財(cái)務(wù)管理hapter 9公司理財(cái)

1、PAGE PAGE 81CHAPTTER 99Capittal BBudgeetingg andd RisskAnsweers tto Prractiice QQuesttionssa.reequitty = rf + (rm rf) = 0.044 + (1.5 0.006) = 0.113 = 13%b.rasssetss = 00.0944 = 99.4%c.Thhe coost oof caapitaal deependds onn thee rissk off thee proojectt beiing eevaluuatedd. IIf thhe riisk oof thhe pr

2、rojecct iss simmilarr to the riskk of the otheer asssetss of the comppany, theen thhe appproppriatte raate oof reeturnn is the comppany costt of capiital. Heere, the apprropriiate disccountt ratte iss 9.44%.d.rrequiity = rf + (rm rf) = 0.044 + (1.2 0.006) = 0.1112 = 11.2%rasssetss = 00.08332 = 8.322

3、%2.a.b.rr = rrf + (rm rf) = 0.055 + (0.8336 0.06) = 0.100116 = 10.016%Interrnet exerrcisee; annswerrs wiill vvary.Interrnet exerrcisee; annswerrs wiill vvary.Notee: Inn thee firrst pprintting of tthe ttext, thee tabble ffor PPracttice Quesstionn #5 incoorrecctly showws thhe sttandaard ddeviaationns

4、wrritteen wiith ddecimmal ppointts.a. The R2 vallue ffor BBP waas 0.27, wwhichh meaans tthat 27% oof tootal riskk commes ffrom moveementts inn thee marrket (i.ee., mmarkeet riisk). Thhereffore, 73% oof tootal riskk is uniqque rrisk.The RR2 vallue ffor BBritiish AAirwaays wwas 00.37, wwhichh meaans t

5、that 37% oof tootal riskk commes ffrom moveementts inn thee marrket (i.ee., mmarkeet riisk). Thhereffore, 63% oof tootal riskk is uniqque rrisk.The vvariaance of BBP iss: (225)2 = 6225Markeet riisk ffor BBP: 00.27 625 = 1688.75Uniqque rrisk for BP: 00.73 625 = 4566.25The tt-staatisttic ffor BBA iss:

6、 2.12/0.377 = 5.73This is ssigniificaant aat thhe 1% levvel, so tthat the conffidennce llevell is 99%.d.rrBA = rf + BAA (rm rf) = 0.055 + 2.122 (0.12 0.005) = 0.19844 = 199.84%e.rrBA = rf + BAA (rm rf) = 0.055 + 2.122 (0 0.05) = 0.05660 = 5.660%Interrnet exerrcisee; annswerrs wiill vvary.7.Thhe toot

7、al markket vvaluee of outsstandding debtt is 100 miillioon. The costt of debtt cappitall is 7.5 pperceent. Forr thee commmon stocck, tthe ooutsttandiing mmarkeet vaalue is:40 2 miillioon = 80 milllionn. TThe ccost of eequitty caapitaal iss 11perrcentt. TThus, Lorreleiis wweighhted-averrage costt of

8、capiital is:rasssetss = 00.0906 = 9.06%8.a.rBN = rf + BNN (rm rf) = 0.0335 + (0.553 00.08) = 00.07774 = 7.744%rINND = rf + INND (rm rf) = 0.0335 + (0.449 00.08) = 00.07442 = 7.422%No, wwe caan noot bee connfideent tthat Burllingttonss truue beeta iis noot thhe inndusttry aaveraage. Thee difffereence

9、 betwween BN annd INND (00.04) is lesss thaan onne sttandaard eerrorr (0.20), so we ccannoot reejectt thee hyppotheesis thatt BN = IND.Burliingtoons betaa migght bbe diifferrent fromm thee inddustrry beeta ffor aa varrietyy of reassons. Foor exxamplle, BBurliingtoons busiinesss migght bbe moore ccyc

