Chapter_09CapitalBudgetingandRisk(公司金融,英文版)

PrinciplesofCorporateFinanceSeventhEditionRichardA.BrealeyStewartC.MyersSlidesbyMatthewWillChapter9McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedCapitalBudgetingandRisk9-2McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedTopicsCoveredCompanyandProjectCostsofCapitalMeasuringtheCostofEquityCapitalStructureandCOCDiscountRatesforIntl.ProjectsEstimatingDiscountRatesRiskandDCF9-3McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedCompanyCostofCapitalAfirm’svaluecanbestatedasthesumofthevalueofitsvariousassetsPV(B)PV(A)PV(AB)valueFirm9-4McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedCompanyCostofCapital10%nologyknowntecht,improvemenCostCOC)(Company15%businessexistingofExpansion20%productsNew30%ventureseSpeculativRateDiscountCategory9-5McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedCompanyCostofCapitalAcompany’scostofcapitalcanbecomparedtotheCAPMrequiredreturnRequiredreturnProjectBeta1.26CompanyCostofCapital135.50SML9-6McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedMeasuringBetasTheSMLshowstherelationshipbetweenreturnandriskCAPMusesBetaasaproxyforriskOthermethodscanbeemployedtodeterminetheslopeoftheSMLandthusBetaRegressionanalysiscanbeusedtofindBeta9-7McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedMeasuringBetasDellComputerSlopedeterminedfromplottingthelineofbestfit.Pricedata–Aug88-Jan95Marketreturn(%)Dellreturn(%)R2=.11B=1.629-8McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedMeasuringBetasDellComputerSlopedeterminedfromplottingthelineofbestfit.Pricedata–Feb95–Jul01Marketreturn(%)Dellreturn(%)R2=.27B=2.029-9McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedMeasuringBetasGeneralMotorsSlopedeterminedfromplottingthelineofbestfit.Pricedata–Aug88-Jan95Marketreturn(%)GMreturn(%)R2=.13B=0.809-10McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedMeasuringBetasGeneralMotorsSlopedeterminedfromplottingthelineofbestfit.Pricedata–Feb95–Jul01Marketreturn(%)GMreturn(%)R2=.25B=1.009-11McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedMeasuringBetasExxonMobilSlopedeterminedfromplottingthelineofbestfit.Pricedata–Aug88-Jan95Marketreturn(%)ExxonMobilreturn(%)R2=.28B=0.529-12McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedMeasuringBetasExxonMobilSlopedeterminedfromplottingthelineofbestfit.Pricedata–Feb95–Jul01Marketreturn(%)ExxonMobilreturn(%)R2=.16B=0.429-13McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedBetaStability%INSAME%WITHINONERISKCLASS5CLASS5CLASSYEARSLATERYEARSLATER10(Highbetas)356991854816457134161439514424134031645221611(Lowbetas)4062Source:SharpeandCooper(1972)9-14McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedCompanyCostofCapitalsimpleapproachCompanyCostofCapital(COC)isbasedontheaveragebetaoftheassetsTheaverageBetaoftheassetsisbasedonthe%offundsineachasset9-15McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedCompanyCostofCapitalsimpleapproachCompanyCostofCapital(COC)isbasedontheaveragebetaoftheassetsTheaverageBetaoftheassetsisbasedonthe%offundsineachassetExample1/3NewVenturesB=2.01/3ExpandexistingbusinessB=1.31/3PlantefficiencyB=0.6AVGBofassets=1.39-16McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedCapitalStructure-themixofdebt&equitywithinacompanyExpandCAPMtoincludeCSR=rf+B(rm-rf)becomesRequity=rf+B(rm-rf)CapitalStructure9-17McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedCapitalStructure&COCCOC=rportfolio=rassetsrassets=WACC=rdebt(D)+requity(E)(V)(V)Bassets=Bdebt(D)+Bequity(E)(V)(V)requity=rf+Bequity(rm-rf)IMPORTANTE,D,andVareallmarketvalues9-18McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.Allrightsreserved02000.20.81.2CapitalStructure&COCExpectedreturn(%)BdebtBassetsBequityRrdebt=8Rassets=12.2Requity=15ExpectedReturnsandBetaspriortorefinancing9-19McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedUnionPacificCorp.Requity=ReturnonStock=15%Rdebt=YTMonbonds=7.5%9-20McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedUnionPacificCorp..17.50PortfolioIndustry.21.40PacificUnion.26.52SouthernNorfolk.24.46tionTransportaCSX.20.64NorthernBurlingtonErrorStandard.Beta9-21McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedUnionPacificCorp.Example100valueFirmAssetsTotal70ueEquityval30Debtvalue100Assets%75.12%15703070%5.7703030assetsequitydebtassetsRrequitydebtequityrequitydebtdebtR9-22McGrawHill/IrwinCopyright©2003byTheMcGraw-HillCompanies,Inc.AllrightsreservedInternationalRisk0.77.302.58Venezuela1.39.482.91Thailand0.81.421.93Poland0.55.183.11EgyptBetatcoefficiennCorrelatioRatioSource:TheBrattleGroup,Inc.Ratio-Ratioofstandarddeviations,countr