財(cái)富管理概論_lecture

1、13-1概要：回收期法平均會(huì)計(jì)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(jì)貼現(xiàn)率的估計(jì)名感性分析、場(chǎng)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(jì)算NPV的步驟：1. 估計(jì)將來現(xiàn)金流：多少？什么時(shí)間？2. 估計(jì)貼現(xiàn)率3. 估計(jì)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(xiàng)目。3-26.1 為何要用凈現(xiàn)值?接收凈現(xiàn)值為正的項(xiàng)目符合股東利益。凈現(xiàn)值法的3個(gè)特點(diǎn)：NPV 使用了現(xiàn)金流量NPV 包含了項(xiàng)目的所有現(xiàn)金流量NPV 對(duì)現(xiàn)金流進(jìn)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(xiàng)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(biāo)準(zhǔn)：由經(jīng)營(yíng)者決定排序標(biāo)準(zhǔn)：由經(jīng)營(yíng)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(huì)計(jì)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(yíng)者決定

5、。存在問題：無視現(xiàn)金的時(shí)間價(jià)值判斷標(biāo)準(zhǔn)的任意性使用了會(huì)計(jì)帳目上的凈收益和帳面投資凈值，而非現(xiàn)金流。優(yōu)點(diǎn)：財(cái)務(wù)數(shù)據(jù)容易入手容易計(jì)算3-8回收期法存在問題：無視現(xiàn)金的時(shí)間價(jià)值無視回收期以后的現(xiàn)金流對(duì)于長(zhǎng)期投資項(xiàng)目誤差較大判斷尺度的任意性根據(jù)回收期法認(rèn)為可行的項(xiàng)目，其 NPV不一定為正。優(yōu)點(diǎn)：便于管理控制適合缺乏的公司，回籠。適合小型的投資項(xiàng)目。6公司金融馬文杰公司金融馬文杰3-116.4平均會(huì)計(jì)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(huì)計(jì)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(huì)計(jì)收益法：舉例(iii) The Average Accounting Return:AAR 20 .444445IfAAR accept IfAAR 44.44% = reject3-126.4平均會(huì)計(jì)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(xiàng)目可行。排序尺度：選擇具有最高的IRR的項(xiàng)目。再投資假設(shè):假設(shè)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(gè)IRR用于互斥項(xiàng)目時(shí)易導(dǎo)致錯(cuò)誤結(jié)論優(yōu)點(diǎn)：易懂、易溝通9NPV3-176.6 內(nèi)部收益率法存在的問題多個(gè) IRRs.是投資還是融資？規(guī)模問題。時(shí)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(gè) 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(shí)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(xiàng)目，還是愿意選擇收益率為 50%的投資項(xiàng)目？如果收益率為100%的投資項(xiàng)目的投資為 $1，而收益率為 50%的投資項(xiàng)目的投資是$1,000，你愿

12、意選那個(gè)？12NPVNPV3-23計(jì)算增量?jī)?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(shí)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(xiàng)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(diǎn)：當(dāng)