10、liical thann is the casee forr thee typpicall firrm inn thee inddustrry. Or BBurliingtoon miight havee morre fiixed operratinng coosts, so thatt opeeratiing lleverrage is hhigheer. Anotther posssibillity is tthat Burllingtton hhas mmore debtt thaan iss typpicall forr thee inddustrry soo thaat itt ha

11、ss higgher finaanciaal leeveraage.a.Thhe thhreatt of a cooup ddtaat meeans thatt thee exppecteed caash fflow is lless thann $NZZ900 milllion. Thhe thhreatt couuld aalso incrreasee thee disscounnt raate, but onlyy if it iincreeasess marrket riskk.If Neew Zeealannd Maarinee prooceedds wiith tthe ccons

12、ttructtion of tthe ssupplly suubmarrine and the Repuublicc theen faails to mmake the finaal $NNZ9000 milllionn payymentt, thhen NNew ZZealaand MMarinne caan seell tthe ssubmaarinee to anotther buyeer foor $NNZ6000 milllionn. TThereeforee, thhe exxpectted ccash floww forr thee yeaar 2 paymment is:(0.

13、200 $NZ6600 mmilliion) + (00.80 $NZ9900 mmilliion) = $NNZ8400 milllionnAssumme thhat NNew ZZealaand MMarinnes costts aree inccurreed eqquallly inn Yeaar 0, Yeaar 1 and Yearr 2, and thatt thee cassh fllows are abouut ass rissky aas thhe reest oof thhe coompannys busiinesss. TThen:PVV = 4000 + 5500 +

14、( 400/1.100) + ( 400 + 8440)/11.1022 = +100orr $NZZ100 millliona.Iff youu agrree tto thhe fiixed pricce coontraact, operratinng leeveraage iincreeasess. CChangges iin reevenuue reesultt in greaater thann prooporttionaate cchangges iin prrofitt. IIf alll coosts are variiablee, thhen cchangges iin ree

15、venuue reesultt in propportiionatte chhangees inn proofit. Buusineess rrisk, meaasureed byy asssets, alsso inncreaases as aa ressult of tthe ffixedd priice ccontrract. Iff fixxed ccostss equual zzero, theen:asssets = reevenuue. Howeever, as PV(ffixedd cosst) iincreeasess, asssetss inccreasses.b.Wiit

16、h tthe ffixedd priice ccontrract:PV(aassetts) = PV(reveenue) PPV(fiixed costt) PV(vvariaable costt)PV(aassetts) = $977,4622,7100Withhout the fixeed prrice conttractt:PV(aassetts) = PV(reveenue) PPV(vaariabble ccost) = $1111,1111,1111a.Exxpectted ddailyy prooducttion =(00.2 0) + 0.88 (0.4 x 1,0000) +

17、 (0.6 x 5,0000) = 2,720 barrrelsExppecteed annnuall cassh reevenuues = 2,7720 xx 3655 x $15 = $144,8922,0000The ppossiibiliity oof a dry holee is a diiverssifiaable riskk andd shoould not affeect tthe ddiscoount ratee. TThis posssibillity shouuld aaffecct foorecaastedd cassh fllows, howweverr. SSee

18、PPart (a).Ratioo of sCorreelatiionBetaBraziil6.290.53.15Egyptt5.670.52.84Indiaa5Indonnesiaa7.290.53.65Mexicco3.920.51.96Polannd1Thailland6.320.53.16Southh Afrrica4.040.52.02The betaas inncreaase ccompaared to tthosee repporteed inn Tabble 99.2 bbecauuse tthe rreturrns ffor tthese

19、e marrketss aree noww morre hiighlyy corrrelaated withh thee U.SS. maarkett. TThus, thee conntribbutioon too oveeralll marrket riskk beccomess greeaterr.The iinforrmatiion ccouldd be helppful to aa U.SS. coompanny coonsidderinng innternnatioonal capiital inveestmeent pprojeects. Byy exaaminiing tthe

