第六章 投资决策的其他方法和关于风险概念的进一步讨论

ChapterOutline6.1WhyUseNetPresentValue?6.2ThePaybackPeriodRule6.3TheDiscountedPaybackPeriodRule6.4TheAverageAccountingReturn6.5TheInternalRateofReturn6.6ProblemswiththeIRRApproach6.7TheProfitabilityIndex6.8ThePracticeofCapitalBudgeting6.9SummaryandConclusions6.1WhyUseNetPresentValue?AcceptingpositiveNPVprojectsbenefitsshareholders.NPVusescashflowsNPVusesallthecashflowsoftheprojectNPVdiscountsthecashflowsproperlyTheNetPresentValue(NPV)RuleNetPresentValue(NPV)=TotalPVoffutureCF’s+InitialInvestmentEstimatingNPV:1.Estimatefuturecashflows:howmuch?andwhen?2.Estimatediscountrate3.EstimateinitialcostsMinimumAcceptanceCriteria:AcceptifNPV>0RankingCriteria:ChoosethehighestNPVGoodAttributesoftheNPVRule1.Usescashflows2.UsesALLcashflowsoftheproject3.DiscountsALLcashflowsproperlyReinvestmentassumption:theNPVruleassumesthatallcashflowscanbereinvestedatthediscountrate.6.2ThePaybackPeriodRuleHowlongdoesittaketheprojectto“payback”itsinitialinvestment?PaybackPeriod=numberofyearstorecoverinitialcostsMinimumAcceptanceCriteria:setbymanagementRankingCriteria:setbymanagementThePaybackPeriodRule(continued)Disadvantages:IgnoresthetimevalueofmoneyIgnorescashflowsafterthepaybackperiodBiasedagainstlong-termprojectsRequiresanarbitraryacceptancecriteriaAprojectacceptedbasedonthepaybackcriteriamaynothaveapositiveNPVAdvantages:EasytounderstandBiasedtowardliquidity6.3TheDiscountedPaybackPeriodRuleHowlongdoesittaketheprojectto“payback”itsinitialinvestmenttakingthetimevalueofmoneyintoaccount?Bythetimeyouhavediscountedthecashflows,youmightaswellcalculatetheNPV.6.4TheAverageAccountingReturnRuleAnotherattractivebutfatallyflawedapproach.RankingCriteriaandMinimumAcceptanceCriteriasetbymanagementDisadvantages:IgnoresthetimevalueofmoneyUsesanarbitrarybenchmarkcutoffrateBasedonbookvalues,notcashflowsandmarketvaluesAdvantages:TheaccountinginformationisusuallyavailableEasytocalculate6.5TheInternalRateofReturn(IRR)RuleIRR:thediscountthatsetsNPVtozeroMinimumAcceptanceCriteria:AcceptiftheIRRexceedstherequiredreturn.RankingCriteria:SelectalternativewiththehighestIRRReinvestmentassumption:AllfuturecashflowsassumedreinvestedattheIRR.Disadvantages:Doesnotdistinguishbetweeninvestingandborrowing.IRRmaynotexistortheremaybemultipleIRRProblemswithmutuallyexclusiveinvestmentsAdvantages:EasytounderstandandcommunicateTheInternalRateofReturn:ExampleConsiderthefollowingproject:0123$50$100$150-$200Theinternalrateofreturnforthisprojectis19.44%TheNPVPayoffProfileforThisExampleIfwegraphNPVversusdiscountrate,wecanseetheIRRasthex-axisintercept.IRR=19.44%6.6ProblemswiththeIRRApproachMultipleIRRs.AreWeBorrowingorLending?TheScaleProblem.TheTimingProblem.MultipleIRRsTherearetwoIRRsforthisproject:0 1 2 3$200 $800-$200-$800100%=IRR20%=IRR1Whichoneshouldweuse?TheScaleProblemWouldyourathermake100%or50%onyourinvestments?Whatifthe100%returnisona$1investmentwhilethe50%returnisona$1,000investment?TheTimingProblem0 1 2 3$10,000$1,000 $1,000-$10,000ProjectA0 1 2 3$1,000 $1,000 $12,000-$10,000ProjectBThepreferredprojectinthiscasedependsonthediscountrate,nottheIRR.TheTimingProblem10.55%=crossoverrate12.94%=IRRB16.04%=IRRACalculatingtheCrossoverRateComputetheIRRforeitherproject“A-B”or“B-A”10.55%=IRRMutuallyExclusivevs.IndependentProjectMutuallyExclusiveProjects:onlyONEofseveralpotentialprojectscanbechosen,e.g.acquiringanaccountingsystem.RANKallalternativesandselectthebestone.IndependentProjects:acceptingorrejectingoneprojectdoesnotaffectthedecisionoftheotherprojects.MustexceedaMINIMUMacceptancecriteria.6.7TheProfitabilityIndex(PI)RuleMinimumAcceptanceCriteria:AcceptifPI>1RankingCriteria:SelectalternativewithhighestPIDisadvantages:ProblemswithmutuallyexclusiveinvestmentsAdvantages:MaybeusefulwhenavailableinvestmentfundsarelimitedEasytounderstandandcommunicateCorrectdecisionwhenevaluatingindependentprojects6.8ThePracticeofCapitalBudgetingVariesbyindustry:Somefirmsusepayback,othersuseaccountingrateofreturn.ThemostfrequentlyusedtechniqueforlargecorporationsisIRRorNPV.ExampleofInvestmentRulesComputetheIRR,NPV,PI,andpaybackperiodforthefollowingtwoprojects.Assumetherequiredreturnis10%. Year ProjectA ProjectB 0 -$200 -$150 1 $200 $50 2 $800 $100 3 -$800 $150ExampleofInvestmentRules

