金融学习题课.docx

1、金融学习题课金融学概论 第二次作业注意：下周上课时间临时调整至（周二晚7：00，地点不变。）课程的剩余部分不调整。1. 判断下述现金流中哪些是应纳入NPV计算中的增量现金流（incremental cash flow）a 公司为了推出新产品而置换原有资产、厂房和设备时，出售旧机器 Yb 过去为了某一新产品概念（现在准备投入生产）的研发活动而花费的成本 Nc 原来废置的仓库现在用于新产品的推出而放弃的潜在租金收入 Yd 为一个项目购买的新设备 Ye 为某项目购买的新设备的年折旧费用 N/Yf 在第一年需要净营运资本10,000,000元，第2年需要12,000,000元，第3年需要5,000,0

2、00元 N/Yg 从某项目所增加的净收益中提取一部分用于支付股利 NA) Yes. The sale of the machine is part of the project initiative. Therefore, the proceeds from the sale of the equipment should be counted.B) No. The R&D expenditure is a sunk cost that should not be included in the project evaluation.C) Yes. This is an opportunity

3、 cost that is borne by the company.D) Yes. Capital expenditures must be incorporated in an NPV analysis.E) It is the depreciation tax shields that is the incremental cash flow and not the actual depreciation expense.F) It is the change in net working capital that is the incremental cash flow. Theref

4、ore, incremental cash flows are -$10 million at year 0, -$2 million at year 1, +$7 million at year 2 and +$5 million at year 3.G) No, dividend payments are not incremental cash flows.Remarks项目的增量现金流（incremental cash flow）是因为实施该项目所带来的机会成本或未来收益，这意味着，（1） 如果实施该项目会带来额外的成本或额外的收益，那么这些成本和收益属于增量现金流，如必要的设备更新或

5、置换，新设备投资，仓库投资，人员招募等（A，C，D）（2） 与项目相关的资本运作产生的现金流的改变（额外的现金流）属于现金流，如避税收益（债券发行产生的利息对因的税收豁免部分， 折旧费用的税收豁免，其他政策规定的税收豁免），风险管理成本（如项目要求必须对冲某类风险而购买期权）等。注意，利息收支本身属于项目的增量现金流，但折旧不是。折旧从来不会真实发生，它仅仅是一种会计观点下生造的概念。但折旧和利息等有关的政策会带来额外的现金流，即增量现金流。（3） 凡不是因为该项目的实施而导致的现金流皆不计入该项目的增量现金流，如过去已经支付了的研发费用，过去已经付出的设备投资费用，过去已经支付的几乎任何费用

6、。（4） 项目的收益分配不属于增量现金流考虑的范围。增量现金流是项目评估的第一步；项目的收益分配是第二步。由两基金分离定理，生产可以独立于投资者的风险和商品偏好，因此生产过程可以与分配和消费分开考虑。项目评估者只需最大化该项目的NPV即可，不必考虑利润如何分配。故红利分配过程不影响项目增量现金流。/但是，如果评估者是投资者而非项目经理，那么投资者个人的边际税率可能对红利分配是敏感的，这样不同的红利分配的方案导致的不同的边际税额。此时，应当把红利分配作为资本运作来对待了。总而言之，根据上面的第（2）点，与红利分配相关的政策带来了额外的现金流。2. Kitchen Supplies公司需要重置其制

7、造厂的一部机器，残值为0。公司可以在两种型号的设备之间选择。第一种使用年限为5年，成本为300,000元。使用这种机器将使公司每年节省成本50,000元，但每年的维护成本为20,000元。机器按直线法完全折旧，残值为0。第二种机器可以使用5年，成本为600,000元。使用这种机器可以使公司每年节省成本70,000元，每年的维护成本为15,000元。它也按直线法完全折旧，但残值为60,000元。使用两种机器的收入相同。假设税率为35%，资本成本为10%，则公司应选择哪一种机器？/假定免税的额度每年都能充分利用，而不被浪费。Alternative One:Increases in annual p

8、rofits: /成本的节省等价于利润的增加$50,000 (Cost Saving) - $20,000 (Maintenance Cost) = $30,000Annual net operating cash flows: /因为税，利润增加的部分只有（1-t）的那部分是真实所得；成本增加的部分则只有部分需要承担（如折旧存在税收豁免）$30,000 (1-0.35) + $60,000 0.35 (dep. tax shields) = $40,500At 10% discount rate, the project NPV:The annualized capital cost (AC

