高级投资项目管理与经济效益评价(英文版)

厦门大学管理学院博士研究生课程报告八,高级投资项目管理和经济效益评价理论、方法和实践厦门大学管理学院吴世农AdvancedCapitalBudgetingTheory,MethodsBudgeting=Plandetailingprojectedcashinflowsandoutflowsduringsomefutureperiod,thus“CapitalBudgeting”outlinestheplannedexpendituresonfixedassets.1.Multi-conceptsforCapitalBudgeting(1)CapitalInvestmentAnalysisbyIRR(orPVI)BisoverA.ThiscaseistypicalasaconflictraisedfromdecisioncriteriabyNPVorbyIRR?,厦门大学吴世农,(2)SolutionSinceK=10%isassumedtobefixed,wecansolvethisconflictbycreatingadifferentialproject(B-A),ifthedifferentialprojectyieldsapositiveNPV,itisobviousthatBisbetterthanAbecausenotonlyapartofBwillcreateaNPVequaltoNPVA,butalsocreateapositiveNPVforthedifferentialproject(B-A).Thus,wecreateadifferentialproject(B-A),andthencalculateitsNPVandIRRNPV(B-A)=(75000-8000)/(1+10%)-(50000-5000)=$15909(75000-8000)/(1+IRR(B-A)=(50000-5000),IRR(B-A)=48.8%Nodoubt,theresultsabovesuggeststhattheinvestorsofthefirmwillbebetteroffifprojectBisaccepted.,AdvancedTopicsinCapitalBudgeting,2.TrendEffectofNCFonNPVandIRR(1)ConflictWhichOneisaSoundingDecisionRule?Supposetherearetwomutuallyexclusiveprojects,AandB,thefollowinggraphsshowthatthetrendofAsNCFsandthetrendofBsNCFsaredifferent.Obviously,graph1statesthatAsNCFsarealwayslargerthanBsNCFsovertheperiods,thus,NPVANPVB;graph2statesfortheearlierperiodsAsNCFsarelargerthanBsNCFs,thusNPVANPVB,butforthelaterperiods(afterK*)AsNCFsaresmallerthanBsNCFs,thusNPVANPVBBANPVANPVBNPVA=NPVBKNPVANPVBKkIRRB0,sotheprojectmustbeaccepted!E(NPV)=4623(63%)+3797(27%)+(-6530)(5%)+(-7356)(5%)=$3242S(NPV)=(NPVj-3242)2Probability1/2=$3254(b)WhentoAbandontheProject?Year1orYear2?(b-1):Iftheprojectisabandonedattheendofyear2,thenE(NPV)=$3242S(NPV)=$3254,AdvancedTopicsinCapitalBudgeting,(b-2):Iftheprojectisabandonedattheendofyear1,thenE(NPV)=4623(63%)+3797(27%)+(-5455)(5%)+(-5455)(5%)=$3392S(NPV)=(NPVj-3392)2Probability1/2=$2971Theresultsabovecomefromthefollowingtable:StateNPVjProbability1-1000+7000(0.909)+10000(0.826)=46240.632-1000+7000(0.909)+9000(0.826)=37970.273-1000+(2000+3000)(0.909)=-54550.054-1000+(2000+3000)(0.909)=-54550.05Total1.00(b-3)DecisionsThefirst,theresultssuggestthatabandoningtheprojectattheendofyear1showsalargerNPVandlessstandarddeviationbyacomparisontoNPVandstandarddeviationresultedfromabandoningtheprojectattheendofyear2,sotheprojectshouldbeabandonedattheendofyear1.,厦门大学吴世农,Thesecond,theprojectwillnotbeabandonedbytheendofyear1iftheNCF=$70000inthefirstyear,butwillbeabandonediftheNCF=$2000inthefirstyear.(3)OptimalProjectLifeforContinuosVariableinCapitalBudgeting(a)ContinuosVariableinCapitalBudgetingInpractice,somefirmmaybefacedwithsomecapitalbudgetingproblemswhichvariablessuchasprice,profitandcashflowarecontinuousvariables,forinstance,breweryindustry,forestsplantation,raisingchicken,andsonon.Therearetwoquestionsneededtoanswerforthesecase:(a-1)WhatisNPVforaProjectwithcontinuosvariables?(a-2):Howtodetermineanoptimallifefortheseprojects?(b)IllustrationSupposethataninvestmentinawinerywillproducethenetafter-taxprofit($perbottle)onabottleofredwinecanbeapproximatelybythefollowingequation:Profit=(3t)1/2wheret=numberofyearsheldforagingpriortosale.,AdvancedTopicsinCapitalBudgeting,Also,assumethatK=10%,investmentoutlayperbottle=$1.Thus,NPVforeachbottleis:NPV=-cost+(3t)1/2/(1+K)t=-1+(3t)1/2/(1+10%)tObviously,agingthewinelongerwillincreasethenetrevenue,butalsoincreasethecapitalorcarryingcosts.Therefore,themanagementofthewinerywanttochoset*tomaximizeNPV.(c)MaximizeNPVperBottleSetd(NPV)/d(t)=0t*=1/2Ln(1+K)=1/2Ln(1.1)=5.2Years(d)AlternativeSolutionYearPrice/bottlePVPrice/bottleNPV1$1.73$1.57$0.572$2.45$2.02$1.023$3.00$2.25$1.254$3.46$2.36$1.365*$3.87$2.40$1.406$4.24$2.39$1.39,AdvancedTopicsinCapitalBudgeting,VII.OptimalCapitalBudgetingMCC-IOSMethod1.MarginalCostofCapitalMCC(1)WhatisMCC?Themarginalcostofanyitemisthecostofanotheruniteofthatitem.AsdefinedinEconomics,themarginalcostoflaboristhecostofaddingonadditionalworker.TheMarginalcostofcapitaliddefinedasthecostofobtaininganotheroradditionaldollarofnewcapital.(2)CharacteristicsofMCC(a)Themarginalcostofcapitalis,infact,onetypeorspecialcaseoftheweightedaveragecostofcapital.Inotherwords,themarginalcostofcapitalcanbedeterminedbyanoptimalcapitalstructurebasedonmarketvalueandbycostsofnewcapitalsraised;(b)Intheory,themarginalcostofcapitalwillriseasmoreandmorenewcapitalisraised.ThissuggeststhatanyfirmcannotraiseanunlimitedamountofcapitalatafixedWACC.,厦门大学吴世农,(3)HowtoMeasureandDeterminetheMarginalCostofCapital?(a)Example,厦门大学吴世农,Assumption2:thatCarsonFoodapprovedaninvestmentprojectwithcapitalexpenditureof$1million,tomaintainingthetargetcapitalstructure,thefirmhastoraise30%newdebt,10%newpreferredstockand60%newequity;Assumption3:thatthenewcommonequitywillbefirstlyraisedbytheretainingearnings;Assumption4:thecostofdebtremainsthesameas10%iftheretainedearningsareused;Thus,Ks2=D1/P0(1-F)+g=1.6/20(1-10%)+7%=15.9%Kp2=D1/P0(1-F)=2.4/20(1-10%)=13.33%MCC2=WACC2=WdKd(1-T)+WpKp+WsKs=0.3(10%)(1-40%)+0.1(13.33%)+0.6(15.9%)=1.8%+1.333%+9.5%=12.63%TheresultabovemeansthatWACC,whichisMCC,is12%solongasretainedearningsareused,butMCCwilljumpsfrom12%to12.63%assoonasCarsonuseduptheretainedearnings$420000.,AdvancedTopicsinCapitalBudgeting,(e)FirstBreakPointinMCCNowwealsocanfigureoutabreakpointwhichindicatesthatthetotalamountofnewcapitalCarsoncanraiseat12%(ratherthan12.63%)beforeitisforcedtosellnewcommonstock.Afterthisbreakpoint,Carsonwillhavetoraisenewcapitalbysellingnewcommonstockandtheoverallcostis12.63%ratherthan12%.BreakPoint=TotalAmountofNewCapital=X=RetainedEarnings/60%=42000/60%=$700000Theresultabovemeansthatthetotalamountofnewcapitalis$700000whichconsistsof30%fromNewDebt:700000(30%)=$210000atcostof10%10%fromPreferredS.:700000(10%)=$100000atcostof12%60%fromRetainedE.:700000(60%)=$420000atcostof15%Thus,implicationoftheresultaboveistwofold.IfCarsonUseslessthanthetotalofnewcapital$7000000,WACC=12%;IfCarsonusesmorethanthetotalofnewcapital$7000000,WACC=12.63%.,厦门大学吴世农,(f)SecondBreakPointinMCCSupposethatCarsononlycanenjoythelowinterestrate10%ifitborrow$3000000,ifCarsonwantstoborrowmoredebt,thenewdebtwillcostat12%,whiletheothersremainunchanged.Thus,MCC2=WACC2=WdKd(1-T)+WpKp+WsKs=0.3(12%)(1-40%)+0.1(13.33%)+0.6(15.9%)=2.16%+1.333%+9.5%=12.993%Again,wecanfigureoutanotherorsecondbreakpointwhichindicatesthatthetotalamountofnewcapitalCarsoncanraiseat12.63%instead12.993%beforeitisforcedtoborrownewdebt.Afterthesecondbreakpoint,Carsonwillhavetoraisenewcapitalbyborrowingnewdebtandtheoverallcostwilljumpfrom12.63%to12.993%.BreakPoint=TotalAmountofNewCapital=X=NewDebt/30%=$300000/30%=$1000000Theresultabovemeansthatthetotalamountofnewcapitalis$1000000whichconsistsof,AdvancedTopicsinCapitalBudgeting,30%fromNewDebt:1000000(30%)=$300000atcostof12%10%fromPreferredS.:1000000(10%)=$100000atcostof13.33%60%fromRetainedE.:1000000(60%)=$600000atcostof15.90%Thus,implicationoftheresultaboveistwofold.IfCarsoninsecondtimeUseslessthanthetotalofnewcapital$10000000,WACC=12.63%;IfCarsonusesmorethanthetotalofnewcapital$10000000,WACC=12.993%.(g)SummaryonMCCsWACC/MCC(%)MCC3=12.993%MCC2=12.63%MCC1=12%NewCapital$700,000$1,000,000,厦门大学吴世农,2.InvestmentOpportunityScheduleIOS(1)WhatisIOS?IOSisalistofproposedorpotentialinvestmentprojectbyagraph,whichisaplotofeachprojectsIRRsindescendingorderversusthedollarsofnewcapitalrequiredtofinancetheprojectsgiventhatthetargetedcapitalstructureisremainsunchangedsothatminimumIRRislargerthantheWACC.(2)NoticeforIOS(a)MutuallyInclusiveProjectsIftheproposedprojectsaremutuallyinclusive,therewillexistoneIOSfortheseprojectsonly.Forexample,ifthereare5projects,A,B,C,D,andEwhicharemutuallyinclusive,sothereexistsoneIOSforforA,B,C,D,andE.(b)MutuallyExclusiveProjectsIftheproposedprojectsaremutuallyexclusive,therewillexistmoreIOSs.Forexample,ifthereare5projects,A,B,C,D,andE,ofwhichAandBaremutuallyexclusive,sothereexist2IOSs,oneisforA,C,D,E;theotherisforB,C,D,E.,AdvancedTopicsinCapitalBudgeting,(3)IllustrationofIOS(a)ExampleSolidLineforfirstsetincludesB,C,D,E,andF.Thus,thetwoIOSsarepresentedinthefollowingfigure:IRR/MCC(%)40B30CA20D10EF$0200,000400,000600,000800,0001,000,0001,200,0001,400,000,AdvancedTopicsinCapitalBudgeting,3.MCC-IOSforanOptimalCapitalBudgeting(1)WhyMCCvs.IOSWillProduceanOptimalCapitalBudgeting?(a)HowtoDetermineanOptimalCapitalBudgeting?AnoptimalcapitalbudgetingcanbeobtainedbycombiningCarsonFoodsMCCsanditsIOSstogether,inotherwords,puttheMCCsandIOSsintoonefigurewiththesamescalefortheoptimalcapitalbudgeting.(b)WhycantheCombinationProduceanOptimalCapitalStructure?TheresultbythecombinationoftheMCCsandIOSswillreveals(1)whichprojectswillproducepositiveornegativeNPV;(2)thecostofcapitalusedinthecapitalbudgetingprocessisactuallydeterminedbytheintersectionoftheIOSandMCCschedules.Ifthisintersectionrateisused,thefirmwillmakeacorrectdecisiontoreject/accepttheprojects,andtheamountofcapitalsourcesandthatofcapitaluseswillbeoptimal,otherwise,notoptimal.,厦门大学吴世农,(2)AnOptimalCapitalBudgetingforCarsonFoodNowcombiningCarsonFoodsMCCsanditsIOSstogether,putthemintoonefigurewiththesamescale,theresultwillreveals(1)whichprojectswillproducepositiveornegativeNPV;(2)thecostofcapitalusedinthecapitalbudgetingprocessisactuallydeterminedbytheintersectionoftheIOSandMCCschedules.Ifthisintersectionrateisused,thefirmwillmakeacorrectdecisiontoreject/accepttheprojects,andtheamountofcapitalsourcesandthatofcapitaluseswillbeoptimal,otherwise,notoptimal.IRR/MCC(%)40B=38.5%C=30.2%30A=27%20D=15%MCC2=12.63%MCC3=12.993%MCC1=12%MCC10E=12%F=11.5%IOS$0200,000400,000600,000800,0001,000,0001,200,0001,400,000,AdvancedTopicsinCapitalBudgeting,(a)SomeConclusionsConclusion1:ProjectsEandFshouldberejectedbecausetheyhavetobefinancedwithcapitalatthecostofcapital12.63%and12.993%,whicharegreaterthanEandFsIRRs.Atthesecosts,bothprojectsEandFwillproducenegativeNPVs.Conclusion2:CarsonshouldaccepteitherprojectsA,C,andDorprojectsB,C,andD.BothoftheirIRRsarelargerthanMCCs,andNPVsarepositive.Conclusion3:ProjectsB-C-DaremoreoptimalthanprojectA-C-D.OutlayIRROutlayIRRB100,00038.5%A100,00027.2%C500,00030.2%C500,00030.2%D200,00015.2%D200,00015.2%Total=800,000Mean=27.4874%Total=800,000Mean=26.075%,CapitalBudgetingforSpecialProjects,VIII.SpecialProjectsNewChallengestoCapitalBudgeting1.ThreeTypesofSpecialProjects(1)LeasingProject（租赁项目）Afirmmayleaseequipmentandbuildingtoobtaintheuseoffacilitiesratherthanbuyingthemwhenthefirmwantstosetupanewproductline.In1984inUSA,20%ofnewcapitalequipmentacquiredbybusinesseswasfinancedviaLeaseArrangement.Atypicalleaseprojectcomesfromairlinecompanies,theyleasemostoftheirair-planestooffertransportationservices.(2)BOT(Build-Operate-Transfer)Project（特许权项目）Government(orfirms)mayauthoriseafirmtoinvestinandrunaproject(buildandoperate)fornyears,andthenrequiresthefirmtotransfertheprojecttothegovernment(orthefirms).Bydoingso,thefirmauthorisedbythegovernment(orthefirms)willpayforcapitalexpenditure,厦门大学吴世农,constructtheproject,andruntheprojectfornyearsaftertheconstructionisfinished.Ascontractedyearsareover,theprojectwillbereturnedtothegovernment(orthefirms).(a)ApplicationsofBOT(a-1):InfrastructureHighways:PowerStationsBridgesWaterSupplyingSystemTunnelsTelecommunicationSystemAirports(a-2):PrivateProjectsinIndustries(b)TypicalCasesofBOTAbroad:England-FranceTunnelunderEnglishChannelAustraliaSouth-NorthHighwayHome:Sa-jiaoB-PowerStationinGuangDong,ChinaLai-BinB-PowerStationinGuangXi,China,CapitalBudgetingforSpecialProjects,(3)ABS(Asset-BackedSecurization)Project（资产支撑证券化项目）TheprocessofconvertingloansintomarketablesecuritiesisknownasSecurization.Whenthemortgageloans,consumerloans,commercialloans,andleasesaresecurized,thepoolsofassetsbackingaparticularissuearetransferredtoaGrantorTrust,apassiveentitythatissuesthesecuritiesthatarepurchasedbyinvestors.Virtually,anydebtobligationwithregularlyscheduledprincipalandinterestpaymentscanbesecurized:auto-loans,creditcardreceivables,vehicleandequipmentleases,consumerloans,andotherobligations.(a)ABSwithFinancialAssets(a-1):Mortgage-BackedSecurity(MBS):CollateralizedMortgageObligations(CMOs)RealEstateMortgageInvestmentConduits(REMICs),厦门大学吴世农,(a-2):CollateralizedAuto-ReceivableSecurity(CARS)(b)ABSwithInvestmentProjectsRecently,theprocessofABSisappliedtoinvestmentprojects,particularlyforsomeprojectsNCFsarerelativelystable.Inotherword,thepoolofinvestmentprojectsloanswillbeconvertedintomarketablesecurities,andthesecuritysholderswillregularlyreceiveprincipalandinterestfromtheprojectsfutureincome.Ofcourse,theprocessofABSwithinvestmentprojectsalsoneedsGrantorTrust.,CapitalBudgetingforSpecialProjects,2.NewChallenges(1)EstimationonCostsofCapitalsMoreComplicatedFinancialinstrumentssuchasoptions,convertiblebonds,warrantsdiversifythesourcesofcapitals,butincreaseadifficultyinestimatingcostsofcapitals;(2)ProjectUncertainty(4)EvaluationMethodsCapitalBudgetingTechniquesarenotapplicabletosolvesomespecialprojectsbasedonafinancialinnovation,orinsomecases,needsomeadjustments.,厦门大学吴世农,3.Characteristics(1)Legal/FinancialContractSpecialprojectsinnaturearelegal/financialcontracts,whicharesignedbyfirmsorpeopleinvolvedintheseproject.Forexample,afirm(lessee)wantstoleaseequipmenthastosignaleasingcontractwithlessor.(2)MutualorMulti-sidesSincethatspecialprojectsusuallyarelegal/financialcontractssignedbyfirms/peopleinvolvingintheseprojects.Inmostcases,thereareatleasttwosidesinvolvingtheseproject,whilesometimestherearemorethantwosides.(3)EvaluationforMutual/Multi-sidesFirms/peoplewhoparticipateintheseprojects(debt-holdersandstockholders,lesseesandlessors,authorityandfirms/peoplebeingauthorised,trustees,andsoon)areconcernedaboutthefinancial/economicefficiencyofaproject,butfromtheirpointsofviews.Forexample,aleasingprojectareevaluatedbybothlessee(承租人)andlessor(出租人),CapitalBudgetingforSpecialProjects,thelesseemustdetermineifleasinganassetislesscostlythanbuyingthatasset;thelessormustdecideiftheleasingpaymentsareabletoproduceatargetrateofreturn.VX.CapitalBudgetingforaLeaseProject1.TypesofLeases(1)Sale-and-Leaseback（售后租赁）Afirmthatownsphysicalassets(suchasland,equipment,andbuilding)sellsthepropertiestoafinancialinstitution(suchasbankorinsurancecompanies),andsimultaneouslyexecutesanarrangementtoleasethepropertiesbackforaspecificperiodunderspecificterms.,厦门大学吴世农,(2)OperatingLease（经营租赁）Operatinglease,alsocalledservicelease,whichalessornotonlyleasesitspropertytoalessee,butalsoprovidesbothfinancingandmaintenance.(a)Maintenance(c)CancellationClauseAfinancialleaseisnotcancelable;(d)Tax(e)SimilaritytoandDifferencefromSale-and-LeasebackAfinancialleaseisalmostthesametosale-and-leasebackintermsofprocedure,buttwomajordifferencesexist,oneisthattheleasedequipmentisnew,antheristhatthelessorbuysitfromamanufacturersordistributorsinsteadoffromtheuser-lessee.,CapitalBudgetingforSpecialProjects,2.EffectsofLeaseProject(1)IncomeTaxEffectForalessee,thefullamountofannualrentalpaymentisatax-deductibleexpenseforincometaxpurposeprovidedbyIRS(InternalRevenueService,USA)agreestotreatthepaymentsasatax-deductibleexpenseinsteadof“awaytoselltheequipment”.Topreventsomeproblemraisedfromleasesuchasfastpaymentsfortaxdeduction(fasterthanannualdepreciationinACRSclasslifewillresultinmoretax-savingsbyapresentvalue),IRStreatsaleasearrangementtobeasaleinsteadoftrueleasebytworules:(a)LeasingPeriodandPaymenttoPriceThetotalleasepaymentsaremadeoverarelativelyshorterperiodandapproximatetothepriceoftheproperty;(b)EconomicLifeofLeasedPropertyThelesseemaycontinuetousethepropertyoverthereminderofitslifeforrelativelynominalrentalpayments.,厦门大学吴世农,(2)FinancialStatementEffectLeasingisoftencalled“offbalancesheetfinancing”（表外融资）.Thisisbecauseleasepaymentsareshownasoperatingexpensesonafirmsincomestatement,butundercertainconditions,neithertheleasedassetsnortheleasedliabilitiesonthefirmsbalancesheet.Itisimportanttounderstandthatalesseehaspayregularrentals,andthusaleasewillincreaseitsfixedcharges,butnoeffectonitsdebtsratiooccurs.Ifthelesseefailstopaytheregularrentalpayments,itmaybefacedwithfinancialbankruptcy.Tocorrectthisproblem,FASB#13stated“capitalizingthelease”,whichrequiredthat,foranunqualifiedreport,firmsthatinvolveinfinancialleasesmustrestatetheirbalancesheettoreporttheleasedassetasafixedassetandthepresentvalueoffutureleasepaymentsasadebt.3.CapitalBudgetingforLesseeandLessor(1)CapitalBudgetingforLessee(a)LeaseorPurchase?Alease,fromalesseespointofview,willbecomparedwithapurchasebyborrowing,byretainedearnings,orbysellingnewequity.,CapitalBudgetingforSpecialProjects,Forsimplicity,aleaseisusuallycomparedanalternativeBorrowtoBuy(BTB).Consequently,atleasttwoalternativeprojectshavetobeevaluatedandthencomparedwitheachother.(b)NPVandIRRForaleaseproject,NPVprocedureisstillaeffectivetodeterminewhetheralesseeshouldacquireanequipmentbyaleaseorbyBTB,however,thereisamajordifference:itcompareleasewithBTBbyPresentvalueofNetCashOutflows,thusaNetAdvantageofLeaseiscreatedasfollowstojudgewhichalternativeisbetter:NAL=PresentValueofLeasingCosts-PresentValueofBTBCostsInaddition,IRRfromalesseesviewpoint,aleasealsocanbeevaluatedby