taiwan财务管理_lecture10(ch10)

©TheMcGraw-HillCompanies,Inc.,200110-1Irwin/McGraw-HillIrwin/McGraw-HillChapter10FundamentalsofCorporateFinanceThirdEditionRisk,Return,andCapitalBudgetingBrealeyMyersMarcusslidesbyMatthewWillIrwin/McGraw-Hill©TheMcGraw-HillCompanies,Inc.,2001©TheMcGraw-HillCompanies,Inc.,200110-2Irwin/McGraw-HillTopicsCoveredMeasuringBetaPortfolioBetasCAPMandExpectedReturnSecurityMarketLineCapitalBudgetingandProjectRisk©TheMcGraw-HillCompanies,Inc.,200110-3Irwin/McGraw-HillMeasuringMarketRiskMarketPortfolio-Portfolioofallassetsintheeconomy.Inpracticeabroadstockmarketindex,suchastheS&PComposite,isusedtorepresentthemarket.Beta-Sensitivityofastock’sreturntothereturnonthemarketportfolio.©TheMcGraw-HillCompanies,Inc.,200110-4Irwin/McGraw-HillMeasuringMarketRiskExample-TurboChargedSeafoodhasthefollowing%returnsonitsstock,relativetothelistedchangesinthe%returnonthemarketportfolio.ThebetaofTurboChargedSeafoodcanbederivedfromthisinformation.©TheMcGraw-HillCompanies,Inc.,200110-5Irwin/McGraw-HillMeasuringMarketRiskMonthMarketReturn%TurboReturn%1+1+0.82+1+1.83+1-0.24-1-1.85-1+0.26-1-0.8Example-continued©TheMcGraw-HillCompanies,Inc.,200110-6Irwin/McGraw-HillMeasuringMarketRiskWhenthemarketwasup1%,Turboaverage%changewas+0.8%Whenthemarketwasdown1%,Turboaverage%changewas-0.8%Theaveragechangeof1.6%(-0.8to0.8)dividedbythe2%(-1.0to1.0)changeinthemarketproducesabetaof0.8.Example-continued©TheMcGraw-HillCompanies,Inc.,200110-7Irwin/McGraw-HillMeasuringMarketRiskB==0.81.62Whenthemarketwasup1%,Turboaverage%changewas+0.8%Whenthemarketwasdown1%,Turboaverage%changewas-0.8%Theaveragechangeof1.6%(-0.8to0.8)dividedbythe2%(-1.0to1.0)changeinthemarketproducesabetaof0.8.Example-continued©TheMcGraw-HillCompanies,Inc.,200110-8Irwin/McGraw-HillMeasuringMarketRiskExample-continued-0.8-0.6-0.4-0.200.20.40.60.81-0.8-0.6-0.4-0.200.20.40.60.81MarketReturn%Turboreturn%©TheMcGraw-HillCompanies,Inc.,200110-9Irwin/McGraw-HillPortfolioBetasDiversificationdecreasesvariabilityfromuniquerisk,butnotfrommarketrisk.Thebetaofyourportfoliowillbeanaverageofthebetasofthesecuritiesintheportfolio.IfyouownedalloftheS&PCompositeIndexstocks,youwouldhaveanaveragebetaof1.0©TheMcGraw-HillCompanies,Inc.,200110-10Irwin/McGraw-HillMeasuringMarketRiskMarketRiskPremium-Riskpremiumofmarketportfolio.Differencebetweenmarketreturnandreturnonrisk-freeTreasurybills.0246810121400.20.40.60.81BetaExpectedReturn(%).MarketPortfolio©TheMcGraw-HillCompanies,Inc.,200110-11Irwin/McGraw-HillMeasuringMarketRiskCAPM-Theoryoftherelationshipbetweenriskandreturnwhichstatesthattheexpectedriskpremiumonanysecurityequalsitsbetatimesthemarketriskpremium.Marketriskpremium=r-rRiskpremiumonanyasset=r-rExpectedReturn=r+B(r-r)mfffmf©TheMcGraw-HillCompanies,Inc.,200110-12Irwin/McGraw-HillMeasuringMarketRiskSecurityMarketLine-ThegraphicrepresentationoftheCAPM.01Beta02040ExpectedReturn(%).RfRmSecurityMarketLine©TheMcGraw-HillCompanies,Inc.,200110-13Irwin/McGraw-HillCapitalBudgeting&ProjectRiskTheprojectcostofcapitaldependsontheusetowhichthecapitalisbeingput.Therefore,itdependsontheriskoftheprojectandnottheriskofthecompany.©TheMcGraw-HillCompanies,Inc.,200110-14Irwin/McGraw-HillCapitalBudgeting&ProjectRiskExample-BasedontheCAPM,ABCCompanyhasacostofcapitalof17%.(4+1.3(10)).Abreakdownofthecompany’sinvestmentprojectsislistedbelow.Whenevaluatinganewdogfoodproductioninvestment,whichcostofcapitalshouldbeused?1/3NuclearPartsMfr..B=2.01/3ComputerHardDriveMfr..B=1.31/3DogFoodProductionB=0.6AVG.Bofassets=1.3©TheMcGraw-HillCompanies,Inc.,200110-15Irwin/McGraw-HillCapitalBudgeting&ProjectRiskExample-BasedontheCAPM,ABCCompanyhasacostofcapitalof17%.(4+1.3(10)).Abreakdownofthecompany’sinvestmentprojectsislistedbelow.Whenevaluatinganewdogfoodproductioninvestment,whichcostofcapitalshouldbeused?R=4+0.6(14-4)=10%10%reflectstheopportunitycostofcapitalonaninvestmentgiventheuniqueriskoftheproject.©TheMcGraw-HillCompanies,Inc.,200110-16Irwin/McGraw-HillDerivationofCAPMCapitalMarketLineIndividual'sEfficientFrontierwithRiskFreeAssetE(R)RfM©TheMcGraw-HillCompanies,Inc.,200110-17Irwin/McGraw-HillDerivationofCAPMHomogeneousExpectation---OneMarketEfficienfFrontier:CapitalmarketLine(CML)TheSlopeofCapitalMarketLineis:E(R)RfMCMLE(Rm)-RfmE(Rm)mMfMRRE)(©TheMcGraw-HillCompanies,Inc.,200110-18Irwin/McGraw-HillDerivationofCAPMSeurityMarketLine(CAPM)IfaportfolioisconsistedofAandmarketportfolioMwithassetA,W%,andM,(1-W%),thenE(R)RfMACML),()1()()(MAPREWRWERE)21()1(2)1()(222EXP©TheMcGraw-HillCompanies,Inc.,200110-19Irwin/McGraw-HillDerivationofCAPM對W取一階導數:Wheninequilibrium,W=0and.)()(MAPREREdWdRPMAAMMMAAMMAPWdWd222)2()()(|0MAWPREREdWdRMMAMPMAAMMWPdWd220|MP©TheMcGraw-HillCompanies,Inc.,200110-20Irwin/McGraw-HillDerivationofCAPMTheslopeoftheportfolioinequilibriumthenis:Sinceinequilibrium,theportfolioisequalthemarketportfolio,theslopeoftheportfolioinCMLmustequaltothatofthemarketportfolio,theequationcanconstructedasfollows:MMAMMAWPPREREddR/)()()(|20MfMRRE)(MMAMMARE