您好，欢迎访问三七文档
1IntroductiontoRisk,Return,andtheOpportunityCostofCapitalPrinciplesofCorporateFinanceBrealeyandMyersSixthEditionSlidesbyMatthewWillChapter7©TheMcGraw-HillCompanies,Inc.,2000Irwin/McGrawHill©TheMcGraw-HillCompanies,Inc.,2000Irwin/McGrawHill7-2TopicsCovered72YearsofCapitalMarketHistoryMeasuringRiskPortfolioRiskBetaandUniqueRiskDiversification2©TheMcGraw-HillCompanies,Inc.,2000Irwin/McGrawHill7-3Projectevaluation:FlowChartIdentifythealternativesInterpretationofresultsOpportunitycostofcapitalSensitivityanalysisForecastcashflowsoverlifetimePerformNPVcalculationImpactoffinancing-Projectlifetime-Estimatecashflows-consistency-Assesprojectrisk-Projectbeta-CAPMmodel-Riskanalysisofbeta-Sensitivityanalysis-Discountcashflows-CalculateNPV-Annualpayments-Adjustedpresentvalue-Financingimpacts©TheMcGraw-HillCompanies,Inc.,2000Irwin/McGrawHill7-4ProjectevaluationUsinghistoricalevidencetoevaluatetoday’scostofcapitalÎPortfolioriskÎSecurityriskÎDiversification3©TheMcGraw-HillCompanies,Inc.,2000Irwin/McGrawHill7-5IBBOTSONASSOCIATESCommonstockySmallstocks.Long-termcorporatebondsLong-termtreasurybondsUStreasurybillsS&P500Smallest20%NYSEStocksHighquality;20-yearcurrentmaturity20-yearcurrentmaturityCurrentmaturity1year©TheMcGraw-HillCompanies,Inc.,2000Irwin/McGrawHill7-6Valueatendof1994of1$investmentatthebeginningof1926NominalRealSmallcap$2,843$340S&P500$811$97Corporatebonds$38$4.5Treasurybonds$26$3.1T-Bills$12$1.5Inflation7$$7atthebeginningof1994hadthesamepurchasingpoweras$1atthebeginningof19264©TheMcGraw-HillCompanies,Inc.,2000Irwin/McGrawHill7-7TheValueofanInvestmentof$1in1926Source:IbbotsonAssociates0.11010001925193319411949195719651973198119891997S&PSmallCapCorpBondsLongBondTBillIndexYearEnd15520182855.3839.0714.25Nominal©TheMcGraw-HillCompanies,Inc.,2000Irwin/McGrawHill7-80.11010001925193319411949195719651973198119891997S&PSmallCapCorpBondsLongBondTBillTheValueofanInvestmentof$1in1926Source:IbbotsonAssociatesIndexYearEnd16132036.154.341.58Realreturns5©TheMcGraw-HillCompanies,Inc.,2000Irwin/McGrawHill7-9Averagereturnsandstandarddeviations1926-1994PortfolioAveragenominalreturnAveragerealreturnAverageriskpremiumStandarddeviationofreturnsTreasurybills3.7%0.6%0%3.3%Governmentbonds5.22.11.48.7Corporatebonds5.72.72.08.3Commonstocks12.28.98.420.2Small-firmstocks17.413.913.734.3Source:Stocks,Bonds,Bills,andInflation:1995Yearbook,IbbotsonAssociates,Chicago,1995©TheMcGraw-HillCompanies,Inc.,2000Irwin/McGrawHill7-10Expectedreturnonmarketportfolio=expectedreturnonaverage-riskUSstockrm=(currentinterestrate)+(expectedmarketriskpremium)Ifexpectedriskpremium=long-runaveragerm=risk-freeinterestrate(T-billrate)+8.4%6©TheMcGraw-HillCompanies,Inc.,2000Irwin/McGrawHill7-11Expectedmarketreturnvs.treasurybillyield©TheMcGraw-HillCompanies,Inc.,2000Irwin/McGrawHill7-12MeasuringRiskSafeprojects:T-billRate“Average-risk”projects:AveragereturninstockmarketHowtomeasure/estimatediscountratesforotherassets?ÎHowtomeasurerisk?ÎWhatistherelationshipbetweenriskborneandriskpremiumsdemanded?7©TheMcGraw-HillCompanies,Inc.,2000Irwin/McGrawHill7-13Standarddeviationofselectedcommonstock©TheMcGraw-HillCompanies,Inc.,2000Irwin/McGrawHill7-14MeasuringRiskVariabilityinstockmarketreturnsÎBriefperiodsofextremelyhighvolatilityÎOctober19,1987,marketfell23%inoneday8©TheMcGraw-HillCompanies,Inc.,2000Irwin/McGrawHill7-15MeasuringRiskDiversificationStrategydesignedtoreduceriskbyspreadingtheportfolioacrossmanyinvestments.UniqueRiskRiskfactorsaffectingonlythatfirm.Alsocalled“diversifiablerisk.”MarketRiskEconomy-widesourcesofriskthataffecttheoverallstockmarket.Alsocalled“systematicrisk.”©TheMcGraw-HillCompanies,Inc.,2000Irwin/McGrawHill7-16MeasuringRiskHowdiversificationreducesriskÎRememberthatthemarketportfolio’sstandarddeviationwasabout20%overtheentire1926-1988periodandsomewhatlessinlateryears.ÎOfourindividualstocks,onlyExxonandBristolMyersSquibbhadstandarddeviationsoflessthan20%.Moststocksaresubstantiallymorevariablethanthemarket.ÎThisraisesanimportantquestion:Themarketportfolioismadeupofindividualstocks,sowhydoesn’titsvariabilityreflecttheaveragevariabilityofitscomponents?Theansweristhatdiversificationreducesvariability.9©TheMcGraw-HillCompanies,Inc.,2000Irwin/McGrawHill7-17MeasuringRisk051015NumberofSecuritiesPortfoliostandarddeviation©TheMcGraw-HillCompanies,Inc.,2000Irwin/McGrawHill7-18MeasuringRisk051015NumberofSecuritiesPortfoliostandarddeviationMarketriskUniquerisk10©TheMcGraw-HillCompanies,Inc.,2000Irwin/McGrawHill7-19Variabilityofportfolioswithequalholdings©TheMcGraw-HillCompanies,Inc.,2000Irwin/McGrawHill7-20MeasuringRiskIndividualstockshavetwokindsofriskMarketriskÎOrsystematicriskorundiversifiableriskÎAffectsallstocksUniqueriskÎOrunsystematicriskordiversifiableriskorspecificriskorresidualriskÎAffectsindividualstocksorsmallgroupsofstocksÎUniquerisksofdifferentfirmsunrelatedÎEliminatedbydiversification11©TheMcGraw-HillCompanies,Inc.,2000Irwin/McGrawHill7-21MeasuringRiskAdvantagesofdiversificationSinglestockÎExposedtomarketriskanduniqueriskDi
三七文档所有资源均是用户自行上传分享，仅供网友学习交流，未经上传用户书面授权，请勿作他用。
扫描二维码
lw694017
本文标题：MScPFcostofcapitalandCAPMcombined25Sept2015
链接地址：https://www.777doc.com/doc-1238791 .html