CFA二级科目集训营-公司金融讲义

科目集训营(2019.06)

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2

Case1

ThefollowinginformationrelatestoQuestions1—6

ThecapitalbudgetingcommitteeforLarocheIndustriesismeeting.LarocheisaNorthAmerican

conglomeratethathasseveraldivisions.Oneofthesedivisions,LarocheLivery,operatesalarge

fleetofvans.Larochesmanagementisevaluatingwhetheritisoptimaltooperatenewvansfbr

two,three,orfouryearsbeforereplacingthem.Themanagershaveestimatedtheinvestment

outlay,annualafter-taxoperatingexpenses,andafter-taxsalvagecashflowsfbreachofthe

servicelives.Becauserevenuesandsomeoperatingcostsareunaffectedbythechoiceofservice

life,theywereignoredintheanalysis.LarocheLivery'sopportunitycostoffundsis10percent.

ThefollowingtablegivesthecashflowsinthousandsofCanadiandollars(C$).

SeniceLifeInvestmentYear1Year2Year3Year4Salvage

2years-40,000-12,000-15,00020,000

3years-40,000-12,000-15,000-20,00017,000

4years-40,000-12,000-15,000-20,000-25,00012,000

3

•SchoemanProducts,anotherdivisionofLaroche,hasevaluatedseveral

investmentprojectsandnowmustchoosethesubsetofthemthatfitswithin

itsC$40millioncapitalbudget.TheoutlaysandNPVsforthesixprojectsare

givenbelow.Schoemancannotbuyfractionalprojects,andmustbuyallor

noneofaproject.ThecurrencyamountsareinmillionsofCanadiandollars.

ProjectOutlayPVofFutureCashFlowsXPV

1314413

215216

31216.54.5

410133

58113

6682

4

Schoemanwantstodeterminewhichsubsetofthesixprojectsisoptimal.

AfilialproposalcomesfromdiedivisionSocietyServices,whichhasaniiivesLnieiiLoppurLuniLy

witharealoptiontoinvestfurtherifconditionswarrant.Thecrucialdetailsareasfollows:

Theoriginalproject:

,AnoutlayofC$190millionattimezero.

•CashflowsofC$40millionperyearforYears1-10ifdemandis"high.”

,CashflowsofC$20millionperyearforYears1-10ifdemandis"low."

Additionalcashflowswiththeoptionalexpansionproject:

•AnoutlayofC$190millionattimeone.

•CashflowsofC$40millionperyearforYears2-10ifdemandisuhigh.^^

•CashflowsofC$20millionperyearforYears2-10ifdemandis"low.”

Whetherdemandis“high"or“low”inYears1-10willberevealedduringthefirstyear.The

probabilityof“high”demandis0.50,andtheprobabilityof“low"demandis0.50.

Theoptiontomaketheexpansioninvestmentdependsonmakingtheinitialinvestment.Ifthe

initialinvestmentisnotmade,theoptiontoexpanddoesnotexist.

Therequiredrateofreturnis10percent.

5

SocietyServiceswantstoevaluateitsinvestmentalternatives.

TheinternalauditorforLarocheIndustrieshasmadeseveralsuggestionsforimproving

capitalbudgetingprocessesatthecompany.Theinternalauditor'ssuggestionsareas

follows:

Suggestion1*1nordertoputallcapitalbudgetingoroposalsonanequalfooting,the

projectsshouldallusetherisk-freeratefortherequiredrateofreturn."

Suggestion2'Becauseyoucannotexercisebothofthem,youshouldnotpermitagiven

projecttohavebothanabandonmentoptionandanexpansion/growth

option."

Suggestion3**Whcnrationingcapital,itisbettertochoosetheportfolioofinvestments

thatmaximizesthecompanyNPVthantheportfoliothatmaximizesthe

companyIRR."

"Projectbetasshouldbeusedforestablishingtherequired

Suggestion4rateofreturnwhenevertheproject'sbetaisdifferentfromthecompany's

beta.”

