Company 5 0 0 RG ()500 RM () 11040 2330 3 2010 4 1520 (1) 0.10 + 0.03 + 0.20 + 0.15= 0.07(7%) 4 12-1 1234567 GTGT GT 10.100.170.400.30 0.0510.090 2 0.030.040.300.20 0.0080.040 3 0.20 0.13 0.10 0.20 0.0260.040 4 0.15 0.08 0.20 0.30 0.0240.090=0.07=0.100.1090.260 0.40 0.30 + 0.10 + 0.20= 0.10(10%) 4 (2) 12-135 (3) 1 2 - 16 (4) 1 2 - 17 9 (5) 67 233. 234 ()0.051 + 0.008 + 0.026 + 0.024 = 0.109 :0.090 + 0.040 + 0.040 + 0.090 = 0.260 (6) 6 7 0.109 0.419 = 0.260 Cov( Rit , RMt )t=12T Var(RMt ) 12 3 12.2.1 1 2 - 3 5 0 0 1 0 12-1 ) 12-3 10 1 12-3 11 12.312.2.2 1 2 - 4 45 5 0 0 234. 12 235 [3] 1 2 - 4 2 0Coca-Cola versusS&P500 0.88Philip MorrisS&P5001.69 Procter & GambleS&P5001.01 Sears, RoebuckS&P5001.2912-3 45 5005 1976~19801981~1985 GES&P5001.10 GES&P500 1.04 1986~1990 1991~1995GES&P500 1.14GES&P5001.22 12-4 50045[3] 235. 236 12.2.3 1 2 - 2 1.40 Cerner 1 . 4 4 1 . 4 0 Adobe Systems Inc.6 9.26 + 2.47 9.2 = 28.726 + 1.409.2 = 18.88 [4]12-2 2.47BMC 0.952.35 1.44 1.09 1.580.391.52ILT 1.161.050.492.45 1.460.55 2.011.40 [4] 236. 12 23712.3 12.3.1 12-3 Sears12.3.2 ,()12-4 AB A B :$1,000/:$2,000/ :$8/ :$6/ :$10/:$10/ :$2($10$8):$4($10$6) A B B B A B A B B B (operating leverage) [5] 12-5 A A 1 0[5] EBIT EBIT EBITEBIT 237. 238 () B A 2B 4 A 2B 4 1 2 - 6 1 2 - 6 B A B 12-5 A B BB AB 12-6 EBIT B A B B A12.3.3 238. 12 239 1 0 . 8 J e l c o 1 2 . 1 1 2 - 31 2 - 4 (equity beta) (asset beta) + (12-2) + + / + + (12-3) /+ 1< 1+ [6] 12.4 12.4.1 12-5D D RD . D . R o n n e l l e y D D R12-7 [6] 1+(1-TC) 17 239. 240 D D R I B MD E CControl Data SML 12-7 D D R 2 08 012.4.2 1 2 . 1 r B r S rSrB SB r + rS+B S S+B B SS+B BS+B 240. 12 241 rS rB 15 =rB1TC TC S B = r + r ( TC )1(12-4) S + B s S +B B (weighted average cost of capital, WACC) 12-6 4,0 0 0 6,0 0 0 3 0 0 2 0 1 5 1 . 4 1 3 4 SML 9.2 11 rWACC 1 2 - 4rWACC1 r B1TC 2 rS3 (1) 15 9.9([1510.34]) (2) SML rs = R F + (RM R F ) = 11% + 1.41 9.2% = 23.97% (3) 1 0 , 0 0 0 6040 rS2 3 . 9 7 rB1TC9 . 9B4 , 0 0 0 S6 , 0 0 0 B S rWACC = r (1 Tc ) + r B+S BS+B s4060 = 9.9% + 23.97% = 18.34% 100 100 1 2 34 5 () $40,000,000 0.40 15(10.34)=9.93.96 60,000,000 0.60 11+1.419.2=23.9714.38$100,000,0001.00 18.34 241. 242 ()12-7 - 0 . 6 1 5 . 1 5 2 0 34 - - B/S0 . 6 1 0 6 - 6 - = 0.37510 6 +10= 0.625 6 + 10 SS rWACC = rs + rB (1 Tc )S+BS+B= 0.625 20% + 0.375 15.15% 0.66= 16.25% 5 , 0 0 0 6 1,2 0 0 NPV rWACC6 [7]$12 $12NPV = $50 + + ... + (1+ rMACC ) (1+ rWACC )6 = $50 + $12 A06. 1 6 2 5 = $50 + (12 3.66) = $6.07 r WACC N P V12.5 1 2 - 3 (International Paper, IP) 12.5.1 1 2 - 3 0.83 0.82 0.82[7] WACC J.MilesR.Ezzel 980 19WACC 242. 12 243 12-3 0.740.41BC0.97GPH 0.570.83KC0.901.140.85 0.970.82 9 9 . 