第六届团支书联席会复习宝典2014级上学期微经3老师版15investment time and capital markets

Chapter15投资,时间和资本市场

Investment,Time,andCapitalMarketsChapter15Slide2TopicstobeDiscussed存量与流量StocksVersusFlows贴现值PresentDiscountedValue债券的价值TheValueofaBond资本投资决策的净现值标准TheNetPresentValueCriterionforCapitalInvestmentDecisionsChapter15Slide3导言Introduction资本Capital选择一种将在今后一个长时期对产出作出贡献的投入Choosinganinputthatwillcontributetooutputoveralongperiodoftime比较现在的支出与未来的价值ComparingthefuturevaluetocurrentexpendituresChapter15Slide4存量与流量StocksVersusFlows存量Stock资本是存量的衡量Capitalisastockmeasurement.一个公司拥有的资本量TheamountofcapitalacompanyownsChapter15Slide5存量与流量StocksVersusFlows流量Flows可变投入和产出是流量的衡量Variableinputsandoutputsareflowmeasurements.每个时期的量AnamountpertimeperiodChapter15Slide6贴现值

PresentDiscountedValue(PDV)确定将来收入流量的现在价值Determiningthevaluetodayofafutureflowofe将来支付的价值必须经过时间和可挣取的利息率的贴现.Thevalueofafuturepaymentmustbediscountedforthetimeperiodandinterestratethatcouldbeearned.Chapter15Slide7贴现值

PresentDiscountedValue(PDV)将来价值FutureValue(FV)Chapter15Slide8贴现值

PresentDiscountedValue(PDV)Question利息率(R)对贴现值(PDV)有何影响?WhatimpactdoesRhaveonthePDV?在将来支付的1美元的贴现值

PDVof$1PaidintheFuture(P473)0.01 $0.990 $0.980 $0.951 $0.905 $0.820 $0.7420.02 0.980 0.961 0.906 0.820 0.673 0.5520.03 0.971 0.943 0.863 0.744 0.554 0.4120.04 0.962 0.925 0.822 0.676 0.456 0.3080.05 0.952 0.907 0.784 0.614 0.377 0.2310.06 0.943 0.890 0.747 0.558 0.312 0.174InterestRate 1Year 2Years 5Years 10Years 20Years 30Years在将来支付的1美元的贴现值

PDVof$1PaidintheFuture0.07 0.935 0.873 0.713 0.508 0.258 0.1310.08 0.926 0.857 0.681 0.463 0.215 0.0990.09 0.917 0.842 0.650 0.422 0.178 0.0750.10 0.909 0.826 0.621 0.386 0.149 0.0570.15 0.870 0.756 0.497 0.247 0.061 0.0150.20 0.833 0.694 0.402 0.162 0.026 0.004InterestRate 1Year 2Years 5Years 10Years 20Years 30YearsChapter15Slide11贴现值

PresentDiscountedValue(PDV)为支付流量定值ValuingPaymentStreams选择支付流取决于利息率.Choosingapaymentstreamdependsupontheinterestrate.Chapter15Slide12两种支付流量

TwoPaymentStreamsPaymentStreamA: $100 $100 0PaymentStreamB:

$20 $100 $100Today 1Year 2YearsChapter15Slide13两种支付流量

TwoPaymentStreams

Chapter15Slide14支付流量的贴现值

PDVofPaymentStreamsPDVofStreamA: $195.24 $190.90 $186.96 $183.33PDVofStreamB:

205.94 193.54 182.57 172.77R=.05 R=.10 R=.15 R=.20相对于B,为何A的PDA随着R的提高而增加,对B反之亦然?WhydoesthePDVofA

relativetoBincreaseas

RincreasesandviceversaforB?Chapter15Slide15失去收入的价值

TheValueofLostEarnings贴现值可以用来确定由于残废和死亡而失去收入的价值.PDVcanbeusedtodeterminethevalueoflostefromadisabilityordeath.Chapter15Slide16失去收入的价值

TheValueofLostEarnings背景Scenario哈罗德·詹宁斯1986年1月1日，53岁时死于车祸。HaroldJenningsdiedinanautoaccidentJanuary1,1986at53yearsofage.(年)工资Salary:$85,000退休年龄RetirementAge:60Chapter15Slide17失去收入的价值