20、 bbeta estiimatees, ssuch comppaniees caan evvaluaate tthe ccontrributtion to rrisk of tthe ppotenntiall cassh fllows.A Gerrman comppany woulld noot fiind tthis infoormattion usefful. Thee rellevannt riisk ddepennds oon thhe beeta oof thhe coountrry reelatiive tto thhe poortfoolio heldd by inveestor

21、rs. Germman iinvesstorss do not inveest eexcluusiveely, or eeven primmarilly, iin U.S. ccompaany sstockks. Theyy invvest the majoor poortioon off theeir pportffolioos inn Gerrman comppany stoccks.The oopporrtuniity ccost of ccapittal iis giiven by:r = rf + (rrm rf) = 0.055 + (1.2 0.006) = 0.1122 = 1

22、2.2%Therreforre:CEQ1 =150(11.05/1.1222) =140.337CEQ2 =150(11.05/1.1222)2 =131.337CEQ3 =150(11.05/1.1222)3 =122.994CEQ4 =150(11.05/1.1222)4 =115.005CEQ5 =150(11.05/1.1222)5 =107.667a1 =140.337/1550 =0.93558a2 =131.337/1550 =0.87558a3 =122.994/1550 =0.81996a4 =115.005/1550 =0.76770a5 =107.667/1550 =0.

23、71778Fromm thiis, wwe caan seee thhat tthe aa t vaaluess decclinee by a coonstaant ppropoortioon eaach yyear:a2/a11 =0.87558/0.93588 =0.93558a3/a22 =0.81996/0.87588 =0.93558a4/a33 =0.76770/0.81966 =0.93558a5/a44 =0.71778/0.76700 =0.93558a.Ussing the Secuurityy Marrket Linee, wee finnd thhe coost oof

24、 caapitaal:r = 0.07 + 1.5 (0.16 0.007) = 00.2055 = 220.5%Theerefoore:b.CEQ1 =40(1.07/11.2055) =35.522CEQ2 =60(1.07/11.2055)2 =47.311CEQ3 =50(1.07/11.2055)3 =35.011c.a1 =35.522/40 =0.88880a2 =47.311/60 =0.78885a3 =35.011/50 =0.70002d.UUsingg a cconsttant riskk-adjjusteed diiscouunt rrate is eequivval

25、ennt too asssuminng thhat aat deccreasses aat a consstantt commpounnded ratee.At t = 2, theere aare ttwo ppossiible valuues ffor tthe pprojeectss NPVV:Therreforre, aat t = 0:Challlengee QueestioonsIt iss corrrectt thaat, ffor aa higgh beeta pprojeect, you shouuld ddiscoount all ccash flowws att a hh

26、igh ratee. TThus, thee higgher the riskk of the cashh outtflowws, tthe lless you shouuld wworryy aboout tthem becaause, thee higgher the disccountt ratte, tthe ccloseer thhe prresennt vaalue of tthesee cassh fllows is tto zeero. Thiis reesultt doees maake ssensee. IIt iss bettter to hhave a seeriess

27、 of paymmentss thaat arre hiigh wwhen the markket iis booominng annd loow whhen iit iss sluumpinng (ii.e., a hhigh betaa) thhan tthe rreverrse.The bbeta of aan innvesttmentt is indeependdent of tthe ssign of tthe ccash flowws. If aan innvesttmentt hass a hhigh betaa forr anyyone payiing oout tthe cc

28、ash flowws, iit muust hhave a hiigh bbeta for anyoone rreceiivingg theem. If tthe ssign of tthe ccash flowws afffectted tthe ddiscoount ratee, eaach aassett wouuld hhave one valuue foor thhe buuyer and one for the selller, whicch iss cleearlyy an impoossibble ssituaationn.a.Siince the riskk of a drry hoole iis unnlikeely tto bee marrket-relaated, we can use the samee disscounnt raate aas foor prroduccing wellls. Thuss, ussing the Secuurityy Marrket Linee:rnnominnal = 0.006 + (0.99 0.088) =