2 8 RF + (R M RF ) = 8% + 0.82 9.2% = 15.54% 8 8 rB 12.5.2 r WACC rS r B - 32 -68 37 [8]rWACC = S r +B r (1 Tc ) S + B s S + B B= 0.68 15.54% + 0.32 8% (1 37%)= 12.18% 1 2 . 1 8 12.1812.6 1. 2. 3. RF + ( RM RF ) RM [8] Value Line Investment Survey 243. 244 RF CAPM4. 5. 6. 7. rWACC rWACC S M L 1. WACCMiles, J., and R. Ezzel.The Weighted Average Cost of Capital, Perfect Capital Markets and Project Life: A Clarification. Journal of Financial and Quantitative Analysis 15(September 1980).2. Blume, M. On the Assessment of Risk. Journal of Finance (March 1971).Sharpe, W., and G. Cooper. Risk-Return Classes of NYSE Common Stocks 1931-1967. Financial Analysts Journal (March/April 1972).3. Rosenberg, B., and ARudd. The Corporate Uses of Beta. In Issues in Corporate Finance, New York: Stern Stewart Putnam and Macklis, 1983.4. Copeland, T.; T, Koller; and J. Morrin. Valuation: Measuring and Managing the Value of Companies. 2nd ed. New York: McKinsey & Company, Inc., 1994.1. 2. 3. 4. 5. 6. MBC(Mercantile Bank Corporation)12 244. 12 245MBC 0.0090.0230.0510.058 0.001 0.020 0.045 0.0500.0850.0710.0000.012 0.080 0.0750.0200.0500.1250.1200.1100.049 0.100 0.0300.0400.028 1 2 MBC 7. MJ RMRJ Prob(R M , R J)0.160.160.100.160.180.060.160.220.040.180.180.120.180.200.360.180.220.120.200.180.020.200.200.040.200.220.040.200.240.10 (1) RJ (2) RJ (a) (b) (c) (3) RM (4) RM (a) (b) (c) (5) RJRM (6) M J 8. AlliedProducts, Inc. (FAA) G P W S GPWS1,000 U S C GPWS 245. 246 () 4 , 2 0 0 G P W S 1,200 GPWS 1. G P W S 7 0 , 0 0 0 5 0 , 0 0 0 2. G P W S 3 5 , 0 0 0 22,000 G P W S 300 40 Value Line Investment Survey 6 . 2 0S & P 5 0 0 8 . 3 3 6.2- 50 12-4 10.15350 0.150.45250 0.100.30150 0.060.10 50 0.03 1 2 - 4 FA A G P W S 12,500 GPWSFAA G P W S M R C R S 2 0 0 5 GPWS GPWS 451. C A P M Excel L o t u s 1 - 2 - 3 2. 246. 247. 248 1 3 1 4 1 51 6 1 7 1 2 1 8 248. 13 1. 2. 3. 13.1 (1) (2) (3) (4) (1) 100 50 50 100 249. 250 (2) 13-1 (Vermont Electronics Company) V E C 200 5 5 V E C 1 0 V E C VEC 200 NPV $100,000 $100,000 $100,000 $100,000 $2,100,000 NPV = $2,000,000 + ++ + 1.1(1.1)2 (1.1)3 (1.1) 4 (1.1) 5 = 2,000,000 $1,620,921 = $379,079 N P V V E C 3 7 9 , 0 7 9 (3) (Merton Miller) 2 0 [1] [2] [1] Putable Bond [2] M. Miller,Financial Innovation: The Last Twenty Years and the Next, Journal of Financial and QuantitativeAnalysis (December 1986)Peter Tufano19951830Peter Tufano,SecuritiesInnovations: A Historical and Functional Perspective, Journal of Applied Corporate Finance (Winter 1995) 250. 13 251 [3]13.2 (F-stop Camera Corporation) 2F C C F C C F C C F C C FCC FCC F C C F C C F C C F C C FCC FCC FCC FCC FCC (EMH)FCC ( e fficient-market hypothesisE M H ) (1) (2) [3] Peter Tufano199058 : Peter Tufano, Financial Innovation and First- Mover Advantages, Journal of Financial Economics 25 (1990) 251. 