6

1.WhatistheoptimalservicelifeforLarocheLivery'sfleetofvans?

A.Twoyears.

B.Threeyears.

C.Fouryears.

7

nswer

Biscorrect.Thewaytosolvetheproblemistocalculatetheequivalentannualannuityaudchoosethe

servicelifewiththelowestannualcost.Foratwo-yearservicelife,theNPVis

-12,000-15,00020,000

NPV=40,000+——--+——十,=-4«,776.86

1.1011.1021.102

TheEAA(PV--46,776.86,V-2,and/-10%)is-26,952.38.

Forathree-yearservicelife,theNPVis

NPV-40,000+W+W」耳+号

1.101LIO31.10s1.10s

--65,559.73

TheEAA(PV-«5,559.73,V-3,and/-10%)is26,362.54.

Forafour-yearservicelife,theNPVis

NPV-40,000「W+芹20,(MM25,000

1.101i.io21.104

12,000

87,211.26

1.104

TheEAA(PV--87,211.26,V-4,and/-10%)is-27,512.61.

Thethree-yearservicelifehasthelowestannualcost.Larocheshculdreplacethevanseverythree

years.8

2.TheoptimalsubsetofthesixprojectsthatSchoemanisconsideringconsistsof

Projects:

A.1and5.

B.2,3,and4.

C.2,4,5,and6.

9

nswer

Aiscorrect.Tohelptheselectionprocess,usetheprofitabilityindexforeachproject,whichshows

thetotalpresentvalueperdollarinvested.

ProjectOutlayPVofFutureCashFlowsNPVPIPIRank

13144131.4191

2152161.4002

31216.54.51.375(tie)3

4101331.3006

581131.375(tie)3

66821.3335

TrytoincorporatethehighPIprojectsintothebudgetusingtrialanderror.Thesetrialsincludethe

fbllowins:_______________________________________

SetofProjectsTotalOutlayTotalXPV

1and53916

2,3,and437135

2,3,and535135

2,4,5,and63914

Amongthesetsofprojectssuggested,theoptimalsetistheonewiththehighestNPV,providedits

totaloutlaydoesnotexceedC$40million.ThesetconsistingofProjects1and5producesthehighest

NPV.10

3.WhatistheNPV(C$millions)oftheoriginalprojectforSocietyServices

withoutconsideringtheexpansionoption?

A.-6.11.

B.-5.66.

C.2.33.

11

Answer

Biscorrect.

Ifdemandis“high,"theNPVis

104g

NPV=-1904-V-------=C$55.783million

占LI/

Ifdemandis"low,°theNPVis

I。20

NPV=-1904-Y^-----------C$G7.10ymillion

£1.1(/

TheexpectedNPVis0.50(55.783)+0.50(-67.109)--C$5.663million.

12

4.WhatistheNPV(C$millions)oftheoptimalsetofinvestmentdecisionsfor

SocietyServicesincludingtheexpansionoption?

A.6.34.

B.12.68.

C.31.03.

13

nswer

Biscorrect.Assumewcarcattime-1.TheNPVoftheexpansion(attime1)ifdemandis"high"is

•40

NPV=\W)IV——=(340.361million

TheNPVoftheexpansion(attime1)ifdemandisMlow>>is

9

NPV=TOO+歹=-CI74.820million

Theoptimaldecisionistoexpandifdemandis“high”andnotexpandif"low.”

Becausetheexpansionoptionisexercisedonlywhenitsvalueispositive,whichhappens50percent

ofthetime,theexpectedvalueoftheexpansionproject,attimezero,is

NPV=击0.50(40.361)=C$18.346millkm

ThetotalNPVoftheinitialprojectandtheexpansionprojectis

NPV--C$5.663million+C$18.346million-C$12.683million

Theoptionalexpansionproject,handledoptimally,addssufficientvaluetomakethisapositiveNPV

project.

