公司理財(cái)羅斯習(xí)題集課件

課堂練習(xí)1Considertwosecuritiesthatpayrisk-freecashflowsoverthenexttwoyearsandthathavethecurrentmarketpricesshownhereSecurityPriceToday(s)CashFlowinOneYear(s)CashFlowinTwoYears(s)B194100100a.Whatistheno-arbitragepriceofasecuritythatpayscashflowsof$100inoneyearand$100intwoyears?b.Whatistheno-arbitragepriceofasecuritythatpayscashflowsof$100inoneyearand$500intwoyears?C.Supposeasecuritywithcashflowsof$50inoneyearand$100intwoyearsistradingforapriceof$130.Whatarbitrageopportunityisavailable?課堂練習(xí)2某公司如果不從事任何新的項(xiàng)目,則其每年預(yù)期盈利為1億美元。該公司面臨這樣一個(gè)投資機(jī)會(huì)在今天立即投資1500萬(wàn)美元并在一年后投資500萬(wàn)美元,兩年后,這一新的投資每年將為公司帶來(lái)1000萬(wàn)美元的盈利。假設(shè)該公司有2000萬(wàn)般普通股票,貼現(xiàn)率為15%,求:公司不從事任何新的投資項(xiàng)目時(shí)每股股票的價(jià)格是多少?投資項(xiàng)目的價(jià)值是多少?·如果公司進(jìn)行該投資項(xiàng)目,每股股票的價(jià)格是多課堂練習(xí)3某公司如果不從事新的投資項(xiàng)目,它每年的每股盈利為4元,在此情形下,公司把所有的盈利當(dāng)作股利分發(fā)出去(假設(shè)第一筆股利剛好在一年后收到)。在另一種情形中,假設(shè)距今三年后的每一年,公司將其盈利的25%投資于新的項(xiàng)目,每一個(gè)投資項(xiàng)目將在一年后獲得40%的收益率(直至永遠(yuǎn))。設(shè)貼現(xiàn)率為14%,分別求公司在不從事新的投資項(xiàng)目和從事新的投資項(xiàng)目時(shí)的股票價(jià)格課堂練習(xí)4某公司市盈率為12,股利支付比率40%,股價(jià)為32美元。如果股利支付比率變?yōu)?0%,股價(jià)為多少?課堂練習(xí)5Pricesofzero-coupon,default-freesecuritieswithfacevaluesof$1000aresummarizedinthefollowingtable:Maturityyears)Price(per$1000facevalues97087s93895s904.56Supposeyouobservethatathree-year,default-freesecuritywithanannualcouponrateof10%andafacevalueof$1000hasapricetodayof$1183.50.IsthereanarbitrageopportunityIfso,showspecificallyhowyouwouldtakeadvantageofthisopportunity.Ifnot,hynot?y練習(xí)1解答a.Thissecurityhasthesamecashflowsasaportfolioofoneshareofb1andoneshareofb2.Therefore.itsnoarbitragepriceis94+85=$179b.thissecurityhasthesamecashflowsasaportfolioofoneshareofb1andfivesharesofB2.therefore,itsnoarbitragepriceis94+5X85=$519CThereisanarbitrageopportunitybecausethenoarbitragepriceshouldbe$132(94/2+85).Oneshouldbuytwosharesofthesecurityat$130/shareandselloneshareofB1andtwosharesofB2.Totalprofitwouldbe$4(94+85×2-130×2)練習(xí)2解答(1)搖錢(qián)樹(shù)的價(jià)值:PV=C1/r=$100,000,000/015$666,666,66667每股股票價(jià)格=$666,666,66667/20.,00000=$3333(2)NPVGO=C0+C1+C2/]/(1+r)T-$15,00000$5,000,000/1.15+[$10,000.000/0.15.15)$3862318841(3)每股股票價(jià)格=(1)+NPVGO/(股數(shù))$3333+$38,623,18841/20,000,000=$3526練習(xí)3解答P=Div/r=4/0.14=28.57g=(0.25)(0.4)=0.1NPVGo=[(InvestmentReturn/r)/(r-g)]/(1+r)2=[(-1+0.40/.14)/(0.14-0.1)](1.14)235.73PV(EPS)+NPVGo=2857+35.7364.30練習(xí)4解答Usingdividendmodel,priceofastockcanbewrittenasP=D/(k-g)OritcanbewrittenasP=ePo/k-g)wherePoisthedividendpayoutratioanddenotesmultiplicationRearrangingtermsweget,P/E=PO/(k-g)Substitutingvalues12=4/(k-g)→1(k-g)=1204→1(k-g)=30P=EPO/(k-g)NowsubstitutingP=$32,PO=40%,1/(k-g)=30weget32=E*4*30E=8/3Ifthedividendpayoutratiowere60%P=EPO/(k-g)P=(8/3)6*30=$48練習(xí)5解答First,figureoutifthepriceofthecouponbondisconsist