252 1 0 0 3 0 0 5 , 0 0 0 [4] 13-2I B M 3 0 IBM 1 3 - 1 3 0 ()13-1 [4] 10 252. 13 25313-113.3 13.3.1 (weak-form eff i c i e n c y )Pt = Pt-1 + + i (13-1)( 1 3 - 1 ) (t1t) (13-1) (random walk) 1 3 - 2 (technical analysis) 1 3 - 3( a )A B 253. 254 1 3 - 3( b ) C (John Magee) D (Robert Davis Edwards) [5] 13-2 a) b) 13-3 13.3.2 ( s e m i s t r o n g -form efficiency) (strong-form efficiency) [5] John Magee and Robert Davis Edwards, Technical Analysis of Stock Tre n d s, 6th ed., Stock Tr e n d s Service ,1992 254. 13 255 1 3 - 4 13-4 255. 256 13.3.3 [6] 1 0 ( S M L ) ( ) [6] B. G. Malkiel, A Random Walk Down Wall Street, 5th college ed. (New York: Norton, 1990). 256. 13 25713.4 13.4.1 (13-1) 10 1 0(serial correlation)1 3 - 1 1 3 - 1 I B M I B M + 11 1 3 - 1 0 13-1 13-1 Boeing Co. 0.037 88 - Bristol-Myers Squibb Co.0.063 58 Chrysler Corp.0.020 34 257. 258 () Coca-Cola Co. 0.040 77 IBM Corporation0.004 27 Philip Morris Companies Inc. 0.074 74 Procter & Gamble Co. 0.029 92 SearsRoebuck & Co.0.046 21 Texaco Inc. 0.005 42 Westinghouse Electric Corp.0.010 581 3 - 5a ) ( 1 3 - 1 ) a ) 13-5b)b) a ) a) b)13-5 a) b) 13.4.2 258. 13 259 (A R) (A R) (R) (Rm) Rm 500 AR = RRm (AR)AR = R(+ Rm) t (tn)(ARt-n) (t1)(ARt-) (t) (ARt) (t+1)(ARt+) (t+n) (ARt+n) t(ARt) t t t t S T Z ( S z e w c z y kTs e t s e k o sand Zantout1997) [7] 1 3 - 6 (C A R) 13-6 t=0CAR (t=0) (t=1) [8] C A R [9][7] Samuel H. Szewczyk, George. P. Tsetsekos, and Zaher Z. Zantout, Do Dividend Omissions Signal FutureEarnings or Past Earnings, Journal of Investing (Spring 1997).[8] t=1t=0CARt=2[9] Barlow1992Eli Barlow, Patterns in Unexpected Earnings as an Explanation for Post-Announcement Drift, The Accounting Review (July 1992). 259. 260 () / 13-6 (CAR) ( O r l a n d o ) ( F l o r i d a ) [10] [11] 1 3 - 7 5 0 0 0( Wilshire 5000) 1 9 7 11 9 9 2 5 0 0 0 13-7 1971~19922215 5000 [10] R. Roll, Orange Juice and Weather, American Economic Review (December 1984).[11] W. B. Johnson, R. P. Magee, N. J. Nagarajan, and H. A. Newman, An Analysis of the Stock Price Reaction to Sudden Executive Deaths: Implications for the Managerial Labor Market, Journal of Accounting and Economics (April 1985). 260. 13 261 1 3 - 7GEFs () 13-7 19711992 5000 (1) 9 - 41 9 2 6 (market capitalizations)9 - 4 5 [12] (Donald Keim) 5 [13] (2) [12] R. E. Banz, The Relationship between Return and Market Value of Common Stocks, Journal of Financial Economics (March 1981). M.R. 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The Accounting Review (July 1996). 264. 