9、C) is given by Alternative TwoIncreases in annual profits: $70,000 (Cost Saving) - $15,000 (Maintenance Cost) = $55,000Annual net operating cash flows (years 1 to 5): $55,000 (10.35) + ($600,000 /5) 0.35 (dep. tax shields) = $77,750The net cash flow for year 5: /资产出售收入超过面值（完全折旧法下面值视为0）的部分视为资本利得，需要征税

10、。$77,750 + $60,000 (1 - 0.35) = $116,750At 10% discount rate, the project NPV:The annualized capital cost (ACC) is given by Decision: Alternative one should be chosen, as its annualized cost of capital is less.Remark：对于期限相同的项目，比较NPV即可；对于期限不同的项目，可以比较NPV的年化现金流（ACC）。关于折旧如果投资期限为n年，初始投资为I，残值的市值（出售时）为K，那么

11、直线折旧法： 直线折旧法下，一般每年的折旧计为（I-K）/n，而将产值的面值计为K，这样，最后一年的资产清理出售时，售价为K，资本利得为（K-K）=0，所以该收入不征税，但可以得到K的增量现金流。完全直线折旧法：完全直线折旧法下，每年的折旧直接计为I/n，并将产值的面值计为0，这样，最后一年的资产清理出售时，售价为K，资本利得为（K-K）=0，所以该收入不征税，但可以得到K的增量现金流。Alternative TwoIncreases in annual profits: $70,000 (Cost Saving) - $15,000 (Maintenance Cost) = $55,000A

12、nnual net operating cash flows (years 1 to 7): $55,000 (1-0.35) + ($600,000/7) 0.35 (dep. tax shields) = $65,750The net cash flow for year 7: $65,750 + $60,000 (1 - 0.35) = $104,750 At 10% discount rate, the project NPV:The annualised capital cost (ACC) is given by Decision: Alternative one should b

13、e chosen, as its annualised cost of capital is less.3.Saunderss Sportswear公司计划扩张其T恤衫生产线。这一计划需要初始投资6,000,000元。投资按直线法在4年内折旧，残值为0。公司的税率为35，公司生产的T恤衫在第1年的价格将达到每件30元，并且以后每年价格的名义增长率为4。产品的单位成本（不包括劳动力成本）第1年为5元，此后每年的名义增长率为3。劳动力成本第1年为每小时10元，以后每年的名义增长率为3.5。收入和费用都在年末支付。名义的折现率为12。在下面信息的基础上计算项目的NPV。第1年第2年第3年第4年销售量

14、50,000100,000125,000100,000劳动时间（小时）10,80020,80020,80020,800营运资本需求150,000元300,000元300,000元300,000元Cost and Price seriesTime第一年年初第1年第2年第3年第4年Price30.00 31.20 32.45 33.75 Cost(labor excluded)5.00 5.15 5.41 5.68 Wage10.00 10.35 10.71 11.09 销售量50000100000125000100000劳动时间（小时）10800208002080020800营运资本需求150,

15、000元300,000元300,000元300,000元Sales1500000312000040560003374592Variable Costs250000515000675937.5567787.5Labour Costs108000215280222814.8230613.3Change in WC(150,000)(150,000)00300,000The cash flows of the project can be summarized as follows:Year 0Year 1Year 2Year 3Year 4Capital Investment-6000000Cha

16、nge in WC-150000-15000000300000Revenues1500000312000040560003374592Cash Expenses Variable Costs250000515000663063546364 Labour Costs108000215280222815230613Depreciation1500000150000015000001500000Pre-tax Profits-35800088972016701221097615Taxes(125,300)*311402584543384165Net Op. Cash Flows12673002078

17、31825855792213450Net Cash Flows-61500001117300207831825855792513450* Note: we assume that the company as a whole (inc. the cash flow from the project) will be profitable in year 1.Using the nominal discount rate of 12%, the project NPV is -$57,881. Remark（1）现金流量表的计算税前利润=销售收入劳动成本其他可变成本折旧应交税额税前利润*税率税后

