凡客诚品（北京）科技有限公司

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1 高顿网校财经讲堂 2013 年 CFA 一级考试难点解析高顿教育旗下品牌 : 高顿网校

2 BDY, HPY, EAY, MMY Quantitative Methods Bank discount yield:r BD = Discount Face 360 days to maturity Holding Period Yield:HRP = P 1 P 0 +D 1 P 0 Money market yield:r MM = HPY ( 360 ) days to maturity Effective annual rate: EAR = (1 + HPY) days 1 365

3 Quantitative Methods Yield Example 1: 90-day T-bill priced at $980 Bank discount yield:r BD = = 8% Holding Period Yield:HRP = = 2.04% Money market yield:r MM = 2.04% 360 = 8.16% Effective annual rate: EAR = ( %) = 8.53% 90

4 Quantitative Methods Bond Equivalent Yield (BEY): BEY is two times the effective semi-annual yield Yield Example 2: Annual effective yield is 8%, calculate BEY Effective semi-annual yield is r: (1 + r) 2 = 1 + 8% Effective semi-annual yield is: BEY = = 7.84% = 3.92%

5 Quantitative Methods Bond Equivalent Yield (BEY): BEY is two times the effective semi-annual yield Yield Example 3: Monthly effective yield is 0.75%, calculate BEY Effective semi-annual yield is r: 1 + r = ( %) 6 (1 + r) 2 = ( %) 12 Effective semi-annual yield is: ( %) 6 1 = 4.59% BEY = = 9.18%

6 Quantitative Methods Bond Equivalent Yield (BEY): Quantitative Methods: BEY is two times the effective semi-annual yield Corporate Finance: 365 BEY = HPY ( days to maturity )

7 Economics Deadweight Loss(DWL): the loss of total surplus Price floor: surplus and DWL Price ceiling: shortage and DWL Unit tax: Subsidies: Quotas: underproduction and DWL overproduction and DWL underproduction and DWL

8 Economics Price ceiling

9 Economics Price floor

10 Economics Unit Tax on Buyers

11 Economics Unit Tax on Sellers

12 Economics Effect of Taxes Tax on suppliers: P E Q E Tax on buyers: P E Q E Tax imposition vs. tax incidence Elasticity and tax incidence

13 Economics Substitution Effect And Income Effect

14 Economics National income GDP=national income + capital consumption allowance +statistical discrepancy National income =employees wages and benefits +corporate and government profits pre-tax +interest income +unincorporated business owners income +rent +indirect business taxes-subsidies

15 Economics NI, PI and PDI GDP - Capital consumption allowance( depreciation) National Income - Indirect business taxes - Corporate income taxes - Undistributed corporate profits + Transfer payments Personal Income - Personal tax Personal Dispensable Income

16 Economics GDP=C + I + G + (X-M) C=Consumer spending on final goods and services I = Gross private domestic investment (e.g., plant and equipment) and changes in inventory(inventory investment) G = Government spending on final goods and services X = Exports M = Imports

17 Economics Shifts in Aggregate Demand Factors that shift the aggregate demand household wealth; consumer and business expectations; capacity utilization; monetary policy; the exchange rate; growth in global economy; and fiscal policy (government spending and taxes)

18 Economics Aggregate Supply An Increase in Shifts SRAS Shifts LRAS Supply of labor Rightward Rightward Supply of natural resources Rightward Rightward Supply of human capital Rightward Rightward Supply of physical capital Rightward Rightward Productivity and technology Rightward Rightward Nominal wages Leftward No impact Input prices (e.g., energy) Leftward No impact Expectation of future prices Rightward No impact Business taxes Leftward No impact Subsidy Rightward No impact Exchange rate Rightward No impact

19 Financial Reporting and Analysis Basic EPS = NI Preferred Div Weight Ave N o Common Stock Net income minus preferred dividends equals earnings available to common stockholders (EAC) Note that common stock dividends are not subtracted from net income 高顿网校 SS8- : 19

20 Financial Reporting and Analysis Diluted Earnings Per Share Include only if security is dilutive Include only if security is dilutive

21 Financial Reporting and Analysis

22 Net income Financial Reporting and Analysis Indirect method Gain from sale of land Depreciation Changes in operating accounts Decrease in receivables Decrease in inventories Increase in accounts payable Increase in wages payable Increase in interest payable Increase in taxes payable Increase in deferred taxes Cash flow from operations

23 Financial Reporting and Analysis direct method Cash collections from customers Cash paid to suppliers Cash paid for operating expenses Cash paid for interest Cash paid for taxes Cash flow from operations

