Chapter 9公司理财

1、PAGE PAGE 82CHAPTER 9柏Capital Budge瓣ting and Risk八Answers to Pr八actice Questi般ons暗a.隘败r版equity岸 = r俺f蔼 + 般 按 (r矮m拜 挨扳 r扮f爱) = 0.04 + (1鞍.5 稗 0.06) = 0.13蔼 = 13%b.安笆奥r拜assets摆 = 0.094 = 9.岸4%鞍c.摆颁The cost of c碍apital depend埃s on the risk靶 of the proje挨ct being eval八uated. If th八e risk of the搬 project

2、 is s安imilar to the绊 risk of the 摆other assets of the compan邦y, then the a班ppropriate ra拌te of return 岸is the compan百y cost of cap坝ital. Here, 芭the appropriate discount r霸ate is 9.4%.挨凹d.版挨r傲equity熬 = r扮f八 + 邦 暗 (r百m斑 扳巴 r澳f佰) = 0.04 + (1翱.2 捌 0.06) = 0.11扮2 = 11.2%熬八伴r疤assets俺 = 0.0832 = 8碍.32%2.a.

3、胺按b.百阿r = r安f碍 + 俺 芭 (r八m盎 碍拔 r班f瓣) = 0.05 + (0翱.敖836袄 0.06) = 0.碍10016 = 10爸.败016佰%坝Internet exer碍cise; answers霸 will vary.搬Internet exer爱cise; answers疤 will vary.肮Note: 耙In the first 艾printing of t搬he text, the 百table for Pra熬ctice Questio颁n #5 incorrec拔tly shows the凹 standard dev邦iations writt拔en

4、 with decim搬al points.跋巴a. 安耙The R挨2靶 value for 哀BP皑 was 0.胺27鞍, which means八 that 啊27啊% of total ri搬sk comes from拌 movements in盎 the market (摆i.e., market 按risk). There班fore, 哀73把% of total ri靶sk is unique 拌risk.The R瓣2颁 value for 般British Airwa翱ys敖 was 0.拔37白, which means罢 that 扳37百% of total ri把s

5、k comes from啊 movements in懊 the market (败i.e., market 爱risk). There扒fore, 靶63俺% of total ri般sk is unique 敖risk.癌The variance 安of 坝BP岸 is: (拔25熬)搬2绊 = 拔625艾Market risk f碍or 俺BP罢: 0.拔27暗 暗阿 盎625 皑= 168.75翱班Unique risk f罢or 俺BP笆: 0.傲73坝 翱扳 傲625 = 翱456.25癌The t-statist拌ic for 瓣BA安 is: 奥2.12版/斑0.37跋 = 霸5

6、.73坝This is signi扒ficant at the耙 1% level, so把 that the con伴fidence level氨 is 99%.澳艾d.翱捌r懊BA柏 = r百f氨 + 芭BA 蔼 (r板m半 背 r疤f跋) = 0.05 + 把2.12稗 白 (0.12 0.05靶) = 0.佰1984班 = 昂19.84懊%袄芭e.安r埃BA = r俺f澳 + 盎BA氨 背 (r版m百 鞍瓣 r澳f氨) = 0.05 + 背2.12 伴 (0 0.05) 氨= 搬哀0.0隘560挨 = 暗5.60肮%氨Internet exer斑cise; answers瓣 will

7、vary.啊7.八巴The total mar瓣ket value of 扮outstanding d办ebt is 皑1斑00佰 million叭. The cost o懊f debt capita佰l is 奥7.5案 percent. Fo案r the common 霸stock, the ou半tstanding mar绊ket value is:埃4斑0 蔼 案2 million奥 = 坝8绊0挨 million安. The cost o昂f equity capi氨tal is 1百1哎percent. Th岸us, Loreleis芭 weighted-ave般rage cost

8、 of capital is:碍哎艾r罢assets靶 = 0.百09疤0艾6胺 = 伴9.坝0班6岸%颁8.碍邦a.扒昂r板BN捌 = r白f鞍 + 邦BN哀 半 (r扮m白 拜绊 r瓣f翱) = 0.035 + (瓣0.53 爸 0.08) = 0.07哀74 = 7.74%爱翱埃r百IND案 = r邦f唉 + 岸IND唉 哎 (r芭m巴 伴白 r百f癌) = 0.035 + (拌0.49 拜 0.08) = 0.07霸42 = 7.42%奥No, we can no蔼t be confiden板t that 岸Burlington氨s true beta 胺is not the in阿d

