精品课程《财务管理基础》英文课件ch

Chapter4,TheValuationofLong-TermSecurities,PearsonEducationLimited2004FundamentalsofFinancialManagement,12/eCreatedby:GregoryA.Kuhlemeyer,Ph.D.CarrollCollege,Waukesha,WI,AfterstudyingChapter4,youshouldbeableto:,Distinguishamongthevarioustermsusedtoexpressvalue.Valuebonds,preferredstocks,andcommonstocks.Calculatetheratesofreturn(oryields)ofdifferenttypesoflong-termsecurities.Listandexplainanumberofobservationsregardingthebehaviorofbondprices.,TheValuationofLong-TermSecurities,DistinctionsAmongValuationConceptsBondValuationPreferredStockValuationCommonStockValuationRatesofReturn(orYields),WhatisValue?,Going-concernvaluerepresentstheamountafirmcouldbesoldforasacontinuingoperatingbusiness.,Liquidationvaluerepresentstheamountofmoneythatcouldberealizedifanassetorgroupofassetsissoldseparatelyfromitsoperatingorganization.,WhatisValue?,(2)afirm:totalassetsminusliabilitiesandpreferredstockaslistedonthebalancesheet.,Bookvaluerepresentseither(1)anasset:theaccountingvalueofanasset-theassetscostminusitsaccumulateddepreciation;,WhatisValue?,Intrinsicvaluerepresentsthepriceasecurity“oughttohave”basedonallfactorsbearingonvaluation.,Marketvaluerepresentsthemarketpriceatwhichanassettrades.,BondValuation,ImportantTermsTypesofBondsValuationofBondsHandlingSemiannualCompounding,ImportantBondTerms,Thematurityvalue(MV)orfacevalueofabondisthestatedvalue.InthecaseofaU.S.bond,thefacevalueisusually$1,000.,Abondisalong-termdebtinstrumentissuedbyacorporationorgovernment.,ImportantBondTerms,Thediscountrate(capitalizationrate)isdependentontheriskofthebondandiscomposedoftherisk-freerateplusapremiumforrisk.,Thebondscouponrateisthestatedrateofinterest;theannualinterestpaymentdividedbythebondsfacevalue.,DifferentTypesofBonds,Aperpetualbondisabondthatnevermatures.Ithasaninfinitelife.,(1+kd)1,(1+kd)2,(1+kd),V=,+,+.+,I,I,I,=S,t=1,(1+kd)t,I,orI(PVIFAkd,),V=I/kdReducedForm,PerpetualBondExample,BondPhasa$1,000facevalueandprovidesan8%annualcoupon.Theappropriatediscountrateis10%.Whatisthevalueoftheperpetualbond?,I=$1,000(8%)=$80.kd=10%.V=I/kdReducedForm=$80/10%=$800.,N:“Trick”byusinghugeNlike1,000,000!I/Y:10%interestrateperperiod(enteras10NOT.10)PV:Compute(Resultingansweriscosttopurchase)PMT:$80annualinterestforever(8%x$1,000face)FV:$0(investorneverreceivesthefacevalue),“Tricking”theCalculatortoSolve,N,I/Y,PV,PMT,FV,Inputs,Compute,1,000,00010800,-800.0,DifferentTypesofBonds,Anon-zerocoupon-payingbondisacouponpayingbondwithafinitelife.,(1+kd)1,(1+kd)2,(1+kd)n,V=,+,+.+,I,I+MV,I,=S,n,t=1,(1+kd)t,I,V=I(PVIFAkd,n)+MV(PVIFkd,n),(1+kd)n,+,MV,BondChasa$1,000facevalueandprovidesan8%annualcouponfor30years.Theappropriatediscountrateis10%.Whatisthevalueofthecouponbond?,CouponBondExample,V=$80(PVIFA10%,30)+$1,000(PVIF10%,30)=$80(9.427)+$1,000(.057)TableIVTableII=$754.16+$57.00=$811.16.,N:30-yearannualbondI/Y:10%interestrateperperiod(enteras10NOT.10)PV:Compute(Resultingansweriscosttopurchase)PMT:$80annualinterest(8%x$1,000facevalue)FV:$1,000(investorreceivesfacevaluein30years),N,I/Y,PV,PMT,FV,Inputs,Compute,301080+$1,000,-811.46,SolvingtheCouponBondontheCalculator,(Actual,roundingerrorintables),DifferentTypesofBonds,Azerocouponbondisabondthatpaysnointerestbutsellsatadeepdiscountfromitsfacevalue;itprovidescompensationtoinvestorsintheformofpriceappreciation.,(1+kd)n,V=,MV,=MV(PVIFkd,n),V=$1,000(PVIF10%,30)=$1,000(.057)=$57.00,Zero-CouponBondExample,BondZhasa$1,000facevalueanda30yearlife.Theappropriatediscountrateis10%.Whatisthevalueofthezero-couponbond?,N:30-yearzero-couponbondI/Y:10%interestrateperperiod(enteras10NOT.10)PV:Compute(Resultingansweriscosttopurchase)PMT:$0couponinterestsinceitpaysnocouponFV:$1,000(investorreceivesonlyfacein30years),N,I/Y,PV,PMT,FV,Inputs,Compute,30100+$1,000,-57.31,SolvingtheZero-CouponBondontheCalculator,(Actual-roundingerrorintables),SemiannualCompounding,(1)Dividekdby2(2)Multiplynby2(3)DivideIby2,MostbondsintheU.S.payinteresttwiceayear(1/2oftheannualcoupon).Adjustmentsneeded:,(1+kd/2)2*n,(1+kd/2)1,SemiannualCompounding,Anon-zerocouponbondadjustedforsemiannualcompounding.,V=,+,+.+,I/2,I/2+MV,=S,2*n,t=1,(1+kd/2)t,I/2,=I/2(PVIFAkd/2,2*n)+MV(PVIFkd/2,2*n),(1+kd/2)2*n,+,MV,I/2,(1+kd/2)2,V=$40(PVIFA5%,30)+$1,000(PVIF5%,30)=$40(15.373)+$1,000(.231)TableIVTableII=$614.92+$231.00=$845.92,SemiannualCouponBondExample,BondChasa$1,000facevalueandprovidesan8%semiannualcouponfor15years.Theappropriatediscountrateis10%(annualrate).Whatisthevalueofthecouponbond?,N:15-yearsemiannualcouponbond(15x2=30)I/Y:5%interestratepersemiannualperiod(10/2=5)PV:Compute(Resultingansweriscosttopurchase)PMT:$40semiannualcoupon($80/2=$40)FV:$1,000(investorreceivesfacevaluein15years),N,I/Y,PV,PMT,FV,Inputs,Compute,30540+$1,000,-846.28,TheSemiannualCouponBondontheCalculator,(Actual,roundingerrorintables),SemiannualCouponBondExample,Letususeanotherworksheetonyourcalculatortosolvethisproblem.AssumethatBondCwaspurchased(settlementdate)on12-31-2004andwillberedeemedon12-31-2019.Thisisidenticaltothe15-yearperiodwediscussedforBondC.Whatisitspercentofpar?Whatisthevalueofthebond?,SolvingtheBondProblem,Press:2ndBond12.3104ENTER8ENTER12.3119ENTER10ENTERCPT,SemiannualCouponBondExample,Whatisitspercentofpar?Whatisthevalueofthebond?,84.628%ofpar(asquotedinfinancialpapers)84.628%x$1,000facevalue=$846.28,PreferredStockisatypeofstockthatpromisesa(usually)fixeddividend,butatthediscretionoftheboardofdirectors.,PreferredStockValuation,PreferredStockhaspreferenceovercommonstockinthepaymentofdividendsandclaimsonassets.,PreferredStockValuation,Thisreducestoaperpetuity!,(1+kP)1,(1+kP)2,(1+kP),V=,+,+.+,DivP,DivP,DivP,=S,t=1,(1+kP)t,DivP,orDivP(PVIFAkP,),V=DivP/kP,PreferredStockExample,DivP=$100(8%)=$8.00.kP=10%.V=DivP/kP=$8.00/10%=$80,StockPShasan8%,$100parvalueissueoutstanding.Theappropriatediscountrateis10%.Whatisthevalueofthepreferredstock?,CommonStockValuation,Proratashareoffutureearningsafterallotherobligationsofthefirm(ifanyremain).Dividendsmaybepaidoutoftheproratashareofearnings.,Commonstockrepresentsaresidualownershippositioninthecorporation.,CommonStockValuation,(1)Futuredividends(2)Futuresaleofthecommonstockshares,Whatcashflowswillashareholderreceivewhenowningsharesofcommonstock?,DividendValuationModel,BasicdividendvaluationmodelaccountsforthePVofallfuturedividends.,(1+ke)1,(1+ke)2,(1+ke),V=,+,+.+,Div1,Div,Div2,=S,t=1,(1+ke)t,Divt,Divt:CashDividendattimetke:Equityinvestorsrequiredreturn,AdjustedDividendValuationModel,Thebasicdividendvaluationmodeladjustedforthefuturestocksale.,(1+ke)1,(1+ke)2,(1+ke)n,V=,+,+.+,Div1,Divn+Pricen,Div2,n:Theyearinwhichthefirmssharesareexpectedtobesold.Pricen:Theexpectedsharepriceinyearn.,DividendGrowthPatternAssumptions,Thedividendvaluationmodelrequirestheforecastofallfuturedividends.Thefollowingdividendgrowthrateassumptionssimplifythevaluationprocess.ConstantGrowthNoGrowthGrowthPhases,ConstantGrowthModel,Theconstantgrowthmodelassumesthatdividendswillgrowforeverattherateg.,(1+ke)1,(1+ke)2,(1+ke),V=,+,+.+,D0(1+g),D0(1+g),=,(ke-g),D1,D1:Dividendpaidattime1.g:Theconstantgrowthrate.ke:Investorsrequiredreturn.,D0(1+g)2,ConstantGrowthModelExample,StockCGhasanexpecteddividendgrowthrateof8%.Eachshareofstockjustreceivedanannual$3.24dividend.Theappropriatediscountrateis15%.Whatisthevalueofthecommonstock?D1=$3.24(1+.08)=$3.50VCG=D1/(ke-g)=$3.50/(.15-.08)=$50,ZeroGrowthModel,Thezerogrowthmodelassumesthatdividendswillgrowforeverattherateg=0.,(1+ke)1,(1+ke)2,(1+ke),VZG=,+,+.+,D1,D,=,ke,D1,D1:Dividendpaidattime1.ke:Investorsrequiredreturn.,D2,ZeroGrowthModelExample,StockZGhasanexpectedgrowthrateof0%.Eachshareofstockjustreceivedanannual$3.24dividendpershare.Theappropriatediscountrateis15%.Whatisthevalueofthecommonstock?,D1=$3.24(1+0)=$3.24VZG=D1/(ke-0)=$3.24/(.15-0)=$21.60,D0(1+g1)t,Dn(1+g2)t,GrowthPhasesModel,Thegrowthphasesmodelassumesthatdividendsforeachsharewillgrowattwoormoredifferentgrowthrates.,(1+ke)t,(1+ke)t,V=S,t=1,n,S,t=n+1,+,D0(1+g1)t,Dn+1,GrowthPhasesModel,Notethatthesecondphaseofthegrowthphasesmodelassumesthatdividendswillgrowataconstantrateg2.Wecanrewritetheformulaas:,(1+ke)t,(ke-g2),V=S,t=1,n,+,1,(1+ke)n,GrowthPhasesModelExample,StockGPhasanexpectedgrowthrateof16%forthefirst3yearsand8%thereafter.Eachshareofstockjustreceivedanannual$3.24dividendpershare.Theappropriatediscountrateis15%.Whatisthevalueofthecommonstockunderthisscenario?,GrowthPhasesModelExample,StockGPhastwophasesofgrowth.Thefirst,16%,startsattimet=0for3yearsandisfollowedby8%thereafterstartingattimet=3.Weshouldviewthetimelineastwoseparatetimelinesinthevaluation.,0123456,D1D2D3D4D5D6,Growthof16%for3years,Growthof8%toinfinity!,GrowthPhasesModelExample,NotethatwecanvaluePhase#2usingtheConstantGrowthModel,0123,D1D2D3,D4D5D6,0123456,GrowthPhase#1plustheinfinitelylongPhase#2,GrowthPhasesModelExample,Notethatwecannowreplacealldividendsfromyear4toinfinitywiththevalueattimet=3,V3!Simpler!,V3=,D4D5D6,0123456,D4k-g,Wecanusethismodelbecausedividendsgrowataconstant8%ratebeginningattheendofYear3.,GrowthPhasesModelExample,Nowweonlyneedtofindthefirstfourdividendstocalculatethenecessarycashflows.,0123,D1D2D3,V3,0123,NewTimeLine,D4k-g,WhereV3=,GrowthPhasesModelExample,Determinetheannualdividends.D0=$3.24(thishasbeenpaidalready)D1=D0(1+g1)1=$3.24(1.16)1=$3.76D2=D0(1+g1)2=$3.24(1.16)2=$4.36D3=D0(1+g1)3=$3.24(1.16)3=$5.06D4=D3(1+g2)1=$5.06(1.08)1=$5.46,GrowthPhasesModelExample,Nowweneedtofindthepresentvalueofthecashflows.,0123,3.764.365.06,78,0123,ActualValues,5.46.15-.08,Where$78=,GrowthPhasesModelExample,WedeterminethePVofcashflows.PV(D1)=D1(PVIF15%,1)=$3.76(.870)=$3.27PV(D2)=D2(PVIF15%,2)=$4.36(.756)=$3.30PV(D3)=D3(PVIF15%,3)=$5.06(.658)=$3.33P3=$5.46/(.15-.08)=$78CGModelPV(P3)=P3(PVIF15%,3)=$78(.658)=$51.32,D0(1+.16)t,D4,GrowthPhasesModelExample,Finally,wecalculatetheintrinsicvaluebysummingallofcashflowpresentvalues.,(1+.15)t,(.15-.08),V=S,t=1,3,+,1,(1+.15)n,V=$3.27+$3.30+$3.33+$51.32,V=$61.22,SolvingtheIntrinsicValueProblemusingCFRegistry,StepsintheProcess(Page1)Step1:PressCFkeyStep2:Press2ndCLRWorkkeysStep3:ForCF0Press0EnterkeysStep4:ForC01Press3.76EnterkeysStep5:ForF01Press1EnterkeysStep6:ForC02Press4.36EnterkeysStep7:ForF02Press1Enterkeys,SolvingtheIntrinsicValueProblemusingCFRegistry,StepsintheProcess(Page2)Step8:ForC03Press83.06EnterkeysStep9:ForF03Press1EnterkeysStep10:PresskeysStep11:PressNPVStep12:Press15EnterkeysStep13:PressCPT,RESULT:Value=$61.18!,(Actual-roundingerrorintables),CalculatingRatesofReturn(orYields),1.Determinetheexpectedcashflows.2.Replacetheintrinsicvalue(V)withthemarketprice(P0).3.Solveforthemarketrequiredrateofreturnthatequatesthediscountedcashflowstothemarketprice.,Stepstocalculatetherateofreturn(orYield).,DeterminingBondYTM,DeterminetheYield-to-Maturity(YTM)fortheannualcouponpayingbondwithafinitelife.,P0=,S,n,t=1,(1+kd)t,I,=I(PVIFAkd,n)+MV(PVIFkd,n),(1+kd)n,+,MV,kd=YTM,DeterminingtheYTM,JulieMillerwanttodeterminetheYTMforanissueofoutstandingbondsatBasketWonders(BW).BWhasanissueof10%annualcouponbondswith15yearslefttomaturity.Thebondshaveacurrentmarketvalueof$1,250.WhatistheYTM?,YTMSolution(Try9%),$1,250=$100(PVIFA9%,15)+$1,000(PVIF9%,15)$1,250=$100(8.061)+$1,000(.275)$1,250=$806.10+$275.00=$1,081.10Rateistoohigh!,YTMSolution(Try7%),$1,250=$100(PVIFA7%,15)+$1,000(PVIF7%,15)$1,250=$100(9.108)+$1,000(.362)$1,250=$910.80+$362.00=$1,272.80Rateistoolow!,.07$1,273.02IRR$1,250$192.09$1,081X$23.02$192,YTMSolution(Interpolate),$23,X,=,.07$1,273.02IRR$1,250$192.09$1,081X$23.02$192,YTMSolution(Interpolate),$23,X,=,.07$1273.02YTM$1250$192.09$1081($23)(0.02)$192,YTMSolution(Interpolate),$23,X,X=,X=.0024,YTM=.07+.0024=.0724or7.24%,N:15-yearannualbondI/Y:Compute-SolvingfortheannualYTMPV:Costtopurchaseis$1,250PMT:$100annualinterest(10%x$1,000facevalue)FV:$1,000(investorreceivesfacevaluein15years),N,I/Y,PV,PMT,FV,Inputs,Compute,15-1,250100+$1,000,7.22%(actualYTM),YTMSolutionontheCalculator,DeterminingSemiannualCouponBondYTM,P0=,S,2n,t=1,(1+kd/2)t,I/2,=(I/2)(PVIFAkd/2,2n)+MV(PVIFkd/2,2n),+,MV,1+(kd/2)2-1=YTM,DeterminetheYield-to-Maturity(YTM)forthesemiannualcouponpayingbondwithafinitelife.,(1+kd/2)2n,DeterminingtheSemiannualCouponBondYTM,JulieMillerwanttodeterminetheYTMforanotherissueofoutstandingbonds.Thefirmhasanissueof8%semiannualcouponbondswith20yearslefttomaturity.Thebondshaveacurrentmarketvalueof$950.WhatistheYTM?,N:20-yearsemiannualbond(20 x2=40)I/Y:Compute-SolvingforthesemiannualyieldnowPV:Costtopurchaseis$950todayPMT:$40annualinterest(8%x$1,000facevalue/2)FV:$1,000(investorreceivesfacevaluein15years),N,I/Y,PV,PMT,FV,Inputs,Compute,40-95040+$1,000,4.2626%=(kd/2),YTMSolutionontheCalculator,DeterminingSemiannualCouponBondYTM,1+(kd/2)2-1=YTM,DeterminetheYield-to-Maturity(YTM)forthesemiannualcouponpayingbondwithafinitelife.,1+(.042626)2-1=.0871or8.71%,Note:makesureyouutilizethecalculatoranswerinitsDECIMALform.,SolvingtheBondProblem,Press:2ndBond12.3104ENTER8ENTER12.3124ENTER95ENTERCPT=kd,DeterminingSemiannualCouponBondYTM,1+(kd/2)2-1=YTM,Thistechniquewillcalculatekd.Youmustthensubstituteitintothefollowingformula.,1+(.0852514/2)2-1=.0871or8.71%(sameresult!),BondPrice-YieldRelationship,DiscountBond-Themarketrequiredrateofreturnexceedsthecouponrate(ParP0).PremiumBond-Thecouponrateexceedsthemarketrequiredrateofreturn(P0Par).ParBond-Thecouponrateequalsthemarketrequiredrateofreturn(P0=Par).,BondPrice-YieldRelationship,CouponRateMARKETREQUIREDRATEOFRETURN(%),BONDPRICE($),1000Par,1600,1400,1200,600,0,024681012141618,5Year,15Year,BondPrice-YieldRelationship,Assumethattherequiredrateofreturnona15year,10%annualcouponpayingbondrisesfrom10%to12%.Whathappenstothebondprice?,Wheninterestratesrise,thenthemarketrequiredratesofreturnriseandbondpriceswillfall.,BondPrice-YieldRelationship,CouponRateMARKETREQUIREDRATEOFRETURN(%),BONDPRICE($),1000Par,1600,1400,1200,600,0,024681012141618,15Year,5Year,BondPrice-YieldRelationship(RisingRates),Therefore,thebondpricehasfallenfrom$1,000to$864.($863.78oncalculator),Therequiredrateofreturnona15year,10%annualcouponpayingbondhasrisenfrom10%to12%.,BondPrice-YieldRelationship,Assumethattherequiredrateofreturnona15year,10%annualcouponpayingbondfallsfrom10%to8%.Whathappenstothebondprice?,Wheninterestratesfall,thenthemarketrequiredratesofreturnfallandbondpriceswillrise.,BondPrice-YieldRelationship,CouponRateMARKETREQUIREDRATEOFRETURN(%),BONDPRICE($),1000Par,1600,1400,1200,600,0,024681012141618,15Year,5Year,BondPrice-YieldRelationship(DecliningRates),Therefore,thebondpricehasrisenfrom$1000to$1171.($1,171.19oncalculator),Therequiredrateofreturnona15year,10%couponpayingbondhasfallenfrom10%to8%.,TheRoleofBondMaturity,Assumethattherequiredrateofreturnonboththe5and15year,10%annualcouponpayingbondsfallfrom10%to8%.Whathappenstothechangesinbondprices?,Thelongerthebondmaturity,thegreaterthechangeinbondpriceforagivenchangeinthemarketrequiredrateofreturn.,BondPrice-YieldRelationship,CouponRateMARKETREQUI