14

5.Shouldthecapitalbudgetingcommitteeaccepttheinternalauditor'sfirstand

secondsuggestions,respectively?

A.NoforSuggestions1and2.

B.NoforSuggestion1andYesforSuggestion2.

C.YesforSuggestion1andNoforSuggestion2.

15

Answer

Aiscorrect.Bothsuggestionsarebad.Invaluingprojects,expectedcash

flowsshouldbediscountedatrequiredratesofreturnthatreflecttheirrisk,

notatarisk-freeratethatignoresrisk.Eventhoughbothoptionscannotbe

simultaneouslyexercised,theycanbothaddvalue.Ifdemandishigh,you

canexercisethegrowthoption,andifdemandislow,youcanexercisethe

abandonmentoption.

16

6.Shouldthecapitalbudgetingcommitteeaccepttheinternalauditor'sthirdand

fourthsuggestions,respectively?

A.NoforSuggestions3and4.

B.YesforSuggestions3and4.

C.NoforSuggestion3andYesforSuggestion4.

17

Answer

Biscorrect.Bothsuggestionsaregood.ChoosingprojectswithhighIRRs

mightcausethecompanytoconcentrateonshort-termprojectsthatreduce

theNPVofthecompany.Whenevertheprojectriskdiffersfromthecompany

risk,aproject-specificrequiredrateofreturnshouldbeused.

18

Case2

ThefollowinginformationrelatestoQuestions7一9

McConachieCompanyisconsideringthepurchaseofanew400-tonstamping

press.Thepresscosts$360,000,andanadditional$40,000isneededtoinstallit.

Thepresswillbedepreciatedstraight-linetozerooverafive-yearlife.Thepress

willgeneratenoadditionalrevenues,butitwillreducecashoperatingexpenses

by$140,000annually.Thepresswillbesoldfor$120,000afterfiveyears.An

inventoryinvestmentof$60,000isrequiredduringthelifeoftheinvestment.

McConachieisinthe40percenttaxbracket.

19

7.WhatistheMcConachienetinvestmentoutlay?

A.$400,000.

B.$420,000.

C.$460,000.

20

Answer

Ciscorrect.Theinvestmentoutlayis

J

Outiay=FCInv+WCInv-S疝-T(Salo-Bo)

=(360,000+40：000)+60:000-0+0=$460,000

21

8.McConachie'sincrementalannualafter-taxoperatingcashflowisclosestto:

A.$116,000.

B.$124,000.

C.$140,000.

22

Answer

Aiscorrect.Depreciationwillbe$400,000/5=$80,000peryear.Theannualaftertaxoperatingcash

flowis

CF=(S-C-DX1-T)+D

=[0-(-140,000)-80,000)(1-0.40)+80,000=$116,000

23

9.Whatistheterminalyearafter-taxnon-operatingcashflowattheendofyear

five?

A.$108,000.

B.$132,000.

C.$180,000.

24

Answer

Biscorrect.Theterminalyearnon-operatmgcashflowis

TNOCF=Sal5+NWCInv-T(Sal5-B5)

=120,000+60,000-0.40(120,000-0)=$132,000

25

Case3

ThefollowinginformationrelatestoQiiestionslO—15

HennessyInc.,locatedinUnitedStates,isahigh-qualityproductsmanufactureranddistributor

withlonghistoryspecializinginaccessoriesandbags.TheindustrywhereWilliamsisoperating

entersintomaturitystagewithstableearnings.Williams'sboardofdirectorsiswonderinghow

toboostthestockprice.

MaxVerstappen,theCEOofHennessy,answerstotheboardthatbyacquiringanothercompany

using100%stockpaying,thecompanycanincreasetheearningpershareifthepricemultiple

doesnotdeclineafterthemerger.VerstappenaskesDanielRicardo,thechieffinanceofficerto

screenforpotentialtargetswhichareproperforthepurposeofincreasingEPS.

