公司理财汇总整理

本文格式为Word版，下载可任意编辑——公司理财汇总整理R,Higherretentionratio,betterforshareholdersROEdiscountrate内部收益率>贴现率Reject:IRRsrRejectifIRR0,backwardbendingmayormaynotoccur(可能出现也有可能不出现后弯)。

4.nonsystematicriskcanbediversifiedaway(非系统性风险可以消除)；systematicriskcannotbedelimitated(系统性风险不可以消除)。

10.5：TheEfficientSetforManySecurities多种资产组合的有效集1、

无限多种组合但所有只能是落在有效区域内。2、多种资产组合的期望收益。3、投资组合方差的矩阵计算表。

10.6Diversification:AnExample

1.Varianceportfolio=N?(

1111?varvarcov)+N(N-1)()=()+(1-)cov22NNNNof

2.Varianceofportfolio(whenN??)=cov

10.7RisklessBorrowingandlending无风险的借和贷

1.由一种风险资产和一种无风险资产构成的投资组合的收益率：是两种资产收益的加权平均数。

2.由一种风险资产和一种无风险资产构成的投资组合的风险：X2risky?risky3.35%inriskassets(风险资产)，65%inrisk-freeassets(无风险资产)

4.该图说明白一个要点：通过依照无风险利率进行接入或贷出，任何投资者持有的风险资产的投资组合都将是点A。无论投资者的风险厌恶程度如何，他绝不会选择风险资产有效集中的其他点，也绝不会选择可行集内部的任何点。

10.8：MarketEquilibrium市场均衡

在一个具有共同期望的世界中，所有的投资者都会持有A点所代表的风险资产组合。10.9RelationshipbetweenRiskandExpectedReturn(CAPM)期望收益与风险之间的关系：资本定价模型1Beta

1)Betameasurestheresponsivenessofasecuritytomovementsinthemarketportfolio贝塔系数是度量一种证券对于市场组合变动的反应程度的指标2)Theactualdefinitionofbetais

2?i?Cov(Ri，RM)?(R2M)

其中分子是第i种证券的收益与市场组合收益之间的协方差，分母是市场组合收益的方差3）①Oneusefullpropertyisthattheaveragebetaacrossallsecurities,whenweightedbytheproportionofeachsecuriy’smarketvaluetothatthemarketportfolio,is1.Thatis,即证券市场的一般证券的贝塔系数为1

②增加一个一个贝塔系数大于1的股票，将增加投资组合的风险

?X?i?1iNi?1

③增加有一个负贝塔系数的股票，将降低投资组合的风险2CAPM资本资产定价模型

Theypositthat,underplausibleconditions,thereplationbetweenexpectedreturnandbetacanberepresentedbythefollowingequation:Capital-Asset-pricingModel

R??RF??X(RM?RF)

?Expected=Risk-freerate+BeatoftheXDifferencebetweenexpectedreturnonsecurityreturnonmarketandrisk-freeasecurityrate3Thethreelines

10-39Estimating??withregressionSecurityReturnsneicLitisretacraChSlope=?iReturnonmarket%Ri=?i+?iRm+eiMcGraw-Hill/IrwinCopyright?2023byTheMcGraw-HillCompanies,Inc.Allrightsreserved.

第十一章一．概念

Asystematicriskisanyriskthataffectsalargenumberofassets,eachtoagreaterorlesserdegree.

Anunsystematicriskisariskthatspecificallyaffectsasingleassetorsmallgroupofassets.二.公式

11.1.Returnonanysecurityconsistsoftwoparts:R=R+U?R:expectedreturns?U:unexpectedorriskedreturns11.2R=R+m+?

?m：systematicrisk??:unsystematicrisk11.3systematicriskandbetas:R=R+?(

R-)+?MRm

—

?i?Cov(Ri,RM)?2(RM)

11.5betasandexpectedreturns

II

11-23Profit(收益SML

R?R?βF?βGDPFGDP?βSFS?εProfit(收益RelationshipBetween?&ExpectedReturnProfit(收益ExpectedreturnSMLProfit(收益ADBC?RFR?RF?β(RP?RF)McGraw-Hill/IrwinCopyright?2023byTheMcGraw-HillCompanies,Inc.Allrightsreserved.三．结论

TheAPTassumesthatstockreturnsaregeneratedaccordingtofactormodelssuchas:

1.Assecuritiesareaddedtotheportfolio,theunsystematicrisksoftheindividualsecuritiesoffseteachother.Afullydiversifiedportfoliohasnounsystematicrisk.2.TheCAPMcanbeviewedasaspecialcaseoftheAPT.

