公司理财：原理与实践（第8版）课件 第7章 投资评估应用与风险

CorporatefinanceEighthEditionChapter7Investmentappraisal:applicationsandriskRelevantprojectcashflowsRelevantcashflowsareincrementalcashflowsarisingfromaninvestmentdecision,suchasinitialinvestment,cashfromsalesanddirectcostofsalesSunkcostsApportionedfixedcostsOpportunitycostsIncrementalworkingcapitalTaxationTaxreliefoncapitalexpenditureisgiventhroughcapitalallowances18%reducingbalancecapitalallowancesgivenonplantandmachineryinUK100%first-yearallowancesarecurrentlyofferedoncertainassettypesBalancingallowanceandbalancingchargeTaxation(continued)Example:Machinecosts£200,00025%reducingbalancecapitalallowancesExpectedlifeofmachineis4yearsScrapvalueafter4yearsis£20,000Corporationtaxis20%,

1yearinarrearsCalculatecapitalallowancesandassociatedtaxbenefitsCapitalallowances: TaxbenefitYear1:200,000×0.25=£50,000£10,000Year2:150,000×0.25=£37,500 £7,500Year3:112,500×0.25=£28,125 £

5,625Year4:84,375×0.25=£21,094Balancingallowance*:£43,281 £12,875*(84,375−21,094−20,000) £36,000Taxation(continued)Taxation(continued)TaxliabilityarisesontaxableprofitsTaxreliefisavailableonallowablecostssuchasmaterials,wagesandmaintenanceInterestpaymentsarenotrelevantcashflowsastheyareincludedinthediscountrateAfter-taxcashflowsmustbediscountedwitharelevantafter-taxcostofcapitalTimingoftaxliabilitiesandbenefitsInflationInflationcanhaveaseriouseffectoncapitalinvestmentdecisionsTherealvalueoffuturecashflowscanbeseriouslyreducedTheuncertaintyassociatedwiththevalueoffuturecashflowsisincreasedTherealcostofcapitalisfoundfromthenominal(ormoney)costofcapitalbymakinganadjustmentforinflation:

(1+realcostofcapital)×(1+rateofinflation) =(1+nominalcostofcapital)Formula: (1+r)×(1+i

)=(1+n)Inflation(continued)WemeetbothgeneralandspecificinflationInflationandworkingcapitalWecanuseeitheranominalorareal-termsapproachtoinvestmentappraisalNominalterms:nominalcashflowsarediscountedwithanominalcostofcapitalRealterms:realcashflowsdiscountedwitharealcostofcapitalInflation(continued)CashflowsinflatedwithspecificorgeneralinflationarenominalcashflowsNominalcashflowsdeflatedbygeneralrateofinflationarerealcashflowsNPVfoundbydiscountingrealcashflowswithrealcostofcapitalissameasNPVfoundbydiscountingnominalcashflowswithnominalcostofcapitalInflation(continued)RiskanduncertaintyRiskreferstoasetofuniquecircumstanceswhichcanbeassignedprobabilitiesUncertaintyimpliesprobabilitiescannotbeassignedtodifferentsetsofcircumstancesInpractice,theterms‘risk’and‘uncertainty’areoftenusedinterchangeablyRiskincreaseswithvariabilityofreturnsUncertaintyincreaseswithprojectlifeSensitivityanalysisAmethodofevaluatingprojectriskItexaminestheresponsivenessofprojectNPVtochangesinprojectvariablesOnlyonevariableischangedatatimeOnemethodinvolveschangingvariablesby

