財富管理概論_lecture

1、13-1概要：回收期法平均會計收益法內(nèi)部收益率法指數(shù)凈現(xiàn)值分析法現(xiàn)金流的估計貼現(xiàn)率的估計名感性分析、場景分析、模擬第六投資管理概論講(一) 傳統(tǒng)的企業(yè)6(1)決策的方法23-3凈現(xiàn)值法凈現(xiàn)值(NPV) = 將來現(xiàn)金流的總現(xiàn)值+ 初始投資計算NPV的步驟：1. 估計將來現(xiàn)金流：多少？什么時間？2. 估計貼現(xiàn)率3. 估計初期成本最低接收尺度： 如果NPV 0，可行。排序尺度：選擇具有最大 NPV的項目。3-26.1 為何要用凈現(xiàn)值?接收凈現(xiàn)值為正的項目符合股東利益。凈現(xiàn)值法的3個特點：NPV 使用了現(xiàn)金流量NPV 包含了項目的所有現(xiàn)金流量NPV 對現(xiàn)金流進行了合理的折現(xiàn)3公司金融馬文杰公司金融馬文

2、杰3-5The NPV Rule : Example (continued)01234Initial Revenues $1,000 Revenues $2,000 Revenues $2,200 Revenues $2,600 outlay Expenses 500 Expenses 1,300 Expenses 2,700 Expenses 1,400 ($1,100) Cash flow $500 Cash flow $700 Cash flow (500) Cash flow $1,200 $1,100.00$500 x 1+454.541.10$700 x 1 1.102+578.5

3、11- $500 x1.103-375.66$1,200 x 1+819.621.104+$377.02 = NPV3-4The NPV Rule : ExampleAme you have the following information on Project X:Initial outlay -$1,100Required return = 10%Annual cash revenues and expenses are as follows: YearRevenuesExpenses1$1,000$50022,0001,30032,2002,70042,6001,4004公司金融馬文杰

4、3-76.2 回收期法某項目要回收其初始投資需要多久？回收期=回收其初始投資需要的年數(shù)最低判斷標準：由經(jīng)營者決定排序標準：由經(jīng)營者決定3-6The NPV Rule : Example (continued)NPV = -C0 + PV0(Future CFs)= -C0 + C1/(1+r) + C2/(1+r)2 + C3/(1+r)3 + C4/(1+r)4= -1,100 + 500/1.1 + 700/1.12 + (-500)/1.13 + 1,200/1.14= $377.02 053-96.4 平均會計收益法AAR 平均收益 平均帳面投資額最低接收尺度以及排序尺度均由經(jīng)營者決定

5、。存在問題：無視現(xiàn)金的時間價值判斷標準的任意性使用了會計帳目上的凈收益和帳面投資凈值，而非現(xiàn)金流。優(yōu)點：財務數(shù)據(jù)容易入手容易計算3-8回收期法存在問題：無視現(xiàn)金的時間價值無視回收期以后的現(xiàn)金流對于長期投資項目誤差較大判斷尺度的任意性根據(jù)回收期法認為可行的項目，其 NPV不一定為正。優(yōu)點：便于管理控制適合缺乏的公司，回籠。適合小型的投資項目。6公司金融馬文杰公司金融馬文杰3-116.4平均會計收益法：舉例Projected Nete from the project:Year 1Year 2Year 3Sales140160200Expenses12010090E.B.D.2060110Depr

6、etion303030E.B.T. -103080Taxes (40%)-41232NI:-618483-106.4平均會計收益法：舉例You want to invest in a machinet produ squash ballsThe machine costs $90,000The machine will die after 3 yearsAming straight line depretion, the annual depretion is $30,000The estimate cash flows for the life of the project:Year 1Ye

7、ar 2Year 3Sales140160200Expenses120100907公司金融馬文杰公司金融馬文杰3-136.4平均會計收益法：舉例(iii) The Average Accounting Return:AAR 20 .444445IfAAR accept IfAAR 44.44% = reject3-126.4平均會計收益法：舉例We calculate:(i) Average NI 6 18 48 203(ii) Average book value (BV) of the investment (machine):time-0time-1time-2time-3 BV of

8、investment:9060300Average BV 90 60 30 0 45483-15內(nèi)部收益率法：舉例Consider the following project:$50$100$1500123-$200Theernal rate of return for this project is 19.44%NPV 0 $50$100$150 200 (1 IRR )(1 IRR )2(1 IRR )33-146.5 內(nèi)部收益率法IRR: 使NPV等于零的貼現(xiàn)率。最低接收尺度：如果IRR大于要求的貼現(xiàn)率，該項目可行。排序尺度：選擇具有最高的IRR的項目。再投資假設:假設所有將來現(xiàn)金流均按

9、 IRR投資。存在問題：無法區(qū)分投資與融資可能存在多個IRR用于互斥項目時易導致錯誤結(jié)論優(yōu)點：易懂、易溝通9NPV3-176.6 內(nèi)部收益率法存在的問題多個 IRRs.是投資還是融資？規(guī)模問題。時間序列問題。3-16本例的凈現(xiàn)值隨貼現(xiàn)率的變化If we graph NPV versus discount rate, we can see the IRR as the x-axisercept.$120.00$100.00$80.00$60.00$40.00IRR = 19.44%$20.00$0.00($20.00-)1%9%19%29%39% ($40.00)($60.00)Discount

10、 rate Discount RateNPV 0%$100.004%$71.048%$47.3212%$27.7916%$11.6520%($1.74)24%($12.88)28%($22.17)32%($29.93)36%($36.43)40%($41.86)10NPV3-19投資法則小結(jié)3-18多個 IRRsThere are two IRRs for this project:$200$800Which one should we use?0123-$200- $800$100.00100% = IRR2$50.00$0.00-50%0%50%100%150%200% ($50.00)0

11、% = IRR1Discount rate($100.00)($150.00)113-21時間序列問題$10,000$1,000$1,000Project A0123-$10,000$1,000$1,000$12,000Project B0123-$10,000The preferred projecthis case depends on the discount rate, not the IRR.3-20規(guī)模問題你愿意選擇收益率為100%的投資項目，還是愿意選擇收益率為 50%的投資項目？如果收益率為100%的投資項目的投資為 $1，而收益率為 50%的投資項目的投資是$1,000，你愿

12、意選那個？12NPVNPV3-23計算增量內(nèi)部收益率Compute the IRR for eithroject “A-B” or “B-A”$3,000.00$2,000.0010.55% = IRR$1,000.00$0.00($1,000.00) 0%5%10%15%20% ($2,000.00)($3,000.00)Discount rateA-BB-AYear Project A Project B Project A-B Project B-A0($10,000)($10,000)$0$01$10,000$1,000$9,000($9,000)2$1,000$1,000$0$03$

13、1,000$12,000($11,000)$11,0003-22時間序列問題$5,000.00$4,000.00$3,000.00Project A$2,000.00Project B10.55% = crossover rate$1,000.00$0.00($1,000.00) 0%10%20%30%40% ($2,000.00)($3,000.00)12.94% = IRRB16.04% = IRRA($4,000.00)Discount rate133-256.7指數(shù)法PI 初始投資帶來的后續(xù)現(xiàn)金流量的現(xiàn)值初始投資最低接收尺度：如果 PI 1，可行。排序尺度：選擇PI最大的。存在問題：判斷互斥項目存在的問題：規(guī)模問題。解決辦法：采用增量分析法。優(yōu)點：當