9、ustry averag瓣e. The diffe懊rence between昂 拌BN 爱and 爱IND岸 (0.04) is le板ss than one s哀tandard error芭 (0.20), so w皑e cannot reje半ct the hypoth疤esis that 板BN翱 = 凹IND埃.背Burlington邦s beta might安 be different爱 from the ind拌ustry beta fo隘r a variety o败f reasons. F白or example, 翱Burlington八s business m拜ight be

10、 more 熬cyclical than伴 is the case 扮for the typic鞍al firm in th百e industry. 扳Or 安Burlington耙 might have m爱ore fixed ope凹rating costs,拌 so that oper岸ating leverag叭e is higher. 蔼 Another poss搬ibility is th癌at 案Burlington艾 has more deb隘t than is typ摆ical for the 矮industry so t百hat it has hi啊gher financi

11、a扮l leverage.挨a.跋癌The threat of爸 a coup dta阿t means that 爱the 扳expected斑 cash flow is熬 less than $唉NZ900 million邦. The threat百 could also i拌ncrease the d败iscount rate,邦 but only if 俺it increases 疤market risk.俺If New Zealan啊d Marine proc半eeds with the扒 construction罢 of the suppl办y submarine a搬nd the

12、Republ瓣ic then fails肮 to make the 岸final $NZ900 办million payme伴nt, then New 半Zealand Marin疤e can sell th芭e submarine t搬o another buy隘er for $NZ600翱 million. Th凹erefore, t癌he expected c啊ash flow 安for the year 奥2 payment 埃is:邦(0.2败0搬 艾 颁$NZ600 millio靶n坝) + (0.阿80敖 熬 办$NZ900 millio靶n八) = $搬NZ840 millio

13、n傲Assum癌e that New Ze拔aland Marine半s cost爱s版 are incurred癌 equally in Y版ear 0, Year 1疤 and Year 2, 般and 芭that the cash艾 flow奥s are 按about as risk哀y as the rest拔 of the compa跋nys business拌. Then懊:唉挨翱办PV = 巴 400 + 500 +捌 ( 400搬/1.1哎0)盎 瓣+ (澳 400芭 + 840)/1.10扳2澳 拜= 跋+鞍100爸搬拜颁or $NZ100 mil伴lion暗a.罢板If y

14、ou agree 蔼to the fixed 扒price contrac碍t, operating 肮leverage incr唉eases. Chang埃es in revenue袄 result in gr搬eater than pr吧oportionate c班hanges in pro坝fit. If all 败costs are var艾iable, then c艾hanges in rev板enue result i稗n proportiona败te changes in袄 profit. Bus挨iness risk, m岸easured by 爸assets芭, also i

15、ncrea艾ses as a resu暗lt of the fix吧ed price cont袄ract. If fix拜ed costs equa哀l zero, then:爸芭案assets鞍 = 肮revenue挨. However, as PV(fixed co叭st) increases笆, 鞍assets罢 increases.爱b.扳唉With the fixe稗d price contr班act:绊氨PV(assets) = 爱PV(revenue) 半 PV(fixed cos伴t) PV(varia八ble cost)白版PV(assets) = 案$97,462,710皑

16、氨Without the f盎ixed price co佰ntract:班把PV(assets) = 扳PV(revenue) 盎 PV(variable 爸cost)巴 = 败$111,111,111澳a.癌艾Expected dail敖y production 暗=办叭啊(0.2 岸 0) + 0.8 把 艾(0.4 x 1,000哎) + (0.6 x 5,吧000) = 2,720懊 barrels罢拌柏Expected annu挨al cash reven叭ues = 2,720 x半 365 x $15 = 安$14,892,000隘The possibili瓣ty of a dr

17、y h暗ole is a dive昂rsifiable ris邦k and should 隘not affect th板e discount ra蔼te. This pos坝sibility shou癌ld affect for癌ecasted cash 摆flows, howeve岸r. See Part 扳(a).Ratio of sCorrelationBetaBrazil6.290.53.15Egypt5.670.52.84India6.100.53.05Indonesia7.290.53.65Mexico3.920.51.96Poland3.210.51.61Thailand6.32

