靜宜大學 98 學年度企管系 財務管理 作業 Part III 最後更新日期 :00 年 6 月 日 第 題 CL ( 第 0 章,#3,36 頁 ) The market portolio has an expected return o percent and a standard deviation o 0 percent. The risk-ree rate is 4 percent. a. What is the expected return on a well-diversiied portolio with a standard deviation o 7 percent? b. What is the standard deviation o a well-diversiied portolio with an expected return o 0 percent? CL: r i r + b σ i r %, σ 0%, r 4% b 0.8 m m (a) σ a 7% r a 4% + 0.8 07% 9.6% r 0% σ 0% 4% 0.8 0% (b) b b r % σ 0% rf 4% slope 0.8 σa 7% ra 9.6% rb 0% σb 0.0% 第 題 SL ( 第 0 章,#35,37 頁 ) Suppose you observe the ollowing situation: Assume these securities are correctly priced. Based on the CAP, what is the expected return on the market? What is the risk-ree rate? SL: ri r + βi( r r ) β.3, r.3 0.3 0.3 r + r r r 0.044 β 0.6, r 0.3 r 0.6 0.3 r 0.87 r r + β.30 r 0.3 β 0.60 r 0.3 r - rf 0.49 rf 0.0443 r 0.87 00/6/ 陳欣得財務管理 作業 Part III / 6
第 3 題 Standard Deviation and Beta ( 第 0 章,#38,38 頁 ) There are two stocks in the market, stock A and stock B. The price o stock A today is 50. The price o stock A next year will he 40 i the economy is in a recession, 55 i the economy is normal, and 60 i the economy is expanding. The probabilities o recession, normal times, and expansion are.l,.8, and., respectively. Stock A pays no dividends and has a correlation o.8 with the market portolio. Stock B has an expected return o 9 percent, a standard deviation o percent, a correlation with the market portolio o., and a correlation with stock A o.6. The market portolio has a standard deviation o 0 percent. Assume the CAP holds. a. I you are a typical, risk-averse investor with a well-diversiied portolio, which stock would you preer? Why? b. What are the expected return and standard deviation o a portolio consisting o 70 percent o stock A and 30 percent o stock B? c. What is the beta o the portolio in part (b)? σ 和 β 的關係如下 : σ σ σ β ρ β ρ i, i, i i, i, i i, σ σ σi σ σ 抽樣分配 ax + by 的期望值 變異數 共變數 : ( + ) +, ( + ) + + cov (, ) ( ax + by Z ) a ( X Z ) + b ( Y Z ) E ax by ae X be Y V ax by a V X b V Y ab X Y cov, cov, cov, 題目給定資料 : r 8%, σ 9.8%, ρ 0.8, r 9%, σ %, ρ 0., ρ 0.6, σ 0% A A A, B B B, A, B 轉換成共變數並計算 β : σ ρ σ σ, σ ρ σ σ, σ ρ σ σ A, A, A B, B, B AB, AB, A B σ σ βa σ σ σ σ A, B,, βb (a) 風險規避者會選風險較小的 Stock B (b) 投資組合 C 0.7A+ 0.3B 3 C 0.7 A 0.3 B, C 0.7 A 0.3 B 0.7 0.3 A, B r r + r σ σ + σ + σ (c) σ 0.7σ + 0.3σ β 0.7β + 0.3β C, A, B, C A B 00/6/ 陳欣得財務管理 作業 Part III / 6
Stock A 之報酬 ra 8.00% rb 9% 報酬 機率 σa 9.80% σb % σ 0% -0% 0. ρa 0.8 ρb 0. ρab 0.6 0% 0.8 σa 0.0078 σb 0.004 σab 0.007 0% 0. βa 0.784 βb 0.40 A 權重 0.7 B 權重 0.3 rc 8.30% σc 9.47% βc 0.6 00/6/ 陳欣得財務管理 作業 Part III 3 / 6
第 4 題 Finding the WACC ( 第 章,#,364 頁 ) Aasirn ining Corporation has 9 million shares o common stock outstanding and 0,000 8.5 percent semiannual bonds outstanding, par value BND,000 each. The common stock currently sells or BND 34 per share and has a beta o.0, and the bonds have 5 years to maturity and sell or 93 percent o par. The market risk premium is 0 percent, T-bills are yielding 5 percent, and Aasim ining's tax rate is 35 percent. a. What is the irm s market value capital structure? b. I Aasim ining is evaluating a new investment project that has the same risk as the irm's typical project, what rate should the irm use to discount the project's cash lows? 普通股,9,000,000 股在外, 每股成本未知 ; 公司債,0,000 口在外, 每口面額 $,000, 利息 8.5%, 每半年給息一次 普通股每股市價 $34, β. ; 公司債 5 年後到期, 市價為面額之 93% 其他資料 : r r 0% r 5% T 35% (a) 權益 公司債市值 : S $34 9,000,000, B $,000 93% 0,000 (b) r r + β r r S 8.5% $,000 93% $,000 PVIFAr,30 + $,000 PVIFr,30 rb r S B rwacc rs + rb ( T) S + B S + B 普通股 : 9,000,000 市價 : $34 β. 公司債 : 0,000 面額 : $,000 年利率 : 8.50% 市價 : $930 r - r 0% r 5% T 35% n 30 S 306,000,000 B,600,000 折現率 4.69% 公司債價值 $930.00 rs 7.00% rb 9.38% rwacc 4.09% 00/6/ 陳欣得財務管理 作業 Part III 4 / 6
