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1、Capital Budgeting & RiskInvest in highest NPV projectNeed Discount rate to get NPVCapital Budgeting & RiskInvest in highest NPV projectNeed Discount rate to get NPVUse CAPM to get discount rateCapital Budgeting & RiskInvest in highest NPV projectNeed Discount rate to get NPVUse CAPM to get discount

2、rateModify CAPM (account for proper risk)Capital Budgeting & Risk Modify CAPM (account for proper risk) Use COC unique to project, rather than Company COC Take into account Capital StructureCompany Cost of Capitalsimple approachCompany Cost of Capital (COC) is based on the average beta of the assets

3、The average Beta of the assets is based on the % of funds in each assetCompany Cost of Capitalsimple approachCompany Cost of Capital (COC) is based on the average beta of the assetsThe average Beta of the assets is based on the % of funds in each assetExample1/3 New Ventures B=2.01/3 Expand existing

4、 business B=1.31/3 Plant efficiency B=0.6AVG B of assets = 1.3Capital Structure - the mix of debt & equity within a companyExpand CAPM to include CS R = rf + B ( rm - rf ) esRequity = rf + B ( rm - rf ) Capital StructureCapital StructureCOC = rportfolio = rassetsCapital StructureCOC = rportfolio = r

5、assetsrassets = WACC = rdebt (D) + requity (E) (V) (V)COC = rportfolio = rassetsrassets = WACC = rdebt (D) + requity (E) (V) (V) Bassets = Bdebt (D) + Bequity (E) (V) (V)Capital StructureCOC = rportfolio = rassetsrassets = WACC = rdebt (D) + requity (E) (V) (V) Bassets = Bdebt (D) + Bequity (E) (V)

6、(V)Capital Structure requity = rf + Bequity ( rm - rf )Capital StructureCOC = rportfolio = rassetsrassets = WACC = rdebt (D) + requity (E) (V) (V) Bassets = Bdebt (D) + Bequity (E) (V) (V) requity = rf + Bequity ( rm - rf )IMPORTANTE, D, and V are all market valuesCapital Structure & COCExpected ret

7、urn (%)BdebtBassetsBequityRrdebt=8Rassets=12.2Requity=15Expected Returns and Betas prior to refinancingCapital BudgetingProblems with Capital BudgetingHow to Handle Problems with CB1 - Sensativity Analysis 2 - Break Even Analysis 3 - Monte Carlo Simulation (pg 251-252)4 - Decision Trees5 - Certainty

8、 EquivalentMonte Carlo SimulationStep 1: Modeling the ProjectStep 2: Specifying ProbabilitiesStep 3: Simulate the Cash FlowsModeling ProcessDecision TreeDecision Trees960 (.8)220(.2)930(.4)140(.6)800(.8)100(.2)410(.8)180(.2)220(.4)100(.6)+150(.6)+30(.4)+100(.6)+50(.4)-550NPV= ?-250NPV= ?-150 0orTurb

9、opropPistonDecision Trees960 (.8)220(.2)930(.4)140(.6)800(.8)100(.2)410(.8)180(.2)220(.4)100(.6)+150(.6)+30(.4)+100(.6)+50(.4)-550NPV= ?-250NPV= ?-150 0or812456660364148TurbopropPistonDecision Trees960 (.8)220(.2)930(.4)140(.6)800(.8)100(.2)410(.8)180(.2)220(.4)100(.6)+150(.6)+30(.4)+100(.6)+50(.4)-

10、550NPV= ?-250NPV= ?-150 0or812456660364148TurbopropPistonDecision Trees960 (.8)220(.2)930(.4)140(.6)800(.8)100(.2)410(.8)180(.2)220(.4)100(.6)-550NPV= ?-250NPV= ?-150 0or812456660364148+150(.6)+30(.4)+100(.6)+50(.4)*450 331TurbopropPistonDecision Trees960 (.8)220(.2)930(.4)140(.6)800(.8)100(.2)410(.

11、8)180(.2)220(.4)100(.6)-550NPV= ?-250NPV= ?-150 0or812456660364148+150(.6)+30(.4)+100(.6)+50(.4)NPV=444.55NPV=888.18NPV=550.00NPV=184.55*450 331TurbopropPistonDecision Trees960 (.8)220(.2)930(.4)140(.6)800(.8)100(.2)410(.8)180(.2)220(.4)100(.6)-550NPV= ?-250NPV= ?-150 0or812456660364148+150(.6)+30(.

