Corporate Finance 公司理财 机械工业出版社 Ross Ch031第31章答案

B-458《CorporateFinance》公司理财StephenA.Ross机械工业出版社Chapter31:InternationalCorporateFinance31.1a.Indirectterms,$1.6317/PoundInEuropeanterms,DM1.8110/$b.TheJapaneseyenissellingatapremiumtotheU.S.dollarintheforwardmarkets.Today,atthespotrate,U.S.$1buys¥143,whileatthe90-dayfuturerate,U.S.$1buysonly¥142.01.Clearly,Yenaregettingmoreexpensiveindollarterms.Thisiseveneasiertoseeindirectterms:Atthespotrate,theyencostjustunder6cents,whilethe90-dayyencostsover7cents.c.ItwillbeimportanttoJapanesecompaniesthatwillreceiveormakepaymentsindollars.ItwillalsobeimportanttootherinternationalcompaniesoutsideJapanthatmustmakeorreceivepaymentsinyen.Forthesecompanies,futurecashflowsdependontheexchangerate.d.The3monthforwardexchangerateis$0.6743/SF.TheamountofSwissfrancsreceivedwillbeSF148,301.94.=$100,000$0.6743/SF.Weshouldselldollars,becauseatthespotrate,itwouldbeSF149,454,49.e.LetxySbethespotrateofcurrencyXforYPound/DMPound/$$/DMSSSPound0.6129$0.5522=1$DM1Pound0.3384DM1Yen/SFYen/$$/SFSSS?0.6129$0.6691=1$SF1?95.6813SF1B-459f.Bothbanksreducetheirexposuretoforeignexchangerisk.Ifabankfindsanotherbankwithacomplimentarymismatchofcashflowsintermsofforeigncurrencies,itshouldarrangeaswapsincebothbanks’cashflowswouldbemorecloselymatched.31.2a.ItiseasiesttoseethisbyconsideringfromthepointofviewoftheDM:DMDM2and4$Landwriteastheinverse:$L0.5and0.25DMDMThenwriteasaratio:$$0.5DM2.0LL0.25DMFornoarbitrage,thequotefor$Lmustbe2.0,butinsteaditis1.8.Therefore,anarbitrageopportunitydoesexist.b.Similarly,100/2=50,andthequoteis¥50/DM,soarbitragedoesnotexistc.and100/7.812.8,butthequoteis¥14/HKD,meaningarbitragedoesexist31.3a.False.Onthecontrary,accordingtoRelativePurchasingPowerParity,anexpectationofhigherinflationinJapanshouldcausetheyentodepreciateagainstthedollar.b.False.Assumingthattheforwardmarketisefficient,anyexpectationofhigherinflationinFranceshouldbereflectedindiscountedFrenchfrancsintheforwardmarket.Therefore,noprotectionfromriskwouldbeavailablebyusingforwardcontracts.c.True.Thefactthatotherparticipantsinthemarketdonothaveinformationregardingthedifferencesintherelativeinflationratesinthetwocountrieswillmakeourknowledgeofthisfactaspecialfactorthatwillmakespeculationintheforwardmarketsuccessful.31.4Theapproximationformulagiveninthetextis:B-460**SwhereSrateofchangeintheBD/WDexchangerateinflationrateinEmpireBlackinflationrateinEmpireWhiteBDWDBDWDThen,*S10%5%5%0.05So,thespotrateatyearendis31.4(continued)*10S=S1+S2.5(1.05)BD2.625WD31.5a.TheInterest-rateparitytheoremspecifies:*1(0,1)(0)1iFSiwhere:*idomesticinterestratei=foreigninterestrateF(0,1)=currentpriceofa1monthforwardcontractS(0)=currentdomestic-currencypriceofspotforeignexchangeInthiscase,wehave(andsolvingfortheforwardrate):US$FFFrance1iF(0,3)=S(0)1+iSinceS(0)is$/FF,wemusttaketheinverseofthequotegivenintheproblem,so1S(0)=0.166676SinceUSFranceiandiarespecifiedintheproblemannuallyandwewantthe3-monthforwardrate,wemustfindthe3-monthinterestrates,so:USFrance5%i31.25%128%i32%12So,nowwehave:B-4611.0125F(0,3)=0.166671.02=0.16544ConvertthisbacktoFF/$(1/0.16544)andwegetFF6.04/$b.Enterthebuy-sidepositionofa3monthFFforwardcontractworth1,000,000x6.04=FF6.04million.Then,whentheybuythecosmetics3monthsfromnow,theywillhavethenecessaryFrenchFrancs,regardlessofwhathappenstotheFXmarketsduringthose3months.31.6a.Comparetheend-of-periodinvestmentvalueofeachcountry:InvestmentintheU.K.:Thetreasurercanobtain2.5millionPounds[=$5million/($2/Pound)].AfterinvestingintheU.K.forthreemonthsat9%hewillhave2,556,250pounds[=2.5millionpoundsx(1+0.09/4)]Theforwardsaleofpoundswillprovide$5,150,843.75(=2,556,250Poundsx$2.015/Pound).InvestmentintheU.S.:AfterinvestingintheU.S.forthreemonthsat12%,thetreasurerwillhave$5,150,000[=$5,000,000x(1+0.12/4)].SinceinvestingintheUKyields$843.75morethaninvestingintheUS,thetreasuereshouldinvestintheUK.b.Fromtheequationforinterest-rateparitytheorem:*1(0,1)(0)1iFSiwhere:*idomesticinterestratei=foreigninterestrateF(0,1)=currentpriceofa1periodforwardcontractS(0)=currentdomestic-currencypriceofspotforeignexchangeInsteadofinterpretingtheperiodas1monthasbeforeandinthetext,wecaninterpretitas1year.ThenwehaveUSUK1iF(0,1)=S(0)1i1.13$1.50/Pound1.08$1.57/PoundB-462c.Italldependsonwhethertheforwardmarketexpectsthesameappreciationovertheperiodandwhethertheexpectationisaccurate.Assumingthattheexpectationiscorrectandthatothertradersdonothavethesameinformation,therewillbevaluetohedgingthecurrencyexposure.31.7a.Onepossiblereasoninvestmentintheforeignsubsidiarymightbepreferredisifthisinvestmentprovidesdirectdiversificationthatshareholderscouldnotattainbyinvestingontheirown.Anotherreasoncouldbeifthepoliticalclimateintheforeigncountrywasmorestablethaninthehomecountry.Increasedpoliticalriskcanalsobeareasonyoumightpreferthehomesubsidiaryinvestment.Indonesiacanserveasagreatexampleofpoliticalrisk.Ifitcannotbediversifiedaway,investinginthistypeofforeigncountrywillincreasethesystematicrisk.Asaresult,itwillraisethecos