公司理财罗斯习题集课件.ppt

课堂练习1 Considertwosecuritiesthatpayrisk freecashflowsoverthenexttwoyearsandthathavethecurrentmarketpricesshownhere a Whatistheno arbitragepriceofasecuritythatpayscashflowsof 100inoneyearand 100intwoyears b Whatistheno arbitragepriceofasecuritythatpayscashflowsof 100inoneyearand 500intwoyears c Supposeasecuritywithcashflowsof 50inoneyearand 100intwoyearsistradingforapriceof 130 Whatarbitrageopportunityisavailable 1 PPT学习交流 课堂练习2 某公司如果不从事任何新的项目 则其每年预期盈利为1亿美元 该公司面临这样一个投资机会 在今天立即投资1500万美元并在一年后投资500万美元 两年后 这一新的投资每年将为公司带来1000万美元的盈利 假设该公司有2000万股普通股票 贴现率为15 求 当公司不从事任何新的投资项目时每股股票的价格是多少 投资项目的价值是多少 如果公司进行该投资项目 每股股票的价格是多少 2 PPT学习交流 课堂练习3 某公司如果不从事新的投资项目 它每年的每股盈利为4元 在此情形下 公司把所有的盈利当作股利分发出去 假设第一笔股利刚好在一年后收到 在另一种情形中 假设距今三年后的每一年 公司将其盈利的25 投资于新的项目 每一个投资项目将在一年后获得40 的收益率 直至永远 设贴现率为14 分别求公司在不从事新的投资项目和从事新的投资项目时的股票价格 3 PPT学习交流 课堂练习4 某公司市盈率为12 股利支付比率40 股价为32美元 如果股利支付比率变为60 股价为多少 4 PPT学习交流 课堂练习5 Pricesofzero coupon default freesecuritieswithfacevaluesof 1000aresummarizedinthefollowingtable Supposeyouobservethatathree year default freesecuritywithanannualcouponrateof10 andafacevalueof 1000hasapricetodayof 1183 50 Isthereanarbitrageopportunity Ifso showspecificallyhowyouwouldtakeadvantageofthisopportunity Ifnot whynot 5 PPT学习交流 练习1解答 a ThissecurityhasthesamecashflowsasaportfolioofoneshareofB1andoneshareofB2 Therefore itsno arbitragepriceis94 85 179 b ThissecurityhasthesamecashflowsasaportfolioofoneshareofB1andfivesharesofB2 Therefore itsno arbitragepriceis94 5 85 519c Thereisanarbitrageopportunitybecausetheno arbitragepriceshouldbe 132 94 2 85 Oneshouldbuytwosharesofthesecurityat 130 shareandselloneshareofB1andtwosharesofB2 Totalprofitwouldbe 4 94 85 2 130 2 6 PPT学习交流 练习2解答 1 摇钱树的价值 PV C1 r 100 000 000 0 15 666 666 666 67每股股票价格 666 666 666 67 20 000 000 33 33 2 NPVGO C0 C1 C2 r 1 r T 15 000 000 5 000 000 1 15 10 000 000 0 15 1 15 38 623 188 41 3 每股股票价格 1 NPVGO 股数 33 33 38 623 188 41 20 000 000 35 26 7 PPT学习交流 练习3解答 P Div r 4 0 14 28 57g 0 25 0 4 0 1NPVGO Investment Return r r g 1 r 2 1 0 40 14 0 14 0 1 1 14 2 35 73P PV EPS NPVGO 28 57 35 73 64 30 8 PPT学习交流 练习4解答 Usingdividendmodel priceofastockcanbewrittenasP D k g OritcanbewrittenasP E PO k g wherePOisthedividendpayoutratioanddenotesmultiplicationRearrangingtermsweget P E PO k g Substitutingvalues12 4 k g 1 k g 12 0 4 1 k g 30P E PO k g NowsubstitutingP 32 PO 40 1 k g 30weget32 E 4 30 E 8 3Ifthedividendpayoutratiowere60 P E PO k g P 8 3 6 30 48 9 PPT学习交流 练习5解答 First figureoutifthepriceofthecouponbondisconsistentwiththezerocouponyieldsimpliedbytheothersecurities 10 PPT学习交流 练习5解答 Accordingtothesezerocouponyields thepriceofthecouponbondshouldbe Thepriceofthecouponbondistoolow sothereisanarbitrageopportunity Totakeadvantageofit 11 PPT学习交流 课堂练习6 考虑两个互斥投资项目 现金流如下 年份项目A项目B0 5000 10000013500650002350065000 12 PPT学习交流 课堂练习6 1 两个项目的IRR分别是多少 2 仅仅根据IRR 你会选择哪个项目 3 你根据 2 做出决策时忽略了什么 4 如何克服这一问题 请计算 5 根据 4 的结果 你会选择哪一个项目 假设贴现率为15 6 根据NPV法则 你会选择哪一个项目 假设贴现率为15 13 PPT学习交流 课堂练习7 14 PPT学习交流 课堂练习7 15 PPT学习交流 课堂练习8 16 PPT学习交流 17 PPT学习交流 课堂练习8 18 PPT学习交流 课堂练习9 19 PPT学习交流 课堂练习10 20 PPT学习交流 练习6解答 a Settheproject scashflows discountedattheinternalrateofreturn IRR equaltozero SolvefortheIRR IRR ProjectA C0 C1 1 IRR C2 1 IRR 20 5 000 