24 Financial Reporting and Analysis direct method cash collections from customers/cash collections 将权责发生制下的收入转化成实际现金收入的计算公式为 : Beginning receivables + sales cash collections = ending receivables 将上述公式转化可得到 : cash collections = sales (ending receivable beginning receivables)

25 Financial Reporting and Analysis direct method 企业购买存货的现金支出 (cash paid to suppliers) 第一步 : 计算出公司今年到底买了多少存货, 即 Purchase 计算公式如下所示 : beginning inventory + purchase cost of goods sold = ending inventory 第二步 : 因为有部分存货的购买不立即支付现金, 而是以应付账款 (account payable) 的形式存在, 所以要进一步从 purchase 转化成 cash paid to suppliers) Beginning account payable + purchase cash paid to supplier = ending account payable

26 Financial Reporting and Analysis direct method 企业支付员工薪酬的现金支出 (cash paid to employees) 企业支付员工薪酬的现金支出主要通过利润表中的 wages expenses 和资产负债表中的 wages payable 这两项调整得到 beginning wages payable + wages expenses wages paid to employees = ending wages payable

27 Financial Reporting and Analysis direct method 企业支付利息的现金支出 (cash paid for interest) 企业支付利息的现金支出主要通过利润表中的 interest expenses 和资产负债表中的 interest payable 这两项调整得到 eginning interest payment + interest expense interest paid = ending interest payment

28 Financial Reporting and Analysis direct method 企业支付税收的现金支出 (cash paid for tax) 首先, 企业税收的现金支出主要通过利润表中的 tax expenses 和资产负债表中的 taxes payable 这两项调整得到其次, 由于递延所得税的存在, 企业 tax expense 和当期实际支付的所得税之间存在差异, 所以还要加入递延所得税的调整 beginning taxes payable + beginning deferred tax liability + taxes expense taxes paid = ending taxes payable + ending deferred tax liability

29 Financial Reporting and Analysis

30 Corporate Finance Methods to Evaluate a Capital Project Net Present Value (NPV) Internal Rate of Return (IRR) Payback / Discounted payback period Average Accounting Rate of Return (AAR) NPV = present value of expected cash inflows less the present value of cash outflows IRR = the discount rate which gives NPV = 0 Number of years to recover the investment cost Average net income AAR = Average book value Accept if NPV > 0 Reject if NPV < 0 Accept if IRR > required rate of return for a project Payback period has many flaws; should use NPV or IRR AAR based on accounting data, not cash flow; also ignore time value of money Profitability Index PV of futurecash flows (PI) PI = Initial investment Accept if PI > 1 NPV Reject if PI < 1 = 1+ Initial investment

31 Corporate Finance Asset (unlevered) beta: where: D/E is the pure play company s debt-toequity ratio and t is its marginal tax rate.

32 Corporate Finance Company (Project) beta: use the subject firm s tax rate and debt-to-equity ratio for the company (project) to re-lever the asset beta

33 PURE-PLAY APPROACH EXAMPLE Life Co is thinking of investing in a software project. Calculate the beta of the software project given the following information: The average levered beta of comparable listed software firms is 1.1. and the average debt-to-equity ratio, based on market value, is 0.4. The software project has a debt-to-equity ratio, based on market value, of 0.6. Tax rate is 35%. Corporate Finance

34 Corporate Finance PURE-PLAY APPROACH SOLUTION Life Co is thinking of investing in a software project. Calculate the beta of the software project. Calculate Asset (unlevered) beta: 1 = 1.1 x = 1 [( ) x 0.4] Lever the beta for project s gearing: = [ + ( ) x0.6] x 1 =

35 谢谢大家, 我们下次再见! 更多精彩内容请登录高顿网校官方网站学习

東吳大學 104 學年度碩士班研究生招生考試試題第 2 頁, 共 7 頁 5. Consider a project with the following cash flows. Year Cash Flow 0 -$16, , ,000 What s the IRR o

東吳大學 104 學年度碩士班研究生招生考試試題第 2 頁, 共 7 頁 5. Consider a project with the following cash flows. Year Cash Flow 0 -$16, , ,000 What s the IRR o 東吳大學 104 學年度碩士班研究生招生考試試題第 1 頁, 共 7 頁一選擇題 60 分 ( 單選每題 3 分 ) 1. Which of the following items can be found on an income statement? a. Accounts receivable b. Long-term debt c. Sales d. Inventory 2. A 15-year,