13 265 13-9 (IPO) a) (SEO) b) 13-10 IPOSEO ( L o u g h f r a n ) ( R i t t e r ) [25] ( I P O ) 5[25] T. Loughfran and J. R. Ritter, The Timing and Subsequent Performance of New Issue, Journal of Finance (1995). 265. 266 I P O 7 (SEO) 5 S E O 81 3 - 1 0( a ) I P O 1 3 - 1 0( b )S E O ( I k e n b e r r y ) ( L a k o n i s h o k )( Ve r m a e l e n ) [26]13.5.3 ( S c h o l e s ) [27](Keim) (Madhavan) 13-11 [28] ( N Y S E ) ( A M E )() 1.80 3.661.86 n +n 13-11 [26] D. Ikenberry, J. Lakonishok, and T. Vermaelen, Market Underreaction to Open Market Share Repurchases,Journal of Financial Economics (October - November 1995). [27] M. Scholes, The Market for Securities: Substitution versus Price Pressure and the Effects of Information onShare Prices, Journal of Business (April 1972). [28] D. Keim and a. 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C A R 1 ( *) (Delta) (United)(American) 7/12 0.30.5 2/80.9 1.1 10/10.5 0.3 7/130.0 0.2 2/91.0 1.1 10/20.4 0.6 7/160.5 0.7 2/10 0.4 0.2 10/31.1 1.1 7/17 0.50.3 2/11 0.6 0.8 10/60.10.3 7/18*2.2 1.1 2/12*0.3 0.1 10/7*2.20.3 7/19 0.90.7 2/15 1.1 1.2 10/80.5 0.5 7/20 1.01.1 2/16 0.5 0.5 10/9 0.30.2 7/230.7 0.5 2/17 0.3 0.2 10/10 0.3 0.1 7/240.2 0.1 2/18 0.3 0.2 10/13 0.00.1 11. 4C A R a)b) c) d) 12. 1987 269. 270 1 3 - 1 2 1 9 6 9 1 1 9 8 8 1 8 9 1 7 1988 54.3 12.9 1 9 9 1 1 0 (Kenneth R. French) (James M. Poterba) (Journal of Financial E c o n o m i c s) 1988 321 54.3 1 3 - 1 21 9 8 8 1 9 9 3 1 8 : 1 9 : 1 1 3 - 1 2 9 : 1 7 : 1 2 2 : 1 1 9 9 7 4 4 21 / 13-12 1969 1 Yasushi Hamao 270. 14 14.1 (common stock) 14-1 AB(Anheuser Busch)14.1.1 AB 1 B 170,580=70,580 AAB (19961231) 11996 80,00070,580$70,58092,920 692,450$855,95020,840 420,620$435,33014.1.2 1 9 9 6A B 8 0 , 0 0 0 7 0 , 5 8 0 (1) 271. 272 (2) 14.1.3 (capital surplus)14-1100 2 11 (102 1 0 0 = 8 1 0 0 = 8 0 0 2 1 0 0 = 2 0 0A B 9 2 , 9 2 0 A B14.1.4 A B (retained earnings) 1 9 9 6 A B692,450 (book value)14-21906 Western Redwood Corporation 1 1 0 , 0 0 0 1 1 9 9 8 1 0 0 , 0 0 0 1998199811 1 10,000 $10,000 0 100,000$110,000$110,000 ==$11 10 000 1 0 , 0 0 020 19981231 1 20,000 $20,000 190,000 100,000$310,000$310,000 = =$15.5 20 000 272. 14 273() ?(1) 10,000110,000(2) 2010,000=200,000 190,000(3) 14.1.5 1 9 9 6 A B 4 3 5 , 3 5 0 70,580 20,84070,58020,840=49,740435,330 ==8.75 49,740AB New York Stock ExchangeNYSE A B 3 8 4 3 2 / QTobins Q / Q 114.1.6 14-3 S m i t h 2 5 ( M a r c h a l l )7 5 (cumulative voting) 1 4 - 3 2 54 = 1 0 0 7 54 = 3 0 0 300 (straight voting)14-325 75 273. 