3.Empiricalmodelstrytocapturetherelationsbetweenreturnsandstockattributesthatcanbemeasureddirectlyfromthedatawithoutappealtotheory.第十二章

TheCostofEquityCapital权益资本成本FirmwithexcesscashShareholderinvestsPaycashdividendinfinancialassetAfirmwithexcesscashcaneitherpayadividendormakeacapitalinvestmentShareholder’sInvestinproject对上图解释说明：Becausestockholderscanreinvestthedividendinriskyfinancialassets,theexpectedreturnonacapital-budgetingprojectshouldbeatleastasgreatastheexpectedreturnonafinancialassetofcomparablerisk.TheCostofEquity①Fromthefirm’sperspective,theexpectedreturnistheCostofEquityCapital:Ri?RF?βi(RM?RF)②Toestimateafirm’scostofequitycapital,weneedtoknowthreethings:TerminalValue1.Therisk-freerate,RF2.Themarketriskpremium,RM3.Thecompanybeta,Cov(Ri,RM)σi,Mβi??2Var(RM)σM?RF

UsingtheSMLtoEstimatetheRisk-AdjustedDiscountRateforProjects

ProjectIRRSMLGoodAprojectsBCBadprojects2.5

Firm’srisk(beta)

30%5%

EstimationofBeta

Theoretically,thecalculationofbetaisstraightforward:

Problems：

1.Betasmayvaryovertime.

2.Thesamplesizemaybeinadequate.

3.Betasareinfluencedbychangingfinancialleverageandbusinessrisk.

Solutions

–Problems1and2(above)canbemoderatedbymoresophisticatedstatistical

techniques.

–Problem3canbelessenedbyadjustingforchangesinbusinessandfinancial

risk.

–Lookataveragebetaestimatesofcomparablefirmsintheindustry.

Cov(Ri,RM)σi2β??2Var(RM)σMStabilityofBeta

??

Mostanalystsarguethatbetasaregenerallystableforfirmsremaininginthesame

industry.

That’snottosaythatafirm’sbetacan’tchange.

–Changesinproductline–Changesintechnology

–Deregulation

–Changesinfinancialleverage

UsinganIndustryBeta

?Itisfrequentlyarguedthatonecanbetterestimateafirm’sbetabyinvolvingthewhole

industry.

?Ifyoubelievethattheoperationsofthefirmaresimilartotheoperationsoftherestofthe

industry,youshouldusetheindustrybeta.

?Ifyoubelievethattheoperationsofthefirmarefundamentallydifferentfromthe

operationsoftherestoftheindustry,youshouldusethefirm’sbeta.?Don’tforgetaboutadjustmentsforfinancialleverage.

DeterminantsofBeta

?

BusinessRisk

–CyclicityofRevenues–OperatingLeverageFinancialRisk

–FinancialLeverage

?

①CyclicalityofRevenues

?Highlycyclicalstockshavehighbetas.

–Empiricalevidencesuggeststhatretailersandautomotivefirmsfluctuatewiththe

businesscycle.

–Transportationfirmsandutilitiesarelessdependentuponthebusinesscycle.

?Notethatcyclicalityisnotthesameasvariability—stockswithhighstandarddeviations

neednothavehighbetas.

–Moviestudioshaverevenuesthatarevariable,dependinguponwhetherthey

produce“hits〞or“flops〞,buttheirrevenuesarenotespeciallydependentuponthebusinesscycle.

②OperatingLeverage

?Thedegreeofoperatingleveragemeasureshowsensitiveafirm(orproject)istoitsfixed

costs.

?Operatingleverageincreasesasfixedcostsriseandvariablecostsfall.?Operatingleveragemagnifiestheeffectofcyclicityonbeta.?Thedegreeofoperatingleverageisgivenby:

ChangeinEBITSalesDOL??

EBITChangeinSales

$TotalcostsFixed

?EBIT?Volume

Fixedcosts

Volume

Operatingleverageincreasesasfixedcostsriseandvariablecostsfall.③FinancialLeverageandBeta

?Operatingleveragereferstothesensitivitytothefirm’sfixedcostsofproduction.?Financialleverageisthesensitivityofafirm’sfixedcostsoffinancing.

?Therelationshipbetweenthebetasofthefirm’sdebt,equity,andassetsisgivenby:

DebtEquityβAsset??βDebt??βEquityDebt?EquityDebt?Equity

Financialleveragealwaysincreasestheequitybetarelativetotheassetbeta

ExtensionsoftheBasicModel

??