3 500 1 IRR 3 500 1 IRR 2IRR 0 2569TheIRRofprojectAis25 69 IRR ProjectB C0 C1 1 IRR C2 1 IRR 20 100 000 65 000 1 IRR 65 000 1 IRR 2IRR 0 1943TheIRRofprojectBis19 43 21 PPT学习交流 练习6解答 ChooseprojectAbecauseithasahigherIRRthanprojectB Thedifferenceinscalewasignored ProjectBhasasubstantiallylargerinitialinvestmentthanprojectAhas Thus thesimpleIRRcalculationmaynotleadtothebestdecision 22 PPT学习交流 练习6解答 CalculatetheincrementalIRR TheincrementalIRRistheIRRontheincrementalinvestmentfromchoosingthelargerprojectinsteadofthesmallerproject TheincrementalcashflowsarethedifferencesbetweenthecashflowsofprojectBandthoseofprojectA Alwayssubtracttheprojectwiththesmallerinitialcashoutflowfromtheprojectwiththelargerinitialcashoutflow Inthisway theinitialincrementalcashflowwillbenegative 23 PPT学习交流 练习6解答 B A 95 000 61 500 61 500Next findtheIRRofthoseincrementalcashflows IRR B A C0 C1 1 IRR C2 1 IRR 20 95 000 61 500 1 IRR 61 500 1 IRR 2IRR 0 191 24 PPT学习交流 练习6解答 Forinvesting typeprojects acceptthelargerprojectwhentheincrementalrateofreturnisgreaterthanthediscountrate Therefore chooseprojectBsincetheincrementalIRR 19 1 isgreaterthanthe15percentdiscountrate 25 PPT学习交流 练习6解答 CalculatetheNPVofeachproject NPV ProjectA 5 000 3 500 1 15 3 500 1 15 2 689 98TheNPVofprojectAis 689 98 NPV ProjectB 100 000 65 000 1 15 65 000 1 15 2 5 671 08TheNPVofprojectBis 5 671 08 SincetheNPVofprojectB 5 671 08 isgreaterthantheNPVofprojectA 689 98 chooseprojectB 26 PPT学习交流 练习7解答 27 PPT学习交流 练习7解答 28 PPT学习交流 练习7解答 29 PPT学习交流 练习7解答 30 PPT学习交流 练习10解答 6 1 2 16 6 18 6 0 5 16 6 11 PV 1 000 0 11 9 090 91PV 1 000 0 16 6 250 Thedifference 2 840 91 istheamountyouwilloverpayifyouerroneouslyassumethatbetais0 5ratherthan1 UsingtheSML 4 6 b 16 6 b 2 10 0 2 31 PPT学习交流 课堂练习11 某公司的权益市场价值为2000万美元 债务的市场价值为1000万美元 债务的成本为每年14 一年期国库券的收益率为8 预期下一年市场组合的收益率为18 该公司的贝塔为0 9 假设无税 1 该公司的负债 权益比是多少 2 该公司的加权平均资本成本是多少 3 假设有一个全权益的公司与该公司在其他方面都一样 全权益公司的资本成本是多少 32 PPT学习交流 课堂练习12 某公司负债 权益比为2 5 加权平均资本成本为15 税前债务成本为10 公司税率为35 1 该公司的权益资本成本 2 该公司无杠杆权益资本成本 3 如果该公司的负债 权益比变为0 75 其加权平均资本成本是多少 33 PPT学习交流 课堂练习13 1 什么是直接和间接的破产成本 请简单解释 2 财务困境成本及代理成本的存在怎样影响有公司税时的MM定理 3 什么是权益代理成本 34 PPT学习交流 课堂练习14 M公司负债 权益比为2 3 无杠杆权益资本成本为16 税前负债的成本为10 销售收入预计将一直保持在每年19 740 000美元 可变成本为销售额的60 公司税率为40 该公司在每年末把所有盈利当做股利分发出去 1 如果M公司完全由权益融资 其价值是多少 2 对M公司杠杆权益的要求回报率是多少 3 使用加权平均资本成本法计算M公司的价值 其权益和负债的价值分别为多少 4 使用权益现金流法计算M公司权益的价值 35 PPT学习交流 练习11解答 1 Debt EquityRatio MarketValueofDebt MarketValueofEquity 10million 20million 2 AccordingtotheCAPM rS rf bS E rm rf 0 08 0 9 0 18 0 08 0 17Thecostofequity rS is17 weightedaveragecostofcapitalequals rwacc B B S rB S B S rS 1 3 0 14 2 3 0 17 0 16 3 AccordingtoModigliani MillerPropositionII NoTaxes rS r0 B S r0 rB Thus 0 17 r0 1 2 r0 0 14 Solvingforr0 r0 0 16Therefore thecostofcapitalforanotherwiseidenticalall equityfirmis16 ThisisconsistentwithModigliani Miller spropositionthat intheabsenceoftaxes thecostofcapitalforanall equityfirmisequaltotheweightedaveragecostofcapitalofanotherwiseidenticalleveredfirm 36 PPT学习交流 练习12解答 Inaworldwithcorporatetaxes afirm sweightedaveragecostofcapital rwacc isequalto rwacc B B S 1 TC rB S B S rSwhereB B S thefirm sdebt to valueratioS B S thefirm sequity to valueratiorB thepre taxcostofdebtrS