公司理財(cái)（全版）課件 23

OptionsandCorporateFinance:ExtensionsandApplicationsChapter23Copyright?2010bytheMcGraw-HillCompanies,Inc.Allrightsreserved.McGraw-Hill/IrwinKeyConceptsandSkillsUnderstandexecutivestockoptionsUnderstandhowtheoptiontoexpandincreasesthevalueofastart-upBeabletoapplythebinomialmodeltomultipleperiodsUnderstandhowembeddedoptionsimpactaproject’sNPVChapterOutline23.1ExecutiveStockOptions23.2ValuingaStartUp23.3MoreontheBinomialModel23.4ShutdownandReopeningDecisions23.1ExecutiveStockOptionsExecutiveStockOptionsexisttoaligntheinterestsofshareholdersandmanagers.ExecutiveStockOptionsarecalloptions(technicallywarrants)ontheemployer’sshares.InalienableTypicalmaturityis10years.Typicalvestingperiodis3years.Mostincludeanimplicitresetprovisiontopreserveincentivecompatibility.ExecutiveStockOptionsgiveexecutivesanimportanttaxbreak:grantsofat-the-moneyoptionsarenotconsideredtaxableincome.(Taxesaredueiftheoptionisexercised.)ValuingExecutiveCompensationFASBhashistoricallyallowedfirmstorecordzeroexpenseforgrantsofat-the-moneyexecutivestockoptions.However,theeconomicvalueofalong-livedcalloptionisenormous,especiallygiventhepropensityoffirmstoresettheexercisepriceafterdropsinthepriceofthestock.Duetotheinalienability,theoptionsareworthlesstotheexecutivethantheycostthecompany.Theexecutivecanonlyexercise,notsellhisoptions.Thus,hecannevercapturethespeculativevalue—onlytheintrinsicvalue.This“deadweightloss”isovercomebytheincentivecompatibilityforthegrantor.23.2ValuingaStart-UpAnimportantoptionistheoptiontoexpand.Imagineastart-upfirm,Campusteria,Inc.,whichplanstoopenprivatediningclubsoncollegecampuses.Thetestmarketwillbeyourcampus,andiftheconceptprovessuccessful,expansionwillfollownationwide.Nationwideexpansionwilloccurinyearfour.Thestart-upcostofthetestdiningclubisonly$30,000(thiscoversleaseholderimprovementsandotherexpensesforavacantrestaurantnearcampus).Campusteria

ProFormaIncomeStatementInvestmentYear0Years1-4Revenues$60,000VariableCosts($42,000)FixedCosts($18,000)Depreciation($7,500)Pretaxprofit($7,500)Taxshield34%$2,550NetProfit($4,950)CashFlow-$30,000$2,550Weplantosell25mealplansat$200permonthwitha12-monthcontract.Variablecostsareprojectedtobe$3,500permonth.Fixedcosts(leasepayment)areprojectedtobe$1,500permonth.Wecandepreciateourcapitalizedleaseholderimprovements.ValuingaStart-UpNotethatwhiletheCampusteriatestsitehasanegativeNPV,weareclosetoourbreak-evenlevelofsales.Ifweexpand,weprojectopening20Campusteriasinyearfour.Thevalueoftheprojectisintheoptiontoexpand.WewillusetheBlack-Scholesoptionpricingmodeltovaluethisoption.ValuingaStart-UpwithBlack-ScholesWhereC0=thevalueofaEuropeanoptionattimet=0R=therisk-freeinterestrateN(d)=Probabilitythatastandardized,normallydistributed,randomvariablewillbelessthanorequaltod.RecalltheBlack-ScholesOptionPricingModelValuingaStart-UpwithBlack-ScholesWeneedtofindthevalueofafour-yearcalloptionwithanexercisepriceof$600,000=$30,000×20.TheinterestrateavailableisR=10%.Theoptionmaturityisfouryears.Thevolatilityoftheunderlyingassetis30%perannum.Thecurrentvalueoftheunderlyingassetsis$110,418.ValuingaStart-UpwithBlack-ScholesLet’stryourhandagainatusingthemodel.Ifyouhaveacalculatorhandy,followalong.Then,ValuingaStart-UpwithBlack-ScholesN(d1)=N(-1.8544)=0.032N(d2)=N(-2.45)=0.007Theoptiontoexpand,whilevaluable,isnotasgreatasthenegativeNPVofopeningthetrialCampusteria.So,weshouldnotproceed.23.3MoreontheBinomialModelThebinomialoptionpricingmodelisanalternativetotheBlack-Scholesoptionpricingmodel.Insomesituations,itisasuperioralternative.Forexampleifyouhavepathdependencyinyouroptionpayoff,youmustusethebinomialoptionpricingmodel.Pathdependencyiswhen“how”youarriveataprice(thepathyoufollow)fortheunderlyingassetisimportant.Oneexampleofapathdependentsecurityisa“noregret”calloptionwheretheexercisepriceisthelowestpriceofthestockduringtheoption’slife.ThreePeriodBinomialOptionPricingExampleThereisnoreasontostopwithjusttwoperiods.Findthevalueofathree-periodat-the-moneycalloptionwrittenona$25stockthatcangoupordown15percenteachperiodwhentherisk-freerateis5percent.ThreePeriodBinomialProcess$2528.7521.252/31/333.0624.442/31/318.062/31/315.352/31/338.022/31/320.772/31/328.10$2528.7521.252/31/315.352/31/338.0228.102/31/320.772/31/333.0624.442/31/318.062/31/313.023.10009.251.9706.501.254.52ValuationofaLookbackOptionWhenthestockpricefallsduetothestockmarketasawholefalling,theboardofdirectorstendstoresettheexercisepriceofexecutivestockoptions.Toseehowthisresetprovisionaddsvalue,let’spricethatsamethree-periodcalloption(exercisepriceinitially$25)witharesetprovision.Noticethattheexercisepriceofthecallwillbethesmallestvalueofthestockpricedependinguponthepathfollowedbythestockpricetogetthere.ThreePeriodBinomialwithLookback$2528.7521.2533.0624.4418.0624.4415.3520.7728.1020.7720.7728.1038.0228.10$2528.7521.2533.0624.4418.0615.3538.0220.7728.1028.1028.1024.4420.7720.7713.02$3.10$6.85$3.66002.710$2528.7521.2533.0624.4418.0615.3538.0220.7728.1028.1028.1024.4420.7720.7713.02$3.10$6.85$3.66002.7109.252.334.351.72$2528.7521.2533.0624.4418.0615.3538.0220.7728.1028.1028.1024.4420.7720.7713.02$3.10$6.85$3.66002.7109.252.334.351.726.613.315.2523.4ShutdownandReopeningDecisionsCaneasilybeseenasoptions.The“WoeisMe”goldmineiscurrentlyclosed.ThefirmispubliclyheldandtradesunderthetickerWOE.Thefirmhasnodebtandhasassetsofaround$30million.Themarketcapitalizationiswellover$1billionWhatcouldpossiblyexplainwhyafirmwith$30millioninassetsandaclosedgoldminethatisproducingnocashflowatallhasthiskindofmarketcapitalization?Options.Thisfirmhasthem.DiscountedCashFlowsandOptionsWecancalculatethemarketvalueofaprojectasthesumoftheNPVoftheprojectwithoutoptionsandthevalueofthemanagerialoptionsimplicitintheproject.M=NPV+OPTAgoodexamplewouldbecomparingthedesirabilityofaspecializedmachineversusamoreversatilemachine.Iftheybothcostaboutthesameandlastthesameamountoftime,themoreversatilemachineismorevaluablebecauseitcomeswithoptions.TheOptiontoAbandon:ExampleSupposethatwearedrillinganoilwell.Thedrillingrigcosts$300today,andinoneyearthewelliseitherasuccessorafailure.Theoutcomesareequallylikely.Thediscountrateis10%.ThePVofthesuccessfulpayoffattimeoneis$575.ThePVoftheunsuccessfulpayoffattimeoneis$0.TheOptiontoAbandon:ExampleTraditionalNPVanalysiswouldindicaterejectionoftheproject.TheOptiontoAbandon:ExampleThefirmhastwodecisionstomake:drillornot,abandonorstay.DonotdrillDrillFailureSuccess:PV=$500Selltherig;salvagevalue=$250Sitonrig;stareatemptyhole:PV=$0.TheOptiontoAbandon:ExampleWhenweincludethevalueoftheoptiontoabandon,thedrillingprojectshouldproceed:ValuationoftheOptiontoAbandonRecallthatwecancalculatethemarketvalueofaprojectasthesumoftheNPVoftheprojectwithoutoptionsandthevalueofthemanagerialoptionsimplicitintheproject.M=