2010秋季在职研究生公司财务考试真题对外经贸大学.ppt

* 资本资产定价模型 股票价格取决于公司本身的经营状况和整个市场环境。但是投资者往往只关心不可分散风险，即系统性的市场风险。 个股的不可分散风险可以通过beta来度量，即个股收益对市场收益做回归所得斜率。 预期收益率是betas的线性函数。 （市场风险溢价） * * Beta 回归斜率 个股对于整个市场波动的敏感程度如何？ 其他股票价格波动是所研究股票的价格如何变化？ =企业本身经营带来的不可风散的、非系统性的风险。 =个股之于市场收益的敏感度 =拟合优度，度量整个方差能被市场收益变化解释的比例 * * CAPM应用 将风险量化 股票或投资所对应的?越大，则投资风险越大。 估值 提供了估计企业资本成本(风险调整后的贴现率)的有效手段。 提供基准 估计股票或投资基金考虑风险情况下的表现。 (美国有近74%的企业用CAPM模型估计资本成本) * * * * 多因素模型 ?通常不能涵盖所有包括重要的风险因素 风险度量 将企业的预期收益对影响其的所有宏观经济风险因子做回归。 预期收益与风险线性相关。 * * * DCF Valuation I: WACC Inputs Debt/equity ratio (constant: it is the target leverage ratio) Costs of levered equity and cost of debt Tax rate Unlevered cash flows (after tax) Example I: WACC Valuation Consider the valuation of the Singer Company, which is for sale for $475,000, and has the following characteristics: Cash sales: $500,000 per year for the indefinite future Cash costs:72% of sales Corporate tax rate(TC): 34% Cost of capital if unlevered (r0): 20% Interest Rate (rB): 10% Target debt to equity ratio (B/S): 1/3 (thus B=1, S=3, and B+S=4) Annual CFs if the firm were all equity financed (ignore interest payments) are: Cash inflows $500,000 Cash costs -360,000 Operating Income 140,000 Corporate Tax (.34) -47,600 UCF 92,400 Example I: WACC Valuation The present value of Singer is thus PV = 92,400 / .183 = 504,918 and the NPV of the acquisition would be NPV = 504,918 – 475,000 = $29,918 Example I: WACC Valuation Understanding WACC When using WACC, the value of the debt tax shield is reflected in the denominator (分母discount rate), rather than the numerator (分子cash flows) Understanding WACC WACC r0 . Thus the value of a project with leverage is greater than the value of the project without leverage. DCF Valuation II: APV The adjusted present value method begins by calculating the value of the firm with all equity financing. We then separately calculate the value of the debt tax shield (or other side effects连带效应), and add the two