公司财务讲义(英文版).pptx
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公司财务讲义(英文版).pptx
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CORPORATEFINANCE,LING-NANOUYANGPROFESSOROFFINANCEINSTITUTEOFCONTEMPORARYFINANCESHANGHAIJIAOTONGUNIVERSITY,1,ValuingInternationalCashFlows,ME(Cj,t)E(Ej,t)Nj=1PV=t=1(1+r)tE(Cj,t)=expectedcashflowsdenominatedincurrencyjtobereceivedbyparentinperiodt.E(Ej,t)=expectedexchangerateatwhichcurrencyjcanbeconvertedtoRMBattheendofperiodt.r=weightedaveragecostofcapitalofparent.M=numberofcurrencies.N=numberofperiods.,2,RegressionModelandExpectation
(1),Regression:
measurerelationshipsbetweenvariableswhenestablishingpolicies.EXPt=b0+b1USDt-1+b2GNPt-1+ut.EXPt=%changeinChinaexportstotheU.S.b0=aconstant.USD=%changeinthevalueofU.S.dollar.b1=regressioncoefficientmeasuring1%changeinUSDt-1willleadtox%changeinEXPt.GNP=%changeintheU.S.GNP.B2=regressioncoefficientmeasuring1%changeinGNPt-1willleadtox%changeinEXPt.ut=anerrorterm.,3,RegressionModelandExpectation
(2),Ifb0=0.002,b1=0.08,b2=0.36,USD1-1=5%,GNP1-1=-1%,ifinsertthesefiguresintotheregressionmodel,EXP1=3.84%.ItmeansthatoneyearlaterChinaexportstotheU.S.willincrease3.84%.,4,EquilibriumSpotExchangeRate,E(RMB/$1)SE0DQ0Qof$WhenDfor$=Sof$,Q0=theequilibriumquantityof$,E0=theequilibriumspotexchangerate.,5,PriceElasticityofDemandandFutureSpotExchangeRate,E=(Q/Q)/(P/P).E=priceelasticityofdemand.Q=quantityofgoodsdemanded.P=price.Q=changeinQdemandedforachangeinP(P).IfE1,totalspendinggoesupwhenPdeclines.Efor$couldhaveanimpactonthefuturespotexchangerateof$andRMB.,6,BalanceofPaymentsandFutureSpotExchangeRate
(1),Credits($inflows)Debits($outflows)a:
Exportsofcivilianb:
Importsofciviliangoodsgoodsc:
Militarysalesd:
MilitarypurchaseabroadabroadTradebalance=a+c-(b+d),7,BalanceofPaymentsandFutureSpotExchangeRate
(2),e:
Exportsofservicef:
Importsofservices(investmentincome(investmentincomeandfeesearned,paidout,Chinaforeigntourismintourismabroad,China,etc.)etc.)g:
Netunilateraltransfers(gifts)Currentaccountbalance=a+c+e-(b+d+f+g),8,BalanceofPaymentsandFutureSpotExchangeRate(3),h:
Foreignprivatei:
ChinaprivateinvestmentinChinainvestmentabroadj:
Foreignofficialk:
ChinesegovernmentlendinginChinalendingabroadCapitalaccountbalance=h+j-(i+k)l:
NetincreaseinChinaofficialreservesOfficialreservesbalanceNote:
Itemhincludesneterrorsandomissions.,9,BalanceofPaymentsandFutureSpotExchangeRate(4),IfChinahasatradesurplusagainsttheU.S.,thevalueofRMBwillbehigherthanthatof$,spotratewillchange.,10,InflationandFutureSpotExchangeRate,E(RMB/$1)SE1SE0DDQ1Qof$IfIFinChinathatintheU.S.,supplyof$willmovefromStoSbecausetheChinesearelikelytodecreasetheirpurchasesofU.S.imports.Meanwhile,demandfor$willmovefromDtoDbecausetheAmericansarelikelytosubstituteChinaimportsforU.S.products.Thus,spotexchangeratewillmovefromE0toE1.,11,InterestRateandFutureSpotExchangeRate,Allotherthingsbeingequal,wheninterestrateinChinaisgreaterthanthatintheU.S.,investorswillswitchfromdollartoRMBtotakeadvantageofthehigherRMBinterestrates.So,demandfor$andsupplyof$willchange,spotexchangeratewillchange.,12,NationalIncomeandFutureSpotExchangeRate,AnincreaseinChinaincomewillleadtomoreChinaimportsfromtheU.S.asChinesepeoplespendsomeofincomeonU.S.products.This,however,wouldcausedemandfor$andsupplyof$tochangeandspotexchangeratetochange.,13,OtherFactorsAffectingFutureSpotExchangeRate,Politicalandeconomicenvironment:
ifpoliticalandeconomicenvironmentinChinaisbetterthanthatintheU.S.,thevalueofRMBwillbehigherthanthatof$,spotratewillchange.Investments:
ifAmericansinvestinChina,demandfor$andsupplyof$willchange,spotratewillchange.,14,DepreciationVersusAppreciation,SupposethatonJuly19,2001,U.S.dollardevaluedby17%againstRMB.IfE0=initialRMBvalueofonedollarandE1=post-devaluationRMBvalueofonedollar,thenweknowthat(E1-E0)/E0=-17%.SolvingforE1intermsofE0yieldsE1=83%E0.Thus,theappreciationofRMBagainstU.S.dollar=(E0-E1)/E1=(E0-83%E0)/(83%E0)=20.48%.,15,ReasonsforGovernmentIntervention,Reduceeconomicexposureariskincurredbyexchangeratefluctuations.Adjustimportsandexports.IfRMBappreciates,ChinawilllosecomparativeadvantageinpriceagainsttheU.S.,thusreduceexports.Eliminatetheimpactofexchangeratefluctuationsoninflationathome.,16,ApproachtoGovernmentIntervention,E(RMB/$1)SE1SE0DDQ2Q1Q3Qof$TomaintainE0inthefaceofE1,eithertheAmericangovernmentortheChinesegovernmentorbothmustsell(Q3-Q2)dollarstopurchase(Q3-Q2)E0RMB,therebyeliminatingthedemandfor(Q3-Q2)dollars,andsimultaneouslyeliminatingtheexcesssupplyof(Q3Q2)E0RMB.,17,TermstoKeepExistingExchangeRate,Terms=internationalreserve/balance-of-paymentsdeficit.,18,SpotQuotations
(1),Directquotation:
RMB/$1.Indirectquotation:
$/1RMB.Bidquote:
buyquote.Askquote:
sellquote.,19,SpotQuotations
(2),Assumeyouhave10000RMB.AlsoassumetheBankofChinasbidratefor$1is8.4513RMBanditsaskrateis8.4536RMB.Ifyouconvert10000RMBinto$,youget10000/8.4536=$1182.93.Ifyoureconvertthe$1182.93backtoRMB,yougetonly1182.938.4513=9997.30(RMB).Thebid/askspread=10000-9997.30=2.7(RMB).Or,thebid/askspread=(8.4536-8.4513)/8.4536=0.03%.,20,ForwardQuotations,Outrightrate:
actualrate.90-dayforwardbid=8.2142RMB/$1.Swaprate:
aforwarddifferential=discountfrom,orapremiumon,spotrate.Ifspotrate=8.1023-30RMB/$1,90-dayforwardrate=26-22,90-dayforwardbidhas8.1026-8.1023=0.0003RMBpremium,90-dayforwardaskhas8.1030-8.1022=0.0008RMBdiscount.,21,ForwardRatePremiumorDiscount,Exchangefor$1RMBFPorFDSpot8.451330-dayforward8.4511-0.03%90-dayforward8.45260.06%180-dayforward8.46180.01%FP=forwardpremium,FD=forwarddiscount.FPorFD=(forward-spot)/spot(360/daysofforward).,22,ForwardRateFluctuationandCashFlows,Cashflow$depreciation$appreciationSPSPExportsalesIIorDDDorILocalsalesDDorIIIorDLocalexpensesDDIIImportexpensesIIorDDDorIS=subsidiaryintheU.S.P=parentinChina.I=increase.D=decrease.,23,CrossExchangeRate,ExchangerateofcurrencyAtocurrencyB=exchangerateofRMBtoA/exchangerateofRMBtoB.IftheexchangerateofRMBtoU.S.$=8.2798RMB/$1,theexchangerateofRMBtoHK$=1.0627RMB/HK$1,theexchangerateofU.S.$toKH$=8.2798/1.0627=7.7913(HK$s/U.S.$1).,24,InterestRateParityandFutureSpotRate,IRP:
r=(1+if)(1+p)-1.Wherer=rateofreturnfrominterestarbitrage(buyforeigncurrencywithhomecurrency,investitonforeigndeposit,convertinterestbacktohomecurrency).if=interestrateofforeigncurrency.P=forwardpremiumordiscount.Sincer=ih(interestrateofhomecurrency),p=(1+ih)/(1+if)-1ih-if.If6-monthsiRMB=5%,6-monthsi$=6%,p-1%.Chineseinvestorswillreceive1%lesswhenselling$6-monthsfromnowthanwhattheypayfor$atspotrate;and,(ih-if)willinfluencethefuturespotrate.,25,PurchasingPowerParityandFutureSpotRate,PPP:
Pf(1+If)(1+ef)=Ph(1+Ih).WherePf=priceindexofforeigncountry.If=inflationrateofforeigncountry.ef=%changeinvalueofforeigncurrency.h=homecountry.SincePh=Pf,ef=(1+Ih)/(1+If)-1Ih-If.IfIRMB=5%,I$=3%,e$2%.$willappreciateby2%.IfIRMB=4%,I$=7%,e$-3%.$willdepreciateby3%.BasedonthePPP,Sj,t+1=Sj1+(Ih-If).Sj,t+1=newvalueofspotrateofagivencurrency.Sj=spotrateinequilibrium.Obviously,(Ih-If)couldinfluencethefuturespotrate.,26,InternationalFisherEffectandFutureSpotRate,IFE:
r=(1+if)(1+ef)-1.Wherer=theeffectivereturnontheforeigndeposit.Sincer=ih,ef=(1+ih)/(1+if)-1ih-if.IfoneyeariRMB=11%,oneyeari$=12%,e$-1%.Thismeansthat$willdepreciateby1%inordertomakei$equalto11%.Thisalsomeansthat(ih-if)willinfluencethefuturespotrate.,27,RegressionandFutureSpotrate,VRMB=b0+b1INF+b2INC+.WhereVRMB=quarterly%changeinRMBvalue.INF=quarterly%changeininflationdifferentialbetweenChinaandtheU.S.INC=quarterly%changeinincomegrowthdifferentialbetweenChinaandtheU.S.b1=1%changeinINF,VRMBwillchangebyx%.b2=1%changeinINC,VRMBwillchangebyx%.=anerrorterm.IfrecentINF=4%andINC=2%,ifb0=0.002,b1=0.8andb2=1,VRMB=5.4%.ThismeansthatRMBshouldappreciateby5.4%,otherthingsheldconstant;and,thefuturespotrateshouldbeadjusted.,28,SensitivityAnalysisandFutureSpotRate,ERt=b0+b1INTt+b2INFt-1+.WhereERt=%changeinexchangerateovert.INTt=realinterestratedifferentialovert.INFt-1=inflationdifferentialinprevioust.INT1%changeinER1P-3%0.1%+(-0.7)(-3%)+0.61%=2.8%20%-4%0.1%+(-0.7)(-4%)+0.61%=3.5%50%-5%0.1%+(-0.7)(-5%)+0.61%=4.2%30%Hereb0=0.1%,b1=-0.7,b2=0.6,INF1-1ofRMBand$=1%.Oneyearhence,Theweightedaverageappreciationof$=3.6%.This,however,willinfluencethefuturespotrate.,29,MarketExpectationandFutureSpotRate,Assumethatthe30-dayforwardrate=$0.12/1RMBandthegeneralexpectationofspeculatorsforthefuturespotratein30days=$0.17/1RMB.Thus,buyingRMB30daysforwardat$0.12/1RMBandsellingthemwhenreceivedin30daysat$0.17/1RMBwillearn$0.05/1RMB.Ifalargenumberofspeculatorsimplementthisstrategy,thesubstantialdemandtobuyRMBforwardwillcausetheforwardrateofRMBand$toincreaseuntilthespeculativedemandstops.,30,SpeculatingonAnticipatedExchangeRates
(1),Assumethatthe30-dayforwardrate=$0.12/1RMBandthegeneralexpectationforthefuturespotratein30days=$0.17/1RMB.Thus,buyingRMB30daysforwardat$0.12/1RMBandsellingthemwhenreceivedin30daysat$0.17/1RMBwillearn$0.05/1RMB.Ifalargenumberofspeculatorsimplementthisstrategy,thesubstantialdemandtobuyRMBforwardwillcausetheforwardrateofRMBand$toincreaseuntilthespeculativedemandstops.,31,Specul
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