274 (1) (2) ( p r o x y ) A B (1) (2) (3) (4) 14.1.7 ( d i v i d e n d s ) (1) (2) (3) I R S 7 0 3014.1.8 B 4 0 15 H a r r y L i n d aD e A n g e l o [1] L e a s e ( M c C o n n e l l ) ( M i k k e l s o n )[1] H. DeAngelo and L. DeAngelo, Managerial Ownership of Voting Rights: A Study of Public Corporations withDual Classes of Common Stock, Journal of Financial Economics 14 (1985). 274. 14 275 5 0 [2]14.2 14.2.1 [3](1) (2) (3) 14.2.2 5014.2.3 1 , 0 0 0 [4] 9 0 9 0 0 1 , 0 0 0[2] R. C. Lease, J. J. McConnell, and W. H. Mikkelson, The Market Value of Control in Publicly Tr a d e dCorporations, Journal of Financial Economics (April 1983).[3] [4] 1 0 , 0 0 0 2 5 , 0 0 0 5 , 0 0 0 275. 276 1 , 0 0 0 7 7 0 63 01 23 1 3 514.2.4 1 0 14.2.5 [5] 1 0 5 1 , 0 5 0 51014.2.6 ( s e n i o r i t y )( s u b o r d i n a t e d )14.2.7 14.2.8 (1) (2) [5] 10 276. 14 277(1) (2) (3) 14-4 AB1996: 19961995 5.35.9 $15,550 19972001(5.58.0) 9,500 1999 8.7 25,000 1999 5.1 26,240 2002 6.9 20,000 2003 6.7520,000 2005 6.7520,000 2005 7 10,000 2006 6.7525,000 2009 9 35,000 2015 7.2515,000 2023 7.375 20,000 2025 7 20,000 15,740 ESOP 31,540 3,390 $ 311,970A B1 5 , 5 5 0 A B 2 6 , 2 4 0 / 3 1 , 5 4 0 Employee StockOption PlanESOP14.3 (preferred stock) 14.3.1 100 5 514.3.2 277. 278 (1) (2) 14.3.3 7 0 Citibank 6 100 6(6/100) 7 0 a. b. 7014.3.4 a b a b(1) (2) a(3) 278. 14 279 14.4 8 0 2 0 1 4 - 1 1 9 7 91 9 9 5 (internal financing) 14-1 14-1 Board of Governors of the Federal Reserve System, Flow of Funds Accounts. 279. 280 14-1 1979~1995 () 1979 1980 1981 1982 1983 19841985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 8480 66866564 7872 67707176 8772847680 16 20 34143536 2228 3330292413 28162420100 100 100100 100 100100100100100 100 100 100100 100 100 100 7965 66807471 8377 79807977 9786847267 2135 34202629 1723 21202123 3 14162833 1831 37182045 3641 37464536 -1 912344234-3 2 6 -16-19-18-16-26 -24 -13 45 4 -6 -9 Board of Governors of the Federal Reserve System, Flow of funds Accounts. 14-1 (1) 2 0~ 9 0 (2) 199567 33100 6 7 4 2 9 33 14-2 (3) 80 (4) 1 4 - 2 14-2 19901994() 82.8 49.3 68.365.5 58.3 54.017.250.8 31.734.5 41.7 46.0 17.4 35.97.431.4 37.56.9 3.7 9.76.1 3.8 10.6 3.55.1 16.910.3 12.4 OECD 1995 edition, Financial Statements of Nonfinancial Enterprises. Gordon Donaldson1 9 9 6 [6] (1) NPV (2) (pecking order)[6] G. G. Donaldson, Corporate Debt Capacity: A Study of Corporate Debt Policy and Determination of CorporateDebt Capacity (Boston: Harvard Graduate School of Business Administration, 1961). S. C. Myers, The Capital Structure Puzzle, Journal of Finance (July 1984). 280. 14 281 (100%) (100%) 80%() 67% (( )) 20% 33%33%14-2 199514.5 1 9 8 41 9 9 0 1 9 9 3 8 0 9 0 1 4 - 3 8 0 1 4 - 4 1 9 8 01 9 9 4 3 5 0 6 0 0 281. 282 14-3 19791994OECD data from the 1995 edition of Financial Statements of Nonfinancial Enterprises. 14-4 1980~1994 () 282. 14 283 5014.6 1. 2. 3. 4. 2 5 5. 8 0 K e s t e r, W. C. Capital and Ownership Structure: A Comparison of the United States and Japanese Manufacturing Corporations. Financial Management (Spring 1986). Taggart, R.Secular Patterns in the Financing of U.S. Corporations. In B. Freedman, ed., Corporate Capital Structure in the United States. Chicago: University of Chicago Press, 1985.1. 2. 3. 4. 5. 6. ?7. ?8. ?9. 283. 284 10. 11. 12. 13. Kerch Manufacturing 2 $ 135,430203,1452,370,025$ 2,708,6001 2 3 14. Eastern Spruce 15001 $50,000 100,0002 1 2 1,000 30 284. 15 [1] - 15.1 - (pie model) 1 5 - 1 VVB+S15-1 B S 1 5 - 1 4 0~ 6 06 0~ 4 0 - 40%60 60 4015-1 (1) (2) - [1] 285. 286 15.2 15-1 J . J . S ( J . J . S p r i n t ) 1 , 0 0 0 J . J . S 1 0 0 1 0 J . J . SJ . J . S 5 0 0 5 1 , 0 0 0 1 , 0 0 0 1 , 0 0 0 2 5 0 1 , 2 5 0 1 , 0 0 0 7 5 0 $ 0$ 500 $ 500$ 500 1,000 750 500 250 $1,000$1,250$1,600 $ 750 1 , 0 0 0 payoff $250$500$750 500500500 $250$ 0$250 2 5 0 750 250 500 250=250+500 250=1,2501,000 250750250500 250= 750+500 250=7501,000 0 286. 15 287 1 5 . 1 [2] J.J.S 15.1 2 15.3 15.3.1 Trans Am 15-1 8,000 400 20 4,000 4,000 10 15-1 Trans Am $8,000$8,000 $0$4,000 $8,000$4,000 ()1010 $20 $20 400 200 1 5 - 2 1 , 2 0 0 8 , 0 0 0 1 5= 1 , 2 0 0/ 8 , 0 0 0 1 5 3=1,200/400 15 15-3 15-215-3 4 , 0 0 0 4 0 0 = 0 . 1 04 , 0 0 0 8 0 0 = 1 , 2 0 0 4 0 0 4 , 0 0 0 2 0 8 0 0 / 4 , 0 0 0 4 =800/200 08 [2] 287. 288 15-215-3 1,200 4 0 0 1 5 - 2 0 EPS0EPS EBI 4 , 0 0 0 E B I0E P S 400 15-2 Tran Am() ROA()515 25$400$1,200 $2,000 (ROE)=/() 515 25(EPS)$1.00 $3.00$5.00 15-3 Tran Am =4,000 ROA()515 25EBI $400$1,200 $2,000400 400 400$0$800 $1,600 ROE=/() 020 40EPS0 $4.00$8.00/ 5 4 3 2 1 () 0400 800 1,200 1,6002,000/-1-2 15-2 Tran Am EPS EBI 288. 15 289 800 800 2 800 8 0 0 80015.3.2 15-215-315-2 Tras Am E P S 4 EPS3 EPS(1 0) ( ) ? ( M M ) M M (MM Proposition I) [3] ( A) ( B) 15-4 Trans Am A100 15-4 PS E 100 002,000 1 15-4 Trans Am A 100 EPS15-3$0 $4 $8100 0400800=100@$20/=$2,000B Tras Am $1200= $3200=$5200=200$200$600$1,000$2,000 10% -200-200 -200$0$400$800=200@$20/-$2,000=$2,000 B (1) 2,000 (2) 2 , 0 0 0 2 , 0 0 0(4 , 0 0 0) [3] 1958F.Modigliani and M.Miller: The Cost of Capital, Corporation Finance and the Theory of Investment American Economic Review (June 1958) 289. 290 200 201 5 - 4 B B 2 0 0 6 0 0 1 02,000 200(=0.102,000) 4000800A 0 4 0 0 8 0 0 B A Trans Am() 1 5 - 1 8 , 0 0 0 4 , 0 0 0 4 , 0 0 0 8 , 0 0 0 A B AB ( M M ) MM() M M Tran Am15.3.3 M M ?6,0004,00010,000 9,0005,000=9,0004,000 [4] [4] 290. 15 291 ( ) ( 1 ) ( 2 ) [5] ( ) [6]15.4 ()15.4.1 Trans Am 1 5 - 21 5 - 3 1 5 20 1 5 - 21 5 - 3 4 0 0 ~ 2 , 0 0 0 15 0~8 EPS 1 5 - 2 () 15.4.2 1 5 2 0 M M (MM Proposition) M M 12 rWACC [7] B Sr + r (15-2)B+ S B B+ S S rB rSrWACC B S(15-2) [5] 1 9 8 71 09 2 0 % [6] 5 0 % 90% [7] rB,12rB 1-TC 291. 292 (15-2) rWACC 15-5 15-5 Trans AmBSrWACC = r + r B+S B B+S S 0$8,000 15=10 +15 $8,000$8,000 $4,000 $4,000 15=10 +20 $8,000 $8,000 10 1 5 - 2 1 , 2 0 0 1 5 - 1 8,000 r S $1,200= $8,000 =15 1 5 - 3 8 0 0 1 5 - 1 4,000 r S $800= $4,000 =20 M M rWACC [8] 15-5 Trans AmrWACC15 r0 Trans Amr0$1,200 r0 = = $8,000 =15 1 5 - 5 Trans Am r WA C C r 0 rWACC r0 r srWACC=r 0 ( 1 5 - 2 ) [9][8] [9] (15-2) r WACC=r 0 B Sr + r = r0(15-2)B+ S B B + S S (B+S)/SBB+Sr +r = rS B S S 0 B Br +r = r + rS B S S 0 0 (B/S)r BBrS = r0 + (r r ) (15-3)S 0 B 292. 15 293MM( )BrS = r0 + (r r )(15-3)S 0 B (15-3) - (15-3) r0 rB -B/S r0r B Trans Am (15-3)$4,0000.20 = 0.15 +(0.15 0.10)$4,000 1 5 - 3 ( 1 5 - 3 ) r S - B/S ( 1 5 - 3 ) 1 5 - 3 - ( ) rS 15-3 rWACC r0 rWACC r () rsr0 rB -(B/S) 15-3 MM 1. r B= r 0 +(r 0-r B)B/Sr S rB r 0 rWACC rWACCr 0 r 0 r S r BrWACC 2. rS - r WACC - 15-2 Luteran Motors 1 0 , 0 0 0 , 0 0 0 1 0 , 0 0 0 , 0 0 0 1 0 , 0 0 0 , 0 0 0 1 1 0 4 0 0 1 0 0 $10,000,000 $4,000,000 10,000,000 $1,000,000 293. 294 ()$1,000,000$4,000,000+= $6,000,0000.1 Luteran Motors $100,000,000$10,000,000= $10,000,000(10,000,000)0.1 1 1 , 0 0 0 1 0 1,000 10 ( ) 400 400 Luteran Motors( )$100,000,000 $106,000,000$1,000,000 $4,000,000+= 6,000,000 (10,000,000)0.1$106,000,000 1,00010.6(106,000,000/10,000,000) 4 0 0 1 0 . 6 377358(4,000,000/10.60) Luteran Motors $ 100,000,000 $110,000,000 6,000,000 (10,373,358) 4,000,000 $110,000,000 294. 15 295 () 3 7 73 5 8 1 0 , 3 7 7 , 3 5 8 1 0 . 6 0 (110,000,000/10,377,358) 400 Luteran Motors $100,000,000 $110,000,000 $1,000,000/0.1= 10,000,000(0,377,358) $110,000,000 1 0 0 1 , 0 0 0 4 0 0 10.6 1 , 1 0 0 1 , 0 0 0 1 0 0 $11,000,000 rS == 0.10$110,000,000 rS=r0=0.10 64 0 0 240,000(4,000,0006) Luteran Motors $100,000,000 $106,000,000 (10,000,000) $1,000,000$4,000,000+= 6,000,000 0.1 $106,000,000 ( 1 ) ( 2 ) M M ,400 Luteran Motors $100,000,000 $4,000,0006,000,000106,000,000 4,000,000(10,000,000) $110,000,000 $110,000,000 295. 296 () 1 0 . 6 400 Luteran Motors $100,000,000 $ 4,000,000 10,000,000 106,000,00010,000,000 $110,000,000 $110,000,000 $10,000,000 + $1,000,000 $240,000 = $10,760,000 : $4,000,0006 $10,760,000 = 10.15% $106,000,000 ( 1 0 . 1 5) ( 1 0) 1 0 . 1 5MMBrS = r0 + (r0 rB )(15-3)S $4,000,00010.15% = 10% + (10% 6%)$106,000,000(1) MM 1.1(2) 10.6(3) M M 1 0 1 0 . 1 5 ( 1 5 - 3 )15.4.3 MM - 2 0 5 0 M M [10]M M[10] (Merton Miller) (Franco Modigliani) 296. 15 297 M M M M - [11]MM M M - M M ? - - - (M M) 15-1 - [12] 1 0 - M M ? 10 1 0 ! 1 0 30 60