KateInc.andMichaelInc.aretwosmallercompetitorswithshorterhistorieswithinthesame

industry,whicharerecommendedbyRicardotoVerstappen.

Tofurtherexaminethepotentialeffectofacquisition,Ricardoputtheinformationrelatedto

KateandMichael,togetherwithHennessy's,asisindicatedinExhibit1.

26

Exhibit1:InformationRelatedtoHennessy,KateandMichael

HennessyKateMichael

Pre-mergerearningspershare(in$)3.208.503.10

Sharesoutstanding(inmillions)1503348

Pre-mergerpricepershare(in$)61.5066.2066

27

JohnstonHorneristhechairmanoftheboard.Hornersaysinadditiontotheprice

appreciationintheshortrunitisalsoimportanttogainrealbenefitfrombusiness

combinationinthelongrun.Hemakestnefollowingstatementsdescribingmergers

thatcanbenefitthecompany:

Statement1:Byacquiringacompetitor,wecangainmarketpowertorisetheselling

priceofourproducts.

Statement2:Reducingcostbycontrollingthekeydistributionchannelisalsoa

benefitofmerger.

Verstappensuggeststhat,NewWorld,afurproductsmakerwhoseproductsdirectly

competeswithHennessy^oneproductlineroryearsmightbeagoodchoiceforthe

merger.HethinksthatbyacquiringNewWorld,evenifthecompany'sprice

multipledecreases,Hennessysshareholderscanalsobenefitfromtheeconomicsof

scalegainedfrommoreeffectiveoperatingandhighersellingpriceinthelongrun.

28

Forthefiirproductsindustry,thecurrentHerfindahl-HirschmanIndex(HHI)is

1000.IfHennessytakeoverNewWorld,theHHIwillincreasesto1080.

Verstappenconcludesthat,theindustryismoderatelyconcentratedandthe

companyispossibletobechallengedbyanti-trustlawregardingthetakeoverof

NewWorld

VerstappenputstogethertheinformationofNewWorldandtheestimation

regardingthemergerinExhibit2andpresentsthemtotheboard.

29

Exhibit2:InformationRelatedtoMergerofNewWorld

30

Onameetingoftheboardofdirectors,AdrianNewey,oneoftheboardmembers,makesthe

conclusionthatthemergermightbenefitthemanagementwithoutcreatevaluefbrthe

shareholders.

Neweyisalsoconcernedwiththatthereishugeriskthatthesynergywillnotberealizedafter

themerger,whichwillbeassumedbythecompany'sshareholders.

WithregardtotheriskconcernedbyNeweyandthevaluecreatedfortheHennessy's

shareholders,Hornermakesthefollowingtwosuggestions:

Suggestion1:Ifwearenotsoconfidentwiththemerger,wecanincreasethecashpayingto$40

andreducethestockpayingcorrespondingly.

Suggestion2:Weshouldkeepthemergerplansecretetoavoidattractingattentionoftheother

companies,soastoreducethenumberofbidders.

31

10.AccordingtotheinformationinExhibit1,toachievethegoalofincreasing

EPS,Hennessywillmostlikelytoacquire:

AKateonly.

BMichaelonly.

CeitherKateorMichael

32

Answer

Aiscorrect.

高P，E的公司通过股份支付方式收购低P/E的公司，可以增加每股收益（EPS）。

根据题目给出的数据，

P/EofHennessy=61+3.2=19.06

P/EofKate=66.2+8.5=7.79

P/EofMichael=66+3.1=21.29

由此可知，只有Kate公司的PE小于Hennessy公司的P/E,因此以股份支付的

方式收购Kate公司可以实现每股收益的增加。而股份支付收购Michael公司不能

达到该目的，故只有A正确。

33

11.WhichofthefollowingisthetypeofmergerthatisdescribedbytheHorner

in:

Statement1Statement2

AVerticalmergerHorizontalmerger

BVerticalmergerVerticalmerger

CHorizontalmergerVerticalmerger

34

Answer

Ciscorrect.