TheValueofLostEarningsQuestion詹宁斯的失去收入对他的家庭的贴现值是多少？WhatisthePDVofJennings’lostetohisfamily?必须为预期的增长而调整工资(g)Mustadjustsalaryforpredictedincrease(g)设过去十年平均工资增长率是8％Assumean8%averageincreaseinsalaryforthepast10yearsChapter15Slide18失去收入的价值

TheValueofLostEarningsQuestion詹宁斯的失去收入对他的家庭的贴现值是多少？WhatisthePDVofJennings’lostetohisfamily?必须根据其他原因的死亡可能性(m)进行调整Mustadjustforthetrueprobabilityofdeath(m)fromothercauses从死亡表推导DerivedfrommortalitytablesChapter15Slide19失去收入的价值

TheValueofLostEarningsQuestion詹宁斯的失去收入对他的家庭的贴现值是多少？WhatisthePDVofJennings’lostetohisfamily?设利率R=9%AssumeR=9%1986年政府债券的利率Rateongovernmentbondsin1986Chapter15Slide20失去收入的价值

TheValueofLostEarnings

计算失去的工资

CalculatingLostWages1986 $85,000 .991 1.000 $84,2351987 91,800 .990 .917 83,3391988 99,144 .989 .842 82,5611989 107,076 .988 .772 81,6711990 115,642 .987 .708 80,8101991 124,893 .986 .650 80,0431992 134,884 .985 .596 79,1851993 145,675 .984 .547 78,408Year W0(1+g)t (1-mt) 1/(1+R)t

W0(1+g)t(1-mt)/(1+R)tChapter15Slide22失去收入的价值

TheValueofLostEarnings找出贴现值FindingPDV第四栏加总将给出失去工资的贴现值($650,252) Thesummationofcolumn4willgivethePDVoflostwages($650,252)詹宁斯的家庭能够得到这笔钱作为对其死亡的赔偿。Jennings’familycouldrecoverthisamountascompensationforhisdeath.Chapter15Slide23债券的价值TheValueofaBond确定一张债券的价格债息＝未来10年每年100美元。CouponPayments本金＝10年后1000美元。PrincipalPaymentChapter15Slide24债券现金流量的现值PresentValueof

theCashFlowfromaBondInterestRatePDVofCashFlow($thousands)00.050.100.150.200.51.01.52.0为什么随着利率的提高债券值越降低？Whydoesthevaluedeclineastherateincreases?Chapter15Slide25债券的价值TheValueofaBond永久债券Perpetuities永久债券是每年支付固定金额、永远支付的债券。Perpetuitiesarebondsthatpayoutafixedamountofmoneyeachyear,forever.Chapter15Slide26债券的有效收益率

EffectiveYieldonaBond计算债券的回报率CalculatingtheRateofReturnFromaBondChapter15Slide27债券的有效收益率

EffectiveYieldonaBond计算债券的回报率CalculatingtheRateofReturnFromaBondChapter15Slide28债券的有效收益率

EffectiveYieldonaBondInterestRate00.050.100.150.200.51.01.52.0PDVofPayments(ValueofBond)($thousands)为何不同债券收益率差别很大？Whydoyieldsdifferamongdifferentbonds?有效收益率是把债券的支付流量现值与债券的市场价格等同起来的利率。Theeffectiveyieldistheinterestratethatequatesthepresentvalueofabond’spaymentstreamwiththebond’smarketprice.Chapter15Slide29公司债券的收益率

TheYieldsonCorporateBonds为计算公司债券收益率，债券的面值和债息量必须已知。Inordertocalculatecorporatebondyields,thefacevalueofthebondandtheamountofthecouponpaymentmustbeknown.Chapter15Slide30公司债券的收益率

TheYieldsonCorporateBonds假设AssumeIBM和时代华纳都发行面值100美元的债券，每6个月支付一次债息。IBMandPolaroidbothissuebondswithafacevalueof$100andmakecouponpaymentseverysixmonths.Chapter15Slide31公司债券的收益率

TheYieldsonCorporateBonds1999年7月23日，每种债券的收盘价:IBM 53/809 5.8 30 92-11/2

Polaroid111/206 10.8 80106-5/8

a:一年的债息收入couponpaymentsforoneyear($5.375)b:2009年债券到期

maturitydateofbond(2009)c:

年息除收盘价($5.375/92)

annualcoupon/closingpriced:当天交易量(30)numbertradedthatdaye:

收盘价closingprice(92)f:

收盘价与前一天比的变化(-11/2)—负号表示比前一天低changeinpricefrompreviousday(-11/2)

ab c d efChapter15Slide32公司债券的收益率

TheYieldsonCorporateBondsIBM公司债券的收益率:假设每年支付Assumeannualpayments2009-1999=10yearsChapter15Slide33公司债券的收益率

TheYieldsonCorporateBonds时代华纳公司债券的收益率:为何时代华纳R*更高？WhywasPolaroidR*greater?Chapter15Slide34资本投资决策的净现值标准

TheNetPresentValueCriterionforCapitalInvestmentDecisions为决定一项特定资本投资是否值得进行，一个厂商应比较投资的现金流量的现值和投资的成本。Inordertodecidewhetheraparticularcapitalinvestmentisworthwhileafirmshouldcomparethepresentvalue(PV)ofthecashflowsfromtheinvestmenttothecostoftheinvestment.Chapter15Slide35净现值标准NPVCriterion若现值（PV）超过投资的成本，厂商应当投资。FirmsshouldinvestifthePVexceedsthecostoftheinvestment.资本投资决策的净现值标准

TheNetPresentValueCriterionforCapitalInvestmentDecisionsChapter15Slide36

资本投资决策的净现值标准

TheNetPresentValueCriterionforCapitalInvestmentDecisionsChapter15Slide37电动机厂（选择建一个1千万美元的工厂）20年，8,000台电动机/月成本=$42.50／台价格=$52.50利润=$10/台

或$80,000/月工厂寿命20年，废旧设备可卖$1million公司应当投资吗？Shouldthecompanyinvest?资本投资决策的净现值标准

TheNetPresentValueCriterionforCapitalInvestmentDecisionsChapter15Slide38设所有信息都是确定的(没有风险)R=政府债券利率资本投资决策的净现值标准

TheNetPresentValueCriterionforCapitalInvestmentDecisionsChapter15Slide39工厂的净现值

NetPresentValueofaFactoryInterestRate,R00.050.100.150.20-6NetPresentValue($millions)-4-20246810一家工厂的净现值是关于建造和运营它的所有现金流量的贴现值。TheNPVofafactoryisthepresentdiscountedvalueofallthecashflowsinvolvedinbuildingandoperatingit.R*=7.5Chapter15Slide40实际和名义贴现率RealversusNominalDiscountRates调整通货膨胀的影响Adjustingfortheimpactofinflation设价格、成本和利润都是实际的。Assumeprice,cost,andprofitsareinrealterms通货膨胀率Inflation=5%资本投资决策的净现值标准

TheNetPresentValueCriterionforCapitalInvestmentDecisionsChapter15Slide41实际和名义贴现率RealversusNominalDiscountRates设价格、成本和利润都是实际的。Assumeprice,cost,andprofitsareinrealterms因此，Therefore,P=(1.05)(52.50)=55.13,Year2P=(1.05)(55.13)=57.88….C=(1.05)(42.50)=44.63,Year2C=(1.05)(44.63)=46.86….利润仍然是$960,000/年Profitremains$960,000/year资本投资决策的净现值标准

TheNetPresentValueCriterionforCapitalInvestmentDecisionsChapter15Slide42实际和名义贴现率RealversusNominalDiscountRatesRealR=nominalR-inflation=9-5=4资本投资决策的净现值标准

TheNetPresentValueCriterionforCapitalInvestmentDecisionsChapter15Slide43一个工厂的净现值

NetPresentValueofaFactoryInterestRate,R00.050.100.150.20-6NetPresentValue($millions)-4-20246810若R=4%,则净现值是正的。公司应投资新工厂。

IfR=4%,theNPVispositive.Thecompanyshouldinvestinthenewfactory.Chapter15Slide44负的未来现金流量NegativeFutureCashFlows投资应当根据建造时间和损失来调整。Investmentshouldbeadjustedforconstructiontimeandlosses.资本投资决策的净现值标准

TheNetPresentValueCriterionforCapitalInvestmentDecisionsChapter15Slide45电动机厂ElectricMotorFactory建造时间是1年Constructiontimeis1year$5百万即时支付$5百万下一年支付第1年预期损失$1百万，第二损失$50万以后每年利润是$96万/年，直到20年残值$1百万资本投资决策的净现值标准

TheNetPresent