18、0.53.16South Africa4.040.52.02爸哎The betas inc败rease compare癌d to those re拌ported in Tab蔼le 9.2 becaus摆e the returns癌 for these ma摆rkets are now昂 more highly 捌correlated wi哀th the 佰U.S.按 market. Thu芭s, the contri斑bution to ove摆rall market r般isk becomes g稗reater.斑The informati皑on could be h澳elpful to

19、a 稗U.S.唉 company cons俺idering inter柏national capi案tal investmen奥t projects. 胺By examining 办the beta esti版mates, such c盎ompanies can 盎evaluate the 翱contribution 扮to risk of th八e potential c靶ash flows.隘A German comp罢any would not澳 find this in案formation use靶ful. The rel澳evant risk de翱pends on the 澳bet

20、a of the c扮ountry relati霸ve to the por盎tfolio held b靶y investors. 岸 German inves俺tors do not i唉nvest exclusi绊vely, or even primarily, i伴n U.S.袄 company stoc袄ks. They inv班est the major败 portion of t半heir portfoli霸os in German 俺company stock岸s.办The opportuni挨ty cost of ca扒pital is give坝n by:盎绊绊r = r凹f

21、办 + 背(r哀m班 爸阿 r扳f扒) = 0.05 + (1盎.2 班 0.06) = 0.12爸2 = 12.2%Therefore:CEQ1 =150(1.05/1.122) =140.37CEQ2 =150(1.05/1.122)2 =131.37CEQ3 =150(1.05/1.122)3 =122.94CEQ4 =150(1.05/1.122)4 =115.05CEQ5 =150(1.05/1.122)5 =107.67a1 =140.37/150 =0.9358a2 =131.37/150 =0.8758a3 =122.94/150 =0.8196a4 =115.05/150 =

22、0.7670a5 =107.67/150 =0.7178袄罢From this, we巴 can see that矮 the a败 t坝 values decli奥ne by a const哎ant proportio敖n each year:a2/a1 =0.8758/0.9358 =0.9358a3/a2 =0.8196/0.8758 =0.9358a4/a3 =0.7670/0.8196 =0.9358a5/a4 =0.7178/0.7670 =0.9358稗a.耙哀Using the Sec扒urity Market 敖Line, we find霸 the cost of 般capit

23、al:搬颁罢跋r = 0.07 + 澳败1.5 败 (0.16 爱昂 0.07)绊绊 = 0.205 = 20伴.5%Therefore:b.CEQ1 =40(1.07/1.205) =35.52CEQ2 =60(1.07/1.205)2 =47.31CEQ3 =50(1.07/1.205)3 =35.01c.a1 =35.52/40 =0.8880a2 =47.31/60 =0.7885a3 =35.01/50 =0.7002艾癌d.扳案Using a const板ant risk-adju氨sted discount蔼 rate is equi肮valent to ass蔼uming th

24、at a凹t坝 decreases at皑 a constant c澳ompounded rat芭e.隘At t = 2, the爸re are two po隘ssible values罢 for the proj办ects NPV:氨捌Therefore, at摆 t = 0:袄Challenge Que埃stions邦It is correct百 that, for a 耙high beta pro百ject, you sho奥uld discount 按all盎 cash flows a蔼t a high rate捌. Thus, the 瓣higher the ri岸sk of the

25、 cas皑h outflows, t班he less you s埃hould worry a氨bout them bec艾ause, the hig罢her the disco哎unt rate, the拔 closer the p叭resent value 斑of these cash熬 flows is to 啊zero. This r阿esult does ma佰ke sense. It办 is better to鞍 have a serie拜s of payments案 that are hig哀h when the ma哎rket is boomi背ng and low wh肮en

26、it is slum把ping (i.e., a碍 high beta) t坝han the rever啊se.办The beta of a懊n investment 爱is independen耙t of the sign矮 of the cash 摆flows. If an安 investment h搬as a high bet蔼a for anyone 懊paying out th板e cash flows,败 it must have背 a high beta 霸for anyone re背ceiving them.办 If the sign扳 of the cash 罢flows a

27、ffecte碍d the discoun瓣t rate, each asset would h办ave one value敖 for the buye八r and one for安 the seller, 搬which is clea安rly an imposs搬ible situatio柏n.爱a.搬哀Since 板the risk of a耙 dry hole is 澳unlikely to b按e market-rela凹ted, we can u白se the same d哀iscount rate 傲as for produc案ing wells. T袄hus, using th埃e Security Ma八rket Line:颁胺稗邦r懊nominal把 = 0.06 + (0.