Statement1所描述的是横向并购，横向并购是指并购与自身业务相近的对象，例

如，竞争对手。Statement2所描述的是纵向并购中的前向整合，即整合产业链的

下游，即分情商。综上，只有C选项符合题意。

35

12.Verstappenismostlikelycorrectin:

Adescribingtheconcentrationoftheindustryonly.

Bforecastingthepossibilityofanti-trustactiononly.

CbothAandB.

36

Answer

Aiscorrect.

当HHI指数达到1000,低于1800时，该行业可判定为轻度集中行业，高于1800

时，判定为高集中度行业，低于1000时，判定为不集中的行业。根据题目描述，

该行业的HHI指数为1000,即属于轻度集中行业，对于这个结论，Verstappen的

描述是正确的。在轻度集中行业巾，如果并购使得HHI指数上升100及以上，该

并购可能会触发反垄断调查，因此Verstappen对这个结论的描述不正确，并购使

得HHI上升80,不足以触发反垄断调查。因此A选项符合题意。

37

13.BymergingNewWorld,Hennessy'sshareholdersarelikelytogain:

A$1,360.72million.

B$364.28million.

C$1,725million.

38

Answer

Aiscorrect.

第一步，计算并购对价。此题中，并购对价包括现金部分和股份支付部分。而股

份支付部分又由并购方并购后的股份数量和并购后价值决定，即如下所示：

Valueofstockoffering=0.5X[12,350+(150+0.5X50)]X50

=1764.29(million)

PricepaidtoNewWorld=30X50+1764.29=3264.28(million)

第二步，计算被并购方股东获益(溢价)，即，

PremiumreceivedbyNewWorld=3264.28—58X50=364.28(million)

第三步，计算并购产生的协同效应的价值。即，

Synergiesfromthecombination=12,350—58X50—61.5X1504-30X50

=1,725(million)

第四步，根据协同效应的价值和被并购方获得的溢价计算并购方的获益，即,

GianofHennessy=1,725—364.28=1360.72(million)39

14.Newey'sconclusionisleastlikelytobesupportedbythefactthat:

Athemanagement'scompensationishighlycorrelatedtothecompanysize.

Bthemanagementownstockoptionsofthecompany.

Cthepricemultiplewilldecreaseafterthemerger.

40

Answer

Ciscorrect

Newey的结论是，并购有可能会使管理层获益，而不是使股东获益。管理层的收

入如果与公司规模挂钩，会增加管理层实公司施并购的动机，并购可以增加公司

规模,给管理层带来收入的增加，但不一定给股东带来利益，因此A不符合题意。

如果管理层持有公司的股票期权，管理层会倾向于进行高风险的投资，如果投资

成功了，管理层获益，投资失败了，管理层不会蒙受损失，但股东会蒙受损失,

因此B不符合题意。

C选项所描述的内容与该董事提及的问题无关，因此C符合题意。注意，此题既

涉及公司治理的内容，又涉及并购的内容。

41

15.WhichofthesuggestionmadebyHorneris/aremostreasonable?

ASuggestion1only.

BSuggestion2only.

CBothsuggestion1andsuggestion2.

42

Answer

Biscorrect

如果并购方对并购有信心（并购后价值的实现），应该更多的用现金支付，而材料

中说的是对并购没有信心，那么应该减少现金支付，因为更多的股份支付可以将

风险更多的转移给被并购方的股东，因此suggestion1不合理，A不正确。

一般情况下，并购中出价方越多，并购对于买方更为不利，suggestion2描述的内

容合理，因此B正确。

综上，C不正确。

43

Case4

ThefollowinginformationrelatestoQuestions16-21

ModernElectronicInc.isaleadingmanufacturerofhouseholdappliancewith

itsownstores.RainZhang,theCEOofModernElectronic,recognizestheus