财务管理学chapter 14.pptx
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财务管理学chapter 14.pptx
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Chapter14,RiskandManagerialOptionsinCapitalBudgeting,2001Prentice-Hall,Inc.FundamentalsofFinancialManagement,11/eCreatedby:
GregoryA.Kuhlemeyer,Ph.D.CarrollCollege,Waukesha,WI,RiskandManagerialOptionsinCapitalBudgeting,TheProblemofProjectRiskTotalProjectRiskContributiontoTotalFirmRisk:
Firm-PortfolioApproachManagerialOptions,AnIllustrationofTotalRisk(DiscreteDistribution),ANNUALCASHFLOWS:
YEAR1PROPOSALAStateProbabilityCashFlowDeepRecession.05$-3,000MildRecession.251,000Normal.405,000MinorBoom.259,000MajorBoom.0513,000,ProbabilityDistributionofYear1CashFlows,.40,.05,.25,Probability,-3,0001,0005,0009,00013,000,CashFlow($),ProposalA,CF1P1(CF1)(P1)$-3,000.05$-1501,000.252505,000.402,0009,000.252,25013,000.05650S=1.00CF1=$5,000,ExpectedValueofYear1CashFlows(ProposalA),(CF1)(P1)(CF1-CF1)2(P1)$-150(-3,000-5,000)2(.05)250(1,000-5,000)2(.25)2,000(5,000-5,000)2(.40)2,250(9,000-5,000)2(.25)650(13,000-5,000)2(.05)$5,000,VarianceofYear1CashFlows(ProposalA),VarianceofYear1CashFlows(ProposalA),(CF1)(P1)(CF1-CF1)2*(P1)$-1503,200,0002504,000,0002,00002,2504,000,0006503,200,000$5,00014,400,000,SummaryofProposalA,Thestandarddeviation=SQRT(14,400,000)=$3,795Theexpectedcashflow=$5,000,AnIllustrationofTotalRisk(DiscreteDistribution),ANNUALCASHFLOWS:
YEAR1PROPOSALBStateProbabilityCashFlowDeepRecession.05$-1,000MildRecession.252,000Normal.405,000MinorBoom.258,000MajorBoom.0511,000,ProbabilityDistributionofYear1CashFlows,.40,.05,.25,Probability,-3,0001,0005,0009,00013,000,CashFlow($),ProposalB,ExpectedValueofYear1CashFlows(ProposalB),CF1P1(CF1)(P1)$-1,000.05$-502,000.255005,000.402,0008,000.252,00011,000.05550S=1.00CF1=$5,000,(CF1)(P1)(CF1-CF1)2(P1)$-50(-1,000-5,000)2(.05)500(2,000-5,000)2(.25)2,000(5,000-5,000)2(.40)2,000(8,000-5,000)2(.25)550(11,000-5,000)2(.05)$5,000,VarianceofYear1CashFlows(ProposalB),VarianceofYear1CashFlows(ProposalB),(CF1)(P1)(CF1-CF1)2(P1)$-501,800,0005002,250,0002,00002,0002,250,0005501,800,000$5,0008,100,000,SummaryofProposalB,ThestandarddeviationofProposalBProposalA.($2,846$3,795),Thestandarddeviation=SQRT(8,100,000)=$2,846Theexpectedcashflow=$5,000,TotalProjectRisk,Projectshaveriskthatmaychangefromperiodtoperiod.Projectsaremorelikelytohavecontinuous,ratherthandiscretedistributions.,CashFlow($),123Year,ProbabilityTreeApproach,Agraphicortabularapproachfororganizingthepossiblecash-flowstreamsgeneratedbyaninvestment.Thepresentationresemblesthebranchesofatree.Eachcompletebranchrepresentsonepossiblecash-flowsequence.,ProbabilityTreeApproach,BasketWondersisexaminingaprojectthatwillhaveaninitialcosttodayof$900.Uncertaintysurroundingthefirstyearcashflowscreatesthreepossiblecash-flowscenariosinYear1.,-$900,ProbabilityTreeApproach,Node1:
20%chanceofa$1,200cash-flow.Node2:
60%chanceofa$450cash-flow.Node3:
20%chanceofa-$600cash-flow.,-$900,(.20)$1,200,(.20)-$600,(.60)$450,Year1,1,2,3,ProbabilityTreeApproach,EachnodeinYear2representsabranchofourprobabilitytree.Theprobabilitiesaresaidtobeconditionalprobabilities.,-$900,(.20)$1,200,(.20)-$600,(.60)$450,Year1,1,2,3,(.60)$1,200,(.30)$900,(.10)$2,200,(.35)$900,(.40)$600,(.25)$300,(.10)$500,(.50)-$100,(.40)-$700,Year2,JointProbabilitiesP(1,2),.02Branch1.12Branch2.06Branch3.21Branch4.24Branch5.15Branch6.02Branch7.10Branch8.08Branch9,-$900,(.20)$1,200,(.20)-$600,(.60)$450,Year1,1,2,3,(.60)$1,200,(.30)$900,(.10)$2,200,(.35)$900,(.40)$600,(.25)$300,(.10)$500,(.50)-$100,(.40)-$700,Year2,ProjectNPVBasedonProbabilityTreeUsage,Theprobabilitytreeaccountsforthedistributionofcashflows.Therefore,discountallcashflowsatonlytherisk-freerateofreturn.,TheNPVforbranchioftheprobabilitytreefortwoyearsofcashflowsis,NPV=S(NPVi)(Pi),NPVi=,CF1,(1+Rf)1,(1+Rf)2,CF2,-ICO,+,i=1,z,NPVforEachCash-FlowStreamat5%Risk-FreeRate,$2,238.32$1,331.29$1,059.18$344.90$72.79-$199.32-$1,017.91-$1,562.13-$2,106.35,-$900,(.20)$1,200,(.20)-$600,(.60)$450,Year1,1,2,3,(.60)$1,200,(.30)$900,(.10)$2,200,(.35)$900,(.40)$600,(.25)$300,(.10)$500,(.50)-$100,(.40)-$700,Year2,NPVontheCalculator,Remember,wecanusethecashflowregistrytosolvetheseNPVproblemsquicklyandaccurately!
ActualNPVSolutionUsingYourFinancialCalculator,SolvingforBranch#3:
Step1:
PressCFkeyStep2:
Press2ndCLRWorkkeysStep3:
ForCF0Press-900EnterkeysStep4:
ForC01Press1200EnterkeysStep5:
ForF01Press1EnterkeysStep6:
ForC02Press900EnterkeysStep7:
ForF02Press1Enterkeys,ActualNPVSolutionUsingYourFinancialCalculator,SolvingforBranch#3:
Step8:
PresskeysStep9:
PressNPVkeyStep10:
ForI=,Enter5EnterkeysStep11:
PressCPTkeyResult:
NetPresentValue=$1,059.18,YouwouldcompletethisforEACHbranch!
CalculatingtheExpectedNetPresentValue(NPV),BranchNPViBranch1$2,238.32Branch2$1,331.29Branch3$1,059.18Branch4$344.90Branch5$72.79Branch6-$199.32Branch7-$1,017.91Branch8-$1,562.13Branch9-$2,106.35,P(1,2)NPVi*P(1,2).02$44.77.12$159.75.06$63.55.21$72.43.24$17.47.15-$29.90.02-$20.36.10-$156.21.08-$168.51,ExpectedNetPresentValue=-$17.01,CalculatingtheVarianceoftheNetPresentValue,NPVi$2,238.32$1,331.29$1,059.18$344.90$72.79-$199.32-$1,017.91-$1,562.13-$2,106.35,P(1,2)(NPVi-NPV)2P(1,2).02$101,730.27.12$218,149.55.06$69,491.09.21$27,505.56.24$1,935.37.15$4,985.54.02$20,036.02.10$238,739.58.08$349,227.33,Variance=$1,031,800.31,SummaryoftheDecisionTreeAnalysis,Thestandarddeviation=SQRT($1,031,800)=$1,015.78TheexpectedNPV=-$17.01,SimulationApproach,Anapproachthatallowsustotestthepossibleresultsofaninvestmentproposalbeforeitisaccepted.Testingisbasedonamodelcoupledwithprobabilisticinformation.,SimulationApproach,MarketanalysisMarketsize,sellingprice,marketgrowthrate,andmarketshareInvestmentcostanalysisInvestmentrequired,usefullifeoffacilities,andresidualvalueOperatingandfixedcostsOperatingcostsandfixedcosts,Factorswemightconsiderinamodel:
SimulationApproach,Eachvariableisassignedanappropriateprobabilitydistribution.ThedistributionforthesellingpriceofbasketscreatedbyBasketWondersmightlooklike:
$20$25$30$35$40$45$50.02.08.22.36.22.08.02TheresultingproposalvalueisdependentonthedistributionandinteractionofEVERYvariablelistedonslide14-30.,SimulationApproach,Eachproposalwillgenerateaninternalrateofreturn.Theprocessofgeneratingmany,manysimulationsresultsinalargesetofinternalratesofreturn.Thedistributionmightlooklikethefollowing:
INTERNALRATEOFRETURN(%),PROBABILITYOFOCCURRENCE,Combiningprojectsinthismannerreducesthefirmriskduetodiversification.,ContributiontoTotalFirmRisk:
Firm-PortfolioApproach,CASHFLOW,TIME,TIME,TIME,ProposalA,ProposalB,CombinationofProposalsAandB,NPVP=S(NPVj)NPVPistheexpectedportfolioNPV,NPVjistheexpectedNPVofthejthNPVthatthefirmundertakes,misthetotalnumberofprojectsinthefirmportfolio.,DeterminingtheExpectedNPVforaPortfolioofProjects,m,j=1,sP=SSsjksjkisthecovariancebetweenpossibleNPVsforprojectsjandk,sjk=sjskrjk.sjisthestandarddeviationofprojectj,skisthestandarddeviationofprojectk,rjkisthecorrelationcoefficientbetweenprojectsjandk.,DeterminingPortfolioStandardDeviation,m,j=1,m,k=1,E:
ExistingProjects8CombinationsEE+1E+1+2E+2E+1+3E+3E+2+3E+1+2+3A,B,andCaredominatingcombinationsfromtheeightpossible.,CombinationsofRiskyInvestments,A,B,C,E,StandardDeviation,ExpectedValueofNPV,Managerial(Real)Options,Managementflexibilitytomakefuturedecisionsthataffectaprojectsexpectedcashflows,life,orfutureacceptance.ProjectWorth=NPV+Option(s)Value,Managerial(Real)Options,Expand(orcontract)Allowsthefirmtoexpand(contract)productionifconditionsbecomefavorable(unfavorable).AbandonAllowstheprojecttobeterminatedearly.PostponeAllowsthefirmtodelayundertakingaproject(reducesuncertaintyvianewinformation).,PreviousExamplewithProjectAbandonment,Assumethatthisprojectcanbeabandonedattheendofthefirstyearfor$200.Whatistheprojectworth?
-$900,(.20)$1,200,(.20)-$600,(.60)$450,Year1,1,2,3,(.60)$1,200,(.30)$900,(.10)$2,200,(.35)$900,(.40)$600,(.25)$300,(.10)$500,(.50)-$100,(.40)-$700,Year2,ProjectAbandonment,Node3:
(500/1.05)(.1)+(-100/1.05)(.5)+(-700/1.05)(.4)=($476.19)(.1)+-($95.24)(.5)+-($666.67)(.4)=-($266.67),-$900,(.20)$1,200,(.20)-$600,(.60)$450,Year1,1,2,3,(.60)$1,200,(.30)$900,(.10)$2,200,(.35)$900,(.40)$600,(.25)$300,(.10)$500,(.50)-$100,(.40)-$700,Year2,ProjectAbandonment,-$900,(.20)$1,200,(.20)-$600,(.60)$450,Year1,1,2,3,(.60)$1,200,(.30)$900,(.10)$2,200,(.35)$900,(.40)$600,(.25)$300,(.10)$500,(.50)-$100,(.40)-$700,Year2,TheoptimaldecisionattheendofYear1istoabandontheprojectfor$200.$200-($266.67)Whatisthe“new”projectvalue?
ProjectAbandonment,$2,238.32$1,331.29$1,059.18$344.90$72.79-$199.32-$1,280.95,-$900,(.20)$1,200,(.20)-$400*,(.60)$450,Year1,1,2,3,(.60)$1,200,(.30)$900,(.10)$2,200,(.35)$900,(.40)$600,(.25)$300,(1.0)$0,Year2,*-$600+$200abandonment,SummaryoftheAdditionoftheAbandonmentOption,*For“True”Projectconsideringabandonmentoption,Thestandarddeviation*=SQRT(740,326)=$857.56TheexpectedNPV*=$71.88NPV*=OriginalNPV+AbandonmentOptionThus,$71.88=-$17.01+OptionAbandonmentOption=$88.89,
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