TheFirmversustheProjectTheCostofCapitalwithDebt

CapitalBudgeting&ProjectRisk

ProjectIRRTheSMLcantelluswhy:SMLHurdlerate

RF?βFIRM(RM?RF)IncorrectlyrejectedpositiveNPVprojectsrf

?FIRM

Firm’srisk(beta)

Afirmthatusesonediscountrateforallprojectsmayovertimeincreasetheriskofthefirmwhiledecreasingitsvalue.

TheCostofCapitalwithDebt

?

?

TheWeightedAverageCostofCapitalisgivenby:

?S??B?rWACC???r??S???rB?(1?TC)?S?B??S?B?Itisbecauseinterestexpenseistax-deductiblethatwemultiplythelasttermby(1-TC)

Liquidity,ExpectedReturnsandtheCostofCapital

?

??

Thecostoftradinganilliquidstockreducesthetotalreturnthataninvestorreceives.

Investorsthuswilldemandahighexpectedreturnwheninvestinginstockswithhightradingcosts.

Thishighexpectedreturnimpliesahighcostofcapitaltothefirm.

LiquidityandtheCostofCapital

CostofCapit-al

Liquidity

第22章OptionsandCorporatefinance

option期权：Anoptionisacontractgivingitsownertherighttobuyorsellanassetatafixed

priceonorbeforeagivendate.（期权是一种赋予持有人在某给定日期或该日期之前的任何时间以固定价格购进或售出一种资产之权力的合约）重要名词：

In-the-Money(价内期权):Theexercisepriceislessthanthespotpriceoftheunderlyingasset.At-the-Money(平价期权):Theexercisepriceisequaltothespotpriceoftheunderlyingasset.Out-of-the-Money(价外期权):Theexercisepriceismorethanthespotpriceoftheunderlyingasset.

ExercisePrice(执行价格)：ThefixedpriceintheoptioncontractatwhichtheholdercanbuyorselltheunderlyingassetiscalledtheExercisePrice.

Expirationdate(到期日):ThematuritydateoftheoptionisreferredtoastheExpirationDate.Afterthedate,theoptionisdead.

期权分类：Calloption(看涨期权)和Putoption(看跌期权)LongPosition(多方)：Buyer（买入）CallPutPositionBuy（+）+—+Sell（—）—ShortPosition(空方)：Seller(卖出)对应的四张图：

Profit(收益)期权费期权费

StockPrice(股票价格)执行价格StockPrice(股票价格)

卖出看跌期权卖出看涨期权

)Profit(收益Profit(收执行价格期权费StockPrice(股票价格)StockPrice(股票价格)执行价格期权费买入看跌期权买入看涨期权

期权组合（CombinationsofOptions）：

Protectiveput（保护性看涨期权）isthestrategyofbuyingaputandbuyingtheunderlyingstock

买看跌期权的同时买标的股票的策略根据两项策略

Priceofunderlyingstock+priceofput=priceofcall+presentvalueofexerciseprice标的股票的价格+看跌期权价格=看涨期权价格+行权价的现值上述关系就是买卖权平价put-callparity

Therelationshipisknownasput-callparityandisoneofthemostfundamentalrelationshipsconcerningoptions.

买卖权平价说明存在着两种购买保护性看跌期权的途径：1、你可以在购买看跌期权的同时买进标的的股票，此时的成本包括标的的股票价格加上看

跌期权价格。

2、你可以在购买看涨期权的同时买进零息债券，这时，成本包括看涨期权价格加上行权价

格的现值。

为了看清买卖权平价，我们变化以下公式：

标的股票价格=看涨期权价格—看跌期权价格+行权价的现值

Priceofunderlyingstock=priceofcall—priceofput+presentvalueofexerciseprice注意，由于看跌期权前面的符号是负号，所以是卖出而不是买入看跌期权。这种策略叫做Syntheticstock(合成股票)

进一步变化：对销看涨期权策略Covercallstratgy：

Priceofunderlyingstock—priceofput=—priceofcall+presentvalueofexerciseprice标的股票的价格—看跌期权价格=—看涨期权价格+行权价的现值

Valuingoptions看涨期权价值

考虑看涨期权价值上限和下限开始，

Lowerbound下限：股价—执行价Upperbound上限:股票价格Thefactorsdeterminingcall-optionvalues1、Exerciseprice(执行价格)：Anincreaseintheexercisepricereducesthevalueofthecall执行价格的上升将降低看涨期权的价值。2、expirationdate(到期日)：ThevalueofanAmericancalloptionmustbeatleastasgreatasthevalueoftheotherwiseidenticaloptionwhitashortertermtoexpiration.(美式期权价值必定不小于期限较短的其他同类的价值)3、Stockprice(股票价格);otherthingsbeequal,thelighterthestockprice,themorevaluablethecallopt