12、4)+100(.6)+50(.4)NPV=444.55NPV=888.18NPV=550.00NPV=184.55*450 331TurbopropPistonDecision Trees960 (.8)220(.2)930(.4)140(.6)800(.8)100(.2)410(.8)180(.2)220(.4)100(.6)812456660364148+150(.6)710.73+30(.4)+100(.6)403.82+50(.4)-150 0*450 331orNPV=444.55NPV=888.18NPV=550.00NPV=184.55-550NPV= ?-250NPV= ?Tu

13、rbopropPistonDecision Trees960 (.8)220(.2)930(.4)140(.6)800(.8)100(.2)410(.8)180(.2)220(.4)100(.6)812456660364148+150(.6)710.73+30(.4)+100(.6)403.82+50(.4)-550NPV=96.12-250NPV=117.00-150 0*450 331orNPV=444.55NPV=888.18NPV=550.00NPV=184.55TurbopropPistonDecision Trees960 (.8)220(.2)930(.4)140(.6)800(

14、.8)100(.2)410(.8)180(.2)220(.4)100(.6)812456660364148+150(.6)710.73+30(.4)+100(.6)403.82+50(.4)-550NPV=96.12-250NPV=117.00-150 0*450 331orNPV=444.55NPV=888.18NPV=550.00NPV=184.55TurbopropPistonRisk,DCF and CEQExampleProject A is expected to produce CF = $100 mil for each of three years. Given a risk

15、 free rate of 6%, a market premium of 8%, and beta of .75, what is the PV of the project?Risk,DCF and CEQExampleProject A is expected to produce CF = $100 mil for each of three years. Given a risk free rate of 6%, a market premium of 8%, and beta of .75, what is the PV of the project?Risk,DCF and CE

16、QExampleProject A is expected to produce CF = $100 mil for each of three years. Given a risk free rate of 6%, a market premium of 8%, and beta of .75, what is the PV of the project?Risk,DCF and CEQExampleProject A is expected to produce CF = $100 mil for each of three years. Given a risk free rate o

17、f 6%, a market premium of 8%, and beta of .75, what is the PV of the project?Now assume that the cash flows change, but are RISK FREE. What is the new PV?Risk,DCF and CEQExampleProject A is expected to produce CF = $100 mil for each of three years. Given a risk free rate of 6%, a market premium of 8

18、%, and beta of .75, what is the PV of the project?. Now assume that the cash flows change, but are RISK FREE. What is the new PV?Risk,DCF and CEQExampleProject A is expected to produce CF = $100 mil for each of three years. Given a risk free rate of 6%, a market premium of 8%, and beta of .75, what

19、is the PV of the project?. Now assume that the cash flows change, but are RISK FREE. What is the new PV?Since the 94.6 is risk free, we call it a Certainty Equivalent of the 100.Risk,DCF and CEQExampleProject A is expected to produce CF = $100 mil for each of three years. Given a risk free rate of 6

20、%, a market premium of 8%, and beta of .75, what is the PV of the project?. Now assume that the cash flows change, but are RISK FREE. What is the new PV?The difference between the 100 and the certainty equivalent (94.6) is 5.4%this % can be considered the annual premium on a risky cash flowRisk,DCF

21、and CEQExampleProject A is expected to produce CF = $100 mil for each of three years. Given a risk free rate of 6%, a market premium of 8%, and beta of .75, what is the PV of the project?. Now assume that the cash flows change, but are RISK FREE. What is the new PV?Risk,DCF and CEQThe prior example

22、leads to a generic certainty equivalent formula. 960 (.8) +150 (.6) 220 (.2) -550 930 (.4) +30 (.4) 140 (.6) 800 (.8) -150 100 (.2) +100 (.6) or 0410 (.8) 180 (.2) -250 220 (.4) +50 (.4) 100 (.6)TurbopropPiston 960 (.8) +150 (.6) 220 (.2) -550 930 (.4) +30 (.4) 140 (.6) 800 (.8) -150 100 (.2) +100 (.6) or 0410 (.8) 180 (.2) -250 220 (.4) +50 (.4) 100 (.6)812456660364148Turbop

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