ProjectA ProjectBCF0 -$200.00 -$150.00PV0ofCF1-3 $241.92 $240.80NPV= $41.92 $90.80IRR= 0%,100% 36.19%PI= 1.2096 1.6053ExampleofInvestmentRulesPaybackPeriod: ProjectA ProjectB Time CF Cum.CF CF Cum.CF 0 -200 -200 -150 -150 1 200 0 50 -100 2 800 800 100 0 3 -800 0 150 150PaybackperiodforprojectB=2years.PaybackperiodforprojectA= 1or3years?RelationshipBetweenNPVandIRR

Discountrate NPVforA NPVforB -10% -87.52 234.77 0% 0.00 150.00 20% 59.26 47.92 40% 59.48 -8.60 60% 42.19 -43.07 80% 20.85 -65.64 100% 0.00 -81.25 120% -18.93 -92.52 ProjectAProjectB($200)($100)$0$100$200$300$400-15%0%15%30%45%70%100%130%160%190%DiscountratesNPVIRR1(A)IRR(B)NPVProfilesIRR2(A)Cross-overRate6.9SummaryandConclusionsThischapterevaluatesthemostpopularalternativestoNPV:PaybackperiodAccountingrateofreturnInternalrateofreturnProfitabilityindexWhenitisallsaidanddone,theyarenottheNPVrule;forthoseofusinfinance,itmakesthemdecidedlysecond-rate.第十四章关于风险概念的进一步讨论

本章我们将指出上述风险的定义中的问题，提出风险的各种不同的定义方法，研究投资者对待风险的态度，进一步讨论回报率与风险的关系。这些讨论，对于把握难以捉摸的风险概念是至关重要的。齐寅峰公司财务学经济科学出版社第一节风险定义的问题一、“E－σ”分析失效的情形二、风险的其他定义齐寅峰公司财务学经济科学出版社一、“E－σ”分析失效的情形传统的投资组合分析中，每一备选方案都用两个数据来衡量：回报率的期望值E和回报率的均方差σ，并且假定投资者都偏好于大的期望回报率和小的均方差。

每个投资者都偏好于大的回报率期望值是一种理性的选择假设，任何情况下都不会发生怀疑。齐寅峰公司财务学经济科学出版社一、“E－σ”分析失效的情形（续）但是说投资者都是避免风险的，却值得怀疑。如果风险是指日常用语是指坏事而非好事，这倒也没错。但事实上用均方差定义风险，它表示回报率与期望值偏差的平方的期望值的方根，因此只是表明回报率的离散程度，而这种偏离可正可负。若是正偏离，即回报离高于其期望值，