第 5 題 Preerred Stock and WACC ( 第 章,#5,365 頁 ) The Saunders Investment Bank has the ollowing inancing outstanding. What is the WACC or the company? Debt: 50,000 bonds with an 8 percent coupon rate and a quoted price o 9.80; the bonds have 5 years to maturity. 50,000 zero coupon bonds with a quoted price o 3.85 and 30 years until maturity. Preerred stock: 0,000 shares o 6.5 percent preerred with a current price o, and a par value 00. Common stock:,000,000 shares o common stock; the current price is 65, and the beta o the stock is.. arket: The corporate tax rate is 40 percent, the market risk premium is 9 percent, and the risk-ree rate is 4 percent. 公司債 :50,000 口, 利息 8%( 半年給息一次 ),5 年到期, 每口報價 $9.80; 公司債 :50,000 口, 不給利息,30 年到期, 每口報價 $3.85; 特別股 :0,000 股, 每年給股利 6.5%, 面額 $00, 每股市價 $; 普通股 :,000,000 股, 每股市價 $65, β. 其他資料 : r r 9% r 4% T 40% 附息公司債市值 : B $,000.980 50,000 無息公司債市值 : B $,000 0.385 50,000 特別股 普通股市值 : S $ 0,000, S $65,000,000 8% $,98 $, 000 PVIFAr,50 + $, 000 PVIFr,50 rb r $38.5 $,000 PVIF r r r,60 股利 $00 6.5% rs, rs r + β r r 股價 $ S S B B rwacc rs + r ( ) ( ) S + r B T + r B T V V V V V S + S + B + B B 公司債 : 50,000 面額 : $,000 年利率 : 8.00% 報價 : $9.80 公司債 : 50,000 面額 : $,000 年利率 : 0.00% 報價 : $3.85 特別股 : 0,000 面額 : $00 股利 : 6.50% 市價 : $.00 普通股 :,000,000 市價 : $65 β. n 50 r - r 9% r 4% T 40% n 60 B $59,900,000 B $0,775,000 S $3,440,000 S $30,000,000 折現率 3.0% 公司債價值 $,98.00 rb 6.40% rb 6.70% rs 5.80% rs 3.90% V $4,5,000 rwacc 9.8% 00/6/ 陳欣得財務管理 作業 Part III 5 / 6
第 6 題 WACC and NPV ( 第 章,#6,365 頁 ) Photochronograph Corporation (PC) manuactures time series photographic equipment. It is currently at its target debt-equity ratio o.3. It s considering building a new 45 million manuacturing acility. This new plant is expected to generate ater tax cash lows o 5.7 million in perpetuity. There are three inancing options: A new issue o common stock. The required return on the company's equity is 7 percent. A new issue o 0-year bonds. I the company issues these new bonds at an annual coupon rate o 9 percent, they will sell at par. Increased use o accounts payable inancing. Because this inancing is part o the company's ongoing daily business, the company assigns it a cost that is the same as the overall irm WACC. anagement has a target ratio o accounts payable to long-term debt o.0. (Assume there is no dierence between the pretax and ater tax accounts payable cost.) What is the NPV o the new plant? Assume that PC has a 35 percent tax rate. 新投資案投資金額 $45,000,000, 可永續創造每年 $5,700,000 稅後現金流量 NPV $5, 700, 000 $45,000,000 + r WACC 重點是如何估算 r WACC 題意要我們由三個資金來源估算 : 普通股 S 公司債 B 應付帳款( 短期負債 ) B 其中, 資料 : DE.3 r S 7% r B 9% rb rwacc B B 0. T 35% S B B rwacc rs + rb ( T) + r B V V V 0.4348 7% + 0.470 9% 35% + 0.094 r r 0.5% + 0.094 r r.0% WACC WACC WACC WACC S B.3 DE.3 0.4348, 0.565 V.3 V.3 B B B 0. B B B 0. 0.470, 0.094 V. V V. V P0 45,000,000 A $5,700,000 rs 7% rb 9% D/E.3 B/B 0. T 35% S/V 0.4348 B/V 0.470 B/V 0.094 a 0.5% b 0.094 rwacc.0% NPV $5,883,77 00/6/ 陳欣得財務管理 作業 Part III 6 / 6