18、利润税前利润应交税额净经营现金流税后利润折旧净现金流净经营现金流营运资本变动（Change In WC）（2）如果税前利润是负值，只要这个量不是特别大，所有计算与正值时无异，只需假设公司的其他业务的利润大于此项业务的亏损，或者亏损的部分总是可以用来抵税（当期或者下期）。4.下面所列的现象中，哪些与股票市场（信息的）有效性不一致？并解释是与弱有效、半强有效还是强有效不一致。你认为哪些现象在实际中是会发生的，为什么？a. 经理人在本公司股票交易中获得的收益高于外部投资人； （与强有效不一致）b. 一个跟踪每日股价变动的图表分析师宣称，“ABC公司的股票去年市场持平的时候走出了一段短期的上行行情。价

19、格回归的结果是来年ABC公司的股票价格肯定会相对于市场有所下降。” （与弱有效不一致） c. 下面的这个等式给出了公司股票价格的统计模型其中表示随机变量，在已知的基础上不可预测的；（与弱有效一致）d 某公司宣布了当年利润会有大幅下降，但在宣布当天其股票价格涨幅大大却高于市场整体涨幅；（半强有效）e. 平均而言，国际股票市场的股票回报率在周末为负而在周一至周五为正。（与弱有效不一致）f. 某只股票过去三个月中的交易价格一直在250和300之间，在管理层宣布盈利数字超过市场预期后，交易价格突然升到400。（与半强有效形式都一致）/注：第4题答题区域不够用的话请另加A4纸。a. Because we

20、 are considering company managers here, we are talking about strong form efficiency. Because the observation states that managers are successful in exploiting their (presumably) private information, it must be that their companys share price did not reflect the information when managers traded on it

21、. Therefore, the observation is inconsistent with SFE. It may imply consistency with SSFE. Presumably the statement implies that managers use private information when trading in their own company and that share prices reflect this private information when it eventually becomes public. However, we ca

22、nt say for sure whether it implies SSFE because we dont know anything about how quickly or correctly the market responded to the information when it became public. In general, inconsistency with SFE has no implications for either SSFE or WFE. Consistency with SFE in general, would imply both SSFE an

23、d WFE because these are weaker requirements. Existing evidence is inconclusive about whether corporate insiders earn abnormal returns from trading on their private information. Some recent evidence in the UK (Gregory, Matatako, Tonks, and Purkis, Economic Journal, January 1994), finds that neither d

24、irectors themselves nor outside investors who attempt to mimic the trades of directors, earn high profits. (Outside investors mimic insiders by copying the trades of directors when these become public information. Companies have to notify details of these trades to the Stock Exchange who make the de

25、tails publicly available-see, for example, Saturdays edition of the FT.) Previous evidence (Pope, Morris and Peel, Journal of Business Finance and Accounting, Summer 1990) found the market does react to information about dealing by insiders. That is, directors buy/sell decisions are on average taken

26、 to be signals of good/bad news about the company and the market responds by bidding up/down the share price, ensuring corporate insiders earn profits. Pope et al. also found evidence that an uninformed investor could have earned abnormal returns by simply trading based on publicly available informa

27、tion about the dealings of corporate insiders. This suggests share prices do not react instantaneously to this publicly available information and the stock market is not fully SSFE with respect to this type of information signal. b. Inconsistent with WFE: it suggests changes in share price (or retur

28、ns) are not independent. There has been renewed interest in recent years in share price patterns. Early research tended to support the hypothesis of WFE. One line of recent research (initiated by Fama and French, Journal of Political Economy, 1988, Journal of Financial Economics, 1989, and Poterba a

29、nd Summers, Journal of Financial Economics, 1989) has exploited advances in statistics to look at returns for holding periods exceeding a year. A popular interpretation of this research is that it shows returns over long holding periods (more than a year) exhibit negative autocorrelation. If returns

30、 are negatively autocorrelated, low returns tend to follow high returns and vice versa. We call this pattern of predictability in share prices, mean reversion. Returns average out at some constant level so that a run of higher than average returns follows a run of lower than average returns and vice

31、 versa-average returns move back (revert) to the mean. Some academics argue that mean reversion provides proof that share prices deviate from fundamental values for reasonably long periods. However, two of the original authors (Fama and French) are careful to point out that the evidence is also consistent with market efficiency and changes over time in the r