thecostofequityforaleveredfirm TC thecorporatetaxrate 37 PPT学习交流 练习12解答 B S 2 5SolvingforB B 2 5 S Theaboveformulaforrwaccusesthefollowingratio B B S SinceB 2 5 S B B S 2 5 S 2 5 S S 2 5 S 3 5 S 2 5 3 5 0 7143 38 PPT学习交流 练习12解答 rwacc B B S 1 TC rB S B S rS0 15 0 7143 1 0 35 0 10 0 2857 rS rS 0 3625AccordingtoModigliani MillerPropositionIIwithcorporatetaxes rS r0 B S r0 rB 1 TC wherer0 thecostofequityforanunleveredfirmrS thecostofequityforaleveredfirmrB thepre taxcostofdebtTC thecorporatetaxrateB S thefirm sdebt to equityratio 39 PPT学习交流 练习12解答 rS r0 B S r0 rB 1 TC 0 3625 r0 2 5 r0 0 10 1 0 35 r0 0 20Therefore theunleveredcostofequityis20 40 PPT学习交流 练习12解答 rS r0 B S r0 rB 1 TC 0 20 0 75 0 20 0 10 1 0 35 0 2488Ifdebt to equityratiois0 75 B S 0 75SolvingforB B 0 75 S Afirm sdebt to valueratiois B B S SinceB 0 75 S debt to valueratio 0 75 S 0 75 S S 0 75 S 1 75 S 0 75 1 75 0 4286 41 PPT学习交流 练习12解答 theweightedaveragecostofcapital rwacc is rwacc B B S 1 TC rB S B S rS 0 4286 1 0 35 0 10 0 5714 0 2488 0 17Therefore theweightedaveragecostofcapital rwacc is17 ifthefirm sdebt to equityratiois0 75 42 PPT学习交流 练习13解答 1 DirectCosts Legalandadministrativecosts Costsassociatedwiththelitigationarisingfromaliquidationorbankruptcy Thesecostsincludelawyer sfees courtroomcosts andexpertwitnessfees IndirectCosts Impairedabilitytoconductbusiness Incentivetounder invest Milkingtheproperty 43 PPT学习交流 练习13解答 2 ModiglianiandMiller stheorywithcorporatetaxesindicatesthat sincethereisapositivetaxadvantageofdebt thefirmshouldmaximizetheamountofdebtinitscapitalstructure Inreality however nofirmadoptsanall debtfinancingstrategy MM stheoryignoresboththefinancialdistressandagencycostsofdebt Themarginalcostsofdebtcontinuetoincreasewiththeamountofdebtinthefirm scapitalstructuresothat atsomepoint themarginalcostsofadditionaldebtwilloutweighitsmarginaltaxbenefits Therefore thereisanoptimallevelofdebtforeveryfirmatthepointwherethemarginaltaxbenefitsofthedebtequalthemarginalincreaseinfinancialdistressandagencycosts 44 PPT学习交流 练习13解答 3 Therearetwomajorsourcesoftheagencycostsofequity ShirkingManagerswithsmallequityholdingshaveatendencytoreducetheirworkeffort therebyhurtingboththedebtholdersandoutsideequityholders MorePerquisitesSincemanagementreceivesallthebenefitsofincreasedperquisitesbutonlyshoulderafractionofthecost managershaveanincentivetooverspendonluxuryitemsattheexpenseofdebtholdersandoutsideequityholders 45 PPT学习交流 练习14解答 1 IfMwerefinancedentirelybyequity thevalueofthefirmwouldbeequaltothepresentvalueofitsunleveredafter taxearnings discountedatitsunleveredcostofcapitalof16 VU 4 737 600 0 16 29 610 000Therefore MCompanywouldbeworth 29 610 000asanunleveredfirm 46 PPT学习交流 练习14解答 2 AccordingtoModigliani MillerPropositionIIwithcorporatetaxes rS r0 B S r0 rB 1 TC 0 16 2 3 0 16 0 10 1 0 40 0 184TherequiredreturnonM sleveredequity rS is18 4 47 PPT学习交流 练习14解答 3 Inaworldwithcorporatetaxes afirm sweightedaveragecostofcapital rwacc equals rwacc B B S 1 TC rB S B S rSwhereB B S thefirm sdebt to valueratioS B S thefirm sequity to valueratiorB thepre taxcostofdebtrS thecostofequityTC thecorporatetaxrate 48 PPT学习交流 练习14解答 B S 2 3SolvingforB B 2 3 S Afirm sdebt to valueratiois B B S SinceB 2 3 S M sde