asetamountthenrecalculatingNPVAnothermethodinvolvesfindingthechangeinavariablewhichgivesazeroNPVSensitivityanalysis(continued)Sensitivityofprojectvariable =ProjectNPV/PVofprojectvariable(%)Example:PVofsalesrevenue=£1.5mPVofvariablecosts=£0.6mNPV=£0.2mSalesrevenuesensitivity=0.2/1.5=13%Variablecostsensitivity=0.2/0.6=33%Salesvolumesensitivity=0.2/0.9=22%SensitivityanalysisindicatesthekeyorcriticalvariablesforaninvestmentprojectKeyprojectvariablesmaymeritfurtherinvestigationtocheckassumptionsKeyvariablesfocusattentionofmanagersonfactorswhichmightpreventsuccessSensitivityanalysis(continued)Problemswithsensitivityanalysis:OnlyonevariableatatimecanbechangedNoindicationisgivenoftheprobabilityofchangesinkeyprojectvariablesNotreallyamethodofanalysingprojectrisk,sinceprobabilitiesareignoredSensitivityanalysis(continued)PaybackPaybackrecognisesuncertaintybylookingatthenearfuture,andbyemphasisingliquidityandshort-termreturnsShorteningpaybackperiodisanintuitivewayofrecognisinghigherriskSmallfirmsmaybeconcernedwithliquidityNotrecommendedaswayofdealingwithriskduetoseriousshortcomingsasinvestmentappraisalmethodConservativeforecastsKnownalsoascertaintyequivalentsUncertainfuturecashflowsarereducedtoasmaller,moreconservativevalueReductionsmaybesubjectiveorappliedinconsistentlyUseofconservativeforecastsmayleadtorejectionofattractiveinvestmentprojectsRisk-adjustedrateclassesAppliesconceptofriskpremium,whichhastimepreferenceandriskpreferenceelementsHurdlerateincreasesforriskierprojectsHardtochooseriskpremiumforgivenprojectOnesolutionistoputprojectsinriskclassesandallocateriskpremiumsStilldifficulttoassessprojectriskandtoassignsomeprojectstodifferentclassesProblemswithrisk-adjustedrates:ProjectsarelikelytobeallocatedtoriskclassesonthebasisoftotalriskAllocationtoriskclassesislikelytotakeaccountofcompanyriskonlyRiskpremiumsarelikelytobederivedonanadhocbasisRisk-adjustedrateclasses(continued)ProbabilityanalysisandENPVProbabilitydistributionsofexpectedcashflowscanbeusedtoobtainexpectedNPVsProjectriskcanbeevaluatedbycalculating:theexpectednetpresentvalue(ENPV)theprobabilityofanegativeNPVtheprobabilityoftheworstcasethestandarddeviationofprojectNPVScenarioanalysisillustratesthisapproachProblemswithprobabilityanalysis:ScenarioanalysisassumesthatagivenstateisfixedoverthelifeoftheprojectProbabilityestimatesofeachstatearebasedonsubjectivejudgementENPVitselfisnotexpectedtooccurasitisthemeanNPVofsinglepointNPVestimatesProbabilityanalysisandENPV(continued)SimulationmodelsProbabilitydistributionsassignedtoeachprojectvariableSimulationmodelsdetermineeffectofsimultaneouschangesinseveralvariablesForexample,variablevaluescanbeselectedbyprobability-basedrandomnumbersComputermakeslargenumberofrunswithrandomnumbersreselectedateachrunRepeatedrunsbuildupprobabilitydistributionofNPVoutcomesSpreadsheetsoftwareandcheapcomputingpowerhaveincreaseduseofthismethodMoredetailedinformationonexpectedNPVmakesprojectevaluationmoredifficult,sincebothNPVanditsstandarddeviationneedtobeconsideredSimulationmodels(continued)DistinctivefeaturesofFDIProjectcashflowsmayneedevaluatinginaforeigncurrencyForeigntaxsystemversushometaxsystemProjectcashflowsversusparentcashflowsRestrictionofprojectcashflowremittancesExchangerateforecastsarerequiredParentshareholderperspectiveisparamount

MethodsofevaluatingFDIMostmultinationalsuseDCFmethodsinFDIevaluation,withIRRpreferredtoNPVUseofDCFappraisalmethodsdoesnotappeartohaveincreasedinrecentyearsManycompaniesdonotuseafter-taxparentcompanycashflowswhenevaluatingFDISomefirmsusecostofdebtasdiscountrateLocallevelFDIevaluationComparesFDIwithsimilarinvestmentprojectsinaforeigncountryIgnoresextentofremittancesIgnoresvalueofprojecttoparentcompanyshareholdersLocalprojectcashflowsmustbeidentifiedEffectonexistingexportsales?ParentlevelFDIevaluationActualreceiptsandpaymentsinparentcompanycurrencymustbeusedInitialinvestmentReturnsoninvestmentReceiptsfromintercompanytradeAccumulatedcontributionsTaxationconsiderationsParentlevelFDIevaluation(continued)Recommendedapproach:Forecastmoney-terms,after-taxcashflowsinlocalcurrencywhichcanberemittedForecastfutureexchangeratesConvertremittablecashflowsintohomecurrencyadjustingforanyfurtherUKtaxApplyafter-tax,risk-adjusteddiscountrateAcceptifNPVisfavourableTaxationandFDIDoubletaxationanditsreliefParentcompanypayshigheroflocaltaxordomestictaxonremittancesreceivedCapitalallowancesUKtaxliabilitycanbeassessedfromtaxableprofitsofforeignsubsidiaryUKliabilityreducedbytaxalreadypaidinordertofindUKtaxpayableFDIexampleWKsubsidiarysoldasgoingconcern,henceworkingcapitalnotrecoveredInitialinvestment:$5mCapitalallowance=$5m×0.2=$1,000,000Annualinterest=$500,000×0.1=$50,000Capitalallowancescanbedeductedtogivetaxableprofit,andthenaddedbackasanon-cashitemtogiveafter-taxcashflowsUKtaxchargecalculatedasfollows:Y1taxableprofit($)=2,190,000Y1taxableprofit(£)=2,190,000/2.63=£832,700UKtaxliability=832,700×0.24=£199,848Localtaxpaid=832,700×0.20=£166,540UKtaxpayable=199,848–166,540=£33,308FDIexample(continued)Year 123 4 5 $000$000$000$000$000Cashprofits 32403499377940814408Capitalallowances

(1000)

(1000)

(1000)

(1000)(1000)Interest

(50)

(50)

(50)

(50)

(50)Profitbeforetax 21902449272930313358Tax

(438)

(490)

(546)

(606)

(672)Profitaftertax 17521959218324252686AddbackCAs 10001000100010001000After-taxcashflow

27522959318334253686FDIexample(continued)Year 123 4 5 $000$000$000$000$000After-taxCF 27522959318334253686Investment(5000)WC

(500)

(40)(43)

(47)

(50)

(54)Loan 500 (500)Sale 12,000Remittable

(5000)271229163136337515,132X-rate(B/£)

2.502.632.762.903.043.19Netcash(£)(2000)103110571081

11104744FDIexample(continued)FDIexample(continued)Year 0 1 2 3 4 5 £000£000£000£000£000£000Netcash(£)(2000)103110571081

11104744UKtax (33)(36)(38)

(40)

(42)UKaftertax(2000)

99810211043

10704